================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----------------
FORM N-CSR
-----------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6067
-----------------
DIMENSIONAL INVESTMENT GROUP INC.
(Exact name of registrant as specified in charter)
-----------------
6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices)(Zip code)
-----------------
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Investment Group Inc.,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
-----------------
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 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
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio II
DFA International Value Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................. 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts...................................... 2
Management's Discussion and Analysis.................... 3
Disclosure of Fund Expenses............................. 6
Disclosure of Portfolio Holdings........................ 8
Schedules of Investments
U.S. Large Cap Value Portfolio II................... 9
DFA International Value Portfolio II................ 9
Statements of Assets and Liabilities.................... 10
Statements of Operations................................ 11
Statements of Changes in Net Assets..................... 12
Financial Highlights.................................... 13
Notes to Financial Statements........................... 14
Report of Independent Registered Public Accounting Firm. 20
Section 19(a) Notice.................................... 21
THE DFA INVESTMENT TRUST COMPANY
Performance Charts...................................... 22
Management's Discussion and Analysis.................... 23
Disclosure of Fund Expenses............................. 25
Disclosure of Portfolio Holdings........................ 26
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series..................... 27
The DFA International Value Series.................. 30
Statements of Assets and Liabilities.................... 34
Statements of Operations................................ 35
Statements of Changes in Net Assets..................... 36
Financial Highlights.................................... 37
Notes to Financial Statements........................... 38
Report of Independent Registered Public Accounting Firm. 47
FUND MANAGEMENT............................................ 48
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................ 63
NOTICE TO SHAREHOLDERS..................................... 64
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO II VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Large Cap Value Portfolio II Russell 1000/R/ Value Index
--------------------------------- ----------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,193 10,228
12/31/2006 10,397 10,458
1/31/2007 10,701 10,592
2/28/2007 10,538 10,427
3/31/2007 10,613 10,588
4/30/2007 11,063 10,979
5/31/2007 11,517 11,375
6/30/2007 11,331 11,109
7/31/2007 10,628 10,595
8/31/2007 10,424 10,714
9/30/2007 10,696 11,082
10/31/2007 10,758 11,083
11/30/2007 10,158 10,542
12/31/2007 10,121 10,440
1/31/2008 9,734 10,022
2/29/2008 9,437 9,602
3/31/2008 9,346 9,530
4/30/2008 9,937 9,994
5/31/2008 10,174 9,978
6/30/2008 9,057 9,023
7/31/2008 8,957 8,991
8/31/2008 9,133 9,144
9/30/2008 8,314 8,472
10/31/2008 6,441 7,005
11/30/2008 5,810 6,503
12/31/2008 5,997 6,593
1/31/2009 5,282 5,835
2/28/2009 4,540 5,055
3/31/2009 4,989 5,488
4/30/2009 5,800 6,076
5/31/2009 6,249 6,452
6/30/2009 6,169 6,404
7/31/2009 6,752 6,928
8/31/2009 7,210 7,290
9/30/2009 7,526 7,572
10/31/2009 7,200 7,340
11/30/2009 7,602 7,754
12/31/2009 7,818 7,891
1/31/2010 7,635 7,669
2/28/2010 7,962 7,911
3/31/2010 8,581 8,426
4/30/2010 8,851 8,645
5/31/2010 8,098 7,934
6/30/2010 7,481 7,487
7/31/2010 8,072 7,994
8/31/2010 7,577 7,652
9/30/2010 8,328 8,246
10/31/2010 8,631 8,493
11/30/2010 8,562 8,448
12/31/2010 9,398 9,115
1/31/2011 9,702 9,321
2/28/2011 10,223 9,665
3/31/2011 10,272 9,703
4/30/2011 10,528 9,962
5/31/2011 10,380 9,856
6/30/2011 10,203 9,654
7/31/2011 9,728 9,334
8/31/2011 8,907 8,752
9/30/2011 8,009 8,090
10/31/2011 9,122 9,016
11/30/2011 9,042 8,970
12/31/2011 9,112 9,151
1/31/2012 9,563 9,497
2/29/2012 10,113 9,875
3/31/2012 10,307 10,168
4/30/2012 10,096 10,064
5/31/2012 9,373 9,474
6/30/2012 9,878 9,945
7/31/2012 9,979 10,047
8/31/2012 10,373 10,266
9/30/2012 10,756 10,591
10/31/2012 10,777 10,539
11/30/2012 10,807 10,535
12/31/2012 11,136 10,753
1/31/2013 11,903 11,452
2/28/2013 12,057 11,616
3/31/2013 12,640 12,076
4/30/2013 12,773 12,259
5/31/2013 13,297 12,573
6/30/2013 13,148 12,463
7/31/2013 13,931 13,135
8/31/2013 13,519 12,637
9/30/2013 13,920 12,954
10/31/2013 14,624 13,521
11/30/2013 15,234 13,898
12/31/2013 15,638 14,250
1/31/2014 15,025 13,744
2/28/2014 15,534 14,338
3/31/2014 15,892 14,681
4/30/2014 15,997 14,820
5/31/2014 16,352 15,037
6/30/2014 16,791 15,430
7/31/2014 16,676 15,167
8/31/2014 17,200 15,725
9/30/2014 16,778 15,400
10/31/2014 16,904 15,746
11/30/2014 17,104 16,069
12/31/2014 17,238 16,167
1/31/2015 16,379 15,521
2/28/2015 17,535 16,272
3/31/2015 17,204 16,050
4/30/2015 17,556 16,200
5/31/2015 17,747 16,395
6/30/2015 17,465 16,068
7/31/2015 17,411 16,138
8/31/2015 16,362 15,177
9/30/2015 15,836 14,719
10/31/2015 17,129 15,830
11/30/2015 17,193 15,890
12/31/2015 16,650 15,548
1/31/2016 15,522 14,745
2/28/2016 15,543 14,741
3/31/2016 16,679 15,803
4/30/2016 17,127 16,135
5/31/2016 17,357 16,386
6/30/2016 17,345 16,527
7/31/2016 17,939 17,007
8/31/2016 18,147 17,138
9/30/2016 18,239 17,103
10/31/2016 17,930 16,838
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2016, all rights
4.68% 14.47% 6.01% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO II VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA International MSCI World ex USA Index
Value Portfolio II (net dividends)
-------------------- -------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,333 10,298
12/31/2006 10,733 10,593
1/31/2007 10,937 10,658
2/28/2007 10,927 10,743
3/31/2007 11,277 11,018
4/30/2007 11,847 11,520
5/31/2007 12,251 11,775
6/30/2007 12,166 11,787
7/31/2007 11,825 11,624
8/31/2007 11,693 11,456
9/30/2007 12,303 12,107
10/31/2007 12,900 12,633
11/30/2007 12,119 12,139
12/31/2007 11,857 11,911
1/31/2008 10,894 10,837
2/29/2008 10,757 11,033
3/31/2008 10,883 10,876
4/30/2008 11,368 11,480
5/31/2008 11,373 11,655
6/30/2008 10,250 10,748
7/31/2008 9,959 10,366
8/31/2008 9,543 9,965
9/30/2008 8,425 8,526
10/31/2008 6,310 6,753
11/30/2008 5,924 6,386
12/31/2008 6,378 6,723
1/31/2009 5,486 6,096
2/28/2009 4,810 5,479
3/31/2009 5,336 5,840
4/30/2009 6,325 6,593
5/31/2009 7,260 7,427
6/30/2009 7,154 7,350
7/31/2009 8,007 8,040
8/31/2009 8,462 8,425
9/30/2009 8,900 8,773
10/31/2009 8,541 8,632
11/30/2009 8,789 8,845
12/31/2009 8,899 8,986
1/31/2010 8,381 8,565
2/28/2010 8,409 8,557
3/31/2010 9,077 9,107
4/30/2010 8,923 8,972
5/31/2010 7,871 7,982
6/30/2010 7,728 7,866
7/31/2010 8,697 8,593
8/31/2010 8,270 8,336
9/30/2010 9,167 9,136
10/31/2010 9,483 9,462
11/30/2010 9,010 9,061
12/31/2010 9,845 9,790
1/31/2011 10,273 10,001
2/28/2011 10,608 10,372
3/31/2011 10,319 10,164
4/30/2011 10,871 10,718
5/31/2011 10,473 10,400
6/30/2011 10,330 10,252
7/31/2011 10,002 10,083
8/31/2011 8,927 9,231
9/30/2011 7,958 8,304
10/31/2011 8,712 9,111
11/30/2011 8,429 8,690
12/31/2011 8,194 8,595
1/31/2012 8,748 9,059
2/29/2012 9,202 9,557
3/31/2012 9,136 9,487
4/30/2012 8,817 9,326
5/31/2012 7,723 8,262
6/30/2012 8,261 8,804
7/31/2012 8,227 8,913
8/31/2012 8,570 9,168
9/30/2012 8,876 9,446
10/31/2012 8,997 9,512
11/30/2012 9,135 9,712
12/31/2012 9,570 10,006
1/31/2013 10,020 10,498
2/28/2013 9,720 10,393
3/31/2013 9,756 10,476
4/30/2013 10,244 10,953
5/31/2013 10,113 10,708
6/30/2013 9,759 10,307
7/31/2013 10,429 10,855
8/31/2013 10,353 10,715
9/30/2013 11,132 11,472
10/31/2013 11,516 11,857
11/30/2013 11,555 11,930
12/31/2013 11,805 12,110
1/31/2014 11,379 11,621
2/28/2014 12,028 12,255
3/31/2014 11,936 12,200
4/30/2014 12,142 12,392
5/31/2014 12,286 12,584
6/30/2014 12,429 12,763
7/31/2014 12,156 12,536
8/31/2014 12,156 12,546
9/30/2014 11,627 12,030
10/31/2014 11,416 11,839
11/30/2014 11,437 11,985
12/31/2014 11,006 11,586
1/31/2015 10,941 11,545
2/28/2015 11,723 12,235
3/31/2015 11,462 12,030
4/30/2015 12,092 12,551
5/31/2015 12,092 12,442
6/30/2015 11,754 12,089
7/31/2015 11,643 12,280
8/31/2015 10,782 11,386
9/30/2015 10,039 10,811
10/31/2015 10,816 11,624
11/30/2015 10,660 11,439
12/31/2015 10,333 11,234
1/31/2016 9,524 10,461
2/28/2016 9,224 10,315
3/31/2016 9,916 11,015
4/30/2016 10,403 11,369
5/31/2016 10,194 11,241
6/30/2016 9,822 10,899
7/31/2016 10,271 11,435
8/31/2016 10,532 11,446
9/30/2016 10,649 11,585
10/31/2016 10,840 11,360
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2016, all
0.22% 4.47% 0.81% rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large-cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index /SM/........ 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks). -0.49%
Russell 1000(R) Value Index (large-cap value stocks)... 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks). 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities directly.
U.S. LARGE CAP VALUE PORTFOLIO II
The U.S. Large Cap Value Portfolio II is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. Value
is measured primarily by book-to-market ratio. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2016, the
Master Fund held approximately 300 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.68% for the
Portfolio and 6.37% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than the behavior of a limited number of stocks. The Master Fund
had a larger allocation than the benchmark to lower relative price stocks,
which detracted from the Portfolio's performance relative to the benchmark as
the lowest relative price quartile underperformed. The Master Fund's exclusion
of real estate investment trusts (REITs) and utilities detracted from relative
performance as REITs and utilities outperformed most other sectors during the
period.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
3
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index........... -2.27%
MSCI World ex USA Small Cap Index. 3.96%
MSCI World ex USA Value Index..... -2.07%
MSCI World ex USA Growth Index.... -2.58%
During the period, the Performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 p.m. London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
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 II
The DFA International Value Portfolio II is designed to capture the returns
of developed ex U.S. large-cap value stocks by purchasing shares of The DFA
International Value Series, a Master Fund managed 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 0.22% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Master Fund invests primarily in value
4
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.
5
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP VALUE PORTFOLIO II**
-----------------------------------
Actual Fund Return.................. $1,000.00 $1,046.90 0.15% $0.77
Hypothetical 5% Annual Return....... $1,000.00 $1,024.38 0.15% $0.76
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO II**
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,041.90 0.26% $1.33
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.
**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).
7
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 2016. They are available upon request, without charge,
by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
U.S. Large Cap Value Portfolio II.... 100.0%
DFA International Value Portfolio II. 100.0%
8
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
U.S. LARGE CAP VALUE PORTFOLIO II
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $151,312,956
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$92,924,658)........................................... $151,312,956
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $92,924,658)......... $151,312,956
============
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).
DFA INTERNATIONAL VALUE PORTFOLIO II
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $12,089,249
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$13,341,433)........................................... $12,089,249
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $13,341,433)......... $12,089,249
===========
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.
