================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
--------------------------------------
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Address of principal executive offices)(Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
The DFA Investment Trust Company,
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 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.
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
THE DFA SHORT TERM INVESTMENT FUND
ANNUAL REPORT
YEAR ENDED OCTOBER 31, 2016
TABLE OF CONTENTS
INVESTMENT SUMMARY 1
SCHEDULE OF PORTFOLIO HOLDINGS 2
SCHEDULE OF INVESTMENTS 3
STATEMENT OF ASSETS AND LIABILITIES 8
STATEMENT OF OPERATIONS 9
STATEMENTS OF CHANGES IN NET ASSETS 10
FINANCIAL HIGHLIGHTS 11
NOTES TO FINANCIAL STATEMENTS 12
SUPPLEMENTAL INFORMATION 18
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 21
FUND MANAGEMENT 22
INVESTMENT SUMMARY
CUMULATIVE PERFORMANCE OF $10,000
[GRAPHICS APPEARS HERE]
The graph represents a hypothetical investment in the Fund versus a similar
investment in the Fund's benchmark.
AVERAGE ANNUAL TOTAL RETURNS AND 7-DAY YIELD AS OF 10/31/16
1 YEAR 5 YEAR SINCE INCEPTION 7-DAY YIELD
------ ------ --------------- -----------
THE DFA SHORT TERM INVESTMENT FUND 0.43% 0.19% 0.19% 0.53%
CITIGROUP ONE-MONTH U.S. TREASURY BILL INDEX 0.18% 0.06% 0.07% --
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
DATA QUOTED.
AN INVESTMENT IN A MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE FDIC
OR ANY OTHER GOVERNMENT AGENCY.
Total return equals income return and assumes reinvestment of all net
investment income and realized capital gain distributions. The total returns
quoted do not reflect adjustments made to the enclosed financial statements in
accordance with U.S. generally accepted accounting principles or the deduction
of taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. Yields and returns fluctuate. The seven-day yield quotation
more closely reflects current earnings of the Fund than the total return
quotation.
--------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Portfolio Holdings
October 31, 2016
--------------------------------------------------------------------------------
The following table indicates the allocation of investments among the asset
classes in the Fund as of October 31, 2016:
PERCENT OF
SECURITY ALLOCATION INVESTMENTS
------------------- -----------
Commercial Paper 50.6%
U.S. Government Agency Securities 14.8
Yankee Certificates of Deposit 14.7
Repurchase Agreements 12.7
U.S. Treasury Obligations 5.3
Corporate Bonds 1.2
Yankee Bonds 0.7
-----
TOTAL INVESTMENTS 100.0%
See Notes to Financial Statements.
--------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments
October 31, 2016
--------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ------------
CORPORATE BONDS - 1.2%
(r)Apple, Inc. 0.86% 05/05/17 1,700,000 1,700,530
(r)Chevron Corp. 0.91% 02/22/17 25,000,000 25,009,500
(r)General Electric Co. 0.99% 02/15/17 5,000,000 5,002,080
(r)Toyota Motor Credit Corp. 1.01% 02/16/17 75,300,000 75,342,921
(r)Toyota Motor Credit Corp. 1.21% 04/24/17 150,000,000 149,985,600
----------- -----------
TOTAL CORPORATE BONDS (Cost $257,022,538) 257,000,000 257,040,631
----------- -----------
YANKEE BONDS - 0.7%
Cooperatieve Rabobank UA 3.38% 01/19/17 65,000,000 65,331,500
(r)++National Australia Bank Ltd. 1.12% 06/30/17 5,000,000 5,001,105
(r)++Nordea Bank AB 1.21% 04/04/17 36,755,000 36,779,295
(r)Rabobank Nederland NY 1.10% 11/23/16 14,000,000 14,003,710
(r)Westpac Banking Corp. 1.26% 11/25/16 40,250,000 40,259,580
----------- -----------
TOTAL YANKEE BONDS (Cost $161,367,618) 161,005,000 161,375,190
----------- -----------
COMMERCIAL PAPER - 50.6%
(y)++Apple, Inc. 0.35% 11/29/16 70,000,000 69,980,377
(y)++Apple, Inc. 0.39% 12/12/16 14,520,000 14,513,461
(y)++Apple, Inc. 0.40% 12/15/16 100,000,000 99,950,625
(y)++Apple, Inc. 0.40% 12/16/16 100,000,000 99,949,144
(y)++Bank Nederlandse Gemeent 0.45% 11/01/16 250,000,000 249,996,874
(y)++Bank Nederlandse Gemeent 0.48% 11/07/16 45,000,000 44,995,800
(y)++Bank Nederlandse Gemeent 0.53% 11/16/16 100,000,000 99,976,578
(y)++Bank Nederlandse Gemeent 0.56% 11/22/16 100,000,000 99,965,533
(y)++Bank Nederlandse Gemeent 0.66% 12/12/16 200,000,000 199,845,066
(y)++Bank of Nova Scotia 0.40% 11/02/16 25,000,000 24,999,450
(r)++Bank of Nova Scotia 0.93% 11/21/16 40,000,000 40,010,960
(r)++Bank of Nova Scotia 1.24% 05/12/17 25,000,000 25,029,300
(y)Banque et Caisse d'Epargne de l'Etat 0.60% 01/13/17 150,000,000 149,816,541
(y)Banque et Caisse d'Epargne de l'Etat 0.68% 02/06/17 100,000,000 99,814,072
(y)++Caisse des Depots et Con 0.49% 11/02/16 100,000,000 99,997,283
(y)Caterpillar Financial Services Corp. 0.40% 11/15/16 74,000,000 73,987,666
(y)Caterpillar Financial Services Corp. 0.40% 11/16/16 42,250,000 42,242,433
(y)Caterpillar Financial Services Corp. 0.45% 12/07/16 49,665,000 49,642,081
(y)++Chevron Corp. 0.50% 01/20/17 25,000,000 24,972,156
(y)++Coca-Cola Co. 0.43% 12/12/16 25,000,000 24,987,575
(y)++Coca-Cola Co. 0.43% 12/16/16 50,000,000 49,972,272
(r)++Commonwealth Bank of Australia 1.11% 11/21/16 50,000,000 50,018,850
(r)++Commonwealth Bank of Australia 1.06% 03/02/17 100,000,000 100,070,800
(r)++Commonwealth Bank of Australia 1.07% 05/17/17 100,000,000 99,992,800
(r)++Commonwealth Bank of Australia 1.28% 10/12/17 100,000,000 100,050,100
(y)++CPPIB Capital, Inc. 0.38% 11/03/16 55,000,000 54,998,258
(y)++CPPIB Capital, Inc. 0.49% 12/13/16 100,000,000 99,941,831
(y)++Emerson Electric Co. 0.40% 11/14/16 30,000,000 29,995,392
(y)Exxon Mobil Corp. 0.32% 11/08/16 125,000,000 124,991,055
(y)Exxon Mobil Corp. 0.49% 01/18/17 125,000,000 124,864,768
(y)GE Capital Treasury LLC 0.37% 11/10/16 50,000,000 49,994,931
(y)GE Capital Treasury LLC 0.42% 11/22/16 200,000,000 199,948,912
(y)GE Capital Treasury LLC 0.48% 12/15/16 100,000,000 99,940,000
(y)GE Capital Treasury LLC 0.53% 01/05/17 50,000,000 49,951,050
(y)++IBM Corp. 0.37% 11/16/16 100,000,000 99,983,422
(y)++IBM Corp. 0.48% 12/27/16 100,000,000 99,924,317
(y)++Koch Resources LLC 0.40% 11/09/16 75,000,000 74,992,594
(y)++Koch Resources LLC 0.42% 11/17/16 50,000,000 49,990,154
(y)++Kreditanstalt Fur Wiederaufbau 0.44% 11/09/16 100,000,000 99,989,000
(y)++Kreditanstalt Fur Wiederaufbau 0.67% 01/04/17 100,000,000 99,879,931
(y)++Kreditanstalt Fur Wiederaufbau 0.71% 01/09/17 150,000,000 149,794,376
(y)++Kreditanstalt Fur Wiederaufbau 0.71% 01/10/17 100,000,000 99,859,381
(y)++Kreditanstalt Fur Wiederaufbau 0.79% 01/20/17 192,075,000 191,732,722
(y)++L'Oreal USA, Inc. 0.41% 11/16/16 53,000,000 52,990,271
(y)++L'Oreal USA, Inc. 0.42% 11/17/16 29,017,000 29,011,286
(y)++L'Oreal USA, Inc. 0.43% 11/21/16 39,000,000 38,990,218
See Notes to Financial Statements.
--------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
October 31, 2016
--------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ------------
COMMERCIAL PAPER - 50.6% (CONTINUED)
(y)++Microsoft Corp. 0.40% 11/16/16 38,000,000 37,993,194
(y)++Microsoft Corp. 0.46% 12/15/16 250,000,000 249,856,249
(y)++Microsoft Corp. 0.57% 01/10/17 200,000,000 199,775,956
(y)++Microsoft Corp. 0.58% 01/12/17 50,000,000 49,941,600
(y)++Microsoft Corp. 0.66% 02/02/17 100,000,000 99,828,189
(y)++National Australia Bank, Ltd. 0.31% 11/01/16 100,000,000 99,999,150
(y)++National Australia Bank, Ltd. 0.48% 12/12/16 100,000,000 99,943,883
(y)++National Australia Bank, Ltd. 0.50% 12/16/16 100,000,000 99,936,367
(r)++National Australia Bank, Ltd. 1.20% 02/28/17 100,000,000 100,130,500
(r)++National Australia Bank, Ltd. 1.22% 08/04/17 50,000,000 50,067,000
(y)++Nederlandse Waterschaps 0.47% 12/02/16 50,000,000 49,978,978
(y)++Nederlandse Waterschaps 0.48% 12/09/16 175,000,000 174,908,620
(y)++Nestle Capital Corp. 0.41% 12/01/16 25,000,000 24,991,152
(y)++Nestle Capital Corp. 0.44% 12/09/16 50,000,000 49,976,221
(y)Nestle Finance International, Ltd. 0.43% 12/06/16 100,000,000 99,957,200
(y)Nestle Finance International, Ltd. 0.44% 12/08/16 100,000,000 99,954,083
(y)Nestle Finance International, Ltd. 0.57% 01/18/17 100,000,000 99,874,039
(y)++Nordea Bank AB 0.55% 12/05/16 50,000,000 49,973,507
(y)++Nordea Bank AB 0.58% 12/16/16 100,000,000 99,926,144
(y)++Novartis Finance Corp. 0.38% 11/02/16 12,800,000 12,799,732
(y)++Novartis Finance Corp. 0.46% 12/02/16 55,000,000 54,977,693
(y)++Novartis Finance Corp. 0.49% 12/16/16 20,000,000 19,987,401
(y)++NRW.Bank 0.55% 11/03/16 200,000,000 199,990,883
(y)++NRW.Bank 0.57% 11/09/16 100,000,000 99,985,850
(y)++NRW.Bank 0.59% 11/15/16 200,000,000 199,951,250
(y)++NRW.Bank 0.64% 12/02/16 100,000,000 99,943,200
(y)Oesterreich Kontrollbank 0.39% 11/07/16 122,000,000 121,990,749
(y)Oesterreich Kontrollbank 0.41% 11/15/16 100,000,000 99,982,917
(y)PACCAR Financial Corp. 0.52% 12/16/16 15,100,000 15,089,909
(y)++PepsiCo, Inc. 0.38% 11/10/16 50,000,000 49,994,792
(y)++Pfizer, Inc. 0.42% 12/05/16 100,000,000 99,959,458
(y)++Pfizer, Inc. 0.61% 01/26/17 36,779,000 36,725,048
(y)++Pfizer, Inc. 0.66% 02/17/17 50,000,000 49,900,386
(y)++Procter & Gamble Co. 0.42% 12/09/16 79,900,000 79,863,472
(y)Province of British Columbia 0.41% 12/02/16 20,200,000 20,192,584
(y)++Province of Quebec 0.39% 11/08/16 100,000,000 99,991,289
(y)++Province of Quebec 0.47% 12/02/16 100,000,000 99,957,956
(y)++Province of Quebec 0.48% 12/08/16 100,000,000 99,949,228
(y)++Province of Quebec 0.49% 12/16/16 125,000,000 124,921,258
(y)++Province of Quebec 0.51% 12/21/16 100,000,000 99,928,317
(y)++Province of Quebec 0.51% 12/22/16 125,000,000 124,908,098
(y)++PSP Capital, Inc. 0.40% 11/10/16 45,960,000 45,954,932
(y)++PSP Capital, Inc. 0.49% 12/14/16 50,000,000 49,970,117
(y)++PSP Capital, Inc. 0.50% 12/19/16 50,000,000 49,965,904
(y)++PSP Capital, Inc. 0.66% 01/26/17 25,000,000 24,960,367
(y)++Qualcomm, Inc. 0.40% 11/09/16 78,000,000 77,992,298
(y)++Qualcomm, Inc. 0.42% 11/17/16 35,000,000 34,993,108
(y)++Qualcomm, Inc. 0.43% 11/22/16 22,000,000 21,994,165
(y)++Qualcomm, Inc. 0.48% 12/06/16 38,500,000 38,481,597
(y)Queensland Treasury Corp. 0.50% 12/09/16 100,000,000 99,945,508
(y)Queensland Treasury Corp. 0.54% 12/21/16 100,000,000 99,923,642
(y)++Roche Holdings, Inc. 0.38% 11/01/16 50,000,000 49,999,479
(y)++Roche Holdings, Inc. 0.38% 11/03/16 25,000,000 24,999,208
(y)++Roche Holdings, Inc. 0.38% 11/04/16 25,000,000 24,998,939
(y)++Roche Holdings, Inc. 0.48% 12/07/16 30,000,000 29,985,231
(y)++Roche Holdings, Inc. 0.48% 12/09/16 50,000,000 49,973,892
(y)++Sanofi-Aventis 0.37% 11/14/16 100,000,000 99,985,806
(y)++Sanofi-Aventis 0.46% 12/22/16 10,320,000 10,313,173
(y)++Siemens Capital Co. LLC 0.41% 11/15/16 275,000,000 274,953,021
(y)++Simon Property GRP, LP 0.51% 12/06/16 31,500,000 31,483,998
(y)++Svenska Handelsbank, Inc. 0.40% 11/02/16 100,000,000 99,997,789
(y)++Svenska Handelsbank, Inc. 0.55% 12/09/16 100,000,000 99,940,850
See Notes to Financial Statements.
--------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
October 31, 2016
--------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- -------------- --------------
COMMERCIAL PAPER - 50.6% (CONTINUED)
(y)++Svenska Handelsbank, Inc. 0.59% 12/21/16 100,000,000 99,915,850
(y)++Svenska Handelsbank, Inc. 0.74% 01/18/17 71,750,000 71,634,431
(y)Swedbank 0.31% 11/02/16 200,000,000 199,996,599
(y)Swedbank 0.31% 11/04/16 100,000,000 99,996,522
(y)Swedbank 0.43% 12/08/16 100,000,000 99,954,928
(y)Swedbank 0.76% 02/22/17 44,000,000 43,894,943
(y)++Total Capital Canada, Ltd. 0.42% 11/18/16 14,700,000 14,696,913
(y)++Total Capital Canada, Ltd. 0.49% 12/14/16 70,000,000 69,958,163
(y)++Total Capital Canada, Ltd. 0.49% 12/16/16 25,000,000 24,984,252
(y)++Total Capital Canada, Ltd. 0.50% 12/19/16 220,430,000 220,279,683
(y)++Total Capital Canada, Ltd. 0.56% 01/06/17 49,650,000 49,597,976
(y)++Total Capital Canada, Ltd. 0.59% 01/12/17 200,000,000 199,760,316
(y)Toyota Motor Credit Corp. 0.29% 11/07/16 50,000,000 49,997,152
(y)Toyota Motor Credit Corp. 0.47% 12/14/16 100,000,000 99,943,167
(y)Toyota Motor Credit Corp. 0.52% 12/21/16 100,000,000 99,926,617
(y)Toyota Motor Credit Corp. 0.71% 01/24/17 75,000,000 74,874,802
(y)Toyota Motor Credit Corp. 0.72% 01/26/17 100,000,000 99,826,967
(y)++United Overseas Bank 0.49% 11/08/16 100,000,000 99,989,222
(y)++Wal-Mart Stores, Inc. 0.33% 11/07/16 40,000,000 39,997,433
(y)++Westpac Banking Corp. 0.45% 11/16/16 82,300,000 82,283,394
-------------- --------------
TOTAL COMMERCIAL PAPER (Cost $10,885,339,379) 10,892,416,000 10,886,867,522
-------------- --------------
YANKEE CERTIFICATES OF DEPOSIT - 14.7%
(r)Bank of Montreal 1.18% 02/24/17 100,000,000 100,124,700
(r)Bank of Montreal 1.14% 05/02/17 25,000,000 25,024,000
(r)Bank of Montreal 1.19% 05/09/17 120,000,000 120,126,720
(r)Bank of Montreal 1.23% 06/07/17 40,000,000 40,041,280
(r)Bank of Montreal 1.33% 07/25/17 100,000,000 100,137,500
(r)Bank of Nova Scotia 1.05% 03/03/17 100,000,000 100,067,700
(r)Bank of Nova Scotia 1.27% 04/12/17 125,000,000 125,176,249
(r)Bank of Nova Scotia 1.24% 06/09/17 90,000,000 90,098,730
(r)Bank of Nova Scotia 1.33% 07/20/17 100,000,000 100,138,500
(r)Bank of Nova Scotia 1.28% 09/27/17 100,000,000 100,075,800
(r)Bank of Nova Scotia 1.29% 10/06/17 50,000,000 50,034,000
(r)Canadian Imp BK Comm NY 0.94% 12/27/16 50,000,000 50,026,100
(r)Canadian Imp BK Comm NY 0.97% 01/23/17 100,000,000 100,063,000
(r)Canadian Imp BK Comm NY 1.19% 05/23/17 9,150,000 9,158,052
(r)Nordea Bank Finland NY 1.04% 04/13/17 50,000,000 50,015,800
(r)Nordea Bank Finland NY 1.23% 05/26/17 100,000,000 100,104,600
(r)Nordea Bank Finland NY 1.23% 06/07/17 100,000,000 100,103,200
(r)Nordea Bank Finland NY 1.25% 06/13/17 20,000,000 20,020,760
(r)Nordea Bank Finland NY 1.27% 08/18/17 75,000,000 75,097,950
(r)Rabobank Nederland NY 1.05% 05/22/17 50,000,000 50,012,650
(r)Rabobank Nederland NY 1.03% 06/13/17 50,000,000 49,999,550
(r)Rabobank Nederland NY 1.30% 08/16/17 50,000,000 50,105,800
(r)Rabobank Nederland NY 1.32% 09/18/17 50,000,000 50,086,100
(r)Royal Bank of Canada NY 0.97% 12/02/16 50,000,000 50,020,700
(r)Royal Bank of Canada NY 1.12% 12/16/16 100,000,000 100,071,700
(r)Royal Bank of Canada NY 1.04% 03/28/17 100,000,000 100,062,800
(r)Royal Bank of Canada NY 1.10% 06/29/17 75,000,000 74,989,425
(r)Royal Bank of Canada NY 1.34% 07/28/17 100,000,000 100,137,900
(r)Royal Bank of Canada NY 1.27% 10/05/17 100,000,000 100,048,600
(r)Svenska Handelsbanken NY 1.11% 02/17/17 100,000,000 100,097,700
(r)Svenska Handelsbanken NY 1.25% 08/01/17 100,000,000 100,074,000
Swedbank 0.41% 11/03/16 50,000,000 50,000,417
(r)Toronto Dominion Bank NY 0.80% 11/04/16 50,000,000 50,002,250
(r)Toronto Dominion Bank NY 1.19% 03/02/17 100,000,000 100,125,200
(r)Toronto Dominion Bank NY 1.04% 03/28/17 50,000,000 50,032,000
(r)Toronto Dominion Bank NY 1.21% 04/06/17 95,000,000 95,121,600
(r)Toronto Dominion Bank NY 1.22% 05/23/17 70,000,000 70,073,430
(r)Toronto Dominion Bank NY 1.32% 07/12/17 100,000,000 100,137,800
(r)Toronto Dominion Bank NY 1.31% 08/22/17 65,000,000 65,104,910
(r)Westpac Banking Corp. 1.00% 12/28/16 50,000,000 50,031,850
See Notes to Financial Statements.
--------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
October 31, 2016
--------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- -------------
YANKEE CERTIFICATES OF DEPOSIT - 14.7%
(CONTINUED)
(r)Westpac Banking Corp. 1.15% 02/06/17 72,500,000 72,593,743
(r)Westpac Banking Corp. 1.05% 03/20/17 76,000,000 76,048,944
------------- -------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost $3,157,692,640) 3,157,650,000 3,160,613,710
------------- -------------
U.S. GOVERNMENT AGENCY SECURITIES - 14.8%
(y)Federal Home Loan Bank 0.11% 11/02/16 150,000,000 149,999,100
(y)Federal Home Loan Bank 0.13% 11/03/16 100,000,000 99,998,900
(y)Federal Home Loan Bank 0.15% 11/04/16 104,000,000 103,998,232
(y)Federal Home Loan Bank 0.17% 11/07/16 100,000,000 99,996,700
(y)Federal Home Loan Bank 0.18% 11/08/16 50,000,000 49,998,050
(y)Federal Home Loan Bank 0.18% 11/09/16 100,000,000 99,995,600
(y)Federal Home Loan Bank 0.18% 11/10/16 100,000,000 99,995,000
(y)Federal Home Loan Bank 0.19% 11/14/16 100,000,000 99,992,800
(y)Federal Home Loan Bank 0.19% 11/16/16 100,000,000 99,991,700
(y)Federal Home Loan Bank 0.19% 11/18/16 150,000,000 149,985,900
(y)Federal Home Loan Bank 0.19% 11/22/16 125,000,000 124,985,375
(y)Federal Home Loan Bank 0.19% 11/23/16 100,000,000 99,987,800
(y)Federal Home Loan Bank 0.19% 11/25/16 100,000,000 99,986,700
(y)Federal Home Loan Bank 0.19% 11/30/16 50,000,000 49,991,950
(y)Federal Home Loan Bank 0.20% 12/02/16 100,000,000 99,981,900
(y)Federal Home Loan Bank 0.20% 12/07/16 100,000,000 99,979,000
(y)Federal Home Loan Bank 0.20% 12/09/16 100,000,000 99,977,800
(y)Federal Home Loan Bank 0.20% 12/12/16 50,000,000 49,988,050
(y)Federal Home Loan Bank 0.21% 12/14/16 42,000,000 41,989,458
(y)Federal Home Loan Bank 0.21% 12/15/16 100,000,000 99,974,300
(y)Federal Home Loan Bank 0.21% 12/16/16 100,000,000 99,973,700
(y)Federal Home Loan Bank 0.21% 12/21/16 100,000,000 99,970,800
(y)Federal Home Loan Bank 0.21% 12/23/16 50,000,000 49,984,850
(y)Federal Home Loan Bank 0.21% 12/28/16 100,000,000 99,966,700
(y)Federal Home Loan Bank 0.32% 01/04/17 100,000,000 99,943,100
(y)Federal Home Loan Bank 0.32% 01/05/17 100,000,000 99,942,200
(y)Federal Home Loan Bank 0.32% 01/06/17 100,000,000 99,941,300
(y)Federal Home Loan Bank 0.32% 01/11/17 100,000,000 99,936,900
(y)Federal Home Loan Bank 0.32% 01/13/17 100,000,000 99,935,100
(y)Federal Home Loan Bank 0.32% 01/18/17 100,000,000 99,930,700
(y)Federal Home Loan Bank 0.32% 01/20/17 100,000,000 99,928,900
(y)Federal Home Loan Bank 0.32% 01/25/17 100,000,000 99,924,400
(y)Federal Home Loan Bank 0.32% 01/27/17 75,000,000 74,942,025
(y)Federal Home Loan Mortgage Corp. 0.18% 11/08/16 50,000,000 49,998,050
------------- -------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $3,194,890,921) 3,196,000,000 3,195,113,040
------------- -------------
REPURCHASE AGREEMENTS - 12.7%
Bank of America Corp. (Purchased on 10/31/2016, Proceeds at maturity
$150,001,292, collateralized by U.S. Treasury Securities, 0.13% - 2.25%,
1/15/2023 - 11/15/2024, market value $153,000,093) 0.31% 11/01/16 150,000,000 150,000,000
Barclays Capital Inc. (Purchased on 10/31/2016, Proceeds at maturity
$800,007,111, collateralized by U.S. Treasury Securities, 0.00% - 7.63%,
2/2/2017 - 8/15/2023, market value $816,000,023) 0.32% 11/01/16 800,000,000 800,000,000
Goldman Sachs & Co. (Purchased on 10/31/2016, Proceeds at maturity
$200,001,778, collateralized by U.S. Government Agency Backed Securities,
3.00% - 4.50%, 9/20/2040 - 10/20/2046, market value $204,000,001) 0.32% 11/01/16 200,000,000 200,000,000
HSBC Securities (USA), Inc. (Purchased on 10/31/2016, Proceeds at maturity
$200,001,556, collateralized by U.S. Treasury Securities, 0.63%, 1/15/2026,
market value $204,001,511) 0.28% 11/01/16 200,000,000 200,000,000
JPMorgan Securities (Purchased on 10/31/2016, Proceeds at maturity
$400,003,556, collateralized by U.S. Government Agency Backed Securities,
0.00% - 4.60%, 11/10/2016 - 7/15/2026, market value $408,002,347) 0.32% 11/01/16 400,000,000 400,000,000
See Notes to Financial Statements.
--------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (concluded)
October 31, 2016
--------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ---------------
REPURCHASE AGREEMENTS - 12.7% (CONTINUED)
Mizuho Securities USA, Inc. (Purchased on 10/31/2016, Proceeds at maturity
$250,002,361, collateralized by U.S. Treasury Securities, 0.00% - 0.88%,
2/9/2017 - 7/31/2019, market value $255,000,016) 0.34% 11/01/16 250,000,000 250,000,000
RBC Capital Markets (Purchased on 10/31/2016, Proceeds at maturity
$125,001,007, collateralized by U.S. Treasury Securities, 0.00% - 8.75%,
4/27/2017 - 5/15/2025, market value $127,500,095) 0.29% 11/01/16 125,000,000 125,000,000
Toronto Dominion (USA) LLC (Purchased on 10/31/2016, Proceeds at maturity
$600,005,333, collateralized by U.S. Government Agency Backed Securities,
0.00% - 5.50%, 11/1/2016 - 9/24/2026, market value $612,000,028) 0.32% 11/01/16 600,000,000 600,000,000
------------- ---------------
TOTAL REPURCHASE AGREEMENTS (Cost $2,725,000,000) 2,725,000,000 2,725,000,000
------------- ---------------
U.S. TREASURY OBLIGATIONS - 5.3%
(y)U.S. Treasury Bill 0.17% 11/17/16 100,000,000 99,992,100
(y)U.S. Treasury Bill 0.16% 12/01/16 100,000,000 99,985,900
(y)U.S. Treasury Bill 0.23% 12/22/16 100,000,000 99,966,800
(y)U.S. Treasury Bill 0.34% 02/02/17 100,000,000 99,910,600
(y)U.S. Treasury Bill 0.33% 02/16/17 100,000,000 99,902,200
(y)U.S. Treasury Bill 0.33% 02/23/17 100,000,000 99,894,900
(y)U.S. Treasury Bill 0.35% 03/02/17 100,000,000 99,881,900
(y)U.S. Treasury Bill 0.36% 03/09/17 100,000,000 99,871,800
(y)U.S. Treasury Bill 0.37% 03/16/17 100,000,000 99,860,100
(y)U.S. Treasury Bill 0.45% 04/13/17 100,000,000 99,796,600
(y)U.S. Treasury Bill 0.47% 04/20/17 150,000,000 149,669,250
------------- ---------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,148,537,540) 1,150,000,000 1,148,732,150
------------- ---------------
TOTAL INVESTMENTS (Cost $21,529,850,636) - 100.0% $21,534,742,243
===============
AB--Aktiebolag (Swedish Stock Company)
LLC--Limited Liability Co.
LP--Limited Partnership
NY--New York Shares
++ Rule 144A, Section 4(2), or other security which is restricted as to resale
to institutional investors. The Fund's Advisor has deemed this security to
be liquid based upon procedures approved by the Board of
Directors/Trustees. The aggregate value of these securities at October 31,
2016 was $8,238,132,085 which represented 38.3% of the total investments of
the Fund.
(r) The adjustable/variable rate shown is effective as of October 31, 2016.
(y) The rate shown is the effective yield.
Summary of inputs used to value the Fund's investments as of October 31, 2016
is as follows (See Security Valuation Note):
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS INVESTMENTS INVESTMENTS
IN IN IN
SECURITIES SECURITIES SECURITIES
----------- --------------- -----------
THE DFA SHORT TERM INVESTMENT FUND
Corporate Bonds $ -- $ 257,040,631 $ --
Yankee Bonds -- 161,375,190 --
Commercial Paper -- 10,886,867,522 --
Yankee Certificates of Deposit -- 3,160,613,710 --
U.S. Government Agency Securities -- 3,195,113,040 --
Repurchase Agreements -- 2,725,000,000 --
U.S. Treasury Obligations -- 1,148,732,150 --
--------- --------------- ---------
Total Investments $ -- $21,534,742,243 $ --
========= =============== =========
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
ASSETS:
Investments, at value $18,809,742,243
Repurchase agreements, at value 2,725,000,000
---------------
Total Investments 21,534,742,243
---------------
Cash 904,969,341
Interest receivable 5,484,642
---------------
Total Assets 22,445,196,226
---------------
LIABILITIES:
Distributions payable 10,782,427
Accrued expenses and other payables:
Investment Management Fees 993,347
Director/Trustee Fees 398,710
Administration and Transfer Agent Fees 25,468
Professional Fees 49,953
CCO Fees 2,011
Other Expenses 130,791
---------------
Total Liabilities 12,382,707
---------------
Net Assets $22,432,813,519
===============
NET ASSETS CONSIST OF:
Capital $22,427,938,361
Accumulated Net Investment Loss (35,863)
Accumulated Net Realized Gains from Investment Transactions 19,414
Net Unrealized Appreciation on Investments 4,891,607
---------------
NET ASSETS $22,432,813,519
===============
Shares of Beneficial Interest (Unlimited Number of Shares Authorized, No Par value) 1,938,477,270
===============
Net Asset Value (Offering and Redemption Price Per Share) 11.5723/(a)/
===============
Investments at cost $21,529,850,636
/(a)/ Per share amounts may not recalculate due to rounding of net assets and
shares outstanding.
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF OPERATIONS
OCTOBER 31, 2016
INVESTMENT INCOME:
Interest $102,443,454
------------
Total Investment Income 102,443,454
------------
EXPENSES:
Investment Management Fees 11,078,951
Administration and Transfer Agent Fees 1,550,349
Professional Fees 217,584
Director/Trustee Fees 96,287
CCO Fees 24,645
Other Expenses 548,325
------------
Total Expenses Before Fee Reductions 13,516,141
------------
Fees Paid Indirectly (1,475,925)
------------
Net Expenses 12,040,216
------------
Net Investment Income 90,403,238
------------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS
Net Realized Gains from Investment Transactions 22,440
Net Change in Unrealized Appreciation on Investments 4,830,003
------------
Net Realized and Unrealized Gains from Investments 4,852,443
------------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS $ 95,255,681
============
THE DFA SHORT TERM INVESTMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 2016 OCTOBER 31, 2015
------------------ ------------------
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net Investment Income $ 90,403,238 $ 26,553,100
Net Realized Gains from Investment Transactions 22,440 112,826
Net Change in Unrealized Appreciation on Investments 4,830,003 135,213
----------------- -----------------
Change in net assets resulting from operations 95,255,681 26,801,139
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (90,469,339) (26,578,328)
Net Realized Gain (116,140) (271,610)
----------------- -----------------
Change in Net Assets from Distributions to Shareholders (90,585,479) (26,849,938)
----------------- -----------------
CAPITAL TRANSACTIONS:
Proceeds from Shares Issued 101,244,735,044 101,728,152,398
Dividends Reinvested 623 1,618
Cost of Shares Redeemed (102,047,247,025) (102,841,116,699)
----------------- -----------------
Change in Net Assets from Capital Transactions (802,511,358) (1,112,962,683)
----------------- -----------------
Change in Net Assets (797,841,156) (1,113,011,482)
NET ASSETS:
Beginning of Period 23,230,654,675 24,343,666,157
----------------- -----------------
End of Period $ 22,432,813,519 $ 23,230,654,675
================= =================
Accumulated Net Investment Income (Loss) $ (35,863) $ 30,238
================= =================
SHARES TRANSACTIONS:
Shares Issued 8,750,547,594 8,792,407,295
Reinvested 54 140
Shares Redeemed (8,819,887,986) (8,888,601,270)
----------------- -----------------
Change in Shares (69,340,338) (96,193,835)
================= =================
THE DFA SHORT TERM INVESTMENT FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2016/(a)/ OCTOBER 31, 2015 OCTOBER 31, 2014 OCTOBER 31, 2013 OCTOBER 31, 2012 +
-------------------- ---------------- ---------------- ---------------- ------------------
NET ASSET VALUE,
BEGINNING OF PERIOD $ 11.5700 $ 11.57 $ 11.57 $ 11.57 $ 11.57
----------- ----------- ----------- ----------- -----------
INVESTMENT ACTIVITIES:
Net Investment Income 0.0472 0.01 0.01 0.01 0.02
Net Realized and
Unrealized Gains on
Investments 0.0024 -- /(b)/ -- /(b)/ -- /(b)/ -- /(b)/
----------- ----------- ----------- ----------- -----------
Total from Investment
Activities 0.0496 0.01 0.01 0.01 0.02
----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income (0.0472) (0.01) (0.01) (0.01) (0.02)
Net Realized Gains (0.0001) -- /(b)/ -- /(b)/ -- /(b)/ -- /(b)/
----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS (0.0473) (0.01) (0.01) (0.01) (0.02)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of
Period $ 11.5723 $ 11.57 $ 11.57 $ 11.57 $ 11.57
=========== =========== =========== =========== ===========
Total Return 0.43% 0.11% 0.08% 0.13% 0.21%
SUPPLEMENTAL DATA:
NET ASSETS, END OF PERIOD
(000'S) $22,432,814 $23,230,655 $24,343,666 $19,492,456 $14,443,787
Ratios to Average Net
Assets:
Net Investment Income 0.41% 0.11% 0.08% 0.12% 0.21%
Gross Expenses 0.06% 0.06% 0.06% 0.06% 0.06%
Net Expenses/(c)/ 0.05% 0.06% 0.06% 0.06% 0.06%
+ As described in Note H, amounts have been adjusted for a 1-for-11.57
reverse share split that occurred on May 7, 2012
(a) As a result of the SEC's rules on money market reform, the financial
highlight values are now presented to 4 digits beginning in 2016.
(b) Amount less than $0.005.
(c) Ratio as disclosed reflects the impact of custody fee credits earned by the
fund on cash balances.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements
October 31, 2016
A. ORGANIZATION
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940 (the
"1940 Act"). The Trust consists of eleven series one of which, The DFA Short
Term Investment Fund (the "Fund"), is included in this report. The remaining
series are presented in separate reports. The Fund 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 investment objective of the Fund is to seek to provide a high level of
current income consistent with liquidity and the preservation of capital. As a
money market fund, the Fund will pursue its investment objective by investing
in U.S. dollar-denominated short-term debt securities that meet the strict
standards established by the Board of Trustees of the Trust (the "Board"),
which are in accordance with Rule 2a-7 under the 1940 Act.
The Board is responsible for establishing the Trust's policies and for
overseeing the management of the Trust. Under the Trust's organizational
documents, its officers and trustees are indemnified against certain
liabilities arising out of the performance of their duties to the Trust. In the
normal course of business, the Trust enters into contracts that contain a
variety of representations and warranties that provide general indemnification.
The Trust's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Trust and/or its affiliates
that have not yet occurred. However, based on prior experience, the Trust
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America ("U.S. GAAP").
Such policies are consistently followed by the Trust in preparation of its
financial statements. The preparation of financial statements in accordance
with U.S. GAAP requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates
and those differences could be material.
1. SECURITY VALUATION - The Fund utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
.. Level 1 - inputs are quoted prices in active markets for identical
securities
.. Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit
risk, etc.)
.. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The securities held by the Fund are valued at market value or fair value in
accordance with procedures adopted by the Board. Debt securities are valued on
the basis of evaluated prices provided by one or more pricing services or other
reasonably reliable sources including broker/dealers that typically handle the
purchase and sale of such securities.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board. These valuations are generally categorized as Level 2 in the
hierarchy.
Changes in valuation techniques may result in transfers in or out of an
assigned level within the disclosure hierarchy. The Fund determines transfers
between fair value hierarchy levels at the reporting period end. During the
year ended October 31, 2016, only securities classified as Level 2 in the fair
value hierarchy were held by the Fund.
A summary of the inputs used to value the Fund's investments is disclosed
previously in this Note. A valuation hierarchy table has been provided below.
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
October 31, 2016
For the year ended October 31, 2016, there were no transfers between Level 1
and Level 2, and no Level 3 investments were held by the Fund.
When determining the fair value of the Fund's investments, additional
consideration is given to those assets or liabilities that have experienced a
decrease in the volume or level of activity or have identified circumstances
that indicate that a transaction is not orderly.
The following table provides the fair value measurements of the Fund's
investments by level within the fair value hierarchy as of October 31, 2016:
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS INVESTMENTS INVESTMENTS
IN SECURITIES IN SECURITIES IN SECURITIES
THE DFA SHORT TERM INVESTMENT FUND ------------- --------------- -------------
Corporate Bonds $ -- $ 257,040,631 $ --
Yankee Bonds -- 161,375,190 --
Commercial Paper -- 10,886,867,522 --
Yankee Certificates of Deposit -- 3,160,613,710 --
U.S. Government Agency Securities -- 3,195,113,040 --
Repurchase Agreements -- 2,725,000,000 --
U.S. Treasury Obligations -- 1,148,732,150 --
--------- --------------- ---------
Total Investments $ -- $21,534,742,243 $ --
========= =============== =========
2. DEFERRED COMPENSATION PLAN - Each eligible trustee (each a "Trustee" and
collectively, the "Trustees") of the Trust may elect to participate in The Fee
Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the
Plan effective January 1, 2002, such Trustees may defer payment of all or a
portion of their total fees earned as a Trustee. These deferred amounts may be
treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core
Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in
Director/Trustee' Fees.
Each Trustee has the option to receive his/her distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Trustee's
deferred compensation until a date specified by such Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Trustee ceases to be a member of the
Board; and (ii) five years following the effective date of the Trustee's first
deferral election. If a Trustee who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Trustee's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Trustee ceases to be a
member of the Board (unless the Trustee files an amended Notice selecting a
different distribution date). As of October 31, 2016, none of the Trustees have
requested or received a distribution of proceeds of a deferred fee account.
At October 31, 2016, the Fund's total liability of $396,456 for deferred
compensation to Trustees is included in "Director/Trustee Fees" payable on the
Statement of Assets and Liabilities.
3. SECURITY TRANSACTIONS AND RELATED INCOME - Security transactions are
accounted for on trade date. Costs used in determining realized gains and
losses on the sale of investment securities are on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The Fund generally declares distributions from net investment
income on a daily basis and pays dividends monthly. Any capital gains are
distributed at least annually. The Fund does not expect to realize any
long-term capital gains and losses. Interest income is recognized on an accrual
basis and includes amortization or accretion of a premia or discount using the
straight-line method. Costs used in determining net realized gains and losses
on the sales of investment securities are those of the specific securities
sold, adjusted for the accretion or amortization of purchase discounts or
premia during the respective holding period.
4. ALLOCATIONS - The Trust bears all of its own fees, expenses, charges,
assessments, taxes, and other costs incurred in its operations, whether
incurred directly by the Trust or by Dimensional Fund Advisors LP, the Fund's
investment adviser
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
October 31, 2016
(the "Advisor"), on its behalf. Expenses directly attributable to the Fund are
charged to the Fund. Expenses not directly attributable to the Fund are
allocated among the respective portfolios in the Trust on the basis of their
relative net assets.
C. FEDERAL INCOME TAXES
The Fund is classified as a regulated investment company for tax purposes. As a
regulated investment company, the Fund generally pays no U.S. federal income
tax on the income and gains that the Fund distributes to shareholders.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S federal income tax regulation, which may
differ from those amounts determined under U.S. GAAP. These book/tax
differences are either temporary (e.g., wash sale losses) or permanent (e.g.,
reclassification of certain gain/loss and distributions) in nature. To the
extent these differences are permanent, they are charged or credited to paid-in
capital, undistributed net investment income or accumulated net realized gains,
as appropriate, in the period that the differences arise. There were no
permanent differences as of October 31, 2016 attributable to distribution
redesignations.
As of October 31, 2016, the tax cost of securities and the breakdown of
unrealized appreciation and depreciation of securities for federal income tax
purposes are as follows:
Net
Unrealized
Tax Cost of Unrealized Unrealized Appreciation /
Securities Appreciation Depreciation (Depreciation)
--------------- ------------ ------------ --------------
The DFA Short Term Investment Fund $21,530,343,089 $4,491,044 $(91,890) $4,399,154
The difference between book-basis and tax-basis unrealized
appreciation/depreciation is attributable to the amortization of organizational
costs and deferred compensation.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold for
financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return.
For all open tax years and all major taxing jurisdictions, management of the
Fund has concluded that there are no significant uncertain tax positions that
would require recognition in the Fund's financial statements. The Fund is not
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each of the Fund's federal tax returns for the prior three
fiscal years remains subject to examination by the Internal Revenue Service.
The tax character of distributions paid to shareholders during the years ended
October 31, 2016 and October 31, 2015 were as follows:
Distributions Paid From
------------------------------------------
Total
Net Investment Net Long-Term Distributions
Income Capital Gains Paid
-------------- ------------- -------------
The DFA Short Term Investment Fund
2016 $82,921,419 $2,002 $82,923,422
2015 25,237,522 -- 25,237,522
As of October 31, 2016, the components of distributable earnings (accumulated
losses) on a tax basis were as follows:
Undistributed
-------------------------------
Long- Total
Term Accumulated Unrealized Accumulated
Ordinary Capital Accumulated Distributions Capital and Appreciation Earnings
Income Gains Earnings Payable Other Losses (Depreciation) (Deficit)
----------- ------- ----------- ------------- ------------ -------------- -----------
The DFA Short Term Investment Fund $11,257,446 $985 $11,258,431 $(10,782,427) $ -- $4,399,154 $4,875,158
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
October 31, 2016
D. FINANCIAL INSTRUMENTS
REPURCHASE AGREEMENTS - The Fund may engage in repurchase agreement
transactions with institutions that the Advisor has determined are
creditworthy. The Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral for certain
tri-party repurchase agreements is held at the counterparty's custodian in a
segregated account for the benefit of the Fund and the counterparty. The
counterparty will be required to maintain collateral with a value at least
equal, at all times, to the value of the repurchase obligation including
interest. A repurchase agreement transaction involves certain risks in the
event of default or insolvency of the counterparty. These risks include
possible delay or restrictions upon the Fund's ability to dispose of the
underlying securities and a possible decline in the value of the underlying
securities during the period while the Fund seeks to assert its rights.
Repurchase agreements ("RA") permit the Fund, under certain circumstances
including an event of default (such as bankruptcy or insolvency), to offset
payables and/or receivables under the RA with collateral held and/or posted to
the counterparty and create one single net payment due to or from the Fund.
However, bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against such a right of offset in the event of
the RA counterparty's bankruptcy or insolvency. Pursuant to the terms of the
RA, the Fund receives securities as collateral with a market value in excess of
the repurchase price to be received by the Fund upon the maturity of the
repurchase transaction. Upon a bankruptcy or insolvency of the RA counterparty,
the Fund would recognize a liability with respect to such excess collateral to
reflect the Fund's obligation under bankruptcy law to return the excess to the
counterparty.
E. RELATED PARTY TRANSACTIONS
INVESTMENT MANAGER - Dimensional Fund Advisors LP (the "Advisor" or "DFA")
serves as investment advisor to the Fund. Pursuant to an investment management
agreement with the Trust with respect to the Fund (the "Investment Management
Agreement"), the Advisor manages the investment and reinvestment of the Fund's
assets. DFA has served as the Fund's investment advisor since the Fund's
commencement of operations. Pursuant to the terms of the Investment Management
Agreement, the Advisor receives a management fee calculated daily and payable
monthly from the Fund at an annual rate of 0.05% of the average daily net
assets.
FEES PAID TO OFFICERS AND TRUSTEES - Certain Officers and Directors of the
Advisor are also Officers and Trustees of the Trust; however, such Officers and
Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive
no compensation from the Trust. Amounts paid to the Trust's CCO are reflected
on the Statement of Operations as "CCO fees".
ADMINISTRATOR AND CUSTODIAN - Citi Fund Services Ohio, Inc. serves as the
Administrator, and Citibank, N.A. serves as the Custodian of the Fund. Pursuant
to the terms of the Master Services Agreement, the Administrator receives a fee
payable monthly from the Fund at an annual rate of 0.0065% of the average daily
net assets.
Expense offsets to custody fees that arise from credits on cash balances
maintained on deposit are reflected on the Statement of Operations, as
applicable, as "Fees paid indirectly." Custody fees are reported gross of such
credits.
At October 31, 2016, the following number of shareholders held the approximate
percentage of the stated Portfolio's outstanding shares.
Number of Approximate Percentage
Shareholders of Outstanding Shares
------------ ----------------------
The DFA Short Term Investment Fund 6 45%
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
October 31, 2016
F. INTEREST RATE AND CREDIT RISKS
The Fund invests primarily in money market instruments maturing in 397 days or
less and which are considered Eligible Securities (as defined in Rule 2a-7
under the 1940 Act). The ability of the issuers of the securities held by the
Fund to meet their obligations may be affected by economic developments in a
specific industry, state or region.
The Fund is subject to the risk that the Advisor's security selection and
expectations regarding interest rate trends will cause the yields of the Fund
to lag the performance of other mutual funds with similar investment objectives
or the performance of short-term debt instruments. The emphasis of the Fund on
quality and liquidity also could cause the Fund to underperform when compared
to other money market funds, particularly those that take greater maturity and
credit risks.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM
The Fund, together with other Dimensional-advised portfolios, has entered into
a $500 million unsecured line of credit with its custodian bank effective
January 8, 2016. A line of credit with similar terms was in effect through
January 7, 2016. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $500 million, as long as total
borrowings under the line of credit do not exceed $500 million in the
aggregate. Each portfolio is individually, and not jointly, liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused portion of the line of
credit. The agreement for the line of credit expires on January 7, 2017. There
were no borrowings by the Fund under this line of credit during the year ended
October 31, 2016.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Fund may
participate in an interfund lending program among certain portfolios managed by
the Advisor (portfolios that operate as feeder funds do not participate in the
program). The program allows the participating portfolios to borrow money from
and loan money to each other for temporary or emergency purposes, subject to
the conditions in the Order. A loan can only be made through the program if the
interfund loan rate on that day is more favorable to both the borrowing and
lending portfolios as compared to rates available through short-term bank loans
or investments in overnight repurchase agreements and money market funds,
respectively, as detailed in the Order. Further, a portfolio may participate in
the program only if and to the extent that such participation is consistent
with its investment objective 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. REVERSE SHARE SPLIT
On May 7, 2012, upon approval of the Board and consent of the shareholders, the
Fund no longer sought to maintain a stable net asset value of $1.00 per share
and, instead, adopted a floating net asset value per share. To accomplish the
change from a stable net asset value fund to a floating net asset value fund,
on May 7, 2012, the Fund underwent a 1-for-11.57 reverse share split. The
effect of the reverse share split transaction was to divide the number of
outstanding shares of the Fund by the reverse split factor, with a
corresponding increase in the net asset value per share. This transaction did
not change the net assets of the Fund or the value of a shareholder's
investment. The historical share transactions presented in the Statements of
Changes in Net Assets and per share data presented in the Financial Highlights
have been adjusted retroactively to show the effect of the reverse share split.
Additionally, when the application of the reverse share split results in
fractional shares for beneficial shareholders, a portion of the cost of shares
redeemed, as presented in the Statements of Changes in Net Assets, will reflect
payments of fractional share balances on beneficial shareholder accounts.
I. MONEY MARKET REFORM
In July 2014 and September 2015, the Securities and Exchange Commission ("SEC")
issued final rules that alter and increase the regulations to which money
market funds, including the Fund, are subject. The SEC's new rules had varying
implementation dates, ranging from July 2015 to October 2016 and were intended
to give investors additional protection during rare periods of market stress,
when redemptions in some money market mutual funds may increase significantly.
The new rules replaced much of the current Rule 2a-7 and significantly
increased the data reporting requirements to the SEC. The new rules allowed
money market funds to suspend redemptions and allowed (and will, under certain
circumstances, require) money market funds to impose fees on redemptions in
times of market stress. Among other things, the new rules also
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
October 31, 2016
removed references to credit ratings of securities held by a money market fund,
adopted a uniform standard to define an "eligible security" as a security that
has been determined to present minimal credit risk, and require that money
market funds engage in ongoing monitoring of their portfolio securities and
perform portfolio stress testing for credit deterioration and changes in
interest rates rather than for a ratings downgrade. Effective October 3, 2016,
the Fund has been operating in compliance with all aspects of the amendments
applicable to it. The SEC's compliance deadline was October 14, 2016.
Certain government and U.S. Treasury money market funds are not be subject to
many of the new structural changes. Further information regarding the money
market mutual fund regulatory changes may be found at the SEC's website,
www.sec.gov.
J. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund
through the date these financials statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information
October 31, 2016 - (Unaudited)
OTHER FEDERAL TAX INFORMATION
For the year ended October 31, 2016, certain distributions paid by the Fund may
be subject to a maximum tax rate of 15% as provided by the Jobs and Growth
Relief Reconciliation Act of 2003. The Fund intends to designate the maximum
amount allowable as taxed at a maximum rate of 15%. Complete information will
be reported in conjunction with the 2016 Form 1099-DIV.
For the year ended October 31, 2016, the Fund designated the following amount
as a short term capital gain distribution in accordance with Sections 871
(k) (2) and 881 (a) of the Internal Revenue Code:
Amount
--------
The DFA Short Term Investment Fund $114,137
For the year ended October 31, 2016, the Fund designated the following amount
as a long term capital gain distribution in accordance with Sections 852(b)(3):
Amount
------
The DFA Short Term Investment Fund $2,002
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (continued)
October 31, 2016 - (Unaudited)
EXPENSE EXAMPLES
The following Expense Tables are shown so that you can understand the impact of
fees on your investment. All mutual funds have operating expenses. As a
shareholder of the Fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the Fund and
to compare these costs with those of other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of
the period and held for the entire period from May 1, 2016 to October 31, 2016.
Actual Expenses
---------------
The table below provides information about actual account values and actual
expenses. You may use the information below, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply divide
your account value by $1,000 (for example, an $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you
paid on your account during this period.
Annualized
Beginning Ending Expenses Paid Expense Ratio
Account Value Account Value During Period* During Period
5/1/16 10/31/16 5/1/16 - 10/31/16 5/1/16 - 10/31/16
------------- ------------- ----------------- -----------------
The DFA Short Term Investment Fund $1,000.00 $1,002.60 $0.25 0.05%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from May 1, 2016 to October 31, 2016 divided by the number of
days in the fiscal year.
Hypothetical Example for Comparison Purposes
--------------------------------------------
The table below provides information about hypothetical account values and
hypothetical expenses based on the Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not the Fund's actual
return. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare this 5% hypothetical example with the
5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
Annualized
Beginning Ending Expenses Paid Expense Ratio
Account Value Account Value During Period* During Period
5/1/16 10/31/16 5/1/16 - 10/31/16 5/1/16 - 10/31/16
------------- ------------- ----------------- -----------------
The DFA Short Term Investment Fund $1,000.00 $1,024.89 $0.25 0.05%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from May 1, 2016 to October 31, 2016 divided by the number of
days in the fiscal year.
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (continued)
October 31, 2016 - (Unaudited)
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use in
voting proxies relating to securities held in the portfolios is available
(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.
PORTFOLIO HOLDINGS INFORMATION
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the Trust or
the Fund, this would be for the fiscal quarters ending January 31 and July 31.
The Form N-Q filing must be made within 60 days of the end of the quarter. The
Trust filed its most recent Form N-Q with the SEC on October 3, 2016. The Forms
N-Q are available upon request, without charge, by calling collect: (512)
306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave
Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, DC (call 1-800-732-0330 for the information on
the operation of the Public Reference Room).
THE DFA SHORT TERM INVESTMENT FUND
October 31, 2016
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of The DFA Short Term Investment Fund:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The DFA Short Term Investment Fund
(one of the portfolios constituting The DFA Investment Trust Company, hereafter
referred to as the "Fund") 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 periods indicated, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities as of October 31, 2016 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
THE DFA SHORT TERM INVESTMENT FUND
Fund Management
October 31, 2016 - (Unaudited)
Trustees/Directors
Each Board Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of 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.
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
Shareholders if a vacancy occurs among Board members. A Qualifying Fund
Shareholder is a shareholder, or group of shareholders, that: (i) owns of
record, or beneficially through a financial intermediary, 5% or more of a
Fund's outstanding shares, and (ii) has owned such shares for 12 months or more
prior to submitting the recommendation to the Committee. Such recommendations
shall be directed to the Secretary of the Fund at 6300 Bee Cave Road, Building
One, Austin, Texas 78746. The Qualifying Fund Shareholder's letter should
include: (i) the name and address of the Qualifying Fund Shareholder making the
recommendation, (ii) the number of shares of each Portfolio of a Fund that are
owned of record and beneficially by such Qualifying Fund Shareholder, and the
length of time that such shares have been so owned by the Qualifying Fund
Shareholder; (iii) a description of all arrangements and understandings between
such Qualifying Fund Shareholder and many other person or persons (naming such
person or persons) pursuant to which the recommendation is being made; (iv) the
name and address of the nominee; and (v) the nominee's resume or curriculum
vitae. The Qualifying Fund Shareholder's letter must be accompanied by a
written consent of the individual to stand for election if nominated for the
Board and to serve if elected by shareholders. The Committee also may seek such
additional information about the nominee as the Committee considers
appropriate, including information relating to such nominee that is required to
be disclosed in solicitations or proxies for the election of Board members.
The Nominating Committee of the Board of each Fund believes that it is in the
best interests of each Fund and its shareholders to obtain highly-qualified
individuals to serve as members of the Board. Each Fund's Board believes that
each Director currently serving on the Board has the experience,
qualifications, attributes and skills to allow the Board to effectively oversee
the management of the Fund and protect the interests of the shareholders. Each
Board noted that each Director had professional experience in areas of
importance for investment companies. The Board considered that each
disinterested Director held an academic position in the areas of finance,
economics or accounting. The Board also noted that John P. Gould, Myron S.
Scholes, and Abbie J. Smith each had experience serving as a director on the
boards of operating companies and/or other investment companies. In addition,
the Board considered that David G. Booth and Eduardo A. Repetto contributed
valuable experience due to their positions with the Advisor. Certain
biographical information for each disinterested Director and each interested
Director of a Fund is set forth in the tables below, including a description of
each Director's experience as a Director of a Fund and as a director or trustee
of other funds, as well as other recent professional experience.
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
POSITION WITHIN THE
NAME, POSITION WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
----------------------------- ------------------- --------------------- ---------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
-------------------------------------------------------------------------------------------------------------------------
George M. Constantinides DFAIDG-Since 1983 122 portfolios in 4 Leo Melamed Professor of Finance,
Director of DFAIDG and DIG. DIG-Since 1993 investment companies University of Chicago Booth School of
Trustee of DFAITC and DEM. DFAITC-Since 1992 Business.
The University of Chicago DEM-Since 1993
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
-------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G.Rothmeier Professor and
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Distinguished Service Professor of
Trustee of DFAITC and DEM. DFAITC-Since 1992 Economics, University of Chicago Booth
The University of Chicago DEM-Since 1993 School of Business (since 1965). Member
Booth School of Business and Chair, Competitive Markets Advisory
5807 S. Woodlawn Avenue Council, Chicago Mercantile Exchange
Chicago, IL 60637 (futures trading exchange) (since 2004).
1939 Trustee, Harbor Fund (registered investment
company) (29 Portfolios) (since 1994-2015).
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 Capital
Yale School of Management DEM-Since 1993 Management, LLC (hedge fund and asset
P.O. Box 208200, manager) (since 2001). Consultant to
New Haven, CT 06520-8200 Morningstar Inc. (since 2006). Formerly,
1943 Director BIRR Portfolio Analysis, Inc.
(software products) (1990-2010).
-------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG. DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM. DFAITC-Since 2010 Professor of Human Resources Management
Stanford University Graduate DEM-Since 2010 and Economics, Graduate Stanford
School of Business, University School of Business (since 1995).
518 Memorial Way Cornerstone Research (expert testimony and
Stanford, CA 94305-5015 economic and financial analysis) (since
1948 2009). Formerly, Chairman of the President
George W. Bush's Council of Economic
Advisers (2006-2009). Formerly, Council of
Economic Advisors, State of California
(2005-2006). Formerly, Commissioner,
White House Panel on Tax Reform (2005)
-------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Group Inc. (since 2014). Frank E. Buck
Trustee of DFAITC and DEM. DFAITC-Since 1992 Professor of Finance Emeritus, Graduate
c/o Dimensional Fund DEM-Since 1993 School of Business, Stanford University
Advisors, LP (since 1981). Chairman, Ruapay Inc. (since
6300 Bee Cave Road Building 1 2013). Formerly, Chairman, Platinum Grove
Austin, TX 78746 Asset Management, L.P. (hedge fund)
1941 (formerly, Oak Hill Platinum Partners)
(1999- 2009). Formerly, Director, American
Century Fund Complex (registered
investment companies) (43 Portfolios)
(1980-2014).
-------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG. DIG-Since 2000 investment companies Professor of Accounting, University of
Trustee of DFAITC and DEM. DFAITC-Since 2000 Chicago Booth School of Business (since
The University of Chicago DEM-Since 2000 1980). Director, HNI Corporation (formerly
Booth School of Business known as HON Industries Inc.) (office
5807 S. Woodlawn Avenue furniture) (since 2000). Director, Ryder
Chicago, IL 60637 System Inc. (transportation, logistics and
1953 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).
-------------------------------------------------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
POSITION WITHIN THE
NAME, POSITION WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
----------------------------- ------------------- --------------------- ----------------------------------------------
INTERESTED TRUSTEES/DIRECTORS
--------------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, and formerly,
Chairman, Director/Trustee, DIG-Since 1992 investment companies Chief Executive President and Co-Chief
President, Co-Chief Executive DFAITC-Since 1992 (until1/1/2010) of the following companies:
Officer DEM-Since 1993 Executive Officer Dimensional Holdings Inc.,
6300 Bee Cave Road, Building Dimensional Fund Advisors LP, DFA
One 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 pic and Dimensional
Funds II pic. Formerly, President,
Dimensional SmartNest (US) LLC (2009-
2014). Formerly, Limited Partner, Oak Hill
Partners (2001- 2010). Limited Partner, VSC
Investors, LLC (since 2007). Trustee,
University of Chicago. Trustee, University of
Kansas Endowment Association. Formerly,
Director, SA Funds (registered investment
company). Chairman, Director and Co-Chief
Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and President
(since 2012) of Dimensional Japan Ltd.
Chairman, Director, President and Co-Chief
Executive Officer of Dimensional Cayman
Commodity Fund I Ltd. (since 2010).
--------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning
Director/Trustee, Co-Chief DIG-Since 2009 investment companies January 2010), Co-Chief Investment Officer
Executive Officer and DFAITC-Since 2009 (since June 2014), Director/Trustee, and
Co-Chief Investment Officer DEM-Since 2009 formerly, Chief Investment Officer (March
6300 Bee Cave Road, Building 2007-June 2014) of the DFA Entities.
One Austin, TX 78746 Director, Co-Chief Executive Officer and
1967 Chief Investment Officer (since 2010) of
Dimensional Cayman Commodity Fund I Ltd.
Director, Co-Chief Executive Officer,
President and Co-Chief Investment Officer of
Dimensional Fund Advisors Canada ULC and
formerly, Chief Investment Officer (until
April2014). Co-Chief Investment Officer,
Vice President, and Director of DFA Australia
Limited and formerly, Chief Investment
Officer (until April2014). Director of
Dimensional Fund Advisors Ltd., Dimensional
Funds pic, Dimensional Funds II pic and
Dimensional Advisors Ltd. Formerly, Vice
President of the DFA Entities and
Dimensional Fund Advisors Canada ULC.
Director and Chief Investment Officer (since
December 2012) of Dimensional Japan Ltd.
--------------------------------------------------------------------------------------------------------------------------
/1/ Each Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Director is a director or trustee of each of the four registered
investment companies within the DFA Fund Complex, which includes DFAIDG,
DIG; DFAITC and OEM. Each disinterested 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.
--------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
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 President,
1974 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 Managing
1955 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 Service
1974 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 Entities,
1967 Assistant Secretary 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 Financial
1964 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).
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 for
1972 Dimensional Fund Advisors LP (April 2012 - January 2014);
Vice President and Counsel for AllianceBernstein L.P. (2006 -
2012).
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
TERM OF
OFFICE/1/
AND
LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------- ------------------- ----------- ------------------------------------------------------------------
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 the
1965 Global Chief DFA Entities, DFA Australia Limited and Dimensional Fund
Compliance Officer 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.
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 Limited
1957 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 Director
1976 (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 Associate,
1971 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 for
1972 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 for
1979 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 Director
1959 (May 2008 - January 2015) for Dimensional Fund Advisors LP.
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
TERM OF
OFFICE/1/
AND
LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------- -------------------- ----------- ------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the DFA Entities
1965 Assistant Secretary 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
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice President
1970 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 for
1974 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 the
1958 Chief Financial DFA Entities. Interim Chief Financial Officer, interim Treasurer
Officer, and and Vice President of Dimensional Advisors Ltd., Dimensional
Treasurer 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, IT
1977 Service Management (October 2014 - January 2016); Manager,
Managed DC Systems (October 2005 - October 2014) for
Dimensional Fund Advisors LP.
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
TERM OF
OFFICE/1/
AND
LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------- --------------- ----------- ------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and Dimensional Cayman
1973 Commodity Fund I Ltd.
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Manager of
1971 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, 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 for
1978 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, Dimensional
1954 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 Manager
1975 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).
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 Manager
1971 of Dimensional Fund Advisors LP (since January 2012).
Formerly, Portfolio Manager for Dimensional (April 2001 -
January 2012).
Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, RFP,
1971 Institutional (January 2015 - January 2016); Senior Associate,
Institutional (April 2007 - January 2015) for Dimensional Fund
Advisors LP.
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 Executive
1967 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 President
1969 - Global Operations at Janus Capital Group (2005-2011).
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader
1978 (January 2010 - December 2012) for Dimensional Fund Advisors
LP.
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
TERM OF
OFFICE/1/
AND
LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------- ------------------- ---------------- -----------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities.
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 Cayman
1972 Commodity Fund I Ltd.
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of Global Human
1970 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.
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 (since
1981 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. Director,
1964 Secretary since 1997 and Vice President and Secretary of DFA Australia Limited and
Secretary since Dimensional Fund Advisors Ltd. (since February 2002, April
2000 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).
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
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 of all the
1961 Deputy Chief DFA Entities. Deputy Chief Compliance Officer of Dimensional
Compliance Officer 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 Cayman
1974 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 DFA
1976 Co-Chief since 2007 and Entities, Dimensional Fund Advisors Canada ULC, and
Investment Officer Co-Chief Dimensional Japan Ltd. Director of Dimensional Funds plc and
Investment Dimensional Fund II plc.
Officer 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).
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 Manager
1981 (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, Advisor
1984 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 Dimensional
1976 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 Limited,
1961 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 Manager
1970 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 and
1969 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 Fund
1968 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 President
1978 for Dimensional SmartNest (US) LLC (September 2010 -
November 2014).
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
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 (since
1980 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 Manager
1981 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 1975 Vice President Since 2007 Vice President of all the DFA Entities.
Lukas J. Smart 1977 Vice President Since 2014 Vice President of all the DFA Entities. Portfolio Manager of
Dimensional Fund Advisors LP (since January 2010).
Andrew D. Smith 1968 Vice President Since 2011 Vice President of all the DFA Entities.
Grady M. Smith 1956 Vice President Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Advisors Canada ULC.
Matthew Snider 1976 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 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, Senior Manager
1965 for Dimensional Fund Advisors LP (September 2014 - January
2016); Vice President of Marketing, Forward Management/
Salient (January 2008 - February 2014).
Brent M. Stone 1971 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, 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, 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.
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Accounting
1983 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 Limited,
1966 Dimensional Fund Advisors Ltd., and Dimensional Fund
Advisors Canada ULC.
THE DFA SHORT TERM INVESTMENT FUND
Fund Management - (continued)
October 31, 2016 - (Unaudited)
TERM OF
OFFICE/1/
AND
LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------- --------------- ----------- ------------------------------------------------------------------
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 for
1968 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 Service
1975 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, Client
1976 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 Recruiting
1981 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 Service
1981 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, Accounting
1982 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.
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees has determined that Abbie J. Smith possesses
the technical attributes to qualify as an "audit committee financial expert"
serving on the Registrant's Audit Committee and has designated Ms. Smith as the
"audit committee financial expert." Ms. Smith earned a Ph.D. in Accounting, and
has taught Accounting at the graduate level since 1980. Ms. Smith's education
and career have provided her with an understanding of generally accepted
accounting principles and financial statements; the ability to assess the
general application of such principles in connection with the accounting for
estimates, accruals and reserves; and experience preparing, analyzing and
evaluating financial statements that present a breadth and level of complexity
of issues that can reasonably be expected to be raised by the Registrant's
financial statements. In addition, Ms. Smith has served on the boards of
directors and audit committees of entities other than the Registrant. Ms. Smith
is independent under the standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2016: $215,333
Fiscal Year Ended October 31, 2015: $224,320
(b) Audit-Related Fees
Fees for Registrant - Fiscal Year Ended October 31, 2016: $18,059
Fiscal Year Ended October 31, 2015: $17,225
For fiscal years ended October 31, 2016 and October 31, 2015,
Audit-Related Fees included fees for services related to limited
procedures performed in connection with the production of the
Registrant's semi-annual financial statements.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended October 31, 2016: $187,500
Fiscal Year Ended October 31, 2015: $172,000
For the fiscal years ended October 31, 2016 and October 31, 2015,
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X included fees for services
rendered in connection with the issuance of a Type II SSAE 16 over
controls at the Registrant's investment adviser.
(c) Tax Fees
Fees for Registrant - Fiscal Year Ended October 31, 2016: $50,695
Fiscal Year Ended October 31, 2015: $61,906
Tax Fees included, for the fiscal years ended October 31, 2016 and
October 31, 2015, fees for tax services in connection with the
Registrant's excise tax calculations, review of the Registrant's
applicable tax returns and capital gains tax services in India.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(d) All Other Fees
Fees for Registrant - Fiscal Year Ended October 31, 2016: $0
Fiscal Year Ended October 31, 2015: $0
There were no "All Other Fees" required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(e)(1) Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC")
require that the Funds' Audit Committees (together, the "Committee")
pre-approve all audit services and non-audit services provided to the
Funds by their independent registered public accounting firm (the
"Auditor"). The Act and the Rules also require that the Committee
pre-approve all non-audit services provided by the Auditor to
Dimensional Fund Advisors LP ("Dimensional"), the Funds' investment
advisor, and to affiliates of Dimensional that provide ongoing services
to the Funds (with Dimensional, together the "Service Affiliates") if
the services directly impact the Funds' operations and financial
reporting.
The following policies and procedures govern the ways in which the
Committee will pre-approve audit and various types of non-audit services
that the Auditor provides to the Funds and to Service Affiliates. These
policies and procedures do not apply in the case of audit services that
the Auditor provides to Service Affiliates, nor do they apply to
services that an audit firm other than the Auditor provides to such
entities.
These policies and procedures comply with the requirements for
pre-approval, but also provide mechanisms by which management of the
Funds may request and secure pre-approval of audit and non-audit
services in an orderly manner with minimal disruption to normal business
operations. Pre-approval of non-audit services may be achieved through a
combination of the procedures described in Sections C and D below.
A. General
1. The Committee must pre-approve all audit services and non-audit
services that the Auditor provides to the Funds.
2. The Committee must pre-approve any engagement of the Auditor to
provide non-audit services to any Service Affiliate during the
period of the Auditor's engagement to provide audit services to
the Funds, if the non-audit services to the Service Affiliate
directly impact the Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an independent
registered public accounting firm to certify the Funds' financial
statements for each fiscal year (the "Engagement"). The approval
of the Engagement shall not be delegated to a Designated Member
(as that term is defined in Section D below). In approving the
Engagement, the Committee shall obtain, review and consider
sufficient information concerning the proposed Auditor to enable
the Committee to make a reasonable evaluation of the Auditor's
qualifications and independence. The Committee also shall
consider the Auditor's proposed fees for the Engagement, in light
of the scope and nature of the audit services that the Funds will
receive.
2. The Committee shall report to the Boards of Directors/Trustees of
the Funds (together, the "Board") regarding its approval of the
Engagement and of the proposed fees for the Engagement, and the
basis for such approval.
3. Unless otherwise in accordance with applicable law, the
Engagement, in any event, shall require that the Auditor be
selected by the vote, cast in person, of a majority of the
members of the Board who are not "interested persons" of the
Funds (as that term is defined in Section 2(a)(19) of the
Investment Company Act of 1940) (the "Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services
(including tax services) to the Funds and their Service
Affiliates pursuant to this Section C.
2. Annually, at such time as the Committee considers the Engagement
of the Auditor, management of the Funds, in consultation with the
Auditor, shall provide to the Committee, for its consideration
and action, the following: (a) a list of those types of non-audit
services, if any, that the Funds may request from the Auditor
during the fiscal year; and (b) a list of those types of
non-audit services directly impacting the Funds' operations and
financial reporting that Service Affiliates may request from the
Auditor during the fiscal year.
3. The lists submitted to the Committee shall describe the types of
non-audit services in reasonable detail (which may include a
range of tax services) and shall include an estimated budget (or
budgeted range) of fees, where possible, and such other
information as the Committee may request. If management and the
Auditor desire the Committee to preapprove the furnishing of a
range of tax services, the Auditor shall provide an estimated
range of fees for such tax services for the consideration and
approval by the Committee.
4. The Committee's pre-approval of the types of non-audit services
submitted pursuant to this Section C shall constitute
authorization for management of the Funds to utilize the Auditor
for the types of non-audit services so pre-approved, if needed or
desired during the fiscal year.
5. A list of the types of non-audit services pre-approved by the
Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate partners
of the Auditor. Periodically, the Auditor will discuss with the
Committee those non-audit services that have been or are being
provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor, may
submit either to the Committee or to the Designated Member, as
provided in this Section D, for their consideration and action, a
pre-approval request identifying one or more non-audit service
projects. The request so submitted shall describe the project(s)
in reasonable detail and shall include an estimated budget (or
budgeted range) of fees and such other information as the
Committee or the Designated Member, as appropriate, shall request.
3. The Committee, from time to time, shall designate one or more of
its members who are Independent Directors (each a "Designated
Member") to consider, on the Committee's behalf, any non-audit
services, whether to the Funds or to any Service Affiliate, that
have not been pre-approved by the Committee. The Designated
Member also shall review, on the Committee's behalf, any proposed
material change in the nature or extent of any non-audit services
previously approved. The Funds' management, in consultation with
the Auditor, shall explain why such non-audit services or
material change in non-audit services are necessary and
appropriate and the anticipated costs thereof.
4. The Designated Member will review the requested non-audit
services or proposed material change in such services and will
either:
(a)pre-approve, pre-approve subject to conditions, or disapprove
any such requested services, or any proposed material change
in services, whether to the Funds or to a Service Affiliate; or
(b)refer such matter to the full Committee for its consideration
and action.
In considering any requested non-audit services or proposed
material change in such services, the Designated Member's
authority shall be limited to approving non-audit services or
proposed material changes that do not exceed $10,000 in value.
5. The Designated Member's pre-approval (or pre-approval subject to
conditions) of the requested non-audit services or proposed
material change in services pursuant to this Section D shall
constitute authorization for the management of the Funds or the
Service Affiliate, as the case may be, to utilize the Auditor for
the non-audit services so pre-approved. Any action by the
Designated Member in approving a requested non-audit service
shall be presented for ratification by the Committee not later
than at its next scheduled meeting. If the Designated Member does
not approve the Auditor providing the requested non-audit
service, the matter may be presented to the full Committee for
its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions made
by the Committee or by a Designated Member pursuant to these
procedures, together with appropriate supporting materials.
2. In connection with the approval of any non-audit service pursuant
to the de minimis exception provided in the Rules, a record shall
be made indicating that each of the conditions for this
exception, as set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of the fiscal year in which
the actions recorded were taken, for at least the first two years
in an easily accessible location.
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the
Registrant's Audit Committee but not pursuant to paragraph (c)(7)(i)(C) of
Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the fiscal
year ended October 31, 2016 that were attributed to work performed by
persons other than the principal accountant's full time, permanent employees
was not greater than 50%.
---
(g) Aggregate Non-Audit Fees
Fiscal Year Ended October 31, 2016: $1,470,707
Fiscal Year Ended October 31, 2015: $1,557,122
(h) The Registrant's Audit Committee has considered whether the provision of
non-audit services that were rendered to the Registrant's investment
adviser, and any entity controlling, controlled by, or under common control
with the investment adviser that provides ongoing services to the
Registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of
Rule 2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant that provided a summary schedule of portfolio holdings in a report
to stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF INVESTMENTS IS PROVIDED
The U.S. Large Cap Value Series
The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
The Tax-Managed U.S. Marketwide Value Series
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (95.3%)
Consumer Discretionary -- (11.8%)
* Adient P.L.C. 47,409 $ 2,157,584 0.0%
#* AutoNation, Inc. 249,907 10,963,420 0.1%
# Bed Bath & Beyond, Inc. 47,488 1,919,465 0.0%
# Best Buy Co., Inc. 1,711,779 66,605,321 0.3%
# BorgWarner, Inc. 540,934 19,387,075 0.1%
# Cable One, Inc. 11,947 6,890,313 0.0%
CalAtlantic Group, Inc. 14,193 458,718 0.0%
# Carnival Corp. 1,056,828 51,890,255 0.3%
CBS Corp. Class A 7,236 414,406 0.0%
#* Charter Communications, Inc. Class A 910,208 227,451,877 1.1%
Comcast Corp. Class A 10,885,890 672,965,720 3.2%
DR Horton, Inc. 2,344,017 67,578,010 0.3%
Ford Motor Co. 14,753,200 173,202,568 0.8%
# Garmin, Ltd. 214,118 10,354,746 0.1%
General Motors Co. 5,641,400 178,268,240 0.9%
# Gentex Corp. 447,495 7,567,140 0.0%
Goodyear Tire & Rubber Co. (The) 1,439,412 41,786,130 0.2%
Harman International Industries, Inc. 231,439 18,448,003 0.1%
* Hyatt Hotels Corp. Class A 26,622 1,352,131 0.0%
International Game Technology P.L.C. 16,328 468,940 0.0%
Johnson Controls International P.L.C. 474,098 19,115,631 0.1%
# Kohl's Corp. 1,326,479 58,033,456 0.3%
Lear Corp. 163,552 20,080,915 0.1%
# Lennar Corp. Class A 962,270 40,117,036 0.2%
Lennar Corp. Class B 7,112 238,394 0.0%
* Liberty Broadband Corp. Class A 23,806 1,546,200 0.0%
#* Liberty Broadband Corp. Class C 87,190 5,811,213 0.0%
* Liberty Interactive Corp., QVC Group Class A 2,560,010 47,334,585 0.2%
#* Liberty Media Corp.-Liberty Braves Class A 15,678 265,742 0.0%
* Liberty Media Corp.-Liberty Braves Class C 31,357 522,721 0.0%