9
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
CAP VALUE VALUE
PORTFOLIO II PORTFOLIO II
------------ -------------
ASSETS:
Investments in Affiliated Investment Company at Value.................................. $ 151,313 $ 12,089
Receivables:
Prepaid Expenses and Other Assets...................................................... 8 8
------------ ------------
Total Assets...................................................................... 151,321 12,097
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 141 27
Due to Advisor....................................................................... 1 1
Accrued Expenses and Other Liabilities................................................. 8 8
------------ ------------
Total Liabilities................................................................. 150 36
------------ ------------
NET ASSETS............................................................................. $ 151,171 $ 12,061
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 9,309,216 2,647,251
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 16.24 $ 4.56
============ ============
Investments in Affiliated Investment Company at Cost................................... $ 92,925 $ 13,341
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 87,602 $ 15,650
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 330 531
Accumulated Net Realized Gain (Loss)................................................... 4,851 (2,859)
Net Unrealized Foreign Exchange Gain (Loss)............................................ -- (9)
Net Unrealized Appreciation (Depreciation)............................................. 58,388 (1,252)
------------ ------------
NET ASSETS............................................................................. $ 151,171 $ 12,061
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
DFA
U.S. LARGE INTERNATIONAL
CAP VALUE VALUE
PORTFOLIO II* PORTFOLIO II*
------------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0 and $308, respectively).................. $ 3,756 $ 3,851
Interest................................................................................ 5 --
Income from Securities Lending.......................................................... 27 110
Expenses Allocated from Affiliated Investment Company................................... (168) (221)
------- -------
Total Investment Income................................................................ 3,620 3,740
------- -------
FUND EXPENSES
Investment Management Fees................................................................ 165 212
Accounting & Transfer Agent Fees.......................................................... 4 4
Filing Fees............................................................................... 19 18
Shareholders' Reports..................................................................... 12 9
Directors'/Trustees' Fees & Expenses...................................................... 1 1
Legal Fees................................................................................ 3 2
Other..................................................................................... 1 2
------- -------
Total Expenses......................................................................... 205 248
------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. (150) (202)
------- -------
Net Expenses.............................................................................. 55 46
------- -------
NET INVESTMENT INCOME (LOSS).............................................................. 3,565 3,694
------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................ 6,535 (2,900)
Futures................................................................................. 163 83
Foreign Currency Transactions........................................................... -- 67
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................................. (3,496) (1,334)
Futures................................................................................. (27) (25)
Translation of Foreign Currency Denominated Amounts..................................... -- (9)
------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... 3,175 (4,118)
------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $ 6,740 $ (424)
======= =======
----------
* 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.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP VALUE DFA INTERNATIONAL
PORTFOLIO II VALUE PORTFOLIO II
------------------ -------------------
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).......................................... $ 3,565 $ 3,637 $ 3,694 $ 3,643
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 6,535 9,678 (2,900) 3,180
Futures............................................................. 163 (1) 83 --
Foreign Currency Transactions....................................... -- -- 67 (68)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... (3,496) (11,117) (1,334) (13,834)
Futures............................................................. (27) -- (25) --
Translation of Foreign Currency Denominated Amounts................. -- -- (9) 8
-------- -------- --------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 6,740 2,197 (424) (7,071)
-------- -------- --------- --------
Distributions From:
Net Investment Income................................................. (3,716) (3,593) (3,722) (3,526)
Net Short-Term Gains.................................................. -- -- -- (46)
Net Long-Term Gains................................................... -- -- (3,128) (2,119)
-------- -------- --------- --------
Total Distributions................................................ (3,716) (3,593) (6,850) (5,691)
-------- -------- --------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 12,608 11,987 10,487 23,230
Shares Issued in Lieu of Cash Distributions........................... 3,716 3,593 6,850 5,691
Shares Redeemed....................................................... (25,914) (30,550) (108,370) (15,850)
-------- -------- --------- --------
Net Increase (Decrease) from Capital Share Transactions............ (9,590) (14,970) (91,033) 13,071
-------- -------- --------- --------
Total Increase (Decrease) in Net Assets............................ (6,566) (16,366) (98,307) 309
NET ASSETS
Beginning of Year..................................................... 157,737 174,103 110,368 110,059
-------- -------- --------- --------
End of Year........................................................... $151,171 $157,737 $ 12,061 $110,368
======== ======== ========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 816 747 2,421 4,348
Shares Issued in Lieu of Cash Distributions........................... 238 229 1,578 1,117
Shares Redeemed....................................................... (1,669) (1,906) (24,035) (3,071)
-------- -------- --------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ (615) (930) (20,036) 2,394
======== ======== ========= ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 330 $ 503 $ 531 $ 484
----------
* Net of foreign capital gain taxes withheld $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO II
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 15.90 $ 16.04 $ 14.13 $ 10.62 $ 9.18
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.37 0.35 0.28 0.24 0.21
Net Gains (Losses) on Securities (Realized and Unrealized)................ 0.36 (0.15) 1.91 3.51 1.43
-------- -------- -------- -------- --------
Total from Investment Operations......................................... 0.73 0.20 2.19 3.75 1.64
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.39) (0.34) (0.28) (0.24) (0.20)
Net Realized Gains........................................................ -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions...................................................... (0.39) (0.34) (0.28) (0.24) (0.20)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 16.24 $ 15.90 $ 16.04 $ 14.13 $ 10.62
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 4.68% 1.33% 15.59% 35.70% 18.14%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $151,171 $157,737 $174,103 $155,709 $115,791
Ratio of Expenses to Average Net Assets (B)................................. 0.15% 0.15% 0.16% 0.17% 0.17%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.25% 0.18% 0.16% 0.17% 0.17%
Ratio of Net Investment Income to Average Net Assets (B).................... 2.37% 2.16% 1.86% 1.93% 2.10%
-------------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO II
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 4.87 $ 5.42 $ 5.99 $ 5.21 $ 5.55
------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.16 0.17 0.26 0.17 0.19
Net Gains (Losses) on Securities (Realized and Unrealized)................ (0.17) (0.45) (0.30) 1.17 (0.06)
------- -------- -------- -------- -------
Total from Investment Operations......................................... (0.01) (0.28) (0.04) 1.34 0.13
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.16) (0.16) (0.26) (0.18) (0.19)
Net Realized Gains........................................................ (0.14) (0.11) (0.27) (0.38) (0.28)
------- -------- -------- -------- -------
Total Distributions...................................................... (0.30) (0.27) (0.53) (0.56) (0.47)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 4.56 $ 4.87 $ 5.42 $ 5.99 $ 5.21
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 0.22% (5.26)% (0.87)% 28.01% 3.27%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $12,061 $110,368 $110,059 $113,231 $94,269
Ratio of Expenses to Average Net Assets (B)................................. 0.27% 0.27% 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) (B)....... 0.47% 0.32% 0.28% 0.29% 0.30%
Ratio of Net Investment Income to Average Net Assets (B).................... 3.66% 3.26% 4.47% 3.08% 3.69%
------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, two of
which, U.S. Large Cap Value Portfolio II and DFA International Value Portfolio
II (the "Portfolios"), are presented in this report. The remaining portfolios
are presented in separate reports. 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."
U.S. Large Cap Value Portfolio II and DFA International Value Portfolio II
primarily invest their assets in The U.S. Large Cap Value Series and The DFA
International Value Series (the "Series"), respectively, each a corresponding
series of The DFA Investment Trust Company. At October 31, 2016, U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II each owned 1% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 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
14
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 Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
is treated as a partnership for federal income tax purposes. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
During the year ended October 31, 2016, the U.S. Large Cap Value Portfolio
II's and DFA International Value Portfolio II's investment management fees were
accrued daily and paid monthly to the Advisor based on effective annual rates
of 0.11% and 0.21%, respectively, of each Portfolio's average daily net assets.
Effective July 21, 2015, 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 rates listed below as a percentage of the average net assets of a class
of a Portfolio on an annualized basis. The Fee Waiver Agreement will remain in
effect permanently, unless terminated by the Fund.
EXPENSE
INSTITUTIONAL CLASS SHARES LIMITATION AMOUNT
-------------------------- -----------------
U.S. Large Cap Value Portfolio II.... 0.11%
DFA International Value Portfolio II. 0.21%
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $31 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
15
D. DEFERRED COMPENSATION:
At October 31, 2016, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
U.S. Large Cap Value Portfolio II.... $6
DFA International Value Portfolio II. 6
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2016, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
U.S. Large Cap Value Portfolio II.... -- $(22) $ 22
DFA International Value Portfolio II. -- 75 (75)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
U.S. Large Cap Value Portfolio II
2015................................. $3,593 -- -- $3,593
2016................................. 3,716 -- -- 3,716
DFA International Value Portfolio II
2015................................. 3,572 $2,119 -- 5,691
2016................................. 3,723 3,127 -- 6,850
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
U.S. Large Cap Value Portfolio II..... $338 $4,824 -- $58,416 $63,578
DFA International Value Portfolio II*. 641 -- $(2,617) (1,606) (3,582)
* The use of capital losses may be restricted by Section 382 or tax rules in
the internal revenue code.
16
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2016, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through the indicated expiration dates (amounts
in thousands):
UNLIMITED TOTAL
--------- -----
U.S. Large Cap Value Portfolio II.... -- --
DFA International Value Portfolio II. 2,617 2,617
During the year ended October 31, 2016, the Portfolio utilized the following
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands):
U.S. Large Cap Value Portfolio II.... $1,864
DFA International Value Portfolio II. --
At October 31, 2016, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
U.S. Large Cap Value Portfolio II.... $92,937 $58,376 -- $58,376
DFA International Value Portfolio II. 13,687 -- $(1,598) (1,598)
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolio's
tax position and has concluded that no additional provision for income tax is
required in the Portfolio's financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolio's federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
F. LINE OF CREDIT
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 29, 2017.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under
17
the line of credit. Borrowings under the line of credit are charged interest at
rates agreed upon by the parties at the time of borrowing. There is no
commitment fee on the unused portion of the line of credit. The line of credit
agreement expires on January 7, 2017.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 2016.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
At October 31, 2016, both Portfolios each had two shareholders that held
100% of their outstanding shares. One or more of the shareholders may be
omnibus accounts, which typically hold shares for the benefit of several other
underlying investors.
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee on behalf of the committee of unsecured creditors
of Tribune (the "Committee Action," and with the Individual Creditor Actions,
collectively referred to as the "Lawsuits"). The Lawsuits seek to unwind the
LBO stock repurchases as fraudulent transfers and recover the stock repurchase
proceeds paid to the Tribune shareholders who participated in the LBO. On
September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs lack standing to pursue their claims. The parties appealed the
Court's dismissal order to the Second Circuit, and, on March 29, 2016, the
Second Circuit affirmed the dismissal, albeit on the grounds that the
individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's
safe harbor for securities transactions. The individual creditor plaintiffs
have petitioned the Second Circuit for rehearing of the appeal, and that
petition is pending. The Committee Action remains pending, and a motion to
dismiss on behalf of all shareholder defendants in the Committee Action was
filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties
await the scheduling of oral argument on the motion. The Committee Action is
stayed pending the disposition of the motion to dismiss.
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.
18
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as
incurred and in a manner similar to any other expense incurred by The U.S.
Large Cap Value Series.
I. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios 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.
19
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II (constituting
portfolios within Dimensional Investment Group Inc., hereafter referred to as
the "Portfolios") 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 transfer agent of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
20
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, on December 16, 2015, and June 29,
2016, the U.S. Large Cap Value Portfolio II and DFA International Value
Portfolio II paid distributions to shareholders of record as of December 15,
2015, and June 7, 2016, respectively, that included amounts from net investment
income and return of capital. Please note that this information is being
provided to satisfy certain notice requirements under the Investment Company
Act of 1940 and is not being provided for tax reporting purposes. Each
Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial
intermediary should provide (or has provided) shareholders with similar
information) for the relevant calendar year informing shareholders how to
report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
U.S. Large Cap Value Portfolio II
December 16, 2015................. 91% 0% 0% 9%
DFA International Value Portfolio II
December 16, 2015................. 77% 0% 0% 23%
June 29, 2016..................... 96% 0% 0% 4%
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.
21
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The U.S. Large Cap Value Series Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,190 10,228
12/31/2006 10,395 10,458
1/31/2007 10,698 10,592
2/28/2007 10,537 10,427
3/31/2007 10,610 10,588
4/30/2007 11,062 10,979
5/31/2007 11,518 11,375
6/30/2007 11,332 11,109
7/31/2007 10,630 10,595
8/31/2007 10,427 10,714
9/30/2007 10,699 11,082
10/31/2007 10,759 11,083
11/30/2007 10,158 10,542
12/31/2007 10,124 10,440
1/31/2008 9,737 10,022
2/29/2008 9,439 9,602
3/31/2008 9,351 9,530
4/30/2008 9,940 9,994
5/31/2008 10,179 9,978
6/30/2008 9,063 9,023
7/31/2008 8,964 8,991
8/31/2008 9,138 9,144
9/30/2008 8,317 8,472
10/31/2008 6,447 7,005
11/30/2008 5,815 6,503
12/31/2008 6,004 6,593
1/31/2009 5,291 5,835
2/28/2009 4,550 5,055
3/31/2009 4,999 5,488
4/30/2009 5,808 6,076
5/31/2009 6,253 6,452
6/30/2009 6,176 6,404
7/31/2009 6,765 6,928
8/31/2009 7,224 7,290
9/30/2009 7,540 7,572
10/31/2009 7,215 7,340
11/30/2009 7,621 7,754
12/31/2009 7,832 7,891
1/31/2010 7,650 7,669
2/28/2010 7,980 7,911
3/31/2010 8,602 8,426
4/30/2010 8,875 8,645
5/31/2010 8,114 7,934
6/30/2010 7,502 7,487
7/31/2010 8,090 7,994
8/31/2010 7,602 7,652
9/30/2010 8,344 8,246
10/31/2010 8,655 8,493
11/30/2010 8,588 8,448
12/31/2010 9,425 9,115
1/31/2011 9,726 9,321
2/28/2011 10,253 9,665
3/31/2011 10,300 9,703
4/30/2011 10,563 9,962
5/31/2011 10,410 9,856
6/30/2011 10,229 9,654
7/31/2011 9,760 9,334
8/31/2011 8,937 8,752
9/30/2011 8,033 8,090
10/31/2011 9,147 9,016
11/30/2011 9,071 8,970
12/31/2011 9,143 9,151
1/31/2012 9,597 9,497
2/29/2012 10,152 9,875
3/31/2012 10,339 10,168
4/30/2012 10,128 10,064
5/31/2012 9,410 9,474
6/30/2012 9,918 9,945
7/31/2012 10,013 10,047
8/31/2012 10,410 10,266
9/30/2012 10,793 10,591
10/31/2012 10,822 10,539
11/30/2012 10,846 10,535
12/31/2012 11,176 10,753
1/31/2013 11,956 11,452
2/28/2013 12,109 11,616
3/31/2013 12,688 12,076
4/30/2013 12,822 12,259
5/31/2013 13,348 12,573
6/30/2013 13,200 12,463
7/31/2013 13,989 13,135
8/31/2013 13,578 12,637
9/30/2013 13,975 12,954
10/31/2013 14,683 13,521
11/30/2013 15,300 13,898
12/31/2013 15,706 14,250
1/31/2014 15,085 13,744
2/28/2014 15,596 14,338
3/31/2014 15,965 14,681
4/30/2014 16,070 14,820
5/31/2014 16,424 15,037
6/30/2014 16,869 15,430
7/31/2014 16,749 15,167
8/31/2014 17,280 15,725
9/30/2014 16,855 15,400
10/31/2014 16,984 15,746
11/30/2014 17,185 16,069
12/31/2014 17,314 16,167
1/31/2015 16,458 15,521
2/28/2015 17,620 16,272
3/31/2015 17,285 16,050
4/30/2015 17,635 16,200
5/31/2015 17,831 16,395
6/30/2015 17,544 16,068
7/31/2015 17,501 16,138
8/31/2015 16,438 15,177
9/30/2015 15,912 14,719
10/31/2015 17,209 15,830
11/30/2015 17,276 15,890
12/31/2015 16,735 15,548
1/31/2016 15,596 14,745
2/28/2016 15,625 14,741
3/31/2016 16,764 15,803
4/30/2016 17,218 16,135
5/31/2016 17,453 16,386
6/30/2016 17,434 16,527
7/31/2016 18,036 17,007
8/31/2016 18,252 17,138
9/30/2016 18,338 17,103
10/31/2016 18,027 16,838
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2016, all rights
4.75% 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.
--------------------------------------------------------------------------------
22
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index /SM/........ 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks). -0.49%
Russell 1000(R) Value Index (large cap value stocks)... 6.37%
Russell 1000(R) Growth Index (large cap growth stocks). 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW
THE U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large cap value stocks. Value is measured primarily by book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2016, the Series held approximately 300 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.75% for the
Series and 6.37% for the Russell 1000(R) Value Index. 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 Index to lower
relative price stocks, which detracted from the Series' relative performance 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.
23
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 U.S. dollar was mixed against other developed markets
currencies. In particular, while the U.S. dollar appreciated significantly
against the British pound, it depreciated significantly against the Japanese
yen. Overall, currency fluctuations detracted from USD-denominated returns in
developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 pm London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series is designed to capture the returns of
developed ex U.S. large 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). 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 Index is neutral with regard to value or growth stocks.
The Series' emphasis on deep value stocks contributed positively to relative
performance, 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.
24
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return................. $1,000.00 $1,047.00 0.11% $0.57
Hypothetical 5% Annual Return...... $1,000.00 $1,024.58 0.11% $0.56
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $1,038.70 0.22% $1.13
Hypothetical 5% Annual Return...... $1,000.00 $1,024.03 0.22% $1.12
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
25
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%
26
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%
-------------- -----
27
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%
=============== ======
28
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.
29
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%
------------ ----
30
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (0.3%)
Other Securities...................... $ 27,555,506 0.3%
-------------- -----
ISRAEL -- (0.4%)
Other Securities...................... 37,197,840 0.4%
-------------- -----
ITALY -- (0.9%)
Other Securities...................... 89,098,627 0.9%
-------------- -----
JAPAN -- (22.1%)
Hitachi, Ltd.......................... 10,841,000 57,792,205 0.6%
Honda Motor Co., Ltd.................. 3,689,000 110,380,798 1.1%
Mitsubishi UFJ Financial Group, Inc... 13,919,406 71,821,469 0.7%
Mizuho Financial Group, Inc........... 49,478,100 83,308,851 0.9%
Nissan Motor Co., Ltd................. 6,443,700 65,548,427 0.7%
Sumitomo Mitsui Financial Group, Inc.. 2,854,200 98,959,858 1.0%
Other Securities...................... 1,732,718,474 17.8%
-------------- -----
TOTAL JAPAN............................... 2,220,530,082 22.8%
-------------- -----
NETHERLANDS -- (3.2%)
ING Groep NV.......................... 6,261,830 82,199,110 0.8%
Koninklijke DSM NV.................... 739,169 47,509,724 0.5%
Koninklijke Philips NV................ 1,794,168 54,062,166 0.6%
Other Securities...................... 133,730,760 1.4%
-------------- -----
TOTAL NETHERLANDS......................... 317,501,760 3.3%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities...................... 12,145,818 0.1%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 77,275,822 0.8%
-------------- -----
PORTUGAL -- (0.0%)
Other Securities...................... 4,088,097 0.0%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities...................... 99,362,354 1.0%
-------------- -----
SPAIN -- (2.8%)
Banco Santander SA.................... 38,416,551 188,242,084 1.9%
Other Securities...................... 91,349,479 1.0%
-------------- -----
TOTAL SPAIN............................... 279,591,563 2.9%
-------------- -----
SWEDEN -- (2.2%)
Nordea Bank AB........................ 4,880,877 51,293,747 0.5%
Other Securities...................... 170,725,504 1.8%
-------------- -----
TOTAL SWEDEN.............................. 222,019,251 2.3%
-------------- -----
SWITZERLAND -- (7.6%)
ABB, Ltd.............................. 4,800,878 99,044,119 1.0%
Cie Financiere Richemont SA........... 1,271,917 81,771,387 0.8%
Novartis AG........................... 1,332,371 94,555,149 1.0%
Swiss Re AG........................... 1,037,390 96,281,939 1.0%
UBS Group AG.......................... 3,448,485 48,753,503 0.5%
Zurich Insurance Group AG............. 326,468 85,455,128 0.9%
Other Securities...................... 255,861,140 2.6%
-------------- -----
TOTAL SWITZERLAND......................... 761,722,365 7.8%
-------------- -----
31
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (17.7%)
* Anglo American P.L.C............................ 3,284,169 $ 45,581,653 0.5%
Barclays P.L.C. Sponsored ADR................... 4,766,662 43,948,624 0.5%
BP P.L.C. Sponsored ADR......................... 10,710,966 380,774,841 3.9%
* Glencore P.L.C.................................. 33,377,354 102,171,610 1.1%
HSBC Holdings P.L.C............................. 21,477,669 161,751,262 1.7%
# HSBC Holdings P.L.C. Sponsored ADR.............. 3,019,816 113,635,676 1.2%
Royal Dutch Shell P.L.C. Class A................ 2,199,265 54,777,180 0.6%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 3,177,301 158,261,344 1.6%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 3,794,361 198,483,024 2.0%
Vodafone Group P.L.C............................ 58,351,986 160,253,496 1.6%
# Vodafone Group P.L.C. Sponsored ADR............. 4,011,201 111,671,843 1.1%
Other Securities................................ 242,436,613 2.4%
--------------- ------
TOTAL UNITED KINGDOM.................................. 1,773,747,166 18.2%
--------------- ------
UNITED STATES -- (0.0%)
Other Securities................................ 812,282 0.0%
--------------- ------
TOTAL COMMON STOCKS................................... 9,571,294,827 98.4%
--------------- ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG................................... 535,010 73,764,785 0.8%
Other Securities................................ 18,272,581 0.1%
--------------- ------
TOTAL GERMANY......................................... 92,037,366 0.9%
--------------- ------
TOTAL PREFERRED STOCKS................................ 92,037,366 0.9%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities................................ 2,150,761 0.0%
--------------- ------
SWEDEN -- (0.0%)
Other Securities................................ 251,828 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................................. 2,402,589 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES........................... 9,665,734,782
---------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund.................. 31,982,623 370,102,917 3.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,045,898,931)............................... $10,035,837,699 103.1%
=============== ======
32
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2016, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- ---------------
Common Stocks
Australia................... $ 63,077,009 $ 572,005,173 -- $ 635,082,182
Austria..................... -- 7,798,226 -- 7,798,226
Belgium..................... -- 121,053,616 -- 121,053,616
Canada...................... 764,728,758 -- -- 764,728,758
Denmark..................... -- 175,349,382 -- 175,349,382
Finland..................... 2,470,632 72,755,342 -- 75,225,974
France...................... 260,795 890,242,846 -- 890,503,641
Germany..................... 67,367,734 642,107,155 -- 709,474,889
Hong Kong................... -- 269,429,626 -- 269,429,626
Ireland..................... 9,750,918 17,804,588 -- 27,555,506
Israel...................... -- 37,197,840 -- 37,197,840
Italy....................... 17,693,989 71,404,638 -- 89,098,627
Japan....................... 32,899,160 2,187,630,922 -- 2,220,530,082
Netherlands................. 41,922,122 275,579,638 -- 317,501,760
New Zealand................. -- 12,145,818 -- 12,145,818
Norway...................... 10,177,330 67,098,492 -- 77,275,822
Portugal.................... -- 4,088,097 -- 4,088,097
Singapore................... -- 99,362,354 -- 99,362,354
Spain....................... 3,796,801 275,794,762 -- 279,591,563
Sweden...................... 4,064,405 217,954,846 -- 222,019,251
Switzerland................. 27,724,389 733,997,976 -- 761,722,365
United Kingdom.............. 1,033,348,012 740,399,154 -- 1,773,747,166
United States............... -- 812,282 -- 812,282
Preferred Stocks
Germany..................... -- 92,037,366 -- 92,037,366
Rights/Warrants
Spain....................... -- 2,150,761 -- 2,150,761
Sweden...................... -- 251,828 -- 251,828
Securities Lending Collateral. -- 370,102,917 -- 370,102,917
Futures Contracts**........... (851,802) -- -- (851,802)
-------------- -------------- -- ---------------
TOTAL......................... $2,078,430,252 $7,956,555,645 -- $10,034,985,897
============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
33
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE THE DFA
CAP VALUE INTERNATIONAL
SERIES* VALUE SERIES*
-------------- -------------
ASSETS:
Investments at Value (including $1,407,685 and $362,128 of securities on loan, respectively)...... $20,729,659 $ 9,665,735
Temporary Cash Investments at Value & Cost........................................................ 200,994 --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $820,520 and
$370,043)........................................................................................ 820,651 370,103
Segregated Cash for Futures Contracts............................................................. 6,012 1,176
Foreign Currencies at Value....................................................................... -- 9,101
Cash.............................................................................................. -- 17,431
Receivables:
Investment Securities Sold...................................................................... 56,993 --
Dividends, Interest and Tax Reclaims............................................................ 22,805 38,076
Securities Lending Income....................................................................... 228 158
Futures Margin Variation........................................................................ -- 13
----------- -----------
Total Assets................................................................................. 21,837,342 10,101,793
----------- -----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................................ 820,496 370,018
Investment Securities Purchased................................................................. 97,218 --
Due to Advisor.................................................................................. 1,787 1,649
Futures Margin Variation........................................................................ 247 --
Accrued Expenses and Other Liabilities............................................................ 1,026 586
----------- -----------
Total Liabilities............................................................................ 920,774 372,253
----------- -----------
NET ASSETS........................................................................................ $20,916,568 $ 9,729,540
=========== ===========
Investments at Cost............................................................................... $15,139,595 $ 9,675,856
=========== ===========
Foreign Currencies at Cost........................................................................ $ -- $ 9,131
=========== ===========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
34
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP INTERNATIONAL
VALUE SERIES VALUE SERIES
------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $20 and $27,690, respectively). $481,935 $ 341,886
Interest................................................................... 712 --
Income from Securities Lending............................................. 3,444 9,676
-------- ---------
Total Investment Income................................................. 486,091 351,562
-------- ---------
EXPENSES
Investment Management Fees................................................. 19,402 17,844
Accounting & Transfer Agent Fees........................................... 954 449
Custodian Fees............................................................. 190 771
Shareholders' Reports...................................................... 81 38
Directors'/Trustees' Fees & Expenses....................................... 134 62
Professional Fees.......................................................... 361 265
Other...................................................................... 531 339
-------- ---------
Total Expenses.......................................................... 21,653 19,768
-------- ---------
Fees Paid Indirectly (Note C).............................................. -- (212)
-------- ---------
Net Expenses............................................................... 21,653 19,556
-------- ---------
NET INVESTMENT INCOME (LOSS)............................................... 464,438 332,006
-------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold*.............................................. 567,193 (261,808)
Futures.................................................................. 21,037 5,988
Foreign Currency Transactions............................................ -- 5,590
Forward Currency Contracts............................................... -- 8
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................... (57,128) (32,753)
Futures.................................................................. (3,872) (852)
Translation of Foreign Currency Denominated Amounts...................... -- (908)
-------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS).................................... 527,230 (284,735)
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............. $991,668 $ 47,271
======== =========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
35
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL
SERIES VALUE SERIES
------------------------ -----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015
----------- ----------- ---------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................ $ 464,438 $ 413,724 $ 332,006 $ 313,826
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 567,193 858,150 (261,808) 244,684
Futures................................................... 21,037 (43) 5,988 --
Foreign Currency Transactions............................. -- -- 5,590 (5,879)
Forward Currency Contracts................................ -- -- 8 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (57,128) (1,018,426) (32,753) (1,034,230)
Futures................................................... (3,872) -- (852) --
Translation of Foreign Currency Denominated Amounts....... -- -- (908) 654
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 991,668 253,405 47,271 (480,945)
----------- ----------- ---------- -----------
Transactions in Interest:
Contributions............................................... 1,812,211 1,769,181 1,394,282 1,070,207
Withdrawals................................................. (981,368) (1,305,211) (939,918) (705,023)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Transactions in Interest.... 830,843 463,970 454,364 365,184
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets.................. 1,822,511 717,375 501,635 (115,761)
NET ASSETS
Beginning of Year........................................... 19,094,057 18,376,682 9,227,905 9,343,666
----------- ----------- ---------- -----------
End of Year................................................. $20,916,568 $19,094,057 $9,729,540 $ 9,227,905
=========== =========== ========== ===========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
36
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.