#* Liberty Media Corp.-Liberty Media Class A 39,197 1,090,853 0.0%
#* Liberty Media Corp.-Liberty Media Class C 78,394 2,148,780 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class A 156,789 5,216,370 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class C 313,578 10,407,654 0.1%
* Liberty Ventures Series A 137,055 5,468,494 0.0%
# Macy's, Inc. 1,023,148 37,334,671 0.2%
#* Madison Square Garden Co. (The) Class A 7,458 1,234,224 0.0%
* MGM Resorts International 2,324,079 60,821,147 0.3%
* Mohawk Industries, Inc. 348,056 64,146,721 0.3%
Newell Brands, Inc. 240,931 11,569,507 0.1%
News Corp. Class A 290,667 3,522,884 0.0%
News Corp. Class B 31,823 394,605 0.0%
# Penske Automotive Group, Inc. 118,405 5,298,624 0.0%
# PulteGroup, Inc. 2,258,297 42,004,324 0.2%
PVH Corp. 351,720 37,627,006 0.2%
# Ralph Lauren Corp. 84,680 8,307,108 0.0%
# Royal Caribbean Cruises, Ltd. 1,157,858 89,004,544 0.4%
Staples, Inc. 2,170,839 16,064,209 0.1%
# TEGNA, Inc. 558,428 10,956,357 0.1%
Time Warner, Inc. 3,800,376 338,195,460 1.6%
#* Toll Brothers, Inc. 338,804 9,296,782 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Consumer Discretionary -- (Continued)
Whirlpool Corp. 337,130 $ 50,508,817 0.2%
-------------- ----
Total Consumer Discretionary 2,563,815,096 12.3%
-------------- ----
Consumer Staples -- (6.3%)
Archer-Daniels-Midland Co. 2,699,731 117,627,280 0.6%
Bunge, Ltd. 814,952 50,535,174 0.2%
Constellation Brands, Inc. Class A 216,587 36,196,019 0.2%
CVS Health Corp. 3,989,908 335,551,263 1.6%
#* Edgewell Personal Care Co. 25,746 1,941,248 0.0%
Ingredion, Inc. 146,985 19,280,022 0.1%
# JM Smucker Co. (The) 701,856 92,160,711 0.4%
Kraft Heinz Co. (The) 560,385 49,846,246 0.2%
Molson Coors Brewing Co. Class B 452,483 46,972,260 0.2%
Mondelez International, Inc. Class A 3,933,821 176,785,916 0.9%
Pinnacle Foods, Inc. 489,872 25,189,218 0.1%
#* Post Holdings, Inc. 248,398 18,935,380 0.1%
Reynolds American, Inc. 111,055 6,116,909 0.0%
#* Seaboard Corp. 13 44,005 0.0%
# Spectrum Brands Holdings, Inc. 2,402 324,847 0.0%
#* TreeHouse Foods, Inc. 102,056 8,927,859 0.0%
# 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%
Walgreens Boots Alliance, Inc. 1,165,019 96,382,022 0.5%
# Whole Foods Market, Inc. 132,918 3,760,250 0.0%
-------------- ----
Total Consumer Staples 1,365,247,310 6.5%
-------------- ----
Energy -- (13.1%)
Anadarko Petroleum Corp. 1,351,062 80,307,125 0.4%
# Apache Corp. 726,174 43,192,830 0.2%
Baker Hughes, Inc. 1,042,902 57,776,771 0.3%
Chevron Corp. 3,924,607 411,102,583 2.0%
Cimarex Energy Co. 111,646 14,416,848 0.1%
#* Concho Resources, Inc. 369,097 46,853,173 0.2%
ConocoPhillips 3,210,456 139,494,313 0.7%
# CONSOL Energy, Inc. 88,213 1,495,210 0.0%
#* Continental Resources, Inc. 201,161 9,838,785 0.0%
Devon Energy Corp. 585,554 22,186,641 0.1%
EOG Resources, Inc. 1,485,821 134,347,935 0.6%
Exxon Mobil Corp. 9,096,178 757,893,551 3.6%
* FMC Technologies, Inc. 961,292 31,020,893 0.2%
Halliburton Co. 577,209 26,551,614 0.1%
# Helmerich & Payne, Inc. 613,104 38,692,993 0.2%
# Hess Corp. 1,020,486 48,952,713 0.2%
# HollyFrontier Corp. 644,305 16,075,410 0.1%
Kinder Morgan, Inc. 951,784 19,444,947 0.1%
# Marathon Oil Corp. 3,266,531 43,052,879 0.2%
Marathon Petroleum Corp. 2,312,389 100,797,036 0.5%
# Murphy Oil Corp. 307,563 7,956,655 0.0%
# National Oilwell Varco, Inc. 1,745,118 56,018,288 0.3%
Noble Energy, Inc. 294,983 10,168,064 0.1%
Occidental Petroleum Corp. 1,857,300 135,415,743 0.6%
Phillips 66 2,096,097 170,098,272 0.8%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Energy -- (Continued)
Pioneer Natural Resources Co. 289,330 $ 51,795,857 0.2%
Range Resources Corp. 144,745 4,890,934 0.0%
Schlumberger, Ltd. 1,134,428 88,746,302 0.4%
#* Southwestern Energy Co. 672,113 6,983,254 0.0%
# Targa Resources Corp. 466,392 20,474,609 0.1%
Tesoro Corp. 683,800 58,102,486 0.3%
#* Transocean, Ltd. 1,340,027 12,877,659 0.1%
Valero Energy Corp. 2,806,975 166,285,199 0.8%
#* Weatherford International P.L.C. 2,942,972 14,185,125 0.1%
-------------- ----
Total Energy 2,847,492,697 13.6%
-------------- ----
Financials -- (20.5%)
Aflac, Inc. 984,064 67,772,488 0.3%
* Alleghany Corp. 30,744 15,870,360 0.1%
Allied World Assurance Co. Holdings AG 274,410 11,794,142 0.1%
Allstate Corp. (The) 1,219,262 82,787,890 0.4%
Ally Financial, Inc. 1,863,267 33,669,235 0.2%
American Financial Group, Inc. 427,555 31,852,847 0.2%
American International Group, Inc. 2,735,967 168,809,164 0.8%
Assurant, Inc. 328,056 26,415,069 0.1%
Assured Guaranty, Ltd. 203,216 6,074,126 0.0%
Axis Capital Holdings, Ltd. 459,271 26,164,669 0.1%
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%
# BB&T Corp. 1,858,294 72,845,125 0.4%
# BOK Financial Corp. 4,796 340,612 0.0%
Capital One Financial Corp. 2,036,842 150,807,782 0.7%
Chubb, Ltd. 254,886 32,370,522 0.2%
CIT Group, Inc. 363,171 13,194,002 0.1%
Citigroup, Inc. 8,251,489 405,560,684 1.9%
Citizens Financial Group, Inc. 146,895 3,869,214 0.0%
CME Group, Inc. 637,847 63,848,485 0.3%
CNA Financial Corp. 411,026 15,031,221 0.1%
Comerica, Inc. 125,755 6,550,578 0.0%
Endurance Specialty Holdings, Ltd. 31,340 2,881,713 0.0%
# Everest Re Group, Ltd. 220,574 44,891,220 0.2%
Fifth Third Bancorp 5,017,752 109,186,284 0.5%
First American Financial Corp. 8,092 316,074 0.0%
Goldman Sachs Group, Inc. (The) 980,999 174,853,262 0.8%
Hartford Financial Services Group, Inc. (The) 2,313,908 102,066,482 0.5%
Huntington Bancshares, Inc. 4,311,699 45,704,009 0.2%
Jones Lang LaSalle, Inc. 5,170 500,715 0.0%
JPMorgan Chase & Co. 11,452,239 793,182,073 3.8%
KeyCorp 3,126,776 44,150,077 0.2%
# Legg Mason, Inc. 516,746 14,840,945 0.1%
# Leucadia National Corp. 193,405 3,610,871 0.0%
Lincoln National Corp. 1,164,852 57,182,585 0.3%
Loews Corp. 1,684,881 72,500,429 0.3%
# M&T Bank Corp. 315,719 38,748,193 0.2%
MetLife, Inc. 2,038,507 95,728,289 0.5%
Morgan Stanley 3,534,479 118,652,460 0.6%
Nasdaq, Inc. 475,182 30,397,393 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Financials -- (Continued)
Navient Corp. 194,690 $ 2,488,138 0.0%
# New York Community Bancorp, Inc. 558,598 8,021,467 0.0%
Old Republic International Corp. 776,363 13,089,480 0.1%
# PacWest Bancorp 125,155 5,430,475 0.0%
# People's United Financial, Inc. 304,024 4,937,350 0.0%
PNC Financial Services Group, Inc. (The) 1,303,329 124,598,252 0.6%
Principal Financial Group, Inc. 1,639,822 89,534,281 0.4%
Prudential Financial, Inc. 1,096,602 92,980,884 0.4%
Regions Financial Corp. 5,273,107 56,474,976 0.3%
Reinsurance Group of America, Inc. 312,945 33,754,248 0.2%
# RenaissanceRe Holdings, Ltd. 96,612 12,007,905 0.1%
State Street Corp. 524,339 36,813,841 0.2%
SunTrust Banks, Inc. 1,252,716 56,660,345 0.3%
Synchrony Financial 159,750 4,567,253 0.0%
Travelers Cos., Inc. (The) 1,119,453 121,102,426 0.6%
Unum Group 1,162,077 41,137,526 0.2%
Validus Holdings, Ltd. 167,263 8,547,139 0.0%
Voya Financial, Inc. 113,438 3,465,531 0.0%
Wells Fargo & Co. 6,090,495 280,223,675 1.3%
# WR Berkley Corp. 214,424 12,243,610 0.1%
XL Group, Ltd. 1,261,223 43,764,438 0.2%
# Zions Bancorporation 710,094 22,872,128 0.1%
-------------- ----
Total Financials 4,462,587,777 21.3%
-------------- ----
Health Care -- (10.5%)
Abbott Laboratories 269,226 10,564,428 0.1%
#* Acadia Healthcare Co., Inc. 56,293 2,024,296 0.0%
Aetna, Inc. 1,802,581 193,507,070 0.9%
* Alere, Inc. 8,494 379,512 0.0%
* Allergan P.L.C. 496,938 103,830,226 0.5%
#* Amsurg Corp. 48,429 2,893,633 0.0%
Anthem, Inc. 1,445,532 176,152,529 0.9%
Baxter International, Inc. 74,488 3,544,884 0.0%
#* Bio-Rad Laboratories, Inc. Class A 6,194 979,148 0.0%
* Boston Scientific Corp. 2,235,238 49,175,236 0.2%
#* Centene Corp. 449,308 28,072,764 0.1%
Cigna Corp. 320,341 38,066,121 0.2%
Danaher Corp. 1,142,926 89,776,837 0.4%
* DaVita, Inc. 374,271 21,939,766 0.1%
DENTSPLY SIRONA, Inc. 55,771 3,210,736 0.0%
#* Envision Healthcare Holdings, Inc. 60,466 1,196,017 0.0%
* Express Scripts Holding Co. 2,738,677 184,586,830 0.9%
* Hologic, Inc. 300,671 10,827,163 0.1%
Humana, Inc. 707,042 121,278,914 0.6%
* Laboratory Corp. of America Holdings 497,615 62,371,064 0.3%
* Mallinckrodt P.L.C. 487,783 28,906,021 0.1%
#* MEDNAX, Inc. 218,275 13,369,344 0.1%
Medtronic P.L.C. 3,541,179 290,447,502 1.4%
* Mylan NV 799,559 29,183,903 0.1%
PerkinElmer, Inc. 77,324 3,935,018 0.0%
# Perrigo Co. P.L.C. 26,425 2,198,296 0.0%
Pfizer, Inc. 16,340,523 518,157,984 2.5%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Health Care -- (Continued)
Quest Diagnostics, Inc. 802,798 $ 65,379,869 0.3%
* Quintiles IMS Holdings, Inc. 3,566 255,825 0.0%
# STERIS P.L.C. 96,552 6,451,605 0.0%
# Teleflex, Inc. 79,982 11,447,824 0.1%
Thermo Fisher Scientific, Inc. 1,023,977 150,555,338 0.7%
#* United Therapeutics Corp. 29,409 3,531,139 0.0%
Universal Health Services, Inc. Class B 240,412 29,020,133 0.1%
* WellCare Health Plans, Inc. 101,722 11,546,464 0.1%
Zimmer Biomet Holdings, Inc. 96,616 10,183,326 0.1%
-------------- ----
Total Health Care 2,278,946,765 10.9%
-------------- ----
Industrials -- (10.7%)
#* AECOM 513,031 14,287,913 0.1%
AGCO Corp. 397,047 20,281,161 0.1%
AMERCO 28,974 9,340,928 0.0%
Arconic, Inc. 1,888,056 54,224,968 0.3%
Carlisle Cos., Inc. 198,258 20,787,351 0.1%
# Caterpillar, Inc. 1,458,164 121,698,367 0.6%
Chicago Bridge & Iron Co. NV 108,794 3,483,584 0.0%
#* Colfax Corp. 38,985 1,239,333 0.0%
CSX Corp. 5,234,843 159,715,060 0.8%
Cummins, Inc. 300,301 38,384,474 0.2%
Dover Corp. 808,291 54,066,585 0.3%
Eaton Corp. P.L.C. 1,549,750 98,827,558 0.5%
FedEx Corp. 853,987 148,867,014 0.7%
# Fluor Corp. 662,994 34,469,058 0.2%
Fortive Corp. 111,852 5,710,045 0.0%
General Electric Co. 7,508,293 218,491,326 1.0%
* Hertz Global Holdings, Inc. 269,101 8,920,698 0.0%
Ingersoll-Rand P.L.C. 780,118 52,494,140 0.3%
* Jacobs Engineering Group, Inc. 230,707 11,899,867 0.1%
* JetBlue Airways Corp. 1,847,009 32,285,717 0.2%
Kansas City Southern 564,274 49,520,686 0.2%
L-3 Communications Holdings, Inc. 381,253 52,208,786 0.2%
Macquarie Infrastructure Corp. 72,220 5,908,318 0.0%
ManpowerGroup, Inc. 289,357 22,222,618 0.1%
Norfolk Southern Corp. 1,569,304 145,945,272 0.7%
Northrop Grumman Corp. 380,060 87,033,740 0.4%
Orbital ATK, Inc. 52,588 3,910,444 0.0%
Owens Corning 705,387 34,408,778 0.2%
# PACCAR, Inc. 521,622 28,647,480 0.1%
# Pentair P.L.C. 940,755 51,863,823 0.2%
* Quanta Services, Inc. 153,044 4,400,015 0.0%
Republic Services, Inc. 2,187,522 115,129,283 0.5%
# Ryder System, Inc. 109,553 7,601,883 0.0%
Southwest Airlines Co. 3,733,160 149,513,058 0.7%
* Spirit Aerosystems Holdings, Inc. Class A 40,393 2,034,191 0.0%
Stanley Black & Decker, Inc. 1,095,910 124,758,394 0.6%
Textron, Inc. 1,333,881 53,461,951 0.3%
Union Pacific Corp. 2,259,039 199,202,059 1.0%
* United Continental Holdings, Inc. 939,065 52,803,625 0.3%
#* United Rentals, Inc. 304,756 23,057,839 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
Waste Connections, Inc. 50,831 $ 3,823,000 0.0%
-------------- ----
Total Industrials 2,326,930,390 11.1%
-------------- ----
Information Technology -- (14.0%)
Activision Blizzard, Inc. 11,000 474,870 0.0%
#* Akamai Technologies, Inc. 67,139 4,664,146 0.0%
Amdocs, Ltd. 176,179 10,297,663 0.1%
* ARRIS International P.L.C. 279,782 7,772,344 0.0%
* Arrow Electronics, Inc. 608,061 37,164,688 0.2%
Avnet, Inc. 756,262 31,725,191 0.2%
Brocade Communications Systems, Inc. 1,391,533 14,750,250 0.1%
CA, Inc. 2,590,583 79,634,521 0.4%
Cisco Systems, Inc. 21,342,703 654,794,128 3.1%
* CommerceHub, Inc. Series A 53,622 805,402 0.0%
#* CommerceHub, Inc. Series C 107,244 1,614,022 0.0%
Computer Sciences Corp. 318,655 17,350,765 0.1%
Corning, Inc. 3,676,381 83,490,613 0.4%
* Dell Technologies, Inc. Class V 703,394 34,529,612 0.2%
Dolby Laboratories, Inc. Class A 11,316 538,528 0.0%
* EchoStar Corp. Class A 2,635 123,160 0.0%
Fidelity National Information Services, Inc. 1,453,689 107,456,691 0.5%
#* First Solar, Inc. 220,385 8,923,389 0.0%
* Flex, Ltd. 1,458,705 20,699,024 0.1%
FLIR Systems, Inc. 14,203 467,563 0.0%
Hewlett Packard Enterprise Co. 9,162,273 205,876,274 1.0%
HP, Inc. 9,619,949 139,393,061 0.7%
IAC/InterActiveCorp 120,638 7,773,913 0.0%
Ingram Micro, Inc. Class A 715,108 26,602,018 0.1%
Intel Corp. 20,115,235 701,418,244 3.4%
# Jabil Circuit, Inc. 427,462 9,122,039 0.0%
Juniper Networks, Inc. 877,180 23,104,921 0.1%
# Lam Research Corp. 945,899 91,619,777 0.4%
Leidos Holdings, Inc. 220,139 9,151,178 0.1%
Marvell Technology Group, Ltd. 566,260 7,378,368 0.0%
* Micron Technology, Inc. 5,259,846 90,258,957 0.4%
#* Microsemi Corp. 57,304 2,414,218 0.0%
NetApp, Inc. 513,180 17,417,329 0.1%
* Nuance Communications, Inc. 113,903 1,596,920 0.0%
# NVIDIA Corp. 1,824,559 129,835,618 0.6%
* ON Semiconductor Corp. 282,440 3,296,075 0.0%
#* Qorvo, Inc. 224,491 12,492,924 0.1%
QUALCOMM, Inc. 2,685,866 184,572,712 0.9%
# SS&C Technologies Holdings, Inc. 32,426 1,035,362 0.0%
Symantec Corp. 1,837,610 45,995,378 0.2%
# SYNNEX Corp. 57,500 5,896,050 0.0%
* Synopsys, Inc. 61,961 3,674,907 0.0%
# TE Connectivity, Ltd. 879,618 55,301,584 0.3%
Teradyne, Inc. 168,905 3,933,797 0.0%
# Western Digital Corp. 821,229 47,992,623 0.2%
Xerox Corp. 5,967,302 58,300,541 0.3%
* Yahoo!, Inc. 877,399 36,455,928 0.2%
#* Zillow Group, Inc. Class A 3,568 117,851 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- --------------- ---------------
Information Technology -- (Continued)
#* Zillow Group, Inc. Class C 18,297 $ 610,388 0.0%
--------------- ----
Total Information Technology 3,039,915,525 14.5%
--------------- ----
Materials -- (3.7%)
# Albemarle Corp. 242,608 20,269,898 0.1%
# Ashland Global Holdings, Inc. 369,626 41,298,313 0.2%
# CF Industries Holdings, Inc. 392,811 9,431,392 0.1%
Dow Chemical Co. (The) 822,454 44,256,250 0.2%
Eastman Chemical Co. 789,758 56,791,498 0.3%
# Freeport-McMoRan, Inc. 7,270,127 81,280,020 0.4%
* Ingevity Corp. 125,857 5,210,480 0.0%
International Paper Co. 2,120,633 95,492,104 0.5%
Martin Marietta Materials, Inc. 101,173 18,755,451 0.1%
# Mosaic Co. (The) 1,616,370 38,033,186 0.2%
Newmont Mining Corp. 3,239,227 119,980,968 0.6%
Nucor Corp. 2,308,070 112,749,219 0.5%
Reliance Steel & Aluminum Co. 408,842 28,120,153 0.1%
# Royal Gold, Inc. 12,274 844,697 0.0%
Sonoco Products Co. 12,855 646,478 0.0%
Steel Dynamics, Inc. 886,631 24,346,887 0.1%
Vulcan Materials Co. 563,226 63,757,183 0.3%
# Westlake Chemical Corp. 146,665 7,595,780 0.0%
WestRock Co. 923,378 42,650,830 0.2%
--------------- ----
Total Materials 811,510,787 3.9%
--------------- ----
Telecommunication Services -- (4.5%)
AT&T, Inc. 21,002,992 772,700,076 3.7%
# CenturyLink, Inc. 3,689,142 98,057,394 0.5%
# Frontier Communications Corp. 4,301,274 17,291,121 0.1%
* Level 3 Communications, Inc. 841,785 47,266,228 0.2%
#* Sprint Corp. 2,011,161 12,388,752 0.1%
#* T-Mobile US, Inc. 811,219 40,341,921 0.2%
#* United States Cellular Corp. 174,320 6,109,916 0.0%
--------------- ----
Total Telecommunication Services 994,155,408 4.8%
--------------- ----
Utilities -- (0.2%)
* Calpine Corp. 1,488,185 17,709,402 0.1%
NRG Energy, Inc. 1,541,737 16,388,664 0.1%
# UGI Corp. 102,621 4,750,326 0.0%
--------------- ----
Total Utilities 38,848,392 0.2%
--------------- ----
TOTAL COMMON STOCKS 20,729,450,147 99.1%
--------------- ----
RIGHTS/WARRANTS -- (0.0%)
(degrees)#* Safeway Casa Ley Contingent Value Rights 196,076 198,998 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
----------- --------------- ---------------
(degrees)#* Safeway PDC, LLC Contingent Value Rights 196,076 $ 9,568 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS 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%
=============== =====
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 $ 2,563,815,096 -- -- $ 2,563,815,096
Consumer Staples 1,365,247,310 -- -- 1,365,247,310
Energy 2,847,492,697 -- -- 2,847,492,697
Financials 4,462,587,777 -- -- 4,462,587,777
Health Care 2,278,946,765 -- -- 2,278,946,765
Industrials 2,326,930,390 -- -- 2,326,930,390
Information Technology 3,039,915,525 -- -- 3,039,915,525
Materials 811,510,787 -- -- 811,510,787
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 H)
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (95.4%)
AUSTRALIA -- (6.3%)
# Alumina, Ltd. 312,287 $ 375,331 0.0%
Aurizon Holdings, Ltd. 2,455,480 9,097,348 0.1%
# Australia & New Zealand Banking Group, Ltd. 5,260,554 111,078,744 1.1%
Bank of Queensland, Ltd. 469,790 3,727,828 0.0%
# Bendigo & Adelaide Bank, Ltd. 998,452 8,431,791 0.1%
BHP Billiton, Ltd. 5,929,050 103,585,415 1.1%
# BHP Billiton, Ltd. Sponsored ADR 1,703,682 59,662,944 0.6%
BlueScope Steel, Ltd. 1,541,717 9,146,433 0.1%
Boral, Ltd. 1,650,081 7,883,727 0.1%
# Fortescue Metals Group, Ltd. 8,082,342 33,918,570 0.4%
Harvey Norman Holdings, Ltd. 331,698 1,270,257 0.0%
Incitec Pivot, Ltd. 4,609,977 10,310,533 0.1%
Macquarie Group, Ltd. 81,985 4,955,934 0.1%
National Australia Bank, Ltd. 317,804 6,746,163 0.1%
Newcrest Mining, Ltd. 3,033,954 53,122,828 0.5%
Orica, Ltd. 146,212 1,806,358 0.0%
Origin Energy, Ltd. 2,811,665 11,332,630 0.1%
QBE Insurance Group, Ltd. 2,435,790 18,454,730 0.2%
# Rio Tinto, Ltd. 954,610 39,496,477 0.4%
Santos, Ltd. 4,348,609 11,635,791 0.1%
South32, Ltd. 6,275,261 12,246,296 0.1%
South32, Ltd. ADR 354,708 3,414,065 0.0%
Star Entertainment Grp, Ltd. (The) 1,443,422 5,461,826 0.1%
Suncorp Group, Ltd. 2,798,383 25,398,409 0.3%
Tatts Group, Ltd. 1,490,610 4,594,886 0.0%
Treasury Wine Estates, Ltd. 915,665 7,464,837 0.1%
Wesfarmers, Ltd. 306,359 9,539,691 0.1%
Woodside Petroleum, Ltd. 2,846,042 60,922,340 0.6%
------------ ---
TOTAL AUSTRALIA 635,082,182 6.5%
------------ ---
AUSTRIA -- (0.1%)
Erste Group Bank AG 98,143 3,077,647 0.0%
OMV AG 151,254 4,720,579 0.1%
------------ ---
TOTAL AUSTRIA 7,798,226 0.1%
------------ ---
BELGIUM -- (1.2%)
Ageas 602,353 22,006,010 0.2%
Colruyt SA 73,576 3,954,560 0.1%
* KBC Group NV 529,044 32,251,072 0.3%
Proximus SADP 363,864 10,414,691 0.1%
Solvay SA 259,616 29,781,444 0.3%
UCB SA 140,226 9,489,316 0.1%
Umicore SA 216,454 13,156,523 0.1%
------------ ---
TOTAL BELGIUM 121,053,616 1.2%
------------ ---
CANADA -- (7.6%)
# AltaGas, Ltd. 235,300 5,822,416 0.1%
Bank of Montreal(063671101) 1,645,325 104,642,670 1.1%
Bank of Montreal(2076009) 152,900 9,730,518 0.1%
* BlackBerry, Ltd.(09228F103) 83,447 588,301 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
CANADA -- (Continued)
* BlackBerry, Ltd.(BCBHZ31) 1,284,796 $ 9,071,064 0.1%
Cameco Corp.(13321L108) 546,688 4,209,498 0.1%
Cameco Corp.(2166160) 441,786 3,402,408 0.0%
Canadian Natural Resources, Ltd.(136385101) 930,900 29,518,839 0.3%
Canadian Natural Resources, Ltd.(2171573) 1,016,083 32,248,306 0.3%
Cenovus Energy, Inc. 1,330,284 19,209,301 0.2%
Crescent Point Energy Corp.(B67C8W8) 822,786 9,796,386 0.1%
Crescent Point Energy Corp.(22576C101) 1,508,054 17,976,008 0.2%
* Detour Gold Corp. 109,374 2,085,062 0.0%
* Eldorado Gold Corp.(284902103) 109,318 345,445 0.0%
* Eldorado Gold Corp.(2307873) 881,059 2,778,558 0.0%
Empire Co., Ltd. Class A 788,935 11,363,770 0.1%
# Enbridge Income Fund Holdings, Inc. 128,921 3,271,804 0.0%
Encana Corp.(292505104) 1,373,775 13,105,813 0.1%
Encana Corp.(2793193) 16,100 153,522 0.0%
Fairfax Financial Holdings, Ltd. 58,854 30,142,217 0.3%
Finning International, Inc. 494,324 9,198,783 0.1%
First Quantum Minerals, Ltd. 887,325 8,428,031 0.1%
Genworth MI Canada, Inc. 88,989 1,932,640 0.0%
Goldcorp, Inc.(2676302) 670,577 10,183,891 0.1%
Goldcorp, Inc.(380956409) 1,076,273 16,359,350 0.2%
* Husky Energy, Inc. 1,360,135 14,632,631 0.2%
Imperial Oil, Ltd.(2454241) 107,006 3,470,335 0.0%
Imperial Oil, Ltd.(453038408) 46,162 1,499,342 0.0%
Industrial Alliance Insurance & Financial Services,
Inc. 363,795 14,087,462 0.2%
* Kinross Gold Corp. 5,398,196 20,968,166 0.2%
* Lundin Mining Corp. 904,499 3,540,311 0.0%
Magna International, Inc. 89,810 3,686,700 0.0%
Manulife Financial Corp.(2492519) 3,005,038 43,530,820 0.5%
Manulife Financial Corp.(56501R106) 821,065 11,889,021 0.1%
Maple Leaf Foods, Inc. 75,421 1,717,820 0.0%
PrairieSky Royalty, Ltd. 20,621 448,456 0.0%
Silver Wheaton Corp. 443,530 10,693,508 0.1%
Sun Life Financial, Inc.(866796105) 343,606 11,503,929 0.1%
Sun Life Financial, Inc.(2566124) 1,013,400 33,915,996 0.4%
# Suncor Energy, Inc.(867224107) 769,213 23,091,774 0.2%
Suncor Energy, Inc.(B3NB1P2) 3,911,426 117,374,872 1.2%
Tahoe Resources, Inc. 28,464 341,237 0.0%
Teck Resources, Ltd. Class B(2879327) 1,123,435 24,256,078 0.3%
Teck Resources, Ltd. Class B(878742204) 868,701 18,746,568 0.2%
* Tourmaline Oil Corp. 923,326 24,196,607 0.3%
* Turquoise Hill Resources, Ltd.(900435108) 127,382 394,884 0.0%
* Turquoise Hill Resources, Ltd.(B7WJ1F5) 1,295,625 4,018,340 0.1%
West Fraser Timber Co., Ltd. 11,349 388,538 0.0%
Whitecap Resources, Inc. 244,684 1,955,575 0.0%
WSP Global, Inc. 227,214 7,360,358 0.1%
Yamana Gold, Inc. 3,207,591 11,454,829 0.1%
------------ ---
TOTAL CANADA 764,728,758 7.9%
------------ ---
DENMARK -- (1.7%)
AP Moller--Maersk A.S. Class A 7,706 11,263,574 0.1%
# AP Moller--Maersk A.S. Class B 16,058 24,631,062 0.3%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
DENMARK -- (Continued)
Carlsberg A.S. Class B 190,294 $ 17,144,409 0.2%
Danske Bank A.S. 937,398 28,917,809 0.3%
DSV A.S. 444,855 21,539,804 0.2%
* H Lundbeck A.S. 89,765 2,892,989 0.0%
ISS A.S. 315,788 12,396,475 0.1%
Novozymes A.S. Class B 47,990 1,780,275 0.0%
Tryg A.S. 12,675 247,174 0.0%
Vestas Wind Systems A.S. 680,712 54,535,811 0.6%
------------ ---
TOTAL DENMARK 175,349,382 1.8%
------------ ---
FINLAND -- (0.7%)
Fortum Oyj 944,216 15,739,048 0.2%
Neste Oyj 145,361 6,271,178 0.1%
# Stora Enso Oyj Class R 2,037,136 19,251,199 0.2%
Stora Enso Oyj Sponsored ADR 91,500 860,100 0.0%
UPM-Kymmene Oyj 1,353,907 31,493,917 0.3%
UPM-Kymmene Oyj Sponsored ADR 69,300 1,610,532 0.0%
------------ ---
TOTAL FINLAND 75,225,974 0.8%
------------ ---
FRANCE -- (8.9%)
AXA SA 1,878,981 42,394,169 0.4%
AXA SA Sponsored ADR 9,929 224,296 0.0%
BNP Paribas SA 1,521,254 88,207,260 0.9%
* Bollore SA(BD3RTL2) 10,106 36,499 0.0%
# Bollore SA(4572709) 1,500,814 4,941,054 0.1%
Bouygues SA 709,374 23,123,810 0.2%
# Casino Guichard Perrachon SA 181,821 9,051,226 0.1%
Cie de Saint-Gobain 1,719,658 76,358,268 0.8%
Cie Generale des Etablissements Michelin 334,818 36,263,478 0.4%
CNP Assurances 441,698 7,649,421 0.1%
Credit Agricole SA 588,029 6,344,239 0.1%
# Electricite de France SA 661,539 7,415,994 0.1%
# Engie SA 4,083,126 58,885,688 0.6%
Natixis SA 2,277,633 11,523,747 0.1%
# Orange SA 4,783,728 75,265,526 0.8%
* Peugeot SA 1,922,462 28,788,891 0.3%
Renault SA 759,818 66,075,160 0.7%
SCOR SE 349,012 11,302,264 0.1%
Societe Generale SA 1,935,625 75,503,898 0.8%
# STMicroelectronics NV 1,809,335 17,172,420 0.2%
Total SA 4,607,253 220,709,998 2.2%
Vivendi SA 1,149,492 23,266,335 0.2%
------------ ---
TOTAL FRANCE 890,503,641 9.2%
------------ ---
GERMANY -- (7.1%)
Allianz SE 730,758 114,074,413 1.2%
Allianz SE Sponsored ADR 2,811,910 43,668,962 0.4%
BASF SE 8,683 766,517 0.0%
# Bayerische Motoren Werke AG 972,382 84,835,907 0.9%
Commerzbank AG 1,443,145 9,828,131 0.1%
Daimler AG 2,565,266 183,011,136 1.9%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
GERMANY -- (Continued)
#* Deutsche Bank AG(5750355) 855,448 $ 12,371,170 0.1%
#* Deutsche Bank AG(D18190898) 771,660 11,104,187 0.1%
Deutsche Lufthansa AG 970,178 12,417,407 0.1%
E.ON SE 9,462,347 69,348,171 0.7%
Evonik Industries AG 6,793 212,733 0.0%
Fraport AG Frankfurt Airport Services Worldwide 106,349 6,312,926 0.1%
Hannover Rueck SE 33,914 3,783,489 0.0%
HeidelbergCement AG 345,070 32,642,950 0.3%
Linde AG 60,899 10,058,480 0.1%
Metro AG 603,069 18,064,461 0.2%
Muenchener Rueckversicherungs-Gesellschaft AG 131,549 25,541,488 0.3%
Osram Licht AG 7,588 430,974 0.0%
* RWE AG 2,182,311 34,718,788 0.4%
* Talanx AG 175,108 5,435,098 0.1%
Telefonica Deutschland Holding AG 1,391,339 5,396,050 0.1%
* Uniper SE 946,234 12,594,585 0.1%
Volkswagen AG 86,008 12,856,866 0.1%
------------ ---
TOTAL GERMANY 709,474,889 7.3%
------------ ---
HONG KONG -- (2.7%)
Bank of East Asia, Ltd. (The) 578,540 2,325,677 0.0%
# Cathay Pacific Airways, Ltd. 4,603,000 6,058,628 0.1%
CK Hutchison Holdings, Ltd. 5,014,984 61,925,181 0.6%
FIH Mobile, Ltd. 1,731,000 571,236 0.0%
Great Eagle Holdings, Ltd. 15,363 68,149 0.0%
Guoco Group, Ltd. 6,000 67,359 0.0%
Hang Lung Group, Ltd. 2,284,000 8,736,850 0.1%
Hang Lung Properties, Ltd. 4,424,000 9,728,870 0.1%
Henderson Land Development Co., Ltd. 319,042 1,887,206 0.0%
Hongkong & Shanghai Hotels, Ltd. (The) 468,131 529,033 0.0%
Hopewell Holdings, Ltd. 938,669 3,286,646 0.0%
Kerry Properties, Ltd. 2,477,000 7,843,187 0.1%
# MTR Corp., Ltd. 861,459 4,767,380 0.1%
New World Development Co., Ltd. 24,926,156 30,989,426 0.3%
NWS Holdings, Ltd. 2,036,968 3,604,114 0.1%
Shangri-La Asia, Ltd. 4,242,000 4,658,970 0.1%
Sino Land Co., Ltd. 5,960,178 10,120,020 0.1%
Sun Hung Kai Properties, Ltd. 2,980,920 44,389,245 0.5%
Swire Pacific, Ltd. Class A 2,098,000 21,806,312 0.2%
Swire Pacific, Ltd. Class B 1,117,500 2,089,765 0.0%
Wharf Holdings, Ltd. (The) 2,829,990 21,218,431 0.2%
Wheelock & Co., Ltd. 3,599,000 22,148,624 0.2%
Yue Yuen Industrial Holdings, Ltd. 160,000 609,317 0.0%
------------ ---
TOTAL HONG KONG 269,429,626 2.8%
------------ ---
IRELAND -- (0.3%)
* Bank of Ireland 33,479,054 7,166,276 0.1%
CRH P.L.C. 319,932 10,386,295 0.1%
CRH P.L.C. Sponsored ADR 301,886 9,750,918 0.1%
Paddy Power Betfair P.L.C. 2,432 252,017 0.0%
------------ ---
TOTAL IRELAND 27,555,506 0.3%
------------ ---
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
ISRAEL -- (0.4%)
Azrieli Group, Ltd. 32,693 $ 1,391,802 0.0%
Bank Hapoalim BM 3,220,797 18,576,684 0.2%
* Bank Leumi Le-Israel BM 3,203,974 12,088,781 0.1%
Israel Chemicals, Ltd. 107,601 382,368 0.0%
# Mizrahi Tefahot Bank, Ltd. 365,367 4,758,205 0.1%
----------- ---
TOTAL ISRAEL 37,197,840 0.4%
----------- ---
ITALY -- (0.9%)
Assicurazioni Generali SpA 854,617 11,039,380 0.1%
Eni SpA 364,550 5,290,443 0.1%
# Fiat Chrysler Automobiles NV(BRJFWP3) 550,814 4,037,977 0.0%
# Fiat Chrysler Automobiles NV(N31738102) 229,574 1,680,482 0.0%
Intesa Sanpaolo SpA 5,198,318 12,053,186 0.1%
Mediobanca SpA 1,494,372 10,946,700 0.1%
* Telecom Italia SpA Sponsored ADR 1,847,002 16,013,507 0.2%
# UniCredit SpA 11,297,891 28,036,952 0.3%
----------- ---
TOTAL ITALY 89,098,627 0.9%
----------- ---
JAPAN -- (22.1%)
Aeon Co., Ltd. 2,442,200 33,750,328 0.4%
Aisin Seiki Co., Ltd. 472,800 20,768,953 0.2%
Amada Holdings Co., Ltd. 694,000 7,905,422 0.1%
Aoyama Trading Co., Ltd. 41,900 1,476,088 0.0%
Asahi Glass Co., Ltd. 3,495,000 24,443,348 0.3%
Asahi Kasei Corp. 4,472,000 40,315,200 0.4%
Bank of Kyoto, Ltd. (The) 568,400 4,168,248 0.0%
Brother Industries, Ltd. 719,400 13,200,460 0.1%
Calsonic Kansei Corp. 164,000 2,055,347 0.0%
Canon Marketing Japan, Inc. 149,100 2,575,071 0.0%
Chiba Bank, Ltd. (The) 960,000 5,937,395 0.1%
Chugoku Bank, Ltd. (The) 256,900 3,446,965 0.0%
Citizen Watch Co., Ltd. 689,600 3,875,412 0.0%
Coca-Cola East Japan Co., Ltd. 123,400 2,719,930 0.0%
# Coca-Cola West Co., Ltd. 169,907 5,021,551 0.1%
COMSYS Holdings Corp. 31,300 551,021 0.0%
Concordia Financial Group, Ltd. 2,373,100 11,003,357 0.1%
Credit Saison Co., Ltd. 116,200 2,008,761 0.0%
Dai Nippon Printing Co., Ltd. 871,000 8,736,380 0.1%
Dai-ichi Life Holdings, Inc. 1,411,400 20,692,491 0.2%
Daido Steel Co., Ltd. 13,000 55,185 0.0%
# Daiwa Securities Group, Inc. 2,157,000 12,877,698 0.1%
Denka Co., Ltd. 992,000 4,500,293 0.1%
Denso Corp. 337,400 14,681,954 0.2%
DIC Corp. 228,700 6,927,739 0.1%
Dowa Holdings Co., Ltd. 231,000 1,715,592 0.0%
# Ebara Corp. 266,800 7,920,478 0.1%
Fuji Electric Co., Ltd. 201,000 1,003,710 0.0%
Fuji Media Holdings, Inc. 42,100 581,147 0.0%
FUJIFILM Holdings Corp. 827,200 31,277,179 0.3%
Fujitsu, Ltd. 3,318,000 19,679,474 0.2%
Fukuoka Financial Group, Inc. 1,044,000 4,517,881 0.1%
Furukawa Electric Co., Ltd. 42,968 1,264,139 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
JAPAN -- (Continued)
Glory, Ltd. 185,800 $ 6,142,317 0.1%
Gunma Bank, Ltd. (The) 604,496 2,886,386 0.0%
H2O Retailing Corp. 198,900 2,953,760 0.0%
Hachijuni Bank, Ltd. (The) 565,531 3,083,054 0.0%
Hankyu Hanshin Holdings, Inc. 447,400 14,812,586 0.2%
Heiwa Corp. 33,600 789,307 0.0%
Hiroshima Bank, Ltd. (The) 640,000 2,738,980 0.0%
# Hitachi Capital Corp. 103,300 2,304,355 0.0%
Hitachi Chemical Co., Ltd. 320,500 7,492,280 0.1%
# Hitachi Construction Machinery Co., Ltd. 425,500 8,900,648 0.1%
Hitachi High-Technologies Corp. 82,700 3,449,087 0.0%
Hitachi Metals, Ltd. 475,400 5,942,193 0.1%
Hitachi Transport System, Ltd. 105,000 2,164,517 0.0%
Hitachi, Ltd. 10,841,000 57,792,205 0.6%
Hokuhoku Financial Group, Inc. 191,900 2,766,196 0.0%
Honda Motor Co., Ltd. 3,689,000 110,380,798 1.1%
# House Foods Group, Inc. 65,300 1,457,723 0.0%
Ibiden Co., Ltd. 459,900 6,676,364 0.1%
# Idemitsu Kosan Co., Ltd. 115,596 2,656,385 0.0%
* IHI Corp. 1,136,000 2,988,493 0.0%
Iida Group Holdings Co., Ltd. 378,200 7,310,417 0.1%
Inpex Corp. 2,118,600 19,763,921 0.2%
Isetan Mitsukoshi Holdings, Ltd. 594,700 6,010,323 0.1%
# Isuzu Motors, Ltd. 112,300 1,389,056 0.0%
ITOCHU Corp. 3,425,500 43,259,587 0.4%
# Iyo Bank, Ltd. (The) 492,300 3,025,576 0.0%
J Front Retailing Co., Ltd. 974,400 13,413,923 0.1%
JFE Holdings, Inc. 1,698,700 24,346,729 0.3%
JGC Corp. 250,400 4,426,508 0.1%
JSR Corp. 423,400 6,434,184 0.1%
JTEKT Corp. 479,600 7,097,372 0.1%
JX Holdings, Inc. 2,890,433 11,420,566 0.1%
# K's Holdings Corp. 142,600 2,467,828 0.0%
Kamigumi Co., Ltd. 398,000 3,398,328 0.0%
Kaneka Corp. 1,156,542 9,568,865 0.1%
Kawasaki Heavy Industries, Ltd. 1,380,000 4,030,834 0.0%
# Kawasaki Kisen Kaisha, Ltd. 3,012,000 7,451,371 0.1%
Kinden Corp. 187,800 2,261,695 0.0%
#* Kobe Steel, Ltd. 971,900 8,020,417 0.1%
Komatsu, Ltd. 1,172,200 26,092,121 0.3%
Konica Minolta, Inc. 1,910,700 17,114,203 0.2%
Kuraray Co., Ltd. 1,340,000 20,315,084 0.2%
Kurita Water Industries, Ltd. 7,500 177,500 0.0%
Kyocera Corp. 200,500 9,742,085 0.1%
Kyocera Corp. Sponsored ADR 25,197 1,224,070 0.0%
Kyushu Financial Group, Inc. 459,949 3,058,401 0.0%
LIXIL Group Corp. 487,800 11,203,936 0.1%
Marubeni Corp. 5,194,400 27,295,412 0.3%
Mazda Motor Corp. 2,460,200 40,799,389 0.4%
Mebuki Financial Group, Inc. 1,177,020 4,188,723 0.0%
Medipal Holdings Corp. 258,700 4,420,201 0.1%
Mitsubishi Chemical Holdings Corp. 6,562,600 43,089,528 0.4%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
JAPAN -- (Continued)
Mitsubishi Corp. 1,039,400 $22,622,498 0.2%
# Mitsubishi Gas Chemical Co., Inc. 553,000 8,511,067 0.1%
Mitsubishi Heavy Industries, Ltd. 6,616,000 28,302,364 0.3%
Mitsubishi Logistics Corp. 31,000 419,630 0.0%
Mitsubishi Materials Corp. 518,200 14,846,924 0.2%
Mitsubishi Motors Corp. 2,078,800 11,540,210 0.1%
Mitsubishi UFJ Financial Group, Inc. 13,919,406 71,821,469 0.7%
Mitsubishi UFJ Financial Group, Inc. Sponsored ADR 4,781,372 24,624,066 0.3%
Mitsubishi UFJ Lease & Finance Co., Ltd. 1,226,200 5,936,259 0.1%
Mitsui & Co., Ltd. 939,900 13,022,331 0.1%
Mitsui & Co., Ltd. Sponsored ADR 11,723 3,228,456 0.0%
Mitsui Chemicals, Inc. 3,169,800 15,610,172 0.2%
Mitsui Fudosan Co., Ltd. 382,000 8,699,628 0.1%
Mitsui OSK Lines, Ltd. 4,123,000 10,310,301 0.1%
Mizuho Financial Group, Inc. 49,478,100 83,308,851 0.9%
Mizuho Financial Group, Inc. ADR 205,757 689,286 0.0%
MS&AD Insurance Group Holdings, Inc. 588,653 17,475,227 0.2%
NEC Corp. 10,595,101 28,331,515 0.3%
NGK Spark Plug Co., Ltd. 16,000 317,525 0.0%
NH Foods, Ltd. 179,536 4,302,332 0.0%
NHK Spring Co., Ltd. 555,900 5,261,794 0.1%
# Nikon Corp. 750,200 11,337,705 0.1%
Nippo Corp. 179,000 3,452,955 0.0%
Nippon Electric Glass Co., Ltd. 551,000 2,997,426 0.0%
Nippon Express Co., Ltd. 3,529,238 17,432,469 0.2%
# Nippon Paper Industries Co., Ltd. 373,800 6,996,302 0.1%
Nippon Shokubai Co., Ltd. 98,800 6,818,189 0.1%
Nippon Steel & Sumitomo Metal Corp. 2,021,593 40,053,539 0.4%
Nippon Yusen K.K. 7,713,000 15,784,732 0.2%
Nissan Motor Co., Ltd. 6,443,700 65,548,427 0.7%
Nisshinbo Holdings, Inc. 305,000 3,036,658 0.0%
NOK Corp. 331,020 7,459,776 0.1%
Nomura Holdings, Inc. 3,790,000 18,983,861 0.2%
Nomura Real Estate Holdings, Inc. 357,100 6,030,223 0.1%
NSK, Ltd. 312,100 3,469,464 0.0%
Obayashi Corp. 279,682 2,694,235 0.0%
Oji Holdings Corp. 3,833,000 16,206,659 0.2%
ORIX Corp. 2,377,900 37,681,131 0.4%
Otsuka Holdings Co., Ltd. 30,300 1,326,106 0.0%
Resona Holdings, Inc. 7,208,900 31,953,298 0.3%
Ricoh Co., Ltd. 3,215,400 26,206,239 0.3%
Rohm Co., Ltd. 84,700 4,452,220 0.1%
Sankyo Co., Ltd. 73,900 2,603,423 0.0%
# SBI Holdings, Inc. 643,100 7,639,557 0.1%
Sega Sammy Holdings, Inc. 169,200 2,498,383 0.0%
Seino Holdings Co., Ltd. 362,100 4,012,317 0.0%
Sekisui Chemical Co., Ltd. 105,000 1,653,612 0.0%
Sekisui House, Ltd. 1,345,900 22,239,280 0.2%
Shinsei Bank, Ltd. 3,134,000 5,066,932 0.1%
# Shizuoka Bank, Ltd. (The) 799,000 6,743,188 0.1%
Showa Shell Sekiyu K.K. 184,300 1,717,177 0.0%
Sojitz Corp. 2,218,300 5,821,427 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
JAPAN -- (Continued)
Sompo Holdings, Inc. 381,700 $ 12,350,588 0.1%
# Sony Corp. Sponsored ADR 100,009 3,133,282 0.0%
# Sumco Corp. 46,900 490,693 0.0%
# Sumitomo Chemical Co., Ltd. 7,613,000 36,004,739 0.4%
Sumitomo Corp. 817,500 9,398,474 0.1%
Sumitomo Electric Industries, Ltd. 2,838,500 41,934,499 0.4%
Sumitomo Forestry Co., Ltd. 526,400 7,332,885 0.1%
Sumitomo Heavy Industries, Ltd. 2,186,000 11,508,221 0.1%
Sumitomo Metal Mining Co., Ltd. 1,067,000 13,865,502 0.1%
Sumitomo Mitsui Financial Group, Inc. 2,854,200 98,959,858 1.0%
Sumitomo Mitsui Trust Holdings, Inc. 518,744 17,503,847 0.2%
Sumitomo Rubber Industries, Ltd. 659,000 11,055,561 0.1%
Suzuken Co., Ltd. 113,000 3,629,398 0.0%
T&D Holdings, Inc. 2,331,000 28,188,432 0.3%
Taiheiyo Cement Corp. 2,798,212 8,013,807 0.1%
Takashimaya Co., Ltd. 753,634 6,146,631 0.1%
TDK Corp. 443,000 30,587,138 0.3%
Teijin, Ltd. 771,690 14,910,138 0.2%
THK Co., Ltd. 251,800 5,316,448 0.1%
Tokai Rika Co., Ltd. 165,500 3,103,567 0.0%
Tokio Marine Holdings, Inc. 244,600 9,647,844 0.1%
Tokyo Broadcasting System Holdings, Inc. 20,600 323,701 0.0%
Tokyo Tatemono Co., Ltd. 132,000 1,676,778 0.0%
Tokyu Fudosan Holdings Corp. 458,300 2,583,144 0.0%
Toppan Printing Co., Ltd. 973,000 9,150,105 0.1%
Tosoh Corp. 2,121,000 13,851,196 0.1%
Toyo Seikan Group Holdings, Ltd. 309,449 5,707,828 0.1%
Toyoda Gosei Co., Ltd. 228,500 5,235,999 0.1%
Toyota Industries Corp. 198,500 9,107,839 0.1%
Toyota Motor Corp. 269,290 15,620,628 0.2%
Toyota Tsusho Corp. 976,400 23,051,323 0.2%
Ube Industries, Ltd. 3,078,000 6,351,723 0.1%
Yamada Denki Co., Ltd. 2,346,300 12,127,990 0.1%
Yamaguchi Financial Group, Inc. 320,148 3,529,414 0.0%
Yokohama Rubber Co., Ltd. (The) 352,900 6,127,253 0.1%
Zeon Corp. 6,000 54,810 0.0%
-------------- ----
TOTAL JAPAN 2,220,530,082 22.8%
-------------- ----
NETHERLANDS -- (3.2%)
Aegon NV 2,344,257 10,141,119 0.1%
Akzo Nobel NV 32,447 2,096,434 0.0%
* ArcelorMittal(B03XPL1) 3,861,973 26,095,190 0.3%
#* ArcelorMittal(B295F26) 1,085,424 7,304,903 0.1%
Boskalis Westminster 192,237 6,199,943 0.1%
Gemalto NV 22,216 1,208,406 0.0%
ING Groep NV 6,261,830 82,199,110 0.8%
# ING Groep NV Sponsored ADR 1,202,410 15,763,595 0.2%
Koninklijke Ahold Delhaize NV 1,484,495 33,864,898 0.3%
Koninklijke Ahold Delhaize NV Sponsored ADR 211,969 4,828,654 0.1%
Koninklijke DSM NV 739,169 47,509,724 0.5%
Koninklijke KPN NV 762,865 2,487,512 0.0%
Koninklijke Philips NV(500472303) 426,792 12,816,564 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NETHERLANDS -- (Continued)
Koninklijke Philips NV(5986622) 1,794,168 $ 54,062,166 0.6%
NN Group NV 336,921 10,148,949 0.1%
------------ ---
TOTAL NETHERLANDS 316,727,167 3.3%
------------ ---
NEW ZEALAND -- (0.1%)
Auckland International Airport, Ltd. 552,228 2,600,754 0.0%
Fletcher Building, Ltd. 1,227,588 9,094,053 0.1%
Fonterra Co-operative Group, Ltd. 106,924 451,011 0.0%
------------ ---
TOTAL NEW ZEALAND 12,145,818 0.1%
------------ ---
NORWAY -- (0.8%)
DNB ASA 1,624,432 23,483,885 0.3%
Norsk Hydro ASA 2,457,207 10,985,529 0.1%
Norsk Hydro ASA Sponsored ADR 59,900 268,053 0.0%
#* Seadrill, Ltd. 584,649 1,245,302 0.0%
# Statoil ASA 1,261,527 20,595,696 0.2%
# Statoil ASA Sponsored ADR 533,496 8,663,975 0.1%
#* Storebrand ASA 620,888 3,193,309 0.0%
#* Subsea 7 SA 295,671 3,309,850 0.0%
Yara International ASA 156,556 5,530,223 0.1%
------------ ---
TOTAL NORWAY 77,275,822 0.8%
------------ ---
PORTUGAL -- (0.0%)
* Banco Espirito Santo SA 2,631,973 -- 0.0%
EDP Renovaveis SA 541,158 4,088,097 0.0%
------------ ---
TOTAL PORTUGAL 4,088,097 0.0%
------------ ---
SINGAPORE -- (1.0%)
CapitaLand, Ltd. 3,934,100 8,725,499 0.1%
City Developments, Ltd. 1,110,600 6,762,145 0.1%
DBS Group Holdings, Ltd. 2,107,512 22,716,253 0.2%
Frasers Centrepoint, Ltd. 453,300 483,869 0.0%
Golden Agri-Resources, Ltd. 12,719,900 3,512,338 0.0%
# Hutchison Port Holdings Trust 16,251,500 7,219,079 0.1%
Keppel Corp., Ltd. 4,559,400 17,242,030 0.2%
Olam International, Ltd. 484,500 748,587 0.0%
SembCorp Industries, Ltd. 1,345,900 2,437,174 0.0%
Singapore Airlines, Ltd. 2,389,100 17,385,355 0.2%
United Industrial Corp., Ltd. 1,952,670 3,819,519 0.0%
UOL Group, Ltd. 974,274 3,962,550 0.0%
Wilmar International, Ltd. 1,831,400 4,347,956 0.1%
------------ ---
TOTAL SINGAPORE 99,362,354 1.0%
------------ ---
SPAIN -- (2.8%)
Acciona SA 11,619 882,966 0.0%
Banco de Sabadell SA 8,853,396 11,821,299 0.1%
Banco Popular Espanol SA 3,182,696 3,482,290 0.1%
Banco Santander SA 38,416,551 188,242,084 1.9%
Banco Santander SA Sponsored ADR 784,463 3,796,801 0.1%
CaixaBank SA 3,645,520 10,999,946 0.1%
Iberdrola SA 3,626,246 24,678,228 0.3%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SPAIN -- (Continued)
Mapfre SA 1,066,920 $ 3,164,940 0.0%
Repsol SA 2,329,313 32,523,009 0.3%
------------ ---
TOTAL SPAIN 279,591,563 2.9%
------------ ---
SWEDEN -- (2.2%)
Boliden AB 1,273,315 29,510,907 0.3%
Holmen AB Class A 2,781 94,840 0.0%
Holmen AB Class B 24,786 848,070 0.0%
# ICA Gruppen AB 2,667 82,796 0.0%
Millicom International Cellular SA 55,723 2,448,289 0.0%
Nordea Bank AB 4,880,877 51,293,747 0.5%
Skandinaviska Enskilda Banken AB Class A 2,310,499 23,304,592 0.2%
Skandinaviska Enskilda Banken AB Class C 25,796 261,259 0.0%
Svenska Cellulosa AB SCA Class A 62,923 1,782,789 0.0%
Svenska Cellulosa AB SCA Class B 1,372,783 38,881,063 0.4%
Svenska Handelsbanken AB Class A 800,713 10,916,220 0.1%
Svenska Handelsbanken AB Class B 3,434 46,124 0.0%
Swedbank AB Class A 196,317 4,593,664 0.1%
Tele2 AB Class B 840,482 6,940,306 0.1%
# Telefonaktiebolaget LM Ericsson Class A 28,098 151,792 0.0%
Telefonaktiebolaget LM Ericsson Class B 4,879,427 23,669,415 0.3%
Telefonaktiebolaget LM Ericsson Sponsored ADR 834,580 4,064,405 0.1%
Telia Co AB 5,789,696 23,128,973 0.2%
------------ ---
TOTAL SWEDEN 222,019,251 2.3%
------------ ---
SWITZERLAND -- (7.6%)
ABB, Ltd. 4,800,878 99,044,119 1.0%
ABB, Ltd. Sponsored ADR 271,992 5,616,635 0.1%
Adecco Group AG 640,328 38,022,644 0.4%
Baloise Holding AG 200,163 24,625,955 0.2%
Banque Cantonale Vaudoise 468 294,016 0.0%
Cie Financiere Richemont SA 1,271,917 81,771,387 0.8%
Clariant AG 1,150,414 19,050,230 0.2%
Credit Suisse Group AG 859,528 11,992,799 0.1%
Credit Suisse Group AG Sponsored ADR 1,052,790 14,633,781 0.1%
* Dufry AG 62,211 7,568,441 0.1%
Flughafen Zuerich AG 10,906 2,004,784 0.0%
Julius Baer Group, Ltd. 100,967 4,087,303 0.0%
LafargeHolcim, Ltd.(7110753) 752,842 40,157,129 0.4%
LafargeHolcim, Ltd.(BZ3DNX4) 375,078 20,032,584 0.2%
Novartis AG 1,332,371 94,555,149 1.0%
Novartis AG Sponsored ADR 6,178 438,762 0.0%
Swatch Group AG (The)(7184736) 148,927 8,585,339 0.1%
# Swatch Group AG (The)(7184725) 121,282 36,476,395 0.4%
Swiss Life Holding AG 57,586 15,239,132 0.2%
Swiss Re AG 1,037,390 96,281,939 1.0%
UBS Group AG(BRJL176) 3,448,485 48,753,503 0.5%
#* UBS Group AG(H42097107) 500,015 7,035,211 0.1%
Zurich Insurance Group AG 326,468 85,455,128 0.9%
------------ ---
TOTAL SWITZERLAND 761,722,365 7.8%
------------ ---
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%
# Antofagasta P.L.C. 205,201 1,364,805 0.0%
Aviva P.L.C. 1,136,673 6,159,375 0.1%
Barclays P.L.C. 164,749 381,692 0.0%
Barclays P.L.C. Sponsored ADR 4,766,662 43,948,624 0.5%
Barratt Developments P.L.C. 1,006,942 5,583,929 0.1%
BHP Billiton P.L.C. 767,576 11,542,089 0.1%
# BHP Billiton P.L.C. ADR 268,993 8,134,348 0.1%
BP P.L.C. 2,461,861 14,553,794 0.1%
BP P.L.C. Sponsored ADR 10,710,966 380,774,841 3.9%
Carnival P.L.C. 195,004 9,405,606 0.1%
# Carnival P.L.C. ADR 47,242 2,308,717 0.0%
Coca-Cola European Partners P.L.C. 20,127 774,593 0.0%
* 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%
Investec P.L.C. 16,581 102,905 0.0%
J Sainsbury P.L.C. 7,029,804 21,553,676 0.2%
Kingfisher P.L.C. 7,403,317 32,703,550 0.3%
Lloyds Banking Group P.L.C. 42,627,612 29,767,842 0.3%
# Lloyds Banking Group P.L.C. ADR 999,149 2,817,600 0.0%
Old Mutual P.L.C. 791,890 1,948,000 0.0%
Pearson P.L.C. 813,680 7,527,654 0.1%
# Pearson P.L.C. Sponsored ADR 1,237,005 11,417,556 0.1%
* Royal Bank of Scotland Group P.L.C. 2,796,353 6,462,119 0.1%
#* Royal Bank of Scotland Group P.L.C. Sponsored ADR 409,166 1,894,439 0.0%
Royal Dutch Shell P.L.C. Class A 2,199,265 54,777,180 0.6%
Royal Dutch Shell P.L.C. Class B 398,623 10,281,485 0.1%
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%
Royal Mail P.L.C. 539,286 3,235,443 0.0%
* Standard Chartered P.L.C. 3,984,128 34,645,620 0.4%
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%
# WM Morrison Supermarkets P.L.C. 6,735,041 18,644,369 0.2%
-------------- ----
TOTAL UNITED KINGDOM 1,774,521,759 18.2%
-------------- ----
UNITED STATES -- (0.0%)
Mylan NV 22,254 812,282 0.0%
-------------- ----
TOTAL COMMON STOCKS 9,571,294,827 98.4%
-------------- ----
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Bayerische Motoren Werke AG 50,035 3,798,937 0.0%
Porsche Automobil Holding SE 267,840 14,473,644 0.1%
Volkswagen AG 535,010 73,764,785 0.8%
-------------- ----
TOTAL GERMANY 92,037,366 0.9%
-------------- ----
TOTAL PREFERRED STOCKS 92,037,366 0.9%
-------------- ----
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
* Banco Santander SA Rights 11/07/16 38,416,550 $ 2,150,761 0.0%
--------------- -----
SWEDEN -- (0.0%)
* Tele2 AB Rights 11/16/16 Class B 840,482 251,828 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%
=============== =====
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 41,922,122 274,805,045 -- 316,727,167
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 1,033,348,012 741,173,747 -- 1,774,521,759
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 H)
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
COMMON STOCKS -- (91.7%)
Consumer Discretionary -- (17.8%)
# Accordia Golf Co., Ltd. 375,789 $ 3,792,761 0.1%
# Adastria Co., Ltd. 194,640 5,095,303 0.2%
# Aeon Fantasy Co., Ltd. 49,332 1,529,889 0.1%
* AGORA Hospitality Group Co., Ltd. 591,000 197,653 0.0%
Ahresty Corp. 137,600 1,555,315 0.1%
Aigan Co., Ltd. 43,800 84,292 0.0%
Aisan Industry Co., Ltd. 201,800 1,642,809 0.1%
#* Akebono Brake Industry Co., Ltd. 546,800 1,046,477 0.0%
# Alpen Co., Ltd. 111,900 2,039,044 0.1%
Alpha Corp. 30,400 297,141 0.0%
Alpine Electronics, Inc. 277,500 3,704,149 0.1%
Amiyaki Tei Co., Ltd. 25,600 945,746 0.0%
Amuse, Inc. 70,298 1,188,836 0.0%
* Anrakutei Co., Ltd. 2,200 94,810 0.0%
AOI Pro, Inc. 46,500 368,490 0.0%
AOKI Holdings, Inc. 268,400 3,245,470 0.1%
Aoyama Trading Co., Ltd. 304,000 10,709,561 0.4%
Arata Corp. 26,300 601,306 0.0%
Arcland Sakamoto Co., Ltd. 176,200 2,098,716 0.1%
Arcland Service Holdings Co., Ltd. 38,700 1,148,543 0.0%
Asahi Broadcasting Corp. 24,800 161,780 0.0%
Asahi Co., Ltd. 103,300 1,248,480 0.1%
Asante, Inc. 15,100 228,868 0.0%
Asatsu-DK, Inc. 207,400 5,755,600 0.2%
# Ashimori Industry Co., Ltd. 254,000 403,067 0.0%
# ASKUL Corp. 42,000 1,729,472 0.1%
Atom Corp. 414,900 2,743,365 0.1%
Atsugi Co., Ltd. 961,000 1,052,213 0.0%
Autobacs Seven Co., Ltd. 455,700 6,479,325 0.2%
Avex Group Holdings, Inc. 225,400 2,981,444 0.1%
Belluna Co., Ltd. 291,800 1,947,149 0.1%
Best Denki Co., Ltd. 351,100 461,395 0.0%
Bic Camera, Inc. 546,600 4,704,540 0.2%
Bookoff Corp. 59,400 462,917 0.0%
BRONCO BILLY Co., Ltd. 62,800 1,857,827 0.1%
Calsonic Kansei Corp. 367,000 4,599,464 0.2%
# Can Do Co., Ltd. 65,500 1,140,264 0.0%
Central Sports Co., Ltd. 33,800 808,587 0.0%
CHIMNEY Co., Ltd. 27,800 791,425 0.0%
Chiyoda Co., Ltd. 102,100 2,424,080 0.1%
Chofu Seisakusho Co., Ltd. 109,200 2,806,713 0.1%
Chori Co., Ltd. 71,800 1,138,476 0.0%
Chuo Spring Co., Ltd. 196,000 574,206 0.0%
Clarion Co., Ltd. 677,000 2,221,155 0.1%
Cleanup Corp. 129,700 1,104,495 0.0%
Coco's Japan Co., Ltd. 1,400 25,435 0.0%
# Colowide Co., Ltd. 357,500 6,945,808 0.2%
Corona Corp. 84,800 907,254 0.0%
Create Restaurants Holdings, Inc. 174,300 1,652,505 0.1%
#* Cross Plus, Inc. 14,800 85,981 0.0%
#* D.A. Consortium Holdings, Inc. 118,700 796,842 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Consumer Discretionary -- (Continued)
Daido Metal Co., Ltd. 193,000 $2,081,419 0.1%
# Daidoh, Ltd. 139,800 550,218 0.0%
# Daiichikosho Co., Ltd. 101,900 4,429,798 0.2%
# Daikoku Denki Co., Ltd. 51,800 830,759 0.0%
Daikyonishikawa Corp. 200,400 2,594,791 0.1%
Dainichi Co., Ltd. 49,300 305,160 0.0%
Daisyo Corp. 47,200 689,933 0.0%
# DCM Holdings Co., Ltd. 530,600 4,648,225 0.2%
Descente, Ltd. 250,600 3,474,956 0.1%
#* DLE, Inc. 43,400 284,768 0.0%
Doshisha Co., Ltd. 146,100 3,023,321 0.1%
Doutor Nichires Holdings Co., Ltd. 195,386 3,910,781 0.1%
Dunlop Sports Co., Ltd. 76,600 752,299 0.0%
Dynic Corp. 174,000 280,085 0.0%
Eagle Industry Co., Ltd. 147,200 2,100,178 0.1%
# EDION Corp. 513,900 4,552,844 0.2%
# ES-Con Japan, Ltd. 209,400 636,929 0.0%
Exedy Corp. 193,000 5,514,411 0.2%
# F-Tech, Inc. 39,200 515,538 0.0%
FCC Co., Ltd. 231,400 5,105,036 0.2%
Fields Corp. 73,600 892,314 0.0%
Fine Sinter Co., Ltd. 9,800 159,365 0.0%
# First Juken Co., Ltd. 22,400 296,036 0.0%
FJ Next Co., Ltd. 31,800 189,333 0.0%
Foster Electric Co., Ltd. 140,200 2,572,676 0.1%
France Bed Holdings Co., Ltd. 139,600 1,192,368 0.0%
# FTGroup Co., Ltd. 74,000 586,311 0.0%
# Fuji Co. Ltd/Ehime 110,400 2,318,642 0.1%
Fuji Corp. 2,100 41,820 0.0%
Fuji Corp., Ltd. 149,600 1,000,837 0.0%
Fuji Kiko Co., Ltd. 137,400 502,410 0.0%
# Fuji Kyuko Co., Ltd. 250,000 2,866,980 0.1%
Fuji Oozx, Inc. 6,000 21,025 0.0%
Fujibo Holdings, Inc. 67,100 2,121,993 0.1%
# Fujikura Rubber, Ltd. 88,400 481,946 0.0%
# Fujio Food System Co., Ltd. 8,300 208,790 0.0%
Fujishoji Co., Ltd. 47,100 499,465 0.0%
# Fujita Kanko, Inc. 147,000 488,470 0.0%
FuKoKu Co., Ltd. 40,800 323,246 0.0%
# Funai Electric Co., Ltd. 121,700 992,271 0.0%
# Furukawa Battery Co., Ltd. (The) 89,000 630,415 0.0%
Futaba Industrial Co., Ltd. 344,700 2,059,511 0.1%
G-7 Holdings, Inc. 32,000 409,729 0.0%
G-Tekt Corp. 110,800 2,104,469 0.1%
Gakken Holdings Co., Ltd. 313,000 1,037,527 0.0%
Gakkyusha Co., Ltd. 7,300 89,310 0.0%
# Genki Sushi Co., Ltd. 13,100 253,243 0.0%
# Geo Holdings Corp. 223,300 2,832,778 0.1%
Gfoot Co., Ltd. 3,000 21,689 0.0%
# GLOBERIDE, Inc. 62,299 1,067,173 0.0%
# Gokurakuyu Co., Ltd. 10,900 105,053 0.0%
# Goldwin, Inc. 4,000 183,521 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Golf Digest Online, Inc. 49,500 $ 385,701 0.0%
# Gourmet Kineya Co., Ltd. 85,000 810,708 0.0%
GSI Creos Corp. 306,000 334,823 0.0%
Gunze, Ltd. 1,080,000 3,624,954 0.1%
H-One Co., Ltd. 75,700 666,481 0.0%
H2O Retailing Corp. 322,200 4,784,825 0.2%
# Hagihara Industries, Inc. 35,500 832,689 0.0%
Hakuyosha Co., Ltd. 6,500 154,999 0.0%
# Handsman Co., Ltd. 17,400 326,833 0.0%
# Happinet Corp. 93,800 991,666 0.0%
Hard Off Corp. Co., Ltd. 57,900 634,023 0.0%
Haruyama Trading Co., Ltd. 47,900 368,828 0.0%
Heiwa Corp. 200,400 4,707,654 0.2%
HI-LEX Corp. 61,900 1,692,237 0.1%
Hiday Hidaka Corp. 97,447 2,428,743 0.1%
# Himaraya Co., Ltd. 35,900 274,902 0.0%
# Hiramatsu, Inc. 174,500 1,018,854 0.0%
# HIS Co., Ltd. 247,200 6,746,799 0.2%
Honeys Co., Ltd. 106,040 1,247,716 0.1%
Hoosiers Holdings 181,100 926,462 0.0%
# Hotland Co., Ltd. 32,300 314,360 0.0%
I K K, Inc. 21,700 124,423 0.0%
IBJ, Inc. 103,500 745,588 0.0%
# Ichibanya Co., Ltd. 36,258 1,370,976 0.1%
# Ichikoh Industries, Ltd. 286,000 881,679 0.0%
# IDOM, Inc. 420,500 2,194,577 0.1%
IJT Technology Holdings Co., Ltd. 124,680 493,322 0.0%
Imasen Electric Industrial 93,900 834,898 0.0%
Imperial Hotel, Ltd. 13,000 260,705 0.0%
Intage Holdings, Inc. 95,900 1,723,871 0.1%
* Izuhakone Railway Co., Ltd. 300 -- 0.0%
#* Izutsuya Co., Ltd. 61,699 230,218 0.0%
#* Janome Sewing Machine Co., Ltd. 106,400 785,428 0.0%
Japan Wool Textile Co., Ltd. (The) 343,000 2,501,062 0.1%
# Jin Co., Ltd. 84,100 4,366,383 0.1%
# Joban Kosan Co., Ltd. 35,399 515,401 0.0%
Joshin Denki Co., Ltd. 205,000 1,752,845 0.1%
Joyful Honda Co., Ltd. 17,400 480,381 0.0%
# JP-Holdings, Inc. 374,800 942,415 0.0%
# JVC Kenwood Corp. 885,430 2,392,751 0.1%
# K's Holdings Corp. 48,000 830,685 0.0%
* Kadokawa Dwango 328,233 4,847,131 0.2%
# Kappa Create Co., Ltd. 137,700 1,596,483 0.1%
Kasai Kogyo Co., Ltd. 138,300 1,566,381 0.1%
Kawai Musical Instruments Manufacturing Co., Ltd. 45,200 885,324 0.0%
Keihin Corp. 267,500 4,372,818 0.2%
# Keiyo Co., Ltd. 179,800 907,348 0.0%
# KFC Holdings Japan, Ltd. 88,700 1,572,607 0.1%
#* Kintetsu Department Store Co., Ltd. 216,000 718,181 0.0%
Kitamura Co., Ltd. 2,000 14,990 0.0%
#* KNT-CT Holdings Co., Ltd. 697,000 769,839 0.0%
# Kohnan Shoji Co., Ltd. 188,500 3,728,582 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
#* Kojima Co., Ltd. 176,000 $ 400,393 0.0%
# Komatsu Seiren Co., Ltd. 193,700 1,205,444 0.0%
# Komehyo Co., Ltd. 18,600 176,601 0.0%
Komeri Co., Ltd. 202,200 4,937,206 0.2%
# Konaka Co., Ltd. 117,560 558,357 0.0%
# Koshidaka Holdings Co., Ltd. 56,300 916,552 0.0%
Kourakuen Holdings Corp. 47,400 702,827 0.0%
# KU Holdings Co., Ltd. 130,900 999,743 0.0%
Kura Corp. 69,200 3,487,266 0.1%
Kurabo Industries, Ltd. 1,241,000 2,479,388 0.1%
KYB Corp. 1,157,000 5,290,695 0.2%
# Kyoritsu Maintenance Co., Ltd. 83,831 5,028,740 0.2%
#* Laox Co., Ltd. 172,800 1,393,995 0.1%
LEC, Inc. 41,600 1,055,844 0.0%
Look, Inc. 228,000 342,961 0.0%
# Mamiya-Op Co., Ltd. 25,800 294,356 0.0%
Mars Engineering Corp. 50,500 1,001,276 0.0%
#* Maruei Department Store Co., Ltd. 17,000 13,111 0.0%
#* Maruzen CHI Holdings Co., Ltd. 41,700 148,600 0.0%
# Matsuya Co., Ltd. 188,500 1,508,074 0.1%
# Matsuya Foods Co., Ltd. 51,600 1,673,504 0.1%
# Meiko Network Japan Co., Ltd. 146,800 1,381,512 0.1%
Meiwa Estate Co., Ltd. 62,800 348,302 0.0%
Mikuni Corp. 118,000 397,621 0.0%
Misawa Homes Co., Ltd. 164,000 1,234,024 0.0%
Mitsuba Corp. 208,690 3,046,641 0.1%
Mitsui Home Co., Ltd. 165,000 727,426 0.0%
Mizuno Corp. 594,000 3,195,300 0.1%
# Monogatari Corp. (The) 31,500 1,448,497 0.1%
Morito Co., Ltd. 8,500 65,275 0.0%
Mr Max Corp. 99,200 360,765 0.0%
Murakami Corp. 11,000 191,860 0.0%
Musashi Seimitsu Industry Co., Ltd. 145,900 3,573,526 0.1%
# Nafco Co., Ltd. 35,800 578,511 0.0%
Nagawa Co., Ltd. 15,000 620,644 0.0%
* Naigai Co., Ltd. 544,000 305,876 0.0%
Nakayamafuku Co., Ltd. 12,300 90,919 0.0%
# Next Co., Ltd. 312,900 2,626,191 0.1%
NHK Spring Co., Ltd. 123,200 1,166,132 0.0%
Nice Holdings, Inc. 444,000 587,596 0.0%
Nichirin Co., Ltd. 15,600 240,993 0.0%
Nihon Eslead Corp. 35,000 388,146 0.0%
# Nihon House Holdings Co., Ltd. 233,300 874,778 0.0%
Nihon Plast Co., Ltd. 44,500 419,157 0.0%
Nihon Tokushu Toryo Co., Ltd. 78,800 1,113,994 0.0%
Nippon Felt Co., Ltd. 58,200 274,538 0.0%
# Nippon Piston Ring Co., Ltd. 48,600 741,744 0.0%
Nippon Seiki Co., Ltd. 244,400 4,725,270 0.2%
Nippon View Hotel Co., Ltd. 1,900 22,911 0.0%
Nishikawa Rubber Co., Ltd. 15,000 213,142 0.0%
Nishimatsuya Chain Co., Ltd. 172,700 2,431,178 0.1%
Nissan Shatai Co., Ltd. 241,800 2,496,369 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Nissan Tokyo Sales Holdings Co., Ltd. 208,000 $ 510,812 0.0%
Nissei Build Kogyo Co., Ltd. 388,000 1,813,714 0.1%
Nissin Kogyo Co., Ltd. 230,200 3,405,835 0.1%
Nittan Valve Co., Ltd. 86,000 293,273 0.0%
Nojima Corp. 129,700 1,680,398 0.1%
Ohashi Technica, Inc. 36,600 488,660 0.0%
# Ohsho Food Service Corp. 66,700 2,566,912 0.1%
Onward Holdings Co., Ltd. 736,000 4,926,561 0.2%
Ootoya Holdings Co., Ltd. 7,400 135,389 0.0%
# OPT Holding, Inc. 86,700 584,243 0.0%
# Otsuka Kagu, Ltd. 55,600 622,043 0.0%
Pacific Industrial Co., Ltd. 248,400 3,054,465 0.1%
# Pal Co., Ltd. 75,500 1,870,512 0.1%
PALTAC Corp. 214,634 5,267,138 0.2%
PanaHome Corp. 507,200 3,772,281 0.1%
PAPYLESS Co., Ltd. 1,800 47,753 0.0%
Parco Co., Ltd. 123,400 1,143,205 0.0%
Paris Miki Holdings, Inc. 159,100 677,084 0.0%
# PC Depot Corp. 234,241 1,146,260 0.0%
People Co., Ltd. 17,000 328,652 0.0%
PIA Corp. 15,100 353,393 0.0%
Piolax, Inc. 56,700 3,604,798 0.1%
#* Pioneer Corp. 1,938,300 4,753,925 0.2%
Plenus Co., Ltd. 133,800 2,753,879 0.1%
Press Kogyo Co., Ltd. 571,300 2,782,189 0.1%
Pressance Corp. 214,000 2,466,108 0.1%
Proto Corp. 64,100 727,024 0.0%
# Raccoon Co., Ltd. 30,400 151,236 0.0%
Renaissance, Inc. 60,600 818,727 0.0%
#* Renown, Inc. 306,000 305,999 0.0%
# Resort Solution Co., Ltd. 168,000 516,767 0.0%
Rhythm Watch Co., Ltd. 559,000 952,759 0.0%
# Riberesute Corp. 36,900 279,269 0.0%
Ride On Express Co., Ltd. 18,700 187,324 0.0%
# Right On Co., Ltd. 87,425 861,316 0.0%
Riken Corp. 54,100 1,980,897 0.1%
Ringer Hut Co., Ltd. 105,800 2,693,695 0.1%
Riso Kyoiku Co., Ltd. 211,700 1,204,416 0.0%
Round One Corp. 456,600 3,225,618 0.1%
Royal Holdings Co., Ltd. 186,600 3,224,581 0.1%
# Sac's Bar Holdings, Inc. 103,450 1,106,687 0.0%
Saizeriya Co., Ltd. 194,300 5,117,628 0.2%
# Sakai Ovex Co., Ltd. 29,799 543,855 0.0%
San Holdings, Inc. 15,400 224,367 0.0%
# Sanden Holdings Corp. 714,000 2,209,867 0.1%
Sanei Architecture Planning Co., Ltd. 50,300 895,967 0.0%
Sangetsu Corp. 328,750 6,348,363 0.2%
# Sanko Marketing Foods Co., Ltd. 27,800 252,328 0.0%
Sankyo Seiko Co., Ltd. 183,400 600,212 0.0%
Sanoh Industrial Co., Ltd. 136,500 940,452 0.0%
# Sanrio Co., Ltd. 293,600 5,499,272 0.2%
Sanyo Electric Railway Co., Ltd. 277,000 1,366,332 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Consumer Discretionary -- (Continued)
Sanyo Housing Nagoya Co., Ltd. 46,100 $ 402,923 0.0%
# Sanyo Shokai, Ltd. 669,000 1,077,290 0.0%
Sato Restaurant Systems Co., Ltd. 74,100 581,469 0.0%
# Scroll Corp. 166,300 579,137 0.0%
# Seiko Holdings Corp. 979,407 3,205,903 0.1%
Seiren Co., Ltd. 306,800 3,588,265 0.1%
Senshukai Co., Ltd. 174,500 1,182,737 0.0%
# Septeni Holdings Co., Ltd. 609,000 2,741,008 0.1%
Seria Co., Ltd. 12,400 978,229 0.0%
SFP Dining Co., Ltd. 49,600 734,977 0.0%
# Shidax Corp. 105,200 424,130 0.0%
Shikibo, Ltd. 779,000 898,046 0.0%
Shimachu Co., Ltd. 297,200 7,974,727 0.3%
Shimojima Co., Ltd. 27,900 279,477 0.0%
Shobunsha Publications, Inc. 258,500 1,482,220 0.1%
Shochiku Co., Ltd. 54,000 604,960 0.0%
Shoei Co., Ltd. 39,500 719,646 0.0%
Showa Corp. 317,500 2,078,093 0.1%
SKY Perfect JSAT Holdings, Inc. 764,600 3,789,007 0.1%
Snow Peak, Inc. 22,200 761,692 0.0%
SNT Corp. 90,600 425,401 0.0%
# Soft99 Corp. 68,600 482,627 0.0%
# Sotoh Co., Ltd. 41,400 489,347 0.0%
SPK Corp. 19,800 408,412 0.0%
St Marc Holdings Co., Ltd. 101,400 2,845,957 0.1%
Starts Corp., Inc. 168,100 3,117,620 0.1%
Step Co., Ltd. 40,700 485,005 0.0%
Studio Alice Co., Ltd. 57,700 1,164,591 0.0%
Suminoe Textile Co., Ltd. 323,000 682,639 0.0%
Sumitomo Riko Co., Ltd. 235,200 2,252,886 0.1%
# Sun Corp. 52,500 350,476 0.0%
Suncall Corp. 27,000 120,726 0.0%
T RAD Co., Ltd. 412,000 900,440 0.0%
T-Gaia Corp. 155,100 2,385,572 0.1%
Tachi-S Co., Ltd. 166,140 2,757,432 0.1%
# Tachikawa Corp. 52,400 381,361 0.0%
Taiho Kogyo Co., Ltd. 98,200 1,409,579 0.1%
#* Takata Corp. 168,000 583,534 0.0%
Take And Give Needs Co., Ltd. 54,070 259,504 0.0%
Takihyo Co., Ltd. 79,000 329,480 0.0%
# Tama Home Co., Ltd. 95,900 503,103 0.0%
# Tamron Co., Ltd. 128,500 2,249,835 0.1%
# TASAKI & Co., Ltd. 88,900 1,253,189 0.1%
TBK Co., Ltd. 115,600 478,364 0.0%
Tear Corp. 7,100 42,065 0.0%
Tenpos Busters Co., Ltd. 5,000 80,599 0.0%
Tigers Polymer Corp. 50,600 344,230 0.0%
Toa Corp. 127,800 1,165,927 0.0%
# Toabo Corp. 54,799 269,875 0.0%
# Toei Animation Co., Ltd. 26,100 1,345,597 0.1%
Toei Co., Ltd. 449,000 3,607,421 0.1%
# Tohokushinsha Film Corp. 22,500 149,461 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Tokai Rika Co., Ltd. 318,800 $5,978,352 0.2%
Token Corp. 47,550 3,436,391 0.1%
Tokyo Dome Corp. 567,100 5,389,944 0.2%
# Tokyo Individualized Educational Institute, Inc. 112,900 604,559 0.0%
Tokyotokeiba Co., Ltd. 758,000 1,488,732 0.1%
# Tokyu Recreation Co., Ltd. 83,000 625,537 0.0%
# Tomy Co., Ltd. 440,593 4,759,501 0.2%
Topre Corp. 264,300 6,120,154 0.2%
Toridoll Corp. 146,300 3,389,533 0.1%
Torikizoku Co., Ltd. 43,700 1,139,838 0.0%
Tosho Co., Ltd. 51,200 2,216,696 0.1%
Tow Co., Ltd. 69,300 439,963 0.0%
Toyo Tire & Rubber Co., Ltd. 623,700 9,673,815 0.3%
TPR Co., Ltd. 131,000 3,788,033 0.1%
TS Tech Co., Ltd. 291,000 7,802,205 0.3%
TSI Holdings Co., Ltd. 436,295 2,453,330 0.1%
# Tsukada Global Holdings, Inc. 109,400 752,270 0.0%
Tsukamoto Corp. Co., Ltd. 190,000 209,917 0.0%
Tsutsumi Jewelry Co., Ltd. 48,600 768,853 0.0%
TV Asahi Holdings Corp. 63,100 1,183,758 0.0%
Tv Tokyo Holdings Corp. 86,300 1,974,520 0.1%
Tyo, Inc. 352,400 506,743 0.0%
# U-Shin, Ltd. 114,300 807,831 0.0%
Umenohana Co., Ltd. 1,000 24,879 0.0%
Unipres Corp. 230,700 4,452,141 0.2%
United Arrows, Ltd. 137,700 3,758,841 0.1%
#* Unitika, Ltd. 3,992,000 2,693,109 0.1%
#* Universal Entertainment Corp. 116,400 3,483,920 0.1%
Usen Corp. 685,080 2,210,734 0.1%
ValueCommerce Co., Ltd. 57,700 194,861 0.0%
# Vector, Inc. 166,500 1,965,445 0.1%
VIA Holdings, Inc. 12,100 101,936 0.0%
# Village Vanguard Co., Ltd. 32,100 410,226 0.0%
# VT Holdings Co., Ltd. 498,700 2,679,080 0.1%
Wacoal Holdings Corp. 676,000 7,799,386 0.3%
# WATAMI Co., Ltd. 141,100 1,530,470 0.1%
Watts Co., Ltd. 1,000 10,496 0.0%
Workman Co., Ltd. 1,800 57,278 0.0%
Wowow, Inc. 49,200 1,407,524 0.1%
Xebio Holdings Co., Ltd. 156,500 2,429,373 0.1%
Yachiyo Industry Co., Ltd. 24,000 208,122 0.0%
Yamato International, Inc. 13,900 51,625 0.0%
Yellow Hat, Ltd. 92,700 1,979,870 0.1%
# Yomiuri Land Co., Ltd. 239,000 1,028,072 0.0%
Yondoshi Holding, Inc. 17,520 437,695 0.0%
Yorozu Corp. 110,100 1,733,792 0.1%
# Yoshinoya Holdings Co., Ltd. 158,800 2,392,640 0.1%
Yume No Machi Souzou Iinkai Co., Ltd. 11,400 277,107 0.0%
Yutaka Giken Co., Ltd. 3,100 61,949 0.0%
Zenrin Co., Ltd. 161,500 2,817,169 0.1%
Zensho Holdings Co., Ltd. 244,600 4,568,119 0.2%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Consumer Discretionary -- (Continued)
# Zojirushi Corp. 232,300 $ 3,202,749 0.1%
------------ ----
Total Consumer Discretionary 603,813,642 19.3%
------------ ----
Consumer Staples -- (7.7%)
Aderans Co., Ltd. 184,300 1,084,838 0.0%
Aeon Hokkaido Corp. 273,900 1,429,431 0.0%
Ain Holdings, Inc. 124,600 8,409,946 0.3%
Albis Co., Ltd. 8,000 170,954 0.0%
Arcs Co., Ltd. 229,700 5,763,653 0.2%
Ariake Japan Co., Ltd. 106,100 5,927,475 0.2%
Artnature, Inc. 113,600 694,159 0.0%
Axial Retailing, Inc. 87,600 3,146,824 0.1%
Belc Co., Ltd. 59,400 2,400,072 0.1%
Bourbon Corp. 5,900 137,212 0.0%
C'BON COSMETICS Co., Ltd. 2,400 49,971 0.0%
Cawachi, Ltd. 91,800 2,362,537 0.1%
Chubu Shiryo Co., Ltd. 119,300 966,855 0.0%
# Chuo Gyorui Co., Ltd. 93,000 242,112 0.0%
Ci:z Holdings Co., Ltd. 157,300 4,509,944 0.1%
Coca-Cola East Japan Co., Ltd. 116,700 2,572,252 0.1%
Cocokara fine, Inc. 109,660 4,241,741 0.1%
Create SD Holdings Co., Ltd. 164,400 3,441,447 0.1%
# Daikokutenbussan Co., Ltd. 38,300 1,799,875 0.1%
Dydo Drinco, Inc. 47,100 2,606,858 0.1%
Earth Chemical Co., Ltd. 26,300 1,220,623 0.0%
Eco's Co., Ltd. 20,700 243,786 0.0%
FamilyMart UNY Holdings Co., Ltd. 21 1,342 0.0%
# Fancl Corp. 95,300 1,440,368 0.1%
Feed One Co., Ltd. 812,440 1,028,628 0.0%
* First Baking Co., Ltd. 183,000 242,301 0.0%
Fuji Oil Holdings, Inc. 362,600 6,992,573 0.2%
Fujicco Co., Ltd. 90,400 2,068,294 0.1%
* Fujiya Co., Ltd. 86,000 167,219 0.0%
# Genky Stores, Inc. 24,200 1,423,904 0.0%
# HABA Laboratories, Inc. 2,500 75,880 0.0%
Hagoromo Foods Corp. 39,000 458,177 0.0%
Halows Co., Ltd. 15,300 339,866 0.0%
* Hayashikane Sangyo Co., Ltd. 24,200 206,325 0.0%
Heiwado Co., Ltd. 182,000 3,788,269 0.1%
Hokkaido Coca-Cola Bottling Co., Ltd. 87,000 526,655 0.0%
Hokuto Corp. 150,400 2,927,101 0.1%
# House Foods Group, Inc. 99,700 2,225,650 0.1%
Ichimasa Kamaboko Co., Ltd. 3,300 35,356 0.0%
# Inageya Co., Ltd. 177,800 2,408,106 0.1%
Itochu-Shokuhin Co., Ltd. 26,800 1,072,590 0.0%
* Itoham Yonekyu Holdings, Inc. 181,527 1,731,074 0.1%
Iwatsuka Confectionery Co., Ltd. 1,500 49,775 0.0%
J-Oil Mills, Inc. 56,300 2,001,884 0.1%
# Kakiyasu Honten Co., Ltd. 27,700 496,892 0.0%
Kameda Seika Co., Ltd. 72,000 3,769,337 0.1%
Kaneko Seeds Co., Ltd. 28,700 416,037 0.0%
Kato Sangyo Co., Ltd. 119,100 2,868,420 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Staples -- (Continued)
# Kenko Mayonnaise Co., Ltd. 58,500 $2,145,026 0.1%
# Key Coffee, Inc. 109,700 2,174,920 0.1%
Kirindo Holdings Co., Ltd. 29,300 219,161 0.0%
# Kobe Bussan Co., Ltd. 78,000 2,441,335 0.1%
Kotobuki Spirits Co., Ltd. 98,800 2,328,274 0.1%
# Kusuri No Aoki Co., Ltd. 92,700 4,731,366 0.2%
Kyokuyo Co., Ltd. 58,699 1,544,471 0.1%
Life Corp. 165,100 5,359,447 0.2%
Mandom Corp. 104,400 4,869,279 0.2%
Marudai Food Co., Ltd. 598,000 2,847,819 0.1%
Maruha Nichiro Corp. 244,307 6,774,203 0.2%
# Maxvalu Nishinihon Co., Ltd. 5,600 89,382 0.0%
# Maxvalu Tokai Co., Ltd. 49,300 875,601 0.0%
Medical System Network Co., Ltd. 143,300 612,956 0.0%
Megmilk Snow Brand Co., Ltd. 88,700 3,085,679 0.1%
Meito Sangyo Co., Ltd. 52,200 686,651 0.0%
# Milbon Co., Ltd. 66,576 2,984,034 0.1%
Ministop Co., Ltd. 92,800 1,599,442 0.1%
Mitsubishi Shokuhin Co., Ltd. 81,100 2,662,119 0.1%
Mitsui Sugar Co., Ltd. 112,770 2,540,840 0.1%
# Miyoshi Oil & Fat Co., Ltd. 379,000 486,834 0.0%
Morinaga & Co., Ltd. 123,800 5,758,587 0.2%
Morinaga Milk Industry Co., Ltd. 1,164,000 9,375,501 0.3%
Morozoff, Ltd. 189,000 818,951 0.0%
Nagatanien Holding Co., Ltd. 138,000 1,761,080 0.1%
Nakamuraya Co., Ltd. 18,400 829,033 0.0%
Natori Co., Ltd. 37,500 655,192 0.0%
Nichimo Co., Ltd. 170,000 262,151 0.0%
# Nihon Chouzai Co., Ltd. 28,060 1,172,103 0.0%
Niitaka Co., Ltd. 2,060 29,685 0.0%
Nippon Beet Sugar Manufacturing Co., Ltd. 66,100 1,288,551 0.0%
# Nippon Flour Mills Co., Ltd. 361,000 5,338,906 0.2%
Nippon Suisan Kaisha, Ltd. 1,570,900 7,550,304 0.2%
Nisshin Oillio Group, Ltd. (The) 793,000 3,605,260 0.1%
Nissin Sugar Co., Ltd. 62,600 905,960 0.0%
Nitto Fuji Flour Milling Co., Ltd. 6,400 229,734 0.0%
Noevir Holdings Co., Ltd. 61,300 1,856,511 0.1%
Oenon Holdings, Inc. 307,000 754,882 0.0%
# OIE Sangyo Co., Ltd. 20,900 209,303 0.0%
Okuwa Co., Ltd. 119,000 1,245,924 0.0%
Olympic Group Corp. 63,100 351,040 0.0%
# OUG Holdings, Inc. 29,000 74,599 0.0%
Prima Meat Packers, Ltd. 956,000 3,471,159 0.1%
Qol Co., Ltd. 90,900 1,433,274 0.1%
# Riken Vitamin Co., Ltd. 74,100 3,215,720 0.1%
Rock Field Co., Ltd. 132,000 1,833,264 0.1%
Rokko Butter Co., Ltd. 66,500 1,790,355 0.1%
# S Foods, Inc. 75,562 2,021,954 0.1%
S&B Foods, Inc. 499 24,734 0.0%
Sagami Rubber Industries Co., Ltd. 2,000 16,183 0.0%
Sakata Seed Corp. 182,600 5,256,622 0.2%
San-A Co., Ltd. 101,200 5,508,857 0.2%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
Sapporo Holdings, Ltd. 200,000 $ 5,650,137 0.2%
# Shoei Foods Corp. 71,800 1,133,541 0.0%
Showa Sangyo Co., Ltd. 609,000 3,256,643 0.1%
Sogo Medical Co., Ltd. 55,800 1,696,626 0.1%
ST Corp. 81,200 1,002,543 0.0%
# Starzen Co., Ltd. 55,800 2,955,160 0.1%
Takara Holdings, Inc. 980,300 9,284,173 0.3%
Tobu Store Co., Ltd. 19,000 510,538 0.0%
Toho Co., Ltd. 44,100 1,041,371 0.0%
# Tohto Suisan Co., Ltd. 17,299 276,945 0.0%
# Torigoe Co., Ltd. (The) 82,000 604,450 0.0%
Toyo Sugar Refining Co., Ltd. 157,000 163,124 0.0%
Transaction Co., Ltd. 8,300 152,584 0.0%
United Super Markets Holdings, Inc. 300,300 2,711,511 0.1%
Valor Holdings Co., Ltd. 220,500 6,254,353 0.2%
Warabeya Nichiyo Holdings Co., Ltd. 85,460 2,061,235 0.1%
Watahan & Co., Ltd. 27,500 427,146 0.0%
YA-MAN, Ltd. 800 24,816 0.0%
# Yaizu Suisankagaku Industry Co., Ltd. 46,100 444,543 0.0%
YAKUODO Co., Ltd. 18,100 1,176,790 0.0%
Yamatane Corp. 53,500 705,281 0.0%
# Yamaya Corp. 25,600 371,947 0.0%
Yamazawa Co., Ltd. 700 11,520 0.0%
Yaoko Co., Ltd. 110,900 4,656,545 0.2%
# Yokohama Reito Co., Ltd. 291,700 2,950,283 0.1%
Yomeishu Seizo Co., Ltd. 49,800 898,121 0.0%
Yuasa Funashoku Co., Ltd. 121,000 322,883 0.0%
Yutaka Foods Corp. 6,000 106,539 0.0%
------------ ---
Total Consumer Staples 262,740,154 8.4%
------------ ---
Energy -- (1.0%)
BP Castrol KK 57,400 767,020 0.0%
Cosmo Energy Holdings Co., Ltd. 363,000 4,743,948 0.2%
Fuji Kosan Co., Ltd. 33,100 134,207 0.0%
* Fuji Oil Co., Ltd. 284,800 908,247 0.0%
Itochu Enex Co., Ltd. 302,200 2,321,843 0.1%
# Japan Drilling Co., Ltd. 41,100 922,473 0.0%
Japan Oil Transportation Co., Ltd. 8,400 181,227 0.0%
Japan Petroleum Exploration Co., Ltd. 190,600 4,170,325 0.1%
Mitsuuroko Group Holdings Co., Ltd. 181,700 1,209,432 0.0%
# Modec, Inc. 104,600 1,766,742 0.1%
# Nippon Coke & Engineering Co., Ltd. 1,272,800 1,123,684 0.0%
# Nippon Gas Co., Ltd. 206,100 6,237,241 0.2%
Sala Corp. 201,300 1,206,645 0.0%
San-Ai Oil Co., Ltd. 310,000 2,185,609 0.1%
Shinko Plantech Co., Ltd. 237,200 1,759,046 0.1%
Sinanen Holdings Co., Ltd. 52,000 1,031,673 0.0%
Toa Oil Co., Ltd. 415,000 596,846 0.0%
Toyo Kanetsu K.K. 568,000 1,286,464 0.1%
------------ ---
Total Energy 32,552,672 1.0%
------------ ---
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Financials -- (8.7%)
77 Bank, Ltd. (The) 1,749,760 $7,904,201 0.3%
Accretive Co., Ltd. 57,800 213,217 0.0%
Advance Create Co., Ltd. 3,200 51,434 0.0%
Aichi Bank, Ltd. (The) 51,700 2,864,536 0.1%
Aizawa Securities Co., Ltd. 162,800 899,550 0.0%
Akita Bank, Ltd. (The) 1,079,400 3,616,242 0.1%
# Anicom Holdings, Inc. 88,500 1,982,694 0.1%
Aomori Bank, Ltd. (The) 1,186,000 4,007,774 0.1%
Asax Co., Ltd. 1,700 24,845 0.0%
Awa Bank, Ltd. (The) 1,178,000 7,746,673 0.3%
# Bank of Iwate, Ltd. (The) 99,400 4,185,465 0.1%
Bank of Kochi, Ltd. (The) 301,000 343,876 0.0%
# Bank of Nagoya, Ltd. (The) 102,430 3,605,601 0.1%
Bank of Okinawa, Ltd. (The) 132,960 4,667,098 0.2%
Bank of Saga, Ltd. (The) 808,000 2,106,986 0.1%
Bank of the Ryukyus, Ltd. 227,380 2,991,196 0.1%
Chiba Kogyo Bank, Ltd. (The) 259,600 1,150,766 0.0%
Chugoku Bank, Ltd. (The) 37,500 503,158 0.0%
# Chukyo Bank, Ltd. (The) 70,000 1,552,835 0.1%
Daiichi Commodities Co., Ltd. 13,700 39,599 0.0%
# Daisan Bank, Ltd. (The) 85,500 1,446,371 0.0%
Daishi Bank, Ltd. (The) 2,071,000 8,905,139 0.3%
Daito Bank, Ltd. (The) 873,000 1,404,955 0.0%
# DSB Co., Ltd. 55,800 274,153 0.0%
eGuarantee, Inc. 39,200 1,044,838 0.0%
# Ehime Bank, Ltd. (The) 190,600 2,514,401 0.1%
Eighteenth Bank, Ltd. (The) 1,048,000 3,250,122 0.1%
FIDEA Holdings Co., Ltd. 874,800 1,573,380 0.1%
# Financial Products Group Co., Ltd. 409,700 3,581,472 0.1%
Fukui Bank, Ltd. (The) 1,317,000 3,484,097 0.1%
Fukushima Bank, Ltd. (The) 1,421,000 1,313,053 0.0%
Fuyo General Lease Co., Ltd. 92,800 4,706,206 0.2%
# GCA Corp. 119,400 890,561 0.0%
GMO Click Holdings, Inc. 19,500 145,203 0.0%
Gunma Bank, Ltd. (The) 1,453,800 6,941,697 0.2%
Hokkoku Bank, Ltd. (The) 1,742,000 5,834,153 0.2%
Hokuetsu Bank, Ltd. (The) 130,000 3,068,798 0.1%
Hokuhoku Financial Group, Inc. 364,900 5,259,952 0.2%
Hyakugo Bank, Ltd. (The) 1,614,609 5,945,715 0.2%
Hyakujushi Bank, Ltd. (The) 1,584,000 5,395,392 0.2%
IBJ Leasing Co., Ltd. 116,300 2,432,382 0.1%
Ichiyoshi Securities Co., Ltd. 229,400 1,720,034 0.1%
# IwaiCosmo Holdings, Inc. 106,900 929,236 0.0%
Iyo Bank, Ltd. (The) 307,200 1,887,989 0.1%
J Trust Co., Ltd. 163,300 1,335,044 0.0%
Jaccs Co., Ltd. 449,000 1,760,870 0.1%
Jafco Co., Ltd. 218,500 7,254,120 0.2%
Japan Securities Finance Co., Ltd. 272,300 1,210,204 0.0%
Jimoto Holdings, Inc. 526,400 886,643 0.0%
Juroku Bank, Ltd. (The) 2,085,000 6,287,410 0.2%
# kabu.com Securities Co., Ltd. 1,026,600 3,231,928 0.1%
Kansai Urban Banking Corp. 149,200 1,653,779 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Financials -- (Continued)
Keiyo Bank, Ltd. (The) 1,576,000 $6,628,185 0.2%
Kita-Nippon Bank, Ltd. (The) 49,506 1,477,714 0.0%
Kiyo Bank, Ltd. (The) 396,690 6,576,563 0.2%
# Kosei Securities Co., Ltd. (The) 67,000 79,675 0.0%
Kyokuto Securities Co., Ltd. 128,800 1,863,553 0.1%
Kyushu Financial Group, Inc. 618,420 4,112,146 0.1%
* M&A Capital Partners Co., Ltd. 23,200 568,604 0.0%
# Marusan Securities Co., Ltd. 119,100 989,301 0.0%
Mebuki Financial Group, Inc. 446,000 1,587,204 0.1%
# Michinoku Bank, Ltd. (The) 846,000 1,684,648 0.1%
Mie Bank, Ltd. (The) 52,300 1,066,480 0.0%
# Minato Bank, Ltd. (The) 108,400 1,983,863 0.1%
Mito Securities Co., Ltd. 338,500 785,845 0.0%
Miyazaki Bank, Ltd. (The) 931,000 2,622,313 0.1%
# Monex Group, Inc. 1,215,700 2,786,301 0.1%
# Money Partners Group Co., Ltd. 88,700 416,503 0.0%
# MONEY SQUARE HOLDINGS, Inc. 9,700 114,772 0.0%
Musashino Bank, Ltd. (The) 206,000 5,687,907 0.2%
# Nagano Bank, Ltd. (The) 51,799 989,733 0.0%
Nanto Bank, Ltd. (The) 121,600 4,623,144 0.2%
* New Real Property K.K. 43,900 -- 0.0%
* Nishi-Nippon Financial Holdings, Inc. 499,600 4,973,609 0.2%
North Pacific Bank, Ltd. 2,303,600 8,591,023 0.3%
# OAK Capital Corp. 265,200 398,596 0.0%
Ogaki Kyoritsu Bank, Ltd. (The) 1,857,000 6,643,158 0.2%
# Oita Bank, Ltd. (The) 1,014,900 3,843,769 0.1%
Okasan Securities Group, Inc. 775,000 4,119,702 0.1%
Pocket Card Co., Ltd. 26,900 128,101 0.0%
Ricoh Leasing Co., Ltd. 96,900 2,799,220 0.1%
San-In Godo Bank, Ltd. (The) 957,000 6,885,558 0.2%
# Sawada Holdings Co., Ltd. 142,000 1,299,875 0.0%
Senshu Ikeda Holdings, Inc. 1,424,200 6,479,964 0.2%
# Shiga Bank, Ltd. (The) 1,365,000 7,079,411 0.2%
Shikoku Bank, Ltd. (The) 1,210,000 2,855,318 0.1%
Shimane Bank, Ltd. (The) 16,600 202,116 0.0%
Shimizu Bank, Ltd. (The) 48,000 1,447,779 0.0%
# Sparx Group Co., Ltd. 573,900 1,097,508 0.0%
Taiko Bank, Ltd. (The) 219,000 565,269 0.0%
# Takagi Securities Co., Ltd. 224,000 298,432 0.0%
Tochigi Bank, Ltd. (The) 705,000 3,398,983 0.1%
Toho Bank, Ltd. (The) 1,323,200 5,023,333 0.2%
Tohoku Bank, Ltd. (The) 588,000 818,066 0.0%
Tokai Tokyo Financial Holdings, Inc. 1,190,900 6,041,927 0.2%
Tokyo TY Financial Group, Inc. 155,338 4,970,692 0.2%
Tomato Bank, Ltd. 48,400 732,063 0.0%
TOMONY Holdings, Inc. 913,950 4,721,932 0.2%
Tottori Bank, Ltd. (The) 35,300 581,916 0.0%
Towa Bank, Ltd. (The) 2,066,000 2,183,543 0.1%
Toyo Securities Co., Ltd. 419,000 745,488 0.0%
Tsukuba Bank, Ltd. 495,100 1,478,905 0.1%
# Yamagata Bank, Ltd. (The) 854,500 3,691,314 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Financials -- (Continued)
Yamanashi Chuo Bank, Ltd. (The) 976,000 $ 4,773,481 0.2%
------------ ---
Total Financials 293,541,548 9.4%
------------ ---
Health Care -- (4.1%)
As One Corp. 86,768 3,892,957 0.1%
# ASKA Pharmaceutical Co., Ltd. 131,300 2,265,373 0.1%
Biofermin Pharmaceutical Co., Ltd. 13,900 356,623 0.0%
BML, Inc. 136,600 3,622,967 0.1%
# CMIC Holdings Co., Ltd. 72,200 1,072,418 0.0%
Create Medic Co., Ltd. 28,000 252,696 0.0%
# Daiken Medical Co., Ltd. 101,500 767,586 0.0%
Daito Pharmaceutical Co., Ltd. 69,580 1,531,392 0.1%
Dvx, Inc. 7,700 111,198 0.0%
Eiken Chemical Co., Ltd. 93,900 2,565,688 0.1%
EPS Holdings, Inc. 198,600 2,606,254 0.1%
FALCO HOLDINGS Co., Ltd. 45,700 595,455 0.0%
# FINDEX, Inc. 98,600 928,982 0.0%
Fuji Pharma Co., Ltd. 46,200 1,143,717 0.1%
Fukuda Denshi Co., Ltd. 2,100 126,427 0.0%
Fuso Pharmaceutical Industries, Ltd. 41,500 1,080,704 0.0%
Hogy Medical Co., Ltd. 71,300 4,696,455 0.2%
Iwaki & Co., Ltd. 154,000 303,551 0.0%
Japan Lifeline Co., Ltd. 49,700 2,574,150 0.1%
# Japan Medical Dynamic Marketing, Inc. 108,100 801,959 0.0%
# Jeol, Ltd. 512,000 2,139,722 0.1%
# JMS Co., Ltd. 157,000 413,792 0.0%
Kawasumi Laboratories, Inc. 69,100 431,059 0.0%
Kissei Pharmaceutical Co., Ltd. 150,300 3,928,111 0.1%
KYORIN Holdings, Inc. 276,100 6,170,534 0.2%
Linical Co., Ltd. 80,000 1,125,142 0.0%
# Mani, Inc. 134,700 3,134,627 0.1%
Menicon Co., Ltd. 26,000 736,892 0.0%
Mochida Pharmaceutical Co., Ltd. 78,399 6,142,719 0.2%
# N Field Co., Ltd. 67,900 968,850 0.0%
Nagaileben Co., Ltd. 51,200 1,124,194 0.0%
Nakanishi, Inc. 117,700 4,211,381 0.1%
ND Software Co., Ltd. 5,200 41,967 0.0%
Nichi-iko Pharmaceutical Co., Ltd. 264,250 4,739,766 0.2%
# NichiiGakkan Co., Ltd. 281,400 2,342,450 0.1%
# Nikkiso Co., Ltd. 391,100 3,456,178 0.1%
Nippon Chemiphar Co., Ltd. 17,100 709,508 0.0%
Nipro Corp. 702,100 8,670,187 0.3%
Nissui Pharmaceutical Co., Ltd. 69,700 767,178 0.0%
Paramount Bed Holdings Co., Ltd. 114,200 4,349,353 0.2%
# Rion Co., Ltd. 44,300 676,984 0.0%
Rohto Pharmaceutical Co., Ltd. 546,700 9,592,173 0.3%
Seed Co., Ltd. 8,600 140,508 0.0%
Ship Healthcare Holdings, Inc. 279,700 8,181,874 0.3%
Shofu, Inc. 35,700 454,390 0.0%
Software Service, Inc. 18,000 728,617 0.0%
Taiko Pharmaceutical Co., Ltd. 51,400 795,159 0.0%
Techno Medica Co., Ltd. 26,400 450,675 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Health Care -- (Continued)
# Toho Holdings Co., Ltd. 321,000 $ 6,735,061 0.2%
Tokai Corp. 58,500 1,992,666 0.1%
Torii Pharmaceutical Co., Ltd. 81,400 1,875,615 0.1%
# Towa Pharmaceutical Co., Ltd. 59,100 2,204,478 0.1%
Tsukui Corp. 339,000 2,223,065 0.1%
Tsumura & Co. 359,800 10,225,153 0.3%
Uchiyama Holdings Co., Ltd. 24,200 96,365 0.0%
# Vital KSK Holdings, Inc. 201,900 2,135,439 0.1%
Wakamoto Pharmaceutical Co., Ltd. 107,000 240,626 0.0%
WIN-Partners Co., Ltd. 20,800 349,649 0.0%
ZERIA Pharmaceutical Co., Ltd. 126,399 2,118,265 0.1%
------------ ---
Total Health Care 138,116,924 4.4%
------------ ---
Industrials -- (26.2%)
# A&A Material Corp. 127,000 114,934 0.0%
Abist Co., Ltd. 6,000 154,630 0.0%
Advan Co., Ltd. 167,700 1,548,877 0.1%
Advanex, Inc. 22,099 258,400 0.0%
Aeon Delight Co., Ltd. 111,400 3,293,054 0.1%
Aica Kogyo Co., Ltd. 314,300 8,968,870 0.3%
Aichi Corp. 202,700 1,640,077 0.1%
# Aida Engineering, Ltd. 344,200 2,959,298 0.1%
AIT Corp. 20,400 180,331 0.0%
# Ajis Co., Ltd. 10,700 503,266 0.0%
# Alinco, Inc. 70,300 655,047 0.0%
Alps Logistics Co., Ltd. 98,600 565,213 0.0%
Altech Corp. 44,750 964,636 0.0%
# Anest Iwata Corp. 185,100 1,861,441 0.1%
* Arrk Corp. 422,400 325,086 0.0%
Asahi Diamond Industrial Co., Ltd. 328,200 2,445,749 0.1%
Asahi Kogyosha Co., Ltd. 25,000 728,196 0.0%
Asanuma Corp. 383,000 910,247 0.0%
Asunaro Aoki Construction Co., Ltd. 142,800 982,826 0.0%
Bando Chemical Industries, Ltd. 231,000 2,223,007 0.1%
Benefit One, Inc. 96,900 2,802,677 0.1%
Bunka Shutter Co., Ltd. 346,100 2,870,128 0.1%
Canare Electric Co., Ltd. 3,500 67,528 0.0%
Career Design Center Co., Ltd. 28,800 256,756 0.0%
Central Glass Co., Ltd. 1,214,000 4,965,805 0.2%
Central Security Patrols Co., Ltd. 48,200 948,752 0.0%
Chilled & Frozen Logistics Holdings Co., Ltd. 22,000 212,745 0.0%
# Chiyoda Corp. 993,000 8,661,260 0.3%
* Chiyoda Integre Co., Ltd. 74,300 1,537,806 0.1%
Chudenko Corp. 157,900 3,282,258 0.1%
Chugai Ro Co., Ltd. 373,000 720,398 0.0%
CKD Corp. 341,900 4,257,828 0.1%
Comany, Inc. 3,100 47,910 0.0%
# Cosel Co., Ltd. 120,800 1,445,606 0.1%
Creek & River Co., Ltd. 18,700 133,834 0.0%
CTI Engineering Co., Ltd. 72,300 698,608 0.0%
Dai-Dan Co., Ltd. 160,000 1,356,289 0.1%
Daido Kogyo Co., Ltd. 200,000 446,704 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Daifuku Co., Ltd. 444,100 $ 8,024,354 0.3%
Daihatsu Diesel Manufacturing Co., Ltd. 86,000 513,073 0.0%
# Daihen Corp. 641,000 3,716,479 0.1%
# Daiho Corp. 521,000 2,864,464 0.1%
Daiichi Jitsugyo Co., Ltd. 260,000 1,440,168 0.1%
#* Daikokuya Holdings Co., Ltd. 389,900 285,586 0.0%
Daiseki Co., Ltd. 216,263 4,439,922 0.2%
# Daiseki Eco. Solution Co., Ltd. 21,300 301,837 0.0%
# Daisue Construction Co., Ltd. 41,100 353,983 0.0%
Daiwa Industries, Ltd. 173,000 1,506,772 0.1%
#* Danto Holdings Corp. 165,000 301,745 0.0%
Denyo Co., Ltd. 85,300 1,058,598 0.0%
# DMG Mori Co., Ltd. 434,800 4,611,601 0.2%
DMW Corp. 4,800 82,360 0.0%
Duskin Co., Ltd. 224,100 4,304,583 0.1%
# Ebara Jitsugyo Co., Ltd. 39,300 475,881 0.0%
Eidai Co., Ltd. 124,000 535,448 0.0%
en-japan, Inc. 126,500 2,437,410 0.1%
Endo Lighting Corp. 60,200 470,342 0.0%
* Enshu, Ltd. 197,000 121,876 0.0%
F&M Co., Ltd. 9,400 83,973 0.0%
# First Energy Service Co., Ltd. (The) 48,300 329,716 0.0%
Freund Corp. 19,800 319,190 0.0%
Fudo Tetra Corp. 1,050,500 1,847,901 0.1%
Fuji Machine Manufacturing Co., Ltd. 119,900 1,525,975 0.1%
Fujikura, Ltd. 1,935,000 11,369,097 0.4%
Fujisash Co., Ltd. 494,100 418,591 0.0%
# Fujitec Co., Ltd. 436,800 4,996,996 0.2%
Fukuda Corp. 395,000 4,651,170 0.2%
Fukushima Industries Corp. 85,300 2,912,062 0.1%
# Fukuyama Transporting Co., Ltd. 774,400 4,410,274 0.2%
FULLCAST Holdings Co., Ltd.. 121,700 1,119,359 0.0%
Funai Soken Holdings, Inc. 159,360 2,462,495 0.1%
Furukawa Co., Ltd. 1,800,000 2,874,167 0.1%
Furukawa Electric Co., Ltd. 462,800 13,615,795 0.4%
Furusato Industries, Ltd. 52,000 743,146 0.0%
# Futaba Corp. 206,300 3,368,102 0.1%
Gecoss Corp. 104,400 954,275 0.0%
Giken, Ltd. 8,000 139,949 0.0%
Glory, Ltd. 268,900 8,889,500 0.3%
GS Yuasa Corp. 2,130,000 9,197,857 0.3%
# Hamakyorex Co., Ltd. 91,400 1,702,048 0.1%
# HANEDA ZENITH HOLDINGS Co., Ltd. 120,400 310,735 0.0%
Hanwa Co., Ltd. 1,221,000 7,470,479 0.2%
Hazama Ando Corp. 1,082,400 6,977,701 0.2%
Helios Techno Holdings Co., Ltd. 6,900 27,522 0.0%
Hibiya Engineering, Ltd. 118,200 1,853,880 0.1%
Hirakawa Hewtech Corp. 14,900 134,491 0.0%
Hirano Tecseed Co., Ltd. 8,200 75,261 0.0%
# Hirata Corp. 20,000 1,519,348 0.1%
Hisaka Works, Ltd. 109,500 859,642 0.0%
Hitachi Koki Co., Ltd. 311,600 2,638,612 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Hitachi Transport System, Ltd. 278,000 $5,730,816 0.2%
Hitachi Zosen Corp. 991,379 4,989,671 0.2%
# Hito Communications, Inc. 35,100 511,449 0.0%
Hokuetsu Industries Co., Ltd. 107,600 702,539 0.0%
# Hokuriku Electrical Construction Co., Ltd. 23,000 188,008 0.0%
Hosokawa Micron Corp. 204,000 1,271,934 0.0%
Howa Machinery, Ltd. 72,100 355,081 0.0%
# Ichiken Co., Ltd. 143,000 536,762 0.0%
# Ichinen Holdings Co., Ltd. 114,200 1,103,810 0.0%
Idec Corp. 161,700 1,449,197 0.1%
# Iino Kaiun Kaisha, Ltd. 541,400 2,013,497 0.1%
Inaba Denki Sangyo Co., Ltd. 138,700 5,032,229 0.2%
Inaba Seisakusho Co., Ltd. 49,700 631,657 0.0%
Inabata & Co., Ltd. 296,300 3,220,774 0.1%
Interworks, Inc. 6,800 73,882 0.0%
# Inui Global Logistics Co., Ltd. 71,880 691,847 0.0%
Iseki & Co., Ltd. 1,110,000 2,745,459 0.1%
Ishii Iron Works Co., Ltd. 11,000 165,037 0.0%
Itoki Corp. 215,800 1,329,817 0.1%
Iwasaki Electric Co., Ltd. 372,000 573,566 0.0%
Iwatani Corp. 1,087,000 6,491,740 0.2%
J-COM Holdings Co., Ltd. 22,300 422,428 0.0%
# JAC Recruitment Co., Ltd. 93,100 1,205,329 0.0%
# Jalux, Inc. 39,500 665,318 0.0%
# Jamco Corp. 68,400 1,410,445 0.1%
Japan Foundation Engineering Co., Ltd. 119,500 394,738 0.0%
Japan Pulp & Paper Co., Ltd. 519,000 1,739,046 0.1%
Japan Steel Works, Ltd. (The) 398,400 8,557,307 0.3%
Japan Transcity Corp. 242,000 901,162 0.0%
JK Holdings Co., Ltd. 89,940 471,965 0.0%
Juki Corp. 185,800 1,389,080 0.1%
Kamei Corp. 148,700 1,416,514 0.1%
Kanaden Corp. 110,600 1,067,550 0.0%
# Kanagawa Chuo Kotsu Co., Ltd. 190,000 1,354,947 0.1%
Kanamoto Co., Ltd. 171,600 4,122,634 0.1%
Kandenko Co., Ltd. 626,000 6,171,190 0.2%
Kanematsu Corp. 2,438,625 4,012,696 0.1%
# Katakura Industries Co., Ltd. 137,300 1,668,994 0.1%
# Kato Works Co., Ltd. 61,800 1,549,539 0.1%
# KAWADA TECHNOLOGIES, Inc. 53,700 2,528,655 0.1%
Kawasaki Kinkai Kisen Kaisha, Ltd. 96,000 256,227 0.0%
# Kawasaki Kisen Kaisha, Ltd. 3,035,000 7,508,271 0.2%
Keihin Co., Ltd. 249,000 338,776 0.0%
KFC, Ltd. 1,400 27,655 0.0%
#* KI Holdings Co., Ltd. 88,000 268,938 0.0%
# Kimura Chemical Plants Co., Ltd. 39,900 138,531 0.0%
King Jim Co., Ltd. 13,000 104,923 0.0%
# Kinki Sharyo Co., Ltd. 15,299 348,103 0.0%
Kintetsu World Express, Inc. 191,200 2,600,651 0.1%
Kitagawa Iron Works Co., Ltd. 49,600 847,154 0.0%
Kitano Construction Corp. 259,000 688,192 0.0%
# Kito Corp. 108,500 1,026,979 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
# Kitz Corp. 543,500 $3,125,227 0.1%
* Kobe Electric Railway Co., Ltd. 45,000 158,700 0.0%
Kobelco Eco-Solutions Co., Ltd. 97,000 378,792 0.0%
Koike Sanso Kogyo Co., Ltd. 145,000 360,428 0.0%
# Kokusai Co., Ltd. 41,700 329,194 0.0%
Kokuyo Co., Ltd. 525,125 6,956,793 0.2%
KOMAIHALTEC, Inc. 22,700 440,280 0.0%
Komatsu Wall Industry Co., Ltd. 40,000 667,791 0.0%
Komori Corp. 348,700 4,425,210 0.2%
Kondotec, Inc. 124,000 946,353 0.0%
Konoike Transport Co., Ltd. 92,700 1,227,349 0.0%
#* Kosaido Co., Ltd. 248,600 735,673 0.0%
# KRS Corp. 38,100 836,881 0.0%
Kumagai Gumi Co., Ltd. 2,175,000 5,776,208 0.2%
Kuroda Electric Co., Ltd. 219,100 4,263,017 0.1%
# Kyodo Printing Co., Ltd. 506,000 1,715,183 0.1%
Kyokuto Boeki Kaisha, Ltd. 58,000 114,766 0.0%
Kyokuto Kaihatsu Kogyo Co., Ltd. 185,700 2,193,455 0.1%
Kyoritsu Printing Co., Ltd. 119,300 349,906 0.0%
Kyowa Exeo Corp. 481,800 7,234,424 0.2%
Kyudenko Corp. 219,000 7,055,464 0.2%
Link And Motivation, Inc. 251,400 758,563 0.0%
Lonseal Corp. 11,600 208,467 0.0%
Maeda Corp. 821,000 7,606,107 0.3%
Maeda Kosen Co., Ltd. 109,900 1,218,543 0.0%
Maeda Road Construction Co., Ltd. 387,000 7,159,534 0.2%
Maezawa Industries, Inc. 35,700 117,572 0.0%
Maezawa Kasei Industries Co., Ltd. 52,900 553,200 0.0%
Maezawa Kyuso Industries Co., Ltd. 49,100 655,415 0.0%
Makino Milling Machine Co., Ltd. 655,000 4,162,050 0.1%
Marubeni Construction Material Lease Co., Ltd. 75,000 138,477 0.0%
Marufuji Sheet Piling Co., Ltd. 58,000 129,262 0.0%
Maruka Machinery Co., Ltd. 32,200 410,186 0.0%
# Maruwa Unyu Kikan Co., Ltd. 34,300 823,780 0.0%
Maruyama Manufacturing Co., Inc. 230,000 387,227 0.0%
Maruzen Co., Ltd. 46,000 470,151 0.0%
Maruzen Showa Unyu Co., Ltd. 304,000 1,233,968 0.0%
Matsuda Sangyo Co., Ltd. 82,882 1,163,247 0.0%
Matsui Construction Co., Ltd. 135,300 1,482,930 0.1%
Max Co., Ltd. 191,000 2,301,884 0.1%
Meidensha Corp. 1,175,050 3,932,270 0.1%
Meiji Shipping Co., Ltd. 111,000 381,017 0.0%
# Meisei Industrial Co., Ltd. 251,000 1,287,391 0.1%
Meitec Corp. 181,300 6,178,267 0.2%
# Meiwa Corp. 158,000 496,187 0.0%
Mesco, Inc. 22,000 199,615 0.0%
METAWATER Co., Ltd. 47,700 1,301,809 0.1%
# Mie Kotsu Group Holdings, Inc. 154,100 568,558 0.0%
Mirait Holdings Corp. 374,085 3,317,062 0.1%
Mitani Corp. 68,200 2,034,290 0.1%
Mitsubishi Kakoki Kaisha, Ltd. 129,000 254,118 0.0%
Mitsubishi Nichiyu Forklift Co., Ltd. 189,100 1,145,454 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
# Mitsubishi Pencil Co., Ltd. 100,300 $5,016,740 0.2%
Mitsuboshi Belting, Ltd. 328,000 2,828,510 0.1%
# Mitsui Engineering & Shipbuilding Co., Ltd. 5,109,000 7,098,865 0.2%
Mitsui Matsushima Co., Ltd. 84,700 1,002,048 0.0%
Mitsui-Soko Holdings Co., Ltd. 626,000 1,888,387 0.1%
Mitsumura Printing Co., Ltd. 93,000 191,571 0.0%
# Miyaji Engineering Group, Inc. 332,175 546,875 0.0%
Morita Holdings Corp. 227,700 3,430,251 0.1%
Moshi Moshi Hotline, Inc. 145,400 1,393,284 0.1%
# NAC Co., Ltd. 61,700 520,145 0.0%
# Nachi-Fujikoshi Corp. 1,045,000 3,963,279 0.1%
Nagase & Co., Ltd. 477,200 6,103,323 0.2%
Naigai Trans Line, Ltd. 3,800 37,126 0.0%
Nakabayashi Co., Ltd. 211,000 474,046 0.0%
Nakano Corp. 29,600 120,170 0.0%
Namura Shipbuilding Co., Ltd. 314,028 1,914,897 0.1%
Narasaki Sangyo Co., Ltd. 103,000 273,641 0.0%
NDS Co., Ltd. 24,100 604,935 0.0%
# NEC Capital Solutions, Ltd. 48,900 815,099 0.0%
Nichias Corp. 587,000 5,222,788 0.2%
Nichiban Co., Ltd. 141,000 1,272,992 0.0%
Nichiden Corp. 24,300 695,517 0.0%
Nichiha Corp. 178,680 4,413,071 0.2%
Nichireki Co., Ltd. 148,000 1,164,625 0.0%
Nihon Dengi Co., Ltd. 3,300 56,274 0.0%
Nihon Flush Co., Ltd. 15,700 183,708 0.0%
Nihon Trim Co., Ltd. 30,700 1,386,245 0.1%
Nikkato Corp. 700 2,573 0.0%
Nikko Co., Ltd. 31,800 524,637 0.0%
Nikkon Holdings Co., Ltd. 356,800 7,663,028 0.3%
Nippi, Inc. 27,000 207,159 0.0%
Nippo Corp. 227,000 4,378,887 0.1%
Nippon Air Conditioning Services Co., Ltd. 40,300 216,337 0.0%
# Nippon Carbon Co., Ltd. 648,000 1,256,870 0.0%
Nippon Densetsu Kogyo Co., Ltd. 227,300 4,141,202 0.1%
Nippon Filcon Co., Ltd. 70,900 378,214 0.0%
Nippon Hume Corp. 129,400 856,592 0.0%
Nippon Kanzai Co., Ltd. 88,700 1,293,404 0.1%
Nippon Koei Co., Ltd. 390,000 1,829,649 0.1%
# Nippon Parking Development Co., Ltd. 1,224,400 1,664,416 0.1%
Nippon Rietec Co., Ltd. 7,000 59,603 0.0%
Nippon Road Co., Ltd. (The) 384,000 1,575,653 0.1%
# Nippon Seisen Co., Ltd. 100,000 484,901 0.0%
#* Nippon Sharyo, Ltd. 422,000 1,068,832 0.0%
* Nippon Sheet Glass Co., Ltd. 584,800 4,749,933 0.2%
Nippon Steel & Sumikin Bussan Corp. 95,560 3,502,260 0.1%
Nippon Thompson Co., Ltd. 410,000 1,622,057 0.1%
Nippon Tungsten Co., Ltd. 62,000 98,541 0.0%
Nishi-Nippon Railroad Co., Ltd. 1,196,000 5,669,794 0.2%
Nishimatsu Construction Co., Ltd. 1,794,000 8,378,134 0.3%
Nishio Rent All Co., Ltd. 93,700 2,829,179 0.1%
# Nissei ASB Machine Co., Ltd. 52,300 943,701 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Nissei Corp. 37,900 $ 349,183 0.0%
Nissei Plastic Industrial Co., Ltd. 184,500 1,458,557 0.1%
# Nissha Printing Co., Ltd. 165,400 4,004,174 0.1%
Nisshinbo Holdings, Inc. 870,500 8,666,919 0.3%
Nissin Corp. 409,000 1,358,364 0.1%
Nissin Electric Co., Ltd. 279,000 3,720,436 0.1%
Nitta Corp. 105,000 2,717,541 0.1%
Nitto Boseki Co., Ltd. 934,000 3,036,339 0.1%
Nitto Kogyo Corp. 159,700 2,342,707 0.1%
Nitto Kohki Co., Ltd. 68,500 1,582,913 0.1%
Nitto Seiko Co., Ltd. 149,000 568,903 0.0%
# Nittoc Construction Co., Ltd. 158,500 748,183 0.0%
# Nittoku Engineering Co., Ltd. 81,900 1,009,888 0.0%
NJS Co., Ltd. 30,200 372,982 0.0%
Noda Corp. 153,600 1,013,261 0.0%
Nomura Co., Ltd. 220,200 3,571,106 0.1%
Noritake Co., Ltd. 64,200 1,465,376 0.1%
Noritz Corp. 172,400 3,573,093 0.1%
NS United Kaiun Kaisha, Ltd. 599,000 831,910 0.0%
# NTN Corp. 2,488,000 9,417,732 0.3%
# Obara Group, Inc. 79,200 3,413,141 0.1%
Obayashi Road Corp. 166,300 1,044,590 0.0%
# Odelic Co., Ltd. 20,000 776,822 0.0%
Oiles Corp. 151,350 2,743,629 0.1%
Okabe Co., Ltd. 242,100 2,066,083 0.1%
# Okamoto Machine Tool Works, Ltd. 205,000 269,075 0.0%
Okamura Corp. 381,900 3,746,775 0.1%
# OKK Corp. 425,000 436,612 0.0%
# OKUMA Corp. 849,000 7,104,821 0.2%
Okumura Corp. 999,400 5,759,269 0.2%
Onoken Co., Ltd. 84,600 1,042,883 0.0%
Organo Corp. 228,000 983,355 0.0%
# OSG Corp. 452,700 9,641,884 0.3%
OSJB Holdings Corp. 677,200 1,611,041 0.1%
# Outsourcing, Inc. 81,300 3,085,277 0.1%
Oyo Corp. 111,300 1,287,021 0.1%
Paraca, Inc. 4,500 83,408 0.0%
# Pasco Corp. 137,000 492,123 0.0%
# Pasona Group, Inc. 126,800 1,075,714 0.0%
Pegasus Sewing Machine Manufacturing Co., Ltd. 35,300 213,000 0.0%
Penta-Ocean Construction Co., Ltd. 1,724,600 10,277,125 0.3%
Pilot Corp. 188,800 8,441,250 0.3%
Prestige International, Inc. 284,800 2,143,315 0.1%
Pronexus, Inc. 126,400 1,334,438 0.1%
# PS Mitsubishi Construction Co., Ltd. 147,700 514,853 0.0%
Punch Industry Co., Ltd. 5,600 47,890 0.0%
Quick Co., Ltd. 33,100 335,016 0.0%
Raito Kogyo Co., Ltd. 313,100 3,769,218 0.1%
Rheon Automatic Machinery Co., Ltd. 110,500 863,181 0.0%
Ryobi, Ltd. 820,200 3,306,352 0.1%
Sakai Heavy Industries, Ltd. 237,000 482,593 0.0%
# Sakai Moving Service Co., Ltd. 60,800 1,315,382 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Sanki Engineering Co., Ltd. 297,600 $ 2,699,006 0.1%
Sanko Metal Industrial Co., Ltd. 13,600 382,838 0.0%
# Sankyo Tateyama, Inc. 166,200 2,616,714 0.1%
Sankyu, Inc. 1,540,000 9,068,678 0.3%
# Sanoyas Holdings Corp. 141,400 369,899 0.0%
Sanwa Holdings Corp. 1,232,600 12,275,880 0.4%
Sanyo Denki Co., Ltd. 259,000 1,683,371 0.1%
Sanyo Engineering & Construction, Inc. 48,000 278,830 0.0%
Sanyo Industries, Ltd. 99,000 171,618 0.0%
Sanyo Trading Co., Ltd. 13,600 172,054 0.0%
# Sata Construction Co., Ltd. 85,399 337,263 0.0%
Sato Holdings Corp. 154,500 3,403,383 0.1%
Sato Shoji Corp. 66,800 513,756 0.0%
SBS Holdings, Inc. 114,100 1,009,061 0.0%
Secom Joshinetsu Co., Ltd. 32,900 1,028,778 0.0%
Seibu Electric Industry Co., Ltd. 15,600 312,711 0.0%
Seika Corp. 313,000 929,682 0.0%
Seikitokyu Kogyo Co., Ltd. 178,300 858,871 0.0%
Seino Holdings Co., Ltd. 258,600 2,865,465 0.1%
Sekisui Jushi Corp. 180,900 2,979,743 0.1%
# Senko Co., Ltd. 564,500 3,902,661 0.1%
Senshu Electric Co., Ltd. 35,100 542,561 0.0%
Shibusawa Warehouse Co., Ltd. (The) 263,000 763,807 0.0%
Shibuya Corp. 104,400 2,168,730 0.1%
Shima Seiki Manufacturing, Ltd. 161,400 4,547,853 0.2%
Shin Nippon Air Technologies Co., Ltd. 86,280 975,241 0.0%
Shin-Keisei Electric Railway Co., Ltd. 181,000 710,877 0.0%
Shinmaywa Industries, Ltd. 550,000 4,257,280 0.1%
Shinnihon Corp. 186,700 1,799,032 0.1%
Shinsho Corp. 27,900 506,592 0.0%
Shinwa Co., Ltd. 27,100 410,998 0.0%
#* Shoko Co., Ltd. 198,000 164,321 0.0%
Showa Aircraft Industry Co., Ltd. 15,837 144,784 0.0%
Sinfonia Technology Co., Ltd. 684,000 1,256,391 0.0%
Sinko Industries, Ltd. 110,700 1,388,971 0.1%
Sintokogio, Ltd. 265,000 2,311,368 0.1%
Soda Nikka Co., Ltd. 67,000 314,355 0.0%
Sodick Co., Ltd. 285,400 2,142,366 0.1%
# Space Co., Ltd. 66,220 796,430 0.0%
# Srg Takamiya Co., Ltd. 118,600 667,631 0.0%
# Star Micronics Co., Ltd. 225,000 3,203,644 0.1%
# Subaru Enterprise Co., Ltd. 55,000 219,010 0.0%
Sugimoto & Co., Ltd. 31,500 408,905 0.0%
Sumitomo Densetsu Co., Ltd. 104,400 1,158,029 0.0%
# Sumitomo Mitsui Construction Co., Ltd. 5,237,600 4,987,761 0.2%
Sumitomo Precision Products Co., Ltd. 189,000 583,417 0.0%
Sumitomo Warehouse Co., Ltd. (The) 819,000 4,378,448 0.1%
#* SWCC Showa Holdings Co., Ltd. 1,562,000 1,097,502 0.0%
Tadano, Ltd. 591,700 6,644,668 0.2%
Taihei Dengyo Kaisha, Ltd. 189,000 1,959,088 0.1%
# Taiheiyo Kouhatsu, Inc. 407,000 348,927 0.0%
Taikisha, Ltd. 147,000 3,713,212 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Takamatsu Construction Group Co., Ltd. 80,000 $1,898,501 0.1%
# Takano Co., Ltd. 49,400 357,471 0.0%
Takaoka Toko Co., Ltd. 59,720 1,090,617 0.0%
Takara Printing Co., Ltd. 51,955 722,543 0.0%
Takara Standard Co., Ltd. 253,500 4,708,942 0.2%
# Takasago Thermal Engineering Co., Ltd. 355,200 5,009,349 0.2%
Takashima & Co., Ltd. 225,000 362,338 0.0%
Takeei Corp. 129,400 1,058,962 0.0%
Takeuchi Manufacturing Co., Ltd. 208,300 4,035,187 0.1%
Takigami Steel Construction Co., Ltd. (The) 53,000 215,792 0.0%
Takisawa Machine Tool Co., Ltd. 368,000 476,387 0.0%
Takuma Co., Ltd. 438,000 4,026,469 0.1%
# Tanseisha Co., Ltd. 213,249 1,603,833 0.1%
Tatsuta Electric Wire and Cable Co., Ltd. 257,400 1,022,525 0.0%
TECHNO ASSOCIE Co., Ltd. 56,800 514,241 0.0%
Techno Ryowa, Ltd. 69,390 433,846 0.0%
TechnoPro Holdings, Inc. 150,600 5,158,730 0.2%
Teikoku Electric Manufacturing Co., Ltd. 96,000 731,391 0.0%
# Teikoku Sen-I Co., Ltd. 103,100 1,528,764 0.1%
# Tekken Corp. 464,000 1,508,706 0.1%
Teraoka Seisakusho Co., Ltd. 53,600 177,721 0.0%
Toa Corp. 110,300 2,322,040 0.1%
TOA ROAD Corp. 266,000 713,413 0.0%
# Tobishima Corp. 1,073,200 1,887,463 0.1%
Tocalo Co., Ltd. 83,100 1,864,227 0.1%
Toda Corp. 1,230,000 6,666,674 0.2%
Toenec Corp. 212,000 1,015,696 0.0%
Togami Electric Manufacturing Co., Ltd. 20,000 81,512 0.0%
# TOKAI Holdings Corp. 528,400 3,395,894 0.1%
# Tokai Lease Co., Ltd. 162,000 306,064 0.0%
Tokyo Energy & Systems, Inc. 139,000 1,341,439 0.1%
Tokyo Keiki, Inc. 354,000 602,797 0.0%
* Tokyo Kikai Seisakusho, Ltd. 17,000 12,474 0.0%
Tokyo Sangyo Co., Ltd. 81,000 307,588 0.0%
Tokyu Construction Co., Ltd. 338,500 3,420,476 0.1%
Toli Corp. 261,000 930,483 0.0%
Tomoe Corp. 152,000 500,343 0.0%
# Tomoe Engineering Co., Ltd. 37,200 546,696 0.0%
Tonami Holdings Co., Ltd. 308,000 829,765 0.0%
Toppan Forms Co., Ltd. 298,500 2,967,074 0.1%
# Torishima Pump Manufacturing Co., Ltd. 117,100 1,261,983 0.0%
Toshiba Machine Co., Ltd. 698,000 2,520,905 0.1%
# Toshiba Plant Systems & Services Corp. 262,650 4,235,061 0.1%
# Tosho Printing Co., Ltd. 227,000 1,027,239 0.0%
# Totetsu Kogyo Co., Ltd. 148,900 4,220,854 0.1%
Toyo Construction Co., Ltd. 428,400 1,785,639 0.1%
# Toyo Denki Seizo K.K. 213,000 597,658 0.0%
# Toyo Engineering Corp. 892,400 3,056,919 0.1%
Toyo Machinery & Metal Co., Ltd. 87,400 329,388 0.0%
Toyo Tanso Co., Ltd. 67,000 963,384 0.0%
# Toyo Wharf & Warehouse Co., Ltd. 340,000 553,424 0.0%
Trancom Co., Ltd. 42,300 2,461,090 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
Trinity Industrial Corp. 19,000 $ 83,584 0.0%
Trusco Nakayama Corp. 121,100 6,261,033 0.2%
Trust Tech, Inc. 48,900 750,611 0.0%
Tsubakimoto Chain Co. 864,700 6,849,692 0.2%
Tsubakimoto Kogyo Co., Ltd. 117,000 345,120 0.0%
#* Tsudakoma Corp. 294,000 419,320 0.0%
# Tsugami Corp. 395,000 2,168,791 0.1%
Tsukishima Kikai Co., Ltd. 144,200 1,614,283 0.1%
Tsurumi Manufacturing Co., Ltd. 106,000 1,542,649 0.1%
TTK Co., Ltd. 62,000 287,487 0.0%
Uchida Yoko Co., Ltd. 297,000 1,238,248 0.0%
Ueki Corp. 348,000 748,463 0.0%
# Union Tool Co. 55,600 1,436,267 0.1%
Ushio, Inc. 655,900 7,912,689 0.3%
Utoc Corp. 98,700 360,691 0.0%
# Wakachiku Construction Co., Ltd. 1,052,000 1,570,909 0.1%
Wakita & Co., Ltd. 219,800 1,874,157 0.1%
WDB Holdings Co., Ltd. 18,000 186,126 0.0%
Weathernews, Inc. 27,800 867,554 0.0%
# World Holdings Co., Ltd. 43,300 668,067 0.0%
# Yahagi Construction Co., Ltd. 159,400 1,462,100 0.1%
YAMABIKO Corp. 210,828 2,084,921 0.1%
YAMADA Consulting Group Co., Ltd. 3,800 160,306 0.0%
Yamato Corp. 82,000 450,564 0.0%
Yamaura Corp. 16,200 81,550 0.0%
Yamazen Corp. 345,700 2,756,604 0.1%
Yasuda Logistics Corp. 94,300 618,791 0.0%
Yokogawa Bridge Holdings Corp. 198,000 2,175,353 0.1%
Yondenko Corp. 128,800 502,103 0.0%
Yuasa Trading Co., Ltd. 105,000 2,515,452 0.1%
Yuken Kogyo Co., Ltd. 196,000 343,268 0.0%
# Yumeshin Holdings Co., Ltd. 154,700 1,094,985 0.0%
Yurtec Corp. 249,000 1,824,037 0.1%
Yusen Logistics Co., Ltd. 109,500 1,114,820 0.0%
# Yushin Precision Equipment Co., Ltd. 42,100 980,585 0.0%
Zenitaka Corp. (The) 46,000 151,787 0.0%
# Zuiko Corp. 21,100 797,488 0.0%
------------ ----
Total Industrials 887,653,836 28.3%
------------ ----
Information Technology -- (12.0%)
# A&D Co., Ltd. 113,900 482,620 0.0%
# Ai Holdings Corp. 247,200 6,074,143 0.2%
Aichi Tokei Denki Co., Ltd. 18,700 570,387 0.0%
# Aiphone Co., Ltd. 71,900 1,263,088 0.0%
# Aisan Technology Co., Ltd. 12,000 549,193 0.0%
Alpha Systems, Inc. 33,260 560,138 0.0%
Amano Corp. 377,600 7,025,443 0.2%
# Anritsu Corp. 873,500 4,633,691 0.2%
AOI Electronics Co., Ltd. 26,900 653,570 0.0%
Argo Graphics, Inc. 31,100 623,909 0.0%
Arisawa Manufacturing Co., Ltd. 200,900 1,051,251 0.0%
# ArtSpark Holdings, Inc. 32,000 803,952 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Information Technology -- (Continued)
Asahi Net, Inc. 74,800 $ 307,086 0.0%
# Ateam, Inc. 62,600 1,417,302 0.1%
Axell Corp. 44,900 352,184 0.0%
Azbil Corp. 190,300 5,643,510 0.2%
Broadband Tower, Inc. 234,500 499,473 0.0%
Broadleaf Co., Ltd. 133,000 1,495,026 0.1%
CAC Holdings Corp. 61,900 518,554 0.0%
Canon Electronics, Inc. 133,800 2,081,191 0.1%
# Capcom Co., Ltd. 294,600 7,610,445 0.3%
Chino Corp. 35,900 358,391 0.0%
Citizen Watch Co., Ltd. 1,437,500 8,078,459 0.3%
#* CMK Corp. 271,300 1,433,202 0.1%
# COLOPL, Inc. 155,200 2,231,708 0.1%
Computer Engineering & Consulting, Ltd. 80,000 1,495,713 0.1%
Computer Institute of Japan, Ltd. 26,700 128,353 0.0%
Comture Corp. 19,100 668,517 0.0%
CONEXIO Corp. 114,700 1,557,171 0.1%
# COOKPAD, Inc. 287,400 2,730,674 0.1%
Cresco, Ltd. 28,500 620,214 0.0%
# CROOZ, Inc. 39,700 908,621 0.0%
Cube System, Inc. 12,300 76,856 0.0%
Dai-ichi Seiko Co., Ltd. 55,600 614,260 0.0%
# Daishinku Corp. 40,999 435,094 0.0%
Daito Electron Co., Ltd. 5,900 45,368 0.0%
Daiwabo Holdings Co., Ltd. 1,186,000 2,866,018 0.1%
Denki Kogyo Co., Ltd. 313,000 1,723,934 0.1%
Densan System Co., Ltd. 1,600 26,602 0.0%
* Dexerials Corp. 140,200 1,125,674 0.0%
Digital Arts, Inc. 58,800 1,582,467 0.1%
Digital Garage, Inc. 118,500 2,239,068 0.1%
# Dip Corp. 173,100 4,585,357 0.2%
DKK-Toa Corp. 38,200 177,940 0.0%
DTS Corp. 123,600 2,738,235 0.1%
Eizo Corp. 104,800 3,309,383 0.1%
Elecom Co., Ltd. 102,900 2,103,694 0.1%
Elematec Corp. 52,271 883,788 0.0%
EM Systems Co., Ltd. 42,600 705,904 0.0%
Enplas Corp. 59,300 1,832,287 0.1%
ESPEC Corp. 118,000 1,427,773 0.1%
# Excel Co., Ltd. 49,300 659,513 0.0%
# F@N Communications, Inc. 279,800 2,089,432 0.1%
# Faith, Inc. 27,910 318,490 0.0%
#* FDK Corp. 552,000 482,494 0.0%
Ferrotec Corp. 187,500 2,280,380 0.1%
Forval Corp. 4,700 34,000 0.0%
Fuji Soft, Inc. 117,500 3,121,122 0.1%
Fujitsu Frontech, Ltd. 75,300 900,042 0.0%
Fukui Computer Holdings, Inc. 19,200 510,969 0.0%
Furuno Electric Co., Ltd. 137,500 1,062,286 0.0%
Furuya Metal Co., Ltd. 11,800 172,939 0.0%
# Fusion Partners Co. 62,800 566,468 0.0%
Future Corp. 129,200 861,100 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Information Technology -- (Continued)
# GMO internet, Inc. 410,800 $ 5,483,907 0.2%
# GMO Payment Gateway, Inc. 98,500 4,524,259 0.2%
Gree, Inc. 672,200 3,727,415 0.1%
Gurunavi, Inc. 172,800 4,731,742 0.2%
Hagiwara Electric Co., Ltd. 18,700 350,570 0.0%
Hakuto Co., Ltd. 84,500 784,750 0.0%
# Hearts United Group Co., Ltd. 84,800 1,569,342 0.1%
Hibino Corp. 1,300 33,944 0.0%
# Hioki EE Corp. 53,500 1,035,422 0.0%
Hitachi Kokusai Electric, Inc. 332,500 6,641,359 0.2%
Hitachi Maxell, Ltd. 142,200 2,591,403 0.1%
# Hochiki Corp. 140,000 1,648,910 0.1%
# Hokuriku Electric Industry Co., Ltd. 482,000 605,576 0.0%
Honda Tsushin Kogyo Co., Ltd. 10,700 134,377 0.0%
Horiba, Ltd. 212,650 10,168,702 0.3%
Hosiden Corp. 362,000 2,684,687 0.1%
I-Net Corp. 59,290 617,363 0.0%
I-O Data Device, Inc. 2,900 27,080 0.0%
Ibiden Co., Ltd. 620,978 9,014,732 0.3%
Icom, Inc. 50,200 922,886 0.0%
# Ikegami Tsushinki Co., Ltd. 339,000 435,450 0.0%
# Imagica Robot Holdings, Inc. 87,500 518,812 0.0%
Ines Corp. 183,900 2,045,298 0.1%
Infocom Corp. 80,400 1,182,294 0.0%
# Infomart Corp. 188,500 2,233,112 0.1%
Information Services International-Dentsu, Ltd. 75,900 1,316,328 0.1%
Innotech Corp. 105,000 489,600 0.0%
Internet Initiative Japan, Inc. 192,400 3,397,504 0.1%
# Iriso Electronics Co., Ltd. 55,300 3,044,030 0.1%
# Istyle, Inc. 179,300 1,412,487 0.1%
Itfor, Inc. 112,800 659,202 0.0%
* Iwatsu Electric Co., Ltd. 572,000 408,523 0.0%
Japan Asia Group, Ltd. 79,600 287,729 0.0%
# Japan Aviation Electronics Industry, Ltd. 421,000 6,028,706 0.2%
Japan Digital Laboratory Co., Ltd. 109,800 1,706,413 0.1%
#* Japan Display, Inc. 2,144,300 4,221,540 0.1%
# Japan Material Co., Ltd. 59,300 2,100,608 0.1%
# Japan Radio Co., Ltd. 71,000 912,258 0.0%
Jastec Co., Ltd. 51,100 540,065 0.0%
# JBCC Holdings, Inc. 87,500 566,685 0.0%
Justsystems Corp. 198,400 1,944,524 0.1%
Kaga Electronics Co., Ltd. 105,100 1,535,497 0.1%
Kanematsu Electronics, Ltd. 74,100 1,494,930 0.1%
#* KLab, Inc. 191,400 1,147,938 0.0%
# Koa Corp. 195,900 1,803,936 0.1%
Kyosan Electric Manufacturing Co., Ltd. 279,000 1,034,735 0.0%
Kyowa Electronic Instruments Co., Ltd. 135,100 489,154 0.0%
# LAC Co., Ltd. 87,300 887,965 0.0%
Lasertec Corp. 102,500 1,988,315 0.1%
* Livesense, Inc. 2,700 11,789 0.0%
Macnica Fuji Electronics Holdings, Inc. 176,350 2,209,829 0.1%
Mamezou Holdings Co., Ltd. 85,300 883,086 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Information Technology -- (Continued)
MarkLines Co., Ltd. 500 $ 12,003 0.0%
Marubun Corp. 95,700 546,808 0.0%
Maruwa Co., Ltd. 56,800 2,143,455 0.1%
# Marvelous, Inc. 196,300 1,395,086 0.1%
MCJ Co., Ltd. 129,100 1,160,820 0.0%
Media Do Co., Ltd. 12,600 172,975 0.0%
Megachips Corp. 43,100 865,035 0.0%
* Meiko Electronics Co., Ltd. 121,800 431,276 0.0%
Melco Holdings, Inc. 75,500 2,044,113 0.1%
Micronics Japan Co., Ltd. 191,600 2,214,879 0.1%
MIMAKI ENGINEERING Co., Ltd. 67,000 374,678 0.0%
Mimasu Semiconductor Industry Co., Ltd. 92,281 1,174,391 0.0%
Miraial Co., Ltd. 29,800 212,023 0.0%
Miroku Jyoho Service Co., Ltd. 104,100 2,033,259 0.1%
# Mitsubishi Research Institute, Inc. 36,500 1,159,006 0.0%
Mitsui High-Tec, Inc. 139,000 933,106 0.0%
#* Mitsumi Electric Co., Ltd. 527,600 3,203,625 0.1%
MTI, Ltd. 189,500 1,177,560 0.0%
Mutoh Holdings Co., Ltd. 134,000 306,191 0.0%
Nagano Keiki Co., Ltd. 14,900 90,727 0.0%
# Nakayo, Inc. 390,000 1,373,500 0.1%
NEC Networks & System Integration Corp. 136,600 2,427,620 0.1%
NET One Systems Co., Ltd. 525,900 3,819,792 0.1%
* New Japan Radio Co., Ltd. 96,000 295,144 0.0%
# Nexyz Group Corp. 48,000 634,500 0.0%
Nichicon Corp. 334,200 2,864,260 0.1%
Nihon Dempa Kogyo Co., Ltd. 102,700 828,214 0.0%
Nihon Unisys, Ltd. 351,175 4,279,608 0.1%
# Nippon Ceramic Co., Ltd. 62,200 1,147,698 0.0%
Nippon Chemi-Con Corp. 950,000 1,652,624 0.1%
# Nippon Kodoshi Corp. 25,000 200,423 0.0%
Nippon Signal Co., Ltd. 316,400 2,807,828 0.1%
# Nippon Systemware Co., Ltd. 39,900 617,378 0.0%
Nohmi Bosai, Ltd. 145,900 2,177,870 0.1%
# Noritsu Koki Co., Ltd. 117,500 887,939 0.0%
NS Solutions Corp. 192,200 3,664,957 0.1%
NSD Co., Ltd. 157,880 2,540,947 0.1%
# Nuflare Technology, Inc. 25,300 1,356,931 0.1%
# Ohara, Inc. 47,600 280,236 0.0%
# Okaya Electric Industries Co., Ltd. 73,000 271,303 0.0%
Oki Electric Industry Co., Ltd. 493,000 6,432,222 0.2%
ONO Sokki Co., Ltd. 58,400 504,860 0.0%
Optex Co., Ltd. 76,000 1,935,754 0.1%
* Optim Corp. 11,900 675,456 0.0%
Origin Electric Co., Ltd. 173,000 459,212 0.0%
# Osaki Electric Co., Ltd. 246,000 2,361,020 0.1%
Panasonic Industrial Devices SUNX Co., Ltd. 111,600 670,351 0.0%
PCA Corp. 2,500 30,214 0.0%
Poletowin Pitcrew Holdings, Inc. 76,100 633,130 0.0%
Riken Keiki Co., Ltd. 81,300 1,002,772 0.0%
Riso Kagaku Corp. 179,500 3,109,191 0.1%
Roland DG Corp. 57,100 1,348,205 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Information Technology -- (Continued)
# Rorze Corp. 49,400 $ 938,113 0.0%
#* RVH, Inc. 58,700 583,434 0.0%
Ryoden Corp. 178,000 1,144,289 0.0%
Ryosan Co., Ltd. 191,900 5,909,649 0.2%
# Ryoyo Electro Corp. 122,600 1,560,174 0.1%
# Sakura Internet, Inc. 79,100 761,054 0.0%
* Sanken Electric Co., Ltd. 698,000 2,469,404 0.1%
Sanshin Electronics Co., Ltd. 164,300 1,454,000 0.1%
Satori Electric Co., Ltd. 85,880 610,583 0.0%
# Saxa Holdings, Inc. 298,000 629,628 0.0%
Shibaura Electronics Co., Ltd. 29,100 538,610 0.0%
Shibaura Mechatronics Corp. 200,000 489,177 0.0%
Shindengen Electric Manufacturing Co., Ltd. 450,000 1,946,035 0.1%
#* Shinkawa, Ltd. 94,400 611,280 0.0%
Shinko Electric Industries Co., Ltd. 470,400 3,031,533 0.1%
Shinko Shoji Co., Ltd. 127,300 1,436,046 0.1%
Shizuki Electric Co., Inc. 100,000 593,520 0.0%
# Siix Corp. 92,900 3,717,660 0.1%
SK-Electronics Co., Ltd. 8,900 86,888 0.0%
SMK Corp. 372,000 1,425,304 0.1%
# SMS Co., Ltd. 150,200 3,910,265 0.1%
# Softbank Technology Corp. 29,000 927,090 0.0%
#* Softbrain Co., Ltd. 161,300 607,875 0.0%
Softcreate Holdings Corp. 25,400 279,481 0.0%
# Sourcenext Corp. 64,200 322,381 0.0%
SRA Holdings 56,900 1,345,438 0.1%
Sumida Corp. 112,849 1,170,174 0.0%
Sun-Wa Technos Corp. 40,500 325,143 0.0%
Suzuden Corp. 1,200 11,266 0.0%
Systena Corp. 116,600 2,036,695 0.1%
# Tabuchi Electric Co., Ltd. 154,600 493,473 0.0%
Tachibana Eletech Co., Ltd. 85,260 944,138 0.0%
Taiyo Yuden Co., Ltd. 678,700 7,250,739 0.2%
Tamura Corp. 457,000 1,878,892 0.1%
TechMatrix Corp. 46,400 927,325 0.0%
# Tecnos Japan, Inc. 49,400 1,149,121 0.0%
# Teikoku Tsushin Kogyo Co., Ltd. 198,000 301,257 0.0%
TIS, Inc. 505,101 11,429,663 0.4%
TKC Corp. 104,700 3,092,490 0.1%
# Tokyo Electron Device, Ltd. 37,200 530,114 0.0%
Tokyo Seimitsu Co., Ltd. 240,800 6,569,642 0.2%
Tomen Devices Corp. 2,400 44,628 0.0%
# Topcon Corp. 595,400 8,886,823 0.3%
Torex Semiconductor, Ltd. 23,000 280,420 0.0%
Tose Co., Ltd. 22,100 168,824 0.0%
#* Toshiba TEC Corp. 806,000 3,592,206 0.1%
Toukei Computer Co., Ltd. 22,710 448,540 0.0%
Towa Corp. 131,400 1,512,065 0.1%
Toyo Corp. 141,000 1,355,831 0.1%
Transcosmos, Inc. 154,000 3,896,353 0.1%
# Tri Chemical Laboratories, Inc. 29,200 652,804 0.0%
UKC Holdings Corp. 72,600 1,214,810 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
Ulvac, Inc. 252,600 $ 7,975,585 0.3%
* Uniden Holdings Corp. 376,000 547,570 0.0%
UNIRITA, Inc. 3,500 54,911 0.0%
#* UT Group Co., Ltd. 189,500 1,154,203 0.0%
# V Technology Co., Ltd. 26,300 3,132,075 0.1%
#* V-Cube, Inc. 67,700 524,980 0.0%
# VeriServe Corp. 11,700 365,292 0.0%
# Vitec Holdings Co., Ltd. 45,100 475,700 0.0%
# Voyage Group, Inc. 33,500 296,037 0.0%
# Wacom Co., Ltd. 920,300 2,777,103 0.1%
Wellnet Corp. 80,700 1,009,877 0.0%
# Y A C Co., Ltd. 48,900 609,207 0.0%
# Yamaichi Electronics Co., Ltd. 146,000 1,157,432 0.0%
Yashima Denki Co., Ltd. 25,600 141,101 0.0%
Yokowo Co., Ltd. 86,200 584,287 0.0%
* Zappallas, Inc. 55,900 198,627 0.0%
Zuken, Inc. 81,600 835,291 0.0%
------------ ----
Total Information Technology 406,496,684 13.0%
------------ ----
Materials -- (11.6%)
Achilles Corp. 91,900 1,321,329 0.0%
ADEKA Corp. 544,000 8,223,372 0.3%
Agro-Kanesho Co., Ltd. 59,500 640,087 0.0%
Aichi Steel Corp. 65,400 3,149,010 0.1%
Alconix Corp. 57,200 755,929 0.0%
Arakawa Chemical Industries, Ltd. 89,500 1,328,665 0.0%
Araya Industrial Co., Ltd. 268,000 377,168 0.0%
Asahi Holdings, Inc. 178,650 3,217,337 0.1%
Asahi Printing Co., Ltd. 800 18,244 0.0%
Asahi Yukizai Corp. 412,000 804,698 0.0%
Asia Pile Holdings Corp. 26,300 109,561 0.0%
C Uyemura & Co., Ltd. 23,100 1,075,249 0.0%
Carlit Holdings Co., Ltd. 74,100 376,186 0.0%
# Chuetsu Pulp & Paper Co., Ltd. 552,000 1,206,051 0.0%
#* Chugai Mining Co., Ltd. 1,012,400 270,202 0.0%
Chugoku Marine Paints, Ltd. 347,000 2,525,255 0.1%
# Dai Nippon Toryo Co., Ltd. 740,000 1,583,203 0.1%
# Daido Steel Co., Ltd. 1,685,000 7,152,796 0.2%
# Daiichi Kigenso Kagaku-Kogyo Co., Ltd. 17,600 577,992 0.0%
Daiken Corp. 84,200 1,747,382 0.1%
Daiki Aluminium Industry Co., Ltd. 157,000 644,285 0.0%
Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 408,000 2,174,342 0.1%
# Daio Paper Corp. 497,300 5,969,036 0.2%
Denka Co., Ltd. 1,949,000 8,841,805 0.3%
# DKS Co., Ltd. 247,000 808,545 0.0%
Dowa Holdings Co., Ltd. 1,464,000 10,872,844 0.4%
Dynapac Co., Ltd. 25,000 59,559 0.0%
FP Corp. 148,000 7,971,867 0.3%
Fuji Seal International, Inc. 132,100 5,444,937 0.2%
Fujikura Kasei Co., Ltd. 145,500 875,747 0.0%
Fujimi, Inc. 103,500 1,610,002 0.1%
Fujimori Kogyo Co., Ltd. 81,400 2,022,345 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Materials -- (Continued)
Fumakilla, Ltd. 94,000 $ 596,173 0.0%
Fuso Chemical Co., Ltd. 80,400 1,714,827 0.1%
# Geostr Corp. 20,600 178,061 0.0%
Godo Steel, Ltd. 87,400 1,525,342 0.1%
Gun-Ei Chemical Industry Co., Ltd. 28,600 822,521 0.0%
Harima Chemicals Group, Inc. 73,300 453,126 0.0%
# Hodogaya Chemical Co., Ltd. 37,000 1,035,614 0.0%
Hokkan Holdings, Ltd. 275,000 978,896 0.0%
Hokko Chemical Industry Co., Ltd. 104,000 352,321 0.0%
Hokuetsu Kishu Paper Co., Ltd. 857,799 5,365,813 0.2%
Honshu Chemical Industry Co., Ltd. 14,000 95,710 0.0%
# Ihara Chemical Industry Co., Ltd. 199,100 1,699,417 0.1%
Ise Chemicals Corp. 81,000 353,453 0.0%
* Ishihara Sangyo Kaisha, Ltd. 191,150 1,450,176 0.1%
# Ishizuka Glass Co., Ltd. 119,000 225,459 0.0%
JCU Corp. 29,600 1,200,215 0.0%
JSP Corp. 75,800 1,811,015 0.1%
# Kanto Denka Kogyo Co., Ltd. 255,000 2,139,256 0.1%
Katakura & Co-op Agri Corp. 39,000 79,819 0.0%
Kawakin Holdings Co., Ltd. 11,000 28,973 0.0%
Kimoto Co., Ltd. 228,000 588,467 0.0%
Koatsu Gas Kogyo Co., Ltd. 158,493 1,060,080 0.0%
# Kogi Corp. 55,000 128,025 0.0%
Kohsoku Corp. 60,200 602,359 0.0%
Konishi Co., Ltd. 193,600 2,300,557 0.1%
Krosaki Harima Corp. 275,000 834,483 0.0%
Kureha Corp. 87,650 3,351,950 0.1%
Kurimoto, Ltd. 61,500 1,146,925 0.0%
Kuriyama Holdings Corp. 1,000 13,908 0.0%
Kyoei Steel, Ltd. 106,200 2,022,966 0.1%
Kyowa Leather Cloth Co., Ltd. 47,700 346,066 0.0%
Lintec Corp. 286,700 6,244,596 0.2%
# MEC Co., Ltd. 109,500 1,083,714 0.0%
Mitani Sekisan Co., Ltd. 31,700 791,760 0.0%
* Mitsubishi Paper Mills, Ltd. 167,900 1,102,640 0.0%
Mitsubishi Steel Manufacturing Co., Ltd. 849,000 1,525,490 0.1%
Mitsui Mining & Smelting Co., Ltd. 3,627,000 8,080,917 0.3%
# MORESCO Corp. 41,300 552,068 0.0%
Mory Industries, Inc. 30,400 567,497 0.0%
* Nakayama Steel Works, Ltd. 84,500 537,698 0.0%
Neturen Co., Ltd. 177,600 1,439,549 0.1%
#* New Japan Chemical Co., Ltd. 182,300 284,379 0.0%
# Nicca Chemical Co., Ltd. 1,400 11,799 0.0%
Nichia Steel Works, Ltd. 164,900 380,834 0.0%
Nihon Kagaku Sangyo Co., Ltd. 71,000 516,627 0.0%
# Nihon Nohyaku Co., Ltd. 263,300 1,437,872 0.1%
Nihon Parkerizing Co., Ltd. 553,500 7,626,659 0.3%
Nihon Yamamura Glass Co., Ltd. 503,000 919,485 0.0%
Nippon Carbide Industries Co., Inc. 434,000 577,696 0.0%
Nippon Chemical Industrial Co., Ltd. 477,000 1,220,368 0.0%
# Nippon Concrete Industries Co., Ltd. 253,600 914,747 0.0%
Nippon Denko Co., Ltd. 673,414 1,250,124 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
Nippon Fine Chemical Co., Ltd. 81,000 $ 610,569 0.0%
# Nippon Kasei Chemical Co., Ltd. 192,000 265,093 0.0%
Nippon Kayaku Co., Ltd. 683,000 7,870,216 0.3%
#* Nippon Kinzoku Co., Ltd. 29,300 308,584 0.0%
# Nippon Koshuha Steel Co., Ltd. 460,000 337,469 0.0%
Nippon Light Metal Holdings Co., Ltd. 3,065,900 6,981,075 0.2%
# Nippon Paper Industries Co., Ltd. 290,600 5,439,073 0.2%
Nippon Pillar Packing Co., Ltd. 116,800 1,199,521 0.0%
# Nippon Soda Co., Ltd. 827,000 3,666,072 0.1%
# Nippon Valqua Industries, Ltd. 97,799 1,325,260 0.0%
Nippon Yakin Kogyo Co., Ltd. 831,300 1,218,307 0.0%
# Nisshin Steel Co., Ltd. 582,592 7,749,715 0.3%
# Nitta Gelatin, Inc. 77,400 537,917 0.0%
Nittetsu Mining Co., Ltd. 34,400 1,435,342 0.1%
# Nitto FC Co., Ltd. 68,500 553,077 0.0%
NOF Corp. 870,000 9,456,776 0.3%
# Okamoto Industries, Inc. 405,000 4,383,360 0.1%
Okura Industrial Co., Ltd. 284,000 1,132,810 0.0%
Osaka Organic Chemical Industry, Ltd. 69,700 545,381 0.0%
Osaka Soda Co., Ltd. 424,000 1,812,724 0.1%
Osaka Steel Co., Ltd. 83,300 1,561,787 0.1%
# OSAKA Titanium Technologies Co., Ltd. 88,100 1,180,723 0.0%
#* Pacific Metals Co., Ltd. 941,000 2,831,857 0.1%
Pack Corp. (The) 80,200 2,175,846 0.1%
#* Rasa Industries, Ltd. 480,000 611,825 0.0%
Rengo Co., Ltd. 1,261,000 7,908,112 0.3%
Riken Technos Corp. 212,600 1,112,782 0.0%
Sakai Chemical Industry Co., Ltd. 570,000 2,033,415 0.1%
Sakata INX Corp. 252,400 3,304,484 0.1%
Sanyo Chemical Industries, Ltd. 69,800 3,155,997 0.1%
Sanyo Special Steel Co., Ltd. 650,300 3,333,625 0.1%
Sekisui Plastics Co., Ltd. 134,000 988,263 0.0%
Shikoku Chemicals Corp. 225,000 2,155,855 0.1%
Shin-Etsu Polymer Co., Ltd. 258,500 1,728,345 0.1%
Shinagawa Refractories Co., Ltd. 264,000 562,823 0.0%
# Shinko Wire Co., Ltd. 184,000 238,462 0.0%
Showa Denko KK 845,099 11,166,525 0.4%
Stella Chemifa Corp. 61,800 2,171,002 0.1%
Sumitomo Bakelite Co., Ltd. 1,163,000 6,315,900 0.2%
Sumitomo Osaka Cement Co., Ltd. 2,493,000 10,325,300 0.3%
Sumitomo Seika Chemicals Co., Ltd. 55,800 2,086,287 0.1%
T Hasegawa Co., Ltd. 132,000 2,330,737 0.1%
# T&K Toka Co., Ltd. 78,800 746,496 0.0%
Taisei Lamick Co., Ltd. 29,600 850,031 0.0%
Taiyo Holdings Co., Ltd. 104,900 3,932,191 0.1%
Takasago International Corp. 87,200 2,337,661 0.1%
Takiron Co., Ltd. 295,000 1,388,747 0.1%
#* Tanaka Chemical Corp. 62,500 514,838 0.0%
Tayca Corp. 173,000 917,206 0.0%
Tenma Corp. 79,600 1,378,700 0.1%
Toagosei Co., Ltd. 658,000 7,323,852 0.2%
# Toda Kogyo Corp. 239,000 684,026 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
# Toho Titanium Co., Ltd. 183,700 $ 1,225,068 0.0%
# Toho Zinc Co., Ltd. 800,000 2,791,657 0.1%
Tokai Carbon Co., Ltd. 1,289,000 3,919,732 0.1%
Tokushu Tokai Paper Co., Ltd. 57,258 1,951,303 0.1%
#* Tokuyama Corp. 2,159,000 9,231,383 0.3%
Tokyo Ohka Kogyo Co., Ltd. 220,600 7,832,975 0.3%
Tokyo Rope Manufacturing Co., Ltd. 84,800 1,397,338 0.1%
Tokyo Steel Manufacturing Co., Ltd. 652,000 4,522,415 0.2%
Tokyo Tekko Co., Ltd. 251,000 1,092,452 0.0%
# Tomoegawa Co., Ltd. 125,000 310,546 0.0%
# Tomoku Co., Ltd. 339,000 984,235 0.0%
Topy Industries, Ltd. 114,200 2,648,281 0.1%
Toyo Ink SC Holdings Co., Ltd. 1,157,000 5,379,278 0.2%
Toyo Kohan Co., Ltd. 286,000 855,980 0.0%
Toyobo Co., Ltd. 5,688,000 9,310,397 0.3%
TYK Corp. 138,000 232,638 0.0%
# UACJ Corp. 1,486,415 4,830,746 0.2%
Ube Industries, Ltd. 6,661,000 13,745,559 0.4%
# W-Scope Corp. 148,900 2,664,089 0.1%
Wood One Co., Ltd. 164,000 423,638 0.0%
Yamato Kogyo Co., Ltd. 184,900 5,205,807 0.2%
Yodogawa Steel Works, Ltd. 144,700 3,950,699 0.1%
Yotai Refractories Co., Ltd. 8,000 23,841 0.0%
Yuki Gosei Kogyo Co., Ltd. 64,000 137,728 0.0%
Yushiro Chemical Industry Co., Ltd. 61,400 847,605 0.0%
# Zeon Corp. 770,000 7,034,012 0.2%
------------ ----
Total Materials 394,054,965 12.6%
------------ ----
Real Estate -- (1.8%)
AD Works Co., Ltd. 540,900 201,294 0.0%
Airport Facilities Co., Ltd. 132,770 724,114 0.0%
Anabuki Kosan, Inc. 22,000 52,553 0.0%
Aoyama Zaisan Networks Co., Ltd. 3,800 23,782 0.0%
# Apamanshop Holdings Co., Ltd. 40,900 331,137 0.0%
# Ardepro Co., Ltd. 872,800 905,161 0.0%
#* Ascot Corp. 42,600 181,095 0.0%
Daibiru Corp. 303,600 2,637,308 0.1%
Daikyo, Inc. 1,904,000 4,086,067 0.1%
Dear Life Co., Ltd. 3,300 10,774 0.0%
Goldcrest Co., Ltd. 101,790 1,849,434 0.1%
Grandy House Corp. 24,500 86,236 0.0%
Heiwa Real Estate Co., Ltd. 236,600 3,366,821 0.1%
Ichigo, Inc. 541,600 2,348,156 0.1%
# Japan Property Management Center Co., Ltd. 75,300 1,005,630 0.0%
# Kabuki-Za Co., Ltd. 36,000 1,714,059 0.1%
Keihanshin Building Co., Ltd. 197,900 1,032,769 0.0%
Kenedix, Inc. 1,201,100 5,050,045 0.2%
# Land Business Co., Ltd. 59,500 152,539 0.0%
Leopalace21 Corp. 1,960,700 12,748,059 0.4%
Mugen Estate Co., Ltd. 66,300 481,773 0.0%
Nisshin Fudosan Co. 186,100 705,824 0.0%
Open House Co., Ltd. 164,300 3,470,605 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Real Estate -- (Continued)
* Properst Co., Ltd. 26,600 $ 59,394 0.0%
# Raysum Co., Ltd. 78,500 513,137 0.0%
# SAMTY Co., Ltd. 76,900 799,788 0.0%
Sankyo Frontier Co., Ltd. 10,000 88,334 0.0%
# Shinoken Group Co., Ltd. 76,100 1,377,679 0.1%
Star Mica Co., Ltd. 28,200 475,167 0.0%
* Striders Corp. 103,000 77,511 0.0%
Sumitomo Real Estate Sales Co., Ltd. 106,460 2,406,183 0.1%
Sun Frontier Fudousan Co., Ltd. 163,300 1,556,685 0.1%
# Takara Leben Co., Ltd. 552,800 3,749,838 0.1%
# TOC Co., Ltd. 342,950 3,098,690 0.1%
# Tokyo Rakutenchi Co., Ltd. 207,000 992,760 0.0%
# Tokyo Theatres Co., Inc. 468,000 539,730 0.0%
Tosei Corp. 201,700 1,509,767 0.1%
# Unizo Holdings Co., Ltd. 92,900 2,589,726 0.1%
Urbanet Corp. Co., Ltd. 11,300 37,212 0.0%
-------------- -----
Total Real Estate 63,036,836 2.0%
-------------- -----
Telecommunication Services -- (0.1%)
* Broadmedia Corp. 257,200 237,144 0.0%
# Freebit Co., Ltd. 13,000 110,367 0.0%
# Okinawa Cellular Telephone Co. 43,600 1,362,992 0.1%
# WirelessGate, Inc. 38,700 664,483 0.0%
-------------- -----
Total Telecommunication Services 2,374,986 0.1%
-------------- -----
Utilities -- (0.7%)
eRex Co., Ltd. 11,400 357,368 0.0%
Hiroshima Gas Co., Ltd. 86,600 298,136 0.0%
Hokkaido Electric Power Co., Inc. 1,082,100 8,229,493 0.3%
# Hokkaido Gas Co., Ltd. 281,000 717,937 0.0%
Hokuriku Gas Co., Ltd. 9,900 248,076 0.0%
K&O Energy Group, Inc. 79,000 1,134,514 0.0%
# Okinawa Electric Power Co., Inc. (The) 214,834 4,976,733 0.2%
Saibu Gas Co., Ltd. 1,838,000 4,307,323 0.1%
Shizuoka Gas Co., Ltd. 315,100 2,472,720 0.1%
Toell Co., Ltd. 11,100 97,614 0.0%
West Holdings Corp. 96,800 768,441 0.0%
-------------- -----
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%
============== =====
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
========== ============== == ==============
THE ASIA PACIFIC SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
COMMON STOCKS -- (85.5%)
AUSTRALIA -- (44.3%)
* AAT Corp., Ltd. 99 $ -- 0.0%
#* Acrux, Ltd. 660,428 170,903 0.0%
Adacel Technologies, Ltd. 15,787 32,569 0.0%
Adelaide Brighton, Ltd. 3,668,074 14,902,982 1.0%
* AED Oil, Ltd. 363,401 -- 0.0%
# Ainsworth Game Technology, Ltd. 801,969 1,087,761 0.1%
* Alkane Resources, Ltd. 1,463,658 611,890 0.0%
ALS, Ltd. 1,315,878 6,217,566 0.4%
# Altium, Ltd. 222,654 1,325,462 0.1%
* Altona Mining, Ltd. 1,108,169 104,943 0.0%
# Alumina, Ltd. 9,800,265 11,778,711 0.8%
# AMA Group, Ltd. 178,973 141,568 0.0%
Amaysim Australia, Ltd. 49,833 81,710 0.0%
Ansell, Ltd. 563,728 9,287,434 0.6%
* Antares Energy, Ltd. 199,346 5,004 0.0%
AP Eagers, Ltd. 234,655 1,748,541 0.1%
* APN News & Media, Ltd. 1,801,612 3,664,359 0.2%
# APN Outdoor Group, Ltd. 279,468 1,007,856 0.1%
APN Property Group Ltd. 26,661 8,720 0.0%
Appen, Ltd. 8,183 18,700 0.0%
# ARB Corp., Ltd. 478,040 6,191,170 0.4%
Ardent Leisure Group 515,447 789,299 0.1%
#* Arrium, Ltd. 17,951,296 96 0.0%
# Asaleo Care, Ltd. 654,096 724,723 0.1%
* ASG Group, Ltd. 987,461 1,199,189 0.1%
* Atlas Iron, Ltd. 2,098,007 20,790 0.0%
AUB Group, Ltd. 261,159 1,967,765 0.1%
* Ausdrill, Ltd. 1,723,145 1,730,561 0.1%
# Austal, Ltd. 1,169,983 1,363,878 0.1%
#* Australian Agricultural Co., Ltd. 2,459,529 3,259,542 0.2%
Australian Pharmaceutical Industries, Ltd. 2,403,274 3,464,262 0.2%
Australian Vintage, Ltd. 3,979,004 1,467,088 0.1%
# Auswide Bank, Ltd. 94,385 378,674 0.0%
Automotive Holdings Group, Ltd. 1,700,314 5,226,331 0.3%
* Avanco Resources, Ltd. 2,444,368 103,860 0.0%
Aveo Group 829,088 2,023,322 0.1%
AVJennings, Ltd. 7,051,385 3,053,439 0.2%
* AWE, Ltd. 3,530,096 1,445,689 0.1%
Bank of Queensland, Ltd. 889,655 7,059,496 0.5%
Bapcor, Ltd. 595,218 2,320,731 0.2%
Beach Energy, Ltd. 13,573,519 7,388,300 0.5%
#* Beadell Resources, Ltd. 5,672,449 2,018,149 0.1%
# Bega Cheese, Ltd. 540,445 2,024,049 0.1%
# Bellamy's Australia, Ltd. 270,885 2,339,187 0.2%
# Bendigo & Adelaide Bank, Ltd. 1,000,124 8,445,910 0.5%
BigAir Group, Ltd. 23,037 18,035 0.0%
#* Billabong International, Ltd. 756,968 694,596 0.0%
# Blackmores, Ltd. 81,784 6,954,314 0.5%
# Blue Sky Alternative Investments, Ltd. 30,533 168,789 0.0%
BlueScope Steel, Ltd. 2,354,984 13,971,247 0.9%
* Boart Longyear, Ltd. 2,658,836 282,823 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
* Boom Logistics, Ltd. 166,262 $ 14,520 0.0%
Boral, Ltd. 2,174,013 10,386,960 0.7%
#* Bradken, Ltd. 1,242,062 3,036,382 0.2%
# Breville Group, Ltd. 786,318 5,529,725 0.4%
Brickworks, Ltd. 228,958 2,346,349 0.2%
# BT Investment Management, Ltd. 602,567 4,223,745 0.3%
#* Buccaneer Energy, Ltd. 3,283,586 -- 0.0%
#* Buru Energy, Ltd. 316,943 49,197 0.0%
# Cabcharge Australia, Ltd. 863,423 2,360,251 0.2%
Capilano Honey, Ltd. 4,776 66,017 0.0%
Capitol Health, Ltd. 164,543 15,625 0.0%
* Capral, Ltd. 58,499 7,567 0.0%
# Cardno, Ltd. 1,615,947 1,134,845 0.1%
* Carnarvon Petroleum, Ltd. 5,095,141 464,802 0.0%
* Carnegie Wave Energy, Ltd. 563,165 17,642 0.0%
carsales.com, Ltd. 1,702,940 13,782,286 0.9%
# Cash Converters International, Ltd. 2,406,480 585,751 0.0%
* CDS Technologies, Ltd. 13,276 -- 0.0%
Cedar Woods Properties, Ltd. 323,002 1,103,216 0.1%
Challenger, Ltd. 89,734 732,545 0.1%
Cleanaway Waste Management, Ltd. 10,357,050 9,119,140 0.6%
#* Clinuvel Pharmaceuticals, Ltd. 44,995 288,855 0.0%
Codan, Ltd. 415,622 480,938 0.0%
# Collection House, Ltd. 2,175,227 2,204,679 0.1%
Collins Foods, Ltd. 313,954 1,147,073 0.1%
* Cooper Energy, Ltd. 719,967 180,035 0.0%
# Corporate Travel Management, Ltd. 238,654 3,440,458 0.2%
Costa Group Holdings, Ltd. 31,733 68,639 0.0%
# Cover-More Group, Ltd. 353,468 382,280 0.0%
# Credit Corp. Group, Ltd. 142,889 1,922,816 0.1%
# CSG, Ltd. 1,003,475 976,471 0.1%
CSR, Ltd. 3,350,138 9,302,355 0.6%
#* CuDeco, Ltd. 387,893 126,880 0.0%
Data#3, Ltd. 568,121 682,426 0.0%
# Decmil Group, Ltd. 867,988 729,319 0.1%
* Devine, Ltd. 224,413 76,672 0.0%
Dicker Data, Ltd. 12,339 20,929 0.0%
# Domino's Pizza Enterprises, Ltd. 31,520 1,535,526 0.1%
Donaco International, Ltd. 28,566 9,445 0.0%
# Downer EDI, Ltd. 2,910,872 12,865,733 0.8%
#* DSHE Holdings, Ltd. 91,564 -- 0.0%
DuluxGroup, Ltd. 3,101,823 15,169,738 1.0%
DWS, Ltd. 395,621 369,947 0.0%
Eclipx Group, Ltd. 110,873 324,264 0.0%
#* Elders, Ltd. 445,211 1,313,278 0.1%
* Emeco Holdings, Ltd. 1,417,146 74,967 0.0%
#* Energy Resources of Australia, Ltd. 1,156,799 300,038 0.0%
#* Energy World Corp., Ltd. 4,185,404 698,744 0.0%
* Enero Group, Ltd. 12,387 10,877 0.0%
# EQT Holdings, Ltd. 22,542 304,354 0.0%
# ERM Power, Ltd. 783,474 669,794 0.0%
# Estia Health, Ltd. 151,160 307,963 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
Euroz, Ltd. 101,762 $ 79,229 0.0%
Event Hospitality and Entertainment, Ltd. 490,531 5,217,970 0.3%
Evolution Mining, Ltd. 4,976,497 8,775,916 0.6%
Fairfax Media, Ltd. 15,303,894 9,586,076 0.6%
Fantastic Holdings, Ltd. 326,291 856,726 0.1%
* FAR, Ltd. 1,273,819 70,372 0.0%
Finbar Group, Ltd. 154,390 101,995 0.0%
#* Fleetwood Corp., Ltd. 394,575 600,723 0.0%
# FlexiGroup, Ltd. 990,564 1,691,583 0.1%
# Flight Centre Travel Group, Ltd. 160,356 4,120,087 0.3%
# G8 Education, Ltd. 1,328,509 3,187,209 0.2%
Gateway Lifestyle 73,155 128,685 0.0%
Gazal Corp., Ltd. 22,520 39,407 0.0%
# GBST Holdings, Ltd. 27,274 79,069 0.0%
# Genworth Mortgage Insurance Australia, Ltd. 200,049 465,002 0.0%
Global Construction Services, Ltd. 4,832 1,800 0.0%
GrainCorp, Ltd. Class A 1,251,687 7,981,659 0.5%
Grange Resources, Ltd. 1,724,297 150,269 0.0%
# Greencross, Ltd. 165,592 877,609 0.1%
# GUD Holdings, Ltd. 873,341 6,299,557 0.4%
GWA Group, Ltd. 1,958,668 4,245,629 0.3%
Hansen Technologies, Ltd. 172,165 538,011 0.0%
Harvey Norman Holdings, Ltd. 345,901 1,324,649 0.1%
Healthscope, Ltd. 1,336,318 2,241,649 0.1%
HFA Holdings, Ltd. 310,766 540,510 0.0%
* Hills, Ltd. 1,277,876 620,794 0.0%
* Horizon Oil, Ltd. 6,180,869 177,789 0.0%
* IDM International, Ltd. 23,969 -- 0.0%
Iluka Resources, Ltd. 1,303,029 5,712,629 0.4%
#* Imdex, Ltd. 1,586,552 724,763 0.1%
# IMF Bentham, Ltd. 762,337 1,063,325 0.1%
# Independence Group NL 2,023,025 6,587,374 0.4%
#* Infigen Energy 2,288,359 1,748,269 0.1%
Infomedia, Ltd. 2,051,811 1,184,847 0.1%
Integrated Research, Ltd. 333,274 584,890 0.0%
# 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%
# iSelect, Ltd. 120,341 166,520 0.0%
iSentia Group, Ltd. 251,335 671,636 0.0%
# Japara Healthcare, Ltd. 138,635 197,949 0.0%
JB Hi-Fi, Ltd. 962,791 20,754,808 1.3%
* Jupiter Mines, Ltd. 405,443 11,350 0.0%
K&S Corp., Ltd. 265,983 287,557 0.0%
#* Karoon Gas Australia, Ltd. 738,066 1,282,328 0.1%
#* Kingsgate Consolidated, Ltd. 1,717,937 265,588 0.0%
* Kingsrose Mining, Ltd. 937,248 96,488 0.0%
* Lednium, Ltd. 195,019 -- 0.0%
#* Lynas Corp., Ltd. 3,390,978 144,045 0.0%
MACA, Ltd. 700,787 938,400 0.1%
* Macmahon Holdings, Ltd. 6,881,875 484,953 0.0%
Macquarie Atlas Roads Group 565,764 2,026,746 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
AUSTRALIA -- (Continued)
Magellan Financial Group, Ltd. 493,135 $ 7,963,587 0.5%
# Mantra Group, Ltd. 664,270 1,658,540 0.1%
MaxiTRANS Industries, Ltd. 915,613 441,834 0.0%
* Mayne Pharma Group, Ltd. 6,419,629 7,988,937 0.5%
McMillan Shakespeare, Ltd. 427,034 3,508,126 0.2%
McPherson's, Ltd. 558,677 449,639 0.0%
* Medusa Mining, Ltd. 1,263,898 617,122 0.0%
Melbourne IT, Ltd. 441,811 655,459 0.0%
#* Mesoblast, Ltd. 143,272 133,237 0.0%
#* Metals X, Ltd. 1,642,001 1,728,445 0.1%
#* Metcash, Ltd. 5,144,197 7,763,440 0.5%
# Michael Hill International, Ltd. 1,490,263 1,796,117 0.1%
* Millennium Minerals, Ltd. 45,061 10,147 0.0%
* Mincor Resources NL 1,067,643 263,986 0.0%
Mineral Resources, Ltd. 1,168,088 10,276,124 0.7%
# MMA Offshore, Ltd. 2,189,075 507,294 0.0%
# Monadelphous Group, Ltd. 792,858 5,602,891 0.4%
Monash IVF Group, Ltd. 94,850 152,088 0.0%
Money3 Corp., Ltd. 29,801 40,006 0.0%
* Morning Star Gold NL 332,749 127 0.0%
Mortgage Choice, Ltd. 680,426 1,158,310 0.1%
* Mount Gibson Iron, Ltd. 4,617,886 1,146,951 0.1%
# Myer Holdings, Ltd. 5,669,367 5,053,175 0.3%
MyState, Ltd. 187,162 566,300 0.0%
Navitas, Ltd. 1,459,890 5,805,439 0.4%
#* Nearmap, Ltd. 597,080 362,451 0.0%
* NetComm Wireless, Ltd. 36,441 62,734 0.0%
New Hope Corp., Ltd. 212,522 303,349 0.0%
* NEXTDC, Ltd. 42,329 118,270 0.0%
# nib holdings, Ltd. 2,713,689 9,937,859 0.6%
# Nick Scali, Ltd. 168,860 743,924 0.1%
# Nine Entertainment Co. Holdings, Ltd. 404,429 263,818 0.0%
# Northern Star Resources, Ltd. 4,806,957 15,547,800 1.0%
#* NRW Holdings, Ltd. 2,147,851 872,916 0.1%
Nufarm, Ltd. 1,280,776 8,597,852 0.6%
# OFX Group, Ltd. 557,214 655,935 0.0%
oOh!media, Ltd. 41,950 136,246 0.0%
#* Orocobre, Ltd. 389,899 1,135,470 0.1%
Orora, Ltd. 3,956,731 8,718,958 0.6%
# OrotonGroup, Ltd. 131,885 240,707 0.0%
OZ Minerals, Ltd. 2,198,276 11,231,748 0.7%
# Pacific Current Group, Ltd. 30,242 85,075 0.0%
Pact Group Holdings, Ltd. 252,760 1,259,993 0.1%
#* Paladin Energy, Ltd. 9,564,569 1,016,927 0.1%
* Panoramic Resources, Ltd. 1,781,726 313,189 0.0%
# Peet, Ltd. 1,645,757 1,188,516 0.1%
* Peninsula Energy, Ltd. 209,095 93,559 0.0%
# Perpetual, Ltd. 356,426 12,238,862 0.8%
#* Perseus Mining, Ltd. 3,800,711 1,786,565 0.1%
# Platinum Asset Management, Ltd. 341,012 1,291,488 0.1%
* Pluton Resources, Ltd. 20,710 -- 0.0%
PMP, Ltd. 2,327,074 1,523,279 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
Premier Investments, Ltd. 594,567 $ 6,398,480 0.4%
* Prima Biomed, Ltd. 1,409,121 38,542 0.0%
Primary Health Care, Ltd. 3,292,878 9,598,026 0.6%
Prime Media Group, Ltd. 2,031,951 432,409 0.0%
Pro Medicus, Ltd. 3,343 12,629 0.0%
# Programmed Maintenance Services, Ltd. 1,671,122 1,821,321 0.1%
# Qube Holdings, Ltd. 2,674,107 4,526,972 0.3%
* Ramelius Resources, Ltd. 2,088,879 776,714 0.1%
# RCG Corp., Ltd. 379,599 419,541 0.0%
RCR Tomlinson, Ltd. 1,055,209 2,134,865 0.1%
Reckon, Ltd. 363,914 437,023 0.0%
* Red 5, Ltd. 9,022 795 0.0%
Reece, Ltd. 231,441 7,735,134 0.5%
# Regis Healthcare, Ltd. 304,237 909,723 0.1%
Regis Resources, Ltd. 2,618,798 6,604,471 0.4%
Reject Shop, Ltd. (The) 265,486 1,506,849 0.1%
# Resolute Mining, Ltd. 4,897,793 5,785,513 0.4%
# Retail Food Group, Ltd. 1,099,481 5,655,928 0.4%
Ridley Corp., Ltd. 1,365,765 1,293,120 0.1%
* RiverCity Motorway Group 1,563,354 -- 0.0%
* RungePincockMinarco, Ltd. 30,702 11,692 0.0%
Ruralco Holdings, Ltd. 115,893 278,456 0.0%
SAI Global, Ltd. 1,578,339 5,612,431 0.4%
* Salmat, Ltd.(6571511) 645,788 228,825 0.0%
* Salmat, Ltd.(BDQZDF5) 137,402 3,658 0.0%
Sandfire Resources NL 623,462 2,459,285 0.2%
* Saracen Mineral Holdings, Ltd. 6,350,203 5,486,985 0.4%
# SeaLink Travel Group, Ltd. 30,221 98,068 0.0%
# Select Harvests, Ltd. 532,021 2,472,574 0.2%
* Senetas Corp., Ltd. 131,335 11,969 0.0%
#* Senex Energy, Ltd. 6,438,932 1,233,316 0.1%
Servcorp, Ltd. 319,070 1,924,858 0.1%
Service Stream, Ltd. 1,778,827 1,471,989 0.1%
# Seven Group Holdings, Ltd. 559,015 3,853,039 0.3%
Seven West Media, Ltd. 7,785,820 4,012,024 0.3%
SG Fleet Group, Ltd. 60,289 164,663 0.0%
Shine Corporate, Ltd. 15,573 14,803 0.0%
Sigma Pharmaceuticals, Ltd. 7,584,855 7,654,577 0.5%
#* Silex Systems, Ltd. 511,695 132,244 0.0%
# Silver Chef, Ltd. 104,797 845,349 0.1%
* Silver Lake Resources, Ltd. 2,979,460 1,460,426 0.1%
# Sims Metal Management, Ltd. 1,382,214 10,514,951 0.7%
Sirtex Medical, Ltd. 413,240 8,746,855 0.6%
# Slater & Gordon, Ltd. 2,016,208 557,560 0.0%
SmartGroup Corp., Ltd. 30,161 136,937 0.0%
# SMS Management & Technology, Ltd. 575,318 666,625 0.0%
Southern Cross Media Group, Ltd. 3,965,374 4,328,839 0.3%
Spark Infrastructure Group 11,913,246 20,084,154 1.3%
* Specialty Fashion Group, Ltd. 786,397 313,702 0.0%
SpeedCast International, Ltd. 47,531 144,201 0.0%
Spotless Group Holdings, Ltd. 2,865,962 2,174,113 0.1%
#* St Barbara, Ltd. 3,864,261 7,887,007 0.5%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
AUSTRALIA -- (Continued)
Star Entertainment Grp, Ltd. (The) 4,207,608 $ 15,921,346 1.0%
Steadfast Group, Ltd. 1,734,291 2,816,102 0.2%
* Strike Energy, Ltd. 1,471,668 106,558 0.0%
#* Sundance Energy Australia, Ltd. 5,557,953 731,492 0.1%
Sunland Group, Ltd. 729,757 841,237 0.1%
# Super Retail Group, Ltd. 1,280,749 9,521,373 0.6%
* Syrah Resources, Ltd. 103,722 283,588 0.0%
# Tabcorp Holdings, Ltd. 3,586,818 13,177,917 0.9%
Tassal Group, Ltd. 918,653 2,685,812 0.2%
# Technology One, Ltd. 1,645,166 7,025,779 0.5%
#* Ten Network Holdings, Ltd. 1,309,458 1,028,773 0.1%
# TFS Corp., Ltd. 2,029,504 2,160,559 0.1%
Thorn Group, Ltd. 617,981 809,794 0.1%
* Tiger Resources, Ltd. 9,447,997 143,684 0.0%
* Toro Energy, Ltd. 70,156 2,133 0.0%
Tox Free Solutions, Ltd. 1,156,521 2,065,678 0.1%
Treasury Wine Estates, Ltd. 665,588 5,426,117 0.4%
* Tribune Resources, Ltd. 3,093 15,048 0.0%
#* Troy Resources, Ltd. 2,230,415 606,197 0.0%
#* UGL, Ltd. 1,185,950 2,895,098 0.2%
# Villa World, Ltd. 267,543 463,638 0.0%
# Village Roadshow, Ltd. 831,506 3,214,775 0.2%
* Virgin Australia Holdings, Ltd.() 7,648,897 -- 0.0%
* Virgin Australia Holdings, Ltd.(B43DQC7) 11,885,050 2,121,966 0.1%
Virtus Health, Ltd. 194,550 1,029,578 0.1%
Vita Group, Ltd. 100,413 312,065 0.0%
# Vocus Communications, Ltd. 4,260,609 18,472,126 1.2%
#* Watpac, Ltd. 760,701 516,810 0.0%
# Webjet, Ltd. 594,951 4,942,328 0.3%
Webster, Ltd. 23,507 21,799 0.0%
#* Western Areas, Ltd. 1,821,505 3,416,443 0.2%
#* Whitehaven Coal, Ltd. 4,143,411 9,528,724 0.6%
#* WorleyParsons, Ltd. 550,059 3,515,410 0.2%
WPP AUNZ, Ltd. 2,447,007 1,514,736 0.1%
------------ ----
TOTAL AUSTRALIA 800,100,009 51.4%
------------ ----
CHINA -- (0.2%)
* China Ludao Technology Co., Ltd. 464,000 110,071 0.0%
Chu Kong Shipping Enterprise Group Co., Ltd. 92,000 25,333 0.0%
Hua Hong Semiconductor, Ltd. 63,000 74,438 0.0%
K Wah International Holdings, Ltd. 5,102,632 2,758,757 0.2%
* Lifestyle China Group, Ltd. 1,649,000 463,196 0.0%
SITC International Holdings Co., Ltd. 187,000 110,580 0.0%
* United Photovoltaics Group, Ltd. 264,000 23,069 0.0%
------------ ----
TOTAL CHINA 3,565,444 0.2%
------------ ----
HONG KONG -- (23.1%)
* 13 Holdings, Ltd. (The) 54,500 16,043 0.0%
* 650369903 214,000 49,668 0.0%
Aeon Credit Service Asia Co., Ltd. 564,000 411,770 0.0%
Aeon Stores Hong Kong Co., Ltd. 248,000 226,266 0.0%
Agritrade Resources, Ltd. 3,065,000 493,214 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
HONG KONG -- (Continued)
Alco Holdings, Ltd. 1,614,000 $ 624,969 0.1%
Allan International Holdings 32,000 7,712 0.0%
Allied Group, Ltd. 663,200 3,540,654 0.2%
Allied Properties HK, Ltd. 11,945,857 2,525,699 0.2%
* Anxian Yuan China Holdings, Ltd. 3,100,000 39,938 0.0%
* Apac Resources, Ltd. 31,747,350 439,667 0.0%
* Applied Development Holdings, Ltd. 4,795,000 456,530 0.0%
APT Satellite Holdings, Ltd. 2,977,500 1,957,078 0.1%
Arts Optical International Hldgs, Ltd. 730,000 288,069 0.0%
Asia Financial Holdings, Ltd. 2,404,908 1,378,966 0.1%
* Asia Satellite Telecommunications Holdings, Ltd. 934,500 1,265,598 0.1%
Asia Standard Hotel Group, Ltd. 11,437,218 757,708 0.1%
Asia Standard International Group, Ltd. 13,316,917 2,809,535 0.2%
ASM Pacific Technology, Ltd. 400,200 3,855,760 0.3%
Associated International Hotels, Ltd. 952,000 2,780,384 0.2%
* Auto Italia Holdings 1,900,000 31,623 0.0%
* BeijingWest Industries International, Ltd. 4,196,000 120,281 0.0%
* Bel Global Resources Holdings, Ltd. 2,576,000 -- 0.0%
BEP International Holdings, Ltd. 19,310,000 1,267,323 0.1%
* Bestway International Holdings, Ltd. 615,000 80,091 0.0%
Bonjour Holdings, Ltd. 13,988,600 602,492 0.0%
Bossini International Holdings, Ltd. 3,699,500 224,031 0.0%
Bright Smart Securities & Commodities Group, Ltd. 5,126,000 2,172,341 0.1%
# Brightoil Petroleum Holdings, Ltd. 5,393,000 1,550,394 0.1%
#* Brockman Mining, Ltd. 22,810,814 301,987 0.0%
* Burwill Holdings, Ltd. 30,384,960 873,889 0.1%
Cafe de Coral Holdings, Ltd. 2,330,000 8,226,629 0.5%
* Cash Financial Services Group, Ltd. 3,438,000 212,046 0.0%
* CCT Land Holdings, Ltd. 480,000 803 0.0%
Century City International Holdings, Ltd. 6,235,460 417,683 0.0%
* CGN Mining Co., Ltd. 825,000 71,013 0.0%
* Champion Technology Holdings, Ltd. 16,563,089 355,563 0.0%
Chen Hsong Holdings 1,212,000 293,853 0.0%
Cheuk Nang Holdings, Ltd. 631,045 471,063 0.0%
# Chevalier International Holdings, Ltd. 820,989 1,298,892 0.1%
* China Billion Resources, Ltd. 2,438,000 12,558 0.0%
* China Chuanglian Education Group, Ltd. 4,664,000 103,729 0.0%
* China Digicontent Co., Ltd. 2,710,000 -- 0.0%
#* China Energy Development Holdings, Ltd. 52,140,000 646,557 0.1%
* China Environmental Energy Investment, Ltd. 196,000 14,405 0.0%
* China Ever Grand Financial Leasing Group Co., Ltd. 810,000 10,736 0.0%
China Flavors & Fragrances Co., Ltd. 517,028 184,245 0.0%
* China Healthcare Enterprise Group, Ltd. 7,756,000 133,856 0.0%
China LNG Group, Ltd. 3,720,000 108,644 0.0%
* China Medical & Healthcare Group, Ltd. 42,916,800 2,455,807 0.2%
China Metal International Holdings, Inc. 2,670,000 932,237 0.1%
# China Motor Bus Co., Ltd. 50,600 560,423 0.0%
* China National Culture Group, Ltd. 7,410,000 42,906 0.0%
#* China Smarter Energy Group Holdings, Ltd. 2,174,000 243,638 0.0%
* China Solar Energy Holdings, Ltd. 1,669,500 7,265 0.0%
* China Star Entertainment, Ltd. 1,850,000 140,277 0.0%
#* China Strategic Holdings, Ltd. 48,071,250 1,138,480 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
HONG KONG -- (Continued)
China Ting Group Holdings, Ltd. 2,565,151 $ 138,830 0.0%
* China Wah Yan Healthcare, Ltd. 11,685,000 96,381 0.0%
Chinese Estates Holdings, Ltd. 35,500 64,240 0.0%
Chinney Investments, Ltd. 1,144,000 262,711 0.0%
Chong Hing Bank, Ltd. 68,000 133,625 0.0%
# Chow Sang Sang Holdings International, Ltd. 2,306,000 4,071,349 0.3%
Chuang's China Investments, Ltd. 6,971,407 475,993 0.0%
Chuang's Consortium International, Ltd. 6,883,043 1,503,800 0.1%
* Chun Sing Engineering Holdings, Ltd. 60,000 12,440 0.0%
CITIC Telecom International Holdings, Ltd. 11,836,125 4,037,552 0.3%
# CK Life Sciences International Holdings, Inc. 22,270,000 1,948,887 0.1%
CNQC International Holdings, Ltd. 2,300,000 888,725 0.1%
CNT Group, Ltd. 8,201,264 770,555 0.1%
* Common Splendor International Health Industry Group,
Ltd. 7,210,000 621,324 0.0%
* Continental Holdings, Ltd. 450,000 8,500 0.0%
# Convenience Retail Asia, Ltd. 142,000 75,783 0.0%
* Convoy Financial Holdings, Ltd. 45,144,000 1,393,427 0.1%
#* Cowell e Holdings, Inc. 1,529,000 469,951 0.0%
* CP Lotus Corp. 11,880,000 191,258 0.0%
* Crocodile Garments 1,263,000 141,490 0.0%
# Cross-Harbour Holdings, Ltd. (The) 679,520 945,792 0.1%
CSI Properties, Ltd. 37,036,383 1,332,346 0.1%
# CW Group Holdings, Ltd. 2,624,000 539,842 0.0%
Dah Sing Banking Group, Ltd. 3,751,916 6,775,868 0.4%
Dah Sing Financial Holdings, Ltd. 1,408,144 9,551,504 0.6%
Dan Form Holdings Co., Ltd. 4,377,260 1,529,212 0.1%
Dickson Concepts International, Ltd. 1,252,000 453,709 0.0%
* Dragonite International, Ltd. 56,000 8,288 0.0%
Dynamic Holdings, Ltd. 18,000 11,375 0.0%
Eagle Nice International Holdings, Ltd. 1,782,000 534,387 0.0%
EcoGreen International Group, Ltd. 1,634,640 339,771 0.0%
* EganaGoldpfeil Holdings, Ltd. 4,121,757 -- 0.0%
Emperor Capital Group, Ltd. 26,499,000 2,793,476 0.2%
Emperor Entertainment Hotel, Ltd. 4,405,000 1,071,982 0.1%
Emperor International Holdings, Ltd. 8,702,753 2,037,744 0.1%
* Emperor Watch & Jewellery, Ltd. 26,130,000 1,042,441 0.1%
* Enerchina Holdings, Ltd. 1,674,000 114,037 0.0%
* ENM Holdings, Ltd. 14,680,000 859,489 0.1%
* EPI Holdings, Ltd. 1,950,001 51,171 0.0%
#* Esprit Holdings, Ltd. 14,507,050 11,964,200 0.8%
* eSun Holdings, Ltd. 4,344,000 413,523 0.0%
* Eternity Investment, Ltd. 830,000 19,130 0.0%
* Ezcom Holdings, Ltd. 72,576 -- 0.0%
# Fairwood Holdings, Ltd. 703,600 3,264,749 0.2%
Far East Consortium International, Ltd. 9,110,798 3,729,347 0.2%
* Far East Holdings International, Ltd. 624,000 83,462 0.0%
FIH Mobile, Ltd. 11,428,000 3,771,282 0.3%
First Pacific Co., Ltd. 4,282,000 3,243,840 0.2%
First Shanghai Investments, Ltd. 4,312,000 763,662 0.1%
Fountain SET Holdings, Ltd. 5,388,000 707,472 0.1%
Four Seas Mercantile Holdings, Ltd. 610,000 313,985 0.0%
* Freeman Financial Corp., Ltd. 1,820,000 126,472 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
HONG KONG -- (Continued)
Future Bright Holdings, Ltd. 3,288,000 $ 373,349 0.0%
G-Resources Group, Ltd. 167,529,600 2,965,204 0.2%
#* GCL New Energy Holdings, Ltd. 19,760,000 1,168,998 0.1%
# Get Nice Financial Group, Ltd. 966,600 131,852 0.0%
# Get Nice Holdings, Ltd. 40,426,000 1,404,833 0.1%
Giordano International, Ltd. 10,656,000 5,645,441 0.4%
#* Global Brands Group Holding, Ltd. 28,346,000 3,210,630 0.2%
Glorious Sun Enterprises, Ltd. 4,240,000 567,685 0.0%
Gold Peak Industries Holdings, Ltd. 3,029,642 304,116 0.0%
Golden Resources Development International, Ltd. 3,330,500 201,613 0.0%
#* Good Resources Holdings, Ltd. 3,230,000 166,187 0.0%
* Grande Holdings, Ltd. (The) 882,000 40,360 0.0%
Great Eagle Holdings, Ltd. 449,467 1,993,800 0.1%
Guangnan Holdings, Ltd. 2,363,600 273,913 0.0%
Guoco Group, Ltd. 2,000 22,453 0.0%
# Guotai Junan International Holdings, Ltd. 22,013,797 8,406,293 0.6%
# Haitong International Securities Group, Ltd. 9,802,191 6,271,317 0.4%
Hanison Construction Holdings, Ltd. 2,103,649 371,044 0.0%
* Hanny Holdings, Ltd. 185,000 10,376 0.0%
* Hao Tian Development Group, Ltd. 16,639,200 824,980 0.1%
Harbour Centre Development, Ltd. 935,500 1,693,908 0.1%
High Fashion International, Ltd. 268,000 73,095 0.0%
HKBN, Ltd. 1,623,000 1,915,894 0.1%
* HKR International, Ltd. 5,927,136 2,848,322 0.2%
Hon Kwok Land Investment Co., Ltd. 314,800 122,092 0.0%
Hong Kong Aircraft Engineering Co., Ltd. 108,000 769,412 0.1%
* Hong Kong Building & Loan Agency, Ltd. (The) 200,000 7,207 0.0%
Hong Kong Ferry Holdings Co., Ltd. 855,300 1,004,601 0.1%
Hong Kong Shanghai Alliance Holdings, Ltd. 1,248,002 135,221 0.0%
* Hong Kong Television Network, Ltd. 2,559,751 461,555 0.0%
* HongDa Financial Holding, Ltd. 1,290,000 63,202 0.0%
# Hongkong & Shanghai Hotels, Ltd. (The) 1,501,112 1,696,401 0.1%
Hongkong Chinese, Ltd. 5,038,000 922,045 0.1%
Hop Hing Group Holdings, Ltd. 1,812,000 27,770 0.0%
Hopewell Holdings, Ltd. 3,184,000 11,148,424 0.7%
#* Hsin Chong Group Holding, Ltd. 10,517,658 466,674 0.0%
Hung Hing Printing Group, Ltd. 2,628,000 328,582 0.0%
Hutchison Telecommunications Hong Kong Holdings, Ltd. 11,810,000 3,803,520 0.3%
* I-CABLE Communications, Ltd. 4,324,000 461,685 0.0%
# IGG, Inc. 4,920,000 3,586,309 0.2%
#* Imagi International Holdings, Ltd. 17,138,400 485,730 0.0%
* International Standard Resources Holdings, Ltd. 30,641,500 505,104 0.0%
* iOne Holdings, Ltd. 11,400,000 293,207 0.0%
IPE Group, Ltd. 3,345,000 728,245 0.1%
* IRC, Ltd. 10,590,266 243,680 0.0%
IT, Ltd. 4,144,532 1,525,950 0.1%
ITC Corp., Ltd. 1,095,150 91,754 0.0%
ITC Properties Group, Ltd. 4,859,749 1,813,356 0.1%
* Jinhui Holdings Co., Ltd. 102,000 11,848 0.0%
Johnson Electric Holdings, Ltd. 2,112,750 5,106,592 0.3%
Kader Holdings Co., Ltd. 92,000 8,529 0.0%
Kam Hing International Holdings, Ltd. 1,830,000 122,710 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ---------- ---------------
HONG KONG -- (Continued)
* Kantone Holdings, Ltd. 919,364 $ 99,698 0.0%
Karrie International Holdings, Ltd. 138,000 12,247 0.0%
Keck Seng Investments 878,600 655,580 0.1%
Kerry Logistics Network, Ltd. 1,825,500 2,423,219 0.2%
* King Pacific International Holdings, Ltd. 1,404,200 -- 0.0%
Kingmaker Footwear Holdings, Ltd. 1,830,955 447,667 0.0%
# Kingston Financial Group, Ltd. 9,219,000 3,827,066 0.3%
* Kong Sun Holdings, Ltd. 175,000 6,600 0.0%
Kowloon Development Co., Ltd. 2,541,000 2,543,372 0.2%
* Kwan On Holdings, Ltd. 1,510,000 404,251 0.0%
Kwoon Chung Bus Holdings, Ltd. 20,000 10,220 0.0%
L'Occitane International SA 435,500 902,435 0.1%
* L'sea Resources International Holdings, Ltd. 5,480,000 104,992 0.0%
Lai Sun Development Co., Ltd. 86,932,466 1,766,863 0.1%
Lai Sun Garment International, Ltd. 3,321,680 659,793 0.1%
Lam Soon Hong Kong, Ltd. 302,310 335,451 0.0%
* Landing International Development, Ltd. 22,400,000 538,365 0.0%
Landsea Green Properties Co., Ltd. 948,000 74,503 0.0%
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 -- 0.0%
Lifestyle International Holdings, Ltd. 1,835,500 2,459,149 0.2%
Lippo China Resources, Ltd. 20,922,000 610,046 0.0%
Lippo, Ltd. 1,161,700 712,278 0.1%
Lisi Group Holdings, Ltd. 9,590,000 803,092 0.1%
# Liu Chong Hing Investment, Ltd. 1,281,200 1,804,859 0.1%
Luen Thai Holdings, Ltd. 1,207,000 496,181 0.0%
Luk Fook Holdings International, Ltd. 3,142,000 9,213,353 0.6%
Luks Group Vietnam Holdings Co., Ltd. 514,913 183,859 0.0%
Lung Kee Bermuda Holdings 1,567,875 547,091 0.0%
#* Macau Legend Development, Ltd. 12,460,000 2,179,486 0.2%
Magnificent Hotel Investment, Ltd. 13,170,000 306,703 0.0%
Major Holdings, Ltd. 780,000 199,672 0.0%
* Man Sang International, Ltd. 132,000 11,043 0.0%
Man Wah Holdings, Ltd. 13,578,800 9,012,166 0.6%
* Mason Financial Holdings, Ltd. 18,230,000 417,286 0.0%
Master Glory Group, Ltd. 14,910,000 836,285 0.1%
Matrix Holdings, Ltd. 1,067,414 392,141 0.0%
Melbourne Enterprises, Ltd. 39,500 875,723 0.1%
# Melco International Development, Ltd. 4,978,000 6,491,503 0.4%
#* Midland Holdings, Ltd. 5,182,000 1,837,486 0.1%
Ming Fai International Holdings, Ltd. 1,879,000 290,511 0.0%
Miramar Hotel & Investment 889,000 1,791,029 0.1%
#* Mongolian Mining Corp. 8,115,500 311,856 0.0%
# NagaCorp, Ltd. 10,112,000 6,316,398 0.4%
Nanyang Holdings, Ltd. 133,500 704,499 0.1%
National Electronic Hldgs 2,668,600 329,961 0.0%
* National United Resources Holdings, Ltd. 18,280,000 334,697 0.0%
* Neo-Neon Holdings, Ltd. 2,337,500 364,222 0.0%
* Neptune Group, Ltd. 2,785,000 129,275 0.0%
* NetMind Financial Holdings, Ltd. 128,560,000 1,139,304 0.1%
* New Century Group Hong Kong, Ltd. 13,351,464 223,309 0.0%
* New Times Energy Corp., Ltd. 1,946,400 63,972 0.0%
# Newocean Energy Holdings, Ltd. 7,708,000 1,985,818 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
HONG KONG -- (Continued)
* Next Digital, Ltd. 4,295,183 $ 226,775 0.0%
* Nine Express, Ltd. 10,260,000 487,770 0.0%
* O Luxe Holdings, Ltd. 10,234,500 845,665 0.1%
* Orange Sky Golden Harvest Entertainment Holdings, Ltd. 9,489,706 592,210 0.0%
Orient Overseas International, Ltd. 1,401,500 5,242,424 0.3%
* Orient Power Holdings, Ltd. 804,000 -- 0.0%
# Oriental Watch Holdings 3,070,800 558,486 0.0%
* Pacific Andes International Holdings, Ltd. 19,435,067 137,326 0.0%
#* Pacific Basin Shipping, Ltd. 28,883,000 4,312,677 0.3%
# Pacific Textiles Holdings, Ltd. 6,300,000 7,937,552 0.5%
Pak Fah Yeow International, Ltd. 5,000 2,384 0.0%
Paliburg Holdings, Ltd. 3,062,830 935,342 0.1%
#* Paradise Entertainment, Ltd. 3,652,000 898,597 0.1%
#* Peace Mark Holdings, Ltd. 2,712,022 -- 0.0%
* Pearl Oriental Oil, Ltd. 11,849,400 449,976 0.0%
Pegasus International Holdings, Ltd. 226,000 30,348 0.0%
Perfect Shape Beauty Technology, Ltd. 1,172,000 119,213 0.0%
# Pico Far East Holdings, Ltd. 5,164,000 1,570,787 0.1%
Playmates Holdings, Ltd. 692,000 809,112 0.1%
Playmates Toys, Ltd. 6,208,000 974,120 0.1%
# Pokfulam Development Co. 234,000 418,359 0.0%
Polytec Asset Holdings, Ltd. 11,323,526 818,050 0.1%
Public Financial Holdings, Ltd. 3,102,000 1,390,843 0.1%
* PYI Corp., Ltd. 24,147,973 505,586 0.0%
* Pyxis Group, Ltd. 1,936,000 -- 0.0%
* Qianhai Health Holdings, Ltd. 157,499 3,332 0.0%
# Quam, Ltd. 1,280,000 196,401 0.0%
Raymond Industrial, Ltd. 30,400 4,152 0.0%
# Regal Hotels International Holdings, Ltd. 2,871,800 1,600,280 0.1%
* Rentian Technology Holdings, Ltd. 5,490,000 367,181 0.0%
Rivera Holdings, Ltd. 5,710,000 346,090 0.0%
SA SA International Holdings, Ltd. 11,234,688 5,136,733 0.3%
Safety Godown Co., Ltd. 400,000 990,600 0.1%
* Sandmartin International Holdings, Ltd. 844,000 20,124 0.0%
SAS Dragon Holdings, Ltd. 2,120,000 372,963 0.0%
# SEA Holdings, Ltd. 1,162,000 2,958,504 0.2%
* SEEC Media Group, Ltd. 2,620,000 48,178 0.0%
Shangri-La Asia, Ltd. 652,000 716,089 0.1%
# Shenwan Hongyuan HK, Ltd. 4,201,250 2,311,092 0.2%
* Shougang Concord Grand Group, Ltd. 1,158,000 38,020 0.0%
Shun Ho Technology Holdings, Ltd. 1,254,757 443,140 0.0%
#* Shun Tak Holdings, Ltd. 13,787,419 4,647,947 0.3%
* Silver base Group Holdings, Ltd. 3,641,515 262,257 0.0%
#* Sincere Watch Hong Kong, Ltd. 2,800,000 77,042 0.0%
* Sing Pao Media Enterprises, Ltd. 250,511 -- 0.0%
Sing Tao News Corp., Ltd. 1,974,000 254,357 0.0%
* Singamas Container Holdings, Ltd. 10,968,000 1,143,520 0.1%
* Sinocan Holdings, Ltd. 350,000 -- 0.0%
SIS International Holdings 34,000 17,509 0.0%
Sitoy Group Holdings, Ltd. 962,000 345,543 0.0%
#* Skyway Securities Group, Ltd. 12,270,000 266,562 0.0%
SmarTone Telecommunications Holdings, Ltd. 3,918,031 5,914,368 0.4%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
HONG KONG -- (Continued)
* SOCAM Development, Ltd. 1,744,771 $ 676,318 0.1%
* Solartech International Holdings, Ltd. 4,760,000 251,491 0.0%
* Solomon Systech International, Ltd. 9,504,000 446,372 0.0%
Soundwill Holdings, Ltd. 539,000 977,658 0.1%
* South China Assets Holdings, Ltd. 1,679,170 15,338 0.0%
* South China Financial Holdings, Ltd. 16,950,000 174,419 0.0%
* South China Holdings Co., Ltd. 14,219,603 705,259 0.1%
# Stella International Holdings, Ltd. 1,485,500 2,574,904 0.2%
* Stelux Holdings International, Ltd. 3,011,400 232,520 0.0%
* Success Universe Group, Ltd. 6,716,000 151,696 0.0%
Sun Hing Vision Group Holdings, Ltd. 358,000 129,257 0.0%
Sun Hung Kai & Co., Ltd. 4,619,429 2,908,156 0.2%
Sunwah Kingsway Capital Holdings, Ltd. 7,690,000 150,591 0.0%
# TAI Cheung Holdings, Ltd. 2,040,000 1,739,028 0.1%
Tai Sang Land Development, Ltd. 781,910 441,050 0.0%
* Tai United Holdings, Ltd. 880,000 1,135 0.0%
* Talent Property Group, Ltd. 2,910,000 63,656 0.0%
# Tan Chong International, Ltd. 1,176,000 344,949 0.0%
Tao Heung Holdings, Ltd. 1,121,000 313,562 0.0%
* TCL Display Technology Holdings, Ltd. 968,000 94,492 0.0%
# Television Broadcasts, Ltd. 2,037,100 7,374,084 0.5%
* Termbray Industries International Holdings, Ltd. 2,304,900 169,437 0.0%
Tern Properties Co., Ltd. 51,200 31,032 0.0%
# Texwinca Holdings, Ltd. 6,280,000 4,393,433 0.3%
Tian Teck Land, Ltd. 1,024,000 1,139,841 0.1%
* Titan Petrochemicals Group, Ltd. 13,140,000 155,858 0.0%
#* TOM Group, Ltd. 524,000 128,110 0.0%
# Town Health International Medical Group, Ltd. 2,672,000 426,971 0.0%
Tradelink Electronic Commerce, Ltd. 5,088,000 1,087,269 0.1%
# Transport International Holdings, Ltd. 1,240,141 3,746,921 0.3%
#* Trinity, Ltd. 8,046,000 591,169 0.0%
* Tristate Holdings, Ltd. 100,000 20,944 0.0%
* TSC Group Holdings, Ltd. 3,280,000 485,578 0.0%
# Tsui Wah Holdings, Ltd. 1,424,000 244,110 0.0%
#* United Laboratories International Holdings, Ltd. (The) 5,116,000 2,816,684 0.2%
* Universal Technologies Holdings, Ltd. 7,410,000 286,574 0.0%
* Up Energy Development Group, Ltd. 3,929,000 49,039 0.0%
Upbest Group, Ltd. 72,000 12,327 0.0%
* Value Convergence Holdings, Ltd. 3,156,000 1,230,380 0.1%
Value Partners Group, Ltd. 3,009,000 2,870,243 0.2%
Vanke Property Overseas, Ltd. 49,000 30,744 0.0%
Vantage International Holdings, Ltd. 2,358,000 434,876 0.0%
Varitronix International, Ltd. 2,769,293 1,126,664 0.1%
Vedan International Holdings, Ltd. 3,360,000 428,579 0.0%
Victory City International Holdings, Ltd. 15,441,107 725,436 0.1%
# Vitasoy International Holdings, Ltd. 5,277,000 11,020,785 0.7%
* VS International Group, Ltd. 488,000 22,899 0.0%
# VST Holdings, Ltd. 5,123,600 1,555,263 0.1%
VTech Holdings, Ltd. 700,400 8,591,259 0.6%
Wai Kee Holdings, Ltd. 7,640,738 2,430,285 0.2%
Wang On Group, Ltd. 1,740,000 15,442 0.0%
Win Hanverky Holdings, Ltd. 2,734,000 467,787 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
HONG KONG -- (Continued)
* Winfull Group Holdings, Ltd. 9,512,000 $ 219,767 0.0%
Wing On Co. International, Ltd. 759,000 2,362,528 0.2%
Wing Tai Properties, Ltd. 1,923,331 1,189,790 0.1%
Wonderful Sky Financial Group Holdings, Ltd. 186,000 55,766 0.0%
Wong's International Holdings, Ltd. 737,641 261,655 0.0%
Wong's Kong King International 120,000 18,248 0.0%
* Xinyi Automobile Glass Hong Kong Enterprises, Ltd. 419,250 81,760 0.0%
# Xinyi Glass Holdings, Ltd. 17,658,000 15,182,993 1.0%
Yangtzekiang Garment, Ltd. 606,500 230,899 0.0%
Yau Lee Holdings, Ltd. 534,000 72,878 0.0%
Yeebo International Holdings, Ltd. 2,328,000 919,763 0.1%
# YGM Trading, Ltd. 447,000 443,221 0.0%
YT Realty Group, Ltd. 749,000 541,323 0.0%
Yugang International, Ltd. 90,818,000 1,643,988 0.1%
------------ ----
TOTAL HONG KONG 417,419,049 26.9%
------------ ----
NEW ZEALAND -- (7.4%)
#* a2 Milk Co., Ltd. 1,558,157 2,068,774 0.1%
Abano Healthcare Group, Ltd. 30,725 175,709 0.0%
Air New Zealand, Ltd. 3,693,701 5,095,106 0.3%
* Bay Energy, Ltd. 81,096 284,739 0.0%
Briscoe Group, Ltd. 2,235 6,039 0.0%
Chorus, Ltd. 2,169,937 5,667,811 0.4%
Colonial Motor Co., Ltd. (The) 144,588 729,176 0.1%
Contact Energy, Ltd. 2,259,220 7,681,997 0.5%
# EBOS Group, Ltd. 451,590 5,502,086 0.4%
Fisher & Paykel Healthcare Corp., Ltd. 2,455,045 15,543,967 1.0%
Freightways, Ltd. 974,609 4,452,289 0.3%
Genesis Energy, Ltd. 636,993 892,694 0.1%
Hallenstein Glasson Holdings, Ltd. 242,445 518,104 0.0%
# Heartland Bank, Ltd. 642,535 688,568 0.0%
Hellaby Holdings, Ltd. 384,437 918,071 0.1%
Infratil, Ltd. 3,268,694 6,962,751 0.5%
Kathmandu Holdings, Ltd. 663,170 952,642 0.1%
Mainfreight, Ltd. 539,049 7,154,735 0.5%
# Mercury NZ, Ltd. 598,819 1,307,241 0.1%
Methven, Ltd. 93,877 81,143 0.0%
Metlifecare, Ltd. 568,932 2,350,526 0.2%
Millennium & Copthorne Hotels New Zealand, Ltd. 395,725 622,009 0.0%
New Zealand Oil & Gas, Ltd. 1,659,791 627,441 0.0%
# New Zealand Refining Co., Ltd. (The) 574,344 919,705 0.1%
NZME, Ltd. 945,851 449,878 0.0%
NZX, Ltd. 952,265 708,122 0.1%
# Opus International Consultants, Ltd. 12,925 7,303 0.0%
* Orion Health Group, Ltd. 4,001 9,153 0.0%
#* Pacific Edge, Ltd. 442,720 145,487 0.0%
PGG Wrightson, Ltd. 999,976 328,766 0.0%
* Pike River Coal, Ltd. 490,805 -- 0.0%
# Port of Tauranga, Ltd. 2,576,525 7,183,134 0.5%
Restaurant Brands New Zealand, Ltd. 480,311 1,813,509 0.1%
* Richina Pacific, Ltd. 274,180 -- 0.0%
* Rubicon, Ltd. 1,442,620 236,773 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
NEW ZEALAND -- (Continued)
# Ryman Healthcare, Ltd. 1,772,699 $ 11,251,074 0.7%
Sanford, Ltd. 382,357 1,743,137 0.1%
Scales Corp., Ltd. 6,694 14,735 0.0%
Scott Technology, Ltd. 39,805 60,362 0.0%
# Skellerup Holdings, Ltd. 544,971 556,889 0.0%
SKY Network Television, Ltd. 2,080,268 6,868,715 0.4%
SKYCITY Entertainment Group, Ltd. 5,162,402 14,391,898 0.9%
Steel & Tube Holdings, Ltd. 441,625 690,795 0.0%
Summerset Group Holdings, Ltd. 516,519 1,756,918 0.1%
* Tilt Renewables, Ltd. 81,096 127,582 0.0%
Tourism Holdings, Ltd. 337,692 782,158 0.1%
Tower, Ltd. 887,040 570,563 0.0%
Trade Me Group, Ltd. 1,682,617 5,845,081 0.4%
Vector, Ltd. 1,381,288 3,143,215 0.2%
Warehouse Group, Ltd. (The) 698,604 1,498,207 0.1%
#* Xero, Ltd. 167,838 2,129,604 0.1%
Z Energy, Ltd. 183,115 1,023,445 0.1%
------------ ---
TOTAL NEW ZEALAND 134,539,826 8.7%
------------ ---
SINGAPORE -- (10.5%)
* Abterra, Ltd. 531,800 195,901 0.0%
Accordia Golf Trust 2,892,300 1,362,937 0.1%
Amara Holdings, Ltd. 922,800 263,446 0.0%
Ascendas India Trust 1,102,600 847,389 0.1%
ASL Marine Holdings, Ltd. 617,500 53,973 0.0%
Aspial Corp., Ltd. 75,877 14,742 0.0%
Baker Technology, Ltd. 289,580 135,564 0.0%
#* Banyan Tree Holdings, Ltd. 1,022,900 291,910 0.0%
# Best World International, Ltd. 1,033,625 1,082,167 0.1%
Bonvests Holdings, Ltd. 950,000 833,006 0.1%
* Boustead Projects, Ltd. 497,612 259,150 0.0%
Boustead Singapore, Ltd. 1,827,636 1,176,116 0.1%
Breadtalk Group, Ltd. 894,200 639,399 0.0%
* Broadway Industrial Group, Ltd. 835,330 117,294 0.0%
Bukit Sembawang Estates, Ltd. 606,203 1,964,121 0.1%
Bund Center Investment, Ltd. 659,825 332,755 0.0%
# Centurion Corp., Ltd. 825,900 198,493 0.0%
# China Aviation Oil Singapore Corp., Ltd. 2,336,199 2,393,218 0.2%
# China Everbright Water, Ltd. 3,794,800 1,557,067 0.1%
# Chip Eng Seng Corp., Ltd. 3,445,300 1,593,976 0.1%
Chuan Hup Holdings, Ltd. 3,853,500 718,107 0.1%
#* Cityneon Holdings, Ltd. 404,000 341,673 0.0%
Civmec, Ltd. 53,200 12,263 0.0%
#* COSCO Corp. Singapore, Ltd. 8,095,300 1,481,261 0.1%
* Creative Technology, Ltd. 272,200 189,090 0.0%
CSE Global, Ltd. 3,443,600 1,015,558 0.1%
# CWT, Ltd. 1,799,000 2,554,359 0.2%
# Del Monte Pacific, Ltd. 2,363,364 586,016 0.0%
# Delfi, Ltd. 788,500 1,270,759 0.1%
* DMX Technologies Group, Ltd. 2,096,000 62,539 0.0%
* Dyna-Mac Holdings, Ltd. 2,007,300 195,634 0.0%
Elec & Eltek International Co., Ltd. 147,000 124,802 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
SINGAPORE -- (Continued)
EnGro Corp., Ltd. 354,000 $ 217,427 0.0%
#* Ezion Holdings, Ltd. 12,591,378 2,697,827 0.2%
#* Ezra Holdings, Ltd. 19,242,923 589,466 0.0%
Falcon Energy Group, Ltd. 2,008,800 212,965 0.0%
Far East Orchard, Ltd. 1,074,985 1,144,758 0.1%
# First Resources, Ltd. 4,935,500 6,456,198 0.4%
* First Ship Lease Trust 160,900 18,590 0.0%
First Sponsor Group, Ltd. 440,661 411,856 0.0%
#* Food Empire Holdings, Ltd. 1,256,400 271,156 0.0%
* Fragrance Group, Ltd. 6,077,000 688,220 0.1%
Frasers Centrepoint, Ltd. 450,100 480,453 0.0%
Fu Yu Corp., Ltd. 1,462,200 199,335 0.0%
#* Gallant Venture, Ltd. 4,992,500 461,194 0.0%
* Geo Energy Resources, Ltd. 432,000 63,625 0.0%
GK Goh Holdings, Ltd. 1,484,065 897,075 0.1%
GL, Ltd. 3,401,300 1,954,699 0.1%
* Global Premium Hotels, Ltd. 559,480 118,746 0.0%
Golden Agri-Resources, Ltd. 17,549,200 4,845,850 0.3%
GP Batteries International, Ltd. 235,000 126,753 0.0%
GP Industries, Ltd. 2,567,609 1,057,986 0.1%
GSH Corp., Ltd. 60,860 18,416 0.0%
GuocoLand, Ltd. 597,214 823,384 0.1%
#* Halcyon Agri Corp., Ltd. 1,669,048 570,507 0.0%
* Hanwell Holdings, Ltd. 1,771,219 285,508 0.0%
# Haw Par Corp., Ltd. 30,400 195,829 0.0%
Health Management International, Ltd. 913,000 377,481 0.0%
Hi-P International, Ltd. 1,271,600 437,914 0.0%
Hiap Hoe, Ltd. 498,000 252,283 0.0%
# Ho Bee Land, Ltd. 1,604,700 2,457,457 0.2%
Hong Fok Corp., Ltd. 3,551,394 1,661,835 0.1%
* Hong Fok Land, Ltd. 1,210,000 -- 0.0%
Hong Leong Asia, Ltd. 690,700 343,176 0.0%
Hotel Grand Central, Ltd. 1,461,261 1,428,344 0.1%
Hour Glass, Ltd. (The) 1,814,832 880,044 0.1%
Hutchison Port Holdings Trust 112,400 49,929 0.0%
Hwa Hong Corp., Ltd. 2,123,500 465,986 0.0%
# Hyflux, Ltd. 3,262,300 1,087,766 0.1%
# Indofood Agri Resources, Ltd. 3,432,100 1,182,626 0.1%
* InnoTek, Ltd. 512,500 69,115 0.0%
# Innovalues, Ltd. 1,659,300 1,179,226 0.1%
IPC Corp., Ltd. 225,970 90,517 0.0%
Isetan Singapore, Ltd. 119,000 310,063 0.0%
# Japfa, Ltd. 2,179,700 1,380,297 0.1%
#* Jurong Technologies Industrial Corp., Ltd. 2,227,680 -- 0.0%
k1 Ventures, Ltd. 1,005,220 732,838 0.1%
# Keppel Infrastructure Trust 6,604,732 2,394,604 0.2%
Keppel Telecommunications & Transportation, Ltd. 1,369,300 1,693,860 0.1%
* Koh Brothers Eco Engineering, Ltd. 143,200 5,044 0.0%
Koh Brothers Group, Ltd. 1,432,000 272,991 0.0%
* KrisEnergy, Ltd. 296,200 31,890 0.0%
KSH Holdings, Ltd. 57,200 22,567 0.0%
Lian Beng Group, Ltd. 2,253,500 736,242 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
SINGAPORE -- (Continued)
Low Keng Huat Singapore, Ltd. 889,800 $ 344,779 0.0%
Lum Chang Holdings, Ltd. 1,094,030 290,866 0.0%
# M1, Ltd. 2,667,000 3,912,737 0.3%
# Mandarin Oriental International, Ltd. 91,700 128,064 0.0%
* Marco Polo Marine, Ltd. 882,000 46,499 0.0%
Metro Holdings, Ltd. 2,663,092 1,872,688 0.1%
Mewah International, Inc. 89,000 15,341 0.0%
Midas Holdings, Ltd. 8,435,600 1,305,707 0.1%
#* Nam Cheong, Ltd. 7,506,340 306,437 0.0%
# Nera Telecommunications, Ltd. 1,143,400 608,525 0.0%
New Toyo International Holdings, Ltd. 1,624,000 326,249 0.0%
#* Noble Group, Ltd. 75,184,800 8,939,601 0.6%
NSL, Ltd. 409,900 416,860 0.0%
Olam International, Ltd. 290,300 448,534 0.0%
# OUE, Ltd. 1,996,500 2,429,854 0.2%
Overseas Education, Ltd. 65,300 20,645 0.0%
Oxley Holdings, Ltd. 1,442,400 481,599 0.0%
# Pacc Offshore Services Holdings, Ltd. 478,200 104,601 0.0%
Pacific Radiance, Ltd. 240,600 26,710 0.0%
Pan-United Corp., Ltd. 1,948,600 810,413 0.1%
Penguin International, Ltd. 446,032 79,530 0.0%
# Q&M Dental Group Singapore, Ltd. 2,188,300 1,179,493 0.1%
QAF, Ltd. 1,359,162 1,208,190 0.1%
* Raffles Education Corp., Ltd. 4,176,710 565,250 0.0%
Raffles Medical Group, Ltd. 4,223,073 4,565,833 0.3%
RHT Health Trust 2,016,700 1,249,328 0.1%
* Rickmers Maritime 1,008,350 25,265 0.0%
# Riverstone Holdings, Ltd. 1,089,000 716,564 0.1%
# Rotary Engineering, Ltd. 1,443,100 393,754 0.0%
#* Rowsley, Ltd. 298,400 26,814 0.0%
Roxy-Pacific Holdings, Ltd. 297,500 89,735 0.0%
San Teh, Ltd. 248,387 36,767 0.0%
SATS, Ltd. 2,695,900 9,378,680 0.6%
# SBS Transit, Ltd. 926,200 1,544,496 0.1%
SembCorp Industries, Ltd. 3,282,400 5,943,816 0.4%
# SembCorp Marine, Ltd. 2,708,500 2,511,421 0.2%
Sheng Siong Group, Ltd. 4,266,400 3,204,883 0.2%
# SHS Holdings, Ltd. 2,304,100 321,141 0.0%
SIA Engineering Co., Ltd. 245,200 650,400 0.0%
#* SIIC Environment Holdings, Ltd. 3,992,020 1,823,299 0.1%
# Sinarmas Land, Ltd. 6,703,600 2,313,232 0.2%
Sing Holdings, Ltd. 1,134,000 265,057 0.0%
Sing Investments & Finance, Ltd. 297,675 246,164 0.0%
# Singapore Post, Ltd. 10,132,100 11,641,927 0.8%
Singapore Reinsurance Corp., Ltd. 1,514,530 337,285 0.0%
Singapore Shipping Corp., Ltd. 1,640,700 294,727 0.0%
Singapura Finance, Ltd. 348,124 219,151 0.0%
# Sino Grandness Food Industry Group, Ltd. 2,981,300 728,661 0.1%
Stamford Land Corp., Ltd. 3,188,100 1,042,044 0.1%
Straco Corp., Ltd. 130,000 75,368 0.0%
Sunningdale Tech, Ltd. 793,060 601,095 0.0%
* SunVic Chemical Holdings, Ltd. 1,187,845 79,642 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
SINGAPORE -- (Continued)
Super Group, Ltd. 3,509,900 $ 2,447,154 0.2%
#* Swiber Holdings, Ltd. 2,895,250 226,834 0.0%
#* Tat Hong Holdings, Ltd. 2,218,800 702,043 0.1%
* Thakral Corp., Ltd. 139,165 20,655 0.0%
Tiong Woon Corp. Holding, Ltd. 228,100 42,686 0.0%
# Tuan Sing Holdings, Ltd. 4,167,162 852,950 0.1%
# UMS Holdings, Ltd. 2,656,700 1,182,556 0.1%
United Engineers, Ltd. 3,097,128 5,763,305 0.4%
United Industrial Corp., Ltd. 19,552 38,245 0.0%
United Overseas Insurance, Ltd. 181,850 620,405 0.0%
# UOB-Kay Hian Holdings, Ltd. 1,955,133 1,859,744 0.1%
UOL Group, Ltd. 1,844,364 7,501,364 0.5%
UPP Holdings, Ltd. 2,972,500 588,556 0.0%
Valuetronics Holdings, Ltd. 1,619,300 576,267 0.0%
#* Vard Holdings, Ltd. 4,915,200 654,812 0.0%
Venture Corp., Ltd. 1,994,100 13,622,092 0.9%
Vibrant Group, Ltd. 1,974,019 510,312 0.0%
Vicom, Ltd. 119,500 489,605 0.0%
Wee Hur Holdings, Ltd. 2,670,400 449,679 0.0%
# Wheelock Properties Singapore, Ltd. 1,270,600 1,362,011 0.1%
# Wing Tai Holdings, Ltd. 3,573,667 4,353,878 0.3%
Yeo Hiap Seng, Ltd. 223,731 206,240 0.0%
YHI International, Ltd. 458,900 107,335 0.0%
* Yongnam Holdings, Ltd. 2,977,200 428,539 0.0%
* Yuuzoo Corp., Ltd. 4,202,500 533,709 0.0%
Zhongmin Baihui Retail Group, Ltd. 26,900 20,424 0.0%
-------------- ----
TOTAL SINGAPORE 189,573,724 12.2%
-------------- ----
UNITED STATES -- (0.0%)
* Lonestar Resources, Inc. Class A 6,424 54,219 0.0%
-------------- ----
TOTAL COMMON STOCKS 1,545,252,271 99.4%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
* APN News & Media, Ltd. Rights 11/17/16 451,327 96,131 0.0%
* Centrebet International, Ltd. Claim Units Rights 81,336 -- 0.0%
* Centrebet International, Ltd. Litigation Rights 81,336 -- 0.0%
* Cooper Energy, Ltd. Rights 11/15/16 239,989 -- 0.0%
* Tox Free Solutions, Ltd. Rights 11/18/16 236,025 -- 0.0%
-------------- ----
TOTAL AUSTRALIA 96,131 0.0%
-------------- ----
HONG KONG -- (0.0%)
* Cheuk Nang Holdings, Ltd. Warrants 04/24/17 5,486 1,362 0.0%
* Enviro Energy International Holdings, Ltd. Warrants
11/17/16 1,171,800 -- 0.0%
-------------- ----
TOTAL HONG KONG 1,362 0.0%
-------------- ----
NEW ZEALAND -- (0.0%)
* Restaurant Brands New Zealand, Ltd. Rights 11/16/16 93,264 -- 0.0%
-------------- ----
SINGAPORE -- (0.0%)
* Ezion Holdings, Ltd. Warrants 04/24/20 758,243 35,970 0.0%
-------------- ----
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
TOTAL RIGHTS/WARRANTS 133,463 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 1,545,385,734
--------------
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
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%
============== =====
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 -- 3,565,444 -- 3,565,444
Hong Kong $ 941,157 416,477,892 -- 417,419,049
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
New Zealand -- -- -- --
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
========== ============== == ==============
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (96.6%)
Consumer Discretionary -- (19.6%)
4imprint Group P.L.C. 96,987 $ 1,957,900 0.1%
888 Holdings P.L.C. 1,003,090 2,671,385 0.2%
AA P.L.C. 2,834,618 8,865,682 0.5%
B&M European Value Retail SA 3,086,282 8,860,652 0.5%
Bellway P.L.C. 637,459 18,446,930 1.1%
Berkeley Group Holdings P.L.C. 168,362 4,855,796 0.3%
Bloomsbury Publishing P.L.C. 274,093 508,064 0.0%
Bovis Homes Group P.L.C. 799,111 7,398,769 0.4%
Card Factory P.L.C. 623,214 1,936,659 0.1%
#* Carpetright P.L.C. 82,608 198,497 0.0%
# Centaur Media P.L.C. 537,905 291,682 0.0%
Cineworld Group P.L.C. 1,228,419 8,111,723 0.5%
Connect Group P.L.C. 1,312,384 2,202,002 0.1%
Crest Nicholson Holdings P.L.C. 1,155,163 5,741,257 0.4%
Creston P.L.C. 22,394 27,953 0.0%
Daily Mail & General Trust P.L.C. Class A 1,271,481 11,670,462 0.7%
Debenhams P.L.C. 6,545,871 4,299,032 0.3%
Dignity P.L.C. 251,989 8,172,421 0.5%
Domino's Pizza Group P.L.C. 2,536,833 10,547,848 0.6%
Dunelm Group P.L.C. 374,998 3,472,905 0.2%
* Enterprise Inns P.L.C. 2,890,201 3,261,063 0.2%
Entertainment One, Ltd. 525,999 1,495,219 0.1%
Euromoney Institutional Investor P.L.C. 282,895 3,606,563 0.2%
* Findel P.L.C. 239,314 620,471 0.0%
* Forminster P.L.C. 43,333 -- 0.0%
Fuller Smith & Turner P.L.C. Class A 134,418 1,713,298 0.1%
* Future P.L.C. 781,879 82,251 0.0%
Games Workshop Group P.L.C. 96,572 672,389 0.1%
Greene King P.L.C. 1,786,209 15,978,447 1.0%
* Groupe Fnac SA 53,282 3,638,717 0.2%
GVC Holdings P.L.C. 1,240,374 10,567,421 0.6%
Halfords Group P.L.C. 1,148,111 4,773,011 0.3%
Headlam Group P.L.C. 385,520 2,324,547 0.1%
Henry Boot P.L.C. 417,992 1,002,000 0.1%
Huntsworth P.L.C. 938,084 477,473 0.0%
Inchcape P.L.C. 2,190,976 17,419,824 1.0%
Informa P.L.C. 1,305,509 10,740,551 0.6%
ITE Group P.L.C. 1,527,105 2,704,109 0.2%
J D Wetherspoon P.L.C. 462,961 4,928,936 0.3%
JD Sports Fashion P.L.C. 465,078 8,646,900 0.5%
* Jimmy Choo P.L.C. 80,370 130,026 0.0%
John Menzies P.L.C. 471,800 2,870,436 0.2%
# Ladbrokes P.L.C. 5,357,119 8,746,336 0.5%
Laura Ashley Holdings P.L.C. 1,465,488 349,995 0.0%
Lookers P.L.C. 1,857,673 2,343,487 0.1%
Marston's P.L.C. 3,445,892 5,636,224 0.3%
Millennium & Copthorne Hotels P.L.C. 1,000,376 5,485,530 0.3%
Mitchells & Butlers P.L.C. 1,016,212 3,463,515 0.2%
MJ Gleeson P.L.C. 189,171 1,179,211 0.1%
* Mothercare P.L.C. 596,178 782,126 0.1%
N Brown Group P.L.C. 869,150 2,029,455 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
#* Ocado Group P.L.C. 2,584,145 $ 8,682,099 0.5%
Pendragon P.L.C. 6,380,817 2,343,037 0.1%
Pets at Home Group P.L.C. 1,178,302 3,078,924 0.2%
Photo-Me International P.L.C. 1,062,418 1,968,571 0.1%
* Punch Taverns P.L.C. 133,442 173,705 0.0%
Rank Group P.L.C. 556,279 1,314,075 0.1%
# Redrow P.L.C. 1,386,677 6,440,936 0.4%
Restaurant Group P.L.C. (The) 977,184 4,482,683 0.3%
* Sportech P.L.C. 371,065 308,929 0.0%
#* Sports Direct International P.L.C. 258,459 873,924 0.1%
SSP Group P.L.C. 1,350,020 5,609,993 0.3%
STV Group P.L.C. 4,868 24,461 0.0%
SuperGroup P.L.C. 239,090 3,934,682 0.2%
Tarsus Group P.L.C. 207,820 653,238 0.0%
Ted Baker P.L.C. 152,815 4,626,552 0.3%
#* Thomas Cook Group P.L.C. 6,943,222 5,899,979 0.4%
Topps Tiles P.L.C. 925,429 1,035,265 0.1%
* Tribal Group P.L.C. 54,441 37,329 0.0%
Trinity Mirror P.L.C. 1,612,879 1,603,843 0.1%
UBM P.L.C. 1,950,843 17,128,208 1.0%
Vitec Group P.L.C. (The) 159,712 1,219,343 0.1%
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%
Wilmington P.L.C. 334,384 1,069,494 0.1%
------------ ----
Total Consumer Discretionary 337,516,783 20.0%
------------ ----
Consumer Staples -- (5.4%)
A.G. Barr P.L.C. 518,407 2,988,479 0.2%
# Anglo-Eastern Plantations P.L.C. 104,452 703,732 0.1%
Booker Group P.L.C. 7,989,596 17,523,270 1.0%
Britvic P.L.C. 1,162,274 7,885,718 0.5%
Cranswick P.L.C. 267,585 6,935,929 0.4%
Dairy Crest Group P.L.C. 757,325 5,651,956 0.3%
Devro P.L.C. 930,843 2,587,103 0.2%
Greencore Group P.L.C. 2,103,987 8,490,430 0.5%
Greggs P.L.C. 545,772 6,379,298 0.4%
Hilton Food Group P.L.C. 32,989 244,253 0.0%
J Sainsbury P.L.C. 128,142 392,889 0.0%
McBride P.L.C. 972,659 2,241,532 0.1%
McColl's Retail Group P.L.C. 22,532 47,015 0.0%
* Premier Foods P.L.C. 4,581,389 2,552,186 0.2%
PZ Cussons P.L.C. 1,384,849 5,669,112 0.3%
* REA Holdings P.L.C. 50,639 196,548 0.0%
Stock Spirits Group P.L.C. 617,209 1,194,187 0.1%
Tate & Lyle P.L.C. 2,319,044 22,116,631 1.3%
------------ ----
Total Consumer Staples 93,800,268 5.6%
------------ ----
Energy -- (5.0%)
#* Afren P.L.C. 5,446,344 -- 0.0%
Amec Foster Wheeler P.L.C. 2,037,469 11,116,254 0.7%
Anglo Pacific Group P.L.C. 638,435 963,810 0.1%
* Cairn Energy P.L.C. 3,321,160 8,256,938 0.5%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Energy -- (Continued)
#* EnQuest P.L.C.(B635TG2) 3,481,516 $ 1,147,781 0.1%
* EnQuest P.L.C.(BYM5538) 1,405,483 68,812 0.0%
Gulf Marine Services P.L.C. 31,549 17,457 0.0%
Hunting P.L.C. 831,340 5,109,098 0.3%
James Fisher & Sons P.L.C. 250,234 4,951,901 0.3%
John Wood Group P.L.C. 1,887,172 17,737,852 1.0%
* Lamprell P.L.C. 1,137,514 1,022,137 0.1%
* Ophir Energy P.L.C. 2,932,334 2,475,700 0.1%
Petrofac, Ltd. 1,141,776 11,244,821 0.7%
* Premier Oil P.L.C. 2,679,850 2,157,898 0.1%
Soco International P.L.C. 1,109,904 1,873,131 0.1%
Stobart Group, Ltd. 986,305 1,955,400 0.1%
#* Tullow Oil P.L.C. 5,000,074 16,143,884 0.9%
----------- ---
Total Energy 86,242,874 5.1%
----------- ---
Financials -- (13.5%)
Aberdeen Asset Management P.L.C. 1,689,565 6,608,955 0.4%
* Aldermore Group P.L.C. 394,902 834,134 0.1%
Arrow Global Group P.L.C. 813,712 2,978,971 0.2%
Ashmore Group P.L.C. 1,895,266 8,139,328 0.5%
Beazley P.L.C. 2,740,810 12,203,670 0.7%
BGEO Group P.L.C. 180,983 6,539,134 0.4%
Brewin Dolphin Holdings P.L.C. 1,582,577 5,034,904 0.3%
Charles Stanley Group P.L.C. 122,025 388,757 0.0%
Charles Taylor P.L.C. 192,071 702,609 0.0%
Chesnara P.L.C. 604,808 2,356,446 0.1%
Close Brothers Group P.L.C. 785,896 12,753,035 0.8%
esure Group P.L.C. 1,392,575 4,627,372 0.3%
Hansard Global P.L.C. 16,468 22,335 0.0%
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%
* Industrial & Commercial Holdings P.L.C. 5,000 -- 0.0%
Intermediate Capital Group P.L.C. 1,327,464 9,832,716 0.6%
International Personal Finance P.L.C. 1,013,278 3,649,820 0.2%
#* IP Group P.L.C. 1,562,801 2,881,723 0.2%
Jardine Lloyd Thompson Group P.L.C. 619,442 7,802,445 0.5%
JRP Group P.L.C. 886,621 1,311,432 0.1%
Jupiter Fund Management P.L.C. 2,162,762 11,403,328 0.7%
Lancashire Holdings, Ltd. 1,084,204 9,245,324 0.5%
Man Group P.L.C. 7,936,721 12,099,824 0.7%
Novae Group P.L.C. 320,863 3,169,384 0.2%
OneSavings Bank P.L.C. 369,478 1,309,431 0.1%
Paragon Group of Cos. P.L.C. (The) 1,028,392 4,171,112 0.2%
Phoenix Group Holdings 1,208,721 10,797,905 0.6%
Rathbone Brothers P.L.C. 193,484 4,223,391 0.3%
S&U P.L.C. 20,417 606,902 0.0%
Saga P.L.C. 4,292,987 10,413,058 0.6%
* Shawbrook Group P.L.C. 96,158 264,559 0.0%
Tullett Prebon P.L.C. 1,292,887 5,615,512 0.3%
Virgin Money Holdings UK P.L.C. 656,184 2,641,706 0.2%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
* Waterloo Investment Holdings, Ltd. 5,979 $ 512 0.0%
------------ ----
Total Financials 233,301,865 13.9%
------------ ----
Health Care -- (3.8%)
#* Alizyme P.L.C. 660,805 -- 0.0%
* Bioquell P.L.C. 45,447 72,849 0.0%