37
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, two of which, The U.S. Large
Cap Value Series and The DFA International Value Series (the "Series"), are
presented in this report. The remaining portfolios are presented in separate
reports. The Series are investment companies and, accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the 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.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 2:00 a.m. ET), which is fourteen hours before the close of
38
the NYSE (normally, 4:00 p.m. ET) and the time that the net asset value of the
International Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the time the
International Series prices its shares at the close of the NYSE, the
International Series will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). When the
International Series uses fair value pricing, the values assigned to
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
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.
For the year ended October 31, 2016, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign 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 Series and the U.S. dollar equivalent amounts actually received
or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such 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.
39
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 the Series are
allocated using methods approved by the Board of Trustees, generally based on
average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series. For the year ended October 31, 2016, the investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.10% and 0.20% of average daily net assets for The
U.S. Large Cap Value Series and The DFA International Value Series,
respectively.
EARNED INCOME CREDIT:
In addition, the Series 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
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.
40
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
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, the Series made the following purchases
and sales of investment securities, other than short-term securities and U.S.
government securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series.... $4,375,099 $2,884,283
The DFA International Value Series. 2,247,033 1,472,195
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 2016, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL 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 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.
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.
41
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The International Series may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge the International Series' currency exposure with
respect to a foreign market will be based primarily on the Series' existing
exposure to a given foreign currency. Each contract is valued daily and the
change in value is recorded by the Series as an unrealized gain or loss, which
is presented in the 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. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value of foreign
currency relative to the U.S. dollar.
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposit cash or pledge U.S. government securities
to a broker, equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and
are recorded daily by the Series as unrealized gains or losses until the
contracts are closed. When the contracts are closed, the Series record a
realized gain or loss, which is presented in the Statements of Operations as a
net realized gain or loss on futures, equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
At October 31, 2016, the following Series had the following outstanding
futures contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------- ---------- --------- -------- ----------- ----------
The U.S. Large Cap Value
Series................. S&P 500 Emini Index(R) 12/16/16 1,336 $141,623 $(3,872) $6,012
-------- ------- ------
$141,623 $(3,872) $6,012
======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
-------------------- ---------- --------- -------- ----------- ----------
The DFA International Value
Series.................... MINI MSCI EAFE Index(R) 12/16/16 280 $23,320 $(852) $1,176
------- ----- ------
$23,320 $(852) $1,176
======= ===== ======
42
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS* FUTURES
---------- --------
The U.S. Large Cap Value Series.... -- $108,242
The DFA International Value Series. $402 58,270
* The Series had derivative activity during the period but it did not have open
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 Variation Margin Variation
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
- --------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2016 CONTRACTS*
- ---------------- ----------
The U.S. Large Cap Value Series.... $(3,872) $(3,872)
The DFA International Value Series. (852) (852)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location 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:
LOCATION OF GAIN (LOSS)
DERIVATIVE TYPE ON DERIVATIVES
--------------- -----------------------
Foreign exchange Net Realized Gain (Loss)
contracts on: Foreign Currency
Transactions
Equity contracts Net Realized Gain (Loss)
on: Futures
Change in Unrealized
Appreciation
(Depreciation) of:
Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 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
43
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
The U.S. Large Cap Value Series..... $(3,872) -- $(3,872)
The DFA International Value Series*. (852) -- (852)
* As of October 31, 2016, there were no forward currency contracts outstanding.
During the year ended October 31, 2016, the Series had limited activity in
forward currency contracts.
H. LINE OF CREDIT
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 DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
The U.S. Large Cap Value Series.... 0.87% $53,510 3 $4 $56,418
The DFA International Value Series. 0.96% 6,426 14 2 40,666
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2016, that each Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 2016.
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
44
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):
REALIZED
PORTFOLIO PURCHASES SALES GAIN (LOSS)
--------- --------- -------- -----------
The U.S. Large Cap Value Series.... $259,866 $167,106 $ 13,371
The DFA International Value Series. 100,986 137,382 (50,541)
J. SECURITIES LENDING:
As of October 31, 2016, each Series had securities on loan to
brokers/dealers, for which each such 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 $631,247 and $21,237,
respectively (amounts in thousands). Each Series invests the cash collateral,
as described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral in an amount (i) equal to at least
100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) generally equal to 102%
of the current market value of the loaned securities with respect to U.S.
securities, and (iii) generally equal to 105% of the current market value of
the loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities. In the event of the bankruptcy of the borrower, a Series could
experience delay in recovering the loaned securities or only recover cash or a
security of equivalent value.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Such Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
- ------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
THE U.S. LARGE CAP VALUE SERIES
Common Stocks, Rights/Warrants. $820,651,306 -- -- -- $820,651,306
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks.................. $370,102,917 -- -- -- $370,102,917
45
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. OTHER:
The Series and the Trust are subject to claims and suits that arise from
time to time in the ordinary course of business. Although management currently
believes that resolving claims against us, individually or in aggregate, will
not have a material adverse impact on our financial position, our results of
operations, or our cash flows, these matters are subject to inherent
uncertainties and management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune 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.
46
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of the Series, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series and The DFA International Value Series
(constituting portfolios within The DFA Investment Trust Company, hereafter
referred to as the "Series") 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
47
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.
48
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
-------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
-------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and DIG. investment companies of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
1947
-------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Distinguished
Director of DFAIDG and DIG DIG-Since 1993 investment companies Service Professor of Economics, University of
Trustee of DFAITC and DEM DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
The University of Chicago DEM-Since 1993 Member and Chair, Competitive Markets Advisory
Booth School of Business Council, Chicago Mercantile Exchange (futures
5807 S. Woodlawn Avenue trading exchange) (since 2004). Trustee, Harbor
Chicago, IL 60637 Fund (registered investment company)
1939 (29 Portfolios) (since 1994). Formerly, Member of
the Board of Milwaukee Insurance Company
(1997-2010).
-------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Yale School of Management DEM-Since 1993 fund and asset manager) (since 2001). Consultant
P.O. Box 208200 to Morningstar Inc. (since 2006). Formerly,
New Haven, CT 06520-8200 Director, BIRR Portfolio Analysis, Inc. (sofware
1943 Products) (1990- 2010).
-------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM DFAITC-Since 2010 Professor of Human Resources Management and
Stanford University Graduate DEM-Since 2010 Economics, Graduate School of Business,
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) (1999-
Austin, TX 78746 2009). Formerly, Director, American Centruy Fund
1941 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).
-------------------------------------------------------------------------------------------------------------------------------
49
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.
50
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
----------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice
1974 President, Business Development at Capson
Physicians Insurance Company (2010-2012).
----------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2016).
----------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
----------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional
Funds plc and Dimensional Funds II plc (since
November 2013).
----------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
----------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-January
2014) and Research Associate (2006-2011) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors LP
(April 2008-January 2014).
----------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
----------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Pte. and Dimensional Hong Kong Limited. Director,
Vice President, Director and Assistant Secretary of
Dimensional Fund Advisors Canada ULC.
----------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
----------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors LP
(December 2010-January 2012).
----------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund
Advisors LP (October 2010-January 2016).
----------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011).
51
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (2004-June 2011).
-------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
-------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of
1966 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) for
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since April
2016). Formerly, Portfolio Manager for Dimensional
Fund Advisors LP (October 2005 to January 2012).
-------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP (April
2012-January 2014); Vice President and Counsel for
AllianceBernstein L.P. (2006-2012).
-------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director and
1972 Vice President of Dimensional Japan Ltd
(since February 2016). President and Director of
Dimensional Fund Advisors Canada ULC
(since February 2016), Vice President of DFA
Australia Limited (since April 2008) and Director
(since Oct 2016). Director of Dimensional Advisors
Ltd, Dimensional Fund Advisors Pte. Ltd., and
Dimensional Hong Kong Limited, (since April 2016),
Vice President of Dimensional Fund Advisors Pte
Ltd. (since June 2016), Head of Global Institutional
Services for Dimensional Fund Advisors LP
(since January 2014). Formerly, Vice President of
Dimensional Fund Advisors Canada ULC (December
2010-February 2016); Head of Institutional, North
America (March 2012 to December 2013) and Head
of Portfolio Management (January 2006 to March
2012) for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(September 2011-March 2013); Vice President at
MullinTBG (2005-2011).
-------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(August 2010-March 2014).
-------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(2003-March 2014).
-------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2002-January 2012).
-------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
-------------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Senior Associate, Research (January 2015-January
2016); Associate, Research (January 2014-January
2015); Analyst, Research (July 2010-January 2014)
for Dimensional Fund Advisors LP.
52
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance
Officer and Chief Privacy Officer of Dimensional
Fund Advisors Canada ULC, Chief Compliance
Officer of Dimensional Fund Advisors Pte. Ltd.
Formerly, Vice President and Global Chief
Compliance Officer for Dimensional SmartNest (US)
LLC (October 2010-2014).
----------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Manager, Research Systems (November 2012-
January 2016) for Dimensional Fund Advisors LP;
Assistant Vice President, Oaktree Capital
Management (April 2011-October 2012.
----------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011-July
2013);Vice President for Towers Watson (formerly,
WellsCanning) (June 2009-July 2011).
----------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 Limited and Dimensional Fund Advisors Canada
ULC.
----------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012-January 2014) and
Senior Associate (August 2010-December 2011) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007-May 2011) for
Morgan Stanley Investment Management.
----------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior
1971 Associate, Research (November 2012-January
2015) for Dimensional Fund Advisors LP; Senior
Consultant, NERA Economic Consulting, New York
(May 2010-November 2012).
----------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data
1972 Officer for Dimensional Fund Advisors LP
(since January 2016).
----------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
----------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP
(since February 2013). Formerly, Senior Manager of
Research and Marketing for Dimensional Fund
Advisors LP (June 2012-January 2013); Director of
Mutual Fund Analysis at Morningstar (January 2008-
May 2012).
----------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008-January 2015) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors Ltd.
(July 2008-March 2013).
53
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, Vice
1970 President for Dimensional SmartNest (US) LLC
(January 2012-November 2014); Senior Vice
President for Morningstar (July 2004-July 2011).
------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004-January
2012).
------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader
1975 for Dimensional Fund Advisors LP (since 2012).
Formerly, Senior Trader (2009-2012).
------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP (January
2011-January 2014).
------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Chief Since 2016 Vice President, Chief Financial Officer, and
1958 Financial Officer, and Treasurer of all the DFA Entities. Interim Chief
Treasurer Financial Officer, interim Treasurer and Vice
President of Dimensional Advisors Ltd., Dimensional
Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd,
DFA Australia Ltd. Formerly, interim Chief Financial
Officer and interim Treasurer (April 2016-September
2016), and Controller (August 2015-September
2016) of all the DFA Entities); Vice President of
T. Rowe Price Group, Inc. and Director of Investment
Treasury and Treasurer of the T. Rowe Price Funds
(March 2008-July 2015).
------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
54
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------
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).
-----------------------------------------------------------------------------------------------------------------
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).
55
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
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, 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).
56
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013-January 2015)
for Dimensional Fund Advisors LP; Vice President
and Tax Manager, North America (August 2006-April
2012) for Pacific Investment Management Company.
-----------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
-----------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations (January
2014-January 2015), Manager, Client Systems
(October 2011-January 2014) and RFP Manager
(April 2010-October 2011) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
-----------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January 2015)
for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
-----------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors LP
(January 2009-January 2014).
-----------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014) and
Senior Associate (2011) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1959 Manager, Project Management Office for
Dimensional Fund Advisors LP (October 2006-
January 2016).
-----------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager for
Wells Capital Management (October 2004-
September 2011).
-----------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1974 Regional Director for Dimensional Fund Advisors LP
(September 2013-January 2016); Managing Director,
Client Services, Charles Schwab (December 2009-
August 2013).
-----------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January 2013)
for Dimensional Fund Advisors LP.
57
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 Director, Vice President and Secretary of DFA
Australia Limited and Dimensional Fund Advisors
Ltd. (since February 2002, April 1997, and May
2002, respectively). Vice President and Secretary of
Dimensional Fund Advisors Canada ULC
(since June 2003), Dimensional Cayman Commodity
Fund I Ltd., Dimensional Japan Ltd (since February
2012), Dimensional Advisors Ltd (since March 2012),
Dimensional Fund Advisors Pte. Ltd. (since June
2012). Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund
Advisors Pte. Ltd. and Dimensional Hong Kong
Limited (since August 2012 and July 2012).
Formerly, Vice President and Secretary of
Dimensional SmartNest (US) LLC (October 2010-
November 2014).
-----------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (July 2008-May 2011).
-----------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors LP
(2008-2010).
-----------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer of Dimensional Fund Advisors LP
(since December 2012). Formerly, Chief Compliance
Officer of Wellington Management Company, LLP
(2004-2011).
-----------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional
Fund Advisors Canada ULC (since April 2016).
Deputy General Counsel, Funds (since 2011).
-----------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Co- Vice President since 2007 Vice President and Co-Chief Investment Officer of all
1976 Chief Investment and Co-Chief Investment the DFA Entities, Dimensional Fund Advisors
Officer Officer since 2014 Canada ULC, and Dimensional Japan Ltd. Director
of Dimensional Funds plc and Dimensional Fund II
plc.
-----------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Senior Compliance Officer for Dimensional Fund
Advisors LP (July 2014-January 2016); Vice
President Regional Head of Investment Compliance,
Asia, PIMCO Asia Private Limited (July 2012-July
2014); Country Compliance Officer, Janus Capital,
Singapore Private Limited (May 2011-June 2012).
-----------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP
(since July 2005).
-----------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
-----------------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(2012-January 2013); Senior Consultant (June 2011-
December 2011) and Senior Investment Analyst and
Consultant (July 2008-June 2011) at Hewitt
EnnisKnupp.
58
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager (January 2015-present). Formerly,
Portfolio Manager (April 2014-January 2015) and
Investment Associate for Dimensional Fund Advisors
LP (July 2012-March 2014).
---------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP. Formerly,
Manager, Advisor Benchmarking (April 2012-
December 2014) for Dimensional Fund Advisors LP;
Senior Manager, Research and Consulting (October
2010-April 2012) for Crain Communications Inc.
---------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February
2015). Formerly, Chief Financial Officer and General
Counsel for Relentless (March 2014-January 2015);
Vice President of all the DFA Entities (January 2013-
March 2014); Counsel for Dimensional Fund
Advisors LP (January 2009-March 2014).
---------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and
Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
for Dimensional Fund Advisors LP (2006-January
2015).
---------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
---------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
---------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002-July 2013) for MFS Investment
Management.
---------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
---------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1978 President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
---------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for Dimensional
Fund Advisors LP (January 2012-January 2014);
Director of Human Resources at Spansion, Inc.
(March 2009-December 2011).
59
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.
60
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund Advisors
LP (November 2009-January 2016).
---------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2012).
---------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
---------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and
Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(September 2008-January 2014).
---------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP
(since 2004).
---------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Director of Marketing
and Investor Relations for Treaty Oak Capital
Management (July 2011-October 2011); Vice
President for Rockspring Capital (October 2010-July
2011).
---------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1985 Regional Director (January 2014-January 2016) and
Senior Associate (January 2011-December 2013).for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1968 Counsel for Dimensional Fund Advisors LP (July
2014-January 2016); Assistant General Counsel,
Teacher Retirement System of Texas (October
2008-June 2014).
---------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
---------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
---------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFDA Entities. Formerly,
1975 Client Service Supervisor for Dowling & Yahnke
(July 2014-January 2016); Head of Operations for
The Elements Financial Group (January 2013-June
2014); Head of Operations for Vericimetry Advisors
LLC (July 2011-December 2012).
---------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Manager, Client Systems for Dimensional Fund
Advisors LP (May 2012-January 2016); Vice
President, Implementations, Citigroup (August 2006-
October 2011).
---------------------------------------------------------------------------------------------------------------
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.
---------------------------------------------------------------------------------------------------------------
61
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------
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.
62
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. Information regarding how the Advisor votes these proxies
is available from the EDGAR database on the SEC's website at http://www.sec.gov
and from the Advisor's website at http://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
63
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2016 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING FOR
NET CORPORATE
DIMENSIONAL INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING FOREIGN
INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND FOREIGN TAX SOURCE
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) CREDIT (3) INCOME (4)
----------- ------------- ------------- ------------- ------------- -------------- ---------- ----------- ----------
U.S. Large
Cap Value
Portfolio II.. 100% -- -- 100% 100% 100% -- --
DFA
International
Value
Portfolio II.. 54% -- 46% 100% 100% 100% 5% 100%
QUALIFYING
SHORT-
DIMENSIONAL QUALIFYING TERM
INVESTMENT INTEREST CAPITAL
GROUP INC. INCOME (5) GAIN (6)
----------- ---------- ----------
U.S. Large
Cap Value
Portfolio II.. 100% 100%
DFA
International
Value
Portfolio II.. 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(5)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(6)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
64
DFA103116-009A
[LOGO]Recycled Recyclable 00185761
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
Dimensional Investment Group Inc.
DFA International Value Portfolio III
U.S. Large Cap Value Portfolio III
Tax-Managed U.S. Marketwide Value Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................ 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 4
Disclosure of Fund Expenses........................................ 7
Disclosure of Portfolio Holdings................................... 9
Schedules of Investments
DFA International Value Portfolio III.......................... 10
U.S. Large Cap Value Portfolio III............................. 10
Tax-Managed U.S. Marketwide Value Portfolio II................. 10
Statements of Assets and Liabilities............................... 11
Statements of Operations........................................... 12
Statements of Changes in Net Assets................................ 13
Financial Highlights............................................... 14
Notes to Financial Statements...................................... 16
Report of Independent Registered Public Accounting Firm............ 22
Section 19(a) Notice............................................... 23
THE DFA INVESTMENT TRUST COMPANY
Performance Charts................................................. 24
Management's Discussion and Analysis............................... 26
Disclosure of Fund Expenses........................................ 29
Disclosure of Portfolio Holdings................................... 31
Summary Schedules of Portfolio Holdings
The DFA International Value Series............................. 32
The U.S. Large Cap Value Series................................ 36
The Tax-Managed U.S. Marketwide Value Series................... 39
Statements of Assets and Liabilities............................... 42
Statements of Operations........................................... 43
Statements of Changes in Net Assets................................ 44
Financial Highlights............................................... 45
Notes to Financial Statements...................................... 46
Report of Independent Registered Public Accounting Firm............ 56
FUND MANAGEMENT....................................................... 57
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 72
NOTICE TO SHAREHOLDERS................................................ 73
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO III VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA International MSCI World ex USA
Value Portfolio III Index (net dividends)
--------------------- ---------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,327 10,298
12/31/2006 10,734 10,593
1/31/2007 10,936 10,658
2/28/2007 10,927 10,743
3/31/2007 11,276 11,018
4/30/2007 11,849 11,520
5/31/2007 12,253 11,775
6/30/2007 12,161 11,787
7/31/2007 11,826 11,624
8/31/2007 11,690 11,456
9/30/2007 12,303 12,107
10/31/2007 12,898 12,633
11/30/2007 12,116 12,139
12/31/2007 11,852 11,911
1/31/2008 10,893 10,837
2/29/2008 10,753 11,033
3/31/2008 10,883 10,876
4/30/2008 11,368 11,480
5/31/2008 11,374 11,655
6/30/2008 10,249 10,748
7/31/2008 9,961 10,366
8/31/2008 9,544 9,965
9/30/2008 8,425 8,526
10/31/2008 6,316 6,753
11/30/2008 5,923 6,386
12/31/2008 6,375 6,723
1/31/2009 5,497 6,096
2/28/2009 4,819 5,479
3/31/2009 5,344 5,840
4/30/2009 6,328 6,593
5/31/2009 7,269 7,427
6/30/2009 7,163 7,350
7/31/2009 8,008 8,040
8/31/2009 8,466 8,425
9/30/2009 8,905 8,773
10/31/2009 8,550 8,632
11/30/2009 8,799 8,845
12/31/2009 8,901 8,986
1/31/2010 8,388 8,565
2/28/2010 8,416 8,557
3/31/2010 9,084 9,107
4/30/2010 8,928 8,972
5/31/2010 7,883 7,982
6/30/2010 7,744 7,866
7/31/2010 8,714 8,593
8/31/2010 8,288 8,336
9/30/2010 9,175 9,136
10/31/2010 9,495 9,462
11/30/2010 9,016 9,061
12/31/2010 9,859 9,790
1/31/2011 10,283 10,001
2/28/2011 10,622 10,372
3/31/2011 10,333 10,164
4/30/2011 10,879 10,718
5/31/2011 10,488 10,400
6/30/2011 10,342 10,252
7/31/2011 10,014 10,083
8/31/2011 8,937 9,231
9/30/2011 7,963 8,304
10/31/2011 8,730 9,111
11/30/2011 8,441 8,690
12/31/2011 8,214 8,595
1/31/2012 8,769 9,059
2/29/2012 9,222 9,557
3/31/2012 9,152 9,487
4/30/2012 8,824 9,326
5/31/2012 7,730 8,262
6/30/2012 8,281 8,804
7/31/2012 8,244 8,913
8/31/2012 8,586 9,168
9/30/2012 8,893 9,446
10/31/2012 9,003 9,512
11/30/2012 9,144 9,712
12/31/2012 9,595 10,006
1/31/2013 10,049 10,498
2/28/2013 9,746 10,393
3/31/2013 9,779 10,476
4/30/2013 10,259 10,953
5/31/2013 10,133 10,708
6/30/2013 9,781 10,307
7/31/2013 10,444 10,855
8/31/2013 10,373 10,715
9/30/2013 11,157 11,472
10/31/2013 11,538 11,857
11/30/2013 11,584 11,930
12/31/2013 11,837 12,110
1/31/2014 11,403 11,621
2/28/2014 12,054 12,255
3/31/2014 11,969 12,200
4/30/2014 12,175 12,392
5/31/2014 12,306 12,584
6/30/2014 12,462 12,763
7/31/2014 12,182 12,536
8/31/2014 12,189 12,546
9/30/2014 11,658 12,030
10/31/2014 11,454 11,839
11/30/2014 11,461 11,985
12/31/2014 11,029 11,586
1/31/2015 10,957 11,545
2/28/2015 11,745 12,235
3/31/2015 11,499 12,030
4/30/2015 12,128 12,551
5/31/2015 12,135 12,442
6/30/2015 11,781 12,089
7/31/2015 11,671 12,280
8/31/2015 10,803 11,386
9/30/2015 10,065 10,811
10/31/2015 10,835 11,624
11/30/2015 10,694 11,439
12/31/2015 10,351 11,234
1/31/2016 9,543 10,461
2/28/2016 9,239 10,315
3/31/2016 9,943 11,015
4/30/2016 10,426 11,369
5/31/2016 10,226 11,241
6/30/2016 9,858 10,899
7/31/2016 10,295 11,435
8/31/2016 10,569 11,446
9/30/2016 10,684 11,585
10/31/2016 10,825 11,360
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------- MSCI data copyright MSCI 2016, all
-0.09% 4.40% 0.80% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
U.S. Large Cap
Value Portfolio III Russell 1000/R/ Value Index
--------------------- ---------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,188 10,228
12/31/2006 10,392 10,458
1/31/2007 10,698 10,592
2/28/2007 10,537 10,427
3/31/2007 10,607 10,588
4/30/2007 11,059 10,979
5/31/2007 11,516 11,375
6/30/2007 11,331 11,109
7/31/2007 10,629 10,595
8/31/2007 10,424 10,714
9/30/2007 10,694 11,082
10/31/2007 10,753 11,083
11/30/2007 10,152 10,542
12/31/2007 10,121 10,440
1/31/2008 9,733 10,022
2/29/2008 9,437 9,602
3/31/2008 9,344 9,530
4/30/2008 9,933 9,994
5/31/2008 10,174 9,978
6/30/2008 9,057 9,023
7/31/2008 8,960 8,991
8/31/2008 9,132 9,144
9/30/2008 8,313 8,472
10/31/2008 6,441 7,005
11/30/2008 5,812 6,503
12/31/2008 5,997 6,593
1/31/2009 5,284 5,835
2/28/2009 4,548 5,055
3/31/2009 4,994 5,488
4/30/2009 5,801 6,076
5/31/2009 6,251 6,452
6/30/2009 6,170 6,404
7/31/2009 6,758 6,928
8/31/2009 7,215 7,290
9/30/2009 7,528 7,572
10/31/2009 7,206 7,340
11/30/2009 7,611 7,754
12/31/2009 7,822 7,891
1/31/2010 7,637 7,669
2/28/2010 7,972 7,911
3/31/2010 8,593 8,426
4/30/2010 8,864 8,645
5/31/2010 8,107 7,934
6/30/2010 7,493 7,487
7/31/2010 8,078 7,994
8/31/2010 7,590 7,652
9/30/2010 8,334 8,246
10/31/2010 8,644 8,493
11/30/2010 8,577 8,448
12/31/2010 9,416 9,115
1/31/2011 9,716 9,321
2/28/2011 10,241 9,665
3/31/2011 10,290 9,703
4/30/2011 10,547 9,962
5/31/2011 10,400 9,856
6/30/2011 10,213 9,654
7/31/2011 9,745 9,334
8/31/2011 8,921 8,752
9/30/2011 8,019 8,090
10/31/2011 9,132 9,016
11/30/2011 9,058 8,970
12/31/2011 9,128 9,151
1/31/2012 9,583 9,497
2/29/2012 10,137 9,875
3/31/2012 10,322 10,168
4/30/2012 10,110 10,064
5/31/2012 9,391 9,474
6/30/2012 9,899 9,945
7/31/2012 9,993 10,047
8/31/2012 10,389 10,266
9/30/2012 10,773 10,591
10/31/2012 10,805 10,539
11/30/2012 10,824 10,535
12/31/2012 11,152 10,753
1/31/2013 11,935 11,452
2/28/2013 12,087 11,616
3/31/2013 12,665 12,076
4/30/2013 12,799 12,259
5/31/2013 13,322 12,573
6/30/2013 13,175 12,463
7/31/2013 13,964 13,135
8/31/2013 13,553 12,637
9/30/2013 13,949 12,954
10/31/2013 14,657 13,521
11/30/2013 15,269 13,898
12/31/2013 15,679 14,250
1/31/2014 15,057 13,744
2/28/2014 15,566 14,338
3/31/2014 15,933 14,681
4/30/2014 16,040 14,820
5/31/2014 16,391 15,037
6/30/2014 16,838 15,430
7/31/2014 16,711 15,167
8/31/2014 17,245 15,725
9/30/2014 16,820 15,400
10/31/2014 16,947 15,746
11/30/2014 17,148 16,069
12/31/2014 17,276 16,167
1/31/2015 16,420 15,521
2/28/2015 17,580 16,272
3/31/2015 17,249 16,050
4/30/2015 17,598 16,200
5/31/2015 17,797 16,395
6/30/2015 17,510 16,068
7/31/2015 17,460 16,138
8/31/2015 16,403 15,177
9/30/2015 15,874 14,719
10/31/2015 17,174 15,830
11/30/2015 17,238 15,890
12/31/2015 16,698 15,548
1/31/2016 15,560 14,745
2/28/2016 15,591 14,741
3/31/2016 16,726 15,803
4/30/2016 17,180 16,135
5/31/2016 17,410 16,386
6/30/2016 17,393 16,527
7/31/2016 17,988 17,007
8/31/2016 18,204 17,138
9/30/2016 18,290 17,103
10/31/2016 17,979 16,838
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
------------------------------------------------------- Investment Group 1995-2016, all rights
4.69% 14.51% 6.04% reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II VS.