* BTG P.L.C. 1,870,654 15,053,103 0.9%
Cambian Group P.L.C. 164,663 246,709 0.0%
#* Circassia Pharmaceuticals P.L.C. 285,098 283,487 0.0%
Consort Medical P.L.C. 243,634 3,406,444 0.2%
Dechra Pharmaceuticals P.L.C. 428,975 7,059,506 0.4%
Genus P.L.C. 299,885 6,887,591 0.4%
Indivior P.L.C. 3,662,912 14,068,115 0.9%
Spire Healthcare Group P.L.C. 831,882 3,780,241 0.2%
UDG Healthcare P.L.C. 1,224,291 9,784,216 0.6%
* Vectura Group P.L.C. 2,891,647 4,787,182 0.3%
------------ ----
Total Health Care 65,429,443 3.9%
------------ ----
Industrials -- (26.6%)
Aggreko P.L.C. 1,332,278 13,026,413 0.8%
Air Partner P.L.C. 40,969 238,163 0.0%
Alumasc Group P.L.C. (The) 120,110 218,396 0.0%
Avon Rubber P.L.C. 101,804 1,235,382 0.1%
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%
Berendsen P.L.C. 823,219 9,714,867 0.6%
Bodycote P.L.C. 1,121,708 8,129,453 0.5%
Braemar Shipping Services P.L.C. 84,411 325,445 0.0%
Brammer P.L.C. 668,388 852,382 0.1%
Cape P.L.C. 685,676 1,744,431 0.1%
# Carillion P.L.C. 2,595,753 7,954,516 0.5%
Carr's Group P.L.C. 343,111 588,629 0.0%
Castings P.L.C. 157,187 832,062 0.0%
* Chemring Group P.L.C. 1,486,435 2,637,324 0.2%
# Clarkson P.L.C. 97,686 2,326,884 0.1%
Cobham P.L.C. 8,502,869 14,835,365 0.9%
Communisis P.L.C. 1,025,909 452,040 0.0%
Costain Group P.L.C. 486,534 2,203,773 0.1%
De La Rue P.L.C. 592,684 4,151,057 0.2%
#* Dialight P.L.C. 103,553 886,053 0.1%
Diploma P.L.C. 586,339 6,719,309 0.4%
Fenner P.L.C. 1,077,484 2,887,600 0.2%
* Firstgroup P.L.C. 6,322,311 8,468,371 0.5%
* Flybe Group P.L.C. 320,823 143,850 0.0%
G4S P.L.C. 4,118,797 11,063,582 0.7%
Galliford Try P.L.C. 412,460 6,183,226 0.4%
Go-Ahead Group P.L.C. 220,066 5,581,574 0.3%
Goodwin P.L.C. 383 9,519 0.0%
Grafton Group P.L.C. 1,000,382 6,076,292 0.4%
Harvey Nash Group P.L.C. 46,693 32,326 0.0%
Hays P.L.C. 6,566,676 10,967,970 0.6%
Hogg Robinson Group P.L.C. 134,014 116,183 0.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
Industrials -- (Continued)
HomeServe P.L.C. 1,369,369 $10,223,626 0.6%
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%
Interserve P.L.C. 841,666 3,496,784 0.2%
John Laing Group P.L.C. 651,172 2,154,633 0.1%
Keller Group P.L.C. 403,236 3,356,702 0.2%
Kier Group P.L.C. 515,747 8,576,603 0.5%
Lavendon Group P.L.C. 844,223 1,278,790 0.1%
* Management Consulting Group P.L.C. 1,467,589 372,501 0.0%
Mears Group P.L.C. 550,537 3,037,666 0.2%
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%
Mitie Group P.L.C. 1,998,966 5,137,215 0.3%
Morgan Advanced Materials P.L.C. 1,499,667 4,993,833 0.3%
Morgan Sindall Group P.L.C. 191,927 1,690,987 0.1%
National Express Group P.L.C. 2,195,042 9,860,812 0.6%
Norcros P.L.C. 27,976 50,851 0.0%
Northgate P.L.C. 790,723 4,060,746 0.2%
Pagegroup P.L.C. 1,368,971 6,061,760 0.4%
PayPoint P.L.C. 246,900 3,251,792 0.2%
Polypipe Group P.L.C. 543,502 1,675,808 0.1%
QinetiQ Group P.L.C. 3,269,092 9,206,234 0.5%
Regus P.L.C. 3,349,423 10,189,959 0.6%
* Renold P.L.C. 193,435 96,962 0.0%
Rentokil Initial P.L.C. 8,861,710 24,718,157 1.5%
Ricardo P.L.C. 271,798 3,082,672 0.2%
Robert Walters P.L.C. 381,498 1,611,678 0.1%
Rotork P.L.C. 3,667,958 9,150,668 0.5%
RPS Group P.L.C. 1,245,395 2,563,807 0.1%
Senior P.L.C. 2,337,741 4,981,938 0.3%
* Serco Group P.L.C. 1,748,216 2,927,844 0.2%
Severfield P.L.C. 1,262,597 888,891 0.1%
Shanks Group P.L.C. 2,417,884 2,655,327 0.2%
SIG P.L.C. 3,113,733 4,211,934 0.2%
Speedy Hire P.L.C. 2,827,989 1,318,567 0.1%
Spirax-Sarco Engineering P.L.C. 355,118 19,146,216 1.1%
St. Ives P.L.C. 654,912 1,071,682 0.1%
Stagecoach Group P.L.C. 2,052,864 4,965,958 0.3%
Sthree P.L.C. 407,731 1,193,302 0.1%
T Clarke P.L.C. 147,457 113,016 0.0%
Trifast P.L.C. 447,201 953,963 0.1%
Tyman P.L.C. 140,056 416,895 0.0%
UK Mail Group P.L.C. 189,686 1,026,063 0.1%
Ultra Electronics Holdings P.L.C. 379,378 8,620,119 0.5%
Vesuvius P.L.C. 1,374,189 6,133,665 0.4%
* Volex P.L.C. 307,047 146,276 0.0%
Vp P.L.C. 160,962 1,376,371 0.1%
Weir Group P.L.C. (The) 1,070,092 22,228,790 1.3%
Wincanton P.L.C. 621,624 1,457,691 0.1%
* Wizz Air Holdings P.L.C. 141,798 2,618,505 0.1%
WS Atkins P.L.C. 502,623 9,288,138 0.5%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
Industrials -- (Continued)
XP Power, Ltd. 74,988 $ 1,562,785 0.1%
------------ ----
Total Industrials 458,067,980 27.2%
------------ ----
Information Technology -- (9.6%)
Acal P.L.C. 293,479 828,577 0.1%
AVEVA Group P.L.C. 322,264 7,255,989 0.4%
Computacenter P.L.C. 389,033 3,457,645 0.2%
E2V Technologies P.L.C. 842,565 2,230,818 0.1%
Electrocomponents P.L.C. 2,396,207 10,916,359 0.7%
FDM Group Holdings P.L.C. 19,586 141,100 0.0%
Fidessa Group P.L.C. 202,960 6,103,295 0.4%
Halma P.L.C. 1,951,180 24,978,831 1.5%
* Imagination Technologies Group P.L.C. 1,260,452 3,485,605 0.2%
Laird P.L.C. 1,470,974 2,605,602 0.2%
# Micro Focus International P.L.C. 539,522 14,127,662 0.8%
Moneysupermarket.com Group P.L.C. 2,351,170 7,528,016 0.4%
NCC Group P.L.C. 700,295 1,626,392 0.1%
Oxford Instruments P.L.C. 245,748 2,033,056 0.1%
* 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%
Renishaw P.L.C. 171,571 5,408,029 0.3%
Rightmove P.L.C. 477,301 21,787,416 1.3%
RM P.L.C. 318,504 487,466 0.0%
SDL P.L.C. 395,868 2,100,760 0.1%
Sepura P.L.C. 429,568 78,784 0.0%
Spectris P.L.C. 613,329 15,356,848 0.9%
Spirent Communications P.L.C. 2,899,112 2,925,275 0.2%
TT Electronics P.L.C. 828,017 1,401,220 0.1%
Xaar P.L.C. 370,936 1,905,457 0.1%
Zoopla Property Group P.L.C. 784,336 2,924,139 0.2%
------------ ----
Total Information Technology 166,276,917 9.9%
------------ ----
Materials -- (8.1%)
Acacia Mining P.L.C. 859,958 5,459,923 0.3%
Carclo P.L.C. 213,640 318,038 0.0%
Centamin P.L.C. 6,065,603 11,748,394 0.7%
Croda International P.L.C. 224,656 9,607,391 0.6%
DS Smith P.L.C. 4,938,232 24,079,775 1.4%
Elementis P.L.C. 2,601,104 7,586,056 0.5%
Essentra P.L.C. 1,251,793 7,802,139 0.5%
* Evraz P.L.C. 1,496,580 3,752,227 0.2%
* Ferrexpo P.L.C. 433,035 533,001 0.0%
Gem Diamonds, Ltd. 607,901 864,240 0.1%
Hill & Smith Holdings P.L.C. 416,549 5,124,680 0.3%
Hochschild Mining P.L.C. 1,480,894 4,827,420 0.3%
#* KAZ Minerals P.L.C. 1,307,816 4,568,164 0.3%
* Lonmin P.L.C. 1,595,452 3,720,009 0.2%
Low & Bonar P.L.C. 1,119,286 967,523 0.1%
Marshalls P.L.C. 1,079,270 3,624,460 0.2%
Petra Diamonds, Ltd. 3,007,687 5,599,676 0.3%
#* Petropavlovsk P.L.C. 13,101,159 1,318,819 0.1%
RPC Group P.L.C. 1,638,321 18,998,878 1.1%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Materials -- (Continued)
Synthomer P.L.C. 1,317,365 $ 5,758,000 0.3%
Vedanta Resources P.L.C. 365,710 3,195,416 0.2%
Victrex P.L.C. 443,677 9,500,914 0.6%
Zotefoams P.L.C. 93,537 294,177 0.0%
-------------- ----
Total Materials 139,249,320 8.3%
-------------- ----
Real Estate -- (2.4%)
# Capital & Counties Properties P.L.C. 2,645,264 9,328,064 0.6%
* CLS Holdings P.L.C. 17,114 325,426 0.0%
Countrywide P.L.C. 649,114 1,424,356 0.1%
Daejan Holdings P.L.C. 35,593 2,370,605 0.1%
Foxtons Group P.L.C. 725,836 950,729 0.1%
Grainger P.L.C. 1,687,400 4,568,037 0.3%
# Harworth Group P.L.C. 30,680 32,468 0.0%
Helical P.L.C. 619,438 2,004,889 0.1%
LSL Property Services P.L.C. 328,694 779,937 0.0%
* Raven Russia, Ltd. 1,046,108 498,159 0.0%
Savills P.L.C. 698,055 5,921,253 0.4%
St. Modwen Properties P.L.C. 1,063,183 3,558,374 0.2%
U & I Group P.L.C. 642,624 1,238,150 0.1%
UNITE Group P.L.C. (The) 1,329,103 9,003,060 0.5%
-------------- ----
Total Real Estate 42,003,507 2.5%
-------------- ----
Telecommunication Services -- (0.6%)
KCOM Group P.L.C. 3,191,206 4,600,071 0.2%
# TalkTalk Telecom Group P.L.C. 2,586,447 6,442,392 0.4%
-------------- ----
Total Telecommunication Services 11,042,463 0.6%
-------------- ----
Utilities -- (2.0%)
Dee Valley Group P.L.C. 12,109 227,906 0.0%
# Drax Group P.L.C. 2,258,538 8,750,989 0.5%
Pennon Group P.L.C. 1,994,817 20,358,554 1.2%
Telecom Plus P.L.C. 314,179 4,549,369 0.3%
-------------- ----
Total Utilities 33,886,818 2.0%
-------------- ----
TOTAL COMMON STOCKS 1,666,818,238 99.0%
-------------- ----
PREFERRED STOCKS -- (0.0%)
McBride P.L.C. 23,210,952 28,411 0.0%
RIGHTS/WARRANTS -- (0.1%)
* Phoenix Group Holdings Rights 11/08/16 705,086 1,915,917 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
* Shanks Group P.L.C. Rights 11/09/16 906,707 $ 349,590 0.0%
TOTAL RIGHTS/WARRANTS 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%
============== =====
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
== ============== == ==============
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (91.4%)
AUSTRIA -- (3.1%)
Agrana Beteiligungs AG 16,785 $ 2,010,190 0.0%
ANDRITZ AG 310,627 16,241,244 0.4%
Atrium European Real Estate, Ltd. 722,120 3,088,890 0.1%
# Austria Technologie & Systemtechnik AG 154,803 1,713,692 0.0%
BUWOG AG 336,656 8,136,908 0.2%
CA Immobilien Anlagen AG 332,305 6,029,320 0.1%
Conwert Immobilien Invest SE 367,906 6,526,378 0.2%
# DO & CO AG 29,227 2,264,625 0.1%
EVN AG 200,982 2,350,231 0.1%
* FACC AG 23,201 140,737 0.0%
Flughafen Wien AG 4,221 102,328 0.0%
IMMOFINANZ AG 3,445,943 7,416,263 0.2%
Josef Manner & Co. AG 870 53,553 0.0%
Kapsch TrafficCom AG 30,685 1,373,722 0.0%
Lenzing AG 51,632 6,729,185 0.2%
Mayr Melnhof Karton AG 49,358 5,467,089 0.1%
Oberbank AG 41,134 2,614,592 0.1%
Oesterreichische Post AG 203,557 7,023,181 0.2%
Palfinger AG 79,849 2,415,510 0.1%
POLYTEC Holding AG 92,160 797,130 0.0%
Porr Ag 48,724 1,751,236 0.0%
* Raiffeisen Bank International AG 533,683 8,740,277 0.2%
RHI AG 147,894 3,722,239 0.1%
# Rosenbauer International AG 18,560 1,084,188 0.0%
S IMMO AG 330,386 3,545,381 0.1%
# Schoeller-Bleckmann Oilfield Equipment AG 61,970 4,390,750 0.1%
Semperit AG Holding 68,546 1,858,759 0.0%
Strabag SE 104,184 3,496,744 0.1%
Telekom Austria AG 399,167 2,292,606 0.1%
UBM Development AG 314 10,644 0.0%
UNIQA Insurance Group AG 598,622 3,855,875 0.1%
# Verbund AG 308,524 5,145,416 0.1%
Vienna Insurance Group AG Wiener Versicherung Gruppe 97,194 1,915,473 0.0%
Voestalpine AG 47,177 1,671,295 0.0%
Wienerberger AG 573,239 9,160,700 0.2%
# Wolford AG 11,252 281,882 0.0%
Zumtobel Group AG 163,135 2,861,624 0.1%
------------ ---
TOTAL AUSTRIA 138,279,857 3.3%
------------ ---
BELGIUM -- (4.3%)
#* Ablynx NV 303,349 2,995,281 0.1%
Ackermans & van Haaren NV 134,383 18,652,359 0.5%
* AGFA-Gevaert NV 965,465 4,012,573 0.1%
Atenor 7,383 374,358 0.0%
Banque Nationale de Belgique 986 3,052,430 0.1%
Barco NV 65,535 5,154,256 0.1%
Bekaert SA 183,930 8,176,837 0.2%
bpost SA 447,777 11,912,875 0.3%
#* Celyad SA 17,193 294,093 0.0%
Cie d'Entreprises CFE 49,147 5,417,347 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
BELGIUM -- (Continued)
#* Cie Immobiliere de Belgique SA 14,788 $ 823,787 0.0%
Co.Br.Ha Societe Commerciale de Brasserie SA 111 341,728 0.0%
D'ieteren SA 131,557 5,799,620 0.2%
* Dalenys 20,562 138,748 0.0%
Deceuninck NV 358,205 928,802 0.0%
Econocom Group SA 343,333 5,105,461 0.1%
Elia System Operator SA 169,789 8,786,743 0.2%
Euronav NV 679,242 5,314,284 0.1%
EVS Broadcast Equipment SA 74,156 2,595,934 0.1%
# Exmar NV 174,456 1,246,590 0.0%
#* Fagron 224,088 2,203,287 0.1%
* Galapagos NV 175,431 10,674,046 0.3%
Gimv NV 28,695 1,544,360 0.0%
Ion Beam Applications 115,719 5,495,617 0.1%
Jensen-Group NV 13,482 507,800 0.0%
Kinepolis Group NV 94,699 4,261,069 0.1%
# Lotus Bakeries 1,454 3,994,908 0.1%
#* MDxHealth 180,487 927,063 0.0%
Melexis NV 113,838 7,453,143 0.2%
#* Nyrstar NV 745,541 3,828,168 0.1%
Ontex Group NV 314,694 9,518,938 0.2%
* Orange Belgium SA 167,280 3,767,558 0.1%
Picanol 28,800 2,358,197 0.1%
RealDolmen 8,137 201,617 0.0%
* RealDolmen NV 120 2 0.0%
Recticel SA 218,046 1,424,957 0.0%
Resilux 5,006 833,449 0.0%
Roularta Media Group NV 10,263 284,070 0.0%
Sioen Industries NV 50,430 1,503,502 0.0%
Sipef SA 25,871 1,483,692 0.0%
* Telenet Group Holding NV 49,363 2,642,968 0.1%
TER Beke SA 2,260 364,651 0.0%
* Tessenderlo Chemie NV 190,301 6,353,326 0.2%
#* ThromboGenics NV 159,152 494,251 0.0%
Umicore SA 412,343 25,063,062 0.6%
Van de Velde NV 35,498 2,500,221 0.1%
* Viohalco SA 583,796 857,673 0.0%
------------ ---
TOTAL BELGIUM 191,665,701 4.6%
------------ ---
DENMARK -- (4.5%)
ALK-Abello A.S. 30,494 4,125,364 0.1%
Alm Brand A.S. 468,716 3,527,456 0.1%
# Ambu A.S. Class B 124,859 6,470,798 0.2%
Arkil Holding A.S. Class B 504 65,218 0.0%
* Bang & Olufsen A.S. 171,033 1,890,745 0.0%
BankNordik P/F 1,753 33,641 0.0%
#* Bavarian Nordic A.S. 143,640 4,866,071 0.1%
Brodrene Hartmann A.S. 13,519 667,864 0.0%
#* D/S Norden A.S. 133,802 1,905,351 0.1%
DFDS A.S. 157,956 7,632,152 0.2%
Djurslands Bank A.S. 8,970 287,949 0.0%
# FLSmidth & Co. A.S. 260,041 9,435,034 0.2%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
DENMARK -- (Continued)
Fluegger A.S. Class B 4,198 $ 205,802 0.0%
* Genmab A.S. 41,348 6,808,944 0.2%
GN Store Nord A.S. 826,732 16,756,414 0.4%
* GPV Industri A.S. Series B 2,200 -- 0.0%
Gronlandsbanken A.S. 1,125 100,223 0.0%
* H+H International A.S. Class B 44,617 448,255 0.0%
Harboes Bryggeri A.S. Class B 16,516 342,483 0.0%
IC Group A.S. 38,440 908,334 0.0%
#* Jeudan A.S. 5,970 612,671 0.0%
Jyske Bank A.S. 345,747 15,676,272 0.4%
Lan & Spar Bank 4,981 274,207 0.0%
Matas A.S. 180,232 3,497,880 0.1%
NKT Holding A.S. 135,151 9,099,145 0.2%
# NNIT A.S. 11,061 328,933 0.0%
# Nordjyske Bank A.S. 36,553 538,652 0.0%
* Parken Sport & Entertainment A.S. 33,556 379,130 0.0%
Per Aarsleff Holding A.S. 107,320 2,532,023 0.1%
Ringkjoebing Landbobank A.S. 23,199 4,911,770 0.1%
Roblon A.S. Class B 2,700 93,922 0.0%
Rockwool International A.S. Class B 38,187 6,387,090 0.2%
Royal Unibrew A.S. 227,860 10,659,617 0.3%
RTX A.S. 35,303 612,680 0.0%
* Santa Fe Group A.S. 127,806 1,242,123 0.0%
Schouw & Co., AB 71,589 4,541,489 0.1%
SimCorp A.S. 210,233 11,609,795 0.3%
Solar A.S. Class B 27,698 1,522,294 0.0%
Spar Nord Bank A.S. 353,296 3,542,391 0.1%
Sydbank A.S. 356,133 11,120,707 0.3%
* TDC A.S. 4,148,072 22,870,392 0.6%
* Tivoli A.S. 9,370 590,993 0.0%
#* TK Development A.S. 608,784 805,903 0.0%
* Topdanmark A.S. 491,266 13,221,375 0.3%
Tryg A.S. 65,070 1,268,927 0.0%
United International Enterprises 10,218 1,890,729 0.0%
* Vestjysk Bank A.S. 53,413 73,333 0.0%
* William Demant Holding A.S. 365,410 6,799,199 0.2%
#* Zealand Pharma A.S. 62,015 859,460 0.0%
------------ ---
TOTAL DENMARK 204,041,200 4.9%
------------ ---
FINLAND -- (6.5%)
Ahlstrom Oyj 46,794 652,862 0.0%
Aktia Bank Oyj 92,898 928,038 0.0%
Alandsbanken Abp Class B 21,354 310,545 0.0%
Alma Media Oyj 42,130 242,740 0.0%
Amer Sports Oyj 641,324 17,449,969 0.4%
Apetit Oyj 18,766 266,183 0.0%
Aspo Oyj 92,762 718,982 0.0%
Atria Oyj 42,958 471,455 0.0%
#* BasWare Oyj 43,305 1,592,876 0.0%
# Bittium Oyj 124,764 772,890 0.0%
Cargotec Oyj Class B 235,592 9,661,691 0.2%
# Caverion Corp. 522,975 3,762,744 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
FINLAND -- (Continued)
Citycon Oyj 2,200,212 $ 5,155,985 0.1%
# Comptel Oyj 360,144 849,333 0.0%
Cramo Oyj 190,163 4,983,929 0.1%
Digia Oyj 48,912 177,465 0.0%
Elisa Oyj 734,075 24,731,862 0.6%
F-Secure Oyj 529,757 1,873,000 0.0%
* Finnair Oyj 450,180 1,995,438 0.1%
# Fiskars Oyj Abp 190,312 3,409,473 0.1%
* Glaston Oyj Abp 46,084 16,989 0.0%
HKScan Oyj Class A 172,657 601,059 0.0%
Huhtamaki Oyj 467,536 18,868,806 0.5%
Ilkka-Yhtyma Oyj 61,503 187,734 0.0%
Kemira Oyj 653,778 7,791,775 0.2%
Kesko Oyj Class A 9,264 432,643 0.0%
Kesko Oyj Class B 345,206 17,153,261 0.4%
Konecranes Oyj 262,339 8,935,881 0.2%
Lassila & Tikanoja Oyj 171,857 3,578,017 0.1%
Lemminkainen Oyj 30,098 571,017 0.0%
# Metsa Board Oyj 1,336,761 7,679,075 0.2%
Metso Oyj 549,230 14,400,676 0.4%
# Munksjo Oyj 24,345 349,892 0.0%
Nokian Renkaat Oyj 623,433 20,910,928 0.5%
Olvi Oyj Class A 68,749 2,081,902 0.1%
Oriola-KD Oyj Class A 6,054 27,611 0.0%
Oriola-KD Oyj Class B 628,439 2,945,084 0.1%
Orion Oyj Class A 126,645 5,379,764 0.1%
Orion Oyj Class B 436,647 18,585,395 0.5%
#* Outokumpu Oyj 3,022,031 21,068,282 0.5%
#* Outotec Oyj 900,395 3,920,598 0.1%
# PKC Group Oyj 115,436 2,024,372 0.1%
Ponsse Oy 47,631 1,190,119 0.0%
* Poyry Oyj 188,253 639,360 0.0%
* QT Group Oyj 48,912 275,508 0.0%
Raisio Oyj Class V 573,332 2,397,237 0.1%
Ramirent Oyj 378,668 2,792,073 0.1%
Rapala VMC Oyj 109,543 506,751 0.0%
# Revenio Group Oyj 23,248 683,263 0.0%
Saga Furs Oyj 368 5,497 0.0%
Sanoma Oyj 754,064 7,051,295 0.2%
Sponda Oyj 515,835 2,442,198 0.1%
SRV Group Oyj 23,502 112,360 0.0%
* Stockmann Oyj Abp Class A 42,474 321,882 0.0%
#* Stockmann Oyj Abp Class B 156,005 1,165,124 0.0%
Technopolis Oyj 905,646 3,131,348 0.1%
Teleste Oyj 46,406 494,764 0.0%
Tieto Oyj 295,694 8,111,619 0.2%
# Tikkurila Oyj 209,297 4,029,638 0.1%
Uponor Oyj 283,661 4,825,452 0.1%
Vaisala Oyj Class A 47,987 1,629,806 0.0%
Valmet Oyj 526,890 7,822,778 0.2%
Viking Line Abp 10,366 250,483 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
FINLAND -- (Continued)
YIT Oyj 598,077 $ 4,987,906 0.1%
------------ ---
TOTAL FINLAND 292,384,682 7.0%
------------ ---
FRANCE -- (12.5%)
ABC Arbitrage 144,886 1,204,801 0.0%
Actia Group 48,398 433,635 0.0%
#* Air France-KLM 993,402 6,055,475 0.2%
Akka Technologies 51,478 1,800,018 0.1%
Albioma SA 95,177 1,572,219 0.0%
Altamir 111,564 1,425,752 0.0%
Alten SA 136,617 9,761,178 0.2%
Altran Technologies SA 771,932 11,014,278 0.3%
April SA 74,473 1,021,060 0.0%
#* Archos 138,714 210,172 0.0%
Arkema SA 298,145 28,270,807 0.7%
Assystem 62,634 1,877,621 0.1%
Aubay 29,713 842,558 0.0%
* Ausy 980 58,888 0.0%
Axway Software SA 30,384 930,645 0.0%
Bastide le Confort Medical 8,920 219,419 0.0%
# Beneteau SA 193,357 2,235,668 0.1%
* Bigben Interactive 3,583 24,736 0.0%
BioMerieux 67,996 9,906,395 0.2%
Boiron SA 38,334 3,239,939 0.1%
Bonduelle SCA 74,889 1,774,484 0.1%
# Bourbon Corp. 93,321 1,217,898 0.0%
Burelle SA 3,739 3,676,831 0.1%
# Casino Guichard Perrachon SA 3,794 188,869 0.0%
# Catering International Services 14,124 227,057 0.0%
#* Cegedim SA 23,645 601,965 0.0%
* Cegid Group SA 26,749 -- 0.0%
#* CGG SA 97,011 2,562,281 0.1%
Chargeurs SA 95,815 1,665,861 0.1%
Cie des Alpes 38,937 720,948 0.0%
* Coface SA 134,138 868,572 0.0%
Derichebourg SA 549,528 1,718,576 0.1%
Devoteam SA 27,976 1,510,905 0.0%
Dom Security 2,414 116,552 0.0%
Edenred 946,779 21,911,853 0.5%
Electricite de Strasbourg SA 21,168 2,324,762 0.1%
Elior Group 345,612 7,763,961 0.2%
Elis SA 118,875 1,974,972 0.1%
#* Eramet 28,909 1,356,894 0.0%
* Esso SA Francaise 14,895 599,027 0.0%
#* Etablissements Maurel et Prom 844,597 3,717,812 0.1%
Euler Hermes Group 56,627 4,912,186 0.1%
Eurofins Scientific SE 38,653 17,565,704 0.4%
Euronext NV 222,917 8,926,867 0.2%
Eutelsat Communications SA 33,157 694,799 0.0%
Exel Industries Class A 10,330 756,297 0.0%
Faiveley Transport SA 34,183 3,726,692 0.1%
Faurecia 306,467 11,296,811 0.3%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
FRANCE -- (Continued)
# Fimalac 272 $ 29,427 0.0%
Fleury Michon SA 5,962 390,046 0.0%
Gaumont SA 13,521 797,892 0.0%
Gaztransport Et Technigaz SA 72,536 2,450,752 0.1%
GEA 2,433 229,057 0.0%
Gevelot SA 3,466 537,140 0.0%
GL Events 48,589 866,554 0.0%
Groupe Crit 23,258 1,533,938 0.0%
* Groupe Flo 5,644 4,524 0.0%
* Groupe Fnac SA 49,162 3,355,973 0.1%
#* Groupe Gorge 22,858 491,580 0.0%
Groupe Open 26,685 717,030 0.0%
Guerbet 32,666 1,941,254 0.1%
Haulotte Group SA 74,466 1,031,991 0.0%
Havas SA 519,269 4,226,752 0.1%
* Herige SADCS 4,147 113,578 0.0%
#* HiPay Group SA 24,579 278,268 0.0%
#* ID Logistics Group 5,509 777,070 0.0%
Imerys SA 145,098 10,102,361 0.3%
Ingenico Group SA 43,343 3,428,338 0.1%
# Interparfums SA 54,443 1,562,473 0.0%
Ipsen SA 162,032 11,201,448 0.3%
IPSOS 168,064 5,489,052 0.1%
Jacquet Metal Service 67,512 1,133,443 0.0%
Korian SA 196,034 6,004,352 0.2%
Lagardere SCA 619,304 15,771,620 0.4%
# Lanson-BCC 8,795 324,267 0.0%
Laurent-Perrier 12,372 950,930 0.0%
Le Noble Age 24,612 866,049 0.0%
Lectra 115,852 2,094,076 0.1%
Linedata Services 8,608 397,033 0.0%
LISI 94,248 2,791,959 0.1%
Maisons France Confort SA 15,298 802,050 0.0%
Manitou BF SA 48,399 873,741 0.0%
Manutan International 14,076 918,745 0.0%
Mersen 117,956 2,360,808 0.1%
#* METabolic EXplorer SA 151,621 360,058 0.0%
Metropole Television SA 293,607 5,115,685 0.1%
MGI Coutier 55,136 1,550,063 0.0%
Mr Bricolage 30,731 445,032 0.0%
* Naturex 31,570 2,864,390 0.1%
Neopost SA 176,348 5,340,940 0.1%
* Nexans SA 188,998 10,743,082 0.3%
Nexity SA 171,171 8,594,239 0.2%
#* Nicox 76,283 613,256 0.0%
* NRJ Group 71,278 709,847 0.0%
# Oeneo SA 107,682 960,073 0.0%
#* Onxeo SA(B04P0G6) 160,610 419,556 0.0%
#* Onxeo SA(BPFJVR0) 48,958 128,292 0.0%
Orpea 172,238 14,335,022 0.4%
#* Parrot SA 25,254 224,302 0.0%
#* Pierre & Vacances SA 26,157 1,023,534 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
FRANCE -- (Continued)
Plastic Omnium SA 318,364 $10,381,745 0.3%
Plastivaloire 1,182 148,036 0.0%
PSB Industries SA 8,161 412,283 0.0%
# Rallye SA 128,234 2,323,231 0.1%
Remy Cointreau SA 45,564 3,694,470 0.1%
Rexel SA 1,596,995 22,149,109 0.5%
# Robertet SA 3,063 1,053,390 0.0%
Rothschild & Co. 21,428 508,351 0.0%
Rubis SCA 203,675 18,573,358 0.5%
Samse SA 8,068 1,258,510 0.0%
Sartorius Stedim Biotech 101,854 6,872,611 0.2%
Savencia SA 33,142 2,030,167 0.1%
SEB SA 120,657 17,757,736 0.4%
Seche Environnement SA 11,799 362,408 0.0%
#* Sequana SA 289,137 494,832 0.0%
* Societe des Bains de Mer et du Cercle des Etrangers a
Monaco 60,258 1,926,445 0.1%
* Societe Internationale de Plantations d'Heveas SA 7,523 305,208 0.0%
Societe Marseillaise du Tunnel Prado-Carenage SA 3,434 124,196 0.0%
Societe pour l'Informatique Industrielle 39,566 651,806 0.0%
* SOITEC 1,279,868 1,222,201 0.0%
#* Solocal Group 170,329 591,227 0.0%
Somfy SA 20,959 8,745,086 0.2%
Sopra Steria Group 74,501 7,579,248 0.2%
SPIE SA 82,599 1,560,953 0.0%
* Stallergenes Greer P.L.C. 12,201 389,733 0.0%
* Ste Industrielle d'Aviation Latecoere SA 310,883 1,193,179 0.0%
Stef SA 28,166 2,180,461 0.1%
# STMicroelectronics NV 2,136,887 20,281,219 0.5%
* Store Electronic 14,048 380,248 0.0%
Sword Group 32,374 970,045 0.0%
Synergie SA 69,989 2,263,946 0.1%
Tarkett SA 54,324 1,934,595 0.1%
Technicolor SA 1,482,868 8,662,783 0.2%
Teleperformance 336,308 35,533,493 0.9%
# Television Francaise 1 626,436 5,769,707 0.1%
Tessi SA 6,807 1,037,535 0.0%
# TFF Group 5,065 565,212 0.0%
# Thermador Groupe 13,789 1,192,803 0.0%
Total Gabon 1,515 216,509 0.0%
* Touax SA 5,568 66,795 0.0%
Trigano SA 46,958 3,321,528 0.1%
* Ubisoft Entertainment SA 521,852 17,756,325 0.4%
Union Financiere de France BQE SA 16,855 447,797 0.0%
#* Vallourec SA 941,957 4,629,065 0.1%
#* Valneva SE 218,939 596,222 0.0%
Vetoquinol SA 16,625 836,250 0.0%
# Vicat SA 86,767 5,455,209 0.1%
VIEL & Cie SA 161,700 640,298 0.0%
# Vilmorin & Cie SA 27,056 1,626,868 0.1%
* Virbac SA 22,063 3,510,917 0.1%
Vranken-Pommery Monopole SA 18,262 459,803 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
FRANCE -- (Continued)
* Worldline SA 23,932 $ 657,360 0.0%
------------ ----
TOTAL FRANCE 560,060,154 13.5%
------------ ----
GERMANY -- (15.4%)
Aareal Bank AG 409,233 14,802,028 0.4%
Adler Modemaerkte AG 41,855 237,747 0.0%
#* ADLER Real Estate AG 111,691 1,639,021 0.0%
* ADVA Optical Networking SE 194,362 1,548,847 0.0%
#* AIXTRON SE 396,410 1,885,545 0.1%
* Aligna AG 318,087 -- 0.0%
All for One Steeb AG 569 32,174 0.0%
Allgeier SE 26,260 518,629 0.0%
# Amadeus Fire AG 30,007 2,410,562 0.1%
* AS Creation Tapeten 7,109 247,540 0.0%
Aurubis AG 180,566 9,414,074 0.2%
# Axel Springer SE 194,300 9,734,239 0.2%
Basler AG 3,576 225,282 0.0%
Bauer AG 33,835 464,672 0.0%
# BayWa AG(5838057) 78,978 2,653,672 0.1%
BayWa AG(5838068) 124 4,247 0.0%
Bechtle AG 80,333 8,448,691 0.2%
# Bertrandt AG 27,357 2,909,712 0.1%
Bijou Brigitte AG 19,236 1,141,141 0.0%
#* Bilfinger SE 178,040 6,269,496 0.2%
Biotest AG 60,306 1,077,197 0.0%
* BKN International AG 33,408 -- 0.0%
# Borussia Dortmund GmbH & Co. KGaA 473,904 2,990,056 0.1%
BRAAS Monier Building Group SA 19,013 547,940 0.0%
CANCOM SE 86,805 3,950,812 0.1%
Carl Zeiss Meditec AG 160,352 5,772,227 0.1%
CENIT AG 50,111 1,252,069 0.0%
CENTROTEC Sustainable AG 44,227 726,881 0.0%
Cewe Stiftung & Co. KGAA 31,218 2,991,351 0.1%
# Clere AG 21,096 441,261 0.0%
Comdirect Bank AG 182,514 1,853,047 0.0%
CompuGroup Medical SE 119,816 5,309,305 0.1%
* Constantin Medien AG 340,089 768,282 0.0%
CropEnergies AG 116,924 662,093 0.0%
CTS Eventim AG & Co. KGaA 216,083 7,755,271 0.2%
Data Modul AG 11,455 643,459 0.0%
#* DEAG Deutsche Entertainment AG 13,697 37,736 0.0%
# Delticom AG 28,981 551,889 0.0%
Deutsche Beteiligungs AG 48,588 1,642,501 0.0%
Deutsche EuroShop AG 220,384 9,525,047 0.2%
Deutsche Lufthansa AG 28,830 368,998 0.0%
Deutz AG 599,311 2,964,350 0.1%
* Dialog Semiconductor P.L.C. 382,079 15,026,045 0.4%
DIC Asset AG 265,874 2,551,009 0.1%
DMG Mori AG 263,450 12,058,941 0.3%
# Dr Hoenle AG 25,078 695,752 0.0%
Draegerwerk AG & Co. KGaA 9,611 613,908 0.0%
# Drillisch AG 225,064 10,283,302 0.3%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
GERMANY -- (Continued)
Duerr AG 133,802 $ 9,977,640 0.2%
Eckert & Ziegler AG 17,297 401,202 0.0%
Elmos Semiconductor AG 53,988 817,577 0.0%
# ElringKlinger AG 167,277 2,591,183 0.1%
* Euromicron AG 32,612 261,390 0.0%
* Evotec AG 1,103,203 6,049,640 0.2%
Fielmann AG 114,167 7,923,567 0.2%
* First Sensor AG 19,888 310,047 0.0%
Francotyp-Postalia Holding AG Class A 53,729 259,534 0.0%
Fraport AG Frankfurt Airport Services Worldwide 179,584 10,660,189 0.3%
Freenet AG 652,809 18,715,461 0.5%
Fuchs Petrolub SE 147,943 5,853,957 0.1%
Gerresheimer AG 198,146 14,946,146 0.4%
# Gerry Weber International AG 98,127 1,225,076 0.0%
# Gesco AG 14,489 1,158,094 0.0%
GFK SE 76,920 2,594,191 0.1%
GFT Technologies SE 90,843 1,818,261 0.0%
Grammer AG 79,765 4,566,282 0.1%
GRENKE AG 36,620 6,375,340 0.2%
* H&R GmbH & Co. KGaA 33,528 620,709 0.0%
Hamburger Hafen und Logistik AG 113,533 1,804,670 0.0%
#* Heidelberger Druckmaschinen AG 1,401,673 3,722,441 0.1%
Hella KGaA Hueck & Co. 106,323 4,057,733 0.1%
* Highlight Communications AG 94,846 542,641 0.0%
Hochtief AG 16,307 2,226,670 0.1%
#* HolidayCheck Group AG 114,390 281,630 0.0%
Hornbach Baumarkt AG 20,885 659,127 0.0%
Hugo Boss AG 213,956 13,453,629 0.3%
Indus Holding AG 129,827 7,662,934 0.2%
# Init Innovation In Traffic Systems AG 23,180 396,617 0.0%
Isra Vision AG 18,038 2,098,369 0.1%
Jenoptik AG 262,122 4,504,808 0.1%
# K+S AG 990,931 20,066,101 0.5%
* Kampa AG 7,101 117 0.0%
KION Group AG 258,832 15,638,698 0.4%
* Kloeckner & Co. SE 555,392 6,935,658 0.2%
* Koenig & Bauer AG 69,890 3,289,345 0.1%
#* Kontron AG 437,004 1,501,198 0.0%
Krones AG 75,044 7,654,466 0.2%
KSB AG 3,466 1,428,251 0.0%
* KUKA AG 135,482 15,374,609 0.4%
KWS Saat SE 15,970 5,225,012 0.1%
Lanxess AG 484,758 31,084,953 0.8%
LEG Immobilien AG 306,750 25,874,994 0.6%
Leifheit AG 13,935 902,860 0.0%
Leoni AG 159,356 6,044,283 0.2%
#* LPKF Laser & Electronics AG 76,947 590,508 0.0%
#* Manz AG 20,001 729,904 0.0%
* MasterFlex SE 19,347 140,712 0.0%
* Mediclin AG 88,966 558,521 0.0%
* Medigene AG 54,012 479,036 0.0%
MLP AG 296,006 1,201,303 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
GERMANY -- (Continued)
* msg life ag 11,646 $ 28,755 0.0%
MTU Aero Engines AG 249,839 26,089,184 0.6%
MVV Energie AG 11,041 245,171 0.0%
Nemetschek SE 107,874 6,728,295 0.2%
Nexus AG 49,542 1,015,269 0.0%
* Nordex SE 307,691 8,103,835 0.2%
Norma Group SE 202,672 9,325,537 0.2%
OHB SE 34,003 705,219 0.0%
Osram Licht AG 343,036 19,483,339 0.5%
#* Paion AG 47,336 126,206 0.0%
paragon AG 4,815 197,982 0.0%
* Patrizia Immobilien AG 263,203 5,448,204 0.1%
* Petro Welt Technologies AG 6,474 46,132 0.0%
Pfeiffer Vacuum Technology AG 52,225 4,738,832 0.1%
PNE Wind AG 367,537 822,970 0.0%
Progress-Werk Oberkirch AG 7,571 311,596 0.0%
# PSI AG Gesellschaft Fuer Produkte und Systeme der
Informationstechnologie 27,232 362,196 0.0%
Puma SE 10,528 2,623,826 0.1%
* PVA TePla AG 46,019 126,833 0.0%
* QIAGEN NV 744,663 18,212,580 0.4%
# QSC AG 498,723 1,029,113 0.0%
# R Stahl AG 14,952 495,412 0.0%
Rational AG 14,449 7,507,654 0.2%
Rheinmetall AG 223,411 15,508,712 0.4%
RHOEN-KLINIKUM AG 235,088 6,544,280 0.2%
# RIB Software AG 157,104 2,131,109 0.1%
S&T AG 15,456 152,569 0.0%
SAF-Holland SA 248,917 3,342,840 0.1%
Salzgitter AG 212,972 7,000,809 0.2%
# Schaltbau Holding AG 27,311 845,142 0.0%
Schloss Wachenheim AG 7,479 126,153 0.0%
* SER Systems AG 9,400 -- 0.0%
#* SGL Carbon SE 201,274 2,511,768 0.1%
SHW AG 25,624 888,305 0.0%
* Siltronic AG 6,953 250,901 0.0%
Sixt Leasing SE 7,617 169,105 0.0%
Sixt SE 80,910 4,909,657 0.1%
# SMA Solar Technology AG 59,062 1,516,767 0.0%
* SMT Scharf AG 18,103 217,352 0.0%
Softing AG 21,576 288,679 0.0%
Software AG 309,788 11,258,991 0.3%
#* Solarworld AG 13,177 50,813 0.0%
* Stabilus SA 29,094 1,517,611 0.0%
Stada Arzneimittel AG 306,492 15,370,132 0.4%
STRATEC Biomedical AG 21,521 1,230,348 0.0%
# Stroeer SE & Co. KGaA 116,515 5,330,647 0.1%
Suedzucker AG 438,206 11,241,099 0.3%
* Suess MicroTec AG 105,674 740,455 0.0%
Surteco SE 25,640 647,511 0.0%
TAG Immobilien AG 798,736 10,650,867 0.3%
Takkt AG 163,454 3,876,666 0.1%
Technotrans AG 32,047 766,909 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
GERMANY -- (Continued)
TLG Immobilien AG 152,128 $ 3,189,417 0.1%
#* Tom Tailor Holding AG 108,631 544,774 0.0%
VERBIO Vereinigte BioEnergie AG 127,536 951,358 0.0%
#* Vossloh AG 68,437 4,160,200 0.1%
# VTG AG 80,128 2,445,264 0.1%
Wacker Chemie AG 77,716 6,933,353 0.2%
Wacker Neuson SE 146,155 2,021,996 0.1%
Washtec AG 42,100 2,142,335 0.1%
XING AG 16,563 3,378,107 0.1%
Zeal Network SE 33,676 1,144,486 0.0%
------------ ----
TOTAL GERMANY 690,676,959 16.7%
------------ ----
GREECE -- (0.0%)
* Alfa Alfa Energy SA 3,810 -- 0.0%
* Alysida SA 2,376 -- 0.0%
* Atlantic Supermarkets SA 34,730 -- 0.0%
* Babis Vovos International Construction SA 21,073 -- 0.0%
* Balafas SA 15,200 -- 0.0%
* Elektroniki Athinon SA 7,497 -- 0.0%
* Etma Rayon SA 11,242 -- 0.0%
* Informatics SA 3,778 -- 0.0%
* Ipirotiki Software & Publications SA 22,110 -- 0.0%
* Lan-Net SA 12,688 -- 0.0%
* Neorion Holdings SA 14,991 -- 0.0%
* Promota Hellas SA 8,860 -- 0.0%
* T Bank SA 228,007 -- 0.0%
* Themeliodomi SA 37,422 -- 0.0%
------------ ----
TOTAL GREECE -- 0.0%
------------ ----
IRELAND -- (1.2%)
C&C Group P.L.C.(B011Y09) 1,077,904 4,135,723 0.1%
C&C Group P.L.C.(B010DT8) 399,607 1,547,124 0.0%
Datalex P.L.C. 60,575 222,784 0.0%
* FBD Holdings P.L.C. 125,728 872,938 0.0%
Glanbia P.L.C.(4058629) 7,822 127,420 0.0%
Glanbia P.L.C.(0066950) 700,613 11,410,889 0.3%
IFG Group P.L.C. 302,015 597,637 0.0%
* Independent News & Media P.L.C. 1,593,163 206,135 0.0%
Irish Continental Group P.L.C.(BLP5857) 361,886 1,687,660 0.1%
Irish Continental Group P.L.C.(BLP59W1) 234,200 1,075,521 0.0%
Kingspan Group P.L.C. 583,900 14,298,661 0.4%
Paddy Power Betfair P.L.C. 46,685 4,837,741 0.1%
Smurfit Kappa Group P.L.C. 555,722 12,193,817 0.3%
------------ ----
TOTAL IRELAND 53,214,050 1.3%
------------ ----
ISRAEL -- (1.8%)
* ADO Group, Ltd. 49,052 631,923 0.0%
#* Africa Israel Investments, Ltd. 1,160,746 333,016 0.0%
Africa Israel Properties, Ltd. 78,320 1,350,192 0.0%
Africa Israel Residences, Ltd. 594 12,077 0.0%
#* Airport City, Ltd. 316,100 3,435,538 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
ISRAEL -- (Continued)
Albaad Massuot Yitzhak, Ltd. 466 $ 7,429 0.0%
#* Allot Communications, Ltd. 127,151 664,619 0.0%
# Alrov Properties and Lodgings, Ltd. 44,380 945,470 0.0%
Amot Investments, Ltd. 452,653 1,888,942 0.1%
Arad, Ltd. 1,053 10,016 0.0%
Ashtrom Properties, Ltd. 23,018 88,571 0.0%
#* AudioCodes, Ltd. 163,675 866,394 0.0%
Avgol Industries 1953, Ltd. 407,132 481,819 0.0%
* Azorim-Investment Development & Construction Co., Ltd. 380,820 356,064 0.0%
Bayside Land Corp. 3,610 1,412,226 0.0%
# Big Shopping Centers, Ltd. 17,790 1,195,661 0.0%
* BioLine RX, Ltd. 59,630 60,046 0.0%
# Blue Square Real Estate, Ltd. 22,369 905,564 0.0%
Brack Capital Properties NV 11,927 1,024,557 0.0%
#* Cellcom Israel, Ltd. 283,451 2,139,196 0.1%
#* Ceragon Networks, Ltd. 109,184 285,502 0.0%
#* Clal Biotechnology Industries, Ltd. 174,162 130,165 0.0%
#* Clal Insurance Enterprises Holdings, Ltd. 88,091 1,011,888 0.0%
* Cohen Development & Industrial Buildings, Ltd. 2,564 60,549 0.0%
#* Compugen, Ltd. 185,531 1,069,812 0.0%
Delek Automotive Systems, Ltd. 168,811 1,442,449 0.1%
# Delta-Galil Industries, Ltd. 51,149 1,455,775 0.1%
Direct Insurance Financial Investments, Ltd. 73,126 621,558 0.0%
El Al Israel Airlines 1,470,062 1,433,070 0.0%
* Electra Consumer Products 1970, Ltd. 12,719 168,490 0.0%
# Electra, Ltd. 8,540 1,172,340 0.0%
# Elron Electronic Industries, Ltd. 62,094 291,203 0.0%
Energix-Renewable Energies, Ltd. 78,065 52,468 0.0%
* Equital, Ltd. 7,312 138,024 0.0%
#* Evogene, Ltd. 70,559 420,816 0.0%
# First International Bank Of Israel, Ltd. 180,262 2,319,393 0.1%
FMS Enterprises Migun, Ltd. 11,414 294,823 0.0%
Formula Systems 1985, Ltd. 44,239 1,715,666 0.1%
Fox Wizel, Ltd. 19,541 304,724 0.0%
Frutarom Industries, Ltd. 27,256 1,440,278 0.0%
#* Gilat Satellite Networks, Ltd. 113,132 497,466 0.0%
#* Hadera Paper, Ltd. 10,176 367,246 0.0%
Harel Insurance Investments & Financial Services, Ltd. 552,043 2,134,549 0.1%
Hilan, Ltd. 45,185 693,272 0.0%
# IDI Insurance Co., Ltd. 22,850 1,133,431 0.0%
# Industrial Buildings Corp., Ltd. 475,849 572,224 0.0%
* Israel Discount Bank, Ltd. Class A 2,736,507 5,025,945 0.1%
Israel Land Development Co., Ltd. (The) 22,310 128,217 0.0%
* Jerusalem Oil Exploration 45,662 2,009,606 0.1%
#* Kamada, Ltd. 126,672 732,590 0.0%
* Kenon Holdings, Ltd. 27,135 263,682 0.0%
Kerur Holdings, Ltd. 7,088 162,459 0.0%
Klil Industries, Ltd. 550 45,514 0.0%
Maabarot Products, Ltd. 21,999 349,221 0.0%
Magic Software Enterprises, Ltd. 92,863 682,885 0.0%
# Matrix IT, Ltd. 178,144 1,263,124 0.0%
Maytronics, Ltd. 129,036 456,503 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
ISRAEL -- (Continued)
#* Mazor Robotics, Ltd. 228,777 $ 2,622,475 0.1%
Meitav DS Investments, Ltd. 44,186 172,638 0.0%
# Melisron, Ltd. 52,894 2,247,096 0.1%
* Menora Mivtachim Holdings, Ltd. 123,424 1,096,553 0.0%
#* Migdal Insurance & Financial Holding, Ltd. 1,543,756 1,019,406 0.0%
# Mivtach Shamir Holdings, Ltd. 22,547 463,834 0.0%
#* Naphtha Israel Petroleum Corp., Ltd. 160,542 870,952 0.0%
Neto ME Holdings, Ltd. 5,555 436,949 0.0%
#* Nova Measuring Instruments, Ltd. 119,308 1,423,031 0.0%
* Oil Refineries, Ltd. 5,367,932 1,894,891 0.1%
#* Partner Communications Co., Ltd. 459,954 2,145,556 0.1%
Paz Oil Co., Ltd. 23,314 3,641,584 0.1%
* Perion Network, Ltd. 16,455 17,487 0.0%
* Phoenix Holdings, Ltd. (The) 280,698 802,266 0.0%
# Plasson Industries, Ltd. 13,484 414,587 0.0%
# Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. 32,629 1,314,276 0.0%
#* Redhill Biopharma, Ltd. 45,309 55,338 0.0%
# Sapiens International Corp. NV 109,799 1,502,311 0.1%
Scope Metals Group, Ltd. 830 14,315 0.0%
Shapir Engineering and Industry, Ltd. 37,161 76,465 0.0%
# Shikun & Binui, Ltd. 1,044,647 1,810,646 0.1%
Shufersal, Ltd. 392,383 1,481,354 0.1%
* Space Communication, Ltd. 17,611 113,640 0.0%
Strauss Group, Ltd. 136,109 2,142,620 0.1%
* Summit Real Estate Holdings, Ltd. 103,951 604,335 0.0%
Tadiran Holdings, Ltd. 6,059 147,591 0.0%
#* Tower Semiconductor, Ltd. 251,518 3,885,795 0.1%
* Union Bank of Israel 126,346 424,841 0.0%
----------- ---
TOTAL ISRAEL 82,999,079 2.0%
----------- ---
ITALY -- (8.6%)
A2A SpA 8,290,391 11,290,490 0.3%
ACEA SpA 302,509 3,918,489 0.1%
* Aedes SIIQ SpA 691,904 264,027 0.0%
#* Aeffe SpA 167,738 194,126 0.0%
Alerion Cleanpower SpA 119,152 350,356 0.0%
# Amplifon SpA 515,448 5,446,358 0.1%
Anima Holding SpA 761,265 3,708,698 0.1%
Ansaldo STS SpA 572,443 6,579,072 0.2%
* Arnoldo Mondadori Editore SpA 724,145 716,332 0.0%
Ascopiave SpA 424,667 1,241,515 0.0%
# Astaldi SpA 288,057 1,162,678 0.0%
Autogrill SpA 728,145 6,068,830 0.2%
Azimut Holding SpA 623,078 10,001,347 0.3%
#* Banca Carige SpA 1,893,751 646,442 0.0%
Banca Finnat Euramerica SpA 616,149 225,866 0.0%
Banca Generali SpA 284,313 6,322,155 0.2%
Banca IFIS SpA 147,336 4,267,037 0.1%
Banca Mediolanum SpA 1,097,031 7,584,957 0.2%
#* Banca Monte dei Paschi di Siena SpA 1,988,426 532,585 0.0%
Banca Popolare dell'Emilia Romagna SC 2,548,728 11,976,652 0.3%
#* Banca Popolare dell'Etruria e del Lazio SC 1,058,027 -- 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
ITALY -- (Continued)
# Banca Popolare di Milano Scarl 22,383,595 $10,258,814 0.3%
Banca Popolare di Sondrio Scarl 2,316,219 7,732,385 0.2%
Banca Profilo SpA 1,221,744 235,171 0.0%
Banco di Desio e della Brianza SpA 224,677 417,363 0.0%
Banco Popolare SC 2,966,423 8,561,978 0.2%
# BasicNet SpA 170,033 629,034 0.0%
Biesse SpA 68,574 1,183,060 0.0%
Brembo SpA 161,253 9,983,733 0.3%
# Brunello Cucinelli SpA 101,511 2,010,751 0.1%
# Buzzi Unicem SpA 409,864 7,970,912 0.2%
# Cairo Communication SpA 339,858 1,458,007 0.0%
* Caltagirone Editore SpA 6,277 4,788 0.0%
Cembre SpA 39,007 541,624 0.0%
Cementir Holding SpA 325,211 1,588,617 0.0%
Cerved Information Solutions SpA 620,171 4,991,718 0.1%
CIR-Compagnie Industriali Riunite SpA 2,065,487 2,302,486 0.1%
Credito Emiliano SpA 471,853 2,660,008 0.1%
# Credito Valtellinese SC 5,732,088 2,522,737 0.1%
d'Amico International Shipping SA 830,428 284,652 0.0%
Danieli & C Officine Meccaniche SpA 72,897 1,360,797 0.0%
Datalogic SpA 111,466 2,336,856 0.1%
Davide Campari-Milano SpA 1,402,760 14,127,948 0.4%
De' Longhi SpA 274,771 6,429,014 0.2%
DeA Capital SpA 526,890 623,304 0.0%
DiaSorin SpA 116,636 7,168,176 0.2%
* Ei Towers SpA 87,314 4,112,694 0.1%
El.En. SpA 48,277 1,057,069 0.0%
Elica SpA 4,665 9,427 0.0%
ERG SpA 319,564 3,548,957 0.1%
Esprinet SpA 169,978 1,259,500 0.0%
* Eurotech SpA 90,850 120,221 0.0%
Falck Renewables SpA 704,182 628,754 0.0%
* Fincantieri SpA 2,268,686 1,029,179 0.0%
FinecoBank Banca Fineco SpA 922,158 5,389,051 0.1%
FNM SpA 627,039 284,286 0.0%
# Geox SpA 453,868 977,673 0.0%
* Gruppo Editoriale L'Espresso SpA 481,852 400,827 0.0%
# Gruppo MutuiOnline SpA 103,077 914,767 0.0%
Hera SpA 3,352,671 8,569,609 0.2%
IMMSI SpA 1,202,186 500,281 0.0%
Industria Macchine Automatiche SpA 70,748 4,375,637 0.1%
Infrastrutture Wireless Italiane SpA 222,258 1,050,723 0.0%
* Intek Group SpA 1,768,514 415,406 0.0%
Interpump Group SpA 425,898 6,830,656 0.2%
Iren SpA 2,952,554 5,298,209 0.1%
Italmobiliare SpA 45,336 2,151,153 0.1%
* Juventus Football Club SpA 2,188,514 704,605 0.0%
La Doria SpA 65,929 554,941 0.0%
# Maire Tecnimont SpA 643,190 1,550,742 0.0%
MARR SpA 182,251 3,357,015 0.1%
Mediaset SpA 4,351,208 12,443,268 0.3%
Moleskine SpA 470,247 1,243,664 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
ITALY -- (Continued)
Moncler SpA 664,534 $ 11,063,112 0.3%
# Nice SpA 71,162 202,258 0.0%
OVS SpA 75,261 412,284 0.0%
Parmalat SpA 1,761,867 4,655,151 0.1%
# Piaggio & C SpA 961,442 1,676,019 0.0%
#* Prelios SpA 127,326 11,640 0.0%
# Prima Industrie SpA 15,358 241,144 0.0%
Prysmian SpA 1,026,230 25,519,884 0.6%
Recordati SpA 474,431 13,416,369 0.3%
Reno de Medici SpA 840,050 253,902 0.0%
Reply SpA 23,664 2,974,665 0.1%
* Retelit SpA 732,206 727,550 0.0%
* Richard-Ginori 1735 SpA 8,489 -- 0.0%
Sabaf SpA 25,688 252,085 0.0%
# SAES Getters SpA 40,332 524,342 0.0%
#* Safilo Group SpA 176,776 1,850,021 0.1%
#* Saipem SpA 26,968,903 11,089,930 0.3%
# Salini Impregilo SpA 1,159,746 3,231,820 0.1%
# Salvatore Ferragamo SpA 262,482 6,416,153 0.2%
Saras SpA 1,637,194 2,843,723 0.1%
SAVE SpA 85,250 1,673,524 0.0%
Servizi Italia SpA 34,833 141,367 0.0%
#* Snai SpA 117,457 153,684 0.0%
Societa Cattolica di Assicurazioni SCRL 852,357 5,153,634 0.1%
Societa Iniziative Autostradali e Servizi SpA 349,366 3,271,966 0.1%
#* Sogefi SpA 284,842 654,723 0.0%
SOL SpA 161,050 1,383,370 0.0%
Tamburi Investment Partners SpA 418,473 1,681,525 0.0%
#* Tiscali SpA 9,160,788 443,209 0.0%
# Tod's SpA 70,079 4,094,990 0.1%
#* Trevi Finanziaria Industriale SpA 509,518 750,951 0.0%
# TXT e-solutions SpA 28,342 240,450 0.0%
# Unione di Banche Italiane SpA 1,418,008 3,912,290 0.1%
Unipol Gruppo Finanziario SpA 2,168,748 6,639,608 0.2%
UnipolSai SpA 4,029,024 7,699,509 0.2%
Vittoria Assicurazioni SpA 124,843 1,335,263 0.0%
#* Yoox Net-A-Porter Group SpA 280,998 8,083,165 0.2%
Zignago Vetro SpA 142,878 865,104 0.0%
------------ ---
TOTAL ITALY 384,200,643 9.3%
------------ ---
NETHERLANDS -- (4.7%)
Aalberts Industries NV 600,156 18,953,870 0.5%
Accell Group 142,072 3,553,599 0.1%
AFC Ajax NV 18,134 175,494 0.0%
AMG Advanced Metallurgical Group NV 171,531 3,415,919 0.1%
Amsterdam Commodities NV 92,796 2,096,472 0.1%
# APERAM SA 270,393 12,297,153 0.3%
Arcadis NV 374,341 4,927,097 0.1%
ASM International NV 290,828 12,405,403 0.3%
* Atag Group NV 4,630 -- 0.0%
BE Semiconductor Industries NV 181,415 5,909,928 0.1%
Beter Bed Holding NV 97,492 1,765,326 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NETHERLANDS -- (Continued)
BinckBank NV 263,185 $ 1,561,747 0.0%
Boskalis Westminster 431,756 13,924,803 0.3%
Brunel International NV 118,473 1,934,664 0.1%
Corbion NV 334,113 7,707,510 0.2%
Delta Lloyd NV 2,709,093 16,366,532 0.4%
* Fugro NV 381,770 6,826,903 0.2%
# Gemalto NV 304,031 16,518,507 0.4%
* Heijmans NV 126,289 1,209,227 0.0%
Hunter Douglas NV 9,617 512,897 0.0%
IMCD Group NV 44,045 1,904,863 0.1%
KAS Bank NV 80,799 732,571 0.0%
Kendrion NV 67,325 1,941,694 0.1%
# Koninklijke BAM Groep NV 1,407,837 6,550,203 0.2%
Koninklijke Vopak NV 180,802 9,125,530 0.2%
Nederland Apparatenfabriek 27,865 963,617 0.0%
#* OCI NV 292,497 4,059,992 0.1%
* Ordina NV 866,273 2,307,968 0.1%
* PostNL NV 2,511,108 11,826,474 0.3%
Refresco Group NV 24,884 363,498 0.0%
SBM Offshore NV 949,667 13,631,854 0.3%
Sligro Food Group NV 134,261 4,805,955 0.1%
#* SNS Reaal NV 705,718 -- 0.0%
# Telegraaf Media Groep NV 170,034 690,162 0.0%
TKH Group NV 223,860 8,615,393 0.2%
#* TomTom NV 575,952 4,657,480 0.1%
Van Lanschot NV 24,773 507,894 0.0%
Wessanen 469,148 5,605,603 0.1%
------------ ---
TOTAL NETHERLANDS 210,353,802 5.1%
------------ ---
NORWAY -- (2.6%)
ABG Sundal Collier Holding ASA 1,786,130 1,057,073 0.0%
AF Gruppen ASA 18,991 335,575 0.0%
#* Akastor ASA 917,989 1,265,545 0.0%
# Aker ASA Class A 130,540 4,817,302 0.1%
* Aker BP ASA 465,731 7,452,456 0.2%
#* Aker Solutions ASA 618,359 2,836,265 0.1%
# American Shipping Co. ASA 196,875 593,527 0.0%
Arendals Fossekompani A.S. 90 30,482 0.0%
Atea ASA 349,436 3,128,921 0.1%
Austevoll Seafood ASA 517,682 4,667,427 0.1%
#* Axactor AB 3,911,279 1,377,629 0.0%
* Axactor Rights Dummy 3,911,279 12,229 0.0%
Bakkafrost P/F 172,423 7,229,217 0.2%
* Biotec Pharmacon ASA 139,685 210,330 0.0%
Bonheur ASA 140,320 903,988 0.0%
Borregaard ASA 462,575 4,534,068 0.1%
# BW LPG, Ltd. 250,209 807,168 0.0%
# BW Offshore, Ltd. 43,189,561 1,773,724 0.0%
* Deep Sea Supply P.L.C. 254,547 41,584 0.0%
#* DNO ASA 3,249,546 2,773,411 0.1%
Ekornes ASA 111,584 1,404,073 0.0%
Entra ASA 19,596 210,046 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NORWAY -- (Continued)
* Farstad Shipping ASA 6,779 $ 5,509 0.0%
#* Fred Olsen Energy ASA 147,008 252,287 0.0%
# Frontline, Ltd. 148,250 1,086,091 0.0%
Grieg Seafood ASA 257,604 2,266,940 0.1%
#* Hexagon Composites ASA 394,620 1,383,224 0.0%
# Hoegh LNG Holdings Ltd 219,136 2,296,158 0.1%
* Kongsberg Automotive ASA 2,171,519 1,792,423 0.1%
Kongsberg Gruppen ASA 4,235 60,461 0.0%
Kvaerner ASA 1,616,475 2,120,681 0.1%
#* Nordic Semiconductor ASA 703,953 2,816,892 0.1%
#* Norske Skogindustrier ASA 1,270,388 449,126 0.0%
#* Norwegian Air Shuttle ASA 149,161 5,029,990 0.1%
Norwegian Property ASA 521,881 680,154 0.0%
# Ocean Yield ASA 230,469 1,924,374 0.1%
* Odfjell SE Class A 134,257 438,885 0.0%
Olav Thon Eiendomsselskap ASA 115,054 2,262,067 0.1%
* Opera Software ASA 514,924 3,628,444 0.1%
#* Petroleum Geo-Services ASA 1,015,024 2,724,741 0.1%
#* PhotoCure ASA 57,224 261,784 0.0%
* Prosafe SE 3,735,854 126,176 0.0%
# Protector Forsikring ASA 285,028 2,439,057 0.1%
#* Q-Free ASA 179,836 167,612 0.0%
#* REC Silicon ASA 14,281,005 1,782,269 0.1%
# Scatec Solar ASA 154,153 620,904 0.0%
#* Seadrill, Ltd. 326,851 694,933 0.0%
Selvaag Bolig ASA 139,333 680,639 0.0%
#* Sevan Marine ASA 124,800 257,055 0.0%
* Solstad Offshore ASA 72,220 116,668 0.0%
#* Songa Offshore 7,333,657 176,981 0.0%
SpareBank 1 SMN 131,684 968,591 0.0%
SpareBank 1 SR-Bank ASA 194,009 1,156,336 0.0%
# Stolt-Nielsen, Ltd. 121,666 1,494,058 0.0%
#* Storebrand ASA 762,009 3,919,113 0.1%
# TGS Nopec Geophysical Co. ASA 351,607 7,112,057 0.2%
Tomra Systems ASA 647,834 7,033,202 0.2%
* Treasure ASA 249,256 552,406 0.0%
# Veidekke ASA 395,147 5,905,609 0.1%
# Wilh Wilhelmsen ASA 306,364 967,837 0.0%
# Wilh Wilhelmsen Holding ASA Class A 61,068 1,304,243 0.0%
XXL ASA 146,272 1,830,994 0.1%
------------ ---
TOTAL NORWAY 118,249,011 2.9%
------------ ---
PORTUGAL -- (0.9%)
Altri SGPS SA 577,518 2,012,338 0.1%
* Banco BPI SA 2,573,144 3,194,190 0.1%
#* Banco Comercial Portugues SA Class R 4,200,763 5,594,762 0.1%
* Banco Espirito Santo SA 4,777,921 -- 0.0%
Corticeira Amorim SGPS SA 3,086 30,981 0.0%
CTT-Correios de Portugal SA 692,539 4,582,356 0.1%
EDP Renovaveis SA 182,845 1,381,275 0.0%
Ibersol SGPS SA 24,481 306,506 0.0%
Mota-Engil SGPS SA 677,759 1,323,206 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
PORTUGAL -- (Continued)
Navigator Co SA (The) 2,010,412 $ 5,887,895 0.2%
NOS SGPS SA 1,079,047 7,170,568 0.2%
Novabase SGPS SA 65,729 163,207 0.0%
REN--Redes Energeticas Nacionais SGPS SA 1,346,999 3,936,164 0.1%
Semapa-Sociedade de Investimento e Gestao 103,793 1,332,180 0.0%
Sonae Capital SGPS SA 252,051 194,451 0.0%
Sonae SGPS SA 4,901,591 3,897,005 0.1%
Teixeira Duarte SA 710,639 145,603 0.0%
----------- ---
TOTAL PORTUGAL 41,152,687 1.0%
----------- ---
SPAIN -- (5.4%)
Acciona SA 148,641 11,295,723 0.3%
Acerinox SA 839,895 10,335,573 0.3%
# Adveo Group International SA 104,096 380,462 0.0%
Almirall SA 289,516 4,161,829 0.1%
#* Amper SA 2,752,422 362,093 0.0%
Applus Services SA 407,282 3,907,840 0.1%
Atresmedia Corp de Medios de Comunicacion SA 353,910 3,636,270 0.1%
Azkoyen SA 64,022 369,083 0.0%
Banco Popular Espanol SA 1,170,644 1,280,839 0.0%
Bankinter SA 283,386 2,166,024 0.1%
* Baron de Ley 13,360 1,512,394 0.0%
# Bolsas y Mercados Espanoles SHMSF SA 410,153 12,395,730 0.3%
#* Caja de Ahorros del Mediterraneo 116,412 -- 0.0%
Cellnex Telecom SA 555,271 9,105,884 0.2%
* Cementos Portland Valderrivas SA 68,410 468,683 0.0%
Cia de Distribucion Integral Logista Holdings SA 141,672 3,141,775 0.1%
Cie Automotive SA 249,123 5,128,649 0.1%
Clinica Baviera SA 3,698 35,908 0.0%
Construcciones y Auxiliar de Ferrocarriles SA 9,124 3,432,627 0.1%
#* Deoleo SA 898,878 177,530 0.0%
Distribuidora Internacional de Alimentacion SA 2,929,226 15,645,268 0.4%
# Duro Felguera SA 420,986 512,241 0.0%
Ebro Foods SA 366,900 7,911,600 0.2%
* eDreams ODIGEO SA 279,986 852,018 0.0%
Elecnor SA 191,752 1,897,734 0.0%
Ence Energia y Celulosa SA 1,037,062 2,260,057 0.1%
#* Ercros SA 793,700 1,819,672 0.0%
Faes Farma SA 1,379,422 5,063,963 0.1%
Fluidra SA 159,343 761,789 0.0%
Gamesa Corp. Tecnologica SA 1,203,576 27,788,671 0.7%
Grupo Catalana Occidente SA 203,062 6,394,678 0.2%
#* Grupo Ezentis SA 946,893 535,333 0.0%
Iberpapel Gestion SA 36,518 798,870 0.0%
#* Indra Sistemas SA 587,934 7,270,770 0.2%
Inmobiliaria Colonial SA 1,007,155 7,102,106 0.2%
Inmobiliaria del Sur SA 2,902 26,185 0.0%
Laboratorios Farmaceuticos Rovi SA 68,607 927,882 0.0%
* Liberbank SA 1,775,702 1,761,258 0.0%
Mediaset Espana Comunicacion SA 943,903 10,533,212 0.3%
Melia Hotels International SA 459,423 5,672,456 0.1%
Miquel y Costas & Miquel SA 38,660 1,641,755 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SPAIN -- (Continued)
* NH Hotel Group SA 1,249,728 $ 5,514,222 0.1%
Nmas1 Dinamia SA 20,438 179,588 0.0%
# Obrascon Huarte Lain SA 747,423 2,995,842 0.1%
Papeles y Cartones de Europa SA 275,558 1,437,411 0.0%
* Pescanova SA 68,547 -- 0.0%
* Pharma Mar SA 983,996 2,656,571 0.1%
Prim SA 39,424 362,315 0.0%
#* Promotora de Informaciones SA Class A 284,300 1,969,743 0.1%
Prosegur Cia de Seguridad SA 1,304,355 9,458,137 0.2%
#* Quabit Inmobiliaria SA 133,934 267,251 0.0%
* Realia Business SA 755,842 731,002 0.0%
Sacyr SA 1,590,914 3,627,202 0.1%
Saeta Yield SA 83,749 808,421 0.0%
#* Solaria Energia y Medio Ambiente SA 207,171 187,201 0.0%
#* Talgo SA 171,227 795,137 0.0%
Tecnicas Reunidas SA 165,741 6,201,386 0.2%
Tecnocom Telecomunicaciones y Energia SA 147,909 521,918 0.0%
Tubacex SA 655,565 1,949,296 0.0%
#* Tubos Reunidos SA 510,636 475,264 0.0%
Vidrala SA 82,427 4,708,968 0.1%
Viscofan SA 229,641 10,811,859 0.3%
#* Vocento SA 231,302 309,323 0.0%
Zardoya Otis SA 735,771 6,196,741 0.2%
------------ ---
TOTAL SPAIN 242,637,232 5.8%
------------ ---
SWEDEN -- (7.8%)
AAK AB 121,469 8,021,229 0.2%
Acando AB 433,023 1,108,781 0.0%
* AddLife AB 85,369 1,319,392 0.0%
AddNode Group AB 22,737 144,809 0.0%
AddTech AB Class B 273,182 3,885,685 0.1%
AF AB Class B 294,066 5,381,817 0.1%
#* Anoto Group AB 4,862,822 93,833 0.0%
#* Arcam AB 6,436 211,910 0.0%
* Arise AB 36,861 81,677 0.0%
# Atrium Ljungberg AB Class B 102,923 1,598,919 0.0%
# Avanza Bank Holding AB 95,405 3,606,555 0.1%
B&B Tools AB Class B 123,792 2,756,428 0.1%
* BE Group AB 1,335 5,574 0.0%
Beijer Alma AB 109,736 2,534,977 0.1%
Beijer Electronics AB 53,995 234,448 0.0%
Beijer Ref AB 71,389 1,671,098 0.0%
Betsson AB 443,610 4,282,129 0.1%
Bilia AB Class A 272,368 6,494,301 0.2%
BillerudKorsnas AB 507,688 8,336,968 0.2%
BioGaia AB Class B 80,672 2,465,678 0.1%
Biotage AB 312,490 1,514,417 0.0%
Bjorn Borg AB 33,945 151,086 0.0%
#* Bonava AB 9,670 117,086 0.0%
* Bonava AB Class B 156,829 1,937,740 0.1%
Bulten AB 78,904 789,077 0.0%
Bure Equity AB 316,106 3,463,483 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWEDEN -- (Continued)
Byggmax Group AB 343,939 $ 2,265,582 0.1%
Castellum AB 353,569 4,790,852 0.1%
Catena AB 53,725 783,826 0.0%
Cavotec SA 16,457 44,494 0.0%
Clas Ohlson AB Class B 176,242 2,488,073 0.1%
Cloetta AB Class B 1,216,113 4,308,928 0.1%
Com Hem Holding AB 197,160 1,774,238 0.0%
Concentric AB 217,808 2,590,305 0.1%
Concordia Maritime AB Class B 100,760 177,215 0.0%
Corem Property Group AB Class B 2,296 8,995 0.0%
Dios Fastigheter AB 254,122 1,692,299 0.0%
* Doro AB 151,342 963,785 0.0%
Duni AB 203,817 2,711,127 0.1%
Dustin Group AB 79,854 544,416 0.0%
East Capital Explorer AB 49,286 327,540 0.0%
* Elanders AB 2,096 25,469 0.0%
# Elanders AB Class B 7,650 92,947 0.0%
# Elekta AB Class B 1,454,797 12,613,564 0.3%
Eltel AB 62,791 389,639 0.0%
Enea AB 63,008 564,720 0.0%
#* Eniro AB 1,279,580 39,756 0.0%
Fabege AB 651,224 10,998,798 0.3%
# Fagerhult AB 61,882 1,576,492 0.0%
Fenix Outdoor International AG 8,198 544,463 0.0%
Granges AB 233,849 2,272,434 0.1%
Gunnebo AB 149,602 693,438 0.0%
Haldex AB 218,762 2,817,850 0.1%
Heba Fastighets AB Class B 42,288 530,886 0.0%
Hemfosa Fastigheter AB 672,254 6,320,747 0.2%
Hexpol AB 767,636 6,308,612 0.2%
HIQ International AB 281,281 1,750,864 0.0%
HMS Networks AB 7,040 205,585 0.0%
Hoist Finance AB 60,868 548,960 0.0%
Holmen AB Class B 264,932 9,064,835 0.2%
Hufvudstaden AB Class A 235,964 3,652,126 0.1%
Indutrade AB 377,535 7,022,301 0.2%
# Intrum Justitia AB 385,511 11,886,259 0.3%
Inwido AB 156,802 1,713,533 0.0%
ITAB Shop Concept AB Class B 55,585 431,632 0.0%
JM AB 385,931 11,110,705 0.3%
KappAhl AB 304,652 1,588,597 0.0%
#* Karo Pharma AB 4,475 15,873 0.0%
#* Karolinska Development AB Class B 90,079 54,886 0.0%
Klovern AB Class B 2,268,287 2,392,793 0.1%
KNOW IT AB 68,989 617,034 0.0%
Kungsleden AB 819,649 5,168,153 0.1%
Lagercrantz Group AB Class B 244,772 2,248,138 0.1%
Lifco AB Class B 14,657 370,852 0.0%
Lindab International AB 384,759 3,294,868 0.1%
Loomis AB Class B 312,800 8,891,439 0.2%
* Medivir AB Class B 147,036 1,078,185 0.0%
# Mekonomen AB 149,584 2,659,192 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SWEDEN -- (Continued)
# Modern Times Group MTG AB Class B 319,844 $ 8,608,118 0.2%
# MQ Holding AB 165,718 623,225 0.0%
# Mycronic AB 460,561 4,807,217 0.1%
NCC AB Class B 449,781 11,429,831 0.3%
Nederman Holding AB 4,621 96,541 0.0%
#* Net Insight AB Class B 1,229,052 917,396 0.0%
NetEnt AB 876,576 6,907,301 0.2%
New Wave Group AB Class B 241,923 1,339,282 0.0%
Nibe Industrier AB Class B 827,086 6,152,073 0.2%
Nobia AB 745,291 6,496,049 0.2%
Nolato AB Class B 134,540 3,857,718 0.1%
# Nordnet AB Class B 388,808 1,596,987 0.0%
OEM International AB Class B 44,190 677,957 0.0%
# Opus Group AB 867,270 638,201 0.0%
* Oriflame Holding AG 150,200 5,518,261 0.1%
Pandox AB 3,646 57,854 0.0%
Peab AB 816,406 6,923,964 0.2%
Pricer AB Class B 768,155 804,823 0.0%
Proact IT Group AB 39,943 616,443 0.0%
# Probi AB(B04FH87) 11,327 508,051 0.0%
* Probi AB(BDB5DL6) 2,768 124,117 0.0%
#* Qliro Group AB 424,463 438,979 0.0%
Ratos AB Class B 1,069,160 4,394,017 0.1%
RaySearch Laboratories AB 81,567 1,804,185 0.1%
# Recipharm AB Class B 80,523 1,173,201 0.0%
Rezidor Hotel Group AB 413,235 1,686,095 0.0%
Saab AB Class B 88,827 3,146,041 0.1%
# Sagax AB Class B 83,213 734,282 0.0%
#* SAS AB 738,160 1,250,051 0.0%
Scandi Standard AB 215,392 1,506,865 0.0%
Sectra AB Class B 58,461 902,916 0.0%
# Semcon AB 100,425 519,710 0.0%
#* Sensys Gatso Group AB 343,311 81,261 0.0%
SkiStar AB 110,113 1,692,871 0.0%
#* SSAB AB Class A(B17H0S8) 1,081,113 3,428,958 0.1%
#* SSAB AB Class A(BPRBWK4) 189,016 601,247 0.0%
* SSAB AB Class B(B17H3F6) 2,535,211 6,728,791 0.2%
* SSAB AB Class B(BPRBWM6) 1,131,651 3,006,423 0.1%
Sweco AB Class B 316,495 6,349,538 0.2%
Swedol AB Class B 48,327 133,768 0.0%
Systemair AB 48,630 624,803 0.0%
Thule Group AB (The) 226,270 3,492,807 0.1%
Transcom Worldwide AB 35,939 258,043 0.0%
# Unibet Group P.L.C. 1,048,368 9,258,633 0.2%
VBG Group AB Class B 137 2,301 0.0%
# Victoria Park AB Class B 358,165 884,691 0.0%
Vitrolife AB 71,728 3,710,816 0.1%
Wallenstam AB Class B 790,622 6,089,872 0.2%
Wihlborgs Fastigheter AB 342,126 6,631,190 0.2%
------------ ---
TOTAL SWEDEN 348,471,161 8.4%
------------ ---
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SWITZERLAND -- (12.1%)
#* AFG Arbonia-Forster Holding AG 183,624 $ 2,755,034 0.1%
Allreal Holding AG 61,547 9,058,060 0.2%
* Alpiq Holding AG 12,042 1,118,308 0.0%
ALSO Holding AG 16,110 1,475,472 0.0%
# ams AG 372,640 10,434,297 0.3%
APG SGA SA 7,581 3,168,101 0.1%
Aryzta AG 296,434 13,025,739 0.3%
Ascom Holding AG 210,467 3,604,007 0.1%
Autoneum Holding AG 16,300 4,313,282 0.1%
Bachem Holding AG Class B 23,344 2,079,128 0.1%
Baloise Holding AG 193,722 23,833,522 0.6%
Bank Coop AG 30,632 1,297,200 0.0%
Banque Cantonale de Geneve 3,968 1,172,693 0.0%
Banque Cantonale du Jura SA 4,442 232,472 0.0%
Banque Cantonale Vaudoise 11,753 7,383,687 0.2%
# Basler Kantonalbank 5,896 399,030 0.0%
Belimo Holding AG 2,156 6,582,384 0.2%
Bell AG 4,181 1,788,888 0.0%
Bellevue Group AG 49,926 749,843 0.0%
# Berner Kantonalbank AG 22,665 4,114,510 0.1%
BFW Liegenschaften AG 620 24,773 0.0%
# BKW AG 64,177 2,985,841 0.1%
Bobst Group SA 44,716 2,461,044 0.1%
Bossard Holding AG Class A 32,905 4,687,607 0.1%
Bucher Industries AG 32,790 7,284,488 0.2%
Burckhardt Compression Holding AG 11,640 3,374,622 0.1%
Burkhalter Holding AG 20,988 2,687,716 0.1%
Calida Holding AG 25,084 872,296 0.0%
Carlo Gavazzi Holding AG 1,415 349,224 0.0%
Cembra Money Bank AG 119,427 9,128,117 0.2%
Cham Paper Holding AG 1,894 603,192 0.0%
#* Charles Voegele Holding AG 41,895 267,058 0.0%
* Cicor Technologies 5,936 147,784 0.0%
Cie Financiere Tradition SA 9,458 749,369 0.0%
Clariant AG 815,669 13,507,035 0.3%
Coltene Holding AG 20,595 1,468,809 0.0%
Conzzeta AG 6,116 4,224,452 0.1%
COSMO Pharmaceuticals NV 4,113 597,475 0.0%
Daetwyler Holding AG 37,940 5,197,404 0.1%
DKSH Holding AG 91,087 6,312,951 0.2%
dorma+kaba Holding AG Class B 16,675 11,587,178 0.3%
Edmond de Rothschild Suisse SA 147 2,059,082 0.0%
EFG International AG 295,881 1,594,866 0.0%
Emmi AG 12,810 7,567,255 0.2%
Energiedienst Holding AG 68,912 1,782,845 0.0%
#* Evolva Holding SA 363,874 154,325 0.0%
Feintool International Holding AG 7,642 889,245 0.0%
Flughafen Zuerich AG 104,871 19,277,802 0.5%
Forbo Holding AG 6,853 8,736,041 0.2%
GAM Holding AG 925,197 8,961,980 0.2%
* Gategroup Holding AG 146,738 7,719,620 0.2%
Georg Fischer AG 22,511 19,958,153 0.5%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWITZERLAND -- (Continued)
Gurit Holding AG 2,329 $ 1,971,218 0.0%
Helvetia Holding AG 36,269 18,869,464 0.5%
# HOCHDORF Holding AG 3,791 1,054,506 0.0%
Huber & Suhner AG 69,938 4,072,424 0.1%
Implenia AG 85,074 5,697,842 0.1%
Inficon Holding AG 9,382 3,369,222 0.1%
Interroll Holding AG 3,127 3,413,176 0.1%
Intershop Holding AG 8,065 4,118,696 0.1%
# Jungfraubahn Holding AG 4,456 417,533 0.0%
Kardex AG 35,549 3,043,697 0.1%
Komax Holding AG 18,489 4,452,433 0.1%
Kudelski SA 195,049 3,362,795 0.1%
* Lastminute.com NV 3,079 43,901 0.0%
LEM Holding SA 3,773 4,210,370 0.1%
Liechtensteinische Landesbank AG 29,197 1,180,197 0.0%
# Logitech International SA 650,486 15,732,970 0.4%
# Luzerner Kantonalbank AG 16,857 6,550,429 0.2%
MCH Group AG 1,404 94,365 0.0%
Metall Zug AG 880 2,827,760 0.1%
#* Meyer Burger Technology AG 395,076 1,290,958 0.0%
# Mobilezone Holding AG 133,170 1,978,729 0.0%
Mobimo Holding AG 32,716 7,872,052 0.2%
OC Oerlikon Corp. AG 929,429 8,737,524 0.2%
#* Orascom Development Holding AG 60,240 361,062 0.0%
# Orell Fuessli Holding AG 5,028 610,719 0.0%
Orior AG 28,059 2,268,479 0.1%
Panalpina Welttransport Holding AG 63,044 8,178,387 0.2%
* Parco Industriale e Immobiliare SA 600 -- 0.0%
Phoenix Mecano AG 3,019 1,544,975 0.0%
Plazza AG 5,852 1,391,396 0.0%
PSP Swiss Property AG 201,709 18,048,619 0.4%
Rieter Holding AG 17,376 3,299,872 0.1%
Romande Energie Holding SA 2,625 3,229,437 0.1%
Schaffner Holding AG 2,950 701,930 0.0%
#* Schmolz + Bickenbach AG 2,676,034 1,755,100 0.0%
Schweiter Technologies AG 4,417 4,758,760 0.1%
SFS Group AG 27,826 2,096,385 0.1%
Siegfried Holding AG 21,530 4,427,442 0.1%
St Galler Kantonalbank AG 11,780 4,421,608 0.1%
Straumann Holding AG 45,962 17,244,502 0.4%
Sulzer AG 107,928 10,628,874 0.3%
Sunrise Communications Group AG 123,442 8,434,210 0.2%
Swiss Prime Site AG 139,414 11,562,873 0.3%
Swissquote Group Holding SA 45,894 1,304,299 0.0%
Tamedia AG 14,493 2,366,742 0.1%
Tecan Group AG 39,022 6,430,064 0.2%
Temenos Group AG 318,043 20,539,697 0.5%
Thurgauer Kantonalbank 659 60,199 0.0%
U-Blox AG 30,554 5,775,495 0.1%
Valiant Holding AG 83,882 7,952,684 0.2%
Valora Holding AG 15,777 4,584,214 0.1%
Vaudoise Assurances Holding SA 5,091 2,475,915 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SWITZERLAND -- (Continued)
# Vetropack Holding AG 949 $ 1,556,659 0.0%
* Von Roll Holding AG 250,484 169,759 0.0%
Vontobel Holding AG 136,975 6,707,233 0.2%
VP Bank AG 6,639 651,731 0.0%
VZ Holding AG 10,596 3,134,358 0.1%
Walliser Kantonalbank 16,716 1,266,699 0.0%
Walter Meier AG 22,913 833,050 0.0%
Ypsomed Holding AG 16,382 3,128,025 0.1%
* Zehnder Group AG 57,019 2,369,369 0.1%
Zug Estates Holding AG Class B 612 1,022,525 0.0%
Zuger Kantonalbank AG 608 3,038,503 0.1%
-------------- -----
TOTAL SWITZERLAND 540,499,417 13.0%
-------------- -----
TOTAL COMMON STOCKS 4,098,885,635 98.8%
-------------- -----
PREFERRED STOCKS -- (0.8%)
GERMANY -- (0.8%)
Biotest AG 88,910 1,238,158 0.1%
Draegerwerk AG & Co. KGaA 31,455 2,246,412 0.1%
Fuchs Petrolub SE 212,417 9,507,561 0.2%
Jungheinrich AG 245,511 7,751,288 0.2%
Sartorius AG 117,188 9,224,631 0.2%
Sixt SE 60,257 2,690,295 0.1%
STO SE & Co. KGaA 8,021 961,374 0.0%
Villeroy & Boch AG 41,209 634,448 0.0%
-------------- -----
TOTAL GERMANY 34,254,167 0.9%
-------------- -----
TOTAL PREFERRED STOCKS 34,254,167 0.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
* Intercell AG Rights 254,689 -- 0.0%
-------------- -----
SPAIN -- (0.0%)
* Papeles y Cartones de Europa S.A. Rights 11/14/16 275,558 55,356 0.0%
-------------- -----
SWEDEN -- (0.0%)
#* Sagax AB 15,000 -- 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 55,356 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 4,133,195,158
--------------
VALUE+
--------------
SECURITIESLENDING 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%
============== =====
THE CONTINENTAL 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
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
Greece -- -- -- --
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
Austria -- -- -- --
Spain -- 55,356 -- 55,356
Sweden -- -- -- --
Securities Lending Collateral -- 350,189,570 -- 350,189,570
---------- -------------- -- --------------
TOTAL $2,009,662 $4,481,375,066 -- $4,483,384,728
========== ============== == ==============
THE CANADIAN SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
COMMON STOCKS -- (81.3%)
Consumer Discretionary -- (7.7%)
Aimia, Inc. 467,893 $ 2,529,057 0.3%
* Amaya, Inc. 17,000 227,630 0.0%
# AutoCanada, Inc. 134,781 2,215,702 0.2%
# BMTC Group, Inc. 17,481 173,337 0.0%
* BRP, Inc. 169,622 3,279,131 0.4%
Cineplex, Inc. 318,474 12,109,278 1.3%
Cogeco Communications, Inc. 83,095 3,875,660 0.4%
Cogeco, Inc. 38,068 1,403,461 0.2%
# Corus Entertainment, Inc. Class B 740,938 6,115,100 0.7%
DHX Media, Ltd.(BRF12N3) 2,500 12,674 0.0%
DHX Media, Ltd.(BRF12P5) 350,110 1,777,566 0.2%
Dorel Industries, Inc. Class B 169,797 4,310,436 0.5%
# Enercare, Inc. 509,859 7,366,784 0.8%
# Gamehost, Inc. 46,573 367,362 0.0%
#* Glacier Media, Inc. 171,625 89,568 0.0%
goeasy, Ltd. 3,600 68,361 0.0%
* Great Canadian Gaming Corp. 299,800 4,979,903 0.5%
# Hudson's Bay Co. 319,911 3,930,615 0.4%
#* IMAX Corp. 259,917 7,862,489 0.9%
* Indigo Books & Music, Inc. 2,302 29,605 0.0%
* Intertain Group, Ltd. (The) 348,348 2,152,990 0.2%
# Leon's Furniture, Ltd. 138,675 1,722,452 0.2%
Linamar Corp. 144,412 5,873,164 0.6%
Martinrea International, Inc. 476,656 2,796,751 0.3%
# MTY Food Group, Inc. 72,863 2,629,217 0.3%
#* Performance Sports Group, Ltd. 66,703 176,045 0.0%
# Pizza Pizza Royalty Corp. 100,426 1,138,056 0.1%
Reitmans Canada, Ltd. Class A 260,312 1,275,069 0.1%
#* Sears Canada, Inc. 50,217 97,716 0.0%
# Torstar Corp. Class B 343,089 427,167 0.1%
* TVA Group, Inc. Class B 7,000 18,266 0.0%
Uni-Select, Inc. 96,705 2,175,917 0.2%
Vail Resorts, Inc. 17,397 2,773,722 0.3%
#* Yellow Pages, Ltd. 147,535 2,390,170 0.3%
Zenith Capital Corp. 111,820 6,753 0.0%
----------- ---
Total Consumer Discretionary 88,377,174 9.5%
----------- ---
Consumer Staples -- (3.6%)
AGT Food & Ingredients, Inc. 125,802 3,577,192 0.4%
Andrew Peller, Ltd. Class A 25,200 209,295 0.0%
Clearwater Seafoods, Inc. 90,557 921,571 0.1%
Corby Spirit and Wine, Ltd. 70,767 1,284,179 0.1%
Cott Corp.(2228952) 600,036 7,868,958 0.9%
Cott Corp.(22163N106) 96,682 1,267,501 0.1%
High Liner Foods, Inc. 83,191 1,523,897 0.2%
Jean Coutu Group PJC, Inc. (The) Class A 148,393 2,234,801 0.2%
# Liquor Stores N.A., Ltd. 179,711 1,430,935 0.2%
Maple Leaf Foods, Inc. 219,264 4,994,047 0.5%
* Neptune Technologies & Bioressources, Inc. 22,102 23,399 0.0%
North West Co., Inc. (The) 255,510 4,876,654 0.5%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Consumer Staples -- (Continued)
Premium Brands Holdings Corp. 132,462 $ 6,410,280 0.7%
# Rogers Sugar, Inc. 510,071 2,388,165 0.3%
#* SunOpta, Inc. 301,440 2,000,161 0.2%
----------- ---
Total Consumer Staples 41,011,035 4.4%
----------- ---
Energy -- (19.2%)
* Advantage Oil & Gas, Ltd. 1,100,531 7,425,487 0.8%
#* Africa Oil Corp. 327,699 469,084 0.1%
AKITA Drilling, Ltd. Class A 40,600 251,234 0.0%
#* Athabasca Oil Corp. 1,544,785 1,451,151 0.2%
#* Baytex Energy Corp. 1,304,806 5,019,607 0.5%
#* Bellatrix Exploration, Ltd. 1,025,758 925,346 0.1%
#* Birchcliff Energy, Ltd. 844,698 5,378,156 0.6%
#* BlackPearl Resources, Inc. 1,397,501 1,542,013 0.2%
Bonavista Energy Corp. 1,081,476 3,531,548 0.4%
# Bonterra Energy Corp. 175,395 3,300,507 0.4%
# Calfrac Well Services, Ltd. 408,270 837,055 0.1%
#* Canacol Energy, Ltd. 719,842 2,221,833 0.2%
# Canadian Energy Services & Technology Corp. 953,842 3,761,891 0.4%
Canyon Services Group, Inc. 375,432 1,491,875 0.2%
#* Cequence Energy, Ltd. 863,916 186,786 0.0%
#* Chinook Energy, Inc. 496,199 199,767 0.0%
* Corridor Resources, Inc. 1,246 381 0.0%
* Crew Energy, Inc. 846,600 4,159,468 0.4%
#* Delphi Energy Corp. 901,739 699,179 0.1%
#* Denison Mines Corp. 2,693,471 1,084,377 0.1%
# Enbridge Income Fund Holdings, Inc. 251,755 6,389,130 0.7%
Enerflex, Ltd. 445,163 4,729,421 0.5%
#* Energy Fuels, Inc. 108,528 156,970 0.0%
Enerplus Corp. 721,959 4,860,426 0.5%
# Ensign Energy Services, Inc. 758,725 4,576,221 0.5%
#* Epsilon Energy, Ltd. 260,061 562,273 0.1%
* Essential Energy Services Trust 779,741 337,173 0.0%
Freehold Royalties, Ltd. 457,314 4,295,949 0.5%
* GASFRAC Energy Services, Inc. 91,560 9 0.0%
# Gibson Energy, Inc. 702,339 8,812,619 0.9%
* Gran Tierra Energy, Inc. 1,502,719 4,391,753 0.5%
Granite Oil Corp. 195,608 739,381 0.1%
#* Ithaca Energy, Inc. 1,644,779 1,581,872 0.2%
#* Kelt Exploration, Ltd. 251,041 1,109,873 0.1%
* Lightstream Resources, Ltd. 687,816 58,972 0.0%
* McCoy Global, Inc. 51,537 67,241 0.0%
#* MEG Energy Corp. 553,491 2,257,210 0.2%
# Mullen Group, Ltd. 536,825 7,440,227 0.8%
# Newalta Corp. 311,471 527,130 0.1%
North American Energy Partners, Inc. 129,534 387,260 0.0%
Northern Blizzard Resources, Inc. 154,200 397,772 0.0%
* NuVista Energy, Ltd. 805,169 4,093,978 0.4%
* Painted Pony Petroleum, Ltd. 524,254 3,212,829 0.3%
* Paramount Resources, Ltd. Class A 303,969 3,449,197 0.4%
* Parex Resources, Inc. 765,891 8,810,630 0.9%
# Parkland Fuel Corp. 474,825 11,090,932 1.2%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
Pason Systems, Inc. 356,252 $ 4,050,431 0.4%
# Pengrowth Energy Corp. 2,992,716 4,618,595 0.5%
# Penn West Petroleum, Ltd. 2,369,435 3,780,355 0.4%
* Perpetual Energy, Inc. 41,575 58,892 0.0%
* Petrus Resources, Ltd. 19,582 27,738 0.0%
# PHX Energy Services Corp. 147,674 407,361 0.0%
#* Pine Cliff Energy, Ltd. 248,300 188,821 0.0%
# Precision Drilling Corp. 1,736,481 7,741,860 0.8%
# Pulse Seismic, Inc. 268,280 462,034 0.0%
* Questerre Energy Corp. Class A 745,460 277,887 0.0%
* Raging River Exploration, Inc. 1,087,151 8,713,095 0.9%
#* RMP Energy, Inc. 982,111 585,767 0.1%
* Savanna Energy Services Corp. 520,779 535,805 0.1%
# Secure Energy Services, Inc. 773,239 4,738,705 0.5%
ShawCor, Ltd. 319,981 8,003,700 0.9%
#* Spartan Energy Corp. 1,552,043 3,610,210 0.4%
#* Sprott Resource Corp. 455,390 173,152 0.0%
Strad Energy Services, Ltd. 39,947 49,141 0.0%
# Surge Energy, Inc. 1,264,658 2,583,436 0.3%
TORC Oil & Gas, Ltd. 677,808 3,835,505 0.4%
Total Energy Services, Inc. 178,778 1,692,746 0.2%
TransGlobe Energy Corp. 448,945 820,037 0.1%
* Trican Well Service, Ltd. 830,838 1,783,951 0.2%
#* Trilogy Energy Corp. 365,842 1,963,813 0.2%
Trinidad Drilling, Ltd. 1,372,323 2,629,441 0.3%
# Veresen, Inc. 1,597,192 14,467,966 1.6%
Western Energy Services Corp. 463,897 809,304 0.1%
# Whitecap Resources, Inc. 1,466,035 11,716,913 1.3%
* Xtreme Drilling Corp. 224,819 469,316 0.1%
ZCL Composites, Inc. 114,527 998,151 0.1%
------------ ----
Total Energy 220,067,321 23.6%
------------ ----
Financials -- (4.8%)
AGF Management, Ltd. Class B 449,269 1,711,597 0.2%
# Alaris Royalty Corp. 176,560 2,594,496 0.3%
# Callidus Capital Corp. 83,220 1,053,512 0.1%
Canaccord Genuity Group, Inc. 663,978 2,074,158 0.2%
# Canadian Western Bank 441,032 8,368,198 0.9%
# Chesswood Group, Ltd. 24,842 209,100 0.0%
Clairvest Group, Inc. 1,900 41,150 0.0%
# Clarke, Inc. 17,242 117,878 0.0%
E-L Financial Corp., Ltd. 1,778 924,592 0.1%
# Echelon Financial Holdings, Inc. 14,650 135,436 0.0%
# Equitable Group, Inc. 58,995 2,324,085 0.3%
* Equity Financial Holdings, Inc. 800 5,741 0.0%
Fiera Capital Corp. 175,137 1,570,788 0.2%
Firm Capital Mortgage Investment Corp. 42,146 433,934 0.1%
# First National Financial Corp. 54,637 995,955 0.1%
# Genworth MI Canada, Inc. 249,451 5,417,511 0.6%
Gluskin Sheff + Associates, Inc. 160,621 1,926,781 0.2%
# GMP Capital, Inc. 294,287 1,059,723 0.1%
Guardian Capital Group, Ltd. Class A 24,797 397,477 0.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Financials -- (Continued)
# Home Capital Group, Inc. 325,263 $ 6,438,330 0.7%
* Kingsway Financial Services, Inc. 14,370 81,156 0.0%
Laurentian Bank of Canada 196,746 7,271,080 0.8%
Sprott, Inc. 904,688 1,504,103 0.2%
#* Street Capital Group, Inc. 120,227 128,178 0.0%
TMX Group, Ltd. 191,063 8,815,991 0.9%
----------- ---
Total Financials 55,600,950 6.0%
----------- ---
Health Care -- (1.3%)
Concordia International Corp.(20653P102) 65,542 223,498 0.0%
# Concordia International Corp.(BDD7WR9) 47,100 160,828 0.0%
* CRH Medical Corp. 187,180 907,083 0.1%
# Extendicare, Inc. 561,871 3,862,261 0.4%
* Knight Therapeutics, Inc. 433,558 2,883,275 0.3%
# Medical Facilities Corp. 164,269 2,679,643 0.3%
#* Merus Labs International, Inc. 384,845 355,780 0.0%
* QLT, Inc. 219,010 367,384 0.1%
Sienna Senior Living, Inc. 225,814 2,688,623 0.3%
#* Theratechnologies, Inc. 149,301 362,873 0.0%
----------- ---
Total Health Care 14,491,248 1.5%
----------- ---
Industrials -- (10.3%)
Aecon Group, Inc. 408,101 5,275,830 0.6%
# Ag Growth International, Inc. 90,959 3,162,170 0.3%
* Air Canada 306,500 2,890,647 0.3%
Algoma Central Corp. 25,790 218,233 0.0%
* ATS Automation Tooling Systems, Inc. 522,530 4,480,053 0.5%
# Badger Daylighting, Ltd. 213,881 4,621,093 0.5%
#* Ballard Power Systems, Inc. 134,734 264,184 0.0%
Bird Construction, Inc. 204,133 1,674,095 0.2%
# Black Diamond Group, Ltd. 231,141 754,788 0.1%
CanWel Building Materials Group, Ltd. 136,370 665,939 0.1%
Cargojet, Inc. 742 24,357 0.0%
# Cervus Equipment Corp. 34,597 346,924 0.0%
# DirectCash Payments, Inc. 78,722 1,114,539 0.1%
* DIRTT Environmental Solutions 63,400 233,502 0.0%
# Exchange Income Corp. 113,984 3,198,656 0.3%
Exco Technologies, Ltd. 128,615 1,102,716 0.1%
# Finning International, Inc. 238,878 4,445,236 0.5%
* Heroux-Devtek, Inc. 146,754 1,584,282 0.2%
HNZ Group, Inc. 23,088 217,746 0.0%
Horizon North Logistics, Inc. 496,183 673,267 0.1%
# K-Bro Linen, Inc. 29,653 850,260 0.1%
Logistec Corp. Class B 300 8,110 0.0%
MacDonald Dettwiler & Associates, Ltd. 172,507 9,873,527 1.1%
Magellan Aerospace Corp. 73,376 1,003,839 0.1%
Morneau Shepell, Inc. 264,411 3,950,493 0.4%
New Flyer Industries, Inc. 254,471 7,114,488 0.8%
Richelieu Hardware, Ltd. 243,255 4,677,214 0.5%
# Rocky Mountain Dealerships, Inc. 82,555 556,398 0.1%
Russel Metals, Inc. 362,155 5,764,564 0.6%
# Stantec, Inc.(2854238) 410,229 9,126,395 1.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
Stantec, Inc.(85472N109) 3,715 $ 82,845 0.0%
Stuart Olson, Inc. 88,659 386,681 0.0%
# Student Transportation, Inc. 487,291 2,822,822 0.3%
Toromont Industries, Ltd. 390,325 11,465,597 1.2%
Transcontinental, Inc. Class A 359,276 4,805,347 0.5%
TransForce, Inc. 474,880 10,773,577 1.2%
Wajax Corp. 103,838 1,180,593 0.1%
WestJet Airlines, Ltd. 6,379 104,391 0.0%
* Westport Fuel Systems, Inc. 3,750 5,759 0.0%
Westshore Terminals Investment Corp. 318,149 6,136,222 0.7%
------------ ----
Total Industrials 117,637,379 12.6%
------------ ----
Information Technology -- (3.1%)
#* 5N Plus, Inc. 359,429 450,191 0.0%
# Absolute Software Corp. 234,888 1,115,512 0.1%
#* Avigilon Corp. 185,293 1,174,227 0.1%
Calian Group, Ltd. 25,155 470,730 0.1%
* Celestica, Inc.(2263362) 432,878 5,121,728 0.6%
* Celestica, Inc.(15101Q108) 36,408 431,435 0.0%
Computer Modelling Group, Ltd. 402,152 2,974,240 0.3%
* Descartes Systems Group, Inc. (The) 264,138 5,504,106 0.6%
# DH Corp. 270,455 3,500,409 0.4%
Enghouse Systems, Ltd. 97,257 3,653,754 0.4%
Evertz Technologies, Ltd. 143,053 1,746,968 0.2%
#* EXFO, Inc. 686 2,982 0.0%
# Mediagrif Interactive Technologies, Inc. 11,670 160,525 0.0%
* Mitel Networks Corp. 375,024 2,499,599 0.3%
* Points International, Ltd.(730843208) 3,323 27,847 0.0%
* Points International, Ltd.(2556879) 36,359 301,162 0.0%
Pure Technologies, Ltd. 64,345 233,145 0.0%
#* Redknee Solutions, Inc. 56,511 80,893 0.0%
# Sandvine Corp. 1,036,169 2,325,258 0.3%
#* Sierra Wireless, Inc.(826516106) 10,722 146,355 0.0%
#* Sierra Wireless, Inc.(2418968) 159,192 2,176,680 0.2%
#* Solium Capital, Inc. 96,906 533,911 0.1%
Vecima Networks, Inc. 6,059 39,029 0.0%
Wi-LAN, Inc. 780,333 1,117,005 0.1%
------------ ----
Total Information Technology 35,787,691 3.8%
------------ ----
Materials -- (23.7%)
Acadian Timber Corp. 35,188 457,525 0.1%
# AirBoss of America Corp. 80,062 758,658 0.1%
* Alacer Gold Corp. 1,485,088 3,000,513 0.3%
Alamos Gold, Inc. Class A 1,545,462 12,121,272 1.3%
#* Almaden Minerals, Ltd. Class B 50,744 67,719 0.0%
# Altius Minerals Corp. 120,900 1,002,317 0.1%
* Americas Silver Corp. 974,500 228,858 0.0%
* Argonaut Gold, Inc. 923,902 1,866,677 0.2%
* Asanko Gold, Inc. 262,544 968,905 0.1%
#* AuRico Metals, Inc. 679,583 623,192 0.1%
* B2Gold Corp. 5,268,073 15,239,039 1.6%
#* Banro Corp. 184,289 47,402 0.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
Caledonia Mining Corp. P.L.C. 2,700 $ 4,368 0.0%
# Canam Group, Inc. 237,796 1,597,362 0.2%
Canexus Corp. 753,464 865,082 0.1%
* Canfor Corp. 271,900 3,016,381 0.3%
Canfor Pulp Products, Inc. 206,915 1,564,242 0.2%
* Capstone Mining Corp. 2,190,321 1,322,717 0.1%
Cascades, Inc. 477,193 4,500,478 0.5%
# Centerra Gold, Inc. 1,111,077 5,616,271 0.6%
#* China Gold International Resources Corp., Ltd. 1,171,257 3,038,824 0.3%
* Continental Gold, Inc. 437,900 1,204,690 0.1%
#* Copper Mountain Mining Corp. 643,331 206,242 0.0%
Dominion Diamond Corp.(B95LX89) 487,201 4,140,827 0.4%
Dominion Diamond Corp.(257287102) 20,700 176,157 0.0%
#* Dundee Precious Metals, Inc. 665,722 1,359,933 0.2%
#* Eastern Platinum, Ltd. 310,296 108,730 0.0%
#* Eastmain Resources, Inc. 49,500 26,571 0.0%
* EcoSynthetix, Inc. 1,500 2,662 0.0%
* Eldorado Gold Corp. 549,685 1,733,518 0.2%
* Endeavour Mining Corp. 316,838 6,188,881 0.7%
#* Endeavour Silver Corp. 197,026 865,193 0.1%
#* Exeter Resource Corp. 29,611 34,218 0.0%
#* First Majestic Silver Corp. 571,687 4,590,376 0.5%
#* Fortress Paper, Ltd. Class A 16,706 84,570 0.0%
* Fortuna Silver Mines, Inc. 876,406 5,991,682 0.6%
#* Golden Star Resources, Ltd. 1,096,262 997,122 0.1%
#* Great Panther Silver, Ltd. 700,801 956,136 0.1%
* Guyana Goldfields, Inc. 287,744 1,692,612 0.2%
* Hanfeng Evergreen, Inc. 45,837 -- 0.0%
HudBay Minerals, Inc. 1,398,004 5,888,856 0.6%
* IAMGOLD Corp. 2,443,241 9,781,707 1.1%
#* Imperial Metals Corp. 242,460 930,939 0.1%
* Interfor Corp. 386,731 4,327,766 0.5%
* International Tower Hill Mines, Ltd. 13,001 9,790 0.0%
Intertape Polymer Group, Inc. 324,227 5,492,013 0.6%
* Ivanhoe Mines, Ltd. Class A 1,531,189 2,385,883 0.3%
#* Kirkland Lake Gold, Inc. 531,235 3,683,356 0.4%
* Klondex Mines, Ltd. 383,192 2,111,227 0.2%
# Labrador Iron Ore Royalty Corp. 266,656 2,920,433 0.3%
Lucara Diamond Corp. 1,407,865 3,978,087 0.4%
* Lundin Mining Corp. 2,567,823 10,050,750 1.1%
* Lydian International, Ltd. 91,514 27,291 0.0%
Major Drilling Group International, Inc. 559,212 2,864,226 0.3%
Mandalay Resources Corp. 1,371,135 1,022,243 0.1%
# Methanex Corp.(59151K108) 134,519 4,889,766 0.5%
# Methanex Corp.(2654416) 267,966 9,739,314 1.0%
#* Midas Gold Corp. 293,884 212,531 0.0%
* Minco Base Metals Corp. 2,780 -- 0.0%
* Nautilus Minerals, Inc. 227,078 28,781 0.0%
Nevsun Resources, Ltd. 1,420,079 4,118,473 0.4%
* New Gold, Inc. 2,668,183 10,523,140 1.1%
Norbord, Inc. 194,180 4,567,495 0.5%
#* Northern Dynasty Minerals, Ltd. 148,624 124,103 0.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
#* Novagold Resources, Inc. 61,209 $ 306,205 0.0%
OceanaGold Corp. 3,061,665 9,358,702 1.0%
* Orbite Technologies, Inc. 73,500 16,439 0.0%
Osisko Gold Royalties, Ltd. 531,675 5,596,991 0.6%
Pan American Silver Corp. 990,673 15,820,633 1.7%
* Pilot Gold, Inc. 153,861 66,532 0.0%
* Platinum Group Metals, Ltd. 105,831 182,263 0.0%
#* PolyMet Mining Corp. 613,665 459,803 0.1%
#* Pretium Resources, Inc.(74139C102) 325,217 3,183,874 0.3%
* Pretium Resources, Inc.(B57Q8S9) 63,300 618,701 0.1%
#* Primero Mining Corp. 1,071,138 1,445,433 0.2%
#* RB Energy, Inc. 396,013 238 0.0%
* Richmont Mines, Inc. 256,813 2,431,615 0.3%
* Royal Nickel Corp. 385,500 103,467 0.0%
#* Sabina Gold & Silver Corp. 861,721 886,584 0.1%
#* Sandstorm Gold, Ltd. 757,972 3,644,911 0.4%
#* Seabridge Gold, Inc. 111,235 1,214,106 0.1%
* SEMAFO, Inc. 1,661,946 6,517,435 0.7%
#* Sherritt International Corp. 1,970,361 1,263,334 0.1%
#* Silver Standard Resources, Inc. 760,590 8,347,040 0.9%
# Stella-Jones, Inc. 204,600 7,260,837 0.8%
* Stornoway Diamond Corp. 1,195,697 1,025,163 0.1%
#* Tanzanian Royalty Exploration Corp. 298,950 198,364 0.0%
#* Taseko Mines, Ltd. 960,266 422,394 0.1%
* Tembec, Inc. 403,476 324,874 0.0%
#* Teranga Gold Corp. 2,220,363 1,804,366 0.2%
#* Timmins Gold Corp. 1,530,103 684,457 0.1%
* Torex Gold Resources, Inc. 110,460 2,054,706 0.2%
* Trevali Mining Corp. 1,073,559 824,399 0.1%
#* Wesdome Gold Mines, Ltd. 362,564 705,504 0.1%
West Fraser Timber Co., Ltd. 213,500 7,309,267 0.8%
Western Forest Products, Inc. 2,201,509 3,348,303 0.4%
Winpak, Ltd. 153,235 5,236,929 0.6%
Yamana Gold, Inc. 187,357 669,082 0.1%
------------ ----
Total Materials 271,279,043 29.1%
------------ ----
Real Estate -- (1.6%)
# Altus Group, Ltd. 208,914 4,505,988 0.5%
# Brookfield Real Estate Services, Inc. 14,069 167,301 0.0%
Colliers International Group, Inc. 161,848 5,635,057 0.6%
FirstService Corp.(BYL7ZF7) 160,533 6,504,860 0.7%
FirstService Corp.(33767E103) 1,234 50,051 0.0%
Genesis Land Development Corp. 76,842 164,993 0.0%
Information Services Corp. 3,674 49,222 0.0%
#* Mainstreet Equity Corp. 26,949 652,981 0.1%
Melcor Developments, Ltd. 42,540 393,272 0.0%
Morguard Corp. 3,868 485,886 0.1%
------------ ----
Total Real Estate 18,609,611 2.0%
------------ ----
Telecommunication Services -- (0.4%)
# Manitoba Telecom Services, Inc. 161,284 4,507,968 0.5%
------------ ----
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Utilities -- (5.6%)
Algonquin Power & Utilities Corp. 1,173,558 $ 10,368,048 1.1%
* Alterra Power Corp. 110,442 442,987 0.0%
Boralex, Inc. Class A 258,491 3,707,871 0.4%
Capital Power Corp. 523,509 8,059,689 0.9%
# Innergex Renewable Energy, Inc. 512,927 5,701,738 0.6%
# Just Energy Group, Inc. 727,176 3,816,684 0.4%
#* Maxim Power Corp. 92,234 243,427 0.0%
# 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%
# TransAlta Renewables, Inc. 437,946 4,835,592 0.5%
# Valener, Inc. 273,976 4,301,748 0.5%
-------------- -----
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%
============== =====
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
============ ============ == ==============
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (94.0%)
BRAZIL -- (5.8%)
Ambev SA 855,320 $ 5,045,638 0.1%
AMBEV SA ADR 5,984,451 35,308,261 0.7%
Banco Bradesco SA 932,732 9,271,800 0.2%
Banco do Brasil SA 1,076,318 9,876,364 0.2%
Banco Santander Brasil SA 479,757 3,952,885 0.1%
BB Seguridade Participacoes SA 1,087,473 10,949,681 0.2%
BM&FBovespa SA--Bolsa de Valores Mercadorias e Futuros 1,804,083 10,625,551 0.2%
# Braskem SA Sponsored ADR 165,709 2,941,335 0.1%
BRF SA 577,166 9,655,597 0.2%
BRF SA ADR 539,479 9,020,089 0.2%
BTG Pactual Group 33,841 172,388 0.0%
CCR SA 1,910,468 10,384,279 0.2%
* Centrais Eletricas Brasileiras SA 368,500 2,736,043 0.1%
#* Centrais Eletricas Brasileiras SA ADR 86,923 753,622 0.0%
* Centrais Eletricas Brasileiras SA Sponsored ADR 100,200 740,478 0.0%
CETIP SA--Mercados Organizados 492,000 6,916,053 0.1%
Cia de Saneamento Basico do Estado de Sao Paulo 424,900 4,485,943 0.1%
Cia de Saneamento Basico do Estado de Sao Paulo ADR 178,668 1,879,587 0.0%
#* Cia Siderurgica Nacional SA Sponsored ADR 241,268 813,073 0.0%
Cielo SA 1,506,864 15,295,240 0.3%
* Cosan Logistica SA 164,136 253,506 0.0%
Cosan SA Industria e Comercio 209,443 2,816,195 0.1%
CPFL Energia SA 220,971 1,676,666 0.0%
# CPFL Energia SA ADR 67,189 1,021,266 0.0%
Embraer SA ADR 287,837 6,156,833 0.1%
Engie Brasil Energia SA 250,101 3,177,192 0.1%
Equatorial Energia SA 26,800 478,068 0.0%
Fibria Celulose SA Sponsored ADR 488,398 3,897,416 0.1%
Gerdau SA 195,832 496,942 0.0%
Gerdau SA Sponsored ADR 577,984 1,982,485 0.0%
Hypermarcas SA 561,762 4,709,508 0.1%
Itau Unibanco Holding SA 427,826 4,468,583 0.1%
JBS SA 2,515,848 7,653,159 0.2%
Klabin SA 996,400 5,134,956 0.1%
Kroton Educacional SA 2,220,459 11,060,557 0.2%
Lojas Americanas SA 297,764 1,460,835 0.0%
Lojas Renner SA 1,404,820 11,882,876 0.2%
M Dias Branco SA 40,100 1,712,416 0.0%
Multiplan Empreendimentos Imobiliarios SA 85,700 1,722,323 0.0%
Natura Cosmeticos SA 262,650 2,522,822 0.1%
* Petroleo Brasileiro SA 2,305,200 13,461,444 0.3%
* Petroleo Brasileiro SA Sponsored ADR 1,005,405 11,733,076 0.2%
Raia Drogasil SA 388,800 8,631,068 0.2%
Tim Participacoes SA 1,162,813 3,227,608 0.1%
Tim Participacoes SA ADR 63,679 881,954 0.0%
Ultrapar Participacoes SA 394,184 8,932,121 0.2%
Ultrapar Participacoes SA Sponsored ADR 254,308 5,747,361 0.1%
Vale SA 398,300 2,755,158 0.1%
Vale SA Sponsored ADR 1,209,916 8,372,619 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
BRAZIL -- (Continued)
WEG SA 808,815 $ 4,459,632 0.1%
------------ ---
TOTAL BRAZIL 293,310,552 5.9%
------------ ---
CHILE -- (1.4%)
AES Gener SA 3,240,232 1,103,250 0.0%
Aguas Andinas SA Class A 4,491,454 2,962,714 0.1%
Banco de Chile 1,408,402 168,084 0.0%
# Banco de Chile ADR 53,799 3,899,348 0.1%
Banco de Credito e Inversiones 74,477 3,802,832 0.1%
Banco Santander Chile ADR 258,123 5,898,110 0.1%
Cencosud SA 2,057,923 6,709,656 0.1%
Cencosud SA ADR 1,648 16,299 0.0%
Cia Cervecerias Unidas SA 109,017 1,170,834 0.0%
# Cia Cervecerias Unidas SA Sponsored ADR 66,158 1,422,397 0.0%
Colbun SA 11,492,940 2,516,276 0.1%
# Embotelladora Andina SA Class A ADR 22,244 499,378 0.0%
Embotelladora Andina SA Class B ADR 21,587 519,815 0.0%
Empresa Nacional de Electricidad SA Sponsored ADR 148,697 3,086,950 0.1%
Empresas CMPC SA 2,386,070 5,167,111 0.1%
Empresas COPEC SA 441,781 4,457,369 0.1%
Endesa Americas SA ADR 148,697 2,136,776 0.0%
Enersis Americas SA Sponsored ADR 610,581 5,293,737 0.1%
Enersis Chile SA 610,581 3,034,588 0.1%
Inversiones Aguas Metropolitanas SA 326,946 595,280 0.0%
# Itau CorpBanca(45033E105) 30,902 417,177 0.0%
Itau CorpBanca(BYT25P4) 305,068,641 2,763,633 0.1%
* Latam Airlines Group SA 8,686 83,636 0.0%
* Latam Airlines Group SA Sponsored ADR 607,719 5,828,025 0.1%
SACI Falabella 707,908 5,555,085 0.1%
Sociedad Quimica y Minera de Chile SA Sponsored ADR 153,936 4,504,167 0.1%
------------ ---
TOTAL CHILE 73,612,527 1.5%
------------ ---
CHINA -- (14.8%)
AAC Technologies Holdings, Inc. 634,000 6,040,719 0.1%
Agricultural Bank of China, Ltd. Class H 18,363,000 7,724,779 0.2%
Air China, Ltd. Class H 2,890,000 1,898,824 0.0%
* Alibaba Group Holding, Ltd. Sponsored ADR 117,902 11,989,454 0.2%
* Alibaba Health Information Technology, Ltd. 1,184,000 618,635 0.0%
#* Alibaba Pictures Group, Ltd. 8,470,000 1,667,269 0.0%
#* Aluminum Corp. of China, Ltd. ADR 107,180 1,009,636 0.0%
#* Aluminum Corp. of China, Ltd. Class H 650,000 241,424 0.0%
#* Angang Steel Co., Ltd. Class H 1,338,000 685,149 0.0%
# Anhui Conch Cement Co., Ltd. Class H 985,500 2,723,840 0.1%
# Anta Sports Products, Ltd. 891,000 2,569,487 0.1%
AviChina Industry & Technology Co., Ltd. Class H 2,765,000 1,876,410 0.0%
BAIC Motor Corp., Ltd. Class H 740,500 776,544 0.0%
* Baidu, Inc. Sponsored ADR 846 149,624 0.0%
Bank of China, Ltd. Class H 63,274,181 28,354,360 0.6%
Bank of Communications Co., Ltd. Class H 6,226,515 4,732,608 0.1%
# BBMG Corp. Class H 2,535,500 925,434 0.0%
Beijing Capital International Airport Co., Ltd. Class H 1,416,000 1,481,952 0.0%
Beijing Enterprises Holdings, Ltd. 468,472 2,341,344 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