RUSSELL 3000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Tax-Managed U.S. Marketwide
Value Portfolio II Russell 3000/R/ Value Index
--------------------------- ---------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,245 10,233
12/31/2006 10,443 10,450
1/31/2007 10,718 10,586
2/28/2007 10,577 10,424
3/31/2007 10,698 10,582
4/30/2007 11,080 10,948
5/31/2007 11,603 11,343
6/30/2007 11,351 11,078
7/31/2007 10,731 10,529
8/31/2007 10,678 10,655
9/30/2007 10,948 10,995
10/31/2007 10,959 11,006
11/30/2007 10,314 10,445
12/31/2007 10,268 10,345
1/31/2008 9,863 9,930
2/29/2008 9,507 9,515
3/31/2008 9,332 9,460
4/30/2008 9,864 9,908
5/31/2008 10,076 9,920
6/30/2008 8,967 8,971
7/31/2008 8,898 8,976
8/31/2008 9,080 9,151
9/30/2008 8,310 8,499
10/31/2008 6,450 7,008
11/30/2008 5,812 6,481
12/31/2008 6,011 6,595
1/31/2009 5,228 5,821
2/28/2009 4,523 5,041
3/31/2009 5,002 5,473
4/30/2009 5,866 6,083
5/31/2009 6,304 6,438
6/30/2009 6,216 6,393
7/31/2009 6,851 6,933
8/31/2009 7,305 7,293
9/30/2009 7,630 7,582
10/31/2009 7,266 7,328
11/30/2009 7,604 7,727
12/31/2009 7,886 7,898
1/31/2010 7,664 7,675
2/28/2010 8,017 7,926
3/31/2010 8,648 8,454
4/30/2010 8,982 8,704
5/31/2010 8,216 7,987
6/30/2010 7,584 7,517
7/31/2010 8,195 8,028
8/31/2010 7,656 7,664
9/30/2010 8,423 8,276
10/31/2010 8,752 8,530
11/30/2010 8,772 8,505
12/31/2010 9,598 9,179
1/31/2011 9,836 9,370
2/28/2011 10,394 9,727
3/31/2011 10,462 9,773
4/30/2011 10,708 10,025
5/31/2011 10,535 9,913
6/30/2011 10,353 9,706
7/31/2011 9,913 9,384
8/31/2011 9,093 8,779
9/30/2011 8,168 8,092
10/31/2011 9,300 9,037
11/30/2011 9,227 8,992
12/31/2011 9,321 9,170
1/31/2012 9,807 9,538
2/29/2012 10,326 9,899
3/31/2012 10,546 10,193
4/30/2012 10,350 10,086
5/31/2012 9,626 9,492
6/30/2012 10,132 9,962
7/31/2012 10,220 10,050
8/31/2012 10,601 10,275
9/30/2012 10,987 10,604
10/31/2012 11,021 10,546
11/30/2012 11,089 10,544
12/31/2012 11,409 10,779
1/31/2013 12,160 11,475
2/28/2013 12,353 11,638
3/31/2013 12,963 12,100
4/30/2013 13,060 12,268
5/31/2013 13,488 12,587
6/30/2013 13,405 12,481
7/31/2013 14,216 13,165
8/31/2013 13,800 12,659
9/30/2013 14,303 13,008
10/31/2013 14,978 13,566
11/30/2013 15,597 13,957
12/31/2013 16,031 14,303
1/31/2014 15,395 13,791
2/28/2014 15,962 14,390
3/31/2014 16,201 14,721
4/30/2014 16,236 14,819
5/31/2014 16,622 15,027
6/30/2014 17,050 15,440
7/31/2014 16,782 15,123
8/31/2014 17,402 15,687
9/30/2014 16,955 15,306
10/31/2014 17,252 15,704
11/30/2014 17,471 15,995
12/31/2014 17,649 16,119
1/31/2015 16,766 15,472
2/28/2015 17,977 16,218
3/31/2015 17,804 16,036
4/30/2015 17,990 16,147
5/31/2015 18,262 16,336
6/30/2015 18,072 16,036
7/31/2015 18,122 16,064
8/31/2015 16,981 15,121
9/30/2015 16,450 14,659
10/31/2015 17,748 15,742
11/30/2015 17,784 15,833
12/31/2015 17,184 15,453
1/31/2016 16,092 14,636
2/28/2016 16,055 14,640
3/31/2016 17,179 15,707
4/30/2016 17,609 16,037
5/31/2016 17,816 16,289
6/30/2016 17,801 16,424
7/31/2016 18,285 16,931
8/31/2016 18,471 17,083
9/30/2016 18,556 17,060
10/31/2016 18,241 16,774
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2016, all rights
2.78% 14.42% 6.20% reserved.
--------------------------------------------------------------------------------
3
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 U.S. dollar was mixed against other developed markets
currencies. In particular, while the U.S. dollar appreciated significantly
against the British pound, it depreciated significantly against the Japanese
yen. Overall, currency fluctuations detracted from USD-denominated returns in
developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 p.m. London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally 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 III
The DFA International Value Portfolio III 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
4
Dimensional that invests in such stocks. Value is measured primarily by
price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Master Fund held
approximately 500 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Master Fund's
assets.
For the 12 months ended October 31, 2016, total returns were -0.09% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Master Fund invests primarily in value stocks, while the benchmark
is neutral with regard to value or growth stocks. The Master Fund's emphasis on
deep value stocks contributed positively to relative performance, as that
segment of the market outperformed for the year. The Master Fund's emphasis on
mid-cap stocks also contributed positively to its performance relative to the
benchmark, 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.
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.
U.S. LARGE CAP VALUE PORTFOLIO III
The U.S. Large Cap Value Portfolio III is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. Value
is measured primarily by book-to-market ratio. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2016, the
Master Fund held approximately 300 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.69% 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
5
approach, performance was determined principally by broad trends in the U.S.
equity market rather than the behavior of a limited number of stocks. The
Master Fund had a larger allocation than the benchmark to lower relative price
stocks, which detracted from the Portfolio's performance relative to the
benchmark as the lowest relative price quartile underperformed. The Master
Fund's exclusion of real estate investment trusts (REITs) and utilities
detracted from relative performance as REITs and utilities outperformed most
other sectors during the period.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
The Tax-Managed U.S. Marketwide Value Portfolio II invests in a broadly
diversified group of U.S. value stocks by purchasing shares of The Tax-Managed
U.S. Marketwide Value Series, a Master Fund managed by Dimensional 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 2.78% 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. When compared to
the benchmark, the Master Fund emphasizes lower relative price securities,
which detracted from the Portfolio's performance as the lowest relative price
quartile underperformed. The Master Fund's exclusion of real estate investment
trusts (REITs) and utilities detracted from relative performance as REITs and
utilities outperformed most other sectors during the period.
6
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO III**
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,038.30 0.25% $1.28
Hypothetical 5% Annual Return........... $1,000.00 $1,023.88 0.25% $1.27
U.S. LARGE CAP VALUE PORTFOLIO III**
------------------------------------
Actual Fund Return...................... $1,000.00 $1,046.50 0.13% $0.67
Hypothetical 5% Annual Return........... $1,000.00 $1,024.48 0.13% $0.66
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II**
------------------------------------------------
Actual Fund Return............................... $1,000.00 $1,035.90 0.22% $1.13
Hypothetical 5% Annual Return.................... $1,000.00 $1,024.03 0.22% $1.12
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
8
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 2016. They are available upon request, without charge,
by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
DFA International Value Portfolio III............ 100.0%
U.S. Large Cap Value Portfolio III............... 100.0%
Tax-Managed U.S. Marketwide Value Portfolio II... 100.0%
9
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2016
DFA INTERNATIONAL VALUE PORTFOLIO III
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $2,069,042,639
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$2,069,137,961)........................................ $2,069,042,639
==============
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).
U.S. LARGE CAP VALUE PORTFOLIO III
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $3,064,351,457
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$2,051,834,902)........................................ $3,064,351,457
==============
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).
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series
of The DFA Investment Trust Company....................... $1,524,680,722
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$896,792,163).......................................... $1,524,680,722
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED
DFA U.S.
INTERNATIONAL U.S. LARGE CAP MARKETWIDE
VALUE PORTFOLIO VALUE PORTFOLIO VALUE PORTFOLIO
III III II
--------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value............... $ 2,069,043 $ 3,064,351 $ 1,524,681
Receivables:
Fund Shares Sold.................................................. 808 998 266
Prepaid Expenses and Other Assets................................... 32 30 27
------------ ------------ ------------
Total Assets................................................... 2,069,883 3,065,379 1,524,974
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.............................................. 2,619 3,854 368
Due to Advisor.................................................... 17 26 --
Accrued Expenses and Other Liabilities.............................. 120 149 69
------------ ------------ ------------
Total Liabilities.............................................. 2,756 4,029 437
------------ ------------ ------------
NET ASSETS.......................................................... $ 2,067,127 $ 3,061,350 $ 1,524,537
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 149,822,309 132,220,779 62,578,143
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................................. $ 13.80 $ 23.15 $ 24.36
============ ============ ============
Investments in Affiliated Investment Company at Cost................ $ 2,069,138 $ 2,051,835 $ 896,792
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 2,117,908 $ 1,936,127 $ 837,425
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 8,637 3,889 2,364
Accumulated Net Realized Gain (Loss)................................ (59,124) 108,818 56,859
Net Unrealized Foreign Exchange Gain (Loss)......................... (199) -- --
Net Unrealized Appreciation (Depreciation).......................... (95) 1,012,516 627,889
------------ ------------ ------------
NET ASSETS.......................................................... $ 2,067,127 $ 3,061,350 $ 1,524,537
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 500,000,000 700,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
DFA U.S.
INTERNATIONAL U.S. LARGE MARKETWIDE
VALUE CAP VALUE VALUE
PORTFOLIO III* PORTFOLIO III* PORTFOLIO II*
-------------- -------------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $5,938, $3 and $1,
respectively)....................................................... $ 73,322 $ 73,330 $ 32,995
Interest............................................................. -- 107 38
Income from Securities Lending....................................... 2,081 528 251
Expenses Allocated from Affiliated Investment Company................ (4,192) (3,284) (3,108)
-------- -------- --------
Total Investment Income............................................. 71,211 70,681 30,176
-------- -------- --------
FUND EXPENSES
Investment Management Fees............................................. 4,020 3,237 2,936
Accounting & Transfer Agent Fees....................................... 15 20 12
Custodian Fees......................................................... -- -- 1
Filing Fees............................................................ 119 84 56
Shareholders' Reports.................................................. 59 65 33
Directors'/Trustees' Fees & Expenses................................... 13 21 10
Audit Fees............................................................. 5 7 7
Legal Fees............................................................. 43 66 33
Other.................................................................. 16 19 9
-------- -------- --------
Total Expenses...................................................... 4,290 3,519 3,097
-------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (3,829) (2,943) (2,936)
-------- -------- --------
Net Expenses........................................................ 461 576 161
-------- -------- --------
NET INVESTMENT INCOME (LOSS)........................................... 70,750 70,105 30,015
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... (59,118) 109,454 57,064
Futures.............................................................. 1,336 3,180 1,657
Foreign Currency Transactions........................................ 1,222 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 7,817 (39,567) (44,591)
Futures.............................................................. (291) (543) --
Translation of Foreign Currency Denominated Amounts.................. (180) -- --
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (49,214) 72,524 14,130
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $ 21,536 $142,629 $ 44,145
======== ======== ========
----------
* 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 and $0, respectively.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S.