# Beijing Enterprises Water Group, Ltd. 3,160,000 $ 2,285,780 0.1%
Belle International Holdings, Ltd. 8,013,000 4,838,906 0.1%
# Brilliance China Automotive Holdings, Ltd. 2,194,000 2,609,778 0.1%
#* Byd Co., Ltd. Class H 512,886 3,376,506 0.1%
# CGN Power Co., Ltd. Class H 6,045,000 1,764,835 0.0%
China Cinda Asset Management Co., Ltd. Class H 10,150,000 3,646,415 0.1%
China CITIC Bank Corp., Ltd. Class H 7,411,928 4,780,181 0.1%
#* China Coal Energy Co., Ltd. Class H 3,038,777 1,720,338 0.0%
China Communications Construction Co., Ltd. Class H 3,529,000 3,875,028 0.1%
China Communications Services Corp., Ltd. Class H 2,194,000 1,301,804 0.0%
China Conch Venture Holdings, Ltd. 838,500 1,565,315 0.0%
China Construction Bank Corp. Class H 69,895,590 51,041,026 1.0%
#* China COSCO Holdings Co., Ltd. Class H 1,197,000 412,450 0.0%
China Eastern Airlines Corp., Ltd. 2,200 49,742 0.0%
# China Eastern Airlines Corp., Ltd. Class H 1,734,000 778,530 0.0%
China Everbright Bank Co., Ltd. Class H 4,987,000 2,273,700 0.0%
# China Everbright International, Ltd. 2,508,000 2,998,141 0.1%
China Everbright, Ltd. 884,000 1,728,713 0.0%
# China Evergrande Group 10,542,000 6,939,114 0.1%
# China Galaxy Securities Co., Ltd. Class H 3,747,000 3,557,328 0.1%
# China Gas Holdings, Ltd. 1,362,000 2,073,139 0.0%
# China Hongqiao Group, Ltd. 2,662,000 2,378,735 0.1%
# China Huishan Dairy Holdings Co., Ltd. 2,888,000 1,071,973 0.0%
# China International Marine Containers Group Co., Ltd.
Class H 487,400 579,939 0.0%
# China Life Insurance Co., Ltd. ADR 849,036 10,485,595 0.2%
China Life Insurance Co., Ltd. Class H 111,000 274,806 0.0%
China Longyuan Power Group Corp., Ltd. Class H 3,255,000 2,481,769 0.1%
China Medical System Holdings, Ltd. 411,000 641,817 0.0%
China Mengniu Dairy Co., Ltd. 1,984,000 3,747,811 0.1%
China Merchants Bank Co., Ltd. Class H 3,120,554 7,588,404 0.2%
# China Merchants Port Holdings Co., Ltd. 1,560,099 4,033,516 0.1%
China Minsheng Banking Corp., Ltd. Class H 4,658,500 5,300,515 0.1%
China Mobile, Ltd. 172,500 1,976,228 0.0%
China Mobile, Ltd. Sponsored ADR 918,178 52,730,963 1.1%
China Molybdenum Co., Ltd. Class H 1,638,966 363,545 0.0%
# China Oilfield Services, Ltd. Class H 1,632,000 1,566,355 0.0%
China Overseas Land & Investment, Ltd. 3,356,000 10,302,545 0.2%
# China Overseas Property Holdings, Ltd. 1,459,999 295,998 0.0%
China Pacific Insurance Group Co., Ltd. Class H 1,547,400 5,578,980 0.1%
China Petroleum & Chemical Corp. ADR 132,615 9,603,957 0.2%
China Petroleum & Chemical Corp. Class H 11,600,800 8,389,703 0.2%
# China Railway Construction Corp., Ltd. Class H 2,743,500 3,429,436 0.1%
China Railway Group, Ltd. Class H 3,186,000 2,455,913 0.1%
* China Resources Beer Holdings Co., Ltd. 1,483,611 3,152,772 0.1%
China Resources Gas Group, Ltd. 690,000 2,163,544 0.0%
China Resources Land, Ltd. 3,234,666 8,033,394 0.2%
China Resources Power Holdings Co., Ltd. 1,954,517 3,311,656 0.1%
China Shenhua Energy Co., Ltd. Class H 1,817,000 3,767,044 0.1%
#* China Shipping Container Lines Co., Ltd. Class H 2,657,000 557,173 0.0%
China Shipping Development Co., Ltd. Class H 1,056,000 582,628 0.0%
# China Southern Airlines Co., Ltd. Class H 2,638,000 1,480,365 0.0%
China Southern Airlines Co., Ltd. Sponsored ADR 14,306 401,856 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
# China State Construction International Holdings, Ltd. 1,668,000 $ 2,433,358 0.1%
* China Taiping Insurance Holdings Co., Ltd. 1,654,506 3,184,382 0.1%
China Telecom Corp., Ltd. ADR 56,720 2,923,916 0.1%
China Telecom Corp., Ltd. Class H 4,088,000 2,107,620 0.0%
China Unicom Hong Kong, Ltd. 8,168,000 9,589,338 0.2%
China Unicom Hong Kong, Ltd. ADR 589,865 6,913,218 0.1%
China Vanke Co., Ltd. Class H 1,896,700 4,950,525 0.1%
Chongqing Rural Commercial Bank Co., Ltd. Class H 4,350,000 2,603,315 0.1%
CITIC Securities Co., Ltd. Class H 2,666,500 5,897,152 0.1%
CITIC, Ltd. 5,705,000 8,186,512 0.2%
CNOOC, Ltd. 5,051,000 6,355,542 0.1%
CNOOC, Ltd. Sponsored ADR 127,716 16,025,804 0.3%
# COSCO SHIPPING Ports, Ltd. 1,819,160 1,803,533 0.0%
Country Garden Holdings Co., Ltd. 9,884,686 5,129,825 0.1%
CRRC Corp, Ltd. Class H 3,040,000 2,752,511 0.1%
CSPC Pharmaceutical Group, Ltd. 3,398,000 3,518,341 0.1%
# CSSC Offshore and Marine Engineering Group Co., Ltd.
Class H 190,000 286,415 0.0%
# Dalian Port PDA Co., Ltd. Class H 1,495,000 269,174 0.0%
# Datang International Power Generation Co., Ltd. Class H 3,068,000 826,501 0.0%
Dongfang Electric Corp., Ltd. Class H 102,800 79,504 0.0%
Dongfeng Motor Group Co., Ltd. Class H 3,274,000 3,412,417 0.1%
ENN Energy Holdings, Ltd. 786,000 3,695,236 0.1%
Far East Horizon, Ltd. 87,000 79,242 0.0%
Fosun International, Ltd. 2,044,722 2,960,870 0.1%
# Fullshare Holdings, Ltd. 2,012,500 1,122,376 0.0%
Fuyao Glass Industry Group Co., Ltd. Class H 297,200 861,916 0.0%
# Geely Automobile Holdings, Ltd. 4,750,000 4,887,522 0.1%
GF Securities Co., Ltd. Class H 730,200 1,622,313 0.0%
Great Wall Motor Co., Ltd. Class H 3,142,000 3,066,426 0.1%
Guangdong Investment, Ltd. 2,736,000 4,125,150 0.1%
Guangshen Railway Co., Ltd. Class H 172,000 94,933 0.0%
Guangshen Railway Co., Ltd. Sponsored ADR 27,717 761,663 0.0%
Guangzhou Automobile Group Co., Ltd. Class H 974,259 1,176,527 0.0%
#* Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd.
Class H 98,000 231,510 0.0%
# Guangzhou R&F Properties Co., Ltd. Class H 2,458,800 3,465,272 0.1%
Haier Electronics Group Co., Ltd. 1,326,000 2,137,156 0.0%
Haitong Securities Co., Ltd. Class H 2,196,800 3,886,702 0.1%
* Hanergy Thin Film Power Group, Ltd. 5,416,000 143,983 0.0%
Hengan International Group Co., Ltd. 647,000 5,140,235 0.1%
# Huadian Power International Corp., Ltd. Class H 1,738,000 744,891 0.0%
Huaneng Power International, Inc. Class H 1,598,000 982,256 0.0%
# Huaneng Power International, Inc. Sponsored ADR 34,452 848,208 0.0%
Huaneng Renewables Corp., Ltd. Class H 2,940,000 985,139 0.0%
Huatai Securities Co., Ltd. Class H 933,000 1,969,613 0.0%
# Huishang Bank Corp., Ltd. Class H 1,038,000 498,487 0.0%
Industrial & Commercial Bank of China, Ltd. Class H 71,229,185 42,754,557 0.9%
Jiangsu Expressway Co., Ltd. Class H 1,356,000 1,843,662 0.0%
# Jiangxi Copper Co., Ltd. Class H 1,501,000 1,771,902 0.0%
# Kunlun Energy Co., Ltd. 6,128,000 4,617,239 0.1%
Lee & Man Paper Manufacturing, Ltd. 543,000 407,996 0.0%
Lenovo Group, Ltd. 9,299,278 5,956,958 0.1%
Longfor Properties Co., Ltd. 2,266,500 3,008,281 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
CHINA -- (Continued)
Metallurgical Corp. of China, Ltd. Class H 2,232,000 $ 725,745 0.0%
Minth Group, Ltd. 464,000 1,642,713 0.0%
New China Life Insurance Co., Ltd. Class H 540,400 2,333,451 0.1%
Nine Dragons Paper Holdings, Ltd. 1,012,000 822,769 0.0%
People's Insurance Co. Group of China, Ltd. (The)
Class H 9,338,000 3,710,278 0.1%
PetroChina Co., Ltd. ADR 125,562 8,504,314 0.2%
PetroChina Co., Ltd. Class H 2,090,000 1,430,051 0.0%
PICC Property & Casualty Co., Ltd. Class H 5,836,132 9,420,113 0.2%
Ping An Insurance Group Co. of China, Ltd. Class H 4,622,500 24,330,600 0.5%
* Qinqin Foodstuffs Group Cayman Co., Ltd. 64,400 22,212 0.0%
* Semiconductor Manufacturing International Corp. 28,401,000 3,439,580 0.1%
* Semiconductor Manufacturing International Corp. ADR 12,378 74,763 0.0%
#* Shanghai Electric Group Co., Ltd. Class H 1,582,000 730,435 0.0%
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 292,500 898,191 0.0%
Shanghai Pharmaceuticals Holding Co., Ltd. Class H 618,200 1,590,825 0.0%
# Shengjing Bank Co., Ltd. Class H 244,500 239,308 0.0%
# Shenzhou International Group Holdings, Ltd. 438,000 2,901,135 0.1%
Shimao Property Holdings, Ltd. 3,034,871 4,048,147 0.1%
Sino Biopharmaceutical, Ltd. 3,945,000 2,757,377 0.1%
Sino-Ocean Land Holdings, Ltd. 3,854,743 1,601,020 0.0%
Sinopec Engineering Group Co., Ltd. Class H 1,341,000 1,183,902 0.0%
#* Sinopec Oilfield Service Corp. Class H 1,818,000 376,824 0.0%
Sinopec Shanghai Petrochemical Co., Ltd. Class H 2,329,000 1,187,214 0.0%
Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 7,418 378,886 0.0%
Sinopharm Group Co., Ltd. Class H 1,224,000 5,943,743 0.1%
# Sun Art Retail Group, Ltd. 3,039,500 2,140,964 0.0%
Sunny Optical Technology Group Co., Ltd. 469,000 2,287,240 0.1%
Tencent Holdings, Ltd. 4,351,400 115,322,199 2.3%
# Tingyi Cayman Islands Holding Corp. 2,860,000 3,083,089 0.1%
# Travelsky Technology, Ltd. Class H 598,000 1,275,872 0.0%
# Tsingtao Brewery Co., Ltd. Class H 256,000 1,021,285 0.0%
Uni-President China Holdings, Ltd. 267,000 180,437 0.0%
# Want Want China Holdings, Ltd. 5,137,000 3,127,231 0.1%
Weichai Power Co., Ltd. Class H 1,708,400 2,577,263 0.1%
# Xinjiang Goldwind Science & Technology Co., Ltd.
Class H 346,600 477,839 0.0%
# Yanzhou Coal Mining Co., Ltd. Class H 718,000 531,747 0.0%
# Yanzhou Coal Mining Co., Ltd. Sponsored ADR 106,215 788,115 0.0%
Zhejiang Expressway Co., Ltd. Class H 1,570,000 1,643,710 0.0%
Zhuzhou CRRC Times Electric Co., Ltd. 447,000 2,161,402 0.0%
Zijin Mining Group Co., Ltd. Class H 3,699,000 1,175,598 0.0%
# Zoomlion Heavy Industry Science and Technology Co.,
Ltd. Class H 1,589,400 578,408 0.0%
# ZTE Corp. Class H 601,485 826,418 0.0%
------------ ----
TOTAL CHINA 754,742,733 15.1%
------------ ----
COLOMBIA -- (0.5%)
Banco de Bogota SA 35,006 722,757 0.0%
Bancolombia SA 331,749 2,923,842 0.1%
Bancolombia SA Sponsored ADR 140,271 5,369,574 0.1%
Cementos Argos SA 427,348 1,691,325 0.0%
* Cemex Latam Holdings SA 27,960 103,963 0.0%
Corp. Financiera Colombiana SA 68,065 843,919 0.0%
* Ecopetrol SA 2,862,362 1,247,080 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COLOMBIA -- (Continued)
#* Ecopetrol SA Sponsored ADR 220,479 $ 1,915,962 0.1%
Empresa de Energia de Bogota SA ESP 1,425,504 900,783 0.0%
Grupo Argos SA 46,275 300,109 0.0%
Grupo Aval Acciones y Valores SA 112,983 925,331 0.0%
Grupo de Inversiones Suramericana SA 250,201 3,226,972 0.1%
Grupo Nutresa SA 208,424 1,745,427 0.0%
Interconexion Electrica SA ESP 609,290 2,024,361 0.1%
----------- ---
TOTAL COLOMBIA 23,941,405 0.5%
----------- ---
CZECH REPUBLIC -- (0.2%)
CEZ A.S. 323,343 6,098,635 0.1%
Komercni banka A.S. 66,980 2,450,807 0.1%
O2 Czech Republic A.S. 43,037 394,835 0.0%
Pegas Nonwovens SA 5,839 187,327 0.0%
Philip Morris CR A.S. 712 351,705 0.0%
Unipetrol A.S. 45,807 342,493 0.0%
----------- ---
TOTAL CZECH REPUBLIC 9,825,802 0.2%
----------- ---
EGYPT -- (0.2%)
Commercial International Bank Egypt S.A.E. GDR 142,858 631,432 0.0%
Commercial International Bank Egypt SAE GDR 1,400,823 6,193,036 0.1%
* Egyptian Financial Group-Hermes Holding Co. GDR 774 1,424 0.0%
* Global Telecom Holding S.A.E. GDR 12,341 25,299 0.0%
* Global Telecom Holding SAE GDR 640,757 1,313,773 0.1%
----------- ---
TOTAL EGYPT 8,164,964 0.2%
----------- ---
GREECE -- (0.2%)
* Alpha Bank AE 105,217 179,907 0.0%
Athens Water Supply & Sewage Co. SA (The) 31,795 188,246 0.0%
* Eurobank Ergasias SA 331 196 0.0%
* FF Group 34,149 817,855 0.0%
* Hellenic Petroleum SA 112,224 513,144 0.0%
Hellenic Telecommunications Organization SA 340,319 3,120,813 0.1%
JUMBO SA 168,373 2,392,635 0.1%
Motor Oil Hellas Corinth Refineries SA 96,253 1,152,532 0.0%
* National Bank of Greece SA 128,189 26,217 0.0%
OPAP SA 278,698 2,377,029 0.0%
* Piraeus Bank SA 20,676 3,419 0.0%
Titan Cement Co. SA 61,385 1,425,784 0.0%
----------- ---
TOTAL GREECE 12,197,777 0.2%
----------- ---
HUNGARY -- (0.4%)
MOL Hungarian Oil & Gas P.L.C. 102,134 6,550,894 0.1%
OTP Bank P.L.C. 293,742 8,231,867 0.2%
Richter Gedeon Nyrt 216,026 4,637,459 0.1%
----------- ---
TOTAL HUNGARY 19,420,220 0.4%
----------- ---
INDIA -- (12.2%)
ABB India, Ltd. 33,317 548,711 0.0%
ACC, Ltd. 64,891 1,475,890 0.0%
Adani Ports & Special Economic Zone, Ltd. 807,107 3,681,907 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
* Aditya Birla Fashion and Retail, Ltd. 605,239 $ 1,484,799 0.0%
Aditya Birla Nuvo, Ltd. 132,730 2,763,883 0.1%
Amara Raja Batteries, Ltd. 79,101 1,220,001 0.0%
Ambuja Cements, Ltd. 1,004,466 3,605,556 0.1%
Apollo Hospitals Enterprise, Ltd. 129,365 2,601,098 0.1%
Ashok Leyland, Ltd. 1,810,886 2,479,257 0.1%
Asian Paints, Ltd. 474,671 7,648,270 0.2%
Aurobindo Pharma, Ltd. 625,132 7,668,604 0.2%
Axis Bank, Ltd. 2,033,467 14,847,464 0.3%
Bajaj Auto, Ltd. 155,378 6,591,289 0.1%
Bajaj Finance, Ltd. 382,190 6,182,417 0.1%
Bajaj Finserv, Ltd. 70,539 3,613,722 0.1%
Bajaj Holdings & Investment, Ltd. 54,452 1,809,007 0.0%
* Bank of Baroda 910,704 2,121,846 0.0%
Berger Paints India, Ltd. 331,080 1,283,796 0.0%
Bharat Electronics, Ltd. 51,903 1,031,249 0.0%
Bharat Forge, Ltd. 242,918 3,209,720 0.1%
Bharat Heavy Electricals, Ltd. 1,315,511 2,737,393 0.1%
Bharat Petroleum Corp., Ltd. 486,244 4,878,271 0.1%
Bharti Airtel, Ltd. 1,665,743 7,954,758 0.2%
Bharti Infratel, Ltd. 213,865 1,111,692 0.0%
Blue Dart Express, Ltd. 5,251 405,037 0.0%
Bosch, Ltd. 8,365 2,749,426 0.1%
Britannia Industries, Ltd. 26,712 1,328,354 0.0%
Cadila Healthcare, Ltd. 362,605 2,266,110 0.0%
Cairn India, Ltd. 655,103 2,208,795 0.0%
Castrol India, Ltd. 38,740 266,542 0.0%
Cipla, Ltd. 567,858 4,912,511 0.1%
Coal India, Ltd. 555,694 2,705,513 0.1%
Colgate-Palmolive India, Ltd. 142,544 2,071,205 0.0%
Container Corp. Of India, Ltd. 55,130 1,133,417 0.0%
CRISIL, Ltd. 7,945 266,405 0.0%
Cummins India, Ltd. 94,559 1,216,967 0.0%
Dabur India, Ltd. 743,476 3,247,646 0.1%
Divi's Laboratories, Ltd. 186,164 3,585,133 0.1%
DLF, Ltd. 371,230 836,822 0.0%
Dr Reddy's Laboratories, Ltd. 71,015 3,520,488 0.1%
# Dr Reddy's Laboratories, Ltd. ADR 148,465 7,317,840 0.1%
Eicher Motors, Ltd. 20,610 7,395,301 0.1%
Emami, Ltd. 90,332 1,620,641 0.0%
GAIL India, Ltd. 575,655 3,719,312 0.1%
GAIL India, Ltd. GDR 28,791 1,107,130 0.0%
Gillette India, Ltd. 3,761 241,332 0.0%
GlaxoSmithKline Consumer Healthcare, Ltd. 14,937 1,355,596 0.0%
GlaxoSmithKline Pharmaceuticals, Ltd. 13,217 583,261 0.0%
Glenmark Pharmaceuticals, Ltd. 316,017 4,436,557 0.1%
Godrej Consumer Products, Ltd. 168,863 4,044,909 0.1%
Grasim Industries, Ltd. 31,500 456,523 0.0%
Havells India, Ltd. 407,089 2,485,217 0.1%
HCL Technologies, Ltd. 1,011,418 11,624,140 0.2%
HDFC Bank, Ltd. 1,441,144 27,008,537 0.5%
Hero MotoCorp, Ltd. 156,516 7,856,178 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Hindalco Industries, Ltd. 1,549,771 $ 3,477,334 0.1%
Hindustan Petroleum Corp., Ltd. 346,890 2,424,970 0.0%
Hindustan Unilever, Ltd. 1,148,145 14,436,837 0.3%
Housing Development Finance Corp., Ltd. 1,095,932 22,624,895 0.5%
ICICI Bank, Ltd. 1,656,257 6,884,121 0.1%
ICICI Bank, Ltd. Sponsored ADR 1,043,395 8,649,745 0.2%
Idea Cellular, Ltd. 2,689,000 3,093,726 0.1%
IDFC Bank, Ltd. 601,656 718,573 0.0%
Indiabulls Housing Finance, Ltd. 567,836 7,208,167 0.1%
Indian Oil Corp., Ltd. 1,284,042 6,220,951 0.1%
IndusInd Bank, Ltd. 390,301 6,997,404 0.1%
Infosys, Ltd. 1,886,232 28,287,791 0.6%
Infosys, Ltd. Sponsored ADR 847,888 12,938,771 0.3%
ITC, Ltd. 4,896,443 17,714,670 0.4%
JSW Energy, Ltd. 12,270 12,088 0.0%
JSW Steel, Ltd. 365,609 9,053,465 0.2%
Kansai Nerolac Paints, Ltd. 4,919 28,329 0.0%
Kotak Mahindra Bank, Ltd. 541,230 6,634,161 0.1%
Larsen & Toubro, Ltd. 363,180 8,021,725 0.2%
LIC Housing Finance, Ltd. 847,563 7,476,586 0.2%
Lupin, Ltd. 355,461 8,093,933 0.2%
Mahindra & Mahindra Financial Services, Ltd. 268,646 1,452,867 0.0%
Mahindra & Mahindra, Ltd. 682,599 13,437,352 0.3%
Marico, Ltd. 748,884 3,115,122 0.1%
Maruti Suzuki India, Ltd. 138,331 12,236,568 0.2%
Max Financial Services, Ltd. 48,633 408,775 0.0%
* MAX India, Ltd. 65,990 140,366 0.0%
Motherson Sumi Systems, Ltd. 542,274 2,694,371 0.1%
MRF, Ltd. 2,969 2,126,088 0.0%
Nestle India, Ltd. 37,106 3,853,815 0.1%
NHPC, Ltd. 2,310,835 924,112 0.0%
NTPC, Ltd. 1,434,092 3,227,589 0.1%
Oil & Natural Gas Corp., Ltd. 989,305 4,276,725 0.1%
Oil India, Ltd. 221,777 1,381,098 0.0%
Oracle Financial Services Software, Ltd. 27,493 1,321,912 0.0%
Page Industries, Ltd. 9,049 2,230,809 0.0%
Petronet LNG, Ltd. 405,630 2,359,130 0.0%
Pidilite Industries, Ltd. 196,824 2,141,161 0.0%
Piramal Enterprises, Ltd. 114,581 3,098,971 0.1%
Power Finance Corp., Ltd. 1,604,279 3,001,688 0.1%
Power Grid Corp. of India, Ltd. 1,599,407 4,183,823 0.1%
Procter & Gamble Hygiene & Health Care, Ltd. 10,286 1,082,878 0.0%
* Punjab National Bank 308,644 671,550 0.0%
Rajesh Exports, Ltd. 117,218 842,836 0.0%
Reliance Industries, Ltd. 1,625,226 25,537,646 0.5%
Rural Electrification Corp., Ltd. 1,513,852 3,060,642 0.1%
Shree Cement, Ltd. 10,928 2,763,220 0.1%
Shriram Transport Finance Co., Ltd. 268,934 4,389,860 0.1%
Siemens, Ltd. 65,181 1,160,631 0.0%
State Bank of India 1,858,229 7,161,503 0.1%
Sun Pharmaceutical Industries, Ltd. 1,256,320 14,092,236 0.3%
Sun TV Network, Ltd. 204,506 1,676,904 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
Sundaram Finance, Ltd. 13,385 $ 279,303 0.0%
Tata Consultancy Services, Ltd. 720,066 25,774,900 0.5%
Tata Motors, Ltd. 1,952,358 15,521,888 0.3%
Tata Motors, Ltd. Sponsored ADR 84,855 3,344,136 0.1%
Tata Power Co., Ltd. 2,105,165 2,460,232 0.1%
Tata Steel, Ltd. 683,642 4,145,374 0.1%
Tech Mahindra, Ltd. 955,950 6,309,759 0.1%
Titan Co., Ltd. 329,228 1,879,343 0.0%
Torrent Pharmaceuticals, Ltd. 94,358 1,999,652 0.0%
Ultratech Cement, Ltd. 43,023 2,558,261 0.1%
United Breweries, Ltd. 96,720 1,265,468 0.0%
* United Spirits, Ltd. 58,173 1,973,665 0.0%
UPL, Ltd. 812,040 8,451,290 0.2%
Vedanta, Ltd. 3,139,759 9,528,024 0.2%
Vedanta, Ltd. ADR 42,052 507,147 0.0%
Wipro, Ltd. 742,954 5,178,816 0.1%
Yes Bank, Ltd. 271,196 5,134,197 0.1%
Zee Entertainment Enterprises, Ltd. 719,876 5,585,410 0.1%
------------ ----
TOTAL INDIA 619,470,800 12.4%
------------ ----
INDONESIA -- (3.2%)
Adaro Energy Tbk PT 37,523,800 4,555,420 0.1%
AKR Corporindo Tbk PT 1,809,000 981,983 0.0%
Astra Agro Lestari Tbk PT 1,223,444 1,429,461 0.0%
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%
Bank Danamon Indonesia Tbk PT 5,763,579 1,704,546 0.0%
Bank Mandiri Persero Tbk PT 11,912,417 10,493,037 0.2%
Bank Negara Indonesia Persero Tbk PT 14,471,622 6,178,124 0.1%
Bank Rakyat Indonesia Persero Tbk PT 15,742,100 14,699,491 0.3%
* Bayan Resources Tbk PT 79,500 39,689 0.0%
Bumi Serpong Damai Tbk PT 15,448,500 2,563,205 0.1%
Chandra Asri Petrochemical Tbk PT 22,300 30,517 0.0%
Charoen Pokphand Indonesia Tbk PT 10,504,800 2,972,925 0.1%
Ciputra Development Tbk PT 12,934,246 1,565,212 0.0%
Gudang Garam Tbk PT 675,500 3,514,640 0.1%
Indocement Tunggal Prakarsa Tbk PT 2,000,200 2,518,471 0.1%
Indofood CBP Sukses Makmur Tbk PT 3,456,800 2,490,001 0.0%
Indofood Sukses Makmur Tbk PT 11,903,400 7,739,333 0.2%
* Indosat Tbk PT 1,720,800 870,371 0.0%
Jasa Marga Persero Tbk PT 3,626,900 1,258,122 0.0%
Kalbe Farma Tbk PT 32,614,300 4,345,874 0.1%
Lippo Karawaci Tbk PT 1,007,600 69,699 0.0%
Matahari Department Store Tbk PT 1,745,400 2,407,014 0.0%
Mayora Indah Tbk PT 21,553,325 2,508,882 0.1%
Media Nusantara Citra Tbk PT 12,764,400 2,053,087 0.0%
Mitra Keluarga Karyasehat Tbk PT 353,900 75,393 0.0%
Pakuwon Jati Tbk PT 58,500,300 3,227,700 0.1%
Perusahaan Gas Negara Persero Tbk 13,675,600 2,678,753 0.1%
Semen Indonesia Persero Tbk PT 6,596,100 4,971,885 0.1%
* Sinar Mas Agro Resources & Technology Tbk PT 1,116,500 385,801 0.0%
Summarecon Agung Tbk PT 21,107,600 2,666,333 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDONESIA -- (Continued)
Surya Citra Media Tbk PT 10,406,100 $ 2,113,381 0.0%
Telekomunikasi Indonesia Persero Tbk PT 39,175,700 12,648,802 0.3%
Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 196,768 6,392,992 0.1%
Tower Bersama Infrastructure Tbk PT 2,884,000 1,320,229 0.0%
Unilever Indonesia Tbk PT 2,121,800 7,230,608 0.1%
United Tractors Tbk PT 5,132,496 8,490,335 0.2%
Waskita Karya Persero Tbk PT 6,283,179 1,261,156 0.0%
* XL Axiata Tbk PT 7,703,800 1,298,921 0.0%
------------ ---
TOTAL INDONESIA 165,036,560 3.3%
------------ ---
MALAYSIA -- (3.5%)
Affin Holdings Bhd 871,200 456,626 0.0%
Alliance Financial Group Bhd 1,998,100 1,900,697 0.0%
AMMB Holdings Bhd 5,557,859 5,564,744 0.1%
Astro Malaysia Holdings Bhd 2,488,700 1,691,110 0.0%
# Axiata Group Bhd 3,906,251 4,579,762 0.1%
Batu Kawan Bhd 105,400 460,047 0.0%
* Berjaya Land Bhd 43,000 6,154 0.0%
BIMB Holdings Bhd 1,143,255 1,199,452 0.0%
Boustead Holdings Bhd 330,600 172,564 0.0%
British American Tobacco Malaysia Bhd 212,600 2,510,142 0.1%
Bursa Malaysia Bhd 53,800 110,904 0.0%
# CIMB Group Holdings Bhd 6,513,512 7,802,990 0.2%
Dialog Group Bhd 4,981,118 1,839,137 0.0%
DiGi.Com Bhd 5,805,020 6,961,651 0.1%
Felda Global Ventures Holdings Bhd 379,100 181,544 0.0%
Gamuda Bhd 2,395,200 2,805,453 0.1%
Genting Bhd 4,187,100 7,824,374 0.2%
Genting Malaysia Bhd 3,837,600 4,355,264 0.1%
Genting Plantations Bhd 325,000 851,915 0.0%
# HAP Seng Consolidated Bhd 1,066,700 1,981,807 0.0%
# Hartalega Holdings Bhd 1,084,200 1,266,033 0.0%
Hong Leong Bank Bhd 1,040,166 3,299,929 0.1%
Hong Leong Financial Group Bhd 744,483 2,789,031 0.1%
IHH Healthcare Bhd 2,243,200 3,421,189 0.1%
IJM Corp. Bhd 7,006,462 5,513,528 0.1%
IOI Corp. Bhd 4,711,405 5,049,897 0.1%
IOI Properties Group Bhd 2,441,943 1,423,041 0.0%
Kuala Lumpur Kepong Bhd 504,800 2,882,141 0.1%
# Lafarge Malaysia Bhd 659,480 1,272,405 0.0%
# Malayan Banking Bhd 6,090,245 11,466,854 0.2%
# Malaysia Airports Holdings Bhd 1,492,441 2,356,728 0.1%
# Maxis Bhd 2,881,400 4,093,381 0.1%
MISC Bhd 1,581,998 2,835,687 0.1%
# MMC Corp. Bhd 1,978,300 1,127,971 0.0%
Nestle Malaysia Bhd 3,400 63,502 0.0%
Oriental Holdings Bhd 16,600 27,581 0.0%
# Petronas Chemicals Group Bhd 3,567,800 5,951,706 0.1%
Petronas Dagangan Bhd 367,500 2,046,375 0.0%
Petronas Gas Bhd 890,500 4,662,985 0.1%
PPB Group Bhd 900,800 3,461,061 0.1%
Public Bank Bhd 3,537,614 16,744,498 0.3%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
QL Resources Bhd 619,700 $ 652,965 0.0%
RHB Bank Bhd 1,537,905 1,770,876 0.0%
#* Sapurakencana Petroleum Bhd 10,900,700 4,191,287 0.1%
Sime Darby Bhd 3,639,627 7,107,728 0.2%
# SP Setia Bhd Group 1,112,829 929,882 0.0%
Sunway Bhd 1,710,000 1,271,750 0.0%
Telekom Malaysia Bhd 1,435,664 2,236,746 0.1%
Tenaga Nasional Bhd 4,375,250 14,949,608 0.3%
# Top Glove Corp. Bhd 908,900 1,071,779 0.0%
# UMW Holdings Bhd 1,515,766 2,147,316 0.1%
United Plantations Bhd 61,000 405,525 0.0%
Westports Holdings Bhd 1,509,000 1,586,510 0.0%
YTL Corp. Bhd 16,425,686 6,227,716 0.1%
YTL Power International Bhd 3,177,547 1,158,472 0.0%
------------ ---
TOTAL MALAYSIA 180,720,020 3.6%
------------ ---
MEXICO -- (5.0%)
# Alfa S.A.B. de C.V. Class A 8,197,783 12,439,152 0.3%
# Alpek S.A.B. de C.V. 103,669 154,344 0.0%
America Movil S.A.B. de C.V. Series L 46,329,297 30,688,471 0.6%
America Movil S.A.B. de C.V. Series L ADR 22,528 296,018 0.0%
Arca Continental S.A.B. de C.V. 688,801 4,280,544 0.1%
* Cemex S.A.B. de C.V. 10,756,423 9,304,667 0.2%
* Cemex S.A.B. de C.V. Sponsored ADR 1,691,964 14,686,248 0.3%
Coca-Cola Femsa S.A.B. de C.V. Series L 510,276 3,831,457 0.1%
# Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 36,634 2,747,916 0.1%
* Corp Interamericana de Entretenimiento S.A.B. de C.V.
Class B 8,726 8,310 0.0%
# El Puerto de Liverpool S.A.B. de C.V. Class C1 185,660 1,952,470 0.0%
# Fomento Economico Mexicano S.A.B. de C.V. 1,793,669 17,198,383 0.3%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 39,796 3,807,283 0.1%
# Gruma S.A.B. de C.V. Class B 541,859 7,532,302 0.2%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 15,027 1,452,059 0.0%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 469,811 4,538,780 0.1%
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 32,867 5,225,853 0.1%
# Grupo Bimbo S.A.B. de C.V. Series A 2,572,025 6,934,575 0.1%
# Grupo Carso S.A.B. de C.V. Series A1 924,248 4,039,092 0.1%
# Grupo Elektra S.A.B. de C.V. 88,461 1,224,067 0.0%
# Grupo Financiero Banorte S.A.B. de C.V. Class O 4,609,848 27,194,225 0.6%
Grupo Financiero Inbursa S.A.B. de C.V. Class O 3,623,431 5,904,538 0.1%
# Grupo Financiero Santander Mexico S.A.B. de C.V.
Class B 3,362,943 6,090,341 0.1%
Grupo Financiero Santander Mexico S.A.B. de C.V.
Class B ADR 64,027 579,444 0.0%
# Grupo Lala S.A.B. de C.V. 1,018,201 1,893,538 0.0%
Grupo Mexico S.A.B. de C.V. Series B 6,058,822 14,873,781 0.3%
* Grupo Qumma SA de C.V. Series B 1,591 -- 0.0%
# Grupo Televisa S.A.B. Series CPO 3,356,577 16,490,754 0.3%
Grupo Televisa S.A.B. Sponsored ADR 148,075 3,632,280 0.1%
#* Impulsora del Desarrollo y El Empleo en America Latina
S.A.B. de C.V. 2,362,916 3,206,645 0.1%
# Industrias Penoles S.A.B. de C.V. 252,581 6,110,400 0.1%
# Infraestructura Energetica Nova S.A.B. de C.V. 410,039 1,811,452 0.0%
Kimberly-Clark de Mexico S.A.B. de C.V. Class A 2,348,560 5,060,941 0.1%
#* La Comer S.A.B. de C.V. 732,725 672,598 0.0%
Megacable Holdings S.A.B. de C.V. 89,863 328,910 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MEXICO -- (Continued)
Mexichem S.A.B. de C.V. 2,819,937 $ 6,739,144 0.1%
* Minera Frisco S.A.B. de C.V. Class A1 10,368 8,053 0.0%
* Organizacion Soriana S.A.B. de C.V. Class B 1,102,476 2,996,360 0.1%
Promotora y Operadora de Infraestructura S.A.B. de C.V. 389,314 4,342,990 0.1%
* Savia SA Class A 120,000 -- 0.0%
#* Telesites S.A.B. de C.V. 156,246 90,105 0.0%
Wal-Mart de Mexico S.A.B. de C.V. 7,054,235 14,921,344 0.3%
------------ ---
TOTAL MEXICO 255,289,834 5.1%
------------ ---
PERU -- (0.3%)
# Cementos Pacasmayo SAA ADR 11,559 110,504 0.0%
* Cia de Minas Buenaventura SAA ADR 139,674 1,856,267 0.1%
Credicorp, Ltd. 78,885 11,728,622 0.2%
Grana y Montero SAA Sponsored ADR 90,090 751,351 0.0%
------------ ---
TOTAL PERU 14,446,744 0.3%
------------ ---
PHILIPPINES -- (1.7%)
Aboitiz Equity Ventures, Inc. 2,259,870 3,638,037 0.1%
Aboitiz Power Corp. 2,462,500 2,332,467 0.1%
Alliance Global Group, Inc. 7,852,800 2,311,646 0.0%
Ayala Corp. 284,537 4,905,471 0.1%
Ayala Land, Inc. 9,207,218 6,886,928 0.1%
Bank of the Philippine Islands 1,219,273 2,544,235 0.1%
BDO Unibank, Inc. 2,525,651 5,882,134 0.1%
DMCI Holdings, Inc. 10,645,700 2,745,081 0.1%
* DoubleDragon Properties Corp. 297,600 342,467 0.0%
Emperador, Inc. 1,850,900 276,795 0.0%
Energy Development Corp. 26,284,600 3,201,111 0.1%
* Fwbc Holdings, Inc. 2,006,957 -- 0.0%
Globe Telecom, Inc. 54,925 2,020,157 0.0%
GT Capital Holdings, Inc. 131,905 3,564,986 0.1%
International Container Terminal Services, Inc. 1,287,400 2,066,847 0.0%
JG Summit Holdings, Inc. 1,833,830 2,872,928 0.1%
Jollibee Foods Corp. 695,840 3,417,295 0.1%
LT Group, Inc. 4,344,100 1,295,103 0.0%
Manila Electric Co. 348,700 1,988,999 0.0%
Megaworld Corp. 23,849,800 1,976,890 0.0%
Metro Pacific Investments Corp. 24,178,700 3,600,509 0.1%
Metropolitan Bank & Trust Co. 1,097,655 1,843,383 0.0%
Philippine National Bank 272,898 326,599 0.0%
PLDT, Inc. 100,220 3,162,770 0.1%
PLDT, Inc. Sponsored ADR 50,043 1,591,367 0.0%
Puregold Price Club, Inc. 1,510,400 1,271,475 0.0%
Robinsons Land Corp. 3,988,000 2,549,273 0.1%
Robinsons Retail Holdings, Inc. 373,260 595,414 0.0%
San Miguel Corp. 1,333,180 2,218,132 0.0%
Security Bank Corp. 174,300 793,445 0.0%
Semirara Mining & Power Corp. 529,000 1,376,073 0.0%
SM Investments Corp. 282,933 3,922,048 0.1%
SM Prime Holdings, Inc. 8,486,110 4,712,141 0.1%
* Top Frontier Investment Holdings, Inc. 42,789 207,266 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
PHILIPPINES -- (Continued)
Universal Robina Corp. 1,282,840 $ 4,820,629 0.1%
----------- ---
TOTAL PHILIPPINES 87,260,101 1.7%
----------- ---
POLAND -- (1.4%)
* Alior Bank SA 133,578 1,608,143 0.0%
Bank Handlowy w Warszawie SA 44,679 884,899 0.0%
* Bank Millennium SA 1,019,364 1,500,308 0.0%
Bank Pekao SA 121,618 3,753,628 0.1%
Bank Zachodni WBK SA 50,450 4,076,453 0.1%
Budimex SA 505 26,203 0.0%
CCC SA 31,719 1,609,579 0.0%
* Cyfrowy Polsat SA 393,451 2,431,604 0.1%
* Enea SA 208,986 535,338 0.0%
Eurocash SA 127,351 1,289,754 0.0%
Grupa Azoty SA 78,276 1,246,690 0.0%
* Grupa Lotos SA 175,161 1,518,742 0.0%
ING Bank Slaski SA 39,956 1,466,699 0.0%
Kernel Holding SA 2,130 34,084 0.0%
KGHM Polska Miedz SA 406,726 7,382,250 0.2%
# LPP SA 1,669 2,506,774 0.1%
* mBank SA 26,866 2,426,056 0.1%
Orange Polska SA 1,116,971 1,594,730 0.0%
PGE Polska Grupa Energetyczna SA 2,683,831 7,031,896 0.2%
# Polski Koncern Naftowy Orlen SA 649,675 12,871,577 0.3%
Polskie Gornictwo Naftowe i Gazownictwo SA 2,283,734 2,923,663 0.1%
Powszechna Kasa Oszczednosci Bank Polski SA 964,323 6,755,305 0.1%
Powszechny Zaklad Ubezpieczen SA 808,411 5,613,023 0.1%
* Synthos SA 889,961 1,077,153 0.0%
* Tauron Polska Energia SA 2,110,398 1,426,081 0.0%
----------- ---
TOTAL POLAND 73,590,632 1.5%
----------- ---
RUSSIA -- (1.8%)
Gazprom PJSC Sponsored ADR 4,944,295 21,319,197 0.4%
* Lenta, Ltd. GDR(BJ621Y903) 30,830 223,315 0.0%
* Lenta, Ltd. GDR(52634T200) 44,277 321,451 0.0%
Lukoil PJSC Sponsored ADR 257,005 12,501,317 0.3%
Magnitogorsk Iron & Steel OJSC GDR 197,103 1,294,772 0.0%
* Mail.Ru Group, Ltd. GDR(B53NQB903) 41,223 674,721 0.0%
* Mail.Ru Group, Ltd. GDR(560317208) 15,547 254,504 0.0%
MegaFon PJSC GDR 139,778 1,331,248 0.0%
MMC Norilsk Nickel PJSC ADR 406,377 6,129,575 0.1%
NOVATEK OJSC GDR 61,847 6,594,215 0.1%
Novolipetsk Steel PJSC GDR 123,601 2,003,137 0.0%
PhosAgro PJSC GDR 74,421 922,751 0.0%
Rosneft PJSC GDR 833,683 4,533,703 0.1%
Rostelecom PJSC Sponsored ADR(B114RM901) 78,867 579,822 0.0%
Rostelecom PJSC Sponsored ADR(778529107) 2,291 17,022 0.0%
RusHydro PJSC ADR(782183404) 12,131 15,164 0.0%
RusHydro PJSC ADR(BYZ5W4903) 1,329,772 1,619,697 0.0%
Sberbank of Russia PJSC Sponsored ADR 1,818,206 17,220,575 0.4%
Severstal PJSC GDR 216,701 3,055,762 0.1%
Tatneft PJSC Sponsored ADR 259,605 8,664,911 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
RUSSIA -- (Continued)
VTB Bank PJSC GDR(B1W7FX909) 1,358,280 $ 2,838,930 0.1%
VTB Bank PJSC GDR(46630Q202) 130,253 272,750 0.0%
----------- ---
TOTAL RUSSIA 92,388,539 1.8%
----------- ---
SOUTH AFRICA -- (7.9%)
#* African Bank Investments, Ltd. 709,671 266 0.0%
* Anglo American Platinum, Ltd. 124,586 2,945,672 0.1%
* AngloGold Ashanti, Ltd. Sponsored ADR 1,637,102 22,493,782 0.5%
Aspen Pharmacare Holdings, Ltd. 447,818 9,755,540 0.2%
AVI, Ltd. 175,886 1,235,490 0.0%
Barclays Africa Group, Ltd. 1,084,401 12,583,876 0.3%
Bid Corp., Ltd. 778,465 13,670,249 0.3%
# Bidvest Group, Ltd. (The) 778,465 9,671,778 0.2%
* Brait SE 232,213 1,541,204 0.0%
Capitec Bank Holdings, Ltd. 88,443 4,489,657 0.1%
Discovery, Ltd. 723,139 6,181,333 0.1%
Distell Group, Ltd. 70,509 865,496 0.0%
FirstRand, Ltd. 4,730,180 16,961,318 0.3%
Gold Fields, Ltd. Sponsored ADR 2,642,178 10,965,039 0.2%
* Impala Platinum Holdings, Ltd. 613,363 2,478,386 0.1%
Imperial Holdings, Ltd. 618,348 7,810,163 0.2%
Investec, Ltd. 841,341 5,181,579 0.1%
#* Kumba Iron Ore, Ltd. 96,985 987,664 0.0%
Liberty Holdings, Ltd. 457,733 3,940,919 0.1%
Life Healthcare Group Holdings, Ltd. 2,602,500 6,952,846 0.1%
MMI Holdings, Ltd. 3,545,776 5,939,670 0.1%
Mondi, Ltd. 273,651 5,345,346 0.1%
Mr. Price Group, Ltd. 545,010 6,209,039 0.1%
MTN Group, Ltd. 2,516,919 21,739,475 0.4%
Naspers, Ltd. Class N 370,571 62,063,317 1.2%
Nedbank Group, Ltd. 634,489 10,385,957 0.2%
Netcare, Ltd. 2,630,152 6,754,424 0.1%
New Europe Property Investments P.L.C. 103,926 1,280,834 0.0%
# Pick n Pay Stores, Ltd. 473,477 2,319,845 0.0%
Pioneer Foods Group, Ltd. 225,369 2,715,181 0.1%
PSG Group, Ltd. 161,662 2,523,205 0.1%
Sanlam, Ltd. 2,999,830 14,530,277 0.3%
* Sappi, Ltd. 1,031,164 5,737,663 0.1%
Sasol, Ltd. 130,693 3,609,086 0.1%
Sasol, Ltd. Sponsored ADR 778,314 21,411,418 0.4%
Shoprite Holdings, Ltd. 951,195 14,037,192 0.3%
Sibanye Gold, Ltd. 118,491 329,614 0.0%
Sibanye Gold, Ltd. Sponsored ADR 89,285 999,992 0.0%
SPAR Group, Ltd. (The) 284,382 4,031,925 0.1%
Standard Bank Group, Ltd. 2,023,352 21,478,453 0.4%
Steinhoff International Holdings NV 3,453,813 18,632,175 0.4%
Telkom SA SOC, Ltd. 527,733 2,432,582 0.1%
Tiger Brands, Ltd. 264,186 7,523,070 0.2%
# Truworths International, Ltd. 973,557 5,165,314 0.1%
Tsogo Sun Holdings, Ltd. 311,671 708,637 0.0%
Vodacom Group, Ltd. 520,334 5,613,856 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH AFRICA -- (Continued)
Woolworths Holdings, Ltd. 1,765,305 $ 10,223,820 0.2%
------------ ---
TOTAL SOUTH AFRICA 404,453,624 8.1%
------------ ---
SOUTH KOREA -- (14.3%)
Amorepacific Corp. 38,725 12,132,491 0.2%
AMOREPACIFIC Group 35,323 4,559,815 0.1%
# BGF retail Co., Ltd. 5,475 831,439 0.0%
# BNK Financial Group, Inc. 597,367 4,842,102 0.1%
#* Celltrion, Inc. 65,022 6,023,976 0.1%
Cheil Worldwide, Inc. 73,456 1,087,227 0.0%
# CJ CGV Co., Ltd. 16,235 960,400 0.0%
CJ CheilJedang Corp. 16,081 4,905,925 0.1%
CJ Corp. 27,709 4,218,539 0.1%
CJ E&M Corp. 19,443 1,185,985 0.0%
#* CJ Korea Express Corp. 4,508 791,525 0.0%
#* Com2uSCorp 9,584 794,084 0.0%
Coway Co., Ltd. 70,382 5,505,544 0.1%
Cuckoo Electronics Co., Ltd. 304 35,027 0.0%
Daelim Industrial Co., Ltd. 45,910 3,271,689 0.1%
* Daewoo Engineering & Construction Co., Ltd. 133,508 736,359 0.0%
* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 165,407 647,606 0.0%
DGB Financial Group, Inc. 246,269 2,062,896 0.0%
Dongbu Insurance Co., Ltd. 80,628 5,001,632 0.1%
Dongsuh Cos Inc. 21,475 508,868 0.0%
# Dongwon Systems Corp. 3,309 161,357 0.0%
Doosan Corp. 21,369 1,912,055 0.0%
# Doosan Heavy Industries & Construction Co., Ltd. 102,105 2,329,559 0.1%
E-MART, Inc. 28,588 4,053,781 0.1%
Grand Korea Leisure Co., Ltd. 38,572 731,917 0.0%
# Green Cross Corp. 3,906 475,633 0.0%
# Green Cross Holdings Corp. 18,294 354,361 0.0%
#* GS Engineering & Construction Corp. 78,050 1,821,943 0.0%
GS Holdings Corp. 140,420 6,247,082 0.1%
GS Retail Co., Ltd. 21,329 908,485 0.0%
Hana Financial Group, Inc. 477,076 13,645,411 0.3%
Hankook Tire Co., Ltd. 166,875 8,013,518 0.2%
# Hanmi Pharm Co., Ltd. 3,458 1,091,833 0.0%
# Hanmi Science Co., Ltd. 9,206 610,660 0.0%
Hanon Systems 189,125 1,768,372 0.0%
# Hanssem Co., Ltd. 12,225 1,893,352 0.0%
Hanwha Chemical Corp. 126,292 2,973,494 0.1%
Hanwha Corp. 104,017 3,387,666 0.1%
Hanwha Life Insurance Co., Ltd. 395,871 2,161,261 0.1%
Hanwha Techwin Co., Ltd. 38,062 2,114,207 0.0%
# Hite Jinro Co., Ltd. 45,529 875,106 0.0%
# Hotel Shilla Co., Ltd. 38,111 1,906,306 0.0%
# Hyosung Corp. 58,732 6,860,770 0.1%
Hyundai Department Store Co., Ltd. 23,924 2,454,341 0.1%
Hyundai Development Co-Engineering & Construction 58,468 2,472,471 0.1%
* Hyundai Elevator Co., Ltd. 10,664 521,169 0.0%
Hyundai Engineering & Construction Co., Ltd. 140,523 5,075,775 0.1%
Hyundai Glovis Co., Ltd. 23,344 3,533,601 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
Hyundai Greenfood Co., Ltd. 44,457 $ 650,545 0.0%
#* Hyundai Heavy Industries Co., Ltd. 68,236 8,653,710 0.2%
Hyundai Home Shopping Network Corp. 1,639 162,491 0.0%
Hyundai Marine & Fire Insurance Co., Ltd. 158,591 4,895,287 0.1%
* Hyundai Mipo Dockyard Co., Ltd. 285 17,437 0.0%
Hyundai Mobis Co., Ltd. 58,324 13,910,754 0.3%
Hyundai Motor Co. 175,874 21,472,355 0.4%
Hyundai Steel Co. 164,371 7,082,727 0.1%
Hyundai Wia Corp. 27,791 1,906,535 0.0%
Industrial Bank of Korea 468,370 5,391,450 0.1%
# Kakao Corp. 15,117 1,008,008 0.0%
Kangwon Land, Inc. 95,731 3,172,696 0.1%
KB Financial Group, Inc. 441,762 16,352,604 0.3%
KB Financial Group, Inc. ADR 103,883 3,841,593 0.1%
KB Insurance Co., Ltd. 90,026 2,275,165 0.1%
KCC Corp. 7,792 2,750,995 0.1%
KEPCO Plant Service & Engineering Co., Ltd. 27,560 1,321,181 0.0%
Kia Motors Corp. 293,465 10,420,566 0.2%
# KIWOOM Securities Co., Ltd. 2,995 173,545 0.0%
Kolon Industries, Inc. 18,825 1,222,880 0.0%
#* Komipharm International Co., Ltd. 7,839 264,830 0.0%
Korea Aerospace Industries, Ltd. 61,734 3,486,796 0.1%
Korea Electric Power Corp. 220,479 9,538,061 0.2%
Korea Electric Power Corp. Sponsored ADR 79,658 1,737,341 0.0%
Korea Gas Corp. 40,921 1,653,977 0.0%
Korea Investment Holdings Co., Ltd. 61,753 2,210,996 0.1%
Korea Kolmar Co., Ltd. 17,594 1,251,850 0.0%
Korea Petrochemical Ind Co., Ltd. 463 82,536 0.0%
Korea Zinc Co., Ltd. 7,147 2,837,852 0.1%
* Korean Air Lines Co., Ltd. 93,709 2,619,458 0.1%
Korean Reinsurance Co. 24,163 249,013 0.0%
# KT Corp. Sponsored ADR 95,200 1,522,248 0.0%
KT&G Corp. 132,438 13,062,375 0.3%
Kumho Petrochemical Co., Ltd. 20,929 1,278,891 0.0%
#* Kumho Tire Co., Inc. 61,742 553,609 0.0%
LG Chem, Ltd. 42,069 9,035,578 0.2%
LG Corp. 105,265 5,629,167 0.1%
LG Display Co., Ltd. 363,272 8,685,696 0.2%
LG Display Co., Ltd. ADR 808,137 9,705,725 0.2%
# LG Electronics, Inc. 217,266 9,057,238 0.2%
LG Household & Health Care, Ltd. 11,853 8,478,903 0.2%
LG Innotek Co., Ltd. 35,915 2,446,460 0.1%
LG Uplus Corp. 539,707 5,562,330 0.1%
#* Loen Entertainment, Inc. 7,273 427,836 0.0%
# Lotte Chemical Corp. 21,296 5,350,669 0.1%
Lotte Chilsung Beverage Co., Ltd. 684 920,771 0.0%
# Lotte Confectionery Co., Ltd. 1,451 243,567 0.0%
# Lotte Shopping Co., Ltd. 17,857 3,562,910 0.1%
LS Corp. 21,498 1,028,198 0.0%
LS Industrial Systems Co., Ltd. 6,817 232,939 0.0%
Macquarie Korea Infrastructure Fund 447,213 3,443,002 0.1%
# Mando Corp. 11,458 2,678,995 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
SOUTH KOREA -- (Continued)
# Medy-Tox, Inc. 5,027 $ 1,783,562 0.0%
Meritz Financial Group, Inc. 43,170 424,058 0.0%
# Meritz Fire & Marine Insurance Co., Ltd. 68,134 948,139 0.0%
# Meritz Securities Co., Ltd. 263,094 779,692 0.0%
Mirae Asset Daewoo Co., Ltd. 237,690 1,602,903 0.0%
Mirae Asset Securities Co., Ltd. 97,938 1,931,537 0.0%
NAVER Corp. 33,801 25,288,736 0.5%
NCSoft Corp. 12,507 2,889,227 0.1%
NH Investment & Securities Co., Ltd. 187,163 1,645,775 0.0%
# NongShim Co., Ltd. 3,534 889,290 0.0%
#* OCI Co., Ltd. 27,861 2,195,726 0.1%
Orion Corp. 4,535 2,830,440 0.1%
# Ottogi Corp. 973 559,147 0.0%
#* Pan Ocean Co., Ltd. 118,418 372,603 0.0%
# Paradise Co., Ltd. 26,633 302,002 0.0%
POSCO 44,452 9,249,236 0.2%
POSCO Sponsored ADR 87,705 4,556,275 0.1%
# Posco Daewoo Corp. 68,720 1,492,203 0.0%
S-1 Corp. 16,277 1,314,228 0.0%
S-Oil Corp. 52,028 3,555,471 0.1%
# Samlip General Foods Co., Ltd. 2,676 398,247 0.0%
Samsung C&T Corp. 49,645 6,997,688 0.1%
Samsung Card Co., Ltd. 43,815 1,844,596 0.0%
Samsung Electro-Mechanics Co., Ltd. 94,120 3,863,808 0.1%
Samsung Electronics Co., Ltd. 97,289 139,155,193 2.8%
Samsung Electronics Co., Ltd. GDR 52,509 36,940,669 0.7%
#* Samsung Engineering Co., Ltd. 28,996 239,330 0.0%
Samsung Fire & Marine Insurance Co., Ltd. 48,145 12,248,135 0.3%
#* Samsung Heavy Industries Co., Ltd. 296,549 2,520,229 0.1%
Samsung Life Insurance Co., Ltd. 68,654 6,625,097 0.1%
Samsung SDI Co., Ltd. 76,691 6,312,148 0.1%
Samsung SDS Co., Ltd. 24,055 3,243,793 0.1%
Samsung Securities Co., Ltd. 72,006 2,165,622 0.1%
Shinhan Financial Group Co., Ltd. 347,482 13,292,638 0.3%
Shinhan Financial Group Co., Ltd. ADR 86,082 3,326,208 0.1%
Shinsegae, Inc. 9,800 1,591,774 0.0%
SK Chemicals Co., Ltd. 16,625 867,869 0.0%
SK Holdings Co., Ltd. 43,857 8,555,660 0.2%
SK Hynix, Inc. 705,494 25,233,135 0.5%
SK Innovation Co., Ltd. 62,586 8,238,462 0.2%
SK Materials Co., Ltd. 2,339 318,151 0.0%
SK Networks Co., Ltd. 173,269 984,744 0.0%
SK Telecom Co., Ltd. 17,011 3,334,696 0.1%
* Ssangyong Cement Industrial Co., Ltd. 9,472 132,748 0.0%
#* Taihan Electric Wire Co., Ltd. 92,992 153,388 0.0%
Woori Bank 543,488 5,923,004 0.1%
Woori Bank Sponsored ADR 1,026 33,868 0.0%
Young Poong Corp. 438 379,703 0.0%
# Youngone Corp. 22,115 620,653 0.0%
Yuhan Corp. 4,547 833,694 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SOUTH KOREA -- (Continued)
#* Yungjin Pharmaceutical Co., Ltd. 20,622 $ 157,393 0.0%
------------ ----
TOTAL SOUTH KOREA 727,123,549 14.5%
------------ ----
TAIWAN -- (15.0%)
# Acer, Inc. 5,322,811 2,439,056 0.1%
# Advanced Semiconductor Engineering, Inc. 12,317,929 14,473,311 0.3%
Advantech Co., Ltd. 400,254 3,252,886 0.1%
Airtac International Group 122,850 976,892 0.0%
Asia Cement Corp. 4,279,758 3,731,274 0.1%
* Asia Pacific Telecom Co., Ltd. 139,000 44,624 0.0%
Asustek Computer, Inc. 956,180 8,370,654 0.2%
# AU Optronics Corp. 24,425,873 9,277,403 0.2%
AU Optronics Corp. Sponsored ADR 326,626 1,234,646 0.0%
# Casetek Holdings, Ltd. 313,000 1,004,811 0.0%
# Catcher Technology Co., Ltd. 1,325,429 10,375,390 0.2%
Cathay Financial Holding Co., Ltd. 8,176,450 10,581,773 0.2%
# Chailease Holding Co., Ltd. 2,412,840 4,165,092 0.1%
Chang Hwa Commercial Bank, Ltd. 8,863,889 4,529,040 0.1%
Cheng Shin Rubber Industry Co., Ltd. 2,917,965 5,936,802 0.1%
Chicony Electronics Co., Ltd. 1,001,552 2,558,920 0.1%
China Airlines, Ltd. 8,737,536 2,643,450 0.1%
China Development Financial Holding Corp. 24,213,121 6,058,903 0.1%
China Life Insurance Co., Ltd. 5,929,344 5,465,453 0.1%
China Motor Corp. 741,000 580,306 0.0%
China Steel Corp. 15,093,932 10,901,856 0.2%
Chipbond Technology Corp. 1,082,000 1,493,657 0.0%
Chunghwa Telecom Co., Ltd. 1,608,000 5,506,053 0.1%
Chunghwa Telecom Co., Ltd. Sponsored ADR 246,757 8,426,751 0.2%
Compal Electronics, Inc. 9,936,541 5,908,434 0.1%
CTBC Financial Holding Co., Ltd. 19,645,175 10,565,040 0.2%
CTCI Corp. 1,008,000 1,479,204 0.0%
# Cub Elecparts, Inc. 16,495 151,319 0.0%
Delta Electronics, Inc. 2,347,486 12,358,519 0.3%
E.Sun Financial Holding Co., Ltd. 11,807,000 6,705,252 0.1%
# Eclat Textile Co., Ltd. 253,336 2,870,559 0.1%
# Ennoconn Corp. 52,000 824,005 0.0%
Eternal Materials Co., Ltd. 1,014,350 1,069,094 0.0%
Eva Airways Corp. 6,056,740 2,915,796 0.1%
* Evergreen Marine Corp. Taiwan, Ltd. 3,219,261 1,202,301 0.0%
# Far Eastern International Bank 721,140 205,067 0.0%
Far Eastern New Century Corp. 5,821,085 4,504,026 0.1%
Far EasTone Telecommunications Co., Ltd. 2,601,000 6,146,459 0.1%
Farglory Land Development Co., Ltd. 644,393 740,661 0.0%
# Feng TAY Enterprise Co., Ltd. 460,424 1,920,486 0.0%
# First Financial Holding Co., Ltd. 17,788,124 9,317,908 0.2%
Formosa Chemicals & Fibre Corp. 3,220,518 9,561,732 0.2%
Formosa International Hotels Corp. 1,808 10,138 0.0%
Formosa Petrochemical Corp. 1,154,000 3,853,062 0.1%
Formosa Plastics Corp. 3,720,153 10,053,166 0.2%
Formosa Taffeta Co., Ltd. 1,052,000 958,446 0.0%
# Foxconn Technology Co., Ltd. 1,790,627 5,190,691 0.1%
Fubon Financial Holding Co., Ltd. 8,611,233 12,184,100 0.3%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
Giant Manufacturing Co., Ltd. 342,506 $ 2,422,638 0.1%
Ginko International Co., Ltd. 45,000 419,606 0.0%
# Gourmet Master Co., Ltd. 77,550 695,932 0.0%
Hermes Microvision, Inc. 26,000 1,146,158 0.0%
# Highwealth Construction Corp. 1,922,190 2,846,719 0.1%
# Hiwin Technologies Corp. 372,005 1,639,969 0.0%
# Hon Hai Precision Industry Co., Ltd. 17,267,653 46,642,722 0.9%
# Hota Industrial Manufacturing Co., Ltd. 223,000 931,940 0.0%
Hotai Motor Co., Ltd. 322,000 3,740,380 0.1%
#* HTC Corp. 1,198,235 3,499,925 0.1%
Hua Nan Financial Holdings Co., Ltd. 12,337,007 6,264,826 0.1%
# Innolux Corp. 27,802,241 9,359,006 0.2%
* Inotera Memories, Inc. 7,543,000 7,054,041 0.2%
Inventec Corp. 5,430,551 4,239,792 0.1%
# Kenda Rubber Industrial Co., Ltd. 1,082,377 1,653,329 0.0%
# King Slide Works Co., Ltd. 81,000 992,132 0.0%
King Yuan Electronics Co., Ltd. 1,471,000 1,293,873 0.0%
King's Town Bank Co., Ltd. 896,000 732,854 0.0%
Kinsus Interconnect Technology Corp. 683,000 1,576,130 0.0%
Largan Precision Co., Ltd. 133,860 15,792,148 0.3%
LCY Chemical Corp. 156,123 190,478 0.0%
Lite-On Technology Corp. 4,896,410 7,019,495 0.1%
# Makalot Industrial Co., Ltd. 230,356 906,589 0.0%
MediaTek, Inc. 1,387,995 10,520,864 0.2%
Mega Financial Holding Co., Ltd. 13,552,369 9,265,545 0.2%
* Mercuries Life Insurance Co., Ltd. 325,753 156,697 0.0%
# Merida Industry Co., Ltd. 287,287 1,323,866 0.0%
Micro-Star International Co., Ltd. 831,000 2,390,619 0.1%
# Nan Ya Plastics Corp. 4,281,599 8,891,698 0.2%
# Nanya Technology Corp. 992,010 1,285,961 0.0%
Nien Made Enterprise Co., Ltd. 115,000 1,332,011 0.0%
# Novatek Microelectronics Corp. 1,179,000 4,414,388 0.1%
#* OBI Pharma, Inc. 69,000 721,068 0.0%
# PChome Online, Inc. 114,006 1,237,891 0.0%
Pegatron Corp. 5,311,345 14,302,267 0.3%
* PharmaEssentia Corp. 57,000 293,297 0.0%
Phison Electronics Corp. 200,000 1,415,742 0.0%
Pou Chen Corp. 4,651,487 6,276,118 0.1%
Powertech Technology, Inc. 2,158,819 6,159,552 0.1%
# Poya International Co., Ltd. 70,550 1,025,578 0.0%
President Chain Store Corp. 831,831 6,215,127 0.1%
Quanta Computer, Inc. 3,586,000 7,254,363 0.2%
Realtek Semiconductor Corp. 531,950 1,801,780 0.0%
* Ruentex Development Co., Ltd. 1,110,709 1,281,835 0.0%
# Ruentex Industries, Ltd. 616,182 991,930 0.0%
# ScinoPharm Taiwan, Ltd. 206,405 262,279 0.0%
#* Shin Kong Financial Holding Co., Ltd. 15,207,656 3,295,992 0.1%
# Silergy Corp. 36,000 524,511 0.0%
Siliconware Precision Industries Co., Ltd. 2,123,637 3,212,068 0.1%
Siliconware Precision Industries Co., Ltd. Sponsored
ADR 21,813 163,379 0.0%
# Simplo Technology Co., Ltd. 690,000 2,128,190 0.1%
SinoPac Financial Holdings Co., Ltd. 18,232,895 5,255,071 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
St Shine Optical Co., Ltd. 11,000 $ 231,177 0.0%
Standard Foods Corp. 466,902 1,153,854 0.0%
Synnex Technology International Corp. 1,713,343 1,825,490 0.0%
Taichung Commercial Bank Co., Ltd. 159,669 45,458 0.0%
* TaiMed Biologics, Inc. 103,000 646,731 0.0%
Tainan Spinning Co., Ltd. 320,412 122,909 0.0%
Taishin Financial Holding Co., Ltd. 19,587,984 7,160,851 0.2%
Taiwan Business Bank 8,318,140 2,101,058 0.1%
# Taiwan Cement Corp. 6,207,720 7,435,423 0.2%
# Taiwan Cooperative Financial Holding Co., Ltd. 13,145,581 5,761,418 0.1%
Taiwan FamilyMart Co., Ltd. 89,000 628,772 0.0%
Taiwan Fertilizer Co., Ltd. 1,415,000 1,892,891 0.0%
#* Taiwan Glass Industry Corp. 1,733,375 724,142 0.0%
Taiwan Mobile Co., Ltd. 2,075,300 7,261,146 0.2%
Taiwan Secom Co., Ltd. 362,670 1,039,684 0.0%
Taiwan Semiconductor Manufacturing Co., Ltd. 25,188,808 151,166,887 3.0%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR 1,672,158 52,004,114 1.1%
# Teco Electric and Machinery Co., Ltd. 3,316,000 2,939,820 0.1%
Tong Yang Industry Co., Ltd. 327,000 760,889 0.0%
Transcend Information, Inc. 320,181 884,265 0.0%
Tripod Technology Corp. 738,870 1,749,137 0.0%
# Tung Thih Electronic Co., Ltd. 82,000 1,196,403 0.0%
Uni-President Enterprises Corp. 7,340,033 14,181,292 0.3%
# United Microelectronics Corp. 38,130,000 14,192,139 0.3%
# Vanguard International Semiconductor Corp. 1,671,000 3,401,967 0.1%
# Voltronic Power Technology Corp. 35,350 530,052 0.0%
Walsin Lihwa Corp. 4,619,000 1,615,921 0.0%
Wan Hai Lines, Ltd. 1,342,800 660,702 0.0%
# Win Semiconductors Corp. 403,034 1,119,289 0.0%
Winbond Electronics Corp. 6,597,000 2,071,336 0.1%
Wintek Corp. 604,760 6,575 0.0%
Wistron Corp. 4,504,099 3,393,808 0.1%
WPG Holdings, Ltd. 3,035,869 3,553,660 0.1%
Yageo Corp. 981,579 1,975,474 0.0%
Yuanta Financial Holding Co., Ltd. 17,684,806 6,600,989 0.1%
Yulon Motor Co., Ltd. 1,682,000 1,471,751 0.0%
Zhen Ding Technology Holding, Ltd. 947,700 2,155,907 0.1%
------------ ----
TOTAL TAIWAN 764,848,218 15.3%
------------ ----
THAILAND -- (2.7%)
Advanced Info Service PCL 1,440,700 6,318,950 0.1%
Airports of Thailand PCL 578,400 6,296,747 0.1%
Bangchak Petroleum PCL (The) 843,200 728,818 0.0%
Bangkok Airways PCL 301,100 214,226 0.0%
Bangkok Bank PCL(6077019) 241,500 1,100,629 0.0%
Bangkok Bank PCL(6368360) 232,800 1,060,979 0.0%
Bangkok Dusit Medical Services PCL Class F 6,818,900 4,442,344 0.1%
Bangkok Life Assurance PCL 694,900 987,821 0.0%
Banpu PCL 3,035,950 1,587,482 0.0%
BEC World PCL 1,267,300 742,329 0.0%
Berli Jucker PCL 2,625,400 3,957,135 0.1%
BTS Group Holdings PCL 3,159,100 771,778 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
THAILAND -- (Continued)
Bumrungrad Hospital PCL 402,600 $ 2,105,173 0.1%
Carabao Group PCL Class F 84,800 167,189 0.0%
Central Pattana PCL 1,779,300 2,847,083 0.1%
Central Plaza Hotel PCL 1,046,100 1,135,847 0.0%
CH Karnchang PCL 680,200 573,352 0.0%
Charoen Pokphand Foods PCL 3,632,900 3,269,844 0.1%
CP ALL PCL 4,313,700 7,487,886 0.2%
Delta Electronics Thailand PCL 656,900 1,473,438 0.0%
Electricity Generating PCL 319,300 1,779,084 0.0%
Energy Absolute PCL 1,783,800 1,439,884 0.0%
Global Power Synergy Co., Ltd. Class F 101,100 102,552 0.0%
Glow Energy PCL 826,500 1,818,430 0.1%
Group Lease PCL 361,700 475,411 0.0%
Home Product Center PCL 10,007,413 2,888,060 0.1%
Indorama Ventures PCL 3,391,500 2,834,527 0.1%
Intouch Holdings PCL 1,446,700 2,190,874 0.1%
IRPC PCL 13,474,400 1,840,350 0.1%
Kasikornbank PCL(6888794) 1,146,600 5,635,122 0.1%
Kasikornbank PCL(6364766) 210,900 1,036,497 0.0%
KCE Electronics PCL 431,000 1,379,299 0.0%
Krung Thai Bank PCL 6,711,587 3,298,501 0.1%
Land & Houses PCL(6581941) 3,694,740 971,258 0.0%
Land & Houses PCL(6581930) 790,000 207,672 0.0%
Minor International PCL 2,391,770 2,631,135 0.1%
MK Restaurants Group PCL 421,700 626,570 0.0%
Pruksa Real Estate PCL 2,958,300 1,952,617 0.1%
PTT Exploration & Production PCL(B1359J0) 2,414,655 5,743,840 0.1%
PTT Exploration & Production PCL(B1359L2) 65,409 155,591 0.0%
PTT Global Chemical PCL 2,570,472 4,406,838 0.1%
PTT PCL 1,634,600 16,160,343 0.3%
Ratchaburi Electricity Generating Holding PCL 824,700 1,178,227 0.0%
Robinson Department Store PCL 598,500 991,871 0.0%
Siam Cement PCL (The)(6609928) 230,100 3,287,378 0.1%
Siam Cement PCL (The)(6609906) 166,400 2,396,331 0.1%
Siam City Cement PCL 163,213 1,347,769 0.0%
Siam Commercial Bank PCL (The) 1,140,966 4,678,295 0.1%
Siam Global House PCL 1,111,898 489,270 0.0%
* Thai Airways International PCL 1,395,900 1,116,800 0.0%
Thai Oil PCL 1,455,200 2,910,608 0.1%
Thai Union Group PCL Class F 2,705,940 1,677,803 0.0%
Thanachart Capital PCL 1,044,400 1,178,764 0.0%
TMB Bank PCL 24,158,000 1,449,584 0.0%
Total Access Communication PCL(B1YWK08) 1,459,300 1,303,039 0.0%
Total Access Communication PCL(B231MK7) 423,600 378,241 0.0%
TPI Polene PCL 12,385,600 778,579 0.0%
True Corp. PCL 27,648,131 5,332,520 0.1%
TTW PCL 2,370,300 711,141 0.0%
------------ ---
TOTAL THAILAND 138,049,725 2.8%
------------ ---
TURKEY -- (1.5%)
Akbank TAS 2,209,103 5,911,908 0.1%
Anadolu Efes Biracilik Ve Malt Sanayii A.S. 282,261 1,725,236 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
TURKEY -- (Continued)
Arcelik A.S. 540,990 $ 3,574,144 0.1%
Aselsan Elektronik Sanayi Ve Ticaret A.S. 333,342 1,013,650 0.0%
BIM Birlesik Magazalar A.S. 342,629 5,585,568 0.1%
Coca-Cola Icecek A.S. 113,782 1,287,257 0.0%
Enka Insaat ve Sanayi A.S. 547,496 836,202 0.0%
Eregli Demir ve Celik Fabrikalari TAS 3,425,354 4,657,460 0.1%
Ford Otomotiv Sanayi A.S. 118,255 1,208,119 0.0%
KOC Holding A.S. 753,593 3,143,289 0.1%
Petkim Petrokimya Holding A.S. 1,293,596 1,757,677 0.0%
TAV Havalimanlari Holding A.S. 282,373 1,160,880 0.0%
Tofas Turk Otomobil Fabrikasi A.S. 212,178 1,598,852 0.0%
Tupras Turkiye Petrol Rafinerileri A.S. 261,144 5,325,752 0.1%
* Turk Hava Yollari AO 2,046,901 3,600,901 0.1%
Turk Telekomunikasyon A.S. 699,083 1,293,434 0.0%
Turk Traktor ve Ziraat Makineleri A.S. 25,657 666,305 0.0%
* Turkcell Iletisim Hizmetleri A.S. 1,142,611 3,684,341 0.1%
#* Turkcell Iletisim Hizmetleri A.S. ADR 73,838 592,181 0.0%
Turkiye Garanti Bankasi A.S. 3,265,633 8,886,238 0.2%
Turkiye Halk Bankasi A.S. 1,181,282 3,592,609 0.1%
Turkiye Is Bankasi Class C 2,548,532 4,138,231 0.1%
Turkiye Sinai Kalkinma Bankasi A.S. 46,878 20,778 0.0%
Turkiye Sise ve Cam Fabrikalari A.S. 2,730,783 2,872,732 0.1%
Turkiye Vakiflar Bankasi TAO Class D 1,445,842 2,143,020 0.1%
Ulker Biskuvi Sanayi A.S. 244,375 1,517,435 0.0%
* Yapi ve Kredi Bankasi A.S. 2,464,502 2,950,443 0.1%
-------------- ----
TOTAL TURKEY 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%
Braskem SA Class A 73,800 653,611 0.0%
* Centrais Eletricas Brasileiras SA Class B 303,700 2,602,192 0.1%
Cia Brasileira de Distribuicao 310,022 5,924,606 0.1%
* Empresa Nacional de Comercio Redito e Participacoes SA 280 2,150 0.0%
Gerdau SA 836,068 2,886,425 0.1%
Itau Unibanco Holding SA 4,317,027 51,934,159 1.0%
Lojas Americanas SA 899,139 5,830,882 0.1%
* Petroleo Brasileiro SA 2,825,761 15,660,311 0.3%
* Petroleo Brasileiro SA Sponsored ADR 1,440,006 15,926,466 0.3%
Suzano Papel e Celulose SA Class A 798,971 2,818,425 0.1%
Telefonica Brasil SA 465,063 6,728,261 0.1%
Vale SA 2,522,202 16,301,074 0.3%
Vale SA Sponsored ADR 364,278 2,345,950 0.1%
-------------- ----
TOTAL BRAZIL 154,637,040 3.1%
-------------- ----
CHILE -- (0.0%)
Embotelladora Andina SA Class B 113,824 461,858 0.0%
-------------- ----
COLOMBIA -- (0.1%)
Banco Davivienda SA 209,529 2,132,377 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
COLOMBIA -- (Continued)
Bancolombia SA 30,330 $ 287,889 0.0%
Grupo Argos SA 17,677 108,174 0.0%
Grupo Aval Acciones y Valores SA 4,185,719 1,726,196 0.0%
Grupo de Inversiones Suramericana SA 109,814 1,387,841 0.0%
-------------- -----
TOTAL COLOMBIA 5,642,477 0.1%
-------------- -----
SOUTH KOREA -- (0.0%)
* Hanwha Corp. 18,719 309,189 0.0%
-------------- -----
TOTAL PREFERRED STOCKS 161,050,564 3.2%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
* Samsung Heavy India Rights 11/08/2016 184,122 415,149 0.0%
-------------- -----
THAILAND -- (0.0%)
* TPI Polene PCL Rights 12/30/16 76,454 -- 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%
============== =====
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
Australia -- 415,149 -- 415,149
Thailand -- -- -- --
Securities Lending Collateral -- 143,647,490 -- 143,647,490
(265,685) -- -- (265,685)
Futures Contracts** -------------- -------------- -- --------------
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 H)
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (87.8%)
ARGENTINA -- (0.0%)
Ferrum SA de Ceramica y Metalurgia 1 $ 1 0.0%
----------- ---
BRAZIL -- (8.3%)
AES Tiete Energia SA(BZ8W2L7) 1,884,997 9,767,497 0.2%
AES Tiete Energia SA(BZ8W2J5) 878 965 0.0%
Aliansce Shopping Centers SA(B23FNB7) 829,841 4,362,385 0.1%
* Aliansce Shopping Centers SA(BDCWJC9) 210,154 1,115,949 0.0%
Alupar Investimento SA 977,370 5,689,077 0.1%
Arezzo Industria e Comercio SA 462,835 4,287,604 0.1%
* B2W Cia Digital 1,191,925 5,855,073 0.1%
* BR Malls Participacoes SA 6,998,232 28,019,237 0.5%
* Brasil Brokers Participacoes SA 1,971,711 1,111,867 0.0%
BrasilAgro--Co. Brasileira de Propriedades Agricolas 105,400 342,088 0.0%
CETIP SA--Mercados Organizados 945,300 13,288,099 0.3%
Cia de Saneamento de Minas Gerais-COPASA 884,392 9,231,811 0.2%
Cia Energetica de Minas Gerais 74,874 227,531 0.0%
Cia Hering 1,570,736 9,526,770 0.2%
Cia Paranaense de Energia 139,600 1,034,317 0.0%
Cia Paranaense de Energia Sponsored ADR 127,664 1,456,646 0.0%
* Cia Siderurgica Nacional SA 5,779,408 19,445,752 0.4%
CVC Brasil Operadora e Agencia de Viagens SA 259,586 1,992,436 0.0%
Cyrela Brazil Realty SA Empreendimentos e Participacoes 2,879,534 9,697,679 0.2%
Cyrela Commercial Properties SA Empreendimentos e
Participacoes 41,900 135,860 0.0%
Dimed SA Distribuidora da Medicamentos 1,100 173,336 0.0%
Direcional Engenharia SA 1,155,409 1,998,076 0.0%
Duratex SA 3,935,733 10,628,452 0.2%
* EcoRodovias Infraestrutura e Logistica SA 2,803,107 8,316,235 0.2%
EDP--Energias do Brasil SA 3,450,314 16,592,205 0.3%
Embraer SA 169,327 909,761 0.0%
Embraer SA ADR 82,167 1,757,552 0.0%
Equatorial Energia SA 2,273,758 40,560,082 0.7%
Estacio Participacoes SA 3,477,890 20,167,840 0.4%
Eternit SA 1,412,878 686,078 0.0%
Even Construtora e Incorporadora SA 3,172,688 4,413,137 0.1%
Ez Tec Empreendimentos e Participacoes SA 728,146 3,770,758 0.1%
Fleury SA 899,506 11,906,055 0.2%
Fras-Le SA 37,875 51,971 0.0%
GAEC Educacao SA 255,600 1,081,015 0.0%
Gafisa SA 2,712,700 2,090,615 0.0%
# Gafisa SA ADR 1,055,947 1,647,277 0.0%
Gerdau SA 105,200 266,955 0.0%
#* Gol Linhas Aereas Inteligentes SA ADR 7,677 188,857 0.0%
Grendene SA 1,007,117 6,190,362 0.1%
Guararapes Confeccoes SA 86,600 1,791,144 0.0%
Helbor Empreendimentos SA(B28RS68) 1,533,793 975,439 0.0%
* Helbor Empreendimentos SA(BD87RD5) 415,131 258,807 0.0%
Iguatemi Empresa de Shopping Centers SA 887,237 8,380,387 0.2%
* Industria de Bebidas Antarctica Polar SA 23,000 -- 0.0%
* International Meal Co. Alimentacao SA 598,794 1,104,917 0.0%
Iochpe Maxion SA 1,009,884 5,125,351 0.1%
* JHSF Participacoes SA 680,347 370,866 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
BRAZIL -- (Continued)
* Joao Fortes Engenharia SA 66,552 $ 39,093 0.0%
JSL SA 685,800 2,513,741 0.1%
Kepler Weber SA 135,346 799,271 0.0%
Light SA 706,107 3,882,261 0.1%
Linx SA 752,436 4,478,786 0.1%
Localiza Rent a Car SA 1,649,975 20,485,122 0.4%
* Log-in Logistica Intermodal SA 34,830 38,300 0.0%
* LPS Brasil Consultoria de Imoveis SA 539,479 667,588 0.0%
M Dias Branco SA 179,100 7,648,221 0.1%
* Magazine Luiza SA 2,100 60,829 0.0%
* Magnesita Refratarios SA 417,091 2,960,927 0.1%
Mahle-Metal Leve SA 587,976 4,076,412 0.1%
* Marcopolo SA 14,800 11,545 0.0%
* Marfrig Global Foods SA 4,269,929 7,611,496 0.1%
* Marisa Lojas SA 557,320 1,353,142 0.0%
* Mills Estruturas e Servicos de Engenharia SA 966,926 1,511,579 0.0%
* Minerva SA 1,356,769 4,297,285 0.1%
MRV Engenharia e Participacoes SA 3,532,380 13,678,013 0.3%
Multiplan Empreendimentos Imobiliarios SA 592,100 11,899,503 0.2%
Multiplus SA 513,484 6,962,277 0.1%
Natura Cosmeticos SA 56,618 543,831 0.0%
Odontoprev SA 2,908,696 10,934,947 0.2%
Paranapanema SA 1,636,856 882,015 0.0%
Porto Seguro SA 196,943 1,867,627 0.0%
Portobello SA 296,400 236,786 0.0%
* Profarma Distribuidora de Produtos Farmaceuticos SA 13,100 43,092 0.0%
* Prumo Logistica SA 178,678 408,631 0.0%
QGEP Participacoes SA 1,081,894 1,870,945 0.0%
Qualicorp SA 2,415,505 15,543,381 0.3%
* Restoque Comercio e Confeccoes de Roupas SA 862,054 1,050,561 0.0%
Rodobens Negocios Imobiliarios SA 136,138 221,779 0.0%
* Rumo Logistica Operadora Multimodal SA 6,787,474 15,182,508 0.3%
Santos Brasil Participacoes SA 2,646,940 2,504,310 0.1%
Sao Carlos Empreendimentos e Participacoes SA 55,059 518,334 0.0%
Sao Martinho SA 661,862 13,181,255 0.3%
Ser Educacional SA 204,700 1,325,548 0.0%
SLC Agricola SA 615,913 3,050,622 0.1%
Smiles SA 505,800 9,231,801 0.2%
Sonae Sierra Brasil SA 274,146 1,648,140 0.0%
Sul America SA 2,810,065 16,964,268 0.3%
T4F Entretenimento SA 23,200 40,774 0.0%
* Technos SA 221,800 330,754 0.0%
Tecnisa SA 1,449,752 1,121,832 0.0%
Totvs SA 1,287,326 11,679,501 0.2%
TPI--Triunfo Participacoes e Investimentos SA 264,501 294,166 0.0%
Transmissora Alianca de Energia Eletrica SA 1,918,518 12,471,569 0.2%
* Usinas Siderurgicas de Minas Gerais SA 42,600 117,711 0.0%
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao SA 735,887 6,895,483 0.1%
Via Varejo SA(B7VY430) 205,862 241,849 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
BRAZIL -- (Continued)
Via Varejo SA(BGSHPP4) 747,214 $ 2,141,920 0.1%
------------ ---
TOTAL BRAZIL 505,513,504 9.2%
------------ ---
CHILE -- (1.6%)
AES Gener SA 529,923 180,431 0.0%
Banmedica SA 1,756,381 3,689,436 0.1%
Besalco SA 2,277,748 1,037,504 0.0%
CAP SA 841,205 5,901,864 0.1%
Cementos BIO BIO SA 352,724 338,278 0.0%
* Cia Sud Americana de Vapores SA 75,796,054 1,553,321 0.0%
Clinica LAS Condes SA 349 21,702 0.0%
Cristalerias de Chile SA 130,323 1,326,597 0.0%
# Embotelladora Andina SA Class B ADR 40,562 976,733 0.0%
* Empresa Nacional de Telecomunicaciones SA 701,894 7,528,721 0.2%
* Empresas AquaChile SA 1,281,212 648,487 0.0%
Empresas Hites SA 1,108,722 851,807 0.0%
* Empresas La Polar SA 7,076,826 315,782 0.0%
Engie Energia Chile SA 5,731,371 10,171,435 0.2%
Enjoy SA 1,143,197 129,537 0.0%
Forus SA 831,953 2,982,875 0.1%
Grupo Security SA 2,457,066 861,988 0.0%
Inversiones Aguas Metropolitanas SA 4,130,206 7,519,982 0.1%
Inversiones La Construccion SA 266,530 3,261,581 0.1%
Itau CorpBanca 26,952,228 244,162 0.0%
Masisa SA 14,414,781 1,060,158 0.0%
* Multiexport Foods SA 3,644,198 1,098,553 0.0%
Parque Arauco SA 7,641,107 18,948,786 0.4%
PAZ Corp. SA 1,298,993 1,058,656 0.0%
Ripley Corp. SA 9,264,270 5,793,404 0.1%
Salfacorp SA 2,439,074 1,982,122 0.0%
Sigdo Koppers SA 743,543 1,024,385 0.0%
Sociedad Matriz SAAM SA 35,610,494 3,030,522 0.1%
Socovesa SA 2,895,998 922,821 0.0%
Sonda SA 2,346,093 4,852,422 0.1%
* Tech Pack SA 153,812 82,316 0.0%
Vina Concha y Toro SA 5,623,245 9,803,867 0.2%
# Vina Concha y Toro SA Sponsored ADR 2,025 71,442 0.0%
------------ ---
TOTAL CHILE 99,271,677 1.8%
------------ ---
CHINA -- (12.5%)
361 Degrees International, Ltd. 5,670,000 2,128,677 0.1%
* 500.com, Ltd. Class A ADR 2,800 47,432 0.0%
Agile Group Holdings, Ltd. 11,207,500 6,212,672 0.1%
Ajisen China Holdings, Ltd. 3,968,000 1,779,530 0.0%
AMVIG Holdings, Ltd. 2,508,000 843,365 0.0%
Anhui Expressway Co., Ltd. Class H 2,770,000 2,231,723 0.1%
#* Anton Oilfield Services Group 7,638,000 1,018,951 0.0%
* Anxin-China Holdings, Ltd. 16,347,000 152,182 0.0%
* Art Group Holdings, Ltd. 160,000 23,101 0.0%
# Asia Cement China Holdings Corp. 2,769,000 688,112 0.0%
* Asian Citrus Holdings, Ltd. 2,314,000 179,020 0.0%
Ausnutria Dairy Corp., Ltd. 63,000 23,550 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
* AVIC International Holding HK, Ltd. 6,260,000 $ 402,030 0.0%
AVIC International Holdings, Ltd. Class H 1,800,000 1,014,083 0.0%
Bank of Chongqing Co., Ltd. Class H 1,768,000 1,416,692 0.0%
#* Baoxin Auto Group, Ltd. 1,292,992 421,081 0.0%
Baoye Group Co., Ltd. Class H 1,758,000 1,358,950 0.0%
Beijing Capital International Airport Co., Ltd. Class H 576,000 602,828 0.0%
Beijing Capital Land, Ltd. Class H 8,562,500 3,295,330 0.1%
#* Beijing Development HK, Ltd. 55,000 10,523 0.0%
* Beijing Enterprises Medical & Health Group, Ltd. 2,574,000 149,027 0.0%
Beijing Jingneng Clean Energy Co., Ltd. Class H 9,590,000 2,908,609 0.1%
# Beijing North Star Co., Ltd. Class H 7,328,000 2,463,503 0.1%
#* Beijing Properties Holdings, Ltd. 5,990,000 292,799 0.0%
Beijing Urban Construction Design & Development Group
Co., Ltd. Class H 1,368,000 943,060 0.0%
Best Pacific International Holdings, Ltd. 1,020,000 842,342 0.0%
Besunyen Holdings Co., Ltd. 1,155,000 83,263 0.0%
Billion Industrial Holdings, Ltd. 26,000 16,022 0.0%
#* Biostime International Holdings, Ltd. 1,318,000 3,233,602 0.1%
* Bitauto Holdings, Ltd. ADR 4,000 102,120 0.0%
# Bloomage Biotechnology Corp., Ltd. 962,500 1,609,218 0.0%
# Boer Power Holdings, Ltd. 2,034,000 815,103 0.0%
* Bolina Holding Co., Ltd. 1,090,000 67,434 0.0%
Bosideng International Holdings, Ltd. 19,500,000 1,757,066 0.0%
#* Boyaa Interactive International, Ltd. 1,505,000 876,274 0.0%
Brilliant Circle Holdings International, Ltd. 250,000 38,611 0.0%
# Broad Greenstate International Co., Ltd. 3,780,000 618,215 0.0%
# BYD Electronic International Co., Ltd. 4,498,315 3,539,208 0.1%
C C Land Holdings, Ltd. 9,267,343 2,461,247 0.1%
#* C.banner International Holdings, Ltd. 2,382,000 656,215 0.0%
Cabbeen Fashion, Ltd. 1,097,000 286,918 0.0%
# Canvest Environmental Protection Group Co., Ltd. 1,290,000 581,324 0.0%
#* Capital Environment Holdings, Ltd. 2,122,000 73,646 0.0%
#* CAR, Inc. 3,094,000 3,138,499 0.1%
Carrianna Group Holdings Co., Ltd. 1,855,257 174,728 0.0%
CECEP COSTIN New Materials Group, Ltd. 4,494,000 347,674 0.0%
Central China Real Estate, Ltd. 5,006,626 1,093,181 0.0%
# Central China Securities Co., Ltd. Class H 4,368,000 2,247,839 0.1%
Century Sunshine Group Holdings, Ltd. 11,680,000 406,154 0.0%
* CGN Meiya Power Holdings Co., Ltd. 4,916,000 713,262 0.0%
Changshouhua Food Co., Ltd. 1,773,000 913,339 0.0%
Chaowei Power Holdings, Ltd. 3,882,000 3,460,811 0.1%
* Cheetah Mobile, Inc. ADR 4,578 48,985 0.0%
* Chigo Holding, Ltd. 21,682,000 306,962 0.0%
# China Aerospace International Holdings, Ltd. 14,712,500 1,891,711 0.0%
* China Agri-Industries Holdings, Ltd. 14,885,800 5,817,350 0.1%
# China All Access Holdings, Ltd. 5,236,000 1,672,519 0.0%
* China Animal Healthcare, Ltd. 3,671,000 461,505 0.0%
China Animation Characters Co., Ltd. 1,348,000 535,338 0.0%
China Aoyuan Property Group, Ltd. 8,587,000 2,019,630 0.1%
China BlueChemical, Ltd. Class H 11,684,000 2,258,540 0.1%
* China City Infrastructure Group, Ltd. 1,220,000 73,922 0.0%
#* China City Railway Transportation Technology Holdings
Co., Ltd. 1,308,000 269,060 0.0%
China Communications Services Corp., Ltd. Class H 10,930,000 6,485,285 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
* China Datang Corp. Renewable Power Co., Ltd. Class H 14,673,000 $1,340,192 0.0%
# China Dongxiang Group Co., Ltd. 19,924,985 3,899,661 0.1%
* China Dredging Environment Protection Holdings, Ltd. 2,546,000 139,090 0.0%
#* China Dynamics Holdings, Ltd. 7,950,000 292,239 0.0%
# China Electronics Corp. Holdings Co., Ltd. 3,084,000 741,952 0.0%
* China Energine International Holdings, Ltd. 3,236,000 249,595 0.0%
* China Environmental Technology and Bioenergy Holdings,
Ltd. 4,650,000 80,235 0.0%
China Everbright, Ltd. 2,494,000 4,877,160 0.1%
#* China Fiber Optic Network System Group, Ltd. 9,639,999 870,086 0.0%
China Financial Services Holdings, Ltd. 5,582,000 467,489 0.0%
China Foods, Ltd. 5,710,000 2,523,650 0.1%
* China Glass Holdings, Ltd. 4,522,000 523,805 0.0%
* China Grand Pharmaceutical and Healthcare Holdings,
Ltd. Class A 424,000 88,390 0.0%
China Greenfresh Group Co., Ltd. 108,000 52,299 0.0%
#* China Hanking Holdings, Ltd. 1,522,000 194,277 0.0%
China Harmony New Energy Auto Holding, Ltd. 5,680,000 2,624,779 0.1%
* China High Precision Automation Group, Ltd. 1,289,000 38,019 0.0%
# China High Speed Transmission Equipment Group Co., Ltd. 6,761,000 6,990,363 0.1%
* China Huiyuan Juice Group, Ltd. 4,985,500 1,842,018 0.0%
* China ITS Holdings Co., Ltd. 3,835,412 286,026 0.0%
China Jinmao Holdings Group, Ltd. 24,472,300 6,747,928 0.1%
China Lesso Group Holdings, Ltd. 7,312,000 5,352,720 0.1%
China Lilang, Ltd. 3,176,000 1,789,244 0.0%
* China Longevity Group Co., Ltd. 1,076,350 35,668 0.0%
* China LotSynergy Holdings, Ltd. 27,340,000 1,106,989 0.0%
#* China Lumena New Materials Corp. 14,530,000 -- 0.0%
China Machinery Engineering Corp. Class H 4,721,000 2,829,041 0.1%
# China Maple Leaf Educational Systems, Ltd. 3,156,000 2,212,226 0.1%
China Medical System Holdings, Ltd. 2,337,500 3,650,236 0.1%
# China Merchants Land, Ltd. 8,202,000 1,160,314 0.0%
#* China Metal Recycling Holdings, Ltd. 2,401,686 -- 0.0%
#* China Modern Dairy Holdings, Ltd. 14,076,000 3,061,564 0.1%
# China National Building Material Co., Ltd. Class H 18,620,000 8,496,814 0.2%
China National Materials Co., Ltd. Class H 8,021,000 1,815,517 0.0%
#* China New Town Development Co., Ltd. 7,978,148 399,549 0.0%
# China NT Pharma Group Co., Ltd. 4,142,500 958,957 0.0%
#* China Oil & Gas Group, Ltd. 30,878,000 2,343,277 0.1%
* China Outfitters Holdings, Ltd. 24,000 1,206 0.0%
* China Overseas Grand Oceans Group, Ltd. 6,238,500 2,290,680 0.1%
# China Pioneer Pharma Holdings, Ltd. 2,285,000 734,916 0.0%
# China Power International Development, Ltd. 18,203,000 6,619,423 0.1%
# China Power New Energy Development Co., Ltd. 3,097,499 1,876,065 0.0%
* China Properties Group, Ltd. 2,640,000 644,378 0.0%
#* China Rare Earth Holdings, Ltd. 11,056,799 796,730 0.0%
# China Resources Cement Holdings, Ltd. 12,270,000 4,954,621 0.1%
* China Ruifeng Renewable Energy Holdings, Ltd. 2,512,000 323,889 0.0%
# China Sanjiang Fine Chemicals Co., Ltd. 3,493,000 978,588 0.0%
China SCE Property Holdings, Ltd. 8,549,200 2,611,437 0.1%
#* China Shanshui Cement Group, Ltd. 11,268,000 2,960,855 0.1%
#* China Shengmu Organic Milk, Ltd. 4,920,000 1,541,554 0.0%
China Shineway Pharmaceutical Group, Ltd. 2,396,200 2,462,265 0.1%
# China Silver Group, Ltd. 4,478,000 879,491 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
# China Singyes Solar Technologies Holdings, Ltd. 4,032,040 $1,920,068 0.0%
# China South City Holdings, Ltd. 18,334,000 4,056,680 0.1%
* China Starch Holdings, Ltd. 5,040,000 109,619 0.0%
# China Suntien Green Energy Corp., Ltd. Class H 10,975,000 1,466,977 0.0%
* China Taifeng Beddings Holdings, Ltd. 1,336,000 34,883 0.0%
# China Tian Lun Gas Holdings, Ltd. 1,095,000 984,756 0.0%
# China Traditional Chinese Medicine Holdings Co., Ltd. 10,888,000 5,563,380 0.1%
# China Travel International Investment Hong Kong, Ltd. 15,263,900 4,398,439 0.1%
* China Vanadium Titano--Magnetite Mining Co., Ltd. 3,680,000 151,249 0.0%
China Vast Industrial Urban Development Co., Ltd. 225,000 91,383 0.0%
# China Water Affairs Group, Ltd. 7,176,000 5,197,654 0.1%
#* China Water Industry Group, Ltd. 3,428,000 583,090 0.0%
#* China Yurun Food Group, Ltd. 9,742,000 1,553,291 0.0%
# China ZhengTong Auto Services Holdings, Ltd. 6,284,000 2,013,116 0.0%
# China Zhongwang Holdings, Ltd. 8,531,200 3,938,523 0.1%
#* Chinasoft International, Ltd. 12,224,000 5,740,648 0.1%
* Chinese People Holdings Co., Ltd. 1,855,709 32,658 0.0%
Chongqing Machinery & Electric Co., Ltd. Class H 7,968,000 942,721 0.0%
* Chu Kong Petroleum & Natural Gas Steel Pipe Holdings,
Ltd. 2,662,000 377,244 0.0%
Chu Kong Shipping Enterprise Group Co., Ltd. 144,000 39,652 0.0%
CIFI Holdings Group Co., Ltd. 12,232,000 3,598,357 0.1%
# CIMC Enric Holdings, Ltd. 3,876,000 1,619,433 0.0%
* CITIC Dameng Holdings, Ltd. 3,492,000 191,129 0.0%
#* CITIC Resources Holdings, Ltd. 17,098,600 2,133,754 0.1%
# Citychamp Watch & Jewellery Group, Ltd. 11,880,000 3,272,977 0.1%
Clear Media, Ltd. 298,000 291,837 0.0%
* Coastal Greenland, Ltd. 5,286,000 158,502 0.0%
#* Cogobuy Group 2,416,000 3,762,858 0.1%
# Colour Life Services Group Co., Ltd. 812,000 588,579 0.0%
Comba Telecom Systems Holdings, Ltd. 8,717,338 1,545,644 0.0%
* Comtec Solar Systems Group, Ltd. 4,958,000 232,915 0.0%
# Concord New Energy Group, Ltd. 28,974,964 1,450,704 0.0%
Consun Pharmaceutical Group, Ltd. 1,664,000 968,344 0.0%
* Coolpad Group, Ltd. 21,096,800 3,667,738 0.1%
# Cosco International Holdings, Ltd. 2,919,000 1,353,726 0.0%
# COSCO SHIPPING Ports, Ltd. 4,371,172 4,333,622 0.1%
* Coslight Technology International Group Co., Ltd. 522,000 375,224 0.0%
# Cosmo Lady China Holdings Co., Ltd. 3,346,000 1,366,377 0.0%
CP Pokphand Co., Ltd. 36,472,594 4,650,427 0.1%
CPMC Holdings, Ltd. 2,624,000 1,370,568 0.0%
# CT Environmental Group, Ltd. 14,380,000 4,034,299 0.1%
* Da Ming International Holdings, Ltd. 862,000 316,009 0.0%
* DaChan Food Asia, Ltd. 1,523,955 142,908 0.0%
Dah Chong Hong Holdings, Ltd. 5,784,000 2,419,091 0.1%
# Dalian Port PDA Co., Ltd. Class H 2,640,400 475,402 0.0%
#* Daphne International Holdings, Ltd. 7,022,000 921,761 0.0%
Dawnrays Pharmaceutical Holdings, Ltd. 2,966,943 1,772,221 0.0%
#* DBA Telecommunication Asia Holdings, Ltd. 2,108,000 17,830 0.0%
#* Differ Group Holding Co., Ltd. 1,244,000 102,419 0.0%
# Digital China Holdings, Ltd. 6,937,800 5,802,640 0.1%
# Dongfang Electric Corp., Ltd. Class H 378,200 292,495 0.0%
# Dongjiang Environmental Co., Ltd. Class H 398,375 604,263 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
#* Dongyue Group, Ltd. 7,432,000 $ 984,634 0.0%
Dynagreen Environmental Protection Group Co., Ltd.