DFA INTERNATIONAL VALUE U.S. LARGE CAP VALUE MARKETWIDE VALUE PORTFOLIO
PORTFOLIO III PORTFOLIO III II
---------------------- ---------------------- -------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 70,750 $ 63,271 $ 70,105 $ 65,056 $ 30,015 $ 27,151
Net Realized Gain (Loss) on:
Investment Securities Sold*............ (59,118) 43,871 109,454 162,096 57,064 25,728
Futures............................... 1,336 -- 3,180 (6) 1,657 --
Foreign Currency Transactions......... 1,222 (1,166) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 7,817 (204,788) (39,567) (186,345) (44,591) (13,038)
Futures............................... (291) -- (543) (4) -- --
Translation of Foreign Currency
Denominated Amounts.................. (180) 126 -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 21,536 (98,686) 142,629 40,797 44,145 39,841
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income................... (67,959) (59,557) (69,979) (60,952) (29,848) (26,163)
Net Short-Term Gains.................... -- (883) -- (2,186) -- --
Net Long-Term Gains..................... (41,317) (28,949) (154,996) (133,797) (24,937) (3,972)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (109,276) (89,389) (224,975) (196,935) (54,785) (30,135)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................... 618,846 555,931 476,073 492,980 198,695 143,356
Shares Issued in Lieu of Cash
Distributions.......................... 83,203 68,883 176,803 157,247 54,499 29,959
Shares Redeemed......................... (473,759) (346,817) (512,335) (483,553) (205,186) (176,409)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.......... 228,290 277,997 140,541 166,674 48,008 (3,094)
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 140,550 89,922 58,195 10,536 37,368 6,612
NET ASSETS
Beginning of Year....................... 1,926,577 1,836,655 3,003,155 2,992,619 1,487,169 1,480,557
---------- ---------- ---------- ---------- ---------- ----------
End of Year............................. $2,067,127 $1,926,577 $3,061,350 $3,003,155 $1,524,537 $1,487,169
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 48,005 36,752 21,878 20,592 8,756 5,870
Shares Issued in Lieu of Cash
Distributions.......................... 6,331 4,473 7,967 6,767 2,305 1,248
Shares Redeemed......................... (35,998) (22,682) (23,247) (20,004) (8,905) (7,334)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 18,338 18,543 6,598 7,355 2,156 (216)
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)....................... $ 8,637 $ 5,785 $ 3,889 $ 6,815 $ 2,364 $ 3,113
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO III
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................................ $ 14.65 $ 16.26 $ 17.84 $ 14.69 $ 14.81
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.49 0.52 0.78 0.50 0.53
Net Gains (Losses) on Securities (Realized and Unrealized)...... (0.56) (1.38) (0.88) 3.48 (0.12)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................... (0.07) (0.86) (0.10) 3.98 0.41
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.47) (0.49) (0.76) (0.51) (0.48)
Net Realized Gains.............................................. (0.31) (0.26) (0.72) (0.32) (0.05)
---------- ---------- ---------- ---------- ----------
Total Distributions............................................ (0.78) (0.75) (1.48) (0.83) (0.53)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................................... $ 13.80 $ 14.65 $ 16.26 $ 17.84 $ 14.69
================================================================== ========== ========== ========== ========== ==========
Total Return...................................................... (0.09)% (5.41)% (0.73)% 28.15% 3.14%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................... $2,067,127 $1,926,577 $1,836,655 $1,725,850 $1,296,862
Ratio of Expenses to Average Net Assets (B)....................... 0.24% 0.25% 0.24% 0.25% 0.26%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (B)........................................ 0.44% 0.30% 0.24% 0.25% 0.26%
Ratio of Net Investment Income to Average Net Assets.............. 3.70% 3.29% 4.48% 3.15% 3.71%
----------------------------------------------------------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................................ $ 23.91 $ 25.30 $ 22.75 $ 17.11 $ 14.77
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.53 0.53 0.46 0.39 0.34
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.49 (0.26) 3.01 5.64 2.33
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................... 1.02 0.27 3.47 6.03 2.67
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.54) (0.50) (0.44) (0.39) (0.33)
Net Realized Gains.............................................. (1.24) (1.16) (0.48) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............................................ (1.78) (1.66) (0.92) (0.39) (0.33)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................................... $ 23.15 $ 23.91 $ 25.30 $ 22.75 $ 17.11
================================================================== ========== ========== ========== ========== ==========
Total Return...................................................... 4.69% 1.34% 15.62% 35.65% 18.32%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................... $3,061,350 $3,003,155 $2,992,619 $2,648,111 $2,076,447
Ratio of Expenses to Average Net Assets (B)....................... 0.13% 0.13% 0.13% 0.13% 0.14%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (B)........................................ 0.23% 0.16% 0.13% 0.13% 0.14%
Ratio of Net Investment Income to Average Net Assets.............. 2.38% 2.18% 1.89% 1.97% 2.13%
------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
--------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 24.61 $ 24.42 $ 21.53 $ 16.13 $ 13.88
---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.48 0.45 0.37 0.34 0.29
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.16 0.24 2.88 5.39 2.24
---------- ---------- ---------- ---------- --------
Total from Investment Operations.. 0.64 0.69 3.25 5.73 2.53
-----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.48) (0.43) (0.36) (0.33) (0.28)
Net Realized Gains.................. (0.41) (0.07) -- -- --
---------- ---------- ---------- ---------- --------
Total Distributions............... (0.89) (0.50) (0.36) (0.33) (0.28)
-----------------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 24.36 $ 24.61 $ 24.42 $ 21.53 $ 16.13
=================================== ========== ========== ========== ========== ========
Total Return......................... 2.78% 2.88% 15.18% 35.90% 18.50%
-----------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $1,524,537 $1,487,169 $1,480,557 $1,279,664 $960,801
Ratio of Expenses to Average Net
Assets (B).......................... 0.22% 0.22% 0.22% 0.23% 0.23%
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered
by Advisor) (B)..................... 0.42% 0.28% 0.22% 0.23% 0.23%
Ratio of Net Investment Income to
Average Net Assets.................. 2.04% 1.80% 1.60% 1.80% 1.97%
-----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, three
of which, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio
III and Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolios"), are
presented in this report. The remaining operational portfolios are presented in
separate reports. 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 III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II primarily invest their
assets in The DFA International Value Series, The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series (the "Series"), respectively,
each a corresponding series of The DFA Investment Trust Company. At October 31,
2016, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II owned 21%, 15% and 28% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 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
16
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 Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
During the year ended October 31, 2016, the DFA International Value
Portfolio III's, U.S. Large Cap Value Portfolio III's and Tax-Managed U.S.
Marketwide Value Portfolio II's investment management fees were accrued daily
and paid monthly to the Advisor based on an effective annual rate of 0.21%,
0.11%, and 0.20%, respectively, of each Portfolio's average daily net assets.
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of 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 rates listed below as a percentage of the average net assets of a class
of a Portfolio on an annualized basis. The Fee Waiver Agreement will remain in
effect permanently, unless terminated by the Fund.
EXPENSE
LIMITATION
INSTITUTIONAL CLASS SHARES AMOUNT
-------------------------- ----------
DFA International Value Portfolio III............. 0.21%
U.S. Large Cap Value Portfolio III................ 0.11%
Tax-Managed U.S. Marketwide Value Portfolio II.... 0.20%
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $31 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
17
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 III............. $57
U.S. Large Cap Value Portfolio III................ 88
Tax-Managed U.S. Marketwide Value Portfolio II.... 40
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2016, primarily attributable to net foreign
currency gains/losses, gains on securities considered to be "passive foreign
investment companies", tax equalization, and realized foreign capital gains
tax, were reclassified to the following accounts. These reclassifications had
no effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
DFA International Value Portfolio III.......... $2,065 $ 61 $(2,126)
U.S. Large Cap Value Portfolio III............. 6,796 (3,052) (3,744)
Tax-Managed U.S. Marketwide Value Portfolio II. 2,707 (916) (1,791)
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 TAX
SHORT-TERM LONG-TERM EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ------ --------
DFA International Value Portfolio III
2015........................................... $60,439 $ 28,949 -- $ 89,388
2016........................................... 67,960 41,316 -- 109,276
U.S. Large Cap Value Portfolio III
2015........................................... 63,138 133,797 -- 196,935
2016........................................... 69,978 154,996 -- 224,974
Tax-Managed U.S. Marketwide Value Portfolio II
2015........................................... 26,163 3,972 -- 30,135
2016........................................... 29,848 24,937 -- 54,785
18
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 International Value Portfolio III.......... $(2,065) -- $(2,065)
U.S. Large Cap Value Portfolio III............. (2,612) $(4,184) (6,796)
Tax-Managed U.S. Marketwide Value Portfolio II. (916) (1,791) (2,707)
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 III. $10,731 -- $(55,002) $ (15,179) $ (59,450)
U.S. Large Cap Value Portfolio III.... 4,348 $107,950 -- 1,013,072 1,125,370
Tax-Managed U.S. Marketwide Value
Portfolio II........................ 2,433 56,923 -- 627,824 687,180
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolios after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2016, the
Portfolios 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 UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
DFA International Value Portfolio III.......... $2,075,449 -- $(6,407) $ (6,407)
U.S. Large Cap Value Portfolio III............. 2,051,982 $1,012,370 -- 1,012,370
Tax-Managed U.S. Marketwide Value Portfolio II. 895,974 628,706 -- 628,706
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.
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. Each portfolio is
permitted to borrow, subject to its investment
19
limitations, up to a maximum of $500 million, as long as total borrowings under
the line of credit do not exceed $500 million in the aggregate. Borrowings
under the line of credit are charged interest at rates agreed upon by the
parties at the time of borrowing. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit. There is
no commitment fee on the unused portion of the line of credit. The agreement
for the discretionary line of credit may be terminated by either party at any
time. The agreement for the line of credit expires on March 29, 2017.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 7, 2017.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 2016.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
At October 31, 2016, the following number of shareholders held the following
approximate percentages of the stated Portfolios' outstanding shares. One or
more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA International Value Portfolio III............. 5 98%
U.S. Large Cap Value Portfolio III................ 5 97%
Tax-Managed U.S. Marketwide Value Portfolio II.... 3 99%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase
20
proceeds paid to the Tribune shareholders who participated in the LBO. On
September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs lack standing to pursue their claims. The parties appealed the
Court's dismissal order to the Second Circuit, and, on March 29, 2016, the
Second Circuit affirmed the dismissal, albeit on the grounds that the
individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's
safe harbor for securities transactions. The individual creditor plaintiffs
petitioned the Second Circuit for rehearing of the appeal, but the Second
Circuit denied the petition. The Committee Action remains pending, and a motion
to dismiss on behalf of all shareholder defendants in the Committee Action was
filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties
await the scheduling of oral argument on the motion. The Committee Action is
stayed pending the disposition of the motion to dismiss.
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits has advised management that it
does not believe that it is possible, at this early stage in the proceedings,
to predict with any reasonable certainty the probable outcome of the Lawsuits
or quantify the ultimate exposure to The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the respective net asset values of The U.S. Large
Cap Value Series and The Tax-Managed U.S. Marketwide Value Series will be made
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery the plaintiffs seek, the amount would be less than
1% of the respective net asset values of The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their respective net asset values. Therefore, at this time, those
investors buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the respective net asset values of The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be taken as expenses by The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series as incurred and in a manner
similar to any other expense incurred by The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series.
I. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios 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.
21
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of DFA International
Value Portfolio III, U.S. Large Cap Value Portfolio III and Tax-Managed U.S.
Marketwide Value Portfolio II (constituting portfolios within Dimensional
Investment Group Inc., hereafter referred to as the "Portfolios") 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
transfer agent of the investee funds, provide a reasonable basis for our
opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
22
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, on December 16, 2015, and June 29,
2016, the DFA International Value Portfolio III and Tax-Managed U.S. Marketwide
Value Portfolio II paid distributions to shareholders of record as of December
15, 2015, and June 7, 2016, respectively, 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 III
December 16, 2015........................... 98% 0% 0% 2%
June 29, 2016............................... 98% 0% 0% 2%
Tax-Managed U.S. Marketwide Value Portfolio II
December 16, 2015........................... 99% 0% 0% 1%
Each Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in a Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect a
Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce a Portfolio's net asset value per share.