Class H 2,042,000 966,204 0.0%
#* Dynasty Fine Wines Group, Ltd. 1,614,000 56,189 0.0%
Embry Holdings, Ltd. 473,000 225,530 0.0%
EVA Precision Industrial Holdings, Ltd. 7,226,435 790,525 0.0%
#* EverChina International Holdings Co., Ltd. 11,915,000 620,085 0.0%
* Evergreen International Holdings, Ltd. 1,208,000 141,579 0.0%
* Extrawell Pharmaceutical Holdings, Ltd. 1,337,921 44,774 0.0%
Fantasia Holdings Group Co., Ltd. 12,052,500 1,564,411 0.0%
Far East Horizon, Ltd. 6,162,000 5,612,487 0.1%
Feiyu Technology International Co., Ltd. 1,636,500 281,984 0.0%
First Tractor Co., Ltd. Class H 619,176 345,561 0.0%
* Forgame Holdings, Ltd. 107,100 100,584 0.0%
Freetech Road Recycling Technology Holdings, Ltd. 2,164,000 261,950 0.0%
# Fu Shou Yuan International Group, Ltd. 4,536,000 2,657,165 0.1%
Fufeng Group, Ltd. 6,500,600 2,742,979 0.1%
# Fuguiniao Co., Ltd. Class H 2,430,200 1,215,797 0.0%
# Future Land Development Holdings, Ltd. 10,078,000 1,810,379 0.0%
# GCL-Poly Energy Holdings, Ltd. 80,160,000 10,804,244 0.2%
Gemdale Properties & Investment Corp., Ltd. 5,214,000 343,173 0.0%
* Glorious Property Holdings, Ltd. 17,532,501 2,100,351 0.1%
Goldbond Group Holdings, Ltd. 210,000 8,922 0.0%
# Golden Eagle Retail Group, Ltd. 3,432,000 4,768,787 0.1%
#* Golden Meditech Holdings, Ltd. 7,256,789 944,234 0.0%
Golden Throat Holdings Group Co., Ltd. 190,000 98,891 0.0%
Goldlion Holdings, Ltd. 1,705,962 679,496 0.0%
# Goldpac Group, Ltd. 1,966,000 582,418 0.0%
# GOME Electrical Appliances Holding, Ltd. 84,442,000 10,640,930 0.2%
Good Friend International Holdings, Inc. 398,667 80,336 0.0%
# Goodbaby International Holdings, Ltd. 5,500,000 2,649,538 0.1%
Greatview Aseptic Packaging Co., Ltd. 6,384,000 3,249,238 0.1%
#* Greenland Hong Kong Holdings, Ltd. 5,723,000 1,472,735 0.0%
#* Greentown China Holdings, Ltd. 4,469,148 3,643,424 0.1%
* Guangdong Land Holdings, Ltd. 4,452,800 934,940 0.0%
Guangdong Yueyun Transportation Co., Ltd. Class H 1,068,000 622,750 0.0%
* Guodian Technology & Environment Group Corp., Ltd.
Class H 4,870,000 375,816 0.0%
Guolian Securities Co., Ltd. Class H 227,500 120,004 0.0%
* Haichang Ocean Park Holdings, Ltd. 3,363,000 713,854 0.0%
Haitian International Holdings, Ltd. 3,368,000 6,942,811 0.1%
* Hanergy Thin Film Power Group, Ltd. 17,084,000 454,173 0.0%
Harbin Bank Co., Ltd. Class H 381,000 117,136 0.0%
# Harbin Electric Co., Ltd. Class H 4,455,413 2,159,550 0.1%
# Harmonicare Medical Holdings, Ltd. 231,000 148,345 0.0%
#* HC International, Inc. 424,000 312,453 0.0%
Henderson Investment, Ltd. 1,078,000 90,251 0.0%
#* Hengdeli Holdings, Ltd. 16,165,399 1,749,141 0.0%
* Hengshi Mining Investments, Ltd. 154,000 53,556 0.0%
* Hi Sun Technology China, Ltd. 6,813,000 1,051,527 0.0%
* Hidili Industry International Development, Ltd. 1,329,339 25,077 0.0%
# Hilong Holding, Ltd. 4,496,000 1,072,609 0.0%
* HKC Holdings, Ltd. 771,577 331,292 0.0%
#* HNA Holding Group Co., Ltd. 1,800,000 76,361 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
HNA Infrastructure Co., Ltd. 603,000 $ 674,238 0.0%
* Honghua Group, Ltd. 10,158,000 1,031,951 0.0%
Honworld Group, Ltd. 434,500 236,951 0.0%
Hopefluent Group Holdings, Ltd. 1,159,670 338,697 0.0%
Hopewell Highway Infrastructure, Ltd. 4,163,000 2,225,819 0.1%
Hopson Development Holdings, Ltd. 4,346,000 3,918,276 0.1%
# HOSA International, Ltd. 4,118,000 1,389,356 0.0%
# Hua Han Health Industry Holdings, Ltd. 25,871,698 1,768,024 0.0%
Hua Hong Semiconductor, Ltd. 286,000 337,922 0.0%
#* Huabao International Holdings, Ltd. 13,262,014 4,963,593 0.1%
Huadian Fuxin Energy Corp., Ltd. Class H 16,248,000 3,762,445 0.1%
Huaneng Renewables Corp., Ltd. Class H 22,826,000 7,648,566 0.2%
#* Huayi Tencent Entertainment Co., Ltd. 890,000 53,832 0.0%
* Huiyin Smart Community Co., Ltd. 2,206,000 224,214 0.0%
Hydoo International Holding, Ltd. 1,634,000 163,451 0.0%
Inner Mongolia Yitai Coal Co., Ltd. Class H 17,700 16,640 0.0%
Inspur International, Ltd. 2,160,000 428,787 0.0%
Intime Retail Group Co., Ltd. 8,372,500 6,555,936 0.1%
* InvesTech Holdings, Ltd. 1,855,000 384,019 0.0%
# Jiangnan Group, Ltd. 9,098,000 1,499,393 0.0%
* JinkoSolar Holding Co., Ltd. ADR 8,870 136,687 0.0%
# Joy City Property, Ltd. 3,202,000 451,679 0.0%
Ju Teng International Holdings, Ltd. 5,266,000 1,668,283 0.0%
K Wah International Holdings, Ltd. 359,000 194,095 0.0%
* Kai Yuan Holdings, Ltd. 13,400,000 151,821 0.0%
#* Kaisa Group Holdings, Ltd. 9,828,000 370,662 0.0%
# Kangda International Environmental Co., Ltd. 2,796,000 657,157 0.0%
* Kasen International Holdings, Ltd. 1,571,000 253,052 0.0%
Kingboard Chemical Holdings, Ltd. 4,301,921 12,716,703 0.2%
Kingboard Laminates Holdings, Ltd. 5,527,500 4,953,103 0.1%
#* Kingdee International Software Group Co., Ltd. 13,089,200 5,315,730 0.1%
* Ko Yo Chemical Group, Ltd. 3,832,000 120,586 0.0%
# Koradior Holdings, Ltd. 996,000 1,259,578 0.0%
KWG Property Holding, Ltd. 9,037,950 5,229,607 0.1%
#* Labixiaoxin Snacks Group, Ltd. 1,729,000 101,219 0.0%
Lai Fung Holdings, Ltd. 28,358,229 611,891 0.0%
Le Saunda Holdings, Ltd. 2,049,799 477,887 0.0%
Lee & Man Chemical Co., Ltd. 998,785 312,789 0.0%
Lee & Man Paper Manufacturing, Ltd. 8,294,000 6,231,889 0.1%
# Lee's Pharmaceutical Holdings, Ltd. 1,115,500 966,750 0.0%
Leoch International Technology, Ltd. 953,000 118,863 0.0%
* Leyou Technologies Holdings, Ltd. 1,015,000 182,638 0.0%
* Li Ning Co., Ltd. 2,291,000 1,636,205 0.0%
* Lianhua Supermarket Holdings Co., Ltd. Class H 2,474,600 1,002,732 0.0%
#* Lifetech Scientific Corp. 11,140,000 2,636,317 0.1%
Livzon Pharmaceutical Group, Inc. Class H 448,880 2,614,206 0.1%
# Logan Property Holdings Co., Ltd. 5,866,000 2,351,999 0.1%
Lonking Holdings, Ltd. 13,178,000 2,154,230 0.1%
* Loudong General Nice Resources China Holdings, Ltd. 8,298,140 585,825 0.0%
# Luye Pharma Group, Ltd. 7,496,500 5,038,719 0.1%
#* Maanshan Iron & Steel Co., Ltd. Class H 7,978,000 1,817,551 0.0%
#* Maoye International Holdings, Ltd. 7,468,000 711,138 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ---------- ---------------
CHINA -- (Continued)
* Microport Scientific Corp. 1,548,000 $1,147,121 0.0%
* MIE Holdings Corp. 4,474,000 443,299 0.0%
MIN XIN Holdings, Ltd. 786,000 845,415 0.0%
* Mingfa Group International Co., Ltd. 7,108,000 1,299,146 0.0%
* Mingyuan Medicare Development Co., Ltd. 6,950,000 38,623 0.0%
Minmetals Land, Ltd. 7,260,000 915,125 0.0%
Minth Group, Ltd. 2,797,000 9,902,300 0.2%
#* MMG, Ltd. 9,946,000 2,615,361 0.1%
MOBI Development Co., Ltd. 1,014,000 168,304 0.0%
Modern Land China Co., Ltd. 618,000 85,844 0.0%
#* Munsun Capital Group, Ltd. 25,260,318 815,432 0.0%
* National Agricultural Holdings, Ltd. 244,000 35,806 0.0%
Nature Home Holding Co., Ltd. 520,000 73,700 0.0%
# NetDragon Websoft Holdings, Ltd. 120,044 387,427 0.0%
New World Department Store China, Ltd. 2,929,462 434,246 0.0%
Nexteer Automotive Group, Ltd. 3,660,000 4,826,780 0.1%
Nine Dragons Paper Holdings, Ltd. 7,431,000 6,041,499 0.1%
* Noah Holdings, Ltd. ADR 2,600 61,256 0.0%
#* North Mining Shares Co., Ltd. 54,950,000 991,807 0.0%
# NVC Lighting Holdings, Ltd. 7,376,000 1,015,982 0.0%
* O-Net Technologies Group, Ltd. 1,268,000 693,499 0.0%
Optics Valley Union Holding Co, Ltd. 3,200,000 341,624 0.0%
* Ourgame International Holdings, Ltd. 678,000 331,125 0.0%
Overseas Chinese Town Asia Holdings, Ltd. 1,554,183 568,689 0.0%
#* Ozner Water International Holding, Ltd. 457,000 95,814 0.0%
# Pacific Online, Ltd. 3,033,365 753,607 0.0%
# Parkson Retail Group, Ltd. 7,237,000 717,291 0.0%
# PAX Global Technology, Ltd. 5,312,000 3,337,108 0.1%
# Peak Sport Products Co., Ltd. 5,195,000 1,729,775 0.0%
# Phoenix Healthcare Group Co., Ltd. 3,325,000 5,283,719 0.1%
# Phoenix Satellite Television Holdings, Ltd. 8,014,000 1,620,768 0.0%
* Ping An Securities Group Holdings, Ltd. 8,000,000 98,210 0.0%
# Poly Culture Group Corp., Ltd. Class H 373,300 1,007,352 0.0%
#* Poly Property Group Co., Ltd. 14,561,000 4,604,002 0.1%
Pou Sheng International Holdings, Ltd. 13,507,806 4,239,065 0.1%
Powerlong Real Estate Holdings, Ltd. 8,604,000 2,920,103 0.1%
* Prosperity International Holdings HK, Ltd. 9,680,000 177,091 0.0%
#* PW Medtech Group, Ltd. 4,922,000 1,538,308 0.0%
* Q Technology Group Co., Ltd. 388,000 194,619 0.0%
Qingdao Port International Co., Ltd. Class H 787,000 481,079 0.0%
Qingling Motors Co., Ltd. Class H 2,764,000 850,154 0.0%
# Qinhuangdao Port Co., Ltd. Class H 981,500 240,251 0.0%
* Qunxing Paper Holdings Co., Ltd. 669,913 32,651 0.0%
* Real Gold Mining, Ltd. 300,500 10,190 0.0%
Real Nutriceutical Group, Ltd. 6,829,000 571,269 0.0%
Red Star Macalline Group Corp., Ltd. Class H 83,000 89,432 0.0%
* Redco Properties Group, Ltd. 1,088,000 391,400 0.0%
#* Renhe Commercial Holdings Co., Ltd. 103,061,000 2,668,406 0.1%
#* REXLot Holdings, Ltd. 59,701,502 1,014,792 0.0%
Road King Infrastructure, Ltd. 2,030,000 1,722,475 0.0%
#* Sany Heavy Equipment International Holdings Co., Ltd. 6,410,000 999,746 0.0%
* Scud Group, Ltd. 1,876,000 47,169 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
* Semiconductor Manufacturing International Corp. 5,482,000 $ 663,913 0.0%
Shandong Chenming Paper Holdings, Ltd. Class H 1,886,000 1,626,282 0.0%
Shandong Weigao Group Medical Polymer Co., Ltd. Class H 10,708,000 6,971,404 0.1%
Shanghai Dasheng Agricultural Finance Technology Co.,
Ltd. 1,840,000 165,816 0.0%
* Shanghai Fudan Microelectronics Group Co., Ltd. Class H 638,000 536,761 0.0%
# Shanghai Fudan-Zhangjiang Bio-Pharmaceutical Co., Ltd.
Class H 945,000 889,460 0.0%
Shanghai Haohai Biological Technology Co., Ltd. Class H 6,500 30,965 0.0%
Shanghai Industrial Holdings, Ltd. 3,132,000 9,575,025 0.2%
Shanghai Industrial Urban Development Group, Ltd. 12,466,000 3,158,107 0.1%
Shanghai Jin Jiang International Hotels Group Co.,
Ltd. Class H 7,356,000 2,139,483 0.1%
Shanghai Prime Machinery Co., Ltd. Class H 5,106,000 1,083,832 0.0%
* Shanghai Zendai Property, Ltd. 9,680,000 190,719 0.0%
Sheen Tai Holdings Grp Co., Ltd. 2,482,000 242,680 0.0%
* Shengli Oil & Gas Pipe Holdings, Ltd. 2,272,500 124,410 0.0%
Shenguan Holdings Group, Ltd. 7,096,000 575,104 0.0%
Shenzhen Expressway Co., Ltd. Class H 4,196,400 4,205,346 0.1%
Shenzhen International Holdings, Ltd. 7,240,222 11,180,429 0.2%
Shenzhen Investment, Ltd. 20,610,874 8,983,503 0.2%
#* Shougang Concord International Enterprises Co., Ltd. 28,172,000 902,770 0.0%
# Shougang Fushan Resources Group, Ltd. 19,046,000 4,117,812 0.1%
# Shui On Land, Ltd. 25,329,143 6,264,072 0.1%
* Shunfeng International Clean Energy, Ltd. 9,212,000 781,291 0.0%
# Sichuan Expressway Co., Ltd. Class H 5,288,000 2,123,396 0.1%
Sihuan Pharmaceutical Holdings Group, Ltd. 26,691,000 6,393,481 0.1%
* Silver Grant International Industries, Ltd. 4,698,000 513,838 0.0%
#* Silverman Holdings, Ltd. 1,818,000 320,724 0.0%
* SIM Technology Group, Ltd. 1,050,000 43,187 0.0%
#* Sino Oil And Gas Holdings, Ltd. 70,712,766 1,744,972 0.0%
* Sino-I Technology, Ltd. 3,950,000 63,998 0.0%
Sino-Ocean Land Holdings, Ltd. 278,000 115,464 0.0%
# Sinofert Holdings, Ltd. 15,347,327 2,014,010 0.0%
* Sinolink Worldwide Holdings, Ltd. 11,704,800 1,368,368 0.0%
# SinoMedia Holding, Ltd. 1,126,000 272,588 0.0%
Sinopec Engineering Group Co., Ltd. Class H 21,500 18,981 0.0%
# Sinopec Kantons Holdings, Ltd. 5,148,000 2,413,736 0.1%
# Sinosoft Technology Group, Ltd. 3,417,599 1,490,124 0.0%
* Sinotrans Shipping, Ltd. 5,155,586 835,644 0.0%
# Sinotrans, Ltd. Class H 11,737,000 5,511,684 0.1%
Sinotruk Hong Kong, Ltd. 4,613,500 2,546,797 0.1%
# Skyworth Digital Holdings, Ltd. 12,399,447 8,003,486 0.2%
# SMI Holdings Group, Ltd. 21,208,066 2,022,638 0.1%
# SOHO China, Ltd. 12,845,000 6,623,489 0.1%
* Sound Global, Ltd. 494,000 123,500 0.0%
#* Sparkle Roll Group, Ltd. 6,040,000 528,201 0.0%
Springland International Holdings, Ltd. 4,587,000 715,613 0.0%
#* SPT Energy Group, Inc. 4,970,000 457,986 0.0%
* SRE Group, Ltd. 21,654,346 634,834 0.0%
# SSY Group, Ltd. 13,363,152 4,526,265 0.1%
Sun King Power Electronics Group 896,000 131,435 0.0%
# Sunac China Holdings, Ltd. 14,681,000 10,019,548 0.2%
Sunshine 100 China Holdings, Ltd. 130,000 55,839 0.0%
Symphony Holdings, Ltd. 2,960,000 293,508 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
Tarena International, Inc. ADR 2,850 $ 46,027 0.0%
* Taung Gold International, Ltd. 3,560,000 53,135 0.0%
# TCC International Holdings, Ltd. 10,116,647 2,567,089 0.1%
#* TCL Multimedia Technology Holdings, Ltd. 3,700,510 1,871,187 0.0%
#* Tech Pro Technology Development, Ltd. 8,466,000 233,287 0.0%
# Technovator International, Ltd. 2,108,000 869,460 0.0%
Tenfu Cayman Holdings Co., Ltd. 185,000 60,539 0.0%
# Tenwow International Holdings, Ltd. 2,644,000 827,594 0.0%
Texhong Textile Group, Ltd. 2,023,500 2,849,277 0.1%
Tian An China Investment Co., Ltd.Tian An China
Investment Co., Ltd. 1,383,000 737,495 0.0%
# Tian Ge Interactive Holdings, Ltd. 61,000 41,051 0.0%
Tian Shan Development Holdings, Ltd. 1,742,000 639,759 0.0%
Tiande Chemical Holdings, Ltd. 64,000 15,828 0.0%
Tiangong International Co., Ltd. 9,886,000 1,247,897 0.0%
Tianjin Capital Environmental Protection Group Co.,
Ltd. Class H 1,936,000 1,080,440 0.0%
Tianjin Development Holdings, Ltd. 2,862,000 1,369,462 0.0%
* Tianjin Jinran Public Utilities Co., Ltd. Class H 1,260,000 113,547 0.0%
Tianjin Port Development Holdings, Ltd. 11,994,800 1,836,415 0.0%
# Tianneng Power International, Ltd. 4,664,048 4,210,272 0.1%
* Tianyi Summi Holdings, Ltd. 3,572,000 505,603 0.0%
# Tibet Water Resources, Ltd. 9,626,000 3,579,647 0.1%
Time Watch Investments, Ltd. 1,456,000 187,647 0.0%
Tomson Group, Ltd. 1,309,229 433,594 0.0%
Tong Ren Tang Technologies Co., Ltd. Class H 3,757,000 6,871,232 0.1%
# Tongda Group Holdings, Ltd. 19,080,000 5,034,745 0.1%
Tonly Electronics Holdings, Ltd. 431,176 227,598 0.0%
Top Spring International Holdings, Ltd. 292,500 87,738 0.0%
# Towngas China Co., Ltd. 6,618,000 3,723,623 0.1%
TPV Technology, Ltd. 5,063,964 965,340 0.0%
# Trigiant Group, Ltd. 3,684,000 592,716 0.0%
* Trony Solar Holdings Co., Ltd. 1,757,000 26,733 0.0%
# Truly International Holdings, Ltd. 8,919,573 3,488,291 0.1%
# Uni-President China Holdings, Ltd. 4,866,000 3,288,423 0.1%
#* United Energy Group, Ltd. 26,848,900 1,617,737 0.0%
#* United Photovoltaics Group, Ltd. 718,000 62,742 0.0%
* Universal Health International Group Holding, Ltd. 7,123,000 320,614 0.0%
Universal Medical Financial & Technical Advisory
Services Co., Ltd. 580,500 500,078 0.0%
#* V1 Group, Ltd. 21,345,600 1,057,990 0.0%
Vinda International Holdings, Ltd. 309,000 611,230 0.0%
Wanguo International Mining Group, Ltd. 154,000 31,740 0.0%
# Wasion Group Holdings, Ltd. 3,374,000 1,982,712 0.0%
Weiqiao Textile Co. Class H 2,668,000 1,778,176 0.0%
Welling Holding, Ltd. 6,558,000 1,307,767 0.0%
#* West China Cement, Ltd. 16,556,000 1,684,393 0.0%
#* Wisdom Sports Group 1,369,000 441,823 0.0%
* Wuzhou International Holdings, Ltd. 9,336,000 963,041 0.0%
# Xiamen International Port Co., Ltd. Class H 6,750,000 1,448,902 0.0%
#* Xinchen China Power Holdings, Ltd. 2,324,000 405,206 0.0%
Xingda International Holdings, Ltd. 6,074,000 2,522,365 0.1%
* Xinhua Winshare Publishing and Media Co., Ltd. Class H 2,347,103 2,392,230 0.1%
* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 4,756,598 519,110 0.0%
# Xinyi Solar Holdings, Ltd. 14,362,000 5,320,495 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
CHINA -- (Continued)
* Xiwang Special Steel Co., Ltd. 1,855,000 $ 181,696 0.0%
XTEP International Holdings, Ltd. 5,155,000 2,281,942 0.1%
* Yanchang Petroleum International, Ltd. 30,550,000 855,379 0.0%
# Yangtze Optical Fibre and Cable Joint Stock, Ltd. Co.
Class H 288,500 562,654 0.0%
# Yashili International Holdings, Ltd. 862,000 175,073 0.0%
Yida China Holdings, Ltd. 1,148,000 470,205 0.0%
Yingde Gases Group Co., Ltd. 7,124,000 2,872,317 0.1%
Yip's Chemical Holdings, Ltd. 1,886,000 764,836 0.0%
* Youyuan International Holdings, Ltd. 2,627,070 606,500 0.0%
* Yuanda China Holdings, Ltd. 12,884,000 333,409 0.0%
* YuanShengTai Dairy Farm, Ltd. 638,000 46,768 0.0%
Yuexiu Property Co., Ltd. 46,202,284 6,768,741 0.1%
# Yuexiu Transport Infrastructure, Ltd. 4,354,018 2,981,675 0.1%
# Yunnan Water Investment Co., Ltd. Class H 225,000 124,219 0.0%
Yuzhou Properties Co., Ltd. 10,003,120 3,712,421 0.1%
#* Zall Group, Ltd. 2,829,000 1,929,639 0.0%
# Zhaojin Mining Industry Co., Ltd. Class H 5,058,000 5,192,733 0.1%
# Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 1,244,600 617,805 0.0%
* Zhong An Real Estate, Ltd. 6,952,400 653,907 0.0%
# Zhongsheng Group Holdings, Ltd. 3,983,000 3,976,726 0.1%
Zhuhai Holdings Investment Group, Ltd. 1,028,000 161,323 0.0%
------------ ----
TOTAL CHINA 763,656,168 13.8%
------------ ----
COLOMBIA -- (0.2%)
Almacenes Exito SA 683,939 3,411,984 0.1%
Bolsa de Valores de Colombia 29,054,344 172,967 0.0%
Celsia SA ESP 1,132,907 1,527,860 0.0%
* Cemex Latam Holdings SA 951,995 3,539,768 0.1%
Constructora Conconcreto SA 293,150 104,321 0.0%
Corp. Financiera Colombiana SA 31,765 393,848 0.0%
Empresa de Telecomunicaciones de Bogota 3,257,689 638,151 0.0%
Grupo Nutresa SA 5,233 43,823 0.0%
Interconexion Electrica SA ESP 213,871 710,584 0.0%
Mineros SA 102,961 71,910 0.0%
* Odinsa SA 19,092 57,147 0.0%
------------ ----
TOTAL COLOMBIA 10,672,363 0.2%
------------ ----
GREECE -- (0.3%)
Aegean Airlines SA 224,579 1,446,728 0.0%
* Astir Palace Vouliagmeni SA 16,695 96,201 0.0%
Athens Water Supply & Sewage Co. SA (The) 125,722 744,352 0.0%
Bank of Greece 142,930 1,594,151 0.1%
* Ellaktor SA 909,399 1,236,032 0.0%
* Fourlis Holdings SA 283,268 1,209,290 0.0%
* GEK Terna Holding Real Estate Construction SA 475,188 1,099,838 0.0%
Hellenic Exchanges--Athens Stock Exchange SA 513,059 2,533,165 0.1%
* Iaso SA 282,999 143,103 0.0%
* Intracom Holdings SA 664,642 237,617 0.0%
* Intralot SA-Integrated Lottery Systems & Services 865,039 1,168,333 0.0%
* Lamda Development SA 92,510 500,762 0.0%
* Marfin Investment Group Holdings SA 6,110,771 877,547 0.0%
Metka Industrial--Construction SA 188,318 1,582,714 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
GREECE -- (Continued)
* Mytilineos Holdings SA 339,544 $ 1,937,568 0.1%
Piraeus Port Authority SA 42,172 583,363 0.0%
Sarantis SA 96,712 1,055,799 0.0%
Terna Energy SA 257,713 786,345 0.0%
----------- ---
TOTAL GREECE 18,832,908 0.3%
----------- ---
HONG KONG -- (0.1%)
Samson Holding, Ltd. 3,498,000 306,440 0.0%
SITC International Holdings Co., Ltd. 5,403,000 3,194,981 0.1%
----------- ---
TOTAL HONG KONG 3,501,421 0.1%
----------- ---
HUNGARY -- (0.1%)
#* FHB Mortgage Bank P.L.C. 27,009 48,139 0.0%
Magyar Telekom Telecommunications P.L.C. 1,251,988 2,069,997 0.1%
Richter Gedeon Nyrt 60,217 1,292,686 0.0%
----------- ---
TOTAL HUNGARY 3,410,822 0.1%
----------- ---
INDIA -- (13.6%)
* 3M India, Ltd. 6,422 1,276,958 0.0%
* 8K Miles Software Services, Ltd. 20,498 243,449 0.0%
Aarti Industries 203,332 2,305,884 0.1%
Aban Offshore, Ltd. 137,519 548,137 0.0%
Abbott India, Ltd. 751 56,286 0.0%
Accelya Kale Solutions, Ltd. 3,300 70,239 0.0%
Adani Enterprises, Ltd. 1,642,031 1,648,389 0.0%
* Adani Power, Ltd. 6,769,452 2,768,312 0.1%
* Adani Transmissions, Ltd. 305,644 207,900 0.0%
Aditya Birla Nuvo, Ltd. 154,471 3,216,604 0.1%
Aegis Logistics, Ltd. 1,171,370 2,777,713 0.1%
Agro Tech Foods, Ltd. 62,964 457,729 0.0%
AIA Engineering, Ltd. 239,329 4,608,008 0.1%
Ajanta Pharma, Ltd. 313,519 9,636,765 0.2%
Akzo Nobel India, Ltd. 73,725 1,826,559 0.0%
Alembic Pharmaceuticals, Ltd. 578,571 5,779,465 0.1%
Alembic, Ltd. 624,014 394,475 0.0%
* Allahabad Bank 1,121,891 1,265,982 0.0%
Allcargo Logistics, Ltd. 424,713 1,204,690 0.0%
* Alok Industries, Ltd. 2,261,524 116,979 0.0%
Amara Raja Batteries, Ltd. 510,176 7,868,614 0.2%
* Amtek Auto, Ltd. 217,501 142,424 0.0%
Anant Raj, Ltd. 343,185 283,272 0.0%
Andhra Bank 1,312,648 1,110,251 0.0%
Apar Industries, Ltd. 102,166 903,909 0.0%
Apollo Hospitals Enterprise, Ltd. 36,359 731,058 0.0%
Apollo Tyres, Ltd. 2,214,640 6,685,161 0.1%
* Arvind Infrastructure, Ltd. 90,703 129,646 0.0%
Arvind, Ltd. 1,766,630 11,011,026 0.2%
Asahi India Glass, Ltd. 438,829 1,269,094 0.0%
Ashiana Housing, Ltd. 10,028 22,156 0.0%
Ashoka Buildcon, Ltd. 190,966 468,204 0.0%
Astral Polytechnik, Ltd. 34,813 233,432 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
* AstraZeneca Pharma India, Ltd. 2,547 $ 38,586 0.0%
Atul, Ltd. 82,504 2,882,406 0.1%
Automotive Axles, Ltd. 11,656 127,827 0.0%
Bajaj Corp., Ltd. 391,982 2,399,578 0.1%
Bajaj Electricals, Ltd. 222,147 889,218 0.0%
* Bajaj Hindusthan Sugar, Ltd. 2,708,567 687,967 0.0%
Bajaj Holdings & Investment, Ltd. 121,535 4,037,641 0.1%
Balkrishna Industries, Ltd. 251,440 4,024,910 0.1%
Ballarpur Industries, Ltd. 1,005,483 252,253 0.0%
Balmer Lawrie & Co., Ltd. 112,703 1,325,618 0.0%
Balrampur Chini Mills, Ltd. 1,374,241 2,401,824 0.1%
* Bank of India 1,787,393 3,071,610 0.1%
* Bank Of Maharashtra 754,510 352,719 0.0%
Bannari Amman Sugars, Ltd. 14,297 434,719 0.0%
BASF India, Ltd. 83,644 1,556,432 0.0%
Bata India, Ltd. 297,663 2,144,842 0.0%
BEML, Ltd. 208,498 2,935,337 0.1%
Berger Paints India, Ltd. 2,563,663 9,940,850 0.2%
* BF Utilities, Ltd. 80,023 656,166 0.0%
* Bharat Financial Inclusion, Ltd. 185,937 2,459,190 0.1%
Bharat Forge, Ltd. 33,152 438,043 0.0%
Biocon, Ltd. 595,447 8,251,580 0.2%
Birla Corp., Ltd. 160,261 1,906,772 0.0%
Bliss Gvs Pharma, Ltd. 27,275 64,552 0.0%
Blue Dart Express, Ltd. 33,361 2,573,310 0.1%
Blue Star, Ltd. 284,385 2,411,634 0.1%
Bombay Dyeing & Manufacturing Co., Ltd. 737,242 637,980 0.0%
Brigade Enterprises, Ltd. 196,245 523,571 0.0%
Can Fin Homes, Ltd. 36,233 1,014,786 0.0%
* Canara Bank 675,656 3,177,069 0.1%
Capital First, Ltd. 63,586 681,025 0.0%
Caplin Point Laboratories, Ltd. 44,790 263,630 0.0%
Carborundum Universal, Ltd. 345,694 1,472,142 0.0%
CCL Products India, Ltd. 515,266 1,949,342 0.0%
Ceat, Ltd. 234,450 4,257,653 0.1%
* Central Bank of India 8,302 11,505 0.0%
Century Plyboards India, Ltd. 613,879 2,306,937 0.1%
Century Textiles & Industries, Ltd. 556,682 7,864,540 0.2%
Cera Sanitaryware, Ltd. 8,805 350,608 0.0%
CESC, Ltd. 701,248 6,581,860 0.1%
Chambal Fertilizers and Chemicals, Ltd. 1,177,352 1,132,662 0.0%
Chennai Petroleum Corp., Ltd. 372,595 1,582,331 0.0%
* Chennai Super Kings Cricket, Ltd. 1,658,632 10,478 0.0%
Cholamandalam Investment and Finance Co., Ltd. 176,521 3,112,837 0.1%
City Union Bank, Ltd. 1,578,425 3,535,415 0.1%
Clariant Chemicals India, Ltd. 64,107 777,443 0.0%
Coromandel International, Ltd. 571,426 2,442,350 0.1%
* Corp. Bank 1,348,710 861,425 0.0%
Cox & Kings, Ltd. 741,911 2,522,408 0.1%
Credit Analysis & Research, Ltd. 76,368 1,713,199 0.0%
CRISIL, Ltd. 83,098 2,786,371 0.1%
* Crompton Greaves Consumer Electricals, Ltd. 3,403,119 9,425,290 0.2%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
* Crompton Greaves, Ltd. 3,403,119 $ 3,913,242 0.1%
Cyient, Ltd. 376,968 2,809,562 0.1%
Dalmia Bharat Sugar & Industries, Ltd. 61,206 109,162 0.0%
Dalmia Bharat, Ltd. 125,249 3,837,259 0.1%
DB Corp., Ltd. 65,948 383,481 0.0%
* DB Realty, Ltd. 681,291 490,699 0.0%
* DCB Bank, Ltd. 2,010,634 3,972,280 0.1%
DCM Shriram, Ltd. 260,162 1,014,542 0.0%
Deepak Fertilisers & Petrochemicals Corp., Ltd. 242,420 801,369 0.0%
Deepak Nitrite, Ltd. 22,445 38,805 0.0%
Delta Corp., Ltd. 740,999 2,036,603 0.0%
* DEN Networks, Ltd. 450,304 523,279 0.0%
* Dena Bank 1,251,365 712,938 0.0%
Dewan Housing Finance Corp., Ltd. 741,376 3,658,678 0.1%
Dhanuka Agritech, Ltd. 12,601 132,253 0.0%
* Dish TV India, Ltd. 4,403,464 6,588,484 0.1%
Dishman Pharmaceuticals & Chemicals, Ltd. 853,143 3,160,278 0.1%
* Dynamatic Technologies, Ltd. 8,543 418,867 0.0%
eClerx Services, Ltd. 145,920 3,331,042 0.1%
Edelweiss Financial Services, Ltd. 2,129,659 3,950,609 0.1%
* EID Parry India, Ltd. 594,774 2,397,873 0.1%
EIH, Ltd. 970,175 1,621,251 0.0%
Electrosteel Castings, Ltd. 607,641 250,964 0.0%
Elgi Equipments, Ltd. 272,744 803,234 0.0%
Engineers India, Ltd. 841,465 3,421,543 0.1%
Entertainment Network India, Ltd. 64,795 759,593 0.0%
* Eros International Media, Ltd. 222,553 661,063 0.0%
Escorts, Ltd. 754,964 4,253,153 0.1%
Essel Propack, Ltd. 502,843 1,821,541 0.0%
Eveready Industries India, Ltd. 259,833 1,012,732 0.0%
Exide Industries, Ltd. 2,409,364 7,173,546 0.1%
FAG Bearings India, Ltd. 33,787 2,266,115 0.1%
FDC, Ltd. 463,177 1,582,196 0.0%
Federal Bank, Ltd. 8,408,191 10,356,427 0.2%
* Federal-Mogul Goetze India, Ltd. 72,593 523,555 0.0%
Finolex Cables, Ltd. 771,546 5,203,701 0.1%
Finolex Industries, Ltd. 423,859 2,950,782 0.1%
* Firstsource Solutions, Ltd. 2,353,285 1,424,685 0.0%
* Fortis Healthcare, Ltd. 994,597 2,693,972 0.1%
* Future Consumer Enterprise, Ltd. 4,235,473 1,453,033 0.0%
Future Enterprises, Ltd. 983,154 252,803 0.0%
* Future Retail Ltd. 983,154 2,489,296 0.1%
Gabriel India, Ltd. 551,025 1,062,169 0.0%
Gateway Distriparks, Ltd. 653,663 2,448,827 0.1%
Gati, Ltd. 220,146 470,642 0.0%
Gayatri Projects, Ltd. 16,854 174,275 0.0%
* GE Power India, Ltd. 186,497 1,461,032 0.0%
GE T&D India, Ltd. 124,100 632,714 0.0%
Genus Power Infrastructures, Ltd. 38,419 27,066 0.0%
Geometric, Ltd. 69,626 242,633 0.0%
GHCL, Ltd. 279,324 1,167,209 0.0%
GIC Housing Finance, Ltd. 58,624 300,109 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
INDIA -- (Continued)
Gillette India, Ltd. 13,197 $ 846,812 0.0%
* Global Offshore Services, Ltd. 47,756 89,452 0.0%
* GMR Infrastructure, Ltd. 15,924,296 3,283,630 0.1%
GOCL Corp., Ltd. 76,450 412,107 0.0%
Godfrey Phillips India, Ltd. 55,383 1,192,432 0.0%
Godrej Industries, Ltd. 392,557 2,570,454 0.1%
* Godrej Properties, Ltd. 538,871 2,941,777 0.1%
Granules India, Ltd. 695,454 1,280,366 0.0%
Graphite India, Ltd. 397,865 470,885 0.0%
Great Eastern Shipping Co., Ltd. (The) 539,630 3,030,024 0.1%
Greaves Cotton, Ltd. 732,046 1,513,864 0.0%
Greenply Industries, Ltd. 36,951 160,837 0.0%
Grindwell Norton, Ltd. 45,754 228,375 0.0%
Gruh Finance, Ltd. 557,873 2,820,677 0.1%
Gujarat Alkalies & Chemicals, Ltd. 194,312 1,198,509 0.0%
Gujarat Fluorochemicals, Ltd. 224,424 1,762,974 0.0%
Gujarat Gas, Ltd. 319,983 2,753,143 0.1%
Gujarat Industries Power Co., Ltd. 116,996 172,065 0.0%
Gujarat Mineral Development Corp., Ltd. 803,287 1,368,842 0.0%
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 266,808 1,127,946 0.0%
Gujarat Pipavav Port, Ltd. 1,038,829 2,602,589 0.1%
Gujarat State Fertilizers & Chemicals, Ltd. 969,096 1,413,011 0.0%
Gujarat State Petronet, Ltd. 1,524,693 3,626,636 0.1%
Gulf Oil Lubricants India, Ltd. 77,668 885,458 0.0%
* GVK Power & Infrastructure, Ltd. 5,289,365 530,573 0.0%
* Hathway Cable & Datacom, Ltd. 2,039,467 939,951 0.0%
Havells India, Ltd. 531,163 3,242,671 0.1%
* HCL Infosystems, Ltd. 477,473 381,809 0.0%
HEG, Ltd. 36,273 94,613 0.0%
* HeidelbergCement India, Ltd. 878,204 1,908,600 0.0%
Hexaware Technologies, Ltd. 1,541,475 4,727,849 0.1%
Hikal, Ltd. 87,713 292,355 0.0%
* Himachal Futuristic Communications, Ltd. 4,863,719 1,122,967 0.0%
Himadri Speciality Chemical, Ltd. 54,927 38,690 0.0%
Himatsingka Seide, Ltd. 235,852 997,024 0.0%
Hinduja Global Solutions, Ltd. 15,689 134,000 0.0%
Hinduja Ventures, Ltd. 27,826 235,439 0.0%
* Hindustan Construction Co., Ltd. 2,507,187 1,365,077 0.0%
Hindustan Media Ventures, Ltd. 16,871 77,293 0.0%
Honeywell Automation India, Ltd. 13,522 1,833,924 0.0%
* Housing Development & Infrastructure, Ltd. 4,006,797 4,954,014 0.1%
HSIL, Ltd. 238,038 1,249,136 0.0%
HT Media, Ltd. 550,399 762,279 0.0%
Huhtamaki PPL, Ltd. 126,615 549,408 0.0%
ICRA, Ltd. 2,834 182,188 0.0%
* IDBI Bank, Ltd. 4,406,806 4,857,706 0.1%
* IFB Industries, Ltd. 26,621 214,852 0.0%
IFCI, Ltd. 5,221,683 2,035,165 0.0%
IIFL Holdings, Ltd. 1,537,220 7,567,399 0.1%
IL&FS Transportation Networks, Ltd. 807,052 1,352,734 0.0%
India Cements, Ltd. (The) 2,012,170 4,776,809 0.1%
* Indiabulls Real Estate, Ltd. 1,891,680 2,461,843 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
INDIA -- (Continued)
Indian Bank 742,128 $2,551,092 0.1%
Indian Hotels Co., Ltd. 2,977,271 5,266,051 0.1%
* Indian Overseas Bank 2,002,490 801,163 0.0%
Indo Count Industries, Ltd. 38,835 482,664 0.0%
Indoco Remedies, Ltd. 303,598 1,300,396 0.0%
Indraprastha Gas, Ltd. 228,271 2,918,525 0.1%
INEOS Styrolution India, Ltd. 23,441 226,875 0.0%
Ingersoll-Rand India, Ltd. 86,228 938,392 0.0%
* Inox Leisure, Ltd. 364,062 1,360,250 0.0%
* Inox Wind, Ltd. 48,299 154,963 0.0%
* Intellect Design Arena, Ltd. 483,603 1,361,036 0.0%
* Ipca Laboratories, Ltd. 375,952 3,487,232 0.1%
IRB Infrastructure Developers, Ltd. 1,582,858 5,593,603 0.1%
* ITD Cementation India, Ltd. 250,417 556,666 0.0%
J Kumar Infraprojects, Ltd. 28,792 93,430 0.0%
Jagran Prakashan, Ltd. 829,730 2,458,274 0.1%
Jai Corp., Ltd. 104,735 113,466 0.0%
Jain Irrigation Systems, Ltd. 3,123,477 5,008,700 0.1%
* Jaiprakash Associates, Ltd. 10,389,053 1,743,846 0.0%
* Jaiprakash Power Ventures, Ltd. 6,493,149 447,260 0.0%
Jammu & Kashmir Bank, Ltd. (The) 2,129,343 2,177,958 0.0%
* Jaypee Infratech, Ltd. 3,812,775 528,535 0.0%
JB Chemicals & Pharmaceuticals, Ltd. 232,209 1,346,712 0.0%
JBF Industries, Ltd. 256,841 935,796 0.0%
* Jet Airways India, Ltd. 107,820 756,316 0.0%
Jindal Poly Films, Ltd. 133,621 846,321 0.0%
Jindal Saw, Ltd. 1,136,957 1,094,453 0.0%
* Jindal Stainless Hisar, Ltd. 42,059 63,084 0.0%
* Jindal Steel & Power, Ltd. 3,202,653 3,620,647 0.1%
* JITF Infralogistics, Ltd. 91,395 56,162 0.0%
JK Cement, Ltd. 195,528 2,791,156 0.1%
JK Lakshmi Cement, Ltd. 456,015 3,383,943 0.1%
JK Tyre & Industries, Ltd. 841,251 1,790,839 0.0%
JM Financial, Ltd. 2,322,187 3,065,925 0.1%
Johnson Controls-Hitachi Air Conditioning India, Ltd. 65,690 1,468,750 0.0%
JSW Energy, Ltd. 3,177,430 3,130,252 0.1%
* JSW Holdings, Ltd. 22,564 415,820 0.0%
Jubilant Foodworks, Ltd. 325,974 4,914,120 0.1%
Jubilant Life Sciences, Ltd. 505,015 5,205,151 0.1%
Just Dial, Ltd. 283,534 1,812,897 0.0%
Jyothy Laboratories, Ltd. 418,266 2,243,915 0.0%
Kajaria Ceramics, Ltd. 663,898 6,215,633 0.1%
Kalpataru Power Transmission, Ltd. 452,177 1,733,500 0.0%
* Kalyani Steels, Ltd. 25,718 124,086 0.0%
Kansai Nerolac Paints, Ltd. 424,293 2,443,571 0.1%
Karnataka Bank, Ltd. (The) 1,274,026 2,333,696 0.1%
Karur Vysya Bank, Ltd. (The) 471,912 3,427,785 0.1%
Kaveri Seed Co., Ltd. 205,478 1,334,757 0.0%
* KAYA, Ltd. 6,469 84,724 0.0%
KCP, Ltd. 50,828 83,841 0.0%
KEC International, Ltd. 766,919 1,454,874 0.0%
* Kesoram Industries, Ltd. 211,137 552,657 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Kewal Kiran Clothing, Ltd. 1,598 $ 46,104 0.0%
Kirloskar Brothers, Ltd. 13,013 36,677 0.0%
Kirloskar Oil Engines, Ltd. 237,212 1,217,064 0.0%
Kitex Garments, Ltd. 48,125 371,425 0.0%
KNR Constructions, Ltd. 3,736 42,525 0.0%
Kolte-Patil Developers, Ltd. 193,641 375,168 0.0%
KPIT Technologies, Ltd. 1,213,375 2,603,785 0.1%
KPR Mill, Ltd. 17,539 308,035 0.0%
KRBL, Ltd. 522,699 1,917,167 0.0%
KSB Pumps, Ltd. 52,540 466,726 0.0%
* KSK Energy Ventures, Ltd. 285,569 112,038 0.0%
Kwality, Ltd. 33,522 72,379 0.0%
L&T Finance Holdings, Ltd. 2,573,059 4,145,982 0.1%
LA Opala RG, Ltd. 31,229 261,611 0.0%
Lakshmi Machine Works, Ltd. 27,311 1,749,758 0.0%
Lakshmi Vilas Bank, Ltd. (The) 578,090 1,329,040 0.0%
* Lanco Infratech, Ltd. 5,107,406 321,257 0.0%
Linde India, Ltd. 18,130 103,459 0.0%
Magma Fincorp, Ltd. 30,522 54,368 0.0%
Maharashtra Seamless, Ltd. 210,955 831,070 0.0%
Mahindra & Mahindra Financial Services, Ltd. 907,487 4,907,790 0.1%
* Mahindra CIE Automotive, Ltd. 128,297 381,394 0.0%
Mahindra Holidays & Resorts India, Ltd. 253,722 1,705,698 0.0%
Mahindra Lifespace Developers, Ltd. 122,860 788,589 0.0%
* Majesco, Ltd. 47,137 311,571 0.0%
Manappuram Finance, Ltd. 2,128,593 3,274,470 0.1%
* Mangalore Refinery & Petrochemicals, Ltd. 1,709,073 2,357,279 0.1%
Marksans Pharma, Ltd. 675,243 528,616 0.0%
Max Financial Services, Ltd. 797,555 6,703,698 0.1%
* MAX India, Ltd. 960,513 2,043,084 0.0%
* Max Ventures & Industries, Ltd. 192,103 157,751 0.0%
Mayur Uniquoters, Ltd. 29,257 190,036 0.0%
McLeod Russel India, Ltd. 504,587 1,287,203 0.0%
Meghmani Organics, Ltd. 161,551 117,843 0.0%
Merck, Ltd. 46,217 583,285 0.0%
Minda Corp., Ltd. 27,678 47,216 0.0%
MindTree, Ltd. 789,676 5,209,825 0.1%
Mirza International, Ltd. 37,315 52,942 0.0%
MOIL, Ltd. 99,057 487,149 0.0%
Monsanto India, Ltd. 47,843 1,682,301 0.0%
Motilal Oswal Financial Services, Ltd. 91,154 811,371 0.0%
Mphasis, Ltd. 584,169 4,495,144 0.1%
MPS, Ltd. 31,842 333,858 0.0%
MRF, Ltd. 9,818 7,030,626 0.1%
Muthoot Finance, Ltd. 411,001 2,246,867 0.1%
* Nagarjuna Fertilizers & Chemicals, Ltd 632,948 115,637 0.0%
Natco Pharma, Ltd. 578,550 5,185,871 0.1%
National Aluminium Co., Ltd. 3,221,651 2,640,233 0.1%
Nava Bharat Ventures, Ltd. 181,310 382,146 0.0%
Navin Fluorine International, Ltd. 3,399 130,909 0.0%
Navneet Education Ltd, Ltd. 710,233 1,190,326 0.0%
NCC, Ltd. 4,554,069 6,327,283 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Nectar Lifesciences, Ltd. 229,932 $ 122,228 0.0%
NESCO, Ltd. 40,504 1,194,962 0.0%
* Network 18 Media & Investments, Ltd. 202,952 128,178 0.0%
NIIT Technologies, Ltd. 341,623 2,101,134 0.0%
* NIIT, Ltd. 706,562 909,889 0.0%
Nilkamal, Ltd. 52,492 1,307,787 0.0%
Nitin Fire Protection Industries, Ltd. 131,281 68,667 0.0%
Oberoi Realty, Ltd. 579,456 3,125,291 0.1%
OCL India, Ltd. 68,931 975,355 0.0%
Omaxe, Ltd. 432,185 1,097,108 0.0%
OnMobile Global, Ltd. 209,843 356,687 0.0%
Orient Cement Ltd. 378,234 1,014,283 0.0%
Orient Paper & Industries, Ltd. 113,249 147,327 0.0%
Oriental Bank of Commerce 588,747 1,136,363 0.0%
Orissa Minerals Development Co., Ltd. 1 36 0.0%
Page Industries, Ltd. 30,296 7,468,737 0.1%
* Parsvnath Developers, Ltd. 242,960 50,014 0.0%
PC Jeweller, Ltd. 449,200 3,433,886 0.1%
Peninsula Land, Ltd. 148,773 45,917 0.0%
Persistent Systems, Ltd. 267,505 2,641,058 0.1%
Petronet LNG, Ltd. 969,508 5,638,624 0.1%
Pfizer, Ltd. 89,525 2,467,635 0.1%
Phoenix Mills, Ltd. (The) 309,840 1,755,450 0.0%
PI Industries, Ltd. 433,038 5,612,989 0.1%
Piramal Enterprises, Ltd. 46,046 1,245,365 0.0%
* Polaris Consulting & Services, Ltd. 26,690 64,386 0.0%
Praj Industries, Ltd. 638,543 803,541 0.0%
Prestige Estates Projects, Ltd. 628,433 1,822,799 0.0%
* Prism Cement, Ltd. 645,641 1,034,038 0.0%
PTC India Financial Services, Ltd. 1,677,018 984,499 0.0%
PTC India, Ltd. 2,237,861 2,489,531 0.1%
* Punj Lloyd, Ltd. 80,032 27,350 0.0%
Puravankara Projects, Ltd. 389,976 284,413 0.0%
PVR, Ltd. 131,694 2,413,439 0.1%
Radico Khaitan, Ltd. 378,681 802,071 0.0%
Rain Industries, Ltd. 1,039,970 818,042 0.0%
Rajesh Exports, Ltd. 77,460 556,963 0.0%
Rallis India, Ltd. 767,908 2,592,180 0.1%
Ramco Cements, Ltd. (The) 573,076 5,442,853 0.1%
Ramco Industries, Ltd. 28,483 110,116 0.0%
* Ramco Systems, Ltd. 28,350 201,759 0.0%
Rashtriya Chemicals & Fertilizers, Ltd. 274,978 201,842 0.0%
Ratnamani Metals & Tubes, Ltd. 48,826 474,594 0.0%
* RattanIndia Power, Ltd. 1,902,746 243,349 0.0%
Raymond, Ltd. 255,278 2,371,032 0.1%
Redington India, Ltd. 1,693,602 2,672,456 0.1%
* REI Agro, Ltd. 1,801,465 17,521 0.0%
Relaxo Footwears, Ltd. 91,065 594,575 0.0%
Reliance Capital, Ltd. 983,665 7,610,811 0.1%
* Reliance Communications, Ltd. 4,294,802 3,007,856 0.1%
* Reliance Defence and Engineering, Ltd. 1,178,647 1,060,109 0.0%
Reliance Infrastructure, Ltd. 1,001,886 8,110,512 0.2%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Reliance Power, Ltd. 5,713,399 $4,016,683 0.1%
Repco Home Finance, Ltd. 120,966 1,368,421 0.0%
* Rolta India, Ltd. 839,332 795,925 0.0%
* Ruchi Soya Industries, Ltd. 838,664 290,510 0.0%
Rural Electrification Corp., Ltd. 216,224 437,153 0.0%
Sadbhav Engineering, Ltd. 369,912 1,557,063 0.0%
Sanghvi Movers, Ltd. 32,366 134,430 0.0%
Sanofi India, Ltd. 34,806 2,261,569 0.1%
Sharda Cropchem, Ltd. 33,148 215,015 0.0%
Shilpa Medicare, Ltd. 55,492 495,610 0.0%
Shilpi Cable Technologies, Ltd. 89,439 272,514 0.0%
* Shipping Corp. of India, Ltd. 975,179 999,966 0.0%
Shoppers Stop, Ltd. 32,032 178,181 0.0%
Shriram City Union Finance, Ltd. 15,929 620,998 0.0%
* Shyam Century Ferrous, Ltd. 137,796 15,226 0.0%
Simplex Infrastructures, Ltd. 101,949 497,834 0.0%
Sintex Industries, Ltd. 3,739,298 5,047,388 0.1%
* SITI Cable Network, Ltd. 1,476,323 764,630 0.0%
SJVN, Ltd. 2,858,624 1,423,336 0.0%
SKF India, Ltd. 128,630 2,703,028 0.1%
Skipper, Ltd. 6,600 14,935 0.0%
SML ISUZU, Ltd. 40,759 814,149 0.0%
Sobha, Ltd. 382,591 1,623,937 0.0%
Solar Industries India, Ltd. 127,860 1,294,700 0.0%
Sona Koyo Steering Systems, Ltd. 406,619 418,373 0.0%
Sonata Software, Ltd. 348,009 818,426 0.0%
South Indian Bank, Ltd. (The) 6,588,178 2,360,491 0.1%
SREI Infrastructure Finance, Ltd. 1,205,273 1,338,103 0.0%
SRF, Ltd. 194,007 5,293,416 0.1%
* Star Ferro and Cement, Ltd. 137,796 237,394 0.0%
State Bank of Bikaner & Jaipur 146,666 1,528,907 0.0%
State Bank of Travancore 104,431 856,243 0.0%
* Steel Authority of India, Ltd. 1,001,996 780,902 0.0%
Sterlite Technologies, Ltd. 1,319,184 2,092,682 0.0%
Strides Arcolab, Ltd. 353,724 5,526,291 0.1%
Sun TV Network, Ltd. 465,140 3,814,044 0.1%
Sundaram Finance, Ltd. 49,927 1,041,820 0.0%
Sundaram-Clayton, Ltd. 3,890 199,130 0.0%
Sundram Fasteners, Ltd. 656,684 3,174,836 0.1%
Sunteck Realty, Ltd. 7,106 31,458 0.0%
Suprajit Engineering, Ltd. 75,657 240,382 0.0%
Supreme Industries, Ltd. 306,783 4,120,509 0.1%
Supreme Petrochem, Ltd. 121,672 421,413 0.0%
Suven Life Sciences, Ltd. 79,826 230,259 0.0%
* Suzlon Energy, Ltd. 7,287,806 1,688,716 0.0%
Swaraj Engines, Ltd. 15,706 323,870 0.0%
Symphony, Ltd. 34,408 658,732 0.0%
* Syndicate Bank 1,354,916 1,495,673 0.0%
TAKE Solutions, Ltd. 380,390 929,785 0.0%
Tamil Nadu Newsprint & Papers, Ltd. 173,348 972,059 0.0%
Tata Chemicals, Ltd. 600,945 4,880,204 0.1%
Tata Communications, Ltd. 796,707 7,542,570 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
Tata Elxsi, Ltd. 199,537 $ 3,881,037 0.1%
Tata Global Beverages, Ltd. 3,132,304 6,533,771 0.1%
Tata Sponge Iron, Ltd. 21,337 190,700 0.0%
* Tata Teleservices Maharashtra, Ltd. 4,512,759 486,573 0.0%
* TCI Express, Ltd. 123,000 526,721 0.0%
Techno Electric & Engineering Co., Ltd. 256,618 1,216,383 0.0%
Texmaco Rail & Engineering, Ltd. 333,325 557,096 0.0%
Thermax, Ltd. 300,916 3,851,104 0.1%
Tide Water Oil Co India, Ltd. 2,638 246,254 0.0%
Time Technoplast, Ltd. 461,614 670,960 0.0%
Timken India, Ltd. 193,866 1,711,205 0.0%
Titagarh Wagons, Ltd. 498,450 870,986 0.0%
Torrent Power, Ltd. 1,124,547 2,925,288 0.1%
Transport Corp. of India, Ltd. 245,999 682,043 0.0%
Trent, Ltd. 449,150 1,372,621 0.0%
* Triveni Engineering & Industries, Ltd. 302,068 275,810 0.0%
Triveni Turbine, Ltd. 537,334 1,026,077 0.0%
TTK Prestige, Ltd. 42,623 4,082,857 0.1%
Tube Investments of India, Ltd. 517,575 5,026,608 0.1%
* TV18 Broadcast, Ltd. 4,850,693 3,270,735 0.1%
TVS Motor Co., Ltd. 2,133,665 13,107,680 0.2%
* UCO Bank 1,352,675 710,555 0.0%
Uflex, Ltd. 232,965 1,114,203 0.0%
UFO Moviez India, Ltd. 10,481 75,633 0.0%
Unichem Laboratories, Ltd. 348,803 1,510,353 0.0%
Union Bank of India 1,530,702 3,358,995 0.1%
* Unitech, Ltd. 12,950,453 1,188,832 0.0%
UPL, Ltd. 206,926 2,153,578 0.0%
V-Guard Industries, Ltd. 973,690 3,077,835 0.1%
VA Tech Wabag, Ltd. 268,108 2,038,406 0.0%
Vakrangee, Ltd. 933,077 3,522,956 0.1%
Vardhman Textiles, Ltd. 169,995 2,893,944 0.1%
Vesuvius India, Ltd. 1,802 32,151 0.0%
* Videocon Industries, Ltd. 981,282 1,529,487 0.0%
* Vijaya Bank 2,025,328 1,329,235 0.0%
Vinati Organics, Ltd. 17,547 155,050 0.0%
VIP Industries, Ltd. 835,829 1,829,482 0.0%
Voltas, Ltd. 1,331,035 7,676,902 0.1%
VST Industries, Ltd. 26,993 953,564 0.0%
VST Tillers Tractors, Ltd. 2,474 71,803 0.0%
WABCO India, Ltd. 25,942 2,236,489 0.0%
Welspun Corp., Ltd. 803,609 866,076 0.0%
* Welspun Enterprises, Ltd. 423,792 405,698 0.0%
Welspun India, Ltd. 2,255,859 1,975,205 0.0%
Wheels India, Ltd. 1,361 26,352 0.0%
* Whirlpool of India, Ltd. 44,021 754,509 0.0%
* Wockhardt, Ltd. 192,217 2,506,478 0.1%
Wonderla Holidays, Ltd. 7,593 45,156 0.0%
Zensar Technologies, Ltd. 122,278 1,697,201 0.0%
* Zuari Agro Chemicals, Ltd. 16,783 60,417 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
INDIA -- (Continued)
Zydus Wellness, Ltd. 109,622 $ 1,441,433 0.0%
------------ ----
TOTAL INDIA 832,255,002 15.1%
------------ ----
INDONESIA -- (3.3%)
Ace Hardware Indonesia Tbk PT 55,426,300 3,628,466 0.1%
Acset Indonusa Tbk PT 65,000 15,406 0.0%
Adaro Energy Tbk PT 1,664,300 202,047 0.0%
Adhi Karya Persero Tbk PT 30,152,288 5,236,835 0.1%
* Agung Podomoro Land Tbk PT 87,141,500 1,922,729 0.0%
AKR Corporindo Tbk PT 4,870,300 2,643,753 0.1%
* Alam Sutera Realty Tbk PT 96,434,500 3,310,880 0.1%
* Aneka Tambang Persero Tbk PT 101,224,438 6,947,234 0.1%
Arwana Citramulia Tbk PT 29,196,500 1,364,535 0.0%
Asahimas Flat Glass Tbk PT 983,000 506,768 0.0%
Astra Agro Lestari Tbk PT 628,100 733,866 0.0%
Astra Graphia Tbk PT 2,211,000 340,930 0.0%
* Asuransi Kresna Mitra Tbk PT 347,600 11,936 0.0%
* Bakrie and Brothers Tbk PT 177,337,600 679,559 0.0%
* Bakrie Sumatera Plantations Tbk PT 48,428,800 185,579 0.0%
* Bakrie Telecom Tbk PT 80,514,398 61,706 0.0%
* Bakrieland Development Tbk PT 49,062,573 188,008 0.0%
Bank Bukopin Tbk 38,103,466 2,014,526 0.1%
* Bank Maybank Indonesia Tbk PT 464,100 13,023 0.0%
* Bank Pan Indonesia Tbk PT 22,715,500 1,391,776 0.0%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 32,686,900 3,982,941 0.1%
Bank Pembangunan Daerah Jawa Timur Tbk PT 13,573,400 556,340 0.0%
* Bank Permata Tbk PT 22,093,600 974,224 0.0%
Bank Tabungan Negara Persero Tbk PT 63,983,449 9,358,823 0.2%
* Bank Tabungan Pensiunan Nasional Tbk PT 149,700 32,908 0.0%
* Bank Windu Kentjana International Tbk 8,745,800 117,549 0.0%
* Barito Pacific Tbk PT 11,454,200 1,246,582 0.0%
Bekasi Fajar Industrial Estate Tbk PT 43,809,700 1,045,701 0.0%
* Benakat Integra Tbk PT 144,968,700 555,643 0.0%
* Berau Coal Energy Tbk PT 40,089,600 47,239 0.0%
* Berlian Laju Tanker Tbk PT 35,106,366 -- 0.0%
BISI International Tbk PT 15,950,900 2,442,297 0.1%
Blue Bird Tbk PT 1,196,300 256,546 0.0%
* Bumi Resources Tbk PT 70,558,100 1,157,187 0.0%
* Bumi Teknokultura Unggul Tbk PT 4,866,900 354,779 0.0%
Catur Sentosa Adiprana Tbk PT 2,970,000 114,925 0.0%
Ciputra Development Tbk PT 70,678,997 8,553,078 0.2%
Ciputra Property Tbk PT 34,358,452 2,003,056 0.1%
Ciputra Surya Tbk PT 8,092,953 1,888,315 0.0%
* Citra Marga Nusaphala Persada Tbk PT 15,462,675 1,797,306 0.0%
* Clipan Finance Indonesia Tbk PT 1,482,000 28,411 0.0%
* Darma Henwa Tbk PT 44,204,800 189,720 0.0%
* Davomas Abadi Tbk PT 11,631,700 -- 0.0%
* Delta Dunia Makmur Tbk PT 15,842,900 580,645 0.0%
Dharma Satya Nusantara Tbk PT 1,751,000 53,417 0.0%
* Eagle High Plantations Tbk PT 94,267,600 1,377,976 0.0%
Elnusa Tbk PT 37,533,200 1,299,901 0.0%
* Energi Mega Persada Tbk PT 235,782,700 903,521 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ---------- ---------------
INDONESIA -- (Continued)
Erajaya Swasembada Tbk PT 13,155,200 $ 659,563 0.0%
* Eureka Prima Jakarta Tbk PT 11,597,800 87,157 0.0%
* Ever Shine Textile Tbk PT 3,654,640 31,090 0.0%
Fajar Surya Wisesa Tbk PT 725,900 161,830 0.0%
* Gajah Tunggal Tbk PT 18,306,100 1,750,258 0.0%
* Garuda Indonesia Persero Tbk PT 38,797,149 1,117,714 0.0%
Global Mediacom Tbk PT 39,701,000 2,583,482 0.1%
* Hanson International Tbk PT 271,438,900 2,909,263 0.1%
* Harum Energy Tbk PT 8,643,000 1,316,228 0.0%
Hexindo Adiperkasa Tbk PT 508,500 131,284 0.0%
Holcim Indonesia Tbk PT 6,399,300 473,255 0.0%
Indah Kiat Pulp & Paper Corp. Tbk PT 22,194,700 1,803,203 0.0%
* Indika Energy Tbk PT 6,817,000 342,432 0.0%
Indo Tambangraya Megah Tbk PT 3,117,200 3,421,396 0.1%
* Indo-Rama Synthetics Tbk PT 135,700 7,754 0.0%
Indomobil Sukses Internasional Tbk PT 33,000 3,340 0.0%
Industri Jamu Dan Farmasi Sido Muncul Tbk PT 14,495,400 626,843 0.0%
* Inovisi Infracom Tbk PT 1,806,467 3,037 0.0%
Intiland Development Tbk PT 64,223,432 2,831,962 0.1%
Japfa Comfeed Indonesia Tbk PT 41,464,200 5,984,075 0.1%
Jaya Real Property Tbk PT 10,131,400 701,484 0.0%
* Kawasan Industri Jababeka Tbk PT 166,302,079 3,822,601 0.1%
* Krakatau Steel Persero Tbk PT 26,049,500 1,317,661 0.0%
Link Net Tbk PT 3,114,700 1,193,385 0.0%
* Lippo Cikarang Tbk PT 4,298,600 1,993,141 0.0%
Lippo Karawaci Tbk PT 37,267,500 2,577,899 0.1%
* Malindo Feedmill Tbk PT 7,226,400 1,004,879 0.0%
Matahari Putra Prima Tbk PT 10,331,828 1,427,862 0.0%
* Medco Energi Internasional Tbk PT 14,956,600 1,498,015 0.0%
Media Nusantara Citra Tbk PT 7,213,500 1,160,254 0.0%
* Mitra Adiperkasa Tbk PT 7,927,400 3,341,168 0.1%
Mitra Pinasthika Mustika Tbk PT 4,326,800 242,655 0.0%
* MNC Investama Tbk PT 180,626,800 1,909,345 0.0%
* MNC Sky Vision Tbk PT 1,540,200 116,277 0.0%
* Modernland Realty Tbk PT 83,602,800 2,345,464 0.1%
* Multipolar Tbk PT 62,638,500 1,831,162 0.0%
* Multistrada Arah Sarana Tbk PT 6,288,800 92,774 0.0%
Nippon Indosari Corpindo Tbk PT 17,649,400 2,238,925 0.1%
* Nirvana Development Tbk PT 16,367,300 122,996 0.0%
* Nusantara Infrastructure Tbk PT 118,938,800 1,212,678 0.0%
Pabrik Kertas Tjiwi Kimia Tbk PT 1,245,900 75,832 0.0%
* Pacific Strategic Financial Tbk PT 8,023,600 159,754 0.0%
Pakuwon Jati Tbk PT 8,341,500 460,235 0.0%
Pan Brothers Tbk PT 38,227,100 1,271,088 0.0%
* Panin Financial Tbk PT 180,348,000 2,639,762 0.1%
Panin Sekuritas Tbk PT 31,500 9,058 0.0%
* Paninvest Tbk PT 8,124,500 435,808 0.0%
Pembangunan Perumahan Persero Tbk PT 17,817,900 5,619,435 0.1%
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 35,168,600 4,106,338 0.1%
PP Properti Tbk PT 10,387,000 1,076,462 0.0%
Ramayana Lestari Sentosa Tbk PT 36,237,000 3,803,492 0.1%
Resource Alam Indonesia Tbk PT 491,200 57,514 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
INDONESIA -- (Continued)
Salim Ivomas Pratama Tbk PT 35,689,900 $ 1,367,579 0.0%
Samindo Resources Tbk PT 419,450 22,502 0.0%
Sampoerna Agro PT 6,143,100 901,323 0.0%
Sawit Sumbermas Sarana Tbk PT 34,100,400 3,972,119 0.1%
* Sekawan Intipratama Tbk PT 9,367,900 7,180 0.0%
Selamat Sempurna Tbk PT 5,514,200 1,916,211 0.0%
Semen Baturaja Persero Tbk PT 26,614,600 4,025,746 0.1%
Sentul City Tbk PT 270,892,300 1,890,045 0.0%
* Sigmagold Inti Perkasa Tbk PT 18,070,700 157,883 0.0%
* Siloam International Hospitals Tbk PT 2,491,600 1,982,031 0.0%
* Sinar Mas Agro Resources & Technology Tbk PT 1,037,460 358,490 0.0%
Sri Rejeki Isman Tbk PT 117,436,931 2,284,626 0.1%
Steel Pipe Industry of Indonesia PT 5,809,800 106,030 0.0%
* Sugih Energy Tbk PT 162,320,200 622,012 0.0%
Summarecon Agung Tbk PT 33,005,364 4,169,270 0.1%
* Surabaya Agung Industri Pulp & Kertas Tbk PT 64,500 -- 0.0%
* Surya Dumai Industries Tbk 3,298,500 -- 0.0%
Surya Semesta Internusa Tbk PT 41,987,600 1,816,207 0.0%
* Suryainti Permata Tbk PT 7,252,000 -- 0.0%
Tambang Batubara Bukit Asam Persero Tbk PT 5,646,500 5,152,177 0.1%
Tempo Scan Pacific Tbk PT 1,225,200 201,835 0.0%
* Texmaco Jaya Tbk PT 93,000 -- 0.0%
* Tiga Pilar Sejahtera Food Tbk 19,616,600 3,123,445 0.1%
Timah Persero Tbk PT 33,440,314 2,383,132 0.1%
Tiphone Mobile Indonesia Tbk PT 22,344,300 1,189,828 0.0%
Total Bangun Persada Tbk PT 16,441,300 1,088,172 0.0%
Tower Bersama Infrastructure Tbk PT 563,600 258,003 0.0%
Trias Sentosa Tbk PT 34,049,500 628,711 0.0%
* Trimegah Securities Tbk PT 1,374,300 7,053 0.0%
* Truba Alam Manunggal Engineering PT 21,316,500 16,337 0.0%
Tunas Baru Lampung Tbk PT 15,826,700 1,358,347 0.0%
Tunas Ridean Tbk PT 12,965,700 1,390,758 0.0%
* Ultrajaya Milk Industry & Trading Co. Tbk PT 3,657,400 1,328,008 0.0%
* Unggul Indah Cahaya Tbk PT 48,239 6,182 0.0%
* Vale Indonesia Tbk PT 18,821,900 3,924,810 0.1%
* Visi Media Asia Tbk PT 55,056,100 1,071,066 0.0%
Wijaya Karya Beton Tbk PT 16,220,900 1,104,731 0.0%
Wijaya Karya Persero Tbk PT 16,460,000 3,242,103 0.1%
* XL Axiata Tbk PT 1,910,500 322,125 0.0%
------------ ---
TOTAL INDONESIA 201,825,238 3.6%
------------ ---
MALAYSIA -- (3.9%)
7-Eleven Malaysia Holdings Bhd Class B 574,000 238,044 0.0%
* Adventa Bhd 4,600 828 0.0%
# Aeon Co. M Bhd 4,094,700 2,758,670 0.1%
# Aeon Credit Service M Bhd 150,000 526,816 0.0%
Affin Holdings Bhd 1,512,020 792,502 0.0%
# AirAsia Bhd 5,660,200 3,736,958 0.1%
#* AirAsia X Bhd 9,543,100 955,011 0.0%
Ajinomoto Malaysia Bhd 15,200 49,238 0.0%
#* Alam Maritim Resources Bhd 3,698,500 228,678 0.0%
Alliance Financial Group Bhd 701,200 667,018 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
Allianz Malaysia Bhd 64,200 $ 155,121 0.0%
Amway Malaysia Holdings Bhd 399,300 779,812 0.0%
# Ann Joo Resources Bhd 787,050 397,751 0.0%
* Anson Perdana Bhd 10,000 -- 0.0%
APM Automotive Holdings Bhd 256,900 207,203 0.0%
* Barakah Offshore Petroleum Bhd 1,884,200 305,021 0.0%
Benalec Holdings Bhd 6,159,000 564,736 0.0%
Berjaya Assets Bhd 848,300 161,765 0.0%
Berjaya Auto Bhd 4,053,800 2,201,417 0.1%
Berjaya Corp. Bhd 26,060,900 2,017,890 0.1%
Berjaya Food Bhd 152,600 64,685 0.0%
* Berjaya Land Bhd 3,734,000 534,380 0.0%
Berjaya Sports Toto Bhd 2,392,667 1,819,351 0.0%
BIMB Holdings Bhd 1,170,808 1,228,359 0.0%
Bina Darulaman Bhd 195,000 30,663 0.0%
Bintulu Port Holdings Bhd 25,900 41,581 0.0%
BLD Plantation Bhd 21,400 43,667 0.0%
Bonia Corp. Bhd 1,427,000 210,927 0.0%
# Boustead Holdings Bhd 2,286,428 1,193,452 0.0%
# Boustead Plantations Bhd 336,400 119,427 0.0%
#* Bumi Armada Bhd 13,382,700 2,243,971 0.1%
# Bursa Malaysia Bhd 3,739,900 7,709,488 0.2%
# Cahya Mata Sarawak Bhd 3,362,500 3,078,186 0.1%
Can-One Bhd 435,800 358,081 0.0%
# Carlsberg Brewery Malaysia Bhd Class B 1,150,900 3,998,989 0.1%
* Carotech Bhd 230,650 220 0.0%
CB Industrial Product Holding Bhd 2,940,340 1,393,696 0.0%
Chin Teck Plantations Bhd 33,000 61,752 0.0%
Coastal Contracts Bhd 2,541,666 926,415 0.0%
Crescendo Corp. Bhd 19,900 7,164 0.0%
CSC Steel Holdings Bhd 555,500 277,956 0.0%
Cypark Resources Bhd 1,253,500 665,946 0.0%
* D&O Green Technologies Bhd 149,900 11,957 0.0%
Daibochi Plastic & Packaging Industry Bhd 110,880 58,098 0.0%
# Datasonic Group Bhd 3,340,500 1,138,129 0.0%
* Datuk Keramik Holdings Bhd 24,000 -- 0.0%
* Daya Materials Bhd 12,728,700 197,075 0.0%
#* Dayang Enterprise Holdings Bhd 2,789,596 570,154 0.0%
* Destinii Bhd 466,400 95,054 0.0%
DKSH Holdings Malaysia Bhd 119,000 176,962 0.0%
DRB-Hicom Bhd 8,799,100 2,663,036 0.1%
Dutch Lady Milk Industries Bhd 136,700 1,913,234 0.1%
# Eastern & Oriental Bhd 7,220,347 2,701,955 0.1%
* Eco World Development Group Bhd 3,417,300 1,106,983 0.0%
Econpile Holldings Bhd 473,200 217,558 0.0%
Ekovest BHD 339,200 176,899 0.0%
# Evergreen Fibreboard Bhd 5,840,550 1,461,542 0.0%
FAR East Holdings Bhd 61,500 115,079 0.0%
Felda Global Ventures Holdings Bhd 3,643,500 1,744,803 0.0%
* Fountain View Development Bhd 808,200 -- 0.0%
Gadang Holdings Bhd 646,200 436,926 0.0%
Gas Malaysia Bhd 409,200 250,611 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
GD Express Carrier Bhd 49,286 $ 19,844 0.0%
George Kent Malaysia Bhd 343,500 203,004 0.0%
Global Oriental Bhd 766,800 59,402 0.0%
# Globetronics Technology Bhd 1,817,860 1,581,036 0.0%
Glomac Bhd 2,854,800 525,680 0.0%
* Golden Plus Holding Bhd 216,000 -- 0.0%
Goldis Bhd 604,277 375,207 0.0%
GuocoLand Malaysia Bhd 1,535,500 442,089 0.0%
Hai-O Enterprise Bhd 694,080 661,711 0.0%
# HAP Seng Consolidated Bhd 2,021,140 3,755,048 0.1%
Hap Seng Plantations Holdings Bhd 1,606,900 926,532 0.0%
# Heineken Malaysia Bhd 871,100 3,566,480 0.1%
HeveaBoard Bhd 343,200 110,258 0.0%
Hiap Teck Venture Bhd 999,700 82,066 0.0%
* Hibiscus Petroleum Bhd 381,400 26,723 0.0%
# Hock Seng LEE BHD 1,539,316 638,669 0.0%
# Hong Leong Industries Bhd 707,800 1,682,637 0.0%
Hovid Bhd 3,670,800 332,362 0.0%
Hua Yang Bhd 1,953,866 567,830 0.0%
# Hume Industries Bhd 281,872 214,377 0.0%
Hup Seng Industries Bhd 1,433,633 423,868 0.0%
I-Bhd 2,682,700 399,407 0.0%
IFCA MSC Bhd 2,812,900 287,771 0.0%
IJM Plantations Bhd 1,755,200 1,549,398 0.0%
# Inari Amertron Bhd 3,744,265 2,990,002 0.1%
Inch Kenneth Kajang Rubber P.L.C. 1,045,300 172,456 0.0%
Insas Bhd 5,151,681 895,814 0.0%
* Iris Corp. Bhd 12,817,700 503,633 0.0%
#* Iskandar Waterfront City Bhd 3,063,100 663,336 0.0%
* JAKS Resources Bhd 3,430,900 850,527 0.0%
Jaya Tiasa Holdings Bhd 2,906,327 961,416 0.0%
# JCY International Bhd 3,967,600 496,035 0.0%
* K&N Kenanga Holdings Bhd 1,871,360 216,355 0.0%
# Karex Bhd 1,586,049 921,735 0.0%
Keck Seng Malaysia Bhd 847,250 969,237 0.0%
Kian JOO CAN Factory Bhd 1,818,380 1,218,089 0.0%
Kim Loong Resources Bhd 308,960 242,912 0.0%
# Kimlun Corp. Bhd 684,174 346,912 0.0%
#* KNM Group Bhd 16,121,380 1,532,323 0.0%
# Kossan Rubber Industries 4,046,900 6,509,601 0.1%
# KPJ Healthcare Bhd 6,462,625 6,470,417 0.1%
* Kretam Holdings Bhd 3,550,900 452,556 0.0%
# KSL Holdings Bhd 5,205,118 1,376,416 0.0%
* Kumpulan Europlus Bhd 406,000 86,557 0.0%
Kumpulan Fima Bhd 880,850 377,717 0.0%
Kumpulan Perangsang Selangor Bhd 2,341,100 741,252 0.0%
* Kwantas Corp. Bhd 380,200 135,218 0.0%
Lafarge Malaysia Bhd 6,100 11,769 0.0%
Land & General Bhd 8,740,800 781,227 0.0%
* Landmarks Bhd 1,775,200 321,189 0.0%
# LBS Bina Group Bhd 2,747,700 1,139,727 0.0%
Lingkaran Trans Kota Holdings Bhd 1,014,000 1,425,172 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
* Lion Industries Corp. Bhd 145,500 $ 14,590 0.0%
# LPI Capital Bhd 215,670 864,634 0.0%
Magni-Tech Industries Bhd 23,600 23,735 0.0%
# Magnum Bhd 4,584,300 2,523,188 0.1%
Mah Sing Group Bhd 12,864,787 4,687,082 0.1%
Malayan Flour Mills Bhd 1,751,450 604,915 0.0%
Malaysia Building Society Bhd 8,705,162 1,897,759 0.1%
#* Malaysia Marine and Heavy Engineering Holdings Bhd 3,177,300 755,476 0.0%
#* Malaysian Bulk Carriers Bhd 2,970,000 533,977 0.0%
# Malaysian Pacific Industries Bhd 782,313 1,474,615 0.0%
# Malaysian Resources Corp. Bhd 11,294,249 3,631,697 0.1%
Malton Bhd 930,100 144,214 0.0%
* Mancon Bhd 12,000 -- 0.0%
Matrix Concepts Holdings Bhd 2,150,067 1,327,181 0.0%
# MBM Resources Bhd 1,460,796 894,171 0.0%
Media Chinese International, Ltd. 3,771,300 615,224 0.0%
Media Prima Bhd 7,456,803 2,135,013 0.1%
Mega First Corp. Bhd 556,300 306,397 0.0%
* Mems Technology Bhd 1,917,000 -- 0.0%
# Mitrajaya Holdings Bhd 2,130,500 695,276 0.0%
MK Land Holdings Bhd 3,019,200 216,101 0.0%
# MKH Bhd 1,776,790 1,173,637 0.0%
MMC Corp. Bhd 427,200 243,577 0.0%
* MNRB Holdings Bhd 822,500 619,466 0.0%
#* MPHB Capital Bhd 1,265,200 400,857 0.0%
* Mudajaya Group Bhd 2,123,966 490,468 0.0%
Muhibbah Engineering M Bhd 3,331,650 1,824,426 0.0%
#* Mulpha International Bhd 15,624,800 781,583 0.0%
# My EG Services Bhd 13,131,900 7,624,306 0.2%
#* Naim Holdings Bhd 1,751,900 647,712 0.0%
* Nikko Electronics Bhd 36,600 -- 0.0%
NTPM Holdings Bhd 640,000 128,108 0.0%
OCK Group Bhd 1,075,300 208,781 0.0%
Oldtown Bhd 2,211,650 1,032,744 0.0%
Oriental Holdings Bhd 240,900 400,258 0.0%
OSK Holdings Bhd 5,407,570 1,947,254 0.1%
Pacific & Orient Bhd 205,000 63,519 0.0%
# Padini Holdings Bhd 4,458,400 3,006,742 0.1%
Panasonic Manufacturing Malaysia Bhd 157,684 1,390,436 0.0%
* Panglobal Bhd 14,000 -- 0.0%
Pantech Group Holdings Bhd 1,685,109 222,757 0.0%
Paramount Corp. Bhd 410,525 140,644 0.0%
#* Parkson Holdings Bhd 4,700,647 845,781 0.0%
* Perisai Petroleum Teknologi Bhd 8,013,100 76,313 0.0%
# PESTECH International Bhd 924,200 372,302 0.0%
Petron Malaysia Refining & Marketing Bhd 28,100 28,322 0.0%
# Pharmaniaga Bhd 709,060 937,930 0.0%
Pie Industrial Bhd 932,100 433,393 0.0%
Pos Malaysia Bhd 3,078,300 2,935,030 0.1%
Power Root Bhd 189,500 94,315 0.0%
# Press Metal Bhd 3,826,700 3,976,080 0.1%
# Prestariang Bhd 2,146,600 1,150,539 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
* Prime Utilities Bhd 3,000 $ -- 0.0%
Protasco Bhd 1,993,000 755,573 0.0%
# Puncak Niaga Holdings Bhd 1,730,720 448,851 0.0%
QL Resources Bhd 3,995,330 4,209,797 0.1%
#* Rimbunan Sawit Bhd 3,525,300 428,359 0.0%
# Salcon Bhd 6,443,600 944,030 0.0%
Sam Engineering & Equipment M Bhd 19,300 31,534 0.0%
Sarawak Cable Bhd 405,600 122,647 0.0%
Sarawak Oil Palms Bhd 506,260 447,376 0.0%
Scicom MSC Bhd 24,100 12,386 0.0%
# Scientex Bhd 1,593,924 2,475,528 0.1%
* Scomi Energy Services Bhd 1,180,400 46,508 0.0%
* Scomi Group Bhd 10,376,100 283,073 0.0%
SEG International Bhd 85,100 22,505 0.0%
Selangor Dredging Bhd 1,118,200 231,550 0.0%
Selangor Properties Bhd 217,400 259,142 0.0%
Shangri-La Hotels Malaysia Bhd 418,700 524,604 0.0%
* Shell Refining Co. Federation of Malaya Bhd 24,000 17,445 0.0%
SHL Consolidated Bhd 246,000 173,578 0.0%
# SKP Resources Bhd 1,662,500 534,715 0.0%
# Star Media Group Bhd 2,042,700 1,226,553 0.0%
#* Sumatec Resources Bhd 9,919,300 152,726 0.0%
Sunway Bhd 3,713,160 2,761,527 0.1%
Sunway Construction Group Bhd 419,336 166,946 0.0%
# Supermax Corp. Bhd 5,273,400 2,726,201 0.1%
Suria Capital Holdings Bhd 699,800 346,750 0.0%
# Syarikat Takaful Malaysia Bhd 2,576,100 2,606,676 0.1%
Symphony Life Bhd 583,326 94,575 0.0%
Ta Ann Holdings Bhd 1,719,789 1,447,794 0.0%
# TA Enterprise Bhd 10,182,800 1,163,776 0.0%
TA Global Bhd 9,613,540 503,784 0.0%
* Talam Transform Bhd 5,646,800 52,240 0.0%
# Taliworks Corp. Bhd 1,682,350 612,772 0.0%
Tambun Indah Land Bhd 1,602,800 568,993 0.0%
# TAN Chong Motor Holdings Bhd 1,992,000 905,559 0.0%
* Tanjung Offshore Bhd 164,800 12,128 0.0%
Tasek Corp. Bhd 86,800 298,721 0.0%
# TDM Bhd 8,175,800 1,352,932 0.0%
#* TH Plantations Bhd 1,665,860 448,527 0.0%
# Time dotCom Bhd 2,063,588 3,936,647 0.1%
Tiong NAM Logistics Holdings 1,707,100 691,323 0.0%
TMC Life Sciences Bhd 356,400 80,281 0.0%
# Top Glove Corp. Bhd 4,558,020 5,374,837 0.1%
Tropicana Corp. Bhd 4,391,146 1,063,737 0.0%
# TSH Resources Bhd 4,162,900 1,905,145 0.1%
# Tune Protect Group Bhd 3,784,000 1,405,350 0.0%
Uchi Technologies Bhd 1,848,100 783,509 0.0%
# UEM Edgenta Bhd 3,056,000 2,442,440 0.1%
# UEM Sunrise Bhd 10,750,100 2,864,659 0.1%
UMW Holdings Bhd 104,400 147,899 0.0%
#* UMW Oil & Gas Corp. Bhd 5,300,100 1,070,110 0.0%
Unisem M Bhd 3,949,890 2,398,105 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
MALAYSIA -- (Continued)
United Malacca Bhd 396,150 $ 526,079 0.0%
United Plantations Bhd 435,200 2,893,190 0.1%
United U-Li Corp. Bhd 613,900 546,102 0.0%
# UOA Development Bhd 4,447,600 2,727,740 0.1%
#* Uzma Bhd 900,800 358,970 0.0%
ViTrox Corp. Bhd 13,200 11,733 0.0%
* Vivocom International Holdings Bhd 941,900 37,008 0.0%
# VS Industry Bhd 6,195,630 2,094,638 0.1%
# Wah Seong Corp. Bhd 2,769,369 566,843 0.0%
# WCT Holdings Bhd 7,695,299 3,114,349 0.1%
Wellcall Holdings Bhd 1,993,800 931,698 0.0%
Wing Tai Malaysia Bhd 1,065,150 273,682 0.0%
WTK Holdings Bhd 2,688,000 691,756 0.0%
# Yinson Holdings Bhd 1,866,900 1,392,605 0.0%
* YNH Property Bhd 3,632,788 1,353,242 0.0%
YTL Corp. Bhd 1,018,333 386,096 0.0%
* YTL Land & Development Bhd 1,204,600 167,749 0.0%
Zhulian Corp. Bhd 905,033 295,336 0.0%
------------ ---
TOTAL MALAYSIA 237,523,653 4.3%
------------ ---
MEXICO -- (3.1%)
Alpek S.A.B. de C.V. 3,571,730 5,317,628 0.1%
# Alsea S.A.B. de C.V. 6,071,804 22,654,019 0.4%
#* Axtel S.A.B. de C.V. 7,758,264 1,916,888 0.0%
# Banregio Grupo Financiero S.A.B. de C.V. 2,236,173 14,657,398 0.3%
* Bio Pappel S.A.B. de C.V. 500,354 656,514 0.0%
# Bolsa Mexicana de Valores S.A.B. de C.V. 4,824,428 7,721,229 0.1%
* Cia Minera Autlan S.A.B. de C.V. Series B 6,856 2,688 0.0%
# Consorcio ARA S.A.B. de C.V. Series * 8,857,727 3,350,762 0.1%
* Controladora Vuela Cia de Aviacion S.A.B. de C.V. ADR 136,591 2,610,254 0.1%
* Controladora Vuela Cia de Aviacion S.A.B. de C.V.
Class A 751,769 1,436,638 0.0%
* Corp Interamericana de Entretenimiento S.A.B. de C.V.