23
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDEND)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The DFA International MSCI World ex USA Index
Value Series (net dividends)
--------------------- -------------------------
10/31/2006 $10,000 $10,000
11/30/2006 $10,332 10,298
12/31/2006 $10,735 10,593
1/31/2007 $10,938 10,658
2/28/2007 $10,928 10,743
3/31/2007 $11,281 11,018
4/30/2007 $11,851 11,520
5/31/2007 $12,256 11,775
6/30/2007 $12,166 11,787
7/31/2007 $11,828 11,624
8/31/2007 $11,696 11,456
9/30/2007 $12,306 12,107
10/31/2007 $12,903 12,633
11/30/2007 $12,121 12,139
12/31/2007 $11,860 11,911
1/31/2008 $10,900 10,837
2/29/2008 $10,761 11,033
3/31/2008 $10,890 10,876
4/30/2008 $11,376 11,480
5/31/2008 $11,382 11,655
6/30/2008 $10,256 10,748
7/31/2008 $9,966 10,366
8/31/2008 $9,549 9,965
9/30/2008 $8,434 8,526
10/31/2008 $6,319 6,753
11/30/2008 $5,931 6,386
12/31/2008 $6,380 6,723
1/31/2009 $5,499 6,096
2/28/2009 $4,824 5,479
3/31/2009 $5,350 5,840
4/30/2009 $6,336 6,593
5/31/2009 $7,277 7,427
6/30/2009 $7,166 7,350
7/31/2009 $8,019 8,040
8/31/2009 $8,479 8,425
9/30/2009 $8,911 8,773
10/31/2009 $8,556 8,632
11/30/2009 $8,811 8,845
12/31/2009 $8,911 8,986
1/31/2010 $8,396 8,565
2/28/2010 $8,429 8,557
3/31/2010 $9,094 9,107
4/30/2010 $8,939 8,972
5/31/2010 $7,892 7,982
6/30/2010 $7,753 7,866
7/31/2010 $8,723 8,593
8/31/2010 $8,296 8,336
9/30/2010 $9,188 9,136
10/31/2010 $9,509 9,462
11/30/2010 $9,033 9,061
12/31/2010 $9,875 9,790
1/31/2011 $10,295 10,001
2/28/2011 $10,639 10,372
3/31/2011 $10,345 10,164
4/30/2011 $10,899 10,718
5/31/2011 $10,506 10,400
6/30/2011 $10,362 10,252
7/31/2011 $10,030 10,083
8/31/2011 $8,955 9,231
9/30/2011 $7,975 8,304
10/31/2011 $8,745 9,111
11/30/2011 $8,457 8,690
12/31/2011 $8,230 8,595
1/31/2012 $8,784 9,059
2/29/2012 $9,243 9,557
3/31/2012 $9,166 9,487
4/30/2012 $8,839 9,326
5/31/2012 $7,748 8,262
6/30/2012 $8,296 8,804
7/31/2012 $8,263 8,913
8/31/2012 $8,606 9,168
9/30/2012 $8,911 9,446
10/31/2012 $9,022 9,512
11/30/2012 $9,166 9,712
12/31/2012 $9,614 10,006
1/31/2013 $10,068 10,498
2/28/2013 $9,764 10,393
3/31/2013 $9,797 10,476
4/30/2013 $10,279 10,953
5/31/2013 $10,157 10,708
6/30/2013 $9,797 10,307
7/31/2013 $10,467 10,855
8/31/2013 $10,395 10,715
9/30/2013 $11,176 11,472
10/31/2013 $11,564 11,857
11/30/2013 $11,608 11,930
12/31/2013 $11,863 12,110
1/31/2014 $11,431 11,621
2/28/2014 $12,084 12,255
3/31/2014 $11,996 12,200
4/30/2014 $12,201 12,392
5/31/2014 $12,339 12,584
6/30/2014 $12,489 12,763
7/31/2014 $12,212 12,536
8/31/2014 $12,217 12,546
9/30/2014 $11,680 12,030
10/31/2014 $11,481 11,839
11/30/2014 $11,486 11,985
12/31/2014 $11,060 11,586
1/31/2015 $10,988 11,545
2/28/2015 $11,774 12,235
3/31/2015 $11,525 12,030
4/30/2015 $12,156 12,551
5/31/2015 $12,162 12,442
6/30/2015 $11,813 12,089
7/31/2015 $11,697 12,280
8/31/2015 $10,827 11,386
9/30/2015 $10,091 10,811
10/31/2015 $10,866 11,624
11/30/2015 $10,722 11,439
12/31/2015 $10,378 11,234
1/31/2016 $9,570 10,461
2/28/2016 $9,265 10,315
3/31/2016 $9,969 11,015
4/30/2016 $10,450 11,369
5/31/2016 $10,257 11,241
6/30/2016 $9,886 10,899
7/31/2016 $10,323 11,435
8/31/2016 $10,600 11,446
9/30/2016 $10,716 11,585
10/31/2016 $10,855 11,360
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2016, all
-0.10% 4.42% 0.82% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The U.S. Large Cap Value Series Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2006 $10,000 $10,000
11/30/2006 $10,190 10,228
12/31/2006 $10,395 10,458
1/31/2007 $10,698 10,592
2/28/2007 $10,537 10,427
3/31/2007 $10,610 10,588
4/30/2007 $11,062 10,979
5/31/2007 $11,518 11,375
6/30/2007 $11,332 11,109
7/31/2007 $10,630 10,595
8/31/2007 $10,427 10,714
9/30/2007 $10,699 11,082
10/31/2007 $10,759 11,083
11/30/2007 $10,158 10,542
12/31/2007 $10,124 10,440
1/31/2008 $9,737 10,022
2/29/2008 $9,439 9,602
3/31/2008 $9,351 9,530
4/30/2008 $9,940 9,994
5/31/2008 $10,179 9,978
6/30/2008 $9,063 9,023
7/31/2008 $8,964 8,991
8/31/2008 $9,138 9,144
9/30/2008 $8,317 8,472
10/31/2008 $6,447 7,005
11/30/2008 $5,815 6,503
12/31/2008 $6,004 6,593
1/31/2009 $5,291 5,835
2/28/2009 $4,550 5,055
3/31/2009 $4,999 5,488
4/30/2009 $5,808 6,076
5/31/2009 $6,253 6,452
6/30/2009 $6,176 6,404
7/31/2009 $6,765 6,928
8/31/2009 $7,224 7,290
9/30/2009 $7,540 7,572
10/31/2009 $7,215 7,340
11/30/2009 $7,621 7,754
12/31/2009 $7,832 7,891
1/31/2010 $7,650 7,669
2/28/2010 $7,980 7,911
3/31/2010 $8,602 8,426
4/30/2010 $8,875 8,645
5/31/2010 $8,114 7,934
6/30/2010 $7,502 7,487
7/31/2010 $8,090 7,994
8/31/2010 $7,602 7,652
9/30/2010 $8,344 8,246
10/31/2010 $8,655 8,493
11/30/2010 $8,588 8,448
12/31/2010 $9,425 9,115
1/31/2011 $9,726 9,321
2/28/2011 $10,253 9,665
3/31/2011 $10,300 9,703
4/30/2011 $10,563 9,962
5/31/2011 $10,410 9,856
6/30/2011 $10,229 9,654
7/31/2011 $9,760 9,334
8/31/2011 $8,937 8,752
9/30/2011 $8,033 8,090
10/31/2011 $9,147 9,016
11/30/2011 $9,071 8,970
12/31/2011 $9,143 9,151
1/31/2012 $9,597 9,497
2/29/2012 $10,152 9,875
3/31/2012 $10,339 10,168
4/30/2012 $10,128 10,064
5/31/2012 $9,410 9,474
6/30/2012 $9,918 9,945
7/31/2012 $10,013 10,047
8/31/2012 $10,410 10,266
9/30/2012 $10,793 10,591
10/31/2012 $10,822 10,539
11/30/2012 $10,846 10,535
12/31/2012 $11,176 10,753
1/31/2013 $11,956 11,452
2/28/2013 $12,109 11,616
3/31/2013 $12,688 12,076
4/30/2013 $12,822 12,259
5/31/2013 $13,348 12,573
6/30/2013 $13,200 12,463
7/31/2013 $13,989 13,135
8/31/2013 $13,578 12,637
9/30/2013 $13,975 12,954
10/31/2013 $14,683 13,521
11/30/2013 $15,300 13,898
12/31/2013 $15,706 14,250
1/31/2014 $15,085 13,744
2/28/2014 $15,596 14,338
3/31/2014 $15,965 14,681
4/30/2014 $16,070 14,820
5/31/2014 $16,424 15,037
6/30/2014 $16,869 15,430
7/31/2014 $16,749 15,167
8/31/2014 $17,280 15,725
9/30/2014 $16,855 15,400
10/31/2014 $16,984 15,746
11/30/2014 $17,185 16,069
12/31/2014 $17,314 16,167
1/31/2015 $16,458 15,521
2/28/2015 $17,620 16,272
3/31/2015 $17,285 16,050
4/30/2015 $17,635 16,200
5/31/2015 $17,831 16,395
6/30/2015 $17,544 16,068
7/31/2015 $17,501 16,138
8/31/2015 $16,438 15,177
9/30/2015 $15,912 14,719
10/31/2015 $17,209 15,830
11/30/2015 $17,276 15,890
12/31/2015 $16,735 15,548
1/31/2016 $15,596 14,745
2/28/2016 $15,625 14,741
3/31/2016 $16,764 15,803
4/30/2016 $17,218 16,135
5/31/2016 $17,453 16,386
6/30/2016 $17,434 16,527 Past performance is not predictive of
7/31/2016 $18,036 17,007 future performance.
8/31/2016 $18,252 17,138 The returns shown do not reflect the
9/30/2016 $18,338 17,103 deduction of taxes that a shareholder
10/31/2016 $18,027 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
4.75% 14.53% 6.07% reserved.
--------------------------------------------------------------------------------
24
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 Value Series Russell 3000/R/ Value Index
----------------------- ---------------------------
10/31/2006 $10,000 $10,000
11/30/2006 10,248 10,233
12/31/2006 10,443 10,450
1/31/2007 10,718 10,586
2/28/2007 10,580 10,424
3/31/2007 10,702 10,582
4/30/2007 11,082 10,948
5/31/2007 11,604 11,343
6/30/2007 11,356 11,078
7/31/2007 10,739 10,529
8/31/2007 10,681 10,655
9/30/2007 10,950 10,995
10/31/2007 10,960 11,006
11/30/2007 10,317 10,445
12/31/2007 10,274 10,345
1/31/2008 9,868 9,930
2/29/2008 9,509 9,515
3/31/2008 9,335 9,460
4/30/2008 9,863 9,908
5/31/2008 10,084 9,920
6/30/2008 8,971 8,971
7/31/2008 8,902 8,976
8/31/2008 9,082 9,151
9/30/2008 8,311 8,499
10/31/2008 6,454 7,008
11/30/2008 5,815 6,481
12/31/2008 6,011 6,595
1/31/2009 5,230 5,821
2/28/2009 4,528 5,041
3/31/2009 5,003 5,473
4/30/2009 5,868 6,083
5/31/2009 6,311 6,438
6/30/2009 6,222 6,393
7/31/2009 6,860 6,933
8/31/2009 7,314 7,293
9/30/2009 7,641 7,582
10/31/2009 7,277 7,328
11/30/2009 7,615 7,727
12/31/2009 7,894 7,898
1/31/2010 7,673 7,675
2/28/2010 8,026 7,926
3/31/2010 8,660 8,454
4/30/2010 8,997 8,704
5/31/2010 8,227 7,987
6/30/2010 7,599 7,517
7/31/2010 8,206 8,028
8/31/2010 7,668 7,664
9/30/2010 8,433 8,276
10/31/2010 8,760 8,530
11/30/2010 8,781 8,505
12/31/2010 9,609 9,179
1/31/2011 9,847 9,370
2/28/2011 10,401 9,727
3/31/2011 10,470 9,773
4/30/2011 10,718 10,025
5/31/2011 10,549 9,913
6/30/2011 10,364 9,706
7/31/2011 9,926 9,384
8/31/2011 9,098 8,779
9/30/2011 8,174 8,092
10/31/2011 9,314 9,037
11/30/2011 9,240 8,992
12/31/2011 9,335 9,170
1/31/2012 9,821 9,538
2/29/2012 10,338 9,899
3/31/2012 10,559 10,193
4/30/2012 10,364 10,086
5/31/2012 9,636 9,492
6/30/2012 10,142 9,962
7/31/2012 10,232 10,050
8/31/2012 10,617 10,275
9/30/2012 10,997 10,604
10/31/2012 11,034 10,546
11/30/2012 11,103 10,544
12/31/2012 11,425 10,779
1/31/2013 12,179 11,475
2/28/2013 12,369 11,638
3/31/2013 12,982 12,100
4/30/2013 13,071 12,268
5/31/2013 13,499 12,587
6/30/2013 13,420 12,481
7/31/2013 14,237 13,165
8/31/2013 13,815 12,659
9/30/2013 14,322 13,008
10/31/2013 14,997 13,566
11/30/2013 15,620 13,957
12/31/2013 16,053 14,303
1/31/2014 15,420 13,791
2/28/2014 15,984 14,390
3/31/2014 16,222 14,721
4/30/2014 16,259 14,819
5/31/2014 16,644 15,027
6/30/2014 17,071 15,440
7/31/2014 16,807 15,123
8/31/2014 17,425 15,687
9/30/2014 16,982 15,306
10/31/2014 17,272 15,704
11/30/2014 17,499 15,995
12/31/2014 17,673 16,119
1/31/2015 16,786 15,472
2/28/2015 18,005 16,218
3/31/2015 17,831 16,036
4/30/2015 18,016 16,147
5/31/2015 18,290 16,336
6/30/2015 18,100 16,036
7/31/2015 18,153 16,064
8/31/2015 17,008 15,121
9/30/2015 16,475 14,659
10/31/2015 17,778 15,742
11/30/2015 17,810 15,833
12/31/2015 17,214 15,453
1/31/2016 16,116 14,636
2/29/2016 16,079 14,640
3/31/2016 17,208 15,707
4/30/2016 17,641 16,037
5/31/2016 17,847 16,289
6/30/2016 17,826 16,424
7/31/2016 18,311 16,931
8/31/2016 18,501 17,083
9/30/2016 18,586 17,060
10/31/2016 18,274 16,774
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
----------------------------------------------------------- Investment Group 1995-2016, all rights
2.79% 14.43% 6.21% reserved.
--------------------------------------------------------------------------------
25
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index........... -2.27%
MSCI World ex USA Small Cap Index. 3.96%
MSCI World ex USA Value Index..... -2.07%
MSCI World ex USA Growth Index.... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 p.m. London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
INTERNATIONAL EQUITY 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.
26
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.
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large-cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index SM.......... 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)............. 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks)........... -0.49%
Russell 1000(R) Value Index (large-cap value stocks)............. 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks)........... 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW
THE U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large-cap value stocks. Value is measured primarily by book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2016, the Series held approximately 300 securities. In
general, average cash exposure throughout the year was less than 1% of the
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. 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.
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,
27
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. When compared to the benchmark, the
Series emphasizes lower relative price securities, which detracted from the
Series' performance as the lowest relative price quartile 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.
28
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 DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $1,038.70 0.20% $1.02
Hypothetical 5% Annual Return...... $1,000.00 $1,024.13 0.20% $1.02
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
29
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 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.
30
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 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 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%
Real Estate.................................. --
Telecommunication Services................... 4.8%
Utilities.................................... 0.2%
-----
100.0%
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%
31
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%
------------ ----
32
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (0.3%)
Other Securities...................... $ 27,555,506 0.3%
-------------- -----
ISRAEL -- (0.4%)
Other Securities...................... 37,197,840 0.4%
-------------- -----
ITALY -- (0.9%)
Other Securities...................... 89,098,627 0.9%
-------------- -----
JAPAN -- (22.1%)
Hitachi, Ltd.......................... 10,841,000 57,792,205 0.6%
Honda Motor Co., Ltd.................. 3,689,000 110,380,798 1.1%
Mitsubishi UFJ Financial Group, Inc... 13,919,406 71,821,469 0.7%
Mizuho Financial Group, Inc........... 49,478,100 83,308,851 0.9%
Nissan