Class B 960,372 914,592 0.0%
Corp. Actinver S.A.B. de C.V. 187,852 133,080 0.0%
# Corp. Inmobiliaria Vesta S.A.B. de C.V. 5,109,468 7,723,269 0.1%
* Corp. Mexicana de Restaurantes S.A.B. de C.V. 1,323 566 0.0%
Corp. Moctezuma S.A.B. de C.V. Series * 861,300 2,709,306 0.1%
Corporativo Fragua S.A.B. de C.V. 3 34 0.0%
Corporativo GBM S.A.B. de C.V. 22,477 17,517 0.0%
# Credito Real S.A.B. de C.V. SOFOM ER 1,265,645 2,325,583 0.1%
Cydsa S.A.B. de C.V. 3,875 4,868 0.0%
* Desarrolladora Homex S.A.B. de C.V. 297,848 29,941 0.0%
* Empaques Ponderosa S.A. de C.V. 206,000 -- 0.0%
#* Empresas ICA S.A.B. de C.V. 2,446,496 396,078 0.0%
* Financiera Independencia S.A.B. de C.V. SOFOM ENR 62,171 12,170 0.0%
#* Genomma Lab Internacional S.A.B. de C.V. Class B 7,465,092 8,957,636 0.2%
Gentera S.A.B. de C.V. 7,327,998 14,453,614 0.3%
#* Grupo Aeromexico S.A.B. de C.V. 2,880,666 5,665,010 0.1%
# Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 2,202,376 12,852,340 0.2%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 2,587 249,982 0.0%
Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 230,281 3,666,026 0.1%
Grupo Cementos de Chihuahua S.A.B. de C.V. 818,100 2,629,468 0.1%
# Grupo Comercial Chedraui S.A. de C.V. 2,709,861 6,027,330 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MEXICO -- (Continued)
# Grupo Elektra S.A.B. de C.V. 13,970 $ 193,308 0.0%
#* Grupo Famsa S.A.B. de C.V. Class A 2,699,175 1,169,581 0.0%
# Grupo Financiero Interacciones SA de C.V. Class O 706,913 3,459,576 0.1%
# Grupo Herdez S.A.B. de C.V. Series * 1,940,274 4,699,526 0.1%
Grupo Industrial Maseca S.A.B. de C.V. Class B 592,181 720,292 0.0%
Grupo Industrial Saltillo S.A.B. de C.V. 280,066 560,991 0.0%
Grupo KUO S.A.B. de C.V. Series B 758,658 1,505,194 0.0%
* Grupo Pochteca S.A.B. de C.V. 585,177 284,214 0.0%
* Grupo Posadas S.A.B. de C.V. 198,900 499,170 0.0%
* Grupo Qumma SA de C.V. Series B 105,334 -- 0.0%
# Grupo Rotoplas S.A.B. de C.V. 72,647 114,499 0.0%
Grupo Sanborns S.A.B. de C.V. 423,797 527,140 0.0%
#* Grupo Simec S.A.B. de C.V. Series B 1,622,050 5,670,867 0.1%
* Grupo Simec S.A.B. de C.V. Sponsored ADR 5,180 54,545 0.0%
* Grupo Sports World S.A.B. de C.V. 583,706 521,911 0.0%
#* Hoteles City Express S.A.B. de C.V. 874,421 898,894 0.0%
Industrias Bachoco S.A.B. de C.V. Series B 1,340,394 5,922,951 0.1%
Industrias Bachoco S.A.B. de C.V. Sponsored ADR 36,780 1,945,662 0.0%
#* Industrias CH S.A.B. de C.V. Series B 2,280,755 10,775,695 0.2%
#* La Comer S.A.B. de C.V. 1,431,154 1,313,715 0.0%
#* Maxcom Telecomunicaciones S.A.B. de C.V. 201,450 117,240 0.0%
Megacable Holdings S.A.B. de C.V. 1,429,103 5,230,694 0.1%
#* Minera Frisco S.A.B. de C.V. Class A1 1,792,881 1,392,492 0.0%
* OHL Mexico S.A.B. de C.V. 3,845,479 4,512,604 0.1%
# Organizacion Cultiba S.A.B. de C.V. 1,165,725 1,287,164 0.0%
# Qualitas Controladora S.A.B. de C.V. 1,043,695 1,924,383 0.0%
# Rassini S.A.B. de C.V. 118,548 550,310 0.0%
Rassini S.A.B. De C.V. Class A 13,050 30,283 0.0%
* Sanluis Corp. S.A.B. de C.V. 4,642 -- 0.0%
* Sanluis Corp. S.A.B. de C.V. Class B 4,642 -- 0.0%
* Sanluis Rassini S.A.P.I. de C.V. Series A 3,300 -- 0.0%
* Savia SA Class A 610,700 -- 0.0%
#* Telesites S.A.B. de C.V. 1,311,219 756,166 0.0%
# TV Azteca S.A.B. de C.V. 11,953,920 2,276,817 0.1%
#* Urbi Desarrollos Urbanos S.A.B. de C.V. 2,372 2,686 0.0%
Vitro S.A.B. de C.V. Series A 896,390 2,952,239 0.1%
------------ ---
TOTAL MEXICO 190,963,237 3.5%
------------ ---
PHILIPPINES -- (1.6%)
A Soriano Corp. 3,430,211 421,360 0.0%
* ACR Mining Corp. 48,205 3,341 0.0%
Alsons Consolidated Resources, Inc. 8,785,000 254,342 0.0%
* Atlas Consolidated Mining & Development Corp. 6,148,000 503,659 0.0%
Belle Corp. 37,835,400 2,279,600 0.1%
* Bloomberry Resorts Corp. 14,838,100 1,811,031 0.0%
Cebu Air, Inc. 1,956,390 4,244,112 0.1%
Cebu Holdings, Inc. 3,291,900 350,433 0.0%
Century Pacific Food, Inc. 2,668,600 920,660 0.0%
Century Properties Group, Inc. 26,261,151 325,222 0.0%
China Banking Corp. 1,189,108 931,623 0.0%
Cirtek Holdings Philippines Corp. 393,700 186,978 0.0%
COL Financial Group, Inc. 130,900 43,446 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ---------- ---------------
PHILIPPINES -- (Continued)
Cosco Capital, Inc. 13,645,100 $2,392,480 0.1%
D&L Industries, Inc. 33,384,500 7,563,463 0.1%
* DoubleDragon Properties Corp. 1,304,200 1,500,824 0.0%
East West Banking Corp. 2,042,600 805,929 0.0%
EEI Corp. 3,744,700 556,261 0.0%
Emperador, Inc. 1,121,000 167,641 0.0%
* Empire East Land Holdings, Inc. 19,893,000 311,785 0.0%
Energy Development Corp. 8,384,100 1,021,071 0.0%
Filinvest Development Corp. 3,314,322 559,484 0.0%
Filinvest Land, Inc. 126,433,577 4,605,133 0.1%
First Gen Corp. 12,854,600 6,098,973 0.1%
First Philippine Holdings Corp. 2,483,420 3,555,896 0.1%
* Global Ferronickel Holdings, Inc. 5,573,000 140,184 0.0%
Holcim Philippines, Inc. 80,600 27,655 0.0%
Integrated Micro-Electronics, Inc. 151,300 18,937 0.0%
Leisure & Resorts World Corp. 4,437,640 473,036 0.0%
* Lepanto Consolidated Mining Co. 43,735,455 179,890 0.0%
Lopez Holdings Corp. 21,641,600 3,551,566 0.1%
Manila Water Co., Inc. 10,174,400 6,357,399 0.1%
Max's Group, Inc. 702,700 391,300 0.0%
* Megawide Construction Corp. 2,738,608 846,900 0.0%
* Melco Crown Philippines Resorts Corp. 13,328,700 1,183,285 0.0%
* Metro Pacific Corp. Series A 1,827,193 -- 0.0%
Nickel Asia Corp. 3,958,100 561,579 0.0%
Pepsi-Cola Products Philippines, Inc. 11,120,900 713,856 0.0%
Petron Corp. 14,400,300 3,077,531 0.1%
Philex Mining Corp. 1,516,900 257,829 0.0%
Philippine National Bank 2,081,455 2,491,042 0.1%
* Philippine National Construction Corp. 173,000 3,283 0.0%
Philippine Savings Bank 356,863 721,572 0.0%
Philippine Stock Exchange, Inc. (The) 121,592 640,097 0.0%
* Philippine Townships, Inc. 318,732 -- 0.0%
* Philtown Properties, Inc. 111,562 -- 0.0%
Philweb Corp. 3,483,140 631,475 0.0%
Phinma Corp. 131,349 30,989 0.0%
Phinma Energy Corp. 13,642,000 610,785 0.0%
Phoenix Petroleum Philippines, Inc. 806,880 97,069 0.0%
Premium Leisure Corp. 25,097,000 583,712 0.0%
Puregold Price Club, Inc. 4,762,800 4,009,389 0.1%
RFM Corp. 8,856,668 787,046 0.0%
Rizal Commercial Banking Corp. 3,159,480 2,342,302 0.1%
Robinsons Land Corp. 9,980,905 6,380,154 0.1%
Robinsons Retail Holdings, Inc. 555,530 886,165 0.0%
San Miguel Pure Foods Co., Inc. 93,790 436,094 0.0%
Security Bank Corp. 1,886,288 8,586,725 0.2%
Semirara Mining & Power Corp. 226,310 588,694 0.0%
* SSI Group, Inc. 3,206,000 182,758 0.0%
Travellers International Hotel Group, Inc. 5,126,000 354,906 0.0%
Union Bank of the Philippines 1,330,721 2,059,554 0.1%
* Universal Rightfield Property Holdings 1,062,000 -- 0.0%
* Victorias Milling Co., Inc. 231,600 21,874 0.0%
Vista Land & Lifescapes, Inc. 48,988,400 5,288,703 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
PHILIPPINES -- (Continued)
Xurpas, Inc. 2,409,600 $ 578,126 0.0%
----------- ---
TOTAL PHILIPPINES 97,508,208 1.8%
----------- ---
POLAND -- (1.8%)
AB SA 1,082 9,190 0.0%
# Action SA 26,708 44,271 0.0%
Agora SA 276,756 781,321 0.0%
* Alior Bank SA 279,639 3,366,570 0.1%
Amica SA 26,540 1,332,013 0.0%
* AmRest Holdings SE 269 17,109 0.0%
Apator SA 59,663 440,803 0.0%
Asseco Poland SA 650,977 8,701,132 0.2%
#* Bioton SA 676,718 1,521,191 0.0%
* Boryszew SA 1,196,385 2,445,466 0.1%
Budimex SA 118,692 6,158,663 0.1%
* CD Projekt SA 711,662 7,228,337 0.1%
# Ciech SA 292,289 4,767,087 0.1%
* City Interactive SA 11,324 80,700 0.0%
* ComArch SA 5,311 232,700 0.0%
Dom Development SA 4,673 73,729 0.0%
Elektrobudowa SA 8,568 218,378 0.0%
#* Emperia Holding SA 93,874 1,528,733 0.0%
#* Enea SA 589,128 1,509,109 0.0%
Energa SA 431,335 884,520 0.0%
Fabryki Mebli Forte SA 137,407 2,568,817 0.1%
* Famur SA 379,290 423,492 0.0%
* Farmacol SA 50,868 661,517 0.0%
Firma Oponiarska Debica SA 30,655 782,200 0.0%
#* Getin Holding SA 2,682,657 786,686 0.0%
#* Getin Noble Bank SA 994,799 332,579 0.0%
#* Globe Trade Centre SA 57,086 116,717 0.0%
* Grupa Azoty Zaklady Chemiczne Police SA 76,751 408,807 0.0%
Grupa Kety SA 69,752 6,957,858 0.1%
* Grupa Lotos SA 784,239 6,799,783 0.1%
* Impexmetal SA 1,029,984 716,684 0.0%
#* Integer.pl SA 33,143 294,316 0.0%
# Inter Cars SA 37,061 2,557,315 0.1%
#* Jastrzebska Spolka Weglowa SA 268,355 4,976,810 0.1%
Kernel Holding SA 437,920 7,007,569 0.1%
# KRUK SA 114,274 6,633,271 0.1%
LC Corp. SA 192,664 95,719 0.0%
Lentex SA 124,367 310,915 0.0%
#* Lubelski Wegiel Bogdanka SA 68,724 1,219,533 0.0%
* MCI Capital SA 227,344 568,496 0.0%
* Mostostal Zabrze SA 425,811 128,209 0.0%
Netia SA 2,702,995 3,203,728 0.1%
Neuca SA 23,850 2,373,412 0.1%
Orbis SA 132,247 2,390,424 0.1%
* Pelion SA 47,515 658,881 0.0%
Pfleiderer Group SA 41,809 368,328 0.0%
* PKP Cargo SA 38,560 422,290 0.0%
#* Polnord SA 336,162 778,619 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
POLAND -- (Continued)
#* Rafako SA 307,402 $ 471,735 0.0%
* Stalexport Autostrady SA 282,703 251,677 0.0%
Stalprodukt SA 9,296 1,066,178 0.0%
* Synthos SA 1,973,682 2,388,821 0.1%
* Tauron Polska Energia SA 5,756,680 3,890,022 0.1%
Trakcja SA 392,729 1,345,426 0.0%
* Vistula Group SA 1,439,663 1,283,406 0.0%
Warsaw Stock Exchange 192,404 1,918,182 0.1%
Wawel SA 697 154,391 0.0%
# Zespol Elektrowni Patnow Adamow Konin SA 65,319 212,376 0.0%
------------ ---
TOTAL POLAND 108,866,211 2.0%
------------ ---
SOUTH AFRICA -- (7.0%)
* Adbee Rf, Ltd. 30,702 79,225 0.0%
# Adcock Ingram Holdings, Ltd. 848,818 2,945,723 0.1%
Adcorp Holdings, Ltd. 896,475 901,317 0.0%
Advtech, Ltd. 3,146,875 4,065,315 0.1%
Aeci, Ltd. 1,085,693 8,200,083 0.2%
* African Bank Investments, Ltd. 5,287,877 1,983 0.0%
African Oxygen, Ltd. 858,752 1,252,510 0.0%
African Rainbow Minerals, Ltd. 748,241 5,421,248 0.1%
Afrimat, Ltd. 48,180 98,422 0.0%
Alexander Forbes Group Holdings, Ltd. 1,603,209 727,908 0.0%
* Allied Electronics Corp., Ltd. Class A 11,849 6,124 0.0%
* ArcelorMittal South Africa, Ltd. 1,784,999 1,528,372 0.0%
Ascendis Health, Ltd. 954,248 1,922,559 0.0%
# Assore, Ltd. 221,537 2,986,824 0.1%
# Astral Foods, Ltd. 458,146 4,154,772 0.1%
* Attacq, Ltd. 2,736,857 3,480,474 0.1%
* Aveng, Ltd. 4,254,721 2,230,675 0.0%
AVI, Ltd. 3,346,741 23,508,782 0.4%
Barloworld, Ltd. 2,216,736 14,318,310 0.3%
Blue Label Telecoms, Ltd. 3,079,450 4,655,915 0.1%
Cashbuild, Ltd. 212,494 6,195,607 0.1%
Caxton and CTP Publishers and Printers, Ltd. 313,704 306,217 0.0%
City Lodge Hotels, Ltd. 325,097 3,525,696 0.1%
# Clicks Group, Ltd. 2,666,173 24,871,462 0.5%
Clover Industries, Ltd. 1,345,179 1,736,303 0.0%
* Consolidated Infrastructure Group, Ltd. 664,270 1,155,098 0.0%
# Coronation Fund Managers, Ltd. 1,818,975 9,790,142 0.2%
DataTec, Ltd. 2,060,416 6,852,456 0.1%
Distell Group, Ltd. 140,363 1,722,952 0.0%
# DRDGOLD, Ltd. 2,932,131 1,486,783 0.0%
DRDGOLD, Ltd. Sponsored ADR 9,400 48,598 0.0%
EOH Holdings, Ltd. 1,098,252 13,028,837 0.2%
#* Eqstra Holdings, Ltd. 3,139,032 610,041 0.0%
* Evraz Highveld Steel and Vanadium, Ltd. 63,001 118 0.0%
# Exxaro Resources, Ltd. 979,438 7,219,211 0.1%
Famous Brands, Ltd. 653,128 7,631,784 0.1%
Foschini Group, Ltd. (The) 1,564,234 16,079,708 0.3%
Grand Parade Investments, Ltd. 3,255,755 906,951 0.0%
Grindrod, Ltd. 5,733,017 4,722,953 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
SOUTH AFRICA -- (Continued)
Group Five, Ltd. 1,023,006 $ 1,753,954 0.0%
Harmony Gold Mining Co., Ltd. 1,661,807 5,158,993 0.1%
Harmony Gold Mining Co., Ltd. Sponsored ADR 2,858,423 9,061,201 0.2%
Holdsport, Ltd. 210,011 920,012 0.0%
* Howden Africa Holdings, Ltd. 39,220 93,287 0.0%
Hudaco Industries, Ltd. 266,579 2,160,972 0.0%
* Hulamin, Ltd. 1,296,594 500,863 0.0%
Imperial Holdings, Ltd. 840,996 10,622,362 0.2%
Invicta Holdings, Ltd. 351,408 1,448,215 0.0%
* JCI, Ltd. 3,131,151 -- 0.0%
JSE, Ltd. 892,197 10,394,209 0.2%
KAP Industrial Holdings, Ltd. 7,269,626 4,178,567 0.1%
#* Kumba Iron Ore, Ltd. 136,545 1,390,531 0.0%
# Lewis Group, Ltd. 870,563 2,580,521 0.1%
# Liberty Holdings, Ltd. 371,815 3,201,195 0.1%
Life Healthcare Group Holdings, Ltd. 68,161 182,099 0.0%
Massmart Holdings, Ltd. 392,226 3,395,244 0.1%
Merafe Resources, Ltd. 11,489,424 1,081,086 0.0%
Metair Investments, Ltd. 1,296,791 1,827,678 0.0%
Metrofile Holdings, Ltd. 82,524 29,257 0.0%
MMI Holdings, Ltd. 2,598,631 4,353,070 0.1%
Mpact, Ltd. 1,514,443 3,705,519 0.1%
Murray & Roberts Holdings, Ltd. 4,087,163 2,806,323 0.1%
Mustek, Ltd. 270,087 94,971 0.0%
# Nampak, Ltd. 5,214,254 7,271,813 0.1%
* Net 1 UEPS Technologies, Inc. 776 8,420 0.0%
* Northam Platinum, Ltd. 3,640,843 13,265,319 0.2%
Oceana Group, Ltd. 447,176 3,808,349 0.1%
Omnia Holdings, Ltd. 589,522 7,139,355 0.1%
Peregrine Holdings, Ltd. 2,000,976 3,858,098 0.1%
# Pick n Pay Stores, Ltd. 2,069,376 10,139,102 0.2%
#* Pinnacle Holdings, Ltd. 1,236,031 1,641,286 0.0%
Pioneer Foods Group, Ltd. 131,409 1,583,178 0.0%
PPC, Ltd. 14,500,445 5,920,463 0.1%
PSG Group, Ltd. 96,945 1,513,108 0.0%
Raubex Group, Ltd. 1,306,791 2,436,039 0.1%
RCL Foods, Ltd. 683,713 695,962 0.0%
Reunert, Ltd. 1,517,644 6,935,429 0.1%
Rhodes Food Group Pty, Ltd. 145,869 281,420 0.0%
* Royal Bafokeng Platinum, Ltd. 710,637 2,168,531 0.0%
Santam, Ltd. 262,285 4,708,705 0.1%
* Sappi, Ltd. 4,082,585 22,716,560 0.4%
Sibanye Gold, Ltd. 962,027 2,676,133 0.1%
SPAR Group, Ltd. (The) 1,141,280 16,180,895 0.3%
Spur Corp., Ltd. 619,410 1,466,941 0.0%
* Stefanutti Stocks Holdings, Ltd. 229,540 79,580 0.0%
Sun International, Ltd. 1,111,017 6,862,711 0.1%
* Super Group, Ltd. 3,398,200 10,029,578 0.2%
Telkom SA SOC, Ltd. 1,922,187 8,860,309 0.2%
Tongaat Hulett, Ltd. 1,016,213 9,183,714 0.2%
Transaction Capital, Ltd. 427,240 418,481 0.0%
Trencor, Ltd. 1,369,751 2,912,793 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH AFRICA -- (Continued)
Tsogo Sun Holdings, Ltd. 2,858,414 $ 6,499,090 0.1%
Wilson Bayly Holmes-Ovcon, Ltd. 533,248 6,010,985 0.1%
------------ ---
TOTAL SOUTH AFRICA 428,589,934 7.8%
------------ ---
SOUTH KOREA -- (11.8%)
#* 3S Korea Co., Ltd. 15,208 35,604 0.0%
Able C&C Co., Ltd. 73,476 1,343,387 0.0%
# ABOV Semiconductor Co., Ltd. 80,566 558,525 0.0%
# Ace Technologies Corp. 114,039 371,699 0.0%
#* Actoz Soft Co., Ltd. 38,866 435,657 0.0%
# Advanced Nano Products Co., Ltd. 48,240 677,041 0.0%
#* Advanced Process Systems Corp. 138,964 3,160,576 0.1%
# Aekyung Petrochemical Co., Ltd. 93,320 969,025 0.0%
# AfreecaTV Co., Ltd. 63,042 1,380,286 0.0%
#* Agabang&Company 172,528 1,119,246 0.0%
# Ahn-Gook Pharmaceutical Co., Ltd. 38,563 412,313 0.0%
# Ahnlab, Inc. 35,578 2,001,677 0.1%
#* AJ Networks Co., Ltd. 7,579 206,745 0.0%
#* AJ Rent A Car Co., Ltd. 99,166 854,740 0.0%
# AK Holdings, Inc. 30,329 1,631,301 0.1%
* Alticast Corp. 73,734 269,451 0.0%
# ALUKO Co., Ltd. 280,349 1,056,237 0.0%
* ALVOGEN KOREA Co,.Ltd. 5,687 113,125 0.0%
#* Aminologics Co., Ltd. 36,345 97,443 0.0%
#* Amotech Co., Ltd. 53,135 801,756 0.0%
#* Anam Electronics Co., Ltd. 778,248 787,307 0.0%
# Anapass, Inc. 51,795 551,365 0.0%
# Asia Cement Co., Ltd. 7,670 493,336 0.0%
# ASIA Holdings Co., Ltd. 11,894 1,044,774 0.0%
#* Asia Paper Manufacturing Co., Ltd. 33,401 569,248 0.0%
* Asiana Airlines, Inc. 638,206 2,576,158 0.1%
#* AUK Corp. 199,140 388,863 0.0%
# Aurora World Corp. 35,290 334,117 0.0%
# Austem Co., Ltd. 99,780 279,319 0.0%
# Autech Corp. 57,121 648,543 0.0%
#* Automobile & PCB 251,614 626,518 0.0%
# Avaco Co., Ltd. 68,699 359,913 0.0%
Avatec Co., Ltd. 5,446 34,647 0.0%
# Baiksan Co., Ltd. 72,982 567,602 0.0%
#* Barun Electronics Co., Ltd. 377,057 551,804 0.0%
#* Barunson Entertainment & Arts Corp. 301,311 793,198 0.0%
#* Bcworld Pharm Co., Ltd. 11,475 231,860 0.0%
#* BH Co., Ltd. 67,285 638,003 0.0%
Binggrae Co., Ltd. 36,720 2,000,407 0.1%
* BioSmart Co., Ltd. 6,821 27,884 0.0%
#* BIT Computer Co., Ltd. 77,534 399,679 0.0%
# Bixolon Co., Ltd. 32,575 373,802 0.0%
# Bluecom Co., Ltd. 61,445 682,611 0.0%
#* Bohae Brewery Co., Ltd. 411,969 448,918 0.0%
Bookook Securities Co., Ltd. 7,410 129,381 0.0%
# Boryung Medience Co., Ltd. 43,334 602,737 0.0%
# Boryung Pharmaceutical Co., Ltd. 28,065 1,396,053 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Bubang Co., Ltd. 112,725 $ 410,613 0.0%
* BUGS Corp. 45,508 508,345 0.0%
# Bukwang Pharmaceutical Co., Ltd. 106,287 2,315,995 0.1%
Busan City Gas Co., Ltd. 400 11,980 0.0%
# BYC Co., Ltd. 746 284,529 0.0%
# Byucksan Corp. 251,379 1,080,963 0.0%
#* C&S Asset Management Co., Ltd. 66,579 186,536 0.0%
#* CammSys Corp. 252,781 646,813 0.0%
#* Capro Corp. 186,819 899,195 0.0%
# Cell Biotech Co., Ltd. 36,280 1,436,325 0.0%
#* Celltrion Pharm, Inc. 73,505 1,429,741 0.0%
#* Chabiotech Co., Ltd. 249,745 3,008,666 0.1%
# Changhae Ethanol Co., Ltd. 20,369 356,404 0.0%
#* Charm Engineering Co., Ltd. 165,382 415,818 0.0%
* Chemtronics Co., Ltd. 56,211 286,089 0.0%
#* Chin Hung International, Inc. 106,852 163,859 0.0%
#* China Great Star International, Ltd. 380,444 431,592 0.0%
#* China Ocean Resources Co., Ltd. 537,630 708,517 0.0%
# Chinyang Holdings Corp. 110,113 334,438 0.0%
#* Choa Pharmaceutical Co. 49,861 185,118 0.0%
* Chokwang Leather Co., Ltd. 607 20,106 0.0%
# Chokwang Paint, Ltd. 44,110 438,864 0.0%
# Chong Kun Dang Pharmaceutical Corp. 37,461 3,026,623 0.1%
# Chongkundang Holdings Corp. 26,473 1,532,963 0.1%
# Choong Ang Vaccine Laboratory 30,626 628,050 0.0%
# Chosun Refractories Co., Ltd. 5,835 468,834 0.0%
# Chungdahm Learning, Inc. 30,982 632,173 0.0%
# CJ Freshway Corp. 41,966 1,439,437 0.0%
CJ Hellovision Co., Ltd. 123,154 879,000 0.0%
CJ O Shopping Co., Ltd. 20,523 2,905,806 0.1%
#* CJ Seafood Corp. 133,941 388,795 0.0%
# CKD Bio Corp. 14,076 274,506 0.0%
#* Com2uSCorp 52,431 4,344,181 0.1%
# Coreana Cosmetics Co., Ltd. 121,150 635,616 0.0%
# Cosmax BTI, Inc. 86,313 3,033,091 0.1%
# Cosmax, Inc. 36,688 3,697,883 0.1%
#* Cosmochemical Co., Ltd. 28,914 109,601 0.0%
#* COSON Co., Ltd. 94,960 1,115,001 0.0%
# Crown Confectionery Co., Ltd. 42,660 1,163,380 0.0%
#* CrucialTec Co., Ltd. 152,164 1,062,163 0.0%
# CS Wind Corp. 25,381 548,320 0.0%
#* CTC BIO, Inc. 19,238 165,334 0.0%
#* CTL, Inc. 132,635 182,976 0.0%
#* CUROCOM Co., Ltd. 105,153 231,183 0.0%
# D.I Corp. 150,589 625,650 0.0%
# Dae Dong Industrial Co., Ltd. 60,958 359,766 0.0%
Dae Han Flour Mills Co., Ltd. 6,234 960,695 0.0%
# Dae Hwa Pharmaceutical Co., Ltd. 22,883 518,155 0.0%
# Dae Hyun Co., Ltd. 184,373 602,780 0.0%
#* Dae Won Chemical Co., Ltd. 179,212 397,107 0.0%
# Dae Won Kang Up Co., Ltd. 122,366 552,007 0.0%
#* Dae Young Packaging Co., Ltd. 526,420 461,535 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Dae-Il Corp. 81,189 $ 712,589 0.0%
#* Daea TI Co., Ltd. 406,202 602,459 0.0%
# Daebongls Co., Ltd. 38,221 410,238 0.0%
#* Daechang Co., Ltd. 314,932 256,165 0.0%
Daechang Forging Co., Ltd. 1,367 54,199 0.0%
# Daeduck Electronics Co. 240,713 1,582,211 0.1%
# Daeduck GDS Co., Ltd. 115,842 1,203,479 0.0%
# Daegu Department Store 28,442 329,211 0.0%
#* Daehan New Pharm Co., Ltd. 60,448 1,010,107 0.0%
Daehan Steel Co., Ltd. 89,447 728,811 0.0%
* Daeho International Corp. 543 -- 0.0%
# Daekyo Co., Ltd. 162,557 1,184,669 0.0%
#* Daekyung Machinery & Engineering Co., Ltd. 510,580 472,727 0.0%
# Daelim B&Co Co., Ltd. 24,029 180,951 0.0%
#* DAEMYUNG Corp. Co., Ltd. 126,099 187,366 0.0%
# Daeryuk Can Co., Ltd. 76,198 441,496 0.0%
# Daesang Corp. 140,976 3,315,592 0.1%
# Daesang Holdings Co., Ltd. 86,821 791,813 0.0%
# Daesung Energy Co., Ltd. 26,133 147,045 0.0%
Daesung Holdings Co., Ltd. 26,734 215,483 0.0%
#* Daewon Cable Co., Ltd. 323,526 483,707 0.0%
#* Daewon Media Co., Ltd. 59,017 654,227 0.0%
# Daewon Pharmaceutical Co., Ltd. 73,762 1,097,272 0.0%
Daewon San Up Co., Ltd. 53,318 385,009 0.0%
#* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 676,333 2,647,998 0.1%
Daewoong Co., Ltd. 19,471 748,235 0.0%
# Daewoong Pharmaceutical Co., Ltd. 29,521 1,758,760 0.1%
* Dahaam E-Tec Co., Ltd. 2,100 6,194 0.0%
# Daihan Pharmaceutical Co., Ltd. 22,535 579,164 0.0%
Daishin Securities Co., Ltd. 272,524 2,506,134 0.1%
#* Danal Co., Ltd. 194,321 859,570 0.0%
# Daou Data Corp. 101,485 933,333 0.0%
# Daou Technology, Inc. 174,365 3,145,267 0.1%
#* Dasan Networks, Inc. 115,433 683,230 0.0%
# Dawonsys Co., Ltd. 128,532 1,569,995 0.1%
# Dayou Automotive Seat Technology Co., Ltd. 385,111 554,524 0.0%
#* Dayou Smart Aluminium Co., Ltd. 352,140 315,609 0.0%
# DCM Corp. 23,864 247,780 0.0%
#* Deutsch Motors, Inc. 86,823 316,384 0.0%
DGB Financial Group, Inc. 527,390 4,417,732 0.1%
# DHP Korea Co., Ltd. 62,969 443,523 0.0%
Digital Chosun Co., Ltd. 180,541 696,965 0.0%
#* Digital Optics Co., Ltd. 107,100 405,671 0.0%
# Digital Power Communications Co., Ltd. 184,508 609,089 0.0%
#* DIO Corp. 67,079 2,669,293 0.1%
#* Diotek Co., Ltd. 111,896 402,161 0.0%
# Display Tech Co., Ltd. 52,616 182,877 0.0%
DK UIL Co., Ltd. 26,259 249,904 0.0%
#* DMS Co., Ltd. 118,079 816,485 0.0%
#* DNF Co., Ltd. 54,892 703,833 0.0%
# Dong A Eltek Co., Ltd. 54,579 989,459 0.0%
# Dong Ah Tire & Rubber Co., Ltd. 53,990 1,137,116 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
Dong-A Socio Holdings Co., Ltd. 21,487 $2,719,878 0.1%
Dong-A ST Co., Ltd. 25,630 1,920,620 0.1%
# Dong-Ah Geological Engineering Co., Ltd. 38,763 279,613 0.0%
Dong-Il Corp. 5,007 265,553 0.0%
# Dongbang Transport Logistics Co., Ltd. 47,053 86,164 0.0%
* Dongbu Co., Ltd. 513,103 359,036 0.0%
* Dongbu Corp. 7,532 69,116 0.0%
* Dongbu HiTek Co., Ltd. 209,000 3,105,479 0.1%
* Dongbu Securities Co., Ltd. 211,577 612,922 0.0%
#* Dongbu Steel Co., Ltd. 12,390 138,731 0.0%
Dongil Industries Co., Ltd. 3,432 217,408 0.0%
# Dongjin Semichem Co., Ltd. 209,922 1,541,223 0.1%
* Dongkook Industrial Co., Ltd. 52,105 100,785 0.0%
DongKook Pharmaceutical Co., Ltd. 31,782 1,455,877 0.0%
# Dongkuk Industries Co., Ltd. 171,887 742,816 0.0%
#* Dongkuk Steel Mill Co., Ltd. 388,492 2,772,056 0.1%
# DONGKUK STRUCTURES & CONSTRUCTION Co., Ltd. 178,195 1,286,419 0.0%
# Dongsung Chemical Co., Ltd. 17,370 313,560 0.0%
# DONGSUNG Corp. 176,690 996,511 0.0%
# Dongsung Finetec Co., Ltd. 72,241 360,308 0.0%
#* Dongsung Pharmaceutical Co., Ltd. 95,567 341,318 0.0%
#* Dongwha Enterprise Co., Ltd. 13,393 408,005 0.0%
Dongwha Pharm Co., Ltd. 142,298 965,223 0.0%
# Dongwon Development Co., Ltd. 337,298 1,345,748 0.0%
Dongwon F&B Co., Ltd. 7,468 1,314,526 0.0%
# Dongwon Industries Co., Ltd. 9,066 2,439,591 0.1%
# Dongwoo Co., Ltd. 58,857 208,309 0.0%
Dongyang E&P, Inc. 31,194 364,600 0.0%
#* Dongyang Steel Pipe Co., Ltd. 496,393 526,191 0.0%
#* Doosan Engine Co., Ltd. 187,669 577,863 0.0%
#* Doosan Infracore Co., Ltd. 785,806 4,745,301 0.1%
#* Dragonfly GF Co., Ltd. 51,555 305,914 0.0%
DRB Holding Co., Ltd. 61,263 684,548 0.0%
# DSK Co., Ltd. 18,465 590,316 0.0%
#* Duk San Neolux Co., Ltd. 35,020 902,108 0.0%
#* Duksan Hi-Metal Co., Ltd. 87,920 568,648 0.0%
Duksung Co., Ltd. 6,488 36,554 0.0%
# DuzonBIzon Co., Ltd. 127,891 2,492,548 0.1%
DY Corp. 155,481 850,385 0.0%
# e Tec E&C, Ltd. 8,758 751,439 0.0%
e-Credible Co., Ltd. 3,132 33,801 0.0%
# e-LITECOM Co., Ltd. 48,416 411,145 0.0%
#* e-Starco Co., Ltd. 153,747 224,991 0.0%
E1 Corp. 17,463 927,635 0.0%
# Eagon Industrial, Ltd. 43,403 429,515 0.0%
# Easy Bio, Inc. 259,153 1,367,808 0.0%
#* Eco Energy Holdings Co., Ltd. 41,566 443,368 0.0%
#* Ecopro Co., Ltd. 108,864 1,199,478 0.0%
# EG Corp. 34,204 301,652 0.0%
#* Ehwa Technologies Information Co., Ltd. 757,196 344,324 0.0%
#* Elcomtec Co., Ltd. 144,571 251,214 0.0%
# Elentec Co., Ltd. 56,734 257,732 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
* ELK Corp. 70,663 $ 107,217 0.0%
#* EM-Tech Co., Ltd. 72,838 654,648 0.0%
#* Emerson Pacific, Inc. 37,725 1,237,617 0.0%
#* EMKOREA Co., Ltd. 60,585 261,968 0.0%
#* EMW Co., Ltd. 104,893 269,058 0.0%
# Enex Co., Ltd. 240,928 499,234 0.0%
# ENF Technology Co., Ltd. 65,074 1,338,233 0.0%
# Eo Technics Co., Ltd. 56,766 3,120,566 0.1%
# Estechpharma Co., Ltd. 56,781 576,319 0.0%
#* ESTsoft Corp. 39,905 278,058 0.0%
# Eugene Corp. 289,702 1,165,188 0.0%
* Eugene Investment & Securities Co., Ltd. 551,722 1,157,349 0.0%
# Eugene Technology Co., Ltd. 101,067 1,714,999 0.1%
# Eusu Holdings Co., Ltd. 85,857 469,044 0.0%
# EVERDIGM Corp. 63,661 507,810 0.0%
#* EXA E&C, Inc. 99,097 183,854 0.0%
# Ezwelfare Co., Ltd. 15,152 95,853 0.0%
# F&F Co., Ltd. 40,777 573,114 0.0%
#* Farmsco 102,794 1,053,898 0.0%
#* FarmStory Co., Ltd. 300,829 347,881 0.0%
#* Feelux Co., Ltd. 135,980 400,294 0.0%
# Fila Korea, Ltd. 64,315 4,899,756 0.1%
# Fine Technix Co., Ltd. 141,247 337,378 0.0%
#* Finetex EnE, Inc. 76,593 462,302 0.0%
#* Firstec Co., Ltd. 164,190 491,275 0.0%
#* Foosung Co., Ltd. 355,339 2,409,245 0.1%
# Fursys, Inc. 14,730 436,796 0.0%
#* G-SMATT GLOBAL Co., Ltd. 97,511 2,152,409 0.1%
#* Gamevil, Inc. 19,510 945,880 0.0%
# Gaon Cable Co., Ltd. 21,699 382,552 0.0%
#* GeneOne Life Science, Inc. 4,475 43,147 0.0%
#* Genic Co., Ltd. 29,106 435,946 0.0%
Geumhwa PSC Co., Ltd. 685 22,261 0.0%
#* Gigalane Co., Ltd. 35,427 165,358 0.0%
# GIIR, Inc. 22,387 154,199 0.0%
#* Global Display Co., Ltd. 62,631 184,215 0.0%
#* GNCO Co., Ltd. 369,175 1,524,513 0.1%
Golfzon Co., Ltd. 19,813 1,166,711 0.0%
# GOLFZONYUWONHOLDINGS Co., Ltd. 109,600 743,456 0.0%
#* Good People Co., Ltd. 89,915 176,848 0.0%
# Green Cross Holdings Corp. 39,455 764,257 0.0%
* Green Non-Life Insurance Co., Ltd. 22,357 -- 0.0%
#* GS Global Corp. 220,746 515,662 0.0%
GS Home Shopping, Inc. 23,412 3,595,104 0.1%
# Gwangju Shinsegae Co., Ltd. 3,400 745,433 0.0%
# Haesung Industrial Co., Ltd. 25,164 300,674 0.0%
#* Halla Corp. 111,892 449,247 0.0%
# Halla Holdings Corp. 55,097 3,259,170 0.1%
# Han Kuk Carbon Co., Ltd. 245,312 1,306,089 0.0%
# Hana Micron, Inc. 120,173 536,988 0.0%
# Hana Tour Service, Inc. 58,520 3,292,966 0.1%
#* Hanall Biopharma Co., Ltd. 83,748 861,144 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Hancom, Inc. 110,021 $1,694,443 0.1%
# Handok, Inc. 41,183 815,256 0.0%
# Handsome Co., Ltd. 97,702 3,463,089 0.1%
Hanexpress Co., Ltd. 384 26,429 0.0%
Hanil Cement Co., Ltd. 20,816 1,350,845 0.0%
* Hanjin Heavy Industries & Construction Co., Ltd. 446,948 1,520,781 0.1%
#* Hanjin Heavy Industries & Construction Holdings Co.,
Ltd. 83,425 379,736 0.0%
# Hanjin Kal Corp. 307,775 4,541,444 0.1%
#* Hanjin P&C Co., Ltd. 182,350 430,917 0.0%
# Hanjin Transportation Co., Ltd. 57,455 1,477,088 0.0%
#* Hankook Cosmetics Manufacturing Co., Ltd.(6147398) 11,843 311,802 0.0%
* Hankook Cosmetics Manufacturing Co., Ltd.(B5W13D9) 55,719 702,211 0.0%
Hankook Shell Oil Co., Ltd. 4,232 1,630,658 0.1%
* Hankook Synthetics, Inc. 550 -- 0.0%
Hankuk Glass Industries, Inc. 9,314 218,520 0.0%
# Hankuk Paper Manufacturing Co., Ltd. 13,942 353,864 0.0%
# Hankuk Steel Wire Co., Ltd. 58,735 180,791 0.0%
# Hanla IMS Co., Ltd. 20,786 280,351 0.0%
# Hanmi Semiconductor Co., Ltd. 78,573 950,499 0.0%
# HanmiGlobal Co., Ltd. 34,086 267,637 0.0%
# Hans Biomed Corp. 48,649 627,305 0.0%
# Hansae Co., Ltd. 119,420 2,639,082 0.1%
# Hansae Yes24 Holdings Co., Ltd. 63,837 584,773 0.0%
#* Hanshin Construction 34,744 539,440 0.0%
# Hanshin Machinery Co. 181,591 407,037 0.0%
# Hansol Chemical Co., Ltd. 62,937 4,549,681 0.1%
#* Hansol Holdings Co., Ltd. 393,662 2,210,344 0.1%
#* Hansol HomeDeco Co., Ltd. 428,150 654,124 0.0%
Hansol Paper Co., Ltd. 95,201 1,685,862 0.1%
#* Hansol SeenTec Co, Ltd. 159,401 249,205 0.0%
#* Hansol Technics Co., Ltd. 112,938 1,491,188 0.0%
# Hanwha Galleria Timeworld Co., Ltd. 12,731 437,068 0.0%
Hanwha General Insurance Co., Ltd. 272,991 1,809,929 0.1%
#* Hanwha Investment & Securities Co., Ltd. 738,344 1,441,030 0.0%
# Hanyang Eng Co., Ltd. 39,237 426,153 0.0%
Hanyang Securities Co., Ltd. 18,538 120,450 0.0%
#* Harim Co., Ltd. 189,668 740,691 0.0%
#* Harim Holdings Co., Ltd. 195,590 683,601 0.0%
#* HB Technology Co., Ltd. 346,815 1,335,678 0.0%
# Heung-A Shipping Co., Ltd. 682,487 1,000,011 0.0%
* Heungkuk Fire & Marine Insurance Co., Ltd. 92,139 278,235 0.0%
# High Tech Pharm Co., Ltd. 15,522 204,558 0.0%
Hitejinro Holdings Co., Ltd. 52,642 549,085 0.0%
# HMC Investment Securities Co., Ltd. 117,927 981,933 0.0%
# Home Center Co., Ltd. 114,988 506,339 0.0%
#* Homecast Co., Ltd. 180,681 2,925,248 0.1%
# HS Industries Co., Ltd. 232,081 1,965,077 0.1%
HS R&A Co., Ltd. 23,158 657,645 0.0%
# Huchems Fine Chemical Corp. 153,136 3,163,521 0.1%
# Humax Co., Ltd. 115,022 1,465,834 0.0%
# Humedix Co., Ltd. 31,877 1,006,040 0.0%
* Huneed Technologies 2,445 28,175 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
* Huons Co., Ltd. 22,109 $1,134,803 0.0%
# Huons Global Co., Ltd. 28,614 1,074,420 0.0%
Husteel Co., Ltd. 1,286 16,405 0.0%
# Huvis Corp. 99,491 622,828 0.0%
# Huvitz Co., Ltd. 60,019 640,811 0.0%
Hwa Shin Co., Ltd. 114,245 687,570 0.0%
Hwacheon Machine Tool Co., Ltd. 4,979 218,382 0.0%
# Hwail Pharm Co., Ltd. 51,355 329,333 0.0%
HwaSung Industrial Co., Ltd. 61,184 671,373 0.0%
# Hy-Lok Corp. 52,365 1,041,317 0.0%
# Hyosung ONB Co., Ltd. 10,277 121,555 0.0%
# HyosungITX Co., Ltd. 14,477 145,751 0.0%
* Hyundai BNG Steel Co., Ltd. 60,652 610,397 0.0%
# Hyundai C&F, Inc. 25,222 354,338 0.0%
#* Hyundai Cement Co. 17,781 450,409 0.0%
Hyundai Corp. 38,469 704,577 0.0%
#* Hyundai Elevator Co., Ltd. 63,299 3,093,535 0.1%
Hyundai Engineering Plastics Co., Ltd. 110,768 872,527 0.0%
Hyundai Home Shopping Network Corp. 19,083 1,891,899 0.1%
Hyundai Hy Communications & Networks Co., Ltd. 204,181 659,452 0.0%
# Hyundai Livart Furniture Co., Ltd. 78,477 1,692,979 0.1%
#* Hyundai Merchant Marine Co., Ltd. 52,373 398,685 0.0%
#* Hyundai Mipo Dockyard Co., Ltd. 48,721 2,980,826 0.1%
# Hyundai Pharmaceutical Co., Ltd. 115,806 449,725 0.0%
#* Hyundai Rotem Co., Ltd. 10,004 163,349 0.0%
# HyVision System, Inc. 78,328 469,405 0.0%
# i-Components Co, Ltd. 34,276 368,205 0.0%
#* i-SENS, Inc. 52,468 1,497,620 0.0%
# I3System, Inc. 5,997 235,282 0.0%
#* iA, Inc. 230,936 887,102 0.0%
#* ICD Co., Ltd. 84,572 1,139,382 0.0%
#* IHQ, Inc. 399,010 689,244 0.0%
# Il Dong Holdings Co., Ltd. 18,887 449,745 0.0%
#* IL Dong Pharmaceutical Co., Ltd. 46,664 717,751 0.0%
Ilji Technology Co., Ltd. 10,190 65,016 0.0%
#* Iljin Display Co., Ltd. 115,139 413,610 0.0%
# Iljin Electric Co., Ltd. 118,297 480,045 0.0%
# Iljin Holdings Co., Ltd. 150,141 765,218 0.0%
#* Iljin Materials Co., Ltd. 102,586 1,441,077 0.0%
# Ilshin Spinning Co., Ltd. 8,316 944,897 0.0%
# Ilsung Pharmaceuticals Co., Ltd. 3,004 297,551 0.0%
# Ilya Co., Ltd. 33,668 236,000 0.0%
#* IM Co., Ltd. 103,900 335,594 0.0%
# iMarketKorea, Inc. 119,837 1,337,213 0.0%
# InBody Co., Ltd. 66,948 1,929,368 0.1%
#* Infinitt Healthcare Co., Ltd. 93,632 599,392 0.0%
#* Infraware, Inc. 103,254 350,030 0.0%
#* INITECH Co., Ltd. 52,438 320,409 0.0%
#* InkTec Co., Ltd. 8,164 71,339 0.0%
#* InnoWireless, Inc. 21,995 166,851 0.0%
#* Innox Corp. 63,904 1,023,411 0.0%
#* Insun ENT Co., Ltd. 196,856 975,842 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Intelligent Digital Integrated Security Co., Ltd. 33,909 $ 316,566 0.0%
#* Interflex Co., Ltd. 58,255 830,003 0.0%
Intergis Co., Ltd. 11,220 32,399 0.0%
# Interojo Co., Ltd. 44,989 1,551,404 0.1%
# Interpark Corp. 61,585 602,470 0.0%
# Interpark Holdings Corp. 262,612 1,143,807 0.0%
INTOPS Co., Ltd. 33,569 592,416 0.0%
* INVENIA Co., Ltd. 10,567 44,612 0.0%
Inzi Controls Co., Ltd. 42,034 183,784 0.0%
INZI Display Co., Ltd. 32,254 57,726 0.0%
#* Iones Co., Ltd. 44,154 628,569 0.0%
# IS Dongseo Co., Ltd. 58,229 2,516,303 0.1%
# ISC Co., Ltd. 53,180 816,412 0.0%
ISU Chemical Co., Ltd. 65,141 881,885 0.0%
# IsuPetasys Co., Ltd. 189,204 690,519 0.0%
# J.ESTINA Co., Ltd. 61,831 503,875 0.0%
#* Jaeyoung Solutec Co., Ltd. 66,012 132,812 0.0%
# Jahwa Electronics Co., Ltd. 67,230 853,526 0.0%
# JB Financial Group Co., Ltd. 660,339 3,423,839 0.1%
# JC Hyun System, Inc. 65,231 323,431 0.0%
* Jcontentree Corp. 261,672 866,957 0.0%
Jeil Pharmaceutical Co. 3,204 189,519 0.0%
#* Jeju Semiconductor Corp. 66,476 223,712 0.0%
Jinro Distillers Co., Ltd. 13,666 377,563 0.0%
# Jinsung T.E.C. 53,208 296,062 0.0%
JLS Co., Ltd. 29,276 199,549 0.0%
#* JoyCity Corp. 39,621 703,994 0.0%
* Joymax Co., Ltd. 14,214 92,520 0.0%
#* Jusung Engineering Co., Ltd. 239,830 1,977,266 0.1%
# JVM Co., Ltd. 22,892 894,600 0.0%
# JW Holdings Corp. 199,371 1,733,308 0.1%
# JW Pharmaceutical Corp. 59,988 2,572,989 0.1%
# JW Shinyak Corp. 16,523 107,924 0.0%
* JYP Entertainment Corp. 156,375 757,791 0.0%
# Kangnam Jevisco Co., Ltd. 23,988 780,667 0.0%
# KAON Media Co., Ltd. 70,138 636,706 0.0%
# KB Capital Co., Ltd. 74,969 1,720,251 0.1%
#* KC Cottrell Co., Ltd. 15,012 77,853 0.0%
# KC Green Holdings Co., Ltd. 86,025 649,126 0.0%
# KC Tech Co., Ltd. 131,987 1,600,878 0.1%
#* KCC Engineering & Construction Co., Ltd. 40,397 335,099 0.0%
KCI, Ltd. 2,256 17,012 0.0%
* KCO Energy, Inc. 120 -- 0.0%
#* KEC Corp. 409,990 344,443 0.0%
# KEPCO Engineering & Construction Co., Inc. 80,921 1,771,482 0.1%
# Keyang Electric Machinery Co., Ltd. 156,430 681,466 0.0%
#* KEYEAST Co., Ltd. 393,160 893,432 0.0%
# KG Chemical Corp. 57,219 698,676 0.0%
# KG Eco Technology Service Co., Ltd. 143,327 408,603 0.0%
# Kginicis Co., Ltd. 101,143 1,083,326 0.0%
# KGMobilians Co., Ltd. 73,591 607,841 0.0%
# KH Vatec Co., Ltd. 101,591 1,116,495 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# KISCO Corp. 23,879 $ 784,419 0.0%
KISCO Holdings Co., Ltd. 5,980 321,330 0.0%
# Kishin Corp. 49,420 229,327 0.0%
KISWIRE, Ltd. 39,054 1,331,589 0.0%
KIWOOM Securities Co., Ltd. 14,088 816,330 0.0%
#* KJ Pretech Co., Ltd. 50,707 417,773 0.0%
#* KleanNara Co., Ltd. 120,585 561,728 0.0%
* KMH Co., Ltd. 59,648 428,270 0.0%
#* KMH Hitech Co., Ltd. 147,148 175,417 0.0%
#* KMW Co., Ltd. 35,562 255,852 0.0%
# Kocom Co., Ltd. 47,352 379,752 0.0%
# Kodaco Co., Ltd. 169,405 509,886 0.0%
# Koentec Co., Ltd. 306,814 739,058 0.0%
# Koh Young Technology, Inc. 70,849 2,770,330 0.1%
# Kolao Holdings 143,996 1,105,433 0.0%
# Kolon Corp. 45,278 2,010,362 0.1%
#* Kolon Global Corp. 26,831 313,083 0.0%
# Kolon Life Science, Inc. 15,990 2,088,327 0.1%
# Kolon Plastic, Inc. 56,173 339,652 0.0%
# KONA I Co., Ltd. 89,651 935,867 0.0%
# Kook Soon Dang Brewery Co., Ltd. 77,360 450,974 0.0%
Kopla Co., Ltd. 3,426 46,939 0.0%
# Korea Alcohol Industrial Co., Ltd. 74,364 602,065 0.0%
# Korea Cast Iron Pipe Industries Co., Ltd. 59,751 489,008 0.0%
# Korea Circuit Co., Ltd. 72,493 509,838 0.0%
# Korea District Heating Corp. 18,962 1,145,056 0.0%
Korea Electric Terminal Co., Ltd. 35,182 2,197,586 0.1%
# Korea Electronic Certification Authority, Inc. 106,169 525,485 0.0%
Korea Electronic Power Industrial Development Co., Ltd. 74,881 319,291 0.0%
Korea Export Packaging Industrial Co., Ltd. 5,621 90,607 0.0%
* Korea Flange Co., Ltd. 20,776 262,940 0.0%
Korea Fuel-Tech Corp. 3,130 12,274 0.0%
#* Korea Information & Communications Co, Ltd. 85,304 829,215 0.0%
# Korea Information Certificate Authority, Inc. 71,807 387,439 0.0%
# Korea Kolmar Holdings Co., Ltd. 42,717 1,091,931 0.0%
#* Korea Line Corp. 83,536 1,315,515 0.0%
#* Korea Materials & Analysis Corp. 15,999 264,265 0.0%
Korea Petrochemical Ind Co., Ltd. 19,273 3,435,678 0.1%
# Korea United Pharm, Inc. 61,860 907,142 0.0%
Korean Reinsurance Co. 432,194 4,453,998 0.1%
# Kortek Corp. 72,394 887,520 0.0%
KPX Chemical Co., Ltd. 11,430 631,113 0.0%
#* KR Motors Co., Ltd. 56,572 45,953 0.0%
#* KSCB Co., Ltd. 51,533 222,486 0.0%
# Ksign Co., Ltd. 128,210 240,527 0.0%
KSS LINE, Ltd. 49,034 345,464 0.0%
* KT Hitel Co., Ltd. 84,297 542,354 0.0%
#* KT Music Corp. 142,433 444,826 0.0%
KT Skylife Co., Ltd. 152,391 2,374,226 0.1%
# KT Submarine Co., Ltd. 93,128 390,304 0.0%
* KTB Investment & Securities Co., Ltd. 315,140 787,624 0.0%
# KTCS Corp. 108,746 233,668 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Ktis Corp. 134,810 $ 423,826 0.0%
# Kukbo Design Co., Ltd. 16,660 223,749 0.0%
# Kukdo Chemical Co., Ltd. 23,631 1,117,412 0.0%
* Kukdong Corp. 1,069 9,892 0.0%
# Kukdong Oil & Chemicals Co., Ltd. 62,920 177,100 0.0%
# Kum Yang Co., Ltd. 101,497 253,815 0.0%
#* Kumho Electric Co., Ltd. 18,861 155,399 0.0%
#* Kumho Industrial Co., Ltd. 126,641 1,058,273 0.0%
#* Kumho Tire Co., Inc. 384,107 3,444,090 0.1%
# Kumkang Kind Co., Ltd. 16,750 664,244 0.0%
Kwang Dong Pharmaceutical Co., Ltd. 211,069 1,522,357 0.1%
#* Kwang Myung Electric Co., Ltd. 278,852 778,283 0.0%
# Kwangju Bank 135,831 1,198,774 0.0%
* Kyeryong Construction Industrial Co., Ltd. 19,078 243,411 0.0%
# Kyobo Securities Co., Ltd. 131,658 1,066,578 0.0%
# Kyongbo Pharmaceutical Co., Ltd. 66,618 780,881 0.0%
# Kyung Dong Navien Co., Ltd. 34,712 1,778,720 0.1%
* Kyung Nam Pharm Co., Ltd. 31,125 136,800 0.0%
# Kyung-In Synthetic Corp. 160,527 644,564 0.0%
# Kyungbang, Ltd. 55,930 884,661 0.0%
Kyungchang Industrial Co., Ltd. 73,797 323,888 0.0%
# KyungDong City Gas Co., Ltd. 14,426 854,525 0.0%
# Kyungdong Pharm Co., Ltd. 40,182 629,909 0.0%
# L&F Co., Ltd. 16,505 236,633 0.0%
#* LB Semicon, Inc. 186,149 492,706 0.0%
# LEADCORP, Inc. (The) 80,997 562,786 0.0%
#* Leaders Cosmetics Co., Ltd. 76,554 1,321,662 0.0%
# LEENO Industrial, Inc. 64,328 2,413,764 0.1%
# Leenos Corp. 151,382 448,761 0.0%
LF Corp. 134,717 2,554,046 0.1%
LG Hausys, Ltd. 42,760 3,531,633 0.1%
LG International Corp. 206,725 5,023,764 0.1%
* LG Life Sciences, Ltd. 72,975 3,960,086 0.1%
# Lion Chemtech Co., Ltd. 44,066 677,552 0.0%
#* LIS Co., Ltd. 58,881 624,064 0.0%
#* Liveplex Co., Ltd. 114,154 180,076 0.0%
# LMS Co., Ltd. 32,869 217,351 0.0%
# Lock&Lock Co., Ltd. 154,467 1,804,905 0.1%
#* LOT Vacuum Co., Ltd. 47,816 560,975 0.0%
# LOTTE Fine Chemical Co., Ltd. 124,880 3,162,080 0.1%
Lotte Food Co., Ltd. 4,489 2,709,361 0.1%
# LOTTE Himart Co., Ltd. 63,229 2,434,760 0.1%
#* Lotte Non-Life Insurance Co., Ltd. 491,746 1,168,006 0.0%
# LS Industrial Systems Co., Ltd. 99,113 3,386,725 0.1%
* Lumens Co., Ltd. 317,869 1,116,082 0.0%
#* Macrogen, Inc. 55,801 1,619,957 0.1%
# Maeil Dairy Industry Co., Ltd. 43,227 1,278,989 0.0%
#* Majestar Co., Ltd. 62,429 153,534 0.0%
# Mcnex Co., Ltd. 38,722 676,380 0.0%
# MDS Technology Co., Ltd. 37,380 577,681 0.0%
#* Mediana Co., Ltd. 14,403 211,832 0.0%
#* Medipost Co., Ltd. 3,841 189,875 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# MegaStudy Co., Ltd. 17,540 $ 495,637 0.0%
MegaStudyEdu Co., Ltd. 4,919 203,229 0.0%
#* Melfas, Inc. 117,692 757,716 0.0%
# META BIOMED Co., Ltd. 111,359 428,229 0.0%
#* Mgame Corp. 104,234 475,178 0.0%
Mi Chang Oil Industrial Co., Ltd. 3,418 262,896 0.0%
#* MiCo, Ltd. 127,762 334,543 0.0%
# Minwise Co., Ltd. 20,120 523,066 0.0%
Mirae Asset Life Insurance Co., Ltd. 108,819 444,868 0.0%
Mirae Asset Securities Co., Ltd. 33,003 650,886 0.0%
#* Mirae Corp. 2,226,388 546,282 0.0%
Miwon Chemicals Co., Ltd. 2,801 176,899 0.0%
* Miwon Commercial Co., Ltd. 716 145,588 0.0%
# Miwon Specialty Chemical Co., Ltd. 1,261 441,922 0.0%
# MK Electron Co., Ltd. 108,089 792,645 0.0%
# MK Trend Co., Ltd. 14,942 168,079 0.0%
#* MNTech Co., Ltd. 110,847 549,549 0.0%
* Mobase Co., Ltd. 12,004 78,698 0.0%
# Moda-InnoChips Co., Ltd. 14,702 129,712 0.0%
# Modetour Network, Inc. 67,726 1,567,624 0.1%
# Monalisa Co., Ltd. 74,859 398,969 0.0%
# MonAmi Co., Ltd. 112,097 423,819 0.0%
# Moorim P&P Co., Ltd. 143,600 511,016 0.0%
#* Moorim Paper Co., Ltd. 149,278 361,490 0.0%
# Motonic Corp. 74,383 602,143 0.0%
# Muhak Co., Ltd. 93,736 1,862,582 0.1%
# Multicampus Co, Ltd. 15,467 512,502 0.0%
Myungmoon Pharm Co., Ltd. 14,782 56,675 0.0%
# Namhae Chemical Corp. 149,878 1,066,396 0.0%
#* Namsun Aluminum Co., Ltd. 496,334 510,367 0.0%
# Namyang Dairy Products Co., Ltd. 2,135 1,257,745 0.0%
#* Nanos Co., Ltd. 38,381 46,163 0.0%
# Nasmedia Co., Ltd. 12,339 449,064 0.0%
#* Naturalendo Tech Co., Ltd. 64,724 1,086,936 0.0%
# NeoPharm Co., Ltd. 29,758 743,311 0.0%
#* Neowiz Games Corp. 94,998 895,639 0.0%
# NEOWIZ HOLDINGS Corp. 32,763 450,522 0.0%
NEPES Corp. 109,020 671,146 0.0%
# Nexen Corp. 318,545 2,223,621 0.1%
Nexen Tire Corp. 222,957 2,557,713 0.1%
#* Nexon GT Co., Ltd. 99,540 696,219 0.0%
#* NHN Entertainment Corp. 114,640 5,022,904 0.1%
# NHN KCP Corp. 73,297 1,093,901 0.0%
NICE Holdings Co., Ltd. 104,644 1,539,572 0.1%
# Nice Information & Telecommunication, Inc. 34,484 1,101,438 0.0%
# NICE Information Service Co., Ltd. 250,895 1,678,559 0.1%
# NICE Total Cash Management Co., Ltd. 90,510 439,774 0.0%
#* NK Co., Ltd. 199,266 837,353 0.0%
# Nong Shim Holdings Co., Ltd. 11,007 970,711 0.0%
# Nong Woo Bio Co., Ltd. 49,150 898,585 0.0%
# Noroo Holdings Co., Ltd. 13,599 198,534 0.0%
# NOROO Paint & Coatings Co., Ltd. 61,681 498,299 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
NPC 64,609 $ 355,617 0.0%
#* NS Shopping Co., Ltd. 11,131 1,603,210 0.1%
#* Nuri Telecom Co., Ltd. 31,698 279,557 0.0%
#* NUVOTEC Co., Ltd. 153,125 671,699 0.0%
#* Omnisystem Co., Ltd. 224,193 455,674 0.0%
#* ONDA Entertainment Co., Ltd. 145,154 378,899 0.0%
# Openbase, Inc. 157,637 487,643 0.0%
Opto Device Technology Co., Ltd. 44,104 321,211 0.0%
#* OPTRON-TEC, Inc. 103,096 496,593 0.0%
#* Orientbio, Inc. 623,111 905,256 0.0%
#* OSANGJAIEL Co., Ltd. 20,524 173,828 0.0%
#* Osstem Implant Co., Ltd. 74,682 3,552,976 0.1%
#* Osung LST Co., Ltd. 246,799 266,581 0.0%
# Pan-Pacific Co., Ltd. 171,209 438,659 0.0%
Pang Rim Co., Ltd. 10,174 214,602 0.0%
#* PaperCorea, Inc. 1,219,517 617,172 0.0%
# Paradise Co., Ltd. 292,001 3,311,112 0.1%
#* PARK & OPC Co., Ltd. 74,501 229,996 0.0%
# Partron Co., Ltd. 275,186 2,147,291 0.1%
#* Paru Co., Ltd. 190,571 675,272 0.0%
#* People & Technologies, Inc. 20,535 219,136 0.0%
# PHARMA RESEARCH PRODUCTS Co., Ltd. 12,959 480,759 0.0%
#* Pharmicell Co., Ltd. 85,904 345,420 0.0%
#* Phoenix Materials Co., Ltd. 283,075 385,892 0.0%
# Pixelplus Co., Ltd. 12,581 173,493 0.0%
* PNE Solution Co., Ltd. 4,186 22,920 0.0%
#* Pobis TNC Co., Ltd. 210,581 581,019 0.0%
Poongsan Corp. 144,872 4,402,220 0.1%
# Poongsan Holdings Corp. 26,213 1,070,397 0.0%
POSCO Chemtech Co., Ltd. 135,000 1,401,901 0.0%
POSCO Coated & Color Steel Co., Ltd. 3,374 79,695 0.0%
#* Posco ICT Co., Ltd. 349,835 1,749,151 0.1%
# Posco M-Tech Co., Ltd. 98,238 231,504 0.0%
#* Power Logics Co., Ltd. 162,580 526,447 0.0%
PS TEC Co., Ltd. 6,466 31,655 0.0%
# PSK, Inc. 90,777 1,097,616 0.0%
# Pulmuone Co., Ltd. 6,862 709,596 0.0%
# Pyeong Hwa Automotive Co., Ltd. 76,039 776,395 0.0%
#* RaonSecure Co., Ltd. 138,657 328,544 0.0%
#* Redrover Co., Ltd. 119,769 585,719 0.0%
# Reyon Pharmaceutical Co., Ltd. 31,093 691,272 0.0%
# RFsemi Technologies, Inc. 30,415 278,945 0.0%
# RFTech Co., Ltd. 80,741 482,839 0.0%
# Robostar Co., Ltd. 20,153 230,902 0.0%
# S Net Systems, Inc. 71,831 383,430 0.0%
* S&C Engine Group, Ltd. 27,630 35,528 0.0%
#* S&S Tech Corp. 96,305 685,829 0.0%
# S&T Corp. 14,935 231,950 0.0%
S&T Dynamics Co., Ltd. 160,725 1,298,321 0.0%
S&T Holdings Co., Ltd. 44,917 586,726 0.0%
# S&T Motiv Co., Ltd. 56,847 2,030,087 0.1%
#* S-Connect Co., Ltd. 321,437 579,780 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# S-Energy Co., Ltd. 60,670 $ 521,965 0.0%
#* S-MAC Co., Ltd. 109,233 635,427 0.0%
# Saeron Automotive Corp. 2,640 18,443 0.0%
#* Sajo Industries Co., Ltd. 16,135 879,845 0.0%
#* Sajodongaone Co., Ltd. 149,799 218,212 0.0%
* SAJOHAEPYO Corp. 574 6,091 0.0%
# Sam Chun Dang Pharm Co., Ltd. 87,350 755,335 0.0%
#* SAM KANG M&T Co., Ltd. 48,193 367,153 0.0%
# Sam Young Electronics Co., Ltd. 73,583 716,249 0.0%
# Sam Yung Trading Co., Ltd. 64,634 993,458 0.0%
Sam-A Pharm Co., Ltd. 4,439 80,967 0.0%
# Sambo Motors Co., Ltd. 13,687 87,657 0.0%
# Samchully Co., Ltd. 17,242 1,469,732 0.0%
# Samchuly Bicycle Co., Ltd. 50,784 624,487 0.0%
# Samho Development Co., Ltd. 64,551 183,285 0.0%
#* Samho International Co., Ltd. 41,074 627,520 0.0%
# SAMHWA Paints Industrial Co., Ltd. 57,633 563,095 0.0%
# Samick Musical Instruments Co., Ltd. 408,541 819,876 0.0%
# Samick THK Co., Ltd. 64,848 594,579 0.0%
#* Samji Electronics Co., Ltd. 8,013 57,688 0.0%
# Samjin LND Co., Ltd. 98,862 253,596 0.0%
# Samjin Pharmaceutical Co., Ltd. 60,993 1,681,894 0.1%
# Samkee Automotive Co., Ltd. 109,961 348,729 0.0%
# Samkwang Glass 20,201 1,059,051 0.0%
# Sammok S-Form Co., Ltd. 51,954 625,745 0.0%
#* SAMT Co., Ltd. 430,729 631,630 0.0%
# Samwha Capacitor Co., Ltd. 52,675 459,188 0.0%
Samyang Corp. 20,745 1,862,751 0.1%
# Samyang Foods Co., Ltd. 18,333 615,376 0.0%
Samyang Holdings Corp. 23,672 2,581,000 0.1%
# Samyang Tongsang Co., Ltd. 9,663 414,747 0.0%
#* Samyoung Chemical Co., Ltd. 136,867 186,582 0.0%
# Sang-A Frontec Co., Ltd. 38,565 328,522 0.0%
#* Sangbo Corp. 143,028 428,118 0.0%
Sangsin Brake 23,059 131,058 0.0%
#* Sapphire Technology Co., Ltd. 42,273 194,765 0.0%
# SaraminHR Co, Ltd. 34,236 533,774 0.0%
# Satrec Initiative Co., Ltd. 16,043 513,420 0.0%
# SAVEZONE I&C Corp. 67,175 322,780 0.0%
#* SBI Investment Korea Co., Ltd. 257,130 116,272 0.0%
SBS Contents Hub Co., Ltd. 44,268 340,997 0.0%
SBS Media Holdings Co., Ltd. 303,474 756,323 0.0%
#* SBW 672,346 1,153,862 0.0%
#* SDN Co., Ltd. 168,490 269,916 0.0%
Seah Besteel Corp. 87,900 1,779,231 0.1%
SeAH Holdings Corp. 4,811 503,245 0.0%
SeAH Steel Corp. 19,174 1,165,778 0.0%
# Sebang Co., Ltd. 65,269 857,979 0.0%
Sebang Global Battery Co., Ltd. 43,127 1,397,110 0.0%
#* Seegene, Inc. 58,471 1,543,854 0.1%
# Sejong Industrial Co., Ltd. 70,108 631,411 0.0%
# Sejoong Co., Ltd. 52,023 195,413 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Sekonix Co., Ltd. 52,235 $ 586,175 0.0%
# Sempio Foods Co.(6125651) 6,723 239,534 0.0%
#* Sempio Foods Co.(BD20Q99) 14,221 390,246 0.0%
Semyung Electric Machinery Co., Ltd. 9,493 46,341 0.0%
#* Seobu T&D 104,342 1,812,836 0.1%
# Seohan Co., Ltd. 516,097 943,159 0.0%
#* Seohee Construction Co., Ltd. 915,963 1,213,743 0.0%
# Seondo Electric Co., Ltd. 91,667 314,072 0.0%
# Seoul Auction Co., Ltd. 68,177 763,389 0.0%
# Seoul Pharma Co., Ltd. 22,333 190,357 0.0%
# Seoul Semiconductor Co., Ltd. 258,693 3,088,613 0.1%
#* Seowon Co., Ltd. 142,797 214,270 0.0%
# SEOWONINTECH Co., Ltd. 60,461 576,082 0.0%
# Seoyon Co., Ltd. 109,742 1,063,907 0.0%
#* Seven Star Works Co., Ltd. 38,147 199,626 0.0%
#* Sewon Cellontech Co., Ltd. 297,955 758,742 0.0%
Sewon Precision Industry Co., Ltd. 21,670 357,859 0.0%
# SEWOONMEDICAL Co., Ltd. 134,549 541,521 0.0%
# SFA Engineering Corp. 66,452 3,356,941 0.1%
#* SFA Semicon Co, Ltd. 430,938 831,853 0.0%
#* SG Corp. 865,420 920,827 0.0%
#* SG&G Corp. 38,791 128,590 0.0%
#* SGA Co., Ltd. 451,222 446,657 0.0%
# SH Energy & Chemical Co., Ltd. 555,590 750,646 0.0%
#* Shin Poong Pharmaceutical Co., Ltd. 222,921 1,183,828 0.0%
#* Shinil Industrial Co., Ltd. 301,022 461,556 0.0%
# Shinsegae Engineering & Construction Co., Ltd. 16,233 569,998 0.0%
# Shinsegae Food Co., Ltd. 2,696 340,168 0.0%
# Shinsegae Information & Communication Co., Ltd. 7,550 429,330 0.0%
# Shinsegae International, Inc. 17,519 1,197,380 0.0%
* Shinsung Solar Energy Co., Ltd.(B3CCL56) 50,127 182,420 0.0%
* Shinsung Solar Energy Co., Ltd.(6149316) 446,603 1,011,444 0.0%
#* Shinsung Tongsang Co., Ltd. 705,326 750,087 0.0%
#* Shinwha Intertek Corp. 174,909 503,067 0.0%
#* Shinwon Corp. 173,143 247,958 0.0%
# Shinyoung Securities Co., Ltd. 21,520 934,745 0.0%
# SHOWBOX Corp. 187,747 982,969 0.0%
#* Signetics Corp. 318,976 489,622 0.0%
#* SIGONG TECH Co., Ltd. 85,687 388,934 0.0%
# Silicon Works Co., Ltd. 71,417 1,668,649 0.1%
# Silla Co., Ltd. 38,828 476,499 0.0%
#* SIMMTECH HOLDINGS Co., Ltd. 217,148 502,853 0.0%
# SIMPAC, Inc. 85,286 365,131 0.0%
Sindoh Co., Ltd. 15,760 723,097 0.0%
# Sinjin SM Co., Ltd. 13,589 105,510 0.0%
# SJM Co., Ltd. 34,349 184,432 0.0%
# SK Bioland Co., Ltd. 61,850 994,936 0.0%
#* SK Communications Co., Ltd. 103,928 239,428 0.0%
# SK D&D Co., Ltd. 9,764 394,511 0.0%
SK Gas, Ltd. 27,438 2,305,991 0.1%
SK Materials Co., Ltd. 20,442 2,780,521 0.1%
SK Networks Co., Ltd. 276,651 1,572,298 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* SK Securities Co., Ltd. 2,907,394 $2,630,054 0.1%
# SKC Co., Ltd. 144,875 3,417,812 0.1%
#* SKC Solmics Co., Ltd. 82,117 220,553 0.0%
# SKCKOLONPI, Inc. 99,044 1,071,455 0.0%
SL Corp. 93,069 1,238,989 0.0%
#* SM Culture & Contents Co., Ltd. 169,565 298,775 0.0%
#* SM Entertainment Co. 116,112 2,766,238 0.1%
# SMCo.re, Inc. 36,352 235,229 0.0%
# SMEC Co., Ltd. 123,903 405,554 0.0%
#* SNTEK Co., Ltd. 5,937 42,968 0.0%
#* SNU Precision Co., Ltd. 75,834 309,327 0.0%
#* Solborn, Inc. 94,578 494,255 0.0%
# Solid, Inc. 110,705 227,894 0.0%
# Songwon Industrial Co., Ltd. 100,166 1,533,762 0.1%
#* Sonokong Co., Ltd. 121,644 722,500 0.0%
#* Soosan Heavy Industries Co., Ltd. 195,249 348,298 0.0%
# Soulbrain Co., Ltd. 57,380 3,127,007 0.1%
SPG Co., Ltd. 35,735 163,814 0.0%
# Spigen Korea Co., Ltd. 16,869 754,815 0.0%
* Ssangyong Cement Industrial Co., Ltd. 36,758 515,157 0.0%
# Ssangyong Materials Corp. 51,243 187,783 0.0%
* Ssangyong Motor Co. 59,261 380,541 0.0%
# Suheung Co., Ltd. 37,383 1,292,297 0.0%
Sun Kwang Co., Ltd. 10,307 162,924 0.0%
# Sunchang Corp. 52,644 472,472 0.0%
#* SundayToz Corp. 33,383 820,945 0.0%
Sung Bo Chemicals Co., Ltd. 13,612 66,619 0.0%
# Sung Kwang Bend Co., Ltd. 117,986 969,096 0.0%
# Sungchang Enterprise Holdings, Ltd. 422,410 1,123,325 0.0%
#* Sungshin Cement Co., Ltd. 109,211 725,231 0.0%
# Sungwoo Hitech Co., Ltd. 229,299 1,535,080 0.1%
# Sunjin Co., Ltd. 26,478 608,174 0.0%
#* Suprema HQ, Inc. 36,612 261,183 0.0%
#* Suprema, Inc. 33,897 703,729 0.0%
#* Synopex, Inc. 386,550 568,603 0.0%
# Systems Technology, Inc. 61,460 659,396 0.0%
Tae Kyung Industrial Co., Ltd. 39,841 168,525 0.0%
Taekwang Industrial Co., Ltd. 2,468 1,808,784 0.1%
#* Taewoong Co., Ltd. 66,164 1,593,576 0.1%
#* Taeyoung Engineering & Construction Co., Ltd. 246,613 1,049,356 0.0%
* Taihan Textile Co., Ltd. 844 46,432 0.0%
Tailim Packaging Co., Ltd. 195,880 523,213 0.0%
#* TBH Global Co., Ltd. 62,422 449,853 0.0%
# TechWing, Inc. 64,388 707,326 0.0%
* Tera Semicon Co., Ltd. 45,083 966,819 0.0%
# TES Co., Ltd. 88,898 1,665,323 0.1%
#* Texcell-NetCom Co., Ltd. 207,729 1,141,771 0.0%
#* Theragen Etex Co., Ltd. 42,112 196,831 0.0%
#* Thinkware Systems Corp. 36,138 357,775 0.0%
#* TK Chemical Corp. 283,667 477,716 0.0%
# TK Corp. 96,322 711,889 0.0%
# TLI, Inc. 7,937 41,294 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Tokai Carbon Korea Co., Ltd. 30,799 $ 887,500 0.0%
# Tong Yang Moolsan Co., Ltd. 275,330 608,709 0.0%
#* Tongyang Cement & Energy Corp. 100,916 316,627 0.0%
Tongyang Life Insurance Co, Ltd. 299,494 3,137,746 0.1%
# Tongyang, Inc. 1,006,713 2,825,377 0.1%
# Tonymoly Co., Ltd. 14,675 489,096 0.0%
#* Top Engineering Co., Ltd. 58,093 298,334 0.0%
# Toptec Co., Ltd. 106,365 1,781,369 0.1%
# Tovis Co., Ltd. 99,579 730,631 0.0%
#* Trais Co., Ltd. 24,456 41,762 0.0%
# TS Corp. 28,650 601,817 0.0%
# UBCare Co., Ltd. 120,088 363,278 0.0%
# Ubiquoss, Inc. 82,502 802,645 0.0%
#* Ubivelox, Inc. 25,329 223,192 0.0%
# Ugint Co., Ltd. 90,570 710,788 0.0%
# Uju Electronics Co., Ltd. 42,498 555,065 0.0%
# Unid Co., Ltd. 35,003 1,429,500 0.0%
# Union Semiconductor Equipment & Materials Co., Ltd. 80,048 768,316 0.0%
# Uniquest Corp. 16,238 69,778 0.0%
#* Unison Co., Ltd. 65,618 87,562 0.0%
# UniTest, Inc. 110,582 1,301,718 0.0%
# Value Added Technologies Co., Ltd. 47,435 1,300,829 0.0%
# Very Good Leisure Co., Ltd. 25,853 187,252 0.0%
# Viatron Technologies, Inc. 66,218 1,164,865 0.0%
# Vieworks Co., Ltd. 48,297 2,593,628 0.1%
# Visang Education, Inc. 41,327 543,035 0.0%
# Vitzrocell Co., Ltd. 71,319 675,991 0.0%
#* Webzen, Inc. 104,675 1,569,289 0.1%
#* Welcron Co., Ltd. 126,131 367,221 0.0%
#* WeMade Entertainment Co., Ltd. 63,199 1,072,653 0.0%
# Whanin Pharmaceutical Co., Ltd. 79,288 1,010,639 0.0%
# WillBes & Co. (The) 319,383 766,930 0.0%
#* Winix, Inc. 44,681 325,347 0.0%
# Wins Co., Ltd. 51,535 519,441 0.0%
# WiSoL Co., Ltd. 106,318 1,239,181 0.0%
#* WIZIT Co., Ltd. 421,252 447,123 0.0%
#* WONIK CUBE Corp. 13,011 28,503 0.0%
#* Wonik Holdings Co., Ltd. 202,412 1,145,602 0.0%
* WONIK IPS Co., Ltd. 176,725 3,589,548 0.1%
#* Wonik Materials Co., Ltd. 23,196 1,438,977 0.0%
#* Wonik QnC Corp. 53,164 747,263 0.0%
Woojin, Inc. 2,070 11,817 0.0%
#* Woongjin Co., Ltd. 312,912 732,530 0.0%
#* Woongjin Energy Co., Ltd. 101,365 489,415 0.0%
#* Woongjin Thinkbig Co., Ltd. 157,405 1,310,856 0.0%
* Wooree ETI Co., Ltd. 121,728 151,993 0.0%
#* Woori Investment Bank Co., Ltd. 2,611,217 1,562,383 0.1%
#* Woori Technology, Inc. 485,786 307,902 0.0%
#* Wooridul Pharmaceutical, Ltd. 53,501 882,687 0.0%
# Woory Industrial Co., Ltd. 25,294 531,407 0.0%
#* Woosu AMS Co., Ltd. 61,328 182,360 0.0%
# WooSung Feed Co., Ltd. 122,004 365,130 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# Y G-1 Co., Ltd. 83,466 $ 659,623 0.0%
#* YD Online Corp. 134,417 470,186 0.0%
#* YeaRimDang Publishing Co., Ltd. 71,925 266,740 0.0%
# Yeong Hwa Metal Co., Ltd. 189,002 278,642 0.0%
# YES24 Co., Ltd. 43,089 197,821 0.0%
YESCO Co., Ltd. 16,083 529,162 0.0%
# YG Entertainment, Inc. 59,260 1,514,625 0.0%
#* YG Plus 60,153 126,871 0.0%
# YJM Games Co., Ltd. 118,493 460,186 0.0%
# Yoosung Enterprise Co., Ltd. 142,242 502,138 0.0%
# YooSung T&S Co., Ltd. 88,710 450,195 0.0%
# Youlchon Chemical Co., Ltd. 68,404 809,453 0.0%
# Young Heung Iron & Steel Co., Ltd. 287,784 428,813 0.0%
* Young Poong Mining & Construction Corp. 1,580 -- 0.0%
# Young Poong Precision Corp. 79,593 582,856 0.0%
# Youngone Holdings Co., Ltd. 35,377 1,780,068 0.1%
* YTN Co., Ltd. 73,837 167,346 0.0%
#* Yuanta Securities Korea Co., Ltd. 635,447 1,737,007 0.1%
# YuHwa Securities Co., Ltd. 13,060 178,981 0.0%
#* Yungjin Pharmaceutical Co., Ltd. 22,517 171,856 0.0%
#* Yuyang DNU Co., Ltd. 184,328 514,844 0.0%
* ZeroOne Interactive Co., Ltd. 3,200 -- 0.0%
# Zeus Co., Ltd. 35,124 381,366 0.0%
* Zungwon En-Sys, Inc. 49,093 128,881 0.0%
------------ ----
TOTAL SOUTH KOREA 725,273,437 13.1%
------------ ----
TAIWAN -- (13.4%)
# A-DATA Technology Co., Ltd. 1,519,879 2,361,527 0.1%
Ability Enterprise Co., Ltd. 1,706,293 837,075 0.0%
# AcBel Polytech, Inc. 2,709,599 2,004,442 0.1%
# Accton Technology Corp. 3,104,763 4,957,895 0.1%
# ACES Electronic Co., Ltd. 605,000 461,696 0.0%
# Achem Technology Corp. 1,616,860 552,465 0.0%
#* Acme Electronics Corp. 529,000 215,744 0.0%
# Acter Co., Ltd. 211,000 567,206 0.0%
# Actron Technology Corp. 395,150 1,294,730 0.0%
# Addcn Technology Co., Ltd. 51,300 326,298 0.0%
# Adlink Technology, Inc. 810,031 1,566,559 0.0%
# Advanced Ceramic X Corp. 265,000 2,119,062 0.1%
* Advanced Connectek, Inc. 1,202,000 320,479 0.0%
Advanced International Multitech Co., Ltd. 501,000 318,902 0.0%
# Advanced Wireless Semiconductor Co. 885,000 1,378,816 0.0%
# Advancetek Enterprise Co., Ltd. 977,779 557,710 0.0%
#* AGV Products Corp. 3,358,433 800,303 0.0%
# AimCore Technology Co., Ltd. 334,589 193,810 0.0%
Alcor Micro Corp. 312,000 192,722 0.0%
#* ALI Corp. 2,195,000 1,152,236 0.0%
All Ring Tech Co., Ltd. 55,000 89,268 0.0%
Allis Electric Co., Ltd. 54,000 16,843 0.0%
# Alltek Technology Corp. 671,855 536,986 0.0%
# Alltop Technology Co., Ltd. 250,000 558,995 0.0%
# Alpha Networks, Inc. 2,014,386 1,159,007 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Altek Corp. 1,805,945 $1,290,886 0.0%
# Amazing Microelectronic Corp. 120,000 193,179 0.0%
# Ambassador Hotel (The) 1,612,000 1,261,928 0.0%
# AMICCOM Electronics Corp. 99,000 122,301 0.0%
AMPOC Far-East Co., Ltd. 320,444 255,505 0.0%
# AmTRAN Technology Co., Ltd. 4,808,951 3,808,721 0.1%
# Anpec Electronics Corp. 336,590 305,974 0.0%
Apacer Technology, Inc. 524,325 550,593 0.0%
#* APCB, Inc. 732,000 518,792 0.0%
# Apex Biotechnology Corp. 654,483 863,495 0.0%
# Apex International Co., Ltd. 665,293 713,598 0.0%
# Apex Medical Corp. 433,500 476,655 0.0%
# Apex Science & Engineering 1,046,132 265,941 0.0%
# Arcadyan Technology Corp. 921,718 1,674,065 0.0%
Ardentec Corp. 2,772,274 2,064,699 0.1%
* Arima Communications Corp. 1,189,719 185,470 0.0%
#* Asia Optical Co., Inc. 1,615,000 1,489,858 0.0%
#* Asia Plastic Recycling Holding, Ltd. 1,077,842 613,155 0.0%
# Asia Polymer Corp. 1,862,987 1,077,638 0.0%
# Asia Vital Components Co., Ltd. 2,146,058 1,606,082 0.0%
# ASMedia Technology, Inc. 153,000 1,192,028 0.0%
# ASPEED Technology, Inc. 105,599 1,521,153 0.0%
# ASROCK, Inc. 141,000 169,349 0.0%
Aten International Co., Ltd. 604,479 1,516,348 0.0%
# Audix Corp. 614,600 709,357 0.0%
# AURAS Technology Co., Ltd. 289,148 912,988 0.0%
# Aurora Corp. 688,499 1,112,232 0.0%
AV Tech Corp. 100,000 68,579 0.0%
# Avalue Technology, Inc. 164,000 320,799 0.0%
# Avermedia Technologies 767,446 242,961 0.0%
* Avision, Inc. 437,000 93,261 0.0%
# AVY Precision Technology, Inc. 327,670 520,516 0.0%
# Awea Mechantronic Co., Ltd. 273,210 245,301 0.0%
Axiomtek Co., Ltd. 116,000 205,655 0.0%
Bank of Kaohsiung Co., Ltd. 2,798,079 783,849 0.0%
# Basso Industry Corp. 681,900 1,833,825 0.1%
# BenQ Materials Corp. 1,172,000 498,261 0.0%
# BES Engineering Corp. 10,187,750 1,734,583 0.1%
# Bionet Corp. 132,000 127,926 0.0%
Bionime Corp. 59,000 86,248 0.0%
#* Biostar Microtech International Corp. 1,025,975 292,169 0.0%
# Bioteque Corp. 360,308 1,543,324 0.0%
# Bizlink Holding, Inc. 542,954 2,748,611 0.1%
# Boardtek Electronics Corp. 783,000 774,890 0.0%
Bon Fame Co., Ltd. 39,000 208,025 0.0%
Bothhand Enterprise, Inc. 87,000 134,626 0.0%
Bright Led Electronics Corp. 525,520 163,121 0.0%
#* Browave Corp. 181,000 263,066 0.0%
#* C Sun Manufacturing, Ltd. 722,221 364,234 0.0%
C-Media Electronics, Inc. 45,000 39,543 0.0%
* Cameo Communications, Inc. 393,818 75,896 0.0%
Capital Futures Corp. 35,000 40,977 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Capital Securities Corp. 12,873,142 $3,218,127 0.1%
# Career Technology MFG. Co., Ltd. 2,145,000 1,367,826 0.0%
#* Carnival Industrial Corp. 1,419,000 243,979 0.0%
Cathay Chemical Works 30,000 14,123 0.0%
Cathay Real Estate Development Co., Ltd. 3,605,700 1,848,327 0.1%
Celxpert Energy Corp. 44,000 24,966 0.0%
#* Center Laboratories, Inc. 106,000 217,721 0.0%
# Central Reinsurance Co., Ltd. 919,410 401,976 0.0%
# ChainQui Construction Development Co., Ltd. 379,083 224,812 0.0%
* Champion Building Materials Co., Ltd. 2,163,851 476,427 0.0%
# Champion Microelectronic Corp. 190,922 226,756 0.0%
Chang Wah Electromaterials, Inc. 213,905 1,005,749 0.0%
# Channel Well Technology Co., Ltd. 859,000 822,376 0.0%
# Charoen Pokphand Enterprise 1,305,985 1,856,340 0.1%
# Chaun-Choung Technology Corp. 409,000 1,803,154 0.1%
# CHC Healthcare Group 92,000 127,466 0.0%
# CHC Resources Corp. 398,348 677,804 0.0%
# Chen Full International Co., Ltd. 610,000 941,689 0.0%
# Chenbro Micom Co., Ltd. 357,000 584,290 0.0%
Cheng Loong Corp. 5,698,383 2,065,483 0.1%
# Cheng Uei Precision Industry Co., Ltd. 2,954,331 3,614,911 0.1%
# Chenming Mold Industry Corp. 470,437 272,369 0.0%
Chia Chang Co., Ltd. 878,000 672,959 0.0%
# Chia Hsin Cement Corp. 1,788,121 504,781 0.0%
Chian Hsing Forging Industrial Co., Ltd. 10,000 13,338 0.0%
# Chicony Power Technology Co., Ltd. 276,210 448,591 0.0%
# Chien Kuo Construction Co., Ltd. 1,568,312 420,383 0.0%
# Chilisin Electronics Corp. 559,315 1,221,417 0.0%
# Chime Ball Technology Co., Ltd. 119,698 145,115 0.0%
# Chimei Materials Technology Corp. 2,077,900 816,418 0.0%
# Chin-Poon Industrial Co., Ltd. 2,503,207 4,793,645 0.1%
China Bills Finance Corp. 1,040,000 416,787 0.0%
# China Chemical & Pharmaceutical Co., Ltd. 1,852,000 1,043,620 0.0%
# China Ecotek Corp. 200,000 284,878 0.0%
#* China Electric Manufacturing Corp. 1,352,900 318,526 0.0%
China General Plastics Corp. 2,144,147 1,713,730 0.1%
China Glaze Co., Ltd. 507,002 209,205 0.0%
# China Man-Made Fiber Corp. 3,697,972 894,436 0.0%
China Metal Products 1,714,603 1,689,224 0.0%
China Motor Corp. 383,609 300,419 0.0%
#* China Petrochemical Development Corp. 16,055,000 4,584,395 0.1%
# China Steel Chemical Corp. 597,554 2,050,820 0.1%
# China Steel Structure Co., Ltd. 585,000 406,272 0.0%
# China Synthetic Rubber Corp. 3,261,573 2,559,579 0.1%
* China United Trust & Investment Corp. 164,804 -- 0.0%
# China Wire & Cable Co., Ltd. 568,800 271,950 0.0%
Chinese Maritime Transport, Ltd. 556,594 425,923 0.0%
Chipbond Technology Corp. 1,616,000 2,230,822 0.1%
#* ChipMOS TECHNOLOGIES, Inc. 352,000 313,920 0.0%
# Chlitina Holding, Ltd. 234,000 1,024,379 0.0%
# Chong Hong Construction Co., Ltd. 1,043,666 1,713,524 0.1%
* Chou Chin Industrial Co., Ltd. 825 -- 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Chroma ATE, Inc. 1,847,821 $4,683,626 0.1%
# Chun YU Works & Co., Ltd. 1,382,000 568,782 0.0%
Chun Yuan Steel 2,283,529 780,909 0.0%
* Chung Hung Steel Corp. 5,920,979 1,352,322 0.0%
# Chung Hwa Pulp Corp. 2,943,405 834,943 0.0%
Chung-Hsin Electric & Machinery Manufacturing Corp. 2,618,375 1,468,313 0.0%
# Chunghwa Chemical Synthesis & Biotech Co., Ltd. 165,000 142,562 0.0%
* Chunghwa Picture Tubes, Ltd. 14,410,000 705,086 0.0%
Chunghwa Precision Test Tech Co., Ltd. 7,000 232,652 0.0%
# Chyang Sheng Dyeing & Finishing Co., Ltd. 297,000 171,818 0.0%
# Cleanaway Co., Ltd. 459,000 2,440,754 0.1%
# Clevo Co. 3,054,200 2,794,742 0.1%
* CMC Magnetics Corp. 15,197,566 1,788,105 0.1%
* Co-Tech Development Corp. 208,000 183,960 0.0%
CoAdna Holdings, Inc. 44,000 79,310 0.0%
# CoAsia Microelectronics Corp. 803,397 347,074 0.0%
# Coland Holdings, Ltd. 211,000 310,605 0.0%
# Collins Co., Ltd. 562,431 189,828 0.0%
# Compeq Manufacturing Co., Ltd. 7,428,000 3,911,887 0.1%
# Compucase Enterprise 199,000 274,058 0.0%
Concord Securities Co., Ltd. 3,059,000 600,607 0.0%
# Continental Holdings Corp. 3,343,320 1,090,169 0.0%
Contrel Technology Co., Ltd. 207,000 111,951 0.0%
Coremax Corp. 59,000 79,029 0.0%
Coretronic Corp. 3,022,200 3,127,256 0.1%
# Cowealth Medical Holding Co., Ltd. 95,000 152,042 0.0%
# Coxon Precise Industrial Co., Ltd. 820,000 782,334 0.0%
# Creative Sensor, Inc. 134,000 85,050 0.0%
* Crystalwise Technology, Inc. 71,302 18,176 0.0%
# CSBC Corp. Taiwan 2,980,610 1,235,576 0.0%
# Cub Elecparts, Inc. 271,262 2,488,462 0.1%
# CviLux Corp. 520,040 444,564 0.0%
# Cyberlink Corp. 498,697 991,794 0.0%
# CyberPower Systems, Inc. 264,000 754,626 0.0%
# CyberTAN Technology, Inc. 1,387,779 829,873 0.0%
# Cypress Technology Co., Ltd. 56,000 229,458 0.0%
# D-Link Corp. 5,120,668 1,643,294 0.0%
# DA CIN Construction Co., Ltd. 1,001,711 599,446 0.0%
# Da-Li Development Co., Ltd. 976,189 612,493 0.0%
# Dadi Early-Childhood Education Group Ltd. 25,000 151,680 0.0%
Dafeng TV, Ltd. 454,870 504,201 0.0%
#* Danen Technology Corp. 2,682,000 616,365 0.0%
Darfon Electronics Corp. 1,769,550 1,036,284 0.0%
# Darwin Precisions Corp. 2,422,635 937,067 0.0%
Davicom Semiconductor, Inc. 52,888 35,622 0.0%
# De Licacy Industrial Co., Ltd. 928,798 765,242 0.0%
# Delpha Construction Co., Ltd. 839,931 352,351 0.0%
# Depo Auto Parts Ind Co., Ltd. 685,000 2,139,631 0.1%
* Der Pao Construction Co., Ltd. 902,078 -- 0.0%
# DFI, Inc. 514,524 784,689 0.0%
# Dimerco Express Corp. 645,000 421,583 0.0%
# Dr Wu Skincare Co., Ltd. 13,000 88,924 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
Draytek Corp. 42,000 $ 39,426 0.0%
# Dynacolor, Inc. 306,000 407,120 0.0%
* Dynamic Electronics Co., Ltd. 1,862,321 550,248 0.0%
Dynapack International Technology Corp. 971,000 1,270,261 0.0%
# E Ink Holdings, Inc. 5,656,000 4,793,762 0.1%
# E-Lead Electronic Co., Ltd. 507,942 472,212 0.0%
# E-Life Mall Corp. 446,000 853,615 0.0%
* E-Ton Solar Tech Co., Ltd. 2,396,209 741,518 0.0%
* Eastern Media International Corp. 2,757,889 655,239 0.0%
# Edimax Technology Co., Ltd. 1,297,108 416,821 0.0%
# Edison Opto Corp. 810,000 344,817 0.0%
# Edom Technology Co., Ltd. 1,131,968 630,324 0.0%
# eGalax_eMPIA Technology, Inc. 346,703 555,785 0.0%
# Elan Microelectronics Corp. 2,597,715 2,938,217 0.1%
# Elite Advanced Laser Corp. 669,520 2,434,275 0.1%
# Elite Material Co., Ltd. 1,920,350 5,346,194 0.1%
Elite Semiconductor Memory Technology, Inc. 1,732,200 1,845,222 0.1%
# Elitegroup Computer Systems Co., Ltd. 2,281,254 975,003 0.0%
# eMemory Technology, Inc. 429,000 4,544,896 0.1%
# Emerging Display Technologies Corp. 646,000 200,525 0.0%
# ENG Electric Co., Ltd. 1,161,465 613,675 0.0%
# Ennoconn Corp. 40,972 649,253 0.0%
# EnTie Commercial Bank Co., Ltd. 2,226,603 849,367 0.0%
* Episil Holdings, Inc. 282,000 89,210 0.0%
#* Epistar Corp. 4,325,000 2,936,578 0.1%
# Eslite Spectrum Corp. (The) 25,000 144,770 0.0%
# Eson Precision Ind. Co., Ltd. 293,000 380,301 0.0%
# Eternal Materials Co., Ltd. 3,995,618 4,211,259 0.1%
Etron Technology, Inc. 1,607,000 616,952 0.0%
# Eurocharm Holdings Co., Ltd. 79,000 223,600 0.0%
# Everest Textile Co., Ltd. 2,302,562 1,206,651 0.0%
Evergreen International Storage & Transport Corp. 3,627,000 1,469,909 0.0%
# Everlight Chemical Industrial Corp. 3,210,606 2,030,949 0.1%
# Everlight Electronics Co., Ltd. 2,662,000 4,015,121 0.1%
# Everspring Industry Co., Ltd. 205,000 105,957 0.0%
# Excelsior Medical Co., Ltd. 602,217 859,885 0.0%
Far Eastern Department Stores, Ltd. 5,475,000 2,901,736 0.1%
Far Eastern International Bank 13,845,921 3,937,291 0.1%
# Faraday Technology Corp. 1,470,788 1,463,239 0.0%
#* Farglory F T Z Investment Holding Co., Ltd. 485,000 211,179 0.0%
Farglory Land Development Co., Ltd. 1,722,000 1,979,255 0.1%
# Federal Corp. 3,200,238 1,369,111 0.0%
# Feedback Technology Corp. 235,000 453,947 0.0%
# Feng Hsin Steel Co., Ltd. 2,776,100 3,679,121 0.1%
Fine Blanking & Tool Co., Ltd. 13,000 17,511 0.0%
* First Copper Technology Co., Ltd. 791,000 169,504 0.0%
# First Hotel 976,967 510,904 0.0%
#* First Insurance Co., Ltd, (The) 1,157,179 414,403 0.0%
* First Steamship Co., Ltd. 2,484,218 563,266 0.0%
# FLEXium Interconnect, Inc. 1,835,522 5,219,486 0.1%
# Flytech Technology Co., Ltd. 709,309 2,335,524 0.1%
# FocalTech Systems Co., Ltd. 1,323,048 1,431,121 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# Formosa Advanced Technologies Co., Ltd. 1,096,000 $ 766,029 0.0%
# Formosa International Hotels Corp. 305,329 1,711,998 0.0%
# Formosa Laboratories, Inc. 408,000 1,143,686 0.0%
# Formosa Oilseed Processing Co., Ltd. 708,567 1,164,349 0.0%
# Formosa Optical Technology Co., Ltd. 145,000 330,511 0.0%
Formosan Rubber Group, Inc. 2,677,501 1,245,707 0.0%
Formosan Union Chemical 1,285,218 688,083 0.0%
# Fortune Electric Co., Ltd. 699,078 383,899 0.0%
Founding Construction & Development Co., Ltd. 1,114,623 569,156 0.0%
Foxlink Image Technology Co., Ltd. 669,000 320,963 0.0%
# Foxsemicon Integrated Technology, Inc. 227,000 567,839 0.0%
#* Froch Enterprise Co., Ltd. 1,216,189 369,017 0.0%
FSP Technology, Inc. 1,036,427 791,252 0.0%
# Fulgent Sun International Holding Co., Ltd. 355,827 701,189 0.0%
Fullerton Technology Co., Ltd. 399,600 289,625 0.0%
# Fulltech Fiber Glass Corp. 1,848,083 763,646 0.0%
Fwusow Industry Co., Ltd. 823,751 403,212 0.0%
# G Shank Enterprise Co., Ltd. 773,281 617,328 0.0%
* G Tech Optoelectronics Corp. 809,354 530,434 0.0%
# Gallant Precision Machining Co., Ltd. 839,000 551,833 0.0%
# Gamania Digital Entertainment Co., Ltd. 669,000 602,528 0.0%
Gemtek Technology Corp. 2,257,219 1,299,100 0.0%
# General Interface Solution Holding, Ltd. 634,000 1,689,375 0.0%
# General Plastic Industrial Co., Ltd. 232,553 315,329 0.0%
# Generalplus Technology, Inc. 77,000 91,722 0.0%
#* Genesis Photonics, Inc. 2,089,990 303,462 0.0%
Genesys Logic, Inc. 326,000 411,308 0.0%
#* Genius Electronic Optical Co., Ltd. 485,427 774,169 0.0%
* Genmont Biotech, Inc. 48,000 31,505 0.0%
# GeoVision, Inc. 398,931 599,900 0.0%
Getac Technology Corp. 2,800,360 3,637,144 0.1%
# Giantplus Technology Co., Ltd. 1,585,900 857,102 0.0%
Gigabyte Technology Co., Ltd. 3,717,800 4,885,528 0.1%
# Gigasolar Materials Corp. 163,880 2,065,339 0.1%
#* Gigastorage Corp. 2,094,561 1,503,350 0.0%
Ginko International Co., Ltd. 86,000 801,913 0.0%
#* Gintech Energy Corp. 3,308,297 2,362,040 0.1%
#* Global Brands Manufacture, Ltd. 1,991,359 687,342 0.0%
# Global Lighting Technologies, Inc. 548,000 1,170,240 0.0%
# Global Mixed Mode Technology, Inc. 519,000 1,147,592 0.0%
# Global PMX Co., Ltd. 83,000 379,967 0.0%
# Global Unichip Corp. 610,000 1,554,046 0.0%
# Globalwafers Co., Ltd. 418,048 1,030,377 0.0%
Globe Union Industrial Corp. 1,361,914 670,251 0.0%
# Gloria Material Technology Corp. 3,509,547 1,878,048 0.1%
# Glory Science Co., Ltd. 330,296 587,242 0.0%
* GlycoNex, Inc. 10,000 10,756 0.0%
#* Gold Circuit Electronics, Ltd. 2,805,227 945,012 0.0%
Golden Friends Corp. 44,000 48,449 0.0%
# Goldsun Building Materials Co., Ltd. 8,833,722 2,037,215 0.1%
# Good Will Instrument Co., Ltd. 237,869 154,465 0.0%
Gourmet Master Co., Ltd. 157,000 1,408,915 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Grand Ocean Retail Group, Ltd. 133,000 $ 94,786 0.0%
# Grand Pacific Petrochemical 6,845,000 3,815,686 0.1%
# Grand Plastic Technology Corp. 81,000 521,192 0.0%
# Grape King Bio, Ltd. 683,000 5,734,801 0.1%
# Great China Metal Industry 1,001,000 734,973 0.0%
# Great Taipei Gas Co., Ltd. 1,640,000 1,233,848 0.0%
Great Wall Enterprise Co., Ltd. 3,741,774 3,404,307 0.1%
Greatek Electronics, Inc. 1,517,000 1,915,196 0.1%
#* Green Energy Technology, Inc. 2,304,457 1,263,765 0.0%
# Green Seal Holding, Ltd. 274,000 1,453,537 0.0%
#* GTM Holdings Corp. 681,000 325,662 0.0%
# Hakers Enterprise Co., Ltd. 127,200 229,616 0.0%
Hannstar Board Corp. 2,158,049 1,038,431 0.0%
#* HannStar Display Corp. 21,469,506 5,373,648 0.1%
* HannsTouch Solution, Inc. 3,604,805 883,891 0.0%
# Hanpin Electron Co., Ltd. 222,000 319,350 0.0%
#* Harvatek Corp. 941,949 279,027 0.0%
# Hey Song Corp. 2,000,750 2,046,010 0.1%
# Hi-Clearance, Inc. 185,000 522,626 0.0%
# HIM International Music, Inc. 47,000 174,670 0.0%
# Hiroca Holdings, Ltd. 393,448 1,370,747 0.0%
# HiTi Digital, Inc. 1,013,935 416,976 0.0%
# Hitron Technology, Inc. 1,757,213 1,150,555 0.0%
#* Ho Tung Chemical Corp. 5,527,391 1,356,272 0.0%
# Hocheng Corp. 2,223,700 564,493 0.0%
Hold-Key Electric Wire & Cable Co., Ltd. 205,908 50,620 0.0%
# Holiday Entertainment Co., Ltd. 415,800 649,118 0.0%
# Holtek Semiconductor, Inc. 1,176,000 1,856,644 0.1%
# Holy Stone Enterprise Co., Ltd. 1,290,728 1,301,273 0.0%
# Hong TAI Electric Industrial 979,000 275,523 0.0%
# Hong YI Fiber Industry Co. 414,652 254,966 0.0%
* Horizon Securities Co., Ltd. 2,760,000 492,038 0.0%
# Hota Industrial Manufacturing Co., Ltd. 1,199,128 5,011,278 0.1%
# Hsin Kuang Steel Co., Ltd. 1,458,443 861,922 0.0%
Hsin Yung Chien Co., Ltd. 240,100 599,366 0.0%
# Hsing TA Cement Co. 540,900 171,322 0.0%
# Hu Lane Associate, Inc. 496,866 2,189,567 0.1%
* HUA ENG Wire & Cable Co., Ltd. 2,359,565 567,879 0.0%
# Huaku Development Co., Ltd. 1,759,816 3,097,612 0.1%
# Huang Hsiang Construction Corp. 754,800 922,518 0.0%
Hung Ching Development & Construction Co., Ltd. 730,000 420,760 0.0%
Hung Poo Real Estate Development Corp. 1,710,185 1,406,264 0.0%
# Hung Sheng Construction, Ltd. 3,113,400 1,679,650 0.0%
# Huxen Corp. 301,244 365,615 0.0%
# Hwa Fong Rubber Co., Ltd. 1,625,890 524,901 0.0%
#* Hwacom Systems, Inc. 442,000 140,512 0.0%
* I-Chiun Precision Industry Co., Ltd. 846,313 227,265 0.0%
# I-Sheng Electric Wire & Cable Co., Ltd. 664,000 925,270 0.0%
# Ibase Technology, Inc. 758,073 1,575,811 0.0%
#* Ichia Technologies, Inc. 2,319,000 1,026,262 0.0%
# Ideal Bike Corp. 862,263 293,613 0.0%
# IEI Integration Corp. 755,209 1,123,670 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# Infortrend Technology, Inc. 1,176,163 $ 580,839 0.0%
# Innodisk Corp. 216,053 560,455 0.0%
# Inpaq Technology Co., Ltd. 546,000 397,282 0.0%
# Intai Technology Corp. 135,000 614,445 0.0%
# Integrated Service Technology, Inc. 196,000 602,822 0.0%
IntelliEPI, Inc. 39,000 104,959 0.0%
# International Games System Co., Ltd. 283,000 1,589,236 0.0%
# Iron Force Industrial Co., Ltd. 237,393 1,445,817 0.0%
# ITE Technology, Inc. 890,095 824,710 0.0%
ITEQ Corp. 1,437,614 1,555,888 0.0%
* J Touch Corp. 11,000 789 0.0%
# Jentech Precision Industrial Co., Ltd. 422,868 660,984 0.0%
# Jess-Link Products Co., Ltd. 885,900 733,363 0.0%
# Jih Sun Financial Holdings Co., Ltd. 8,498,896 1,770,628 0.1%
# Jinli Group Holdings, Ltd. 418,600 500,065 0.0%
# Johnson Health Tech Co., Ltd. 588,257 854,681 0.0%
# K Laser Technology, Inc. 683,000 368,082 0.0%
# Kang Na Hsiung Enterprise Co., Ltd. 333,020 111,841 0.0%
# Kaori Heat Treatment Co., Ltd. 549,197 990,519 0.0%
# Kaulin Manufacturing Co., Ltd. 875,330 446,135 0.0%
# KD Holding Corp. 136,000 755,681 0.0%
# KEE TAI Properties Co., Ltd. 2,564,473 819,947 0.0%
# Kenmec Mechanical Engineering Co., Ltd. 1,245,000 460,871 0.0%
# Kerry TJ Logistics Co., Ltd. 1,640,000 2,151,082 0.1%
# Kindom Construction Corp. 2,433,000 1,198,312 0.0%
King Chou Marine Technology Co., Ltd. 37,000 44,495 0.0%
King Yuan Electronics Co., Ltd. 7,400,979 6,509,807 0.1%
King's Town Bank Co., Ltd. 3,995,701 3,268,154 0.1%
#* King's Town Construction Co., Ltd. 940,074 565,737 0.0%
# Kingpak Technology, Inc. 99,117 566,319 0.0%
Kinik Co. 738,000 1,219,033 0.0%
#* Kinko Optical Co., Ltd. 964,000 732,093 0.0%
# Kinpo Electronics 8,649,157 3,242,212 0.1%
Kinsus Interconnect Technology Corp. 797,000 1,839,203 0.1%
# KMC Kuei Meng International, Inc. 279,146 967,354 0.0%
# KS Terminals, Inc. 803,482 904,489 0.0%
# Kung Long Batteries Industrial Co., Ltd. 368,000 1,722,612 0.1%
#* Kung Sing Engineering Corp. 1,965,000 621,544 0.0%
# Kuo Toong International Co., Ltd. 1,326,511 723,664 0.0%
# Kuoyang Construction Co., Ltd. 2,979,384 1,170,844 0.0%
Kwong Fong Industries Corp. 950,183 768,680 0.0%
# Kwong Lung Enterprise Co., Ltd. 187,000 281,949 0.0%
# KYE Systems Corp. 1,763,672 503,114 0.0%
# L&K Engineering Co., Ltd. 623,048 487,508 0.0%
# LAN FA Textile 1,708,933 451,567 0.0%
# Land Mark Optoelectronics Corp. 177,300 1,589,133 0.0%
# Lanner Electronics, Inc. 457,006 627,997 0.0%
Laser Tek Taiwan Co., Ltd. 92,504 63,755 0.0%
LCY Chemical Corp. 1,926,383 2,350,283 0.1%
Leader Electronics, Inc. 828,000 276,815 0.0%
# Leadtrend Technology Corp. 120,086 139,068 0.0%
# Lealea Enterprise Co., Ltd. 4,749,892 1,214,943 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
Ledlink Optics, Inc. 220,762 $ 272,155 0.0%
Ledtech Electronics Corp. 351,000 134,486 0.0%
LEE CHI Enterprises Co., Ltd. 1,115,000 356,684 0.0%
# Lelon Electronics Corp. 389,300 482,193 0.0%
Leofoo Development Co., Ltd. 1,754,116 474,776 0.0%
#* LES Enphants Co., Ltd. 727,754 288,116 0.0%
# Lextar Electronics Corp. 2,699,500 1,118,239 0.0%
# Li Cheng Enterprise Co., Ltd. 294,800 1,142,820 0.0%
#* Li Peng Enterprise Co., Ltd. 4,191,897 942,004 0.0%
# Lian HWA Food Corp. 397,584 371,679 0.0%
# Lien Chang Electronic Enter 476,000 209,941 0.0%
# Lien Hwa Industrial Corp. 3,961,115 2,684,327 0.1%
Lingsen Precision Industries, Ltd. 2,644,506 932,892 0.0%
# Lion Travel Service Co., Ltd. 32,000 81,027 0.0%
# Lite-On Semiconductor Corp. 1,509,539 1,059,543 0.0%
Long Bon International Co., Ltd. 2,208,945 1,140,754 0.0%
# Long Chen Paper Co., Ltd. 3,616,606 1,716,707 0.1%
# Longwell Co. 854,000 749,893 0.0%
# Lotes Co., Ltd. 444,778 1,130,908 0.0%
# Lu Hai Holding Corp. 69,000 130,833 0.0%
# Lucky Cement Corp. 1,563,000 449,503 0.0%
# Lumax International Corp., Ltd. 591,769 938,205 0.0%
# Lung Yen Life Service Corp. 528,000 898,694 0.0%
# LuxNet Corp. 432,482 419,260 0.0%
# Macauto Industrial Co., Ltd. 248,000 1,437,646 0.0%
Machvision, Inc. 40,000 78,299 0.0%
# Macroblock, Inc. 83,000 184,398 0.0%
* Macronix International 25,043,481 3,463,055 0.1%
* MacroWell OMG Digital Entertainment Co., Ltd. 1,000 1,529 0.0%
# Mag Layers Scientific-Technics Co., Ltd. 237,303 390,497 0.0%
# Makalot Industrial Co., Ltd. 403,677 1,588,711 0.0%
# Marketech International Corp. 862,000 738,602 0.0%
# Masterlink Securities Corp. 7,654,728 1,943,320 0.1%
* Materials Analysis Technology, Inc. 8,343 2,194 0.0%
# Materials Analysis Technology, Inc. 69,000 173,934 0.0%
#* Mayer Steel Pipe Corp. 884,567 357,248 0.0%
Maywufa Co., Ltd. 69,322 28,540 0.0%
# Meiloon Industrial Co. 393,809 170,086 0.0%
Mercuries & Associates Holding, Ltd. 2,431,790 1,494,245 0.0%
#* Mercuries Life Insurance Co., Ltd. 5,425,359 2,609,755 0.1%
# Merry Electronics Co., Ltd. 1,070,477 4,127,177 0.1%
Micro-Star International Co., Ltd. 464,075 1,335,050 0.0%
* Microbio Co., Ltd. 2,017,607 1,493,177 0.0%
* Microelectronics Technology, Inc. 116,009 97,988 0.0%
# Microlife Corp. 288,600 663,609 0.0%
Mildef Crete, Inc. 170,000 188,545 0.0%
# MIN AIK Technology Co., Ltd. 1,164,316 1,366,750 0.0%
# Mirle Automation Corp. 1,090,959 1,384,174 0.0%
# Mitac Holdings Corp. 2,168,004 2,051,921 0.1%
# Mobiletron Electronics Co., Ltd. 410,800 516,578 0.0%
# momo.com, Inc. 39,000 253,083 0.0%
* Mosel Vitelic, Inc. 1,082,201 77,043 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
#* Motech Industries, Inc. 2,619,000 $2,526,493 0.1%
# MPI Corp. 445,000 1,119,934 0.0%
# Nak Sealing Technologies Corp. 367,954 961,116 0.0%
# Namchow Chemical Industrial Co., Ltd. 1,146,000 2,439,988 0.1%
# Nan Kang Rubber Tire Co., Ltd. 3,331,952 3,071,540 0.1%
# Nan Liu Enterprise Co., Ltd. 231,000 979,239 0.0%
Nan Ren Lake Leisure Amusement Co., Ltd. 855,000 204,807 0.0%
Nan Ya Printed Circuit Board Corp. 1,610,000 1,215,714 0.0%
# Nang Kuang Pharmaceutical co., Ltd. 69,000 88,834 0.0%
# Nantex Industry Co., Ltd. 1,619,714 1,175,770 0.0%
# National Petroleum Co., Ltd. 207,824 240,700 0.0%
#* Neo Solar Power Corp. 6,203,744 3,168,146 0.1%
# Netronix, Inc. 468,000 932,808 0.0%
New Asia Construction & Development Corp. 338,835 67,410 0.0%
New Best Wire Industrial Co., Ltd. 49,000 44,633 0.0%
# New Era Electronics Co., Ltd. 312,000 219,248 0.0%
#* Newmax Technology Co., Ltd. 366,009 212,738 0.0%
# Nexcom International Co., Ltd. 677,094 674,235 0.0%
# Nichidenbo Corp. 927,801 717,328 0.0%
Nien Hsing Textile Co., Ltd. 1,601,436 1,198,447 0.0%
# Nishoku Technology, Inc. 143,000 367,016 0.0%
# Nuvoton Technology Corp. 361,000 416,964 0.0%
* O-TA Precision Industry Co., Ltd. 42,000 17,799 0.0%
#* Ocean Plastics Co., Ltd. 830,200 669,351 0.0%
# On-Bright Electronics, Inc. 156,600 1,017,159 0.0%
# OptoTech Corp. 3,753,886 1,581,358 0.0%
Orient Europharma Co., Ltd. 35,000 63,527 0.0%
* Orient Semiconductor Electronics, Ltd. 4,075,000 1,470,532 0.0%
# Oriental Union Chemical Corp. 3,219,267 2,009,984 0.1%
# P-Duke Technology Co., Ltd. 255,000 522,674 0.0%
P-Two Industries, Inc. 49,000 25,245 0.0%
# Pacific Construction Co. 1,868,921 665,513 0.0%
# Pacific Hospital Supply Co., Ltd. 325,000 918,375 0.0%
# Paiho Shih Holdings Corp. 622,600 745,999 0.0%
# Pan Jit International, Inc. 2,371,541 1,116,230 0.0%
# Pan-International Industrial Corp. 2,834,747 2,600,539 0.1%
# Parade Technologies, Ltd. 421,401 4,741,668 0.1%
# Paragon Technologies Co., Ltd. 444,246 334,890 0.0%
PChome Online, Inc. 449,921 4,885,299 0.1%
# Pharmally International Holding Co., Ltd. 87,000 1,311,167 0.0%
#* Phihong Technology Co., Ltd. 1,483,901 464,332 0.0%
# Phoenix Tours International, Inc. 303,450 340,016 0.0%
# Pixart Imaging, Inc. 593,150 1,283,786 0.0%
Planet Technology Corp. 9,000 13,007 0.0%
# Polytronics Technology Corp. 330,027 627,132 0.0%
# Portwell, Inc. 468,000 623,834 0.0%
# Posiflex Technology, Inc. 301,678 1,775,598 0.1%
* Potrans Electrical Corp., Ltd. 228,000 -- 0.0%
# Power Quotient International Co., Ltd. 970,600 293,038 0.0%
Powertech Industrial Co., Ltd. 80,000 33,442 0.0%
Poya International Co., Ltd. 299,236 4,349,964 0.1%
President Securities Corp. 5,557,664 1,933,229 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Primax Electronics, Ltd. 1,554,000 $2,457,681 0.1%
#* Prime Electronics & Satellitics, Inc. 667,822 197,545 0.0%
Prince Housing & Development Corp. 8,191,644 2,593,798 0.1%
#* Princeton Technology Corp. 1,099,000 287,018 0.0%
Pro Hawk Corp. 20,000 102,656 0.0%
* Prodisc Technology, Inc. 1,707,199 -- 0.0%
# Promate Electronic Co., Ltd. 1,060,000 1,071,153 0.0%
# Promise Technology, Inc. 1,012,286 464,184 0.0%
* Protop Technology Co., Ltd. 192,000 -- 0.0%
Qisda Corp. 11,499,900 4,837,981 0.1%
# Qualipoly Chemical Corp. 514,713 551,335 0.0%
# Quanta Storage, Inc. 543,000 517,800 0.0%
* Quintain Steel Co., Ltd. 1,138,000 303,838 0.0%
# Radiant Opto-Electronics Corp. 1,486,000 2,505,219 0.1%
#* Radium Life Tech Co., Ltd. 4,663,100 1,322,048 0.0%
# Ralec Electronic Corp. 291,209 439,433 0.0%
# Rechi Precision Co., Ltd. 1,851,181 2,110,454 0.1%
# Rexon Industrial Corp., Ltd. 94,392 37,925 0.0%
# Rich Development Co., Ltd. 4,314,036 1,187,901 0.0%
# RichWave Technology Corp. 97,000 179,563 0.0%
* Ritek Corp. 12,892,860 2,223,906 0.1%
# Rotam Global Agrosciences, Ltd. 488,268 567,314 0.0%
# Ruentex Engineering & Construction Co. 226,000 261,229 0.0%
# Run Long Construction Co., Ltd. 862,292 897,466 0.0%
# Sagittarius Life Science Corp. 69,889 270,653 0.0%
* Sainfoin Technology Corp. 131,260 -- 0.0%
Sampo Corp. 3,400,327 2,114,937 0.1%
# San Fang Chemical Industry Co., Ltd. 1,242,647 1,369,270 0.0%
San Far Property, Ltd. 74,000 27,003 0.0%
# San Shing Fastech Corp. 647,875 1,130,280 0.0%
# Sanyang Motor Co., Ltd. 2,817,628 1,803,495 0.1%
# SCI Pharmtech, Inc. 353,395 908,559 0.0%
# Scientech Corp. 287,000 547,374 0.0%
# SDI Corp. 816,000 1,024,723 0.0%
# Sea Sonic Electronics Co., Ltd. 143,000 139,777 0.0%
# Senao International Co., Ltd. 567,541 898,232 0.0%
# Senao Networks, Inc. 90,000 375,679 0.0%
Sercomm Corp. 1,593,000 3,742,117 0.1%
# Sesoda Corp. 1,063,821 860,717 0.0%
Shan-Loong Transportation Co., Ltd. 29,000 23,191 0.0%
Sharehope Medicine Co., Ltd. 32,000 35,649 0.0%
# Sheng Yu Steel Co., Ltd. 639,980 587,067 0.0%
# ShenMao Technology, Inc. 542,891 519,286 0.0%
# Shih Her Technologies, Inc. 284,000 291,558 0.0%
* Shih Wei Navigation Co., Ltd. 1,537,384 436,590 0.0%
# Shihlin Electric & Engineering Corp. 1,700,000 2,185,026 0.1%
* Shihlin Paper Corp. 95,000 90,348 0.0%
Shin Hai Gas Corp. 1,245 1,634 0.0%
# Shin Zu Shing Co., Ltd. 1,024,144 3,083,722 0.1%
# Shinih Enterprise Co., Ltd. 128,000 90,767 0.0%
#* Shining Building Business Co., Ltd. 2,417,041 763,992 0.0%
# Shinkong Insurance Co., Ltd. 1,313,131 989,203 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
Shinkong Synthetic Fibers Corp. 9,970,395 $2,656,418 0.1%
# Shinkong Textile Co., Ltd. 964,542 1,176,540 0.0%
# Shiny Chemical Industrial Co., Ltd. 334,031 548,847 0.0%
# ShunSin Technology Holding, Ltd. 86,000 302,910 0.0%
#* Shuttle, Inc. 2,485,152 637,911 0.0%
Sigurd Microelectronics Corp. 2,448,974 1,828,706 0.1%
# Silergy Corp. 125,000 1,821,220 0.1%
* Silicon Integrated Systems Corp. 1,490,820 293,791 0.0%
# Silitech Technology Corp. 797,774 395,006 0.0%
Simplo Technology Co., Ltd. 251,000 774,168 0.0%
# Sinbon Electronics Co., Ltd. 1,438,814 3,234,432 0.1%
Sincere Navigation Corp. 2,077,786 1,160,591 0.0%
# Single Well Industrial Corp. 84,000 88,484 0.0%
# Sinher Technology, Inc. 109,000 197,157 0.0%
# Sinmag Equipment Corp. 235,436 1,103,676 0.0%
# Sino-American Electronic Co., Ltd. 114,650 243,937 0.0%
# Sino-American Silicon Products, Inc. 3,975,000 4,272,984 0.1%
# Sinon Corp. 2,490,510 1,206,970 0.0%
# Sinphar Pharmaceutical Co., Ltd. 840,938 680,010 0.0%
# Sinyi Realty, Inc. 1,383,608 1,266,016 0.0%
# Sirtec International Co., Ltd. 862,000 1,080,841 0.0%
Sitronix Technology Corp. 670,879 2,482,503 0.1%
# Siward Crystal Technology Co., Ltd. 1,029,000 652,982 0.0%
# Soft-World International Corp. 467,000 935,742 0.0%
* Solar Applied Materials Technology Co. 2,371,581 493,179 0.0%
#* Solartech Energy Corp. 2,246,616 1,125,661 0.0%
Solteam Electronics Co., Ltd. 60,599 78,844 0.0%
* Solytech Enterprise Corp. 651,000 106,888 0.0%
# Sonix Technology Co., Ltd. 1,046,000 1,070,079 0.0%
# Southeast Cement Co., Ltd. 1,053,700 504,222 0.0%
Speed Tech Corp. 73,000 54,084 0.0%
Spirox Corp. 52,824 29,871 0.0%
# Sporton International, Inc. 449,388 2,146,622 0.1%
St Shine Optical Co., Ltd. 222,000 4,665,578 0.1%
# Standard Chemical & Pharmaceutical Co., Ltd. 688,571 714,834 0.0%
# Stark Technology, Inc. 817,860 672,670 0.0%
#* Sunko INK Co., Ltd. 263,000 134,704 0.0%
# Sunny Friend Environmental Technology Co., Ltd. 270,000 965,531 0.0%
# Sunonwealth Electric Machine Industry Co., Ltd. 1,076,487 795,895 0.0%
# Sunplus Technology Co., Ltd. 1,644,000 564,330 0.0%
Sunrex Technology Corp. 1,162,580 698,231 0.0%
# Sunspring Metal Corp. 612,000 798,922 0.0%
* Sunty Development Co., Ltd. 42,000 16,806 0.0%
# Supreme Electronics Co., Ltd. 2,241,508 1,612,904 0.0%
# Swancor Holding Co., Ltd. 428,206 1,012,253 0.0%
# Sweeten Real Estate Development Co., Ltd. 612,357 284,197 0.0%
Syncmold Enterprise Corp. 931,000 1,555,832 0.0%
# Sysage Technology Co., Ltd. 533,484 441,260 0.0%
* Sysgration 242,000 90,224 0.0%
# Systex Corp. 531,388 893,336 0.0%
# T-Mac Techvest PCB Co., Ltd. 380,000 144,974 0.0%
T3EX Global Holdings Corp. 102,117 67,840 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
TA Chen Stainless Pipe 4,502,127 $2,366,557 0.1%
# Ta Chong Securities Co., Ltd. 1,478,000 359,479 0.0%
#* Ta Ya Electric Wire & Cable 3,252,306 540,176 0.0%
# Ta Yih Industrial Co., Ltd. 209,000 522,621 0.0%
TA-I Technology Co., Ltd. 815,718 492,806 0.0%
# Tah Hsin Industrial Corp. 426,600 338,995 0.0%
TAI Roun Products Co., Ltd. 201,000 66,509 0.0%
#* Tai Tung Communication Co., Ltd. 232,197 129,870 0.0%
Tai-Saw Technology Co., Ltd. 98,000 85,597 0.0%
# Taichung Commercial Bank Co., Ltd. 13,504,681 3,844,835 0.1%
# TaiDoc Technology Corp. 261,449 922,239 0.0%
# Taiflex Scientific Co., Ltd. 1,343,340 1,275,800 0.0%
# Taimide Tech, Inc. 572,250 649,571 0.0%
# Tainan Enterprises Co., Ltd. 872,370 806,033 0.0%
# Tainan Spinning Co., Ltd. 7,101,044 2,723,933 0.1%
# Tainergy Tech Co., Ltd. 1,119,000 532,772 0.0%
#* Taisun Enterprise Co., Ltd. 1,979,428 1,055,982 0.0%
* Taita Chemical Co., Ltd. 900,951 231,674 0.0%
# Taiwan Acceptance Corp. 634,480 1,458,230 0.0%
# Taiwan Chinsan Electronic Industrial Co., Ltd. 553,000 906,483 0.0%
# Taiwan Cogeneration Corp. 2,076,566 1,512,806 0.0%
# Taiwan Fire & Marine Insurance Co., Ltd. 1,242,338 728,003 0.0%
* Taiwan Flourescent Lamp Co., Ltd. 176,000 -- 0.0%
# Taiwan FU Hsing Industrial Co., Ltd. 951,000 1,199,041 0.0%
* Taiwan Glass Industry Corp. 79,000 33,003 0.0%
Taiwan Hon Chuan Enterprise Co., Ltd. 2,302,468 3,773,545 0.1%
# Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,089,120 650,752 0.0%
* Taiwan Kolin Co., Ltd. 1,356,000 -- 0.0%
# Taiwan Land Development Corp. 6,351,994 1,983,299 0.1%
Taiwan Line Tek Electronic 415,306 263,080 0.0%
Taiwan Mask Corp. 662,412 175,626 0.0%
Taiwan Navigation Co., Ltd. 1,104,777 411,186 0.0%
Taiwan Optical Platform Co., Ltd. 9,000 37,359 0.0%
# Taiwan Paiho, Ltd. 1,681,287 5,715,053 0.1%
# Taiwan PCB Techvest Co., Ltd. 1,684,238 1,643,977 0.0%
#* Taiwan Prosperity Chemical Corp. 1,009,000 511,830 0.0%
#* Taiwan Pulp & Paper Corp. 2,217,980 716,430 0.0%
Taiwan Sakura Corp. 1,591,003 1,832,622 0.1%
# Taiwan Sanyo Electric Co., Ltd. 381,400 294,380 0.0%
Taiwan Semiconductor Co., Ltd. 1,473,000 1,651,320 0.0%
# Taiwan Shin Kong Security Co., Ltd. 1,584,710 1,999,816 0.1%
Taiwan Styrene Monomer 3,387,209 1,788,104 0.1%
Taiwan Surface Mounting Technology Corp. 1,888,388 1,572,590 0.0%
# Taiwan TEA Corp. 4,949,897 2,156,674 0.1%
# Taiwan Union Technology Corp. 1,548,000 1,712,437 0.0%
# Taiyen Biotech Co., Ltd. 872,883 833,505 0.0%
#* Tatung Co., Ltd. 16,173,015 4,251,569 0.1%
# TCI Co., Ltd. 84,000 455,479 0.0%
Te Chang Construction Co., Ltd. 376,184 265,156 0.0%
Tehmag Foods Corp. 15,000 89,960 0.0%
# Ten Ren Tea Co., Ltd. 164,980 193,354 0.0%
Test Research, Inc. 1,046,821 1,325,377 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# Test Rite International Co., Ltd. 1,807,495 $1,113,530 0.0%
#* Tex-Ray Industrial Co., Ltd. 803,000 323,152 0.0%
# Thinking Electronic Industrial Co., Ltd. 524,204 1,024,064 0.0%
# Thye Ming Industrial Co., Ltd. 1,074,669 1,049,672 0.0%
# Ton Yi Industrial Corp. 3,954,644 1,696,814 0.0%
Tong Hsing Electronic Industries, Ltd. 1,006,963 3,472,373 0.1%
Tong Yang Industry Co., Ltd. 1,566,741 3,645,616 0.1%
Tong-Tai Machine & Tool Co., Ltd. 1,590,892 1,133,581 0.0%
TOPBI International Holdings, Ltd. 188,000 930,404 0.0%
# Topco Scientific Co., Ltd. 1,042,463 2,673,586 0.1%
Topco Technologies Corp. 129,000 238,116 0.0%
# Topoint Technology Co., Ltd. 991,776 623,989 0.0%
# Toung Loong Textile Manufacturing 574,000 1,572,307 0.0%
#* TPK Holding Co., Ltd. 1,574,000 2,509,167 0.1%
# Trade-Van Information Services Co. 234,000 193,658 0.0%
* Transasia Airways Corp. 2,047,227 398,527 0.0%
Tripod Technology Corp. 2,894,000 6,851,005 0.1%
# TrueLight Corp. 399,700 690,467 0.0%
# Tsang Yow Industrial Co., Ltd. 134,000 150,685 0.0%
# Tsann Kuen Enterprise Co., Ltd. 289,686 269,205 0.0%
# TSC Auto ID Technology Co., Ltd. 150,700 1,096,323 0.0%
# TSRC Corp. 3,382,200 3,490,482 0.1%
# Ttet Union Corp. 277,000 742,182 0.0%
TTFB Co., Ltd. 62,000 411,544 0.0%
# TTY Biopharm Co., Ltd. 934,979 3,515,557 0.1%
Tung Ho Steel Enterprise Corp. 5,243,000 3,342,719 0.1%
# Tung Thih Electronic Co., Ltd. 354,600 5,173,715 0.1%
# TURVO International Co., Ltd. 333,112 858,757 0.0%
TXC Corp. 2,132,053 2,974,072 0.1%
# TYC Brother Industrial Co., Ltd. 1,199,980 1,236,519 0.0%
* Tycoons Group Enterprise 2,402,182 338,043 0.0%
# Tyntek Corp. 1,873,039 710,528 0.0%
U-Ming Marine Transport Corp. 680,000 470,872 0.0%
# Ultra Chip, Inc. 140,000 171,484 0.0%
# Unimicron Technology Corp. 9,116,000 3,764,816 0.1%
# Union Bank Of Taiwan 6,437,149 1,782,262 0.1%
# Union Insurance Co., Ltd. 467,660 174,141 0.0%
# Unitech Computer Co., Ltd. 612,804 320,544 0.0%
# Unitech Printed Circuit Board Corp. 3,589,370 1,127,380 0.0%
# United Integrated Services Co., Ltd. 1,476,439 2,211,611 0.1%
# United Orthopedic Corp. 384,323 799,489 0.0%
#* United Radiant Technology 352,000 316,170 0.0%
# Unity Opto Technology Co., Ltd. 1,915,500 909,442 0.0%
# Universal Cement Corp. 2,537,654 1,971,344 0.1%
Universal Microwave Technology, Inc. 200,000 364,189 0.0%
#* Unizyx Holding Corp. 2,738,430 1,220,875 0.0%
UPC Technology Corp. 4,735,447 1,662,373 0.0%
USI Corp. 5,416,734 2,638,545 0.1%
# Usun Technology Co., Ltd. 321,000 445,492 0.0%
# Ve Wong Corp. 621,696 433,044 0.0%
* Via Technologies, Inc. 57,000 20,377 0.0%
# Victory New Materials, Ltd. Co. 183,000 331,309 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
Viking Tech Corp. 196,438 $ 139,361 0.0%
# Visual Photonics Epitaxy Co., Ltd. 1,220,772 1,633,848 0.0%
# Vivotek, Inc. 432,956 1,068,621 0.0%
#* Wafer Works Corp. 3,144,746 868,717 0.0%
Wah Hong Industrial Corp. 182,021 113,540 0.0%
Wah Lee Industrial Corp. 1,148,000 1,637,148 0.0%
Walsin Lihwa Corp. 15,119,000 5,289,263 0.1%
Walsin Technology Corp. 2,622,834 3,180,937 0.1%
# Walton Advanced Engineering, Inc. 2,069,197 740,886 0.0%
# WAN HWA Enterprise Co. 725,536 315,671 0.0%
# Waterland Financial Holdings Co., Ltd. 7,113,372 1,801,131 0.1%
#* Wei Chuan Foods Corp. 1,726,000 978,537 0.0%
* Wei Mon Industry Co., Ltd. 3,075,282 16,450 0.0%
# Weikeng Industrial Co., Ltd. 1,615,980 887,876 0.0%
Well Shin Technology Co., Ltd. 448,000 666,000 0.0%
#* Wha Yu Industrial Co., Ltd. 108,000 54,423 0.0%
# Win Semiconductors Corp. 504,795 1,401,896 0.0%
# Winbond Electronics Corp. 14,702,138 4,616,200 0.1%
Winstek Semiconductor Co., Ltd. 52,000 44,166 0.0%
* Wintek Corp. 5,447,000 59,221 0.0%
# Wisdom Marine Lines Co., Ltd. 1,866,603 1,690,138 0.0%
# Wisechip Semiconductor, Inc. 33,000 145,166 0.0%
# Wistron NeWeb Corp. 1,683,470 4,684,702 0.1%
# Wowprime Corp. 178,000 651,160 0.0%
# WT Microelectronics Co., Ltd. 3,041,903 4,307,896 0.1%
# WUS Printed Circuit Co., Ltd. 2,102,000 1,171,278 0.0%
X-Legend Entertainment Co., Ltd. 22,716 41,652 0.0%
# XAC Automation Corp. 527,000 777,245 0.0%
# XinTec, Inc. 155,000 157,012 0.0%
# XPEC Entertainment, Inc. 619,646 229,261 0.0%
# Xxentria Technology Materials Corp. 684,207 1,791,514 0.1%
Yageo Corp. 460,669 927,118 0.0%
* Yang Ming Marine Transport Corp. 5,688,000 1,262,136 0.0%
# YC Co., Ltd. 2,453,823 932,545 0.0%
YC INOX Co., Ltd. 2,411,388 1,750,739 0.1%
# YCC Parts Manufacturing Co., Ltd. 204,000 255,208 0.0%
# Yea Shin International Development Co., Ltd. 1,002,350 409,556 0.0%
# Yeong Guan Energy Technology Group Co., Ltd. 435,929 1,712,832 0.1%
YFC-Boneagle Electric Co., Ltd. 219,000 253,001 0.0%
# YFY, Inc. 8,463,212 2,492,279 0.1%
# Yi Jinn Industrial Co., Ltd. 1,618,094 511,521 0.0%
* Yieh Phui Enterprise Co., Ltd. 6,930,668 2,677,487 0.1%
# Yonyu Plastics Co., Ltd. 438,600 484,649 0.0%
#* Young Fast Optoelectronics Co., Ltd. 679,872 259,159 0.0%
# Young Optics, Inc. 371,111 313,656 0.0%
# Youngtek Electronics Corp. 732,666 1,055,048 0.0%
Yuanta Futures Co., Ltd. 18,000 20,955 0.0%
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 442,869 1,090,413 0.0%
# Yungshin Construction & Development Co., Ltd. 372,000 282,505 0.0%
# YungShin Global Holding Corp. 1,196,015 1,777,382 0.1%
# Yungtay Engineering Co., Ltd. 2,443,000 3,443,773 0.1%
# Zeng Hsing Industrial Co., Ltd. 362,107 1,747,597 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
Zenitron Corp. 1,293,000 $ 696,029 0.0%
# Zig Sheng Industrial Co., Ltd. 3,101,732 792,791 0.0%
# Zinwell Corp. 1,649,586 1,878,699 0.1%
# Zippy Technology Corp. 663,948 700,861 0.0%
# ZongTai Real Estate Development Co., Ltd. 1,153,277 645,026 0.0%
------------ ----
TOTAL TAIWAN 818,271,016 14.8%
------------ ----
THAILAND -- (3.4%)
AAPICO Hitech PCL(B013KZ2) 110,000 44,003 0.0%
AAPICO Hitech PCL(B013L48) 964,380 385,780 0.0%
Advanced Information Technology PCL Class F 274,900 194,800 0.0%
Aeon Thana Sinsap Thailand PCL(B01KHN0) 142,500 399,028 0.0%
AEON Thana Sinsap Thailand PCL(B01KHP2) 57,700 161,572 0.0%
AJ Plast PCL 1,325,988 289,844 0.0%
* Amarin Printing & Publishing PCL 18,060 3,999 0.0%
Amata Corp. PCL 3,427,410 1,136,023 0.0%
Ananda Development PCL 21,650,900 3,056,088 0.1%
AP Thailand PCL 9,887,916 2,005,978 0.0%
* Apex Development PCL 3,536 -- 0.0%
* Asia Aviation PCL 13,440,100 2,707,414 0.1%
Asia Plus Group Holdings PCL 10,470,300 1,017,187 0.0%
Asia Sermkij Leasing PCL 822,500 505,286 0.0%
Asian Insulators PCL 12,731,600 97,531 0.0%
Asian Phytoceuticals PCL 681,400 26,869 0.0%
Bangchak Petroleum PCL (The) 2,830,900 2,446,881 0.1%
Bangkok Airways PCL 2,797,900 1,990,648 0.0%
Bangkok Aviation Fuel Services PCL 1,907,446 2,016,587 0.0%
Bangkok Chain Hospital PCL 7,508,837 2,832,107 0.1%
Bangkok Insurance PCL 180,181 1,755,603 0.0%
Bangkok Land PCL 62,516,170 2,822,360 0.1%
Bangkok Ranch PCL 1,112,000 212,884 0.0%
* Bangkok Rubber PCL 14,600 -- 0.0%
Beauty Community PCL 9,141,900 2,977,860 0.1%
BEC World PCL 1,050,200 615,161 0.0%
Better World Green PCL 9,027,900 577,827 0.0%
Big Camera Corp. PCL 4,143,100 561,134 0.0%
BJC Heavy Industries PCL Class F 2,114,900 371,645 0.0%
Buriram Sugar PCL 336,100 121,005 0.0%
Cal-Comp Electronics Thailand PCL Class F 16,573,544 1,193,380 0.0%
* Central Paper Industry PCL 20 -- 0.0%
CH Karnchang PCL 905,200 763,009 0.0%
Charoong Thai Wire & Cable PCL Class F 967,100 276,334 0.0%
* Christiani & Nielsen Thai Class F 2,930,600 314,853 0.0%
Chularat Hospital PCL Class F 40,200,100 3,239,211 0.1%
CK Power PCL 22,979,590 2,324,387 0.1%
COL PCL 174,500 159,554 0.0%
* Country Group Development PCL 19,160,300 558,426 0.0%
Country Group Holdings PCL Class F 7,918,400 350,697 0.0%
CS Loxinfo PCL 1,380,600 226,829 0.0%
* Demco PCL 682,000 136,410 0.0%
Dhipaya Insurance PCL 1,018,700 1,222,527 0.0%
Diamond Building Products PCL 277,600 39,501 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
Dusit Thani PCL 114,500 $ 33,044 0.0%
Dynasty Ceramic PCL 23,313,480 2,971,016 0.1%
E for L Aim PCL 16,362,000 130,905 0.0%
Eastern Polymer Group PCL Class F 7,173,000 2,766,926 0.1%
Eastern Printing PCL 456,300 82,792 0.0%
* EASTERN PRINTING PCL FOREIGN 57,038 -- 0.0%
Eastern Water Resources Development and Management PCL
Class F 5,110,200 1,708,389 0.0%
Energy Earth PCL 1,069,600 140,586 0.0%
Erawan Group PCL (The) 12,624,370 1,623,249 0.0%
* Esso Thailand PCL 12,205,600 3,522,439 0.1%
Forth Corp. PCL 1,315,800 244,380 0.0%
Forth Smart Service PCL 1,277,300 613,148 0.0%
Fortune Parts Industry PCL 860,300 124,138 0.0%
* G J Steel PCL 5,928,480 62,677 0.0%
GFPT PCL 4,777,900 2,075,122 0.0%
* GMM Grammy PCL 90,260 20,632 0.0%
Golden Land Property Development PCL 7,193,500 1,202,428 0.0%
Grand Canal Land PCL 5,552,200 393,441 0.0%
* Grande Asset Hotels & Property PCL 1,882,175 43,562 0.0%
Hana Microelectronics PCL 3,228,596 2,952,070 0.1%
ICC International PCL 204,600 209,730 0.0%
Ichitan Group PCL 2,634,800 828,139 0.0%
Inter Far East Energy Corp. Class F 4,149,200 512,166 0.0%
Interlink Communication PCL 1,006,000 589,271 0.0%
* International Engineering PCL 39,494,487 22,570 0.0%
* Italian-Thai Development PCL 15,838,427 2,244,692 0.1%
* ITV PCL 2,785,600 -- 0.0%
JAS Asset PCL 141,425 10,183 0.0%
Jasmine International PCL 14,444,500 3,446,291 0.1%
Jay Mart PCL 2,000,910 634,620 0.0%
JSP Property PCL 2,885,000 99,746 0.0%
Jubilee Enterprise PCL 73,600 34,700 0.0%
Kang Yong Electric PCL 44,000 418,658 0.0%
Karmarts PCL 1,988,800 778,529 0.0%
Kaset Thai International Sugar Corp. PCL 93,100 18,222 0.0%
KCE Electronics PCL 814,218 2,605,684 0.1%
KGI Securities Thailand PCL 11,045,800 1,129,908 0.0%
Khon Kaen Sugar Industry PCL 14,050,990 1,565,794 0.0%
Khonburi Sugar PCL 101,800 22,688 0.0%
Kiatnakin Bank PCL 2,498,400 4,176,195 0.1%
Krungthai Card PCL 1,083,200 4,642,617 0.1%
L.P.N Development PCL 411,500 134,041 0.0%
Laguna Resorts & Hotels PCL 197,000 137,910 0.0%
Lanna Resources PCL 1,833,750 670,676 0.0%
LH Financial Group PCL 45,557,466 2,212,949 0.1%
Loxley PCL 8,810,176 780,386 0.0%
LPN Development PCL 5,764,200 1,877,616 0.0%
Major Cineplex Group PCL 3,467,000 2,872,862 0.1%
Malee Group PCL 275,400 721,993 0.0%
Maybank Kim Eng Securities Thailand PCL 974,300 612,461 0.0%
MBK PCL 5,963,100 2,504,681 0.1%
MC Group PCL 709,500 302,066 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
MCOT PCL 2,285,900 $ 790,325 0.0%
MCS Steel PCL 1,584,500 688,175 0.0%
Mega Lifesciences PCL 2,206,800 1,481,814 0.0%
Millcon Steel PCL 9,689,600 368,231 0.0%
MK Real Estate Development PCL 1,885,900 214,469 0.0%
MK Restaurants Group PCL 376,000 558,668 0.0%
Modernform Group PCL 2,352,200 413,345 0.0%
Muang Thai Insurance PCL 61,288 239,040 0.0%
Muangthai Leasing PCL Class F 1,826,600 981,215 0.0%
Muramoto Electron Thailand PCL 14,000 91,207 0.0%
Namyong Terminal PCL 504,800 203,377 0.0%
Nation Multimedia Group PCL 14,527,800 477,376 0.0%
* Noble Development PCL 594,200 271,654 0.0%
* Nok Airlines PCL 974,400 224,128 0.0%
Platinum Group PCL (The) Class F 2,126,700 401,063 0.0%
* Polyplex Thailand PCL 3,522,250 1,177,522 0.0%
* Precious Shipping PCL 5,657,400 977,992 0.0%
Premier Marketing PCL 1,941,800 513,227 0.0%
President Rice Products PCL 3,375 5,545 0.0%
Property Perfect PCL 27,612,100 788,973 0.0%
PTG Energy PCL 9,199,300 7,557,108 0.1%
Quality Houses PCL 45,894,626 3,278,422 0.1%
Raimon Land PCL 11,010,600 390,118 0.0%
Ratchthani Leasing PCL 8,053,700 1,196,635 0.0%
Regional Container Lines PCL 2,611,900 364,199 0.0%
Rojana Industrial Park PCL 6,339,411 844,108 0.0%
RS PCL 3,456,400 809,843 0.0%
S 11 Group PCL 673,300 169,299 0.0%
Saha Pathana Inter-Holding PCL 680,300 680,349 0.0%
Saha-Union PCL 743,600 791,459 0.0%
* Sahaviriya Steel Industries PCL 87,225,900 124,617 0.0%
Samart Corp. PCL 3,138,900 1,264,619 0.0%
* Samart I-Mobile PCL 14,993,100 424,121 0.0%
Samart Telcoms PCL 1,946,100 617,236 0.0%
Sansiri PCL 44,226,510 2,097,750 0.1%
SC Asset Corp PCL 14,733,115 1,456,578 0.0%
Siam Future Development PCL 7,074,273 1,222,926 0.0%
Siam Global House PCL 7,901,435 3,476,880 0.1%
Siam Wellness Group PCL 631,500 221,943 0.0%
Siamgas & Petrochemicals PCL 2,924,300 969,266 0.0%
* Singha Estate PCL 8,917,500 1,197,578 0.0%
Sino-Thai Engineering & Construction PCL 4,697,500 3,422,709 0.1%
SNC Former PCL 141,800 57,940 0.0%
Somboon Advance Technology PCL 1,461,637 513,698 0.0%
SPCG PCL 2,651,200 1,545,381 0.0%
Sri Ayudhya Capital PCL 233,100 219,796 0.0%
Sri Trang Agro-Industry PCL 6,225,990 2,401,625 0.1%
Sriracha Construction PCL 1,085,700 431,209 0.0%
Srithai Superware PCL 12,947,500 684,417 0.0%
* Stars Microelectronics Thailand PCL 2,085,000 411,072 0.0%
STP & I Public Co., Ltd. 4,889,364 1,278,311 0.0%
Supalai PCL 4,929,933 3,437,113 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
THAILAND -- (Continued)
Susco PCL 1,295,200 $ 130,269 0.0%
SVI PCL 11,798,400 1,584,470 0.0%
Symphony Communication PCL 275,275 62,138 0.0%
Synnex Thailand PCL 168,900 25,578 0.0%
Syntec Construction PCL 6,536,300 750,794 0.0%
* Tata Steel Thailand PCL 23,691,600 507,713 0.0%
Thai Agro Energy PCL Class F 378,870 32,693 0.0%
* Thai Airways International PCL(6888868) 5,871,900 4,697,856 0.1%
* Thai Airways International PCL(6364971) 141,400 113,128 0.0%
Thai Central Chemical PCL 263,500 216,462 0.0%
Thai Metal Trade PCL 805,600 299,244 0.0%
Thai Nakarin Hospital PCL 198,800 217,276 0.0%
Thai Reinsurance PCL 4,353,400 281,125 0.0%
Thai Rung Union Car PCL 511,520 55,833 0.0%
Thai Stanley Electric PCL Class F 206,600 1,021,267 0.0%
Thai Steel Cable PCL 3,400 1,064 0.0%
Thai Vegetable Oil PCL 3,409,975 3,264,066 0.1%
Thai Wacoal PCL 78,000 108,372 0.0%
Thai Wah PCL 1,574,300 353,118 0.0%
Thai-German Ceramic Industry PCL 3,827,900 242,816 0.0%
Thaicom PCL 3,285,000 1,952,368 0.0%
Thaire Life Assurance PCL Class F 1,263,100 357,302 0.0%
Thanachart Capital PCL 1,907,600 2,153,017 0.1%
Thitikorn PCL 521,000 153,334 0.0%
Thoresen Thai Agencies PCL 6,788,854 1,765,228 0.0%
TICON Industrial Connection PCL Class F 7,345,684 3,106,397 0.1%
Tipco Asphalt PCL 201,000 103,953 0.0%
TIPCO Foods PCL 1,385,582 534,477 0.0%
Tisco Financial Group PCL(B3KFW10) 1,031,000 1,524,516 0.0%
Tisco Financial Group PCL(B3KFW76) 2,670,200 3,948,363 0.1%
TPI Polene PCL 38,990,600 2,451,013 0.1%
TRC Construction PCL 12,731,487 571,139 0.0%
TTCL PCL(B5ML0D8) 1,350,871 856,899 0.0%
TTCL PCL(BWY4Y10) 295,800 187,635 0.0%
TTW PCL 12,037,500 3,611,508 0.1%
* U City PCL 47,365,600 40,602 0.0%
Unique Engineering & Construction PCL 4,305,770 2,091,523 0.0%
* United Power of Asia PCL 500,000 10,144 0.0%
Univanich Palm Oil PCL 939,000 160,983 0.0%
Univentures PCL 7,678,800 1,272,578 0.0%
Vanachai Group PCL 6,851,059 2,936,378 0.1%
VGI Global Media PCL 12,996,500 2,116,724 0.1%
Vibhavadi Medical Center PCL 43,644,800 3,691,367 0.1%
Vinythai PCL 2,911,734 827,824 0.0%
* WHA Corp. PCL 29,827,100 2,812,470 0.1%
Workpoint Entertainment PCL 1,629,440 1,780,872 0.0%
------------ ---
TOTAL THAILAND 209,076,777 3.8%
------------ ---
TURKEY -- (1.8%)
Adana Cimento Sanayii TAS Class A 572,283 1,152,879 0.0%
Adel Kalemcilik Ticaret ve Sanayi A.S. 42,330 235,853 0.0%
#* Afyon Cimento Sanayi TAS 1,129,733 2,901,352 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TURKEY -- (Continued)
Akcansa Cimento A.S. 461,916 $1,927,357 0.1%
#* Akenerji Elektrik Uretim A.S. 2,516,472 781,852 0.0%
# Aksa Akrilik Kimya Sanayii A.S. 775,850 2,185,224 0.1%
#* Aksa Enerji Uretim A.S. 959,898 872,169 0.0%
* Aksigorta A.S. 1,013,913 662,924 0.0%
* Aktas Electric Ticaret AS 370 -- 0.0%
# Alarko Holding A.S. 688,608 863,735 0.0%
# Albaraka Turk Katilim Bankasi A.S. 4,113,726 1,649,517 0.0%
Alkim Alkali Kimya A.S. 6,300 35,319 0.0%
* Anadolu Anonim Turk Sigorta Sirketi 2,035,741 1,132,100 0.0%
#* Anadolu Cam Sanayii A.S. 1,490,394 1,079,933 0.0%
# Anadolu Hayat Emeklilik A.S. 946,113 1,512,443 0.0%
AvivaSA Emeklilik ve Hayat A.S. Class A 13,261 89,520 0.0%
# Aygaz A.S. 323,869 1,144,502 0.0%
#* Bagfas Bandirma Gubre Fabrikalari A.S. 538,450 1,880,346 0.1%
Baticim Bati Anadolu Cimento Sanayii A.S. 411,020 858,594 0.0%
#* Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. 1,380,080 1,948,757 0.1%
# Bizim Toptan Satis Magazalari A.S. 245,003 1,025,663 0.0%
# Bolu Cimento Sanayii A.S. 700,613 1,416,066 0.0%
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 532,369 1,451,755 0.0%
* Boyner Perakende Ve Tekstil Yatirimlari A.S. 104,938 2,573,347 0.1%
# Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 827,742 1,864,485 0.1%
Bursa Cimento Fabrikasi A.S. 255,663 539,468 0.0%
# Celebi Hava Servisi A.S. 72,419 485,169 0.0%
Cimsa Cimento Sanayi VE Ticaret A.S. 684,762 3,403,526 0.1%
#* Deva Holding A.S. 356,487 487,842 0.0%
#* Dogan Sirketler Grubu Holding A.S. 9,685,105 2,498,903 0.1%
# Dogus Otomotiv Servis ve Ticaret A.S. 729,022 2,352,819 0.1%
# Eczacibasi Yatirim Holding Ortakligi A.S. 266,591 1,088,641 0.0%
# EGE Endustri VE Ticaret A.S. 20,873 1,427,993 0.0%
#* EGE Seramik Sanayi ve Ticaret A.S. 480,174 539,100 0.0%
# EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar
Sanayi ve Ticaret A.S. 1,950,686 2,466,970 0.1%
#* Fenerbahce Futbol A.S. 84,211 1,067,689 0.0%
#* Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. 27,385 326,462 0.0%
# Global Yatirim Holding A.S. 2,140,639 1,101,104 0.0%
* Goldas Kuyumculuk Sanayi Ithalat ve Ihracat A.S. 8,540 -- 0.0%
# Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 75,550 1,774,699 0.0%
# Goodyear Lastikleri TAS 955,450 1,151,799 0.0%
#* Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 1,107,365 837,805 0.0%
# GSD Holding A.S. 2,604,393 808,909 0.0%
# Gubre Fabrikalari TAS 1,527,158 2,521,590 0.1%
#* Ihlas Holding A.S. 8,173,996 901,135 0.0%
Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve
Ticaret A.S. 170,170 408,013 0.0%
#* Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S. 678,189 494,640 0.0%
Is Finansal Kiralama A.S. 1,795,970 639,423 0.0%
Is Yatirim Menkul Degerler A.S. Class A 220,148 76,231 0.0%
#* Izmir Demir Celik Sanayi A.S. 855,717 830,212 0.0%
# Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.
Class A 1,362,478 612,876 0.0%
# Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.
Class B 1,111,782 532,321 0.0%
# Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.
Class D 7,346,390 2,995,428 0.1%
#* Karsan Otomotiv Sanayii Ve Ticaret A.S. 4,400,804 1,593,548 0.0%
#* Kartonsan Karton Sanayi ve Ticaret A.S. 15,262 1,352,883 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
TURKEY -- (Continued)
# Konya Cimento Sanayii A.S. 18,057 $ 1,569,613 0.0%
#* Koza Altin Isletmeleri A.S. 226,641 1,291,071 0.0%
#* Koza Anadolu Metal Madencilik Isletmeleri A.S. 831,604 621,117 0.0%
# Mardin Cimento Sanayii ve Ticaret A.S. 397,282 581,687 0.0%
#* Metro Ticari ve Mali Yatirimlar Holding A.S. 2,278,836 780,924 0.0%
#* Migros Ticaret A.S. 320,825 1,846,732 0.1%
* Mudurnu Tavukculuk A.S. 1,740 -- 0.0%
* Nergis Holding A.S. 1,784 -- 0.0%
#* NET Holding A.S. 1,634,434 1,632,293 0.0%
#* Netas Telekomunikasyon A.S. 490,416 1,580,497 0.0%
Nuh Cimento Sanayi A.S. 385,168 1,159,787 0.0%
# Otokar Otomotiv Ve Savunma Sanayi A.S. 163,448 5,403,038 0.1%
# Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 815,128 599,028 0.0%
* Parsan Makina Parcalari Sanayii A.S. 140,357 349,797 0.0%
#* Pegasus Hava Tasimaciligi A.S. 215,199 908,865 0.0%
Pinar Entegre Et ve Un Sanayi A.S. 155,791 522,507 0.0%
Pinar SUT Mamulleri Sanayii A.S. 143,024 712,414 0.0%
* Raks Elektronik Sanayi ve Ticaret A.S. 2,730 -- 0.0%
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 565,645 565,112 0.0%
#* Sekerbank TAS 4,341,907 1,642,106 0.0%
# Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 1,376,283 1,397,978 0.0%
Soda Sanayii A.S. 1,882,291 2,615,151 0.1%
# Tat Gida Sanayi A.S. 816,897 1,506,549 0.0%
TAV Havalimanlari Holding A.S. 164,841 677,688 0.0%
Tekfen Holding A.S. 1,868,536 4,740,991 0.1%
#* Teknosa Ic Ve Dis Ticaret A.S. 238,336 346,089 0.0%
Tofas Turk Otomobil Fabrikasi A.S. 1 8 0.0%
Trakya Cam Sanayii A.S. 3,586,813 2,956,203 0.1%
#* Tumosan Motor ve Traktor Sanayi A.S. 77,389 199,113 0.0%
# Turcas Petrol A.S. 1,289,683 641,867 0.0%
Turk Traktor ve Ziraat Makineleri A.S. 7,027 182,489 0.0%
Turkiye Sinai Kalkinma Bankasi A.S. 8,843,175 3,919,677 0.1%
#* Vestel Elektronik Sanayi ve Ticaret A.S. 1,006,303 2,138,413 0.1%
#* Zorlu Enerji Elektrik Uretim A.S. 2,990,254 1,586,736 0.0%
-------------- ----
TOTAL TURKEY 111,238,430 2.0%
-------------- ----
TOTAL COMMON STOCKS 5,366,250,007 97.3%
-------------- ----
PREFERRED STOCKS -- (1.6%)
BRAZIL -- (1.5%)
AES Tiete Energia SA 7,992 8,062 0.0%
Alpargatas SA 1,791,774 5,955,740 0.1%
Banco ABC Brasil SA 838,229 4,038,835 0.1%
Banco do Estado do Rio Grande do Sul SA Class B 2,285,044 9,735,776 0.2%
Banco Pan SA 2,079,740 912,167 0.0%
Banco Pine SA 287,303 371,730 0.0%
Centrais Eletricas Santa Catarina 79,600 345,881 0.0%
Cia de Gas de Sao Paulo--COMGAS Class A 221,785 3,613,039 0.1%
Cia de Saneamento do Parana 225,201 691,407 0.0%
Cia de Transmissao de Energia Eletrica Paulista 426,040 9,244,214 0.2%
Cia Energetica de Minas Gerais 3,890,229 11,882,748 0.2%
Cia Energetica de Sao Paulo Class B 1,652,400 7,677,034 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
BRAZIL -- (Continued)
Cia Energetica do Ceara Class A 114,139 $ 1,703,503 0.0%
Cia Ferro Ligas da Bahia--FERBASA 440,849 1,059,308 0.0%
Cia Paranaense de Energia 857,600 9,819,950 0.2%
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 831,699 2,696,768 0.1%
Eucatex SA Industria e Comercio 160,378 148,722 0.0%
Gerdau SA 2,223,023 7,674,722 0.1%
* Marcopolo SA 4,937,853 5,043,045 0.1%
* Randon SA Implementos e Participacoes 2,535,157 3,796,382 0.1%
* Sharp SA Equipamentos Eletronicos 30,200,000 -- 0.0%
Suzano Papel e Celulose SA Class A 219,200 773,243 0.0%
Unipar Carbocloro SA 276,095 581,252 0.0%
* Usinas Siderurgicas de Minas Gerais SA Class A 4,852,799 6,856,555 0.1%
------------ ---
TOTAL BRAZIL 94,630,083 1.7%
------------ ---
CHILE -- (0.1%)
Coca-Cola Embonor SA Class B 201,569 469,481 0.0%
Embotelladora Andina SA Class B 746,617 3,029,514 0.1%
------------ ---
TOTAL CHILE 3,498,995 0.1%
------------ ---
COLOMBIA -- (0.0%)
Avianca Holdings SA 2,637,267 2,105,056 0.0%
------------ ---
TOTAL PREFERRED STOCKS 100,234,134 1.8%
------------ ---
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
* Ecopro Rights 12/06/16 11,867 28,624 0.0%
* Interflex Co., Ltd. Rights 11/24/16 16,714 54,776 0.0%
* SOLID, Inc. Rights 47,204 23,721 0.0%
------------ ---
TOTAL AUSTRALIA 107,121 0.0%
------------ ---
BRAZIL -- (0.0%)
* LPS Brasil Consultoria de Imoveis SA Rights 11/30/16 50,341 4,731 0.0%
------------ ---
CHINA -- (0.0%)
* Symphony Holdings, Ltd. Warrants 07/05/19 446,000 4,888 0.0%
------------ ---
INDIA -- (0.0%)
* Karnataka Bank, Ltd. Rights 11/21/16 637,013 498,840 0.0%
------------ ---
POLAND -- (0.0%)
* Hawe SA Rights 09/30/15 846,548 -- 0.0%
------------ ---
SOUTH KOREA -- (0.0%)
* Asiana Airlines, Inc. Rights 11/03/16 108,733 -- 0.0%
* Dongbang Transport Logistics Co., Ltd. Rights 11/03/16 17,263 4,073 0.0%
* IM Co., Ltd. Rights 21,113 5,720 0.0%
------------ ---
TOTAL SOUTH KOREA 9,793 0.0%
------------ ---
TAIWAN -- (0.0%)
* Microelectronics Rights 5,646 1,020 0.0%
------------ ---
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
THAILAND -- (0.0%)
* Asian Phytoceutical Rights 58,815 $ 2,151 0.0%
* TPI Polene PCL Rights 12/30/16 219,980 -- 0.0%
-------------- -----
TOTAL THAILAND 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%
============== =====
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
Argentina $ 1 -- -- $ 1
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 10,672,363 -- -- 10,672,363
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
Poland -- -- -- --
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 H)
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (94.6%)
Consumer Discretionary -- (14.7%)
* 1-800-Flowers.com, Inc. Class A 44,330 $ 423,351 0.0%
Aaron's, Inc. 4,830 119,349 0.0%
* Adient P.L.C. 22,979 1,045,774 0.0%
# Arctic Cat, Inc. 3,436 51,506 0.0%
#* Ascent Capital Group, Inc. Class A 8,564 174,534 0.0%
# Autoliv, Inc. 9,404 910,119 0.0%
* Ballantyne Strong, Inc. 9,030 61,404 0.0%
#* Barnes & Noble Education, Inc. 7,710 71,780 0.0%
# Barnes & Noble, Inc. 12,200 125,660 0.0%
# Bassett Furniture Industries, Inc. 2,900 66,555 0.0%
Beasley Broadcast Group, Inc. Class A 9,471 47,828 0.0%
#* Beazer Homes USA, Inc. 4,326 44,255 0.0%
#* Belmond, Ltd. Class A 75,198 973,814 0.0%
# Best Buy Co., Inc. 197,800 7,696,398 0.2%
Big 5 Sporting Goods Corp. 8,501 131,765 0.0%
#* Biglari Holdings, Inc. 8 3,505 0.0%
#* BJ's Restaurants, Inc. 25,971 937,553 0.0%
# Bob Evans Farms, Inc. 38,500 1,586,970 0.0%
* Build-A-Bear Workshop, Inc. 25,874 349,299 0.0%
#* Cabela's, Inc. 53,051 3,268,472 0.1%
# Cable One, Inc. 3,266 1,883,633 0.0%
Caleres, Inc. 74,697 1,868,172 0.0%
Callaway Golf Co. 38,543 393,524 0.0%
#* Cambium Learning Group, Inc. 37,733 195,457 0.0%
Canterbury Park Holding Corp. 2,755 29,685 0.0%
# Carnival Corp. 489,649 24,041,766 0.4%
# Carriage Services, Inc. 20,916 494,454 0.0%
#* Cavco Industries, Inc. 7,600 702,240 0.0%
CBS Corp. Class A 28,263 1,618,622 0.0%
CBS Corp. Class B 32,803 1,857,306 0.0%
#* Charter Communications, Inc. Class A 339,394 84,811,167 1.5%
* Christopher & Banks Corp. 56,231 71,976 0.0%
# Churchill Downs, Inc. 7,682 1,044,752 0.0%
Citi Trends, Inc. 3,415 67,822 0.0%
Columbia Sportswear Co. 8,634 489,030 0.0%
Comcast Corp. Class A 3,644,823 225,322,958 4.1%
#* Conn's, Inc. 25,450 241,775 0.0%
Core-Mark Holding Co., Inc. 96,236 3,401,943 0.1%
CSS Industries, Inc. 10,852 272,385 0.0%
CST Brands, Inc. 50,181 2,409,692 0.1%
Culp, Inc. 10,036 281,008 0.0%
#* Delta Apparel, Inc. 7,532 124,278 0.0%
Destination Maternity Corp. 200 1,358 0.0%
# DeVry Education Group, Inc. 8,757 198,784 0.0%
# Dillard's, Inc. Class A 120,300 7,374,390 0.1%
* Discovery Communications, Inc. Class B 3,762 106,465 0.0%
* Discovery Communications, Inc. Class C 3,762 94,464 0.0%
* Dixie Group, Inc. (The) 11,800 47,200 0.0%
#* Dorman Products, Inc. 20,712 1,330,539 0.0%
Dover Motorsports, Inc. 15,098 36,235 0.0%
DR Horton, Inc. 208,125 6,000,244 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Consumer Discretionary -- (Continued)
# Educational Development Corp. 1,679 $ 15,699 0.0%
#* Eldorado Resorts, Inc. 18,512 223,995 0.0%
# Escalade, Inc. 277 3,365 0.0%
#* EW Scripps Co. (The) Class A 81,265 1,077,574 0.0%
#* Federal-Mogul Holdings Corp. 36,417 337,221 0.0%
# Flanigan's Enterprises, Inc. 865 20,090 0.0%
Flexsteel Industries, Inc. 2,068 86,649 0.0%
Ford Motor Co. 2,562,394 30,082,505 0.6%
# Fred's, Inc. Class A 47,275 431,621 0.0%
#* FTD Cos., Inc. 24,893 500,847 0.0%
#* G-III Apparel Group, Ltd. 22,788 595,223 0.0%
# GameStop Corp. Class A 104,752 2,519,286 0.1%
* Gaming Partners International Corp. 500 5,195 0.0%
Gannett Co., Inc. 59,819 464,794 0.0%
General Motors Co. 1,063,145 33,595,382 0.6%
#* Genesco, Inc. 7,056 379,613 0.0%
Graham Holdings Co. Class B 5,780 2,745,500 0.1%
#* Gray Television, Inc. 46,874 417,179 0.0%
# Group 1 Automotive, Inc. 57,936 3,491,803 0.1%
Harte-Hanks, Inc. 55,608 78,407 0.0%
# Haverty Furniture Cos., Inc. 33,479 594,252 0.0%
* Helen of Troy, Ltd. 64,389 5,247,703 0.1%
#* hhgregg, Inc. 15,698 26,687 0.0%
Hooker Furniture Corp. 14,814 389,608 0.0%
#* Hyatt Hotels Corp. Class A 14,601 741,585 0.0%
* Iconix Brand Group, Inc. 65,319 514,714 0.0%
International Speedway Corp. Class A 24,844 817,368 0.0%
* J Alexander's Holdings, Inc. 2,666 23,994 0.0%
* JAKKS Pacific, Inc. 13,103 87,790 0.0%
#* JC Penney Co., Inc. 85,215 731,997 0.0%
Johnson Controls International P.L.C. 229,791 9,265,173 0.2%
Johnson Outdoors, Inc. Class A 15,588 560,856 0.0%
# KB Home 30,800 447,832 0.0%
# Kohl's Corp. 14,353 627,944 0.0%
La-Z-Boy, Inc. 56,332 1,318,169 0.0%
* Lakeland Industries, Inc. 11,757 116,394 0.0%
#* Lands' End, Inc. 21,056 328,474 0.0%
Lennar Corp. Class A 224,100 9,342,729 0.2%
Lennar Corp. Class B 7,868 263,735 0.0%
* Liberty Broadband Corp. Class A 24,095 1,564,970 0.0%
* Liberty Broadband Corp. Class B 1,905 124,454 0.0%
#* Liberty Broadband Corp. Class C 67,601 4,505,607 0.1%
* Liberty Interactive Corp., QVC Group Class A 882,463 16,316,741 0.3%
#* Liberty Interactive Corp., QVC Group Class B 35,706 717,333 0.0%
#* Liberty Media Corp.-Liberty Braves Class A 9,638 163,364 0.0%
#* Liberty Media Corp.-Liberty Braves Class B 762 12,642 0.0%
* Liberty Media Corp.-Liberty Braves Class C 20,801 346,753 0.0%
#* Liberty Media Corp.-Liberty Media Class A 24,095 670,564 0.0%
#* Liberty Media Corp.-Liberty Media Class B 1,905 50,959 0.0%
#* Liberty Media Corp.-Liberty Media Class C 52,002 1,425,375 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class A 96,383 3,206,662 0.1%
#* Liberty Media Corp.-Liberty SiriusXM Class B 7,622 246,419 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Consumer Discretionary -- (Continued)
* Liberty Media Corp.-Liberty SiriusXM Class C 208,010 $ 6,903,852 0.1%
* Liberty TripAdvisor Holdings, Inc. Class A 76,802 1,705,004 0.0%
* Liberty TripAdvisor Holdings, Inc. Class B 3,570 77,737 0.0%
* Liberty Ventures Series A 202,261 8,070,214 0.2%
#* Liberty Ventures Series B 8,645 333,654 0.0%
Lifetime Brands, Inc. 16,431 232,499 0.0%
# Lithia Motors, Inc. Class A 34,933 2,996,553 0.1%
#* Loral Space & Communications, Inc. 820 31,816 0.0%
#* Luby's, Inc. 32,226 135,027 0.0%
* M/I Homes, Inc. 37,930 815,874 0.0%
#* Madison Square Garden Co. (The) Class A 9,852 1,630,407 0.0%
Marcus Corp. (The) 18,899 500,823 0.0%
#* MarineMax, Inc. 29,164 581,822 0.0%
# Marriott Vacations Worldwide Corp. 2,531 160,921 0.0%
#* McClatchy Co. (The) Class A 6,060 85,446 0.0%
* Media General, Inc. 25,196 424,553 0.0%
# Meredith Corp. 32,676 1,481,857 0.0%
#* Meritage Homes Corp. 28,156 871,428 0.0%
* MGM Resorts International 227,871 5,963,384 0.1%
* Modine Manufacturing Co. 14,650 160,417 0.0%
* Mohawk Industries, Inc. 98,740 18,197,782 0.3%
* Monarch Casino & Resort, Inc. 1,103 26,086 0.0%
#* Motorcar Parts of America, Inc. 13,074 343,062 0.0%
Movado Group, Inc. 21,998 485,056 0.0%
#* MSG Networks, Inc. Class A 29,558 564,558 0.0%
* Murphy USA, Inc. 30,778 2,116,911 0.1%
# NACCO Industries, Inc. Class A 6,832 499,761 0.0%
* New York & Co., Inc. 6,926 15,237 0.0%
Newell Brands, Inc. 209,562 10,063,167 0.2%
News Corp. Class A 402,247 4,875,234 0.1%
# News Corp. Class B 99,903 1,238,797 0.0%
Office Depot, Inc. 181,609 572,068 0.0%
# Penske Automotive Group, Inc. 43,845 1,962,064 0.0%
* Perry Ellis International, Inc. 19,169 356,352 0.0%
# PulteGroup, Inc. 143,221 2,663,911 0.1%
PVH Corp. 31,964 3,419,509 0.1%
RCI Hospitality Holdings, Inc. 12,026 139,622 0.0%
* Red Robin Gourmet Burgers, Inc. 31,175 1,434,050 0.0%
* Regis Corp. 49,623 629,220 0.0%
# Rent-A-Center, Inc. 76,435 771,229 0.0%
Rocky Brands, Inc. 8,729 93,400 0.0%
# Royal Caribbean Cruises, Ltd. 322,500 24,790,575 0.5%
* Ruby Tuesday, Inc. 17,500 51,975 0.0%
# Saga Communications, Inc. Class A 8,693 365,106 0.0%
Salem Media Group, Inc. 10,922 59,525 0.0%
Scholastic Corp. 30,900 1,181,925 0.0%
* Sequential Brands Group, Inc. 70 504 0.0%
# Service Corp. International 215,549 5,518,054 0.1%
* Shiloh Industries, Inc. 15,461 108,072 0.0%
# Shoe Carnival, Inc. 33,450 848,626 0.0%
Spartan Motors, Inc. 16,820 143,811 0.0%
# Speedway Motorsports, Inc. 16,132 303,443 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
# Stage Stores, Inc. 37,214 $ 189,419 0.0%
# Standard Motor Products, Inc. 37,342 1,826,024 0.0%
Staples, Inc. 426,509 3,156,167 0.1%
* Starz Class B 7,422 228,635 0.0%
* Stoneridge, Inc. 19,361 286,930 0.0%
# Strattec Security Corp. 5,224 185,452 0.0%
Superior Industries International, Inc. 23,275 570,237 0.0%
Superior Uniform Group, Inc. 17,956 319,437 0.0%
# Tailored Brands, Inc. 15,981 252,500 0.0%
* Tandy Leather Factory, Inc. 9,974 73,808 0.0%
TEGNA, Inc. 119,639 2,347,317 0.1%
Time Warner, Inc. 1,534,860 136,587,191 2.5%
# Time, Inc. 191,857 2,494,141 0.1%
#* Toll Brothers, Inc. 179,799 4,933,684 0.1%
* Trans World Entertainment Corp. 5,781 22,546 0.0%
#* Tuesday Morning Corp. 60,500 299,475 0.0%
Twenty-First Century Fox, Inc. Class A 1,287,383 33,819,551 0.6%
Twenty-First Century Fox, Inc. Class B 550,972 14,540,151 0.3%
* Unifi, Inc. 43,422 1,248,382 0.0%
* Universal Electronics, Inc. 3,206 224,901 0.0%
* Vista Outdoor, Inc. 77,610 3,001,179 0.1%
* VOXX International Corp. 3,750 15,375 0.0%
Walt Disney Co. (The) 26,220 2,430,332 0.1%
# Wendy's Co. (The) 242,704 2,630,911 0.1%
* West Marine, Inc. 26,468 211,744 0.0%
Whirlpool Corp. 30,049 4,501,941 0.1%
# Wyndham Worldwide Corp. 40,852 2,689,696 0.1%
------------ ----
Total Consumer Discretionary 858,863,116 15.5%
------------ ----
Consumer Staples -- (8.2%)
# Alico, Inc. 960 25,104 0.0%
#* Alliance One International, Inc. 3,508 52,094 0.0%
Andersons, Inc. (The) 23,660 900,263 0.0%
Archer-Daniels-Midland Co. 813,476 35,443,149 0.6%
Bunge, Ltd. 121,368 7,526,030 0.1%
* CCA Industries, Inc. 8,323 24,969 0.0%
#* Central Garden & Pet Co. 25,184 612,475 0.0%
* Central Garden & Pet Co. Class A 48,121 1,123,144 0.0%
Constellation Brands, Inc. Class A 43,556 7,279,079 0.1%
Constellation Brands, Inc. Class B 12,615 2,143,036 0.0%
#* Craft Brew Alliance, Inc. 9,754 156,552 0.0%
CVS Health Corp. 1,510,745 127,053,654 2.3%
Fresh Del Monte Produce, Inc. 39,437 2,380,023 0.1%
#* Hain Celestial Group, Inc. (The) 87,292 3,174,810 0.1%
Ingles Markets, Inc. Class A 11,437 451,762 0.0%
Ingredion, Inc. 62,117 8,147,887 0.2%
JM Smucker Co. (The) 108,204 14,208,267 0.3%
# John B. Sanfilippo & Son, Inc. 10,428 528,491 0.0%
Kraft Heinz Co. (The) 128,945 11,469,658 0.2%
#* Landec Corp. 37,056 490,992 0.0%
Mannatech, Inc. 717 12,404 0.0%
# MGP Ingredients, Inc. 4,788 168,585 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
# Molson Coors Brewing Co. Class A 1,908 $ 207,838 0.0%
Molson Coors Brewing Co. Class B 186,550 19,365,756 0.4%
Mondelez International, Inc. Class A 2,081,099 93,524,589 1.7%
* Nutraceutical International Corp. 14,615 420,912 0.0%
Oil-Dri Corp. of America 5,047 170,387 0.0%
* Omega Protein Corp. 25,852 576,500 0.0%
#* Post Holdings, Inc. 50,201 3,826,822 0.1%
Reynolds American, Inc. 188,277 10,370,297 0.2%
# Sanderson Farms, Inc. 16,100 1,448,678 0.0%
#* Seaboard Corp. 1,812 6,133,620 0.1%
* Seneca Foods Corp. Class A 6,301 185,249 0.0%
* Seneca Foods Corp. Class B 300 9,900 0.0%
# Snyder's-Lance, Inc. 32,153 1,143,682 0.0%
SpartanNash Co. 34,281 959,868 0.0%
# Spectrum Brands Holdings, Inc. 39,566 5,350,906 0.1%
#* TreeHouse Foods, Inc. 24,190 2,116,141 0.0%
Tyson Foods, Inc. Class A 405,030 28,696,375 0.5%
# Universal Corp. 22,290 1,208,118 0.0%
Wal-Mart Stores, Inc. 679,033 47,545,891 0.9%
Walgreens Boots Alliance, Inc. 394,449 32,632,766 0.6%
Weis Markets, Inc. 11,602 645,419 0.0%
------------ ---
Total Consumer Staples 479,912,142 8.6%
------------ ---
Energy -- (12.9%)
Adams Resources & Energy, Inc. 6,004 219,386 0.0%
# Alon USA Energy, Inc. 33,484 269,881 0.0%
Anadarko Petroleum Corp. 475,268 28,249,930 0.5%
Apache Corp. 77,083 4,584,897 0.1%
# Archrock, Inc. 69,200 802,720 0.0%
# Atwood Oceanics, Inc. 4,600 35,098 0.0%
Baker Hughes, Inc. 127,976 7,089,870 0.1%
* Barnwell Industries, Inc. 7,870 12,592 0.0%
# Bristow Group, Inc. 40,138 401,781 0.0%
# California Resources Corp. 2,132 21,874 0.0%
* Callon Petroleum Co. 13,214 171,650 0.0%
Chevron Corp. 1,154,064 120,888,204 2.2%
#* Cloud Peak Energy, Inc. 33,115 203,988 0.0%
ConocoPhillips 1,601,249 69,574,269 1.3%
* Contango Oil & Gas Co. 1,064 8,331 0.0%
* Dawson Geophysical Co. 30,611 200,502 0.0%
Delek US Holdings, Inc. 52,256 883,126 0.0%
#* Denbury Resources, Inc. 289,460 691,809 0.0%
EOG Resources, Inc. 86,247 7,798,454 0.1%
#* Era Group, Inc. 24,458 184,658 0.0%
* Exterran Corp. 34,600 547,026 0.0%
Exxon Mobil Corp. 2,448,223 203,985,940 3.7%
# Green Plains, Inc. 26,534 689,884 0.0%
Gulf Island Fabrication, Inc. 15,018 150,180 0.0%
#* Gulfmark Offshore, Inc. Class A 27,750 31,913 0.0%
Halliburton Co. 47,970 2,206,620 0.0%
#* Helix Energy Solutions Group, Inc. 103,010 898,247 0.0%
# Helmerich & Payne, Inc. 108,670 6,858,164 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Energy -- (Continued)
# Hess Corp. 165,152 $ 7,922,341 0.2%
# HollyFrontier Corp. 32,210 803,640 0.0%
#* Hornbeck Offshore Services, Inc. 29,719 117,984 0.0%
Kinder Morgan, Inc. 303,244 6,195,275 0.1%
# Marathon Oil Corp. 467,019 6,155,310 0.1%
Marathon Petroleum Corp. 903,936 39,402,570 0.7%
* Matrix Service Co. 15,423 272,987 0.0%
# Murphy Oil Corp. 118,565 3,067,277 0.1%
# Nabors Industries, Ltd. 181,974 2,165,491 0.0%
# National Oilwell Varco, Inc. 250,948 8,055,431 0.2%
* Natural Gas Services Group, Inc. 15,026 326,064 0.0%
#* Newpark Resources, Inc. 97,395 613,589 0.0%
Noble Corp. P.L.C. 74,243 366,760 0.0%
Noble Energy, Inc. 133,794 4,611,879 0.1%
Occidental Petroleum Corp. 192,073 14,004,042 0.3%
Overseas Shipholding Group, Inc. Class A 39 342 0.0%
* Parker Drilling Co. 142,573 285,146 0.0%
# Patterson-UTI Energy, Inc. 152,325 3,424,266 0.1%
#* PDC Energy, Inc. 24,103 1,478,237 0.0%
* PHI, Inc. Non-voting 15,570 242,581 0.0%
* PHI, Inc. Voting 1,099 16,595 0.0%
Phillips 66 883,414 71,689,046 1.3%
#* Pioneer Energy Services Corp. 74,262 263,630 0.0%
Pioneer Natural Resources Co. 88,400 15,825,368 0.3%
QEP Resources, Inc. 33,043 531,001 0.0%
#* Renewable Energy Group, Inc. 2,882 25,218 0.0%
#* REX American Resources Corp. 4,050 319,910 0.0%
# Rowan Cos. P.L.C. Class A 118,378 1,570,876 0.0%
Schlumberger, Ltd. 603,242 47,191,622 0.9%
* SEACOR Holdings, Inc. 20,471 1,009,425 0.0%
# SemGroup Corp. Class A 4,727 152,446 0.0%
# Ship Finance International, Ltd. 12,481 157,885 0.0%
# Superior Energy Services, Inc. 75,686 1,071,714 0.0%
# Teekay Corp. 37,720 246,312 0.0%
# Tesco Corp. 3,745 25,653 0.0%
Tesoro Corp. 168,807 14,343,531 0.3%
# Tidewater, Inc. 20,555 35,560 0.0%
#* Transocean, Ltd. 252,980 2,431,138 0.1%
#* Unit Corp. 52,140 893,158 0.0%
Valero Energy Corp. 605,899 35,893,457 0.7%
#* Weatherford International P.L.C. 46,788 225,518 0.0%
# Western Refining, Inc. 47,810 1,379,318 0.0%
#* Whiting Petroleum Corp. 16,007 131,898 0.0%
#* Willbros Group, Inc. 18,620 28,302 0.0%
------------ ----
Total Energy 752,630,787 13.6%
------------ ----
Financials -- (19.5%)
1st Source Corp. 45,305 1,565,741 0.0%
Aflac, Inc. 130,228 8,968,802 0.2%
* Alleghany Corp. 3,115 1,607,994 0.0%
Allied World Assurance Co. Holdings AG 76,431 3,285,004 0.1%
Allstate Corp. (The) 211,174 14,338,715 0.3%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
American Equity Investment Life Holding Co. 88,700 $ 1,590,391 0.0%
American Financial Group, Inc. 173,596 12,932,902 0.2%
American International Group, Inc. 838,781 51,752,788 0.9%
American National Insurance Co. 23,302 2,730,062 0.1%
# AmeriServ Financial, Inc. 33,075 107,494 0.0%
* Arch Capital Group, Ltd. 3,094 241,239 0.0%
Argo Group International Holdings, Ltd. 51,636 2,870,962 0.1%
Aspen Insurance Holdings, Ltd. 102,623 4,951,560 0.1%
Associated Banc-Corp 31,434 638,110 0.0%
Assurant, Inc. 65,820 5,299,826 0.1%
Assured Guaranty, Ltd. 122,989 3,676,141 0.1%
* Asta Funding, Inc. 7,527 73,765 0.0%
Astoria Financial Corp. 19,344 283,003 0.0%
* Atlanticus Holdings Corp. 19,218 66,302 0.0%
#* AV Homes, Inc. 3,852 61,439 0.0%
Axis Capital Holdings, Ltd. 8,510 484,815 0.0%
Baldwin & Lyons, Inc. Class A 300 7,186 0.0%
Baldwin & Lyons, Inc. Class B 6,556 161,278 0.0%
* Bancorp, Inc. (The) 459 2,860 0.0%
Bank Mutual Corp. 14,475 112,905 0.0%
Bank of America Corp. 5,636,194 92,997,201 1.7%
Bank of New York Mellon Corp. (The) 552,910 23,924,416 0.4%
BankFinancial Corp. 21,475 269,941 0.0%
# BB&T Corp. 139,235 5,458,012 0.1%
BCB Bancorp, Inc. 1,059 12,496 0.0%
Berkshire Hills Bancorp, Inc. 30,747 908,574 0.0%
# Capital City Bank Group, Inc. 15,389 231,451 0.0%
Capital One Financial Corp. 373,787 27,675,189 0.5%
* Cascade Bancorp 15,799 96,532 0.0%
Cathay General Bancorp 17,730 531,013 0.0%
CenterState Banks, Inc. 747 13,954 0.0%
Century Bancorp, Inc. Class A 495 22,448 0.0%
Chubb, Ltd. 110,853 14,078,331 0.3%
# Cincinnati Financial Corp. 12,284 869,462 0.0%
CIT Group, Inc. 45,907 1,667,801 0.0%
Citigroup, Inc. 1,870,326 91,926,523 1.7%
# Citizens Community Bancorp, Inc. 10,355 112,352 0.0%
CME Group, Inc. 414,385 41,479,938 0.8%
CNA Financial Corp. 206,979 7,569,222 0.2%
CNO Financial Group, Inc. 301,264 4,543,061 0.1%
Codorus Valley Bancorp, Inc. 145 3,028 0.0%
Comerica, Inc. 16,431 855,891 0.0%
Community West Bancshares 400 3,260 0.0%
* Consumer Portfolio Services, Inc. 30,005 134,422 0.0%
#* Cowen Group, Inc. Class A 15,961 51,873 0.0%
Donegal Group, Inc. Class A 13,586 204,469 0.0%
Donegal Group, Inc. Class B 300 5,527 0.0%
* E*TRADE Financial Corp. 89,699 2,525,924 0.1%
Eastern Virginia Bankshares, Inc. 307 2,533 0.0%
# EMC Insurance Group, Inc. 27,511 669,893 0.0%
#* Emergent Capital, Inc. 3,602 9,978 0.0%
Endurance Specialty Holdings, Ltd. 94,576 8,696,263 0.2%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Enterprise Financial Services Corp. 3,235 $ 107,078 0.0%
ESSA Bancorp, Inc. 8,217 110,765 0.0%
Evans Bancorp, Inc. 1,681 45,723 0.0%
Everest Re Group, Ltd. 34,913 7,105,494 0.1%
Farmers Capital Bank Corp. 302 9,483 0.0%
FBL Financial Group, Inc. Class A 24,660 1,560,978 0.0%
# Federal Agricultural Mortgage Corp. Class A 177 8,406 0.0%
Federal Agricultural Mortgage Corp. Class C 9,200 375,636 0.0%
Federated National Holding Co. 13,665 244,740 0.0%
Fidelity Southern Corp. 7,213 131,493 0.0%
Fifth Third Bancorp 92,166 2,005,532 0.1%
* First Acceptance Corp. 27,347 23,518 0.0%
First American Financial Corp. 61,982 2,421,017 0.1%
# First Bancorp 16,138 319,048 0.0%
First Business Financial Services, Inc. 964 18,171 0.0%
First Citizens BancShares, Inc. Class A 8,627 2,510,457 0.1%
# First Commonwealth Financial Corp. 30,547 310,358 0.0%
First Community Bancshares, Inc. 183 4,145 0.0%
First Defiance Financial Corp. 10,880 429,542 0.0%
First Financial Northwest, Inc. 25,371 403,399 0.0%
First Merchants Corp. 41,623 1,171,687 0.0%
First Midwest Bancorp, Inc. 7,168 138,414 0.0%
First South Bancorp, Inc. 2,278 22,097 0.0%
# FNB Corp. 63,117 824,939 0.0%
FNF Group 33,321 1,196,557 0.0%
#* FNFV Group 15,438 186,028 0.0%
#* Genworth Financial, Inc. Class A 34,964 144,751 0.0%
# German American Bancorp, Inc. 4,179 162,688 0.0%
* Global Indemnity P.L.C. 8,282 248,791 0.0%
Goldman Sachs Group, Inc. (The) 209,155 37,279,787 0.7%
Great Southern Bancorp, Inc. 1,616 66,822 0.0%
Great Western Bancorp, Inc. 260 8,382 0.0%
Guaranty Federal Bancshares, Inc. 1,684 27,904 0.0%
* Hallmark Financial Services, Inc. 20,834 215,840 0.0%
Hanover Insurance Group, Inc. (The) 88,829 6,767,882 0.1%
Hartford Financial Services Group, Inc. (The) 320,787 14,149,915 0.3%
Heartland Financial USA, Inc. 465 17,414 0.0%
* Hilltop Holdings, Inc. 26,171 646,424 0.0%
# Hingham Institution for Savings 500 71,725 0.0%
* HMN Financial, Inc. 3,456 50,803 0.0%
Home Bancorp, Inc. 719 20,642 0.0%
HopFed Bancorp, Inc. 6,781 77,168 0.0%
Horace Mann Educators Corp. 58,206 2,092,506 0.1%
Huntington Bancshares, Inc. 70,847 750,978 0.0%
# Iberiabank Corp. 697 45,758 0.0%
Independence Holding Co. 13,333 233,994 0.0%
Infinity Property & Casualty Corp. 15,800 1,294,810 0.0%
International Bancshares Corp. 800 24,680 0.0%
# Investment Technology Group, Inc. 23,677 362,495 0.0%
# Investors Title Co. 1,169 112,224 0.0%
# Janus Capital Group, Inc. 24,840 318,449 0.0%
JPMorgan Chase & Co. 2,695,925 186,719,765 3.4%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
# Kemper Corp. 46,361 $ 1,740,856 0.0%
Kentucky First Federal Bancorp 2,400 19,500 0.0%
KeyCorp 526,210 7,430,085 0.1%
Lake Sunapee Bank Group 3,667 66,813 0.0%
Lakeland Bancorp, Inc. 8,740 123,671 0.0%
Landmark Bancorp, Inc. 2,169 57,478 0.0%
Legg Mason, Inc. 56,555 1,624,260 0.0%
Lincoln National Corp. 134,595 6,607,269 0.1%
Loews Corp. 243,798 10,490,628 0.2%
# M&T Bank Corp. 4,241 520,498 0.0%
Macatawa Bank Corp. 15,191 123,503 0.0%
Mackinac Financial Corp. 6,893 79,683 0.0%
# Maiden Holdings, Ltd. 5,792 79,061 0.0%
MainSource Financial Group, Inc. 45,000 1,123,200 0.0%
* Markel Corp. 101 88,620 0.0%
Marlin Business Services Corp. 14,241 249,217 0.0%
MB Financial, Inc. 19,678 716,082 0.0%
#* MBIA, Inc. 82,267 633,456 0.0%
# MBT Financial Corp. 9,396 82,685 0.0%
Mercantile Bank Corp. 4,422 121,693 0.0%
Meta Financial Group, Inc. 1,083 79,330 0.0%
MetLife, Inc. 958,812 45,025,812 0.8%
MidWestOne Financial Group, Inc. 346 10,062 0.0%
Morgan Stanley 1,036,923 34,809,505 0.6%
MutualFirst Financial, Inc. 2,300 62,905 0.0%
Nasdaq, Inc. 42,129 2,694,992 0.1%
National Western Life Group, Inc. Class A 900 193,860 0.0%
Navigators Group, Inc. (The) 3,685 343,442 0.0%
# New York Community Bancorp, Inc. 52,185 749,377 0.0%
#* NewStar Financial, Inc. 41,166 400,545 0.0%
Northrim BanCorp, Inc. 5,734 140,770 0.0%
OFG Bancorp 30,191 321,534 0.0%
Old Republic International Corp. 172,923 2,915,482 0.1%
Oppenheimer Holdings, Inc. Class A 3,097 43,358 0.0%
* Pacific Mercantile Bancorp 4,174 23,374 0.0%
# PacWest Bancorp 1,076 46,688 0.0%
Park Sterling Corp. 992 8,541 0.0%
# People's United Financial, Inc. 68,700 1,115,688 0.0%
Peoples Bancorp of North Carolina, Inc. 250 5,188 0.0%
Peoples Bancorp, Inc. 15,923 394,413 0.0%
* PHH Corp. 54,576 792,444 0.0%
* Piper Jaffray Cos. 312 17,644 0.0%
PNC Financial Services Group, Inc. (The) 152,671 14,595,348 0.3%
Popular, Inc. 56,536 2,052,257 0.1%
Premier Financial Bancorp, Inc. 4,434 74,580 0.0%
# Principal Financial Group, Inc. 218,754 11,943,968 0.2%
Provident Financial Holdings, Inc. 544 10,380 0.0%
# Provident Financial Services, Inc. 21,059 477,829 0.0%
Prudential Financial, Inc. 497,625 42,193,624 0.8%
Radian Group, Inc. 161,945 2,200,833 0.1%
Regions Financial Corp. 1,302,555 13,950,364 0.3%
Reinsurance Group of America, Inc. 169,166 18,246,245 0.3%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Financials -- (Continued)
# RenaissanceRe Holdings, Ltd. 12,667 $ 1,574,381 0.0%
Renasant Corp. 42,102 1,420,521 0.0%
#* Republic First Bancorp, Inc. 2,174 8,587 0.0%
Riverview Bancorp, Inc. 1,682 8,797 0.0%
Safety Insurance Group, Inc. 26,197 1,773,537 0.0%
Sandy Spring Bancorp, Inc. 9,125 289,262 0.0%
* Select Bancorp, Inc. 600 4,860 0.0%
# Selective Insurance Group, Inc. 45,200 1,670,140 0.0%
SI Financial Group, Inc. 5,661 73,876 0.0%
South State Corp. 8,549 627,069 0.0%
#* Southern First Bancshares, Inc. 1,216 32,285 0.0%
Southwest Bancorp, Inc. 16,974 316,565 0.0%
# State Auto Financial Corp. 15,100 345,790 0.0%
State Street Corp. 4,112 288,704 0.0%
# Sterling Bancorp 70,552 1,269,936 0.0%
# Stewart Information Services Corp. 12,271 551,581 0.0%
* Stratus Properties, Inc. 3,069 74,270 0.0%
Suffolk Bancorp 205 7,380 0.0%
SunTrust Banks, Inc. 255,532 11,557,712 0.2%
Synchrony Financial 914,357 26,141,467 0.5%
Synovus Financial Corp. 22,796 753,864 0.0%
Timberland Bancorp, Inc. 2,500 41,150 0.0%
# Tiptree Financial, Inc. Class A 37,071 215,012 0.0%
Torchmark Corp. 7,000 443,870 0.0%
Travelers Cos., Inc. (The) 153,509 16,606,604 0.3%
Trico Bancshares 854 22,477 0.0%
# Trustmark Corp. 4,194 116,090 0.0%
Umpqua Holdings Corp. 34,932 533,761 0.0%
* Unico American Corp. 1,900 21,517 0.0%
Union Bankshares Corp. 37,042 1,034,583 0.0%
# United Bankshares, Inc. 12,121 456,962 0.0%
United Financial Bancorp, Inc. 9,193 135,229 0.0%
United Fire Group, Inc. 24,429 965,434 0.0%
* United Security Bancshares 432 2,680 0.0%
Unity Bancorp, Inc. 3,999 49,188 0.0%
# Univest Corp. of Pennsylvania 156 3,705 0.0%
Unum Group 517,445 18,317,553 0.3%
Validus Holdings, Ltd. 8,958 457,754 0.0%
# Valley National Bancorp 768 7,572 0.0%
Voya Financial, Inc. 14,373 439,095 0.0%
Washington Federal, Inc. 97,887 2,667,421 0.1%
Waterstone Financial, Inc. 1,426 24,171 0.0%
Wells Fargo & Co. 1,956,746 90,029,883 1.6%
WesBanco, Inc. 31,678 1,042,523 0.0%
West Bancorporation, Inc. 5,278 101,865 0.0%
# Western New England Bancorp, Inc. 11,699 92,419 0.0%
# Wintrust Financial Corp. 24,224 1,306,885 0.0%
# WR Berkley Corp. 5,305 302,915 0.0%
XL Group, Ltd. 240,766 8,354,580 0.2%
# Zions Bancorporation 53,325 1,717,598 0.0%
-------------- ----
Total Financials 1,141,179,284 20.6%
-------------- ----
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Health Care -- (10.5%)
Abbott Laboratories 217,973 $ 8,553,261 0.2%
# Aceto Corp. 31,686 580,804 0.0%
#* Addus HomeCare Corp. 2,044 51,713 0.0%
Aetna, Inc. 558,462 59,950,896 1.1%
* Albany Molecular Research, Inc. 24,874 387,786 0.0%
* Alere, Inc. 45,800 2,046,344 0.1%
* Allergan P.L.C. 103,542 21,634,065 0.4%
#* Amsurg Corp. 30,743 1,836,894 0.0%
# Analogic Corp. 2,988 244,568 0.0%
* AngioDynamics, Inc. 14,354 228,803 0.0%
* Anika Therapeutics, Inc. 14,671 650,806 0.0%
Anthem, Inc. 504,640 61,495,430 1.1%
#* Aptevo Therapeutics, Inc. 4,339 9,589 0.0%
* Arrhythmia Research Technology, Inc. 1,200 4,980 0.0%
Baxter International, Inc. 27,380 1,303,014 0.0%
* Boston Scientific Corp. 518,448 11,405,856 0.2%
#* Brookdale Senior Living, Inc. 4,785 69,048 0.0%
Cigna Corp. 42,954 5,104,224 0.1%
# CONMED Corp. 43,239 1,729,560 0.0%
# Cooper Cos., Inc. (The) 13,956 2,456,814 0.1%
#* Cross Country Healthcare, Inc. 7,595 84,836 0.0%
CryoLife, Inc. 17,502 297,534 0.0%
#* Cumberland Pharmaceuticals, Inc. 23,319 110,765 0.0%
* Cutera, Inc. 1,289 16,886 0.0%
#* Cynosure, Inc. Class A 8,077 344,484 0.0%
Danaher Corp. 200,460 15,746,133 0.3%
Digirad Corp. 26,711 117,528 0.0%
#* Emergent BioSolutions, Inc. 8,678 231,876 0.0%
* Enzo Biochem, Inc. 41,397 252,522 0.0%
* Exactech, Inc. 3,390 81,868 0.0%
* Express Scripts Holding Co. 493,239 33,244,309 0.6%
* Five Star Quality Care, Inc. 28,953 81,068 0.0%
* Harvard Bioscience, Inc. 32,107 77,057 0.0%
#* Healthways, Inc. 37,281 924,569 0.0%
* Hologic, Inc. 106,511 3,835,461 0.1%
Humana, Inc. 236,814 40,620,705 0.8%
* Impax Laboratories, Inc. 4,700 94,470 0.0%
* Integer Holdings Corp. 41,672 918,868 0.0%
# Invacare Corp. 7,330 67,070 0.0%
# Kewaunee Scientific Corp. 1,631 35,964 0.0%
# Kindred Healthcare, Inc. 56,891 560,376 0.0%
LeMaitre Vascular, Inc. 5,100 106,794 0.0%
* LHC Group, Inc. 1,418 48,595 0.0%
* LifePoint Health, Inc. 82,208 4,920,149 0.1%
* Magellan Health, Inc. 17,899 920,904 0.0%
(degrees)* Medcath Corp. 29,240 -- 0.0%
Medtronic P.L.C. 764,960 62,742,019 1.1%
* Merit Medical Systems, Inc. 13,395 294,020 0.0%
#* Molina Healthcare, Inc. 24,941 1,357,040 0.0%
* Mylan NV 6,181 225,606 0.0%
National HealthCare Corp. 6,484 419,515 0.0%
* Natus Medical, Inc. 15,698 617,716 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Health Care -- (Continued)
#* Nuvectra Corp. 13,890 $ 74,589 0.0%
* Omnicell, Inc. 35,405 1,155,088 0.0%
PerkinElmer, Inc. 76,500 3,893,085 0.1%
Pfizer, Inc. 4,874,915 154,583,555 2.8%
* PharMerica Corp. 33,305 792,659 0.0%
#* Prestige Brands Holdings, Inc. 111,489 5,048,222 0.1%
* RTI Surgical, Inc. 73,086 186,369 0.0%
#* SciClone Pharmaceuticals, Inc. 13,028 116,601 0.0%
#* Select Medical Holdings Corp. 42,204 548,652 0.0%
* Surmodics, Inc. 5,593 139,266 0.0%
# Teleflex, Inc. 37,223 5,327,728 0.1%
Thermo Fisher Scientific, Inc. 499,520 73,444,426 1.3%
#* Triple-S Management Corp. Class B 20,684 427,745 0.0%
UnitedHealth Group, Inc. 89,716 12,679,562 0.2%
#* Universal American Corp. 70,194 527,157 0.0%
* VCA, Inc. 69,140 4,249,344 0.1%
* WellCare Health Plans, Inc. 18,375 2,085,746 0.1%
------------ ----
Total Health Care 614,420,956 11.1%
------------ ----
Industrials -- (11.3%)
AAR Corp. 32,906 1,058,586 0.0%
ABM Industries, Inc. 64,500 2,520,660 0.1%
Acme United Corp. 1,030 22,516 0.0%
# Actuant Corp. Class A 44,986 1,003,188 0.0%
#* AECOM 55,835 1,555,005 0.0%
* Aegion Corp. 42,549 787,582 0.0%
#* Aerovironment, Inc. 35,065 841,209 0.0%
# AGCO Corp. 58,973 3,012,341 0.1%
* Air Transport Services Group, Inc. 6,308 83,455 0.0%
Alamo Group, Inc. 22,751 1,476,995 0.0%
Alaska Air Group, Inc. 105,252 7,601,299 0.2%
Albany International Corp. Class A 20,551 837,453 0.0%
# AMERCO 29,431 9,488,260 0.2%
#* Ameresco, Inc. Class A 981 4,709 0.0%
# American Railcar Industries, Inc. 20,003 735,710 0.0%
# Apogee Enterprises, Inc. 36,374 1,482,240 0.0%
ArcBest Corp. 12,135 241,487 0.0%
Arconic, Inc. 331,751 9,527,889 0.2%
Argan, Inc. 21 1,194 0.0%
Astec Industries, Inc. 22,925 1,269,128 0.0%
* Atlas Air Worldwide Holdings, Inc. 31,815 1,331,458 0.0%
#* Avis Budget Group, Inc. 46,708 1,511,471 0.0%
Barnes Group, Inc. 36,400 1,450,176 0.0%
* BlueLinx Holdings, Inc. 1,705 13,435 0.0%
Brady Corp. Class A 38,500 1,274,350 0.0%
# Briggs & Stratton Corp. 41,033 764,034 0.0%
* CAI International, Inc. 17,082 129,994 0.0%
* Casella Waste Systems, Inc. Class A 5,201 58,251 0.0%
# Caterpillar, Inc. 107,902 9,005,501 0.2%
* CBIZ, Inc. 38,149 421,546 0.0%
CDI Corp. 26,779 164,691 0.0%
CECO Environmental Corp. 3,773 37,353 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
# Celadon Group, Inc. 24,642 $ 160,173 0.0%
# Chicago Rivet & Machine Co. 700 21,245 0.0%
# CIRCOR International, Inc. 10,019 538,822 0.0%
Columbus McKinnon Corp. 17,542 341,894 0.0%
Comfort Systems USA, Inc. 44,560 1,285,556 0.0%
CompX International, Inc. 500 5,575 0.0%
# Covanta Holding Corp. 94,292 1,414,380 0.0%
#* Covenant Transportation Group, Inc. Class A 7,080 113,209 0.0%
* CRA International, Inc. 7,613 237,069 0.0%
CSX Corp. 1,242,950 37,922,404 0.7%
Cummins, Inc. 900 115,038 0.0%
Curtiss-Wright Corp. 46,353 4,154,156 0.1%
#* DigitalGlobe, Inc. 21,971 551,472 0.0%
Douglas Dynamics, Inc. 30,234 970,511 0.0%
* Ducommun, Inc. 12,645 240,761 0.0%
#* Dycom Industries, Inc. 39,867 3,066,968 0.1%
Dynamic Materials Corp. 1,436 15,581 0.0%
Eastern Co. (The) 10,193 200,802 0.0%
Eaton Corp. P.L.C. 186,354 11,883,795 0.2%
EMCOR Group, Inc. 50,540 3,055,648 0.1%
Encore Wire Corp. 19,966 681,839 0.0%
* Energy Recovery, Inc. 1,783 21,770 0.0%
EnerSys 43,239 2,816,156 0.1%
* Engility Holdings, Inc. 7,988 229,495 0.0%
Ennis, Inc. 31,756 465,225 0.0%
EnPro Industries, Inc. 17,635 954,406 0.0%
ESCO Technologies, Inc. 17,601 784,125 0.0%
Espey Manufacturing & Electronics Corp. 1,671 42,485 0.0%
Essendant, Inc. 24,021 368,722 0.0%
#* Esterline Technologies Corp. 44,968 3,302,900 0.1%
Federal Signal Corp. 71,923 883,214 0.0%
FedEx Corp. 142,324 24,809,920 0.5%
Fortune Brands Home & Security, Inc. 123,726 6,759,151 0.1%
* Franklin Covey Co. 3,046 55,742 0.0%
FreightCar America, Inc. 9,404 122,816 0.0%
* FTI Consulting, Inc. 25,736 1,002,675 0.0%
# G&K Services, Inc. Class A 29,714 2,813,916 0.1%
# GATX Corp. 65,445 2,864,528 0.1%
* Gencor Industries, Inc. 13,149 159,103 0.0%
General Electric Co. 3,873,888 112,730,141 2.1%
#* Genesee & Wyoming, Inc. Class A 1,200 81,528 0.0%
* Gibraltar Industries, Inc. 24,203 941,497 0.0%
* GP Strategies Corp. 18,583 480,371 0.0%
# Granite Construction, Inc. 27,179 1,336,120 0.0%
#* Great Lakes Dredge & Dock Corp. 69,820 247,861 0.0%
# Greenbrier Cos., Inc. (The) 22,451 707,207 0.0%
# Griffon Corp. 67,323 1,124,294 0.0%
# H&E Equipment Services, Inc. 59,629 831,825 0.0%
#* Hawaiian Holdings, Inc. 9,193 413,915 0.0%
Heidrick & Struggles International, Inc. 18,234 337,329 0.0%
* Herc Holdings, Inc. 18,560 558,470 0.0%
* Hertz Global Holdings, Inc. 55,682 1,845,858 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
* Hill International, Inc. 27,154 $ 104,543 0.0%
Huntington Ingalls Industries, Inc. 28,231 4,555,354 0.1%
Hurco Cos., Inc. 7,910 207,242 0.0%
* Huron Consulting Group, Inc. 4,001 224,256 0.0%
Hyster-Yale Materials Handling, Inc. 12,246 712,840 0.0%
* ICF International, Inc. 31,660 1,469,024 0.0%
Ingersoll-Rand P.L.C. 213,109 14,340,105 0.3%
* InnerWorkings, Inc. 96,587 850,931 0.0%
Insteel Industries, Inc. 17,578 472,848 0.0%
* JetBlue Airways Corp. 324,893 5,679,130 0.1%
Kadant, Inc. 5,786 298,847 0.0%
KAR Auction Services, Inc. 18,100 770,698 0.0%
KBR, Inc. 3,600 53,316 0.0%
Kennametal, Inc. 1,000 28,310 0.0%
* Key Technology, Inc. 3,199 32,982 0.0%
Kimball International, Inc. Class B 31,258 390,725 0.0%
Korn/Ferry International 33,148 675,888 0.0%
* Kratos Defense & Security Solutions, Inc. 2,711 15,236 0.0%
L-3 Communications Holdings, Inc. 100,470 13,758,362 0.3%
* Lawson Products, Inc. 8,847 166,766 0.0%
# LB Foster Co. Class A 6,682 82,857 0.0%
#* LMI Aerospace, Inc. 13,807 103,691 0.0%
LS Starrett Co. (The) Class A 4,097 37,692 0.0%
LSI Industries, Inc. 27,715 238,349 0.0%
* Lydall, Inc. 14,605 682,784 0.0%
ManpowerGroup, Inc. 22,886 1,757,645 0.1%
Marten Transport, Ltd. 47,782 979,531 0.0%
Matson, Inc. 62,316 2,488,901 0.1%
Matthews International Corp. Class A 12,387 741,981 0.0%
McGrath RentCorp 17,552 528,315 0.0%
* Mercury Systems, Inc. 2,055 57,088 0.0%
* MFRI, Inc. 8,900 71,200 0.0%
Miller Industries, Inc. 20,099 441,173 0.0%
# Mobile Mini, Inc. 54,461 1,380,586 0.0%
* Moog, Inc. Class A 35,339 2,052,136 0.1%
Mueller Industries, Inc. 30,912 936,324 0.0%
Mueller Water Products, Inc. Class A 185,957 2,290,990 0.1%
Multi-Color Corp. 308 19,997 0.0%
* MYR Group, Inc. 19,582 584,327 0.0%
National Presto Industries, Inc. 571 49,820 0.0%
* Navigant Consulting, Inc. 12,297 287,750 0.0%
* NL Industries, Inc. 42,070 134,624 0.0%
# NN, Inc. 18,396 324,689 0.0%
Norfolk Southern Corp. 545,229 50,706,297 0.9%
Northrop Grumman Corp. 91,981 21,063,649 0.4%
* Northwest Pipe Co. 6,690 87,706 0.0%
#* NOW, Inc. 62,737 1,352,610 0.0%
* On Assignment, Inc. 53,951 1,856,454 0.1%
Orbital ATK, Inc. 56,610 4,209,520 0.1%
Oshkosh Corp. 14,466 773,931 0.0%
Owens Corning 149,300 7,282,854 0.1%
* PAM Transportation Services, Inc. 9,249 182,205 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
# Pentair P.L.C. 117,934 $ 6,501,701 0.1%
Powell Industries, Inc. 7,529 266,451 0.0%
Providence and Worcester Railroad Co. 850 21,242 0.0%
Quad/Graphics, Inc. 2,390 56,786 0.0%
Quanex Building Products Corp. 21,431 349,325 0.0%
* Quanta Services, Inc. 168,307 4,838,826 0.1%
Raytheon Co. 44,355 6,059,337 0.1%
# RCM Technologies, Inc. 20,293 143,674 0.0%
Regal Beloit Corp. 16,070 949,737 0.0%
Republic Services, Inc. 429,755 22,618,006 0.4%
Resources Connection, Inc. 25,955 385,432 0.0%
* Roadrunner Transportation Systems, Inc. 879 6,680 0.0%
* Rush Enterprises, Inc. Class A 32,603 855,829 0.0%
* Rush Enterprises, Inc. Class B 18,522 470,459 0.0%
# Ryder System, Inc. 89,844 6,234,275 0.1%
#* Saia, Inc. 8,925 318,176 0.0%
#* SIFCO Industries, Inc. 6,623 68,217 0.0%
SkyWest, Inc. 38,506 1,160,956 0.0%
Southwest Airlines Co. 645,761 25,862,728 0.5%
#* Sparton Corp. 9,132 218,529 0.0%
* SPX FLOW, Inc. 12,803 321,227 0.0%
Standex International Corp. 22,341 1,706,852 0.0%
Stanley Black & Decker, Inc. 154,919 17,635,979 0.3%
Steelcase, Inc. Class A 55,469 740,511 0.0%
# Supreme Industries, Inc. Class A 1,433 17,468 0.0%
#* Team, Inc. 6,674 205,226 0.0%
Terex Corp. 27,578 658,563 0.0%
Tetra Tech, Inc. 45,222 1,738,786 0.0%
* Titan Machinery, Inc. 2,883 26,783 0.0%
#* TRC Cos., Inc. 23,870 194,541 0.0%
Trinity Industries, Inc. 183,814 3,924,429 0.1%
# Triton International, Ltd. 24,053 290,320 0.0%
# Triumph Group, Inc. 57,456 1,361,707 0.0%
* Tutor Perini Corp. 33,844 644,728 0.0%
# Twin Disc, Inc. 900 9,729 0.0%
* Ultralife Corp. 3,309 13,567 0.0%
# UniFirst Corp. 18,705 2,291,362 0.1%
Union Pacific Corp. 888,128 78,315,127 1.4%
United Technologies Corp. 166,872 17,054,318 0.3%
Universal Forest Products, Inc. 31,800 2,734,482 0.1%
* USA Truck, Inc. 15,105 124,314 0.0%
* Vectrus, Inc. 4,069 68,237 0.0%
#* Veritiv Corp. 9,437 509,126 0.0%
Viad Corp. 23,193 962,509 0.0%
#* Virco Manufacturing Corp. 12,601 53,554 0.0%
VSE Corp. 610 17,592 0.0%
Waste Connections, Inc. 2,800 210,588 0.0%
Watts Water Technologies, Inc. Class A 37,737 2,264,220 0.1%
# Werner Enterprises, Inc. 34,105 820,225 0.0%
#* Wesco Aircraft Holdings, Inc. 6,228 80,030 0.0%
* WESCO International, Inc. 11,687 633,435 0.0%
* Willdan Group, Inc. 1,000 16,060 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
* Willis Lease Finance Corp. 6,713 $ 178,633 0.0%
* XPO Logistics, Inc. 12,216 402,273 0.0%
------------ ----
Total Industrials 658,990,775 11.9%
------------ ----
Information Technology -- (11.4%)
Activision Blizzard, Inc. 982,162 42,399,934 0.8%
* Actua Corp. 1,184 13,794 0.0%
* Acxiom Corp. 7,769 183,038 0.0%
#* Agilysys, Inc. 16,899 163,075 0.0%
* Alpha & Omega Semiconductor, Ltd. 20,661 436,567 0.0%
* ARRIS International P.L.C. 70,523 1,959,129 0.1%
* Arrow Electronics, Inc. 182,170 11,134,230 0.2%
AstroNova, Inc. 6,285 91,447 0.0%
Avnet, Inc. 139,400 5,847,830 0.1%
AVX Corp. 86,630 1,214,553 0.0%
* Aware, Inc. 14,326 74,853 0.0%
* Axcelis Technologies, Inc. 175 2,389 0.0%
* AXT, Inc. 16,521 85,083 0.0%
# Bel Fuse, Inc. Class A 3,874 75,156 0.0%
Bel Fuse, Inc. Class B 11,837 282,312 0.0%
* Benchmark Electronics, Inc. 62,063 1,560,884 0.0%
Black Box Corp. 18,611 214,026 0.0%
#* Blackhawk Network Holdings, Inc. 25,926 893,151 0.0%
#* Blucora, Inc. 57,127 759,789 0.0%
Brocade Communications Systems, Inc. 461,513 4,892,038 0.1%
Brooks Automation, Inc. 50,847 662,536 0.0%
* BSQUARE Corp. 4,065 16,870 0.0%
* CACI International, Inc. Class A 24,830 2,429,615 0.1%
* Calix, Inc. 16,027 100,169 0.0%
#* Ciber, Inc. 34,165 34,848 0.0%
Cisco Systems, Inc. 4,149,274 127,299,726 2.3%
Cohu, Inc. 28,915 323,559 0.0%
* CommerceHub, Inc. Series A 20,226 303,795 0.0%
#* CommerceHub, Inc. Series B 864 14,628 0.0%
* CommerceHub, Inc. Series C 42,180 634,809 0.0%
Communications Systems, Inc. 9,323 40,742 0.0%
Computer Sciences Corp. 136,993 7,459,269 0.2%
Comtech Telecommunications Corp. 15,569 161,918 0.0%
Concurrent Computer Corp. 13,740 84,913 0.0%
# Convergys Corp. 197,364 5,763,029 0.1%
* CoreLogic, Inc. 96,545 4,108,955 0.1%
Corning, Inc. 785,955 17,849,038 0.3%
#* Cray, Inc. 12,866 267,613 0.0%
CSP, Inc. 2,414 25,081 0.0%
# CTS Corp. 66,936 1,218,235 0.0%
* CyberOptics Corp. 3,281 79,236 0.0%
# Cypress Semiconductor Corp. 52,022 518,659 0.0%
* Datalink Corp. 28,408 269,308 0.0%
* Dell Technologies, Inc. Class V 38,133 1,871,949 0.1%
* Digi International, Inc. 25,438 232,758 0.0%
* Diodes, Inc. 4,709 97,523 0.0%
* DSP Group, Inc. 46,713 509,172 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
* EchoStar Corp. Class A 23,551 $ 1,100,774 0.0%
* Edgewater Technology, Inc. 13,603 110,864 0.0%
#* Electro Scientific Industries, Inc. 6,085 31,520 0.0%
#* Electronics for Imaging, Inc. 58,110 2,471,418 0.1%
# Emcore Corp. 744 4,873 0.0%
#* EnerNOC, Inc. 13,197 68,624 0.0%
* Entegris, Inc. 300 4,770 0.0%
* ePlus, Inc. 8,745 800,605 0.0%
#* Exar Corp. 51,341 463,096 0.0%
* Fabrinet 4,055 153,928 0.0%
Fidelity National Information Services, Inc. 151,857 11,225,269 0.2%
* Finisar Corp. 61,526 1,684,582 0.0%
#* First Solar, Inc. 28,266 1,144,490 0.0%
* FormFactor, Inc. 46,295 415,498 0.0%
* Frequency Electronics, Inc. 10,976 99,772 0.0%
#* GSI Technology, Inc. 3,363 17,757 0.0%
Hackett Group, Inc. (The) 39,123 630,663 0.0%
#* Harmonic, Inc. 22,962 117,106 0.0%
Hewlett Packard Enterprise Co. 810,974 18,222,586 0.3%
HP, Inc. 79,891 1,157,621 0.0%
IAC/InterActiveCorp 125,298 8,074,203 0.2%
#* ID Systems, Inc. 9,084 45,602 0.0%
Ingram Micro, Inc. Class A 277,679 10,329,659 0.2%
* Insight Enterprises, Inc. 42,100 1,212,059 0.0%
Intel Corp. 4,407,379 153,685,306 2.8%
#* Internap Corp. 32,386 40,483 0.0%
Intersil Corp. Class A 119,798 2,645,140 0.1%
* IntriCon Corp. 2,835 17,152 0.0%
* Itron, Inc. 33,397 1,800,098 0.0%
IXYS Corp. 3,055 32,383 0.0%
Juniper Networks, Inc. 212,100 5,586,714 0.1%
* Key Tronic Corp. 17,623 136,050 0.0%
* Kimball Electronics, Inc. 23,443 325,858 0.0%
* Kulicke & Soffa Industries, Inc. 71,688 949,149 0.0%
* KVH Industries, Inc. 19,858 157,871 0.0%
Lam Research Corp. 3,066 296,973 0.0%
#* Lattice Semiconductor Corp. 108,469 658,407 0.0%
# Lexmark International, Inc. Class A 35,849 1,422,847 0.0%
* Limelight Networks, Inc. 10,944 19,480 0.0%
ManTech International Corp. Class A 2,048 79,524 0.0%
Marvell Technology Group, Ltd. 166,418 2,168,427 0.1%
* Maxwell Technologies, Inc. 2,521 12,202 0.0%
Mentor Graphics Corp. 35,620 1,029,418 0.0%
Methode Electronics, Inc. 79,272 2,473,286 0.1%
* Micron Technology, Inc. 758,908 13,022,861 0.3%
#* Microsemi Corp. 7,940 334,512 0.0%
MKS Instruments, Inc. 61,200 3,087,540 0.1%
MOCON, Inc. 700 10,815 0.0%
#* ModusLink Global Solutions, Inc. 67,250 91,460 0.0%
NCI, Inc. Class A 686 8,061 0.0%
#* NETGEAR, Inc. 428 21,614 0.0%
#* Novatel Wireless, Inc. 10,953 28,697 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
Optical Cable Corp. 10,793 $ 29,681 0.0%
* PAR Technology Corp. 12,896 71,444 0.0%
Park Electrochemical Corp. 1,642 25,336 0.0%
PC Connection, Inc. 39,267 911,387 0.0%
PC-Tel, Inc. 28,574 145,156 0.0%
* PCM, Inc. 10,471 221,985 0.0%
* Photronics, Inc. 79,712 773,206 0.0%
* Plexus Corp. 10,626 486,777 0.0%
#* Qorvo, Inc. 24,909 1,386,186 0.0%
QUALCOMM, Inc. 1,059,256 72,792,072 1.3%
* Rambus, Inc. 1,069 13,031 0.0%
#* RealNetworks, Inc. 12,525 55,861 0.0%
Reis, Inc. 13,511 265,491 0.0%
RF Industries, Ltd. 2,823 4,940 0.0%
Richardson Electronics, Ltd. 15,464 96,650 0.0%
* Rofin-Sinar Technologies, Inc. 4,978 162,034 0.0%
* Rogers Corp. 7,543 410,565 0.0%
* Rudolph Technologies, Inc. 16,097 291,356 0.0%
* Sanmina Corp. 39,846 1,101,742 0.0%
#* ScanSource, Inc. 14,745 516,075 0.0%
* Seachange International, Inc. 8,687 22,847 0.0%
* ShoreTel, Inc. 3,200 21,280 0.0%
* Sonus Networks, Inc. 6,622 38,341 0.0%
# SS&C Technologies Holdings, Inc. 51,586 1,647,141 0.0%
* StarTek, Inc. 22,913 153,517 0.0%
#* SunPower Corp. 18,322 132,651 0.0%
#* Super Micro Computer, Inc. 5,886 139,498 0.0%
* Sykes Enterprises, Inc. 20,292 542,608 0.0%
SYNNEX Corp. 55,900 5,731,986 0.1%
* Synopsys, Inc. 4,200 249,102 0.0%
# Systemax, Inc. 2,187 17,168 0.0%
TE Connectivity, Ltd. 43,886 2,759,113 0.1%
* Tech Data Corp. 82,952 6,388,963 0.1%
* Telenav, Inc. 9,865 53,764 0.0%
Teradyne, Inc. 26,789 623,916 0.0%
Tessco Technologies, Inc. 8,689 101,227 0.0%
Tessera Technologies, Inc. 48,635 1,804,358 0.0%
* TiVo Corp. 19,000 377,150 0.0%
#* TTM Technologies, Inc. 55,241 726,419 0.0%
#* Veeco Instruments, Inc. 15,978 346,723 0.0%
#* Virtusa Corp. 30,064 569,412 0.0%
# Vishay Intertechnology, Inc. 151,731 2,139,407 0.1%
#* Vishay Precision Group, Inc. 16,480 258,736 0.0%
Western Digital Corp. 215,907 12,617,605 0.2%
* Xcerra Corp. 20,165 111,109 0.0%
Xerox Corp. 889,633 8,691,714 0.2%
* XO Group, Inc. 6,284 115,626 0.0%
* Yahoo!, Inc. 1,048,770 43,576,393 0.8%
------------ ----
Total Information Technology 664,109,647 12.0%
------------ ----
Materials -- (2.0%)
# A Schulman, Inc. 32,960 947,600 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Materials -- (Continued)
# Allegheny Technologies, Inc. 22,777 $ 310,678 0.0%
Ampco-Pittsburgh Corp. 4,007 43,276 0.0%
Ashland Global Holdings, Inc. 112,560 12,576,329 0.2%
# Bemis Co., Inc. 25,154 1,225,503 0.0%
Cabot Corp. 46,280 2,413,039 0.1%
#* Century Aluminum Co. 15,822 115,659 0.0%
* Chemtura Corp. 49,368 1,619,270 0.0%
* Clearwater Paper Corp. 16,822 893,248 0.0%
# Commercial Metals Co. 85,208 1,338,618 0.0%
* Core Molding Technologies, Inc. 11,847 206,375 0.0%
Domtar Corp. 8,107 291,447 0.0%
Dow Chemical Co. (The) 11,060 595,139 0.0%
Friedman Industries, Inc. 13,926 71,162 0.0%
FutureFuel Corp. 6,104 66,900 0.0%
Graphic Packaging Holding Co. 154,000 1,925,000 0.0%
# Greif, Inc. Class A 4,885 228,911 0.0%
Huntsman Corp. 50,242 851,602 0.0%
#* Ingevity Corp. 33,431 1,384,043 0.0%
International Paper Co. 485,829 21,876,880 0.4%
Kaiser Aluminum Corp. 27,181 1,970,351 0.0%
KapStone Paper and Packaging Corp. 80,984 1,469,050 0.0%
* Kraton Corp. 5,435 139,299 0.0%
* Louisiana-Pacific Corp. 173,457 3,182,936 0.1%
Martin Marietta Materials, Inc. 23,633 4,381,085 0.1%
Materion Corp. 18,497 560,459 0.0%
Mercer International, Inc. 21,725 171,627 0.0%
Minerals Technologies, Inc. 34,280 2,303,616 0.1%
# Mosaic Co. (The) 17,274 406,457 0.0%
Myers Industries, Inc. 56,992 686,754 0.0%
# Neenah Paper, Inc. 7,684 613,952 0.0%
Newmont Mining Corp. 93,868 3,476,871 0.1%
* Northern Technologies International Corp. 3,035 42,186 0.0%
Nucor Corp. 83,945 4,100,713 0.1%
# Olin Corp. 69,801 1,530,736 0.0%
Olympic Steel, Inc. 9,986 230,577 0.0%
PH Glatfelter Co. 50,600 1,124,332 0.0%
PolyOne Corp. 5,174 151,236 0.0%
Reliance Steel & Aluminum Co. 93,801 6,451,633 0.1%
#* Resolute Forest Products, Inc. 1,817 8,631 0.0%
# Schnitzer Steel Industries, Inc. Class A 400 9,660 0.0%
Sensient Technologies Corp. 38,101 2,838,905 0.1%
Steel Dynamics, Inc. 94,919 2,606,476 0.1%
#* Stillwater Mining Co. 55,630 740,992 0.0%
SunCoke Energy, Inc. 62,210 635,164 0.0%
# Synalloy Corp. 5,144 52,983 0.0%
Tredegar Corp. 27,973 517,500 0.0%
Tronox, Ltd. Class A 1,600 12,960 0.0%
#* Universal Stainless & Alloy Products, Inc. 6,269 65,824 0.0%
Vulcan Materials Co. 58,246 6,593,447 0.1%
# Westlake Chemical Corp. 158,152 8,190,692 0.2%
WestRock Co. 200,591 9,265,298 0.2%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Materials -- (Continued)
Worthington Industries, Inc. 47,320 $ 2,224,040 0.1%
-------------- ----
Total Materials 115,737,121 2.1%
-------------- ----
Other -- (0.0%)
(degrees)#* Gerber Scientific, Inc. Escrow Shares 47,409 -- 0.0%
(degrees)* Petrocorp, Inc. Escrow Shares 900 -- 0.0%
-------------- ----
Total Other -- 0.0%
-------------- ----
Real Estate -- (0.0%)
# Alexander & Baldwin, Inc. 66,838 2,793,160 0.1%
Griffin Industrial Realty, Inc. 1,500 46,725 0.0%
-------------- ----
Total Real Estate 2,839,885 0.1%
-------------- ----
Telecommunication Services -- (4.0%)
AT&T, Inc. 5,474,287 201,399,019 3.6%
# ATN International, Inc. 84 5,682 0.0%
# CenturyLink, Inc. 512,432 13,620,443 0.2%
# Frontier Communications Corp. 696,949 2,801,735 0.1%
#* General Communication, Inc. Class A 37,073 587,236 0.0%
#* Iridium Communications, Inc. 14,800 120,620 0.0%
(degrees)* Leap Wireless International, Inc. 8,393 -- 0.0%
* Lumos Networks Corp. 500 7,105 0.0%
#* ORBCOMM, Inc. 44,499 397,376 0.0%
# Shenandoah Telecommunications Co. 112,708 2,975,491 0.1%
Spok Holdings, Inc. 12,522 226,022 0.0%
#* Sprint Corp. 422,600 2,603,216 0.1%
#* T-Mobile US, Inc. 113,786 5,658,578 0.1%
Telephone & Data Systems, Inc. 111,207 2,873,589 0.1%
* United States Cellular Corp. 7,591 266,064 0.0%
Verizon Communications, Inc. 43,648 2,099,469 0.0%
#* Vonage Holdings Corp. 85,934 589,507 0.0%
-------------- ----
Total Telecommunication Services 236,231,152 4.3%
-------------- ----
Utilities -- (0.1%)
* Calpine Corp. 62,921 748,760 0.0%
Consolidated Water Co., Ltd. 6,656 74,547 0.0%
NRG Energy, Inc. 241,908 2,571,482 0.1%
# Ormat Technologies, Inc. 20,134 971,063 0.0%
UGI Corp. 27,306 1,263,995 0.0%
-------------- ----
Total Utilities 5,629,847 0.1%
-------------- ----
TOTAL COMMON STOCKS 5,530,544,712 99.9%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
(degrees)#* Safeway Casa Ley Contingent Value Rights 157,807 160,158 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
(degrees)#* Safeway PDC, LLC Contingent Value Rights 157,807 $ 7,701 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 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%
============== =====
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 $ 858,863,116 -- -- $ 858,863,116
Consumer Staples 479,912,142 -- -- 479,912,142
Energy 752,630,787 -- -- 752,630,787
Financials 1,141,179,284 -- -- 1,141,179,284
Health Care 614,420,956 -- -- 614,420,956
Industrials 658,990,775 -- -- 658,990,775
Information Technology 664,109,647 -- -- 664,109,647
Materials 115,737,121 -- -- 115,737,121
Other -- -- -- --
Real Estate 2,839,885 -- -- 2,839,885
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
============== ============ == ==============
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10.SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11.CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Principal Executive Officer and
Principal Financial Officer believe that the disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) are effectively designed to ensure that
information required to be disclosed by the Registrant in the Report
is recorded, processed, summarized and reported by the filing date,
including ensuring that information required to be disclosed in the
Report is accumulated and communicated to the Registrant's officers
that are making certifications in the Report, as appropriate, to allow
timely decisions regarding required disclosure. The Registrant's
management, including the Principal Executive Officer and the
Principal Financial Officer, recognizes that any set of controls and
procedures, no matter how well designed and operated, can provide only
reasonable assurance of achieving the desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second
fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12.EXHIBITS.
(a)(1) Code of Ethics is filed herewith.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
The DFA Investment Trust Company
By: /s/ David G. Booth
-----------------------------------
David G. Booth
Chairman, Trustee, President and
Co-Chief Executive Officer
Date: January 4, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David G. Booth
-----------------------------------
David G. Booth
Principal Executive Officer
The DFA Investment Trust Company
Date: January 4, 2017
By: /s/ Gregory K. Hinkle
-----------------------------------
Gregory K. Hinkle
Principal Financial Officer
The DFA Investment Trust Company
Date: January 4, 2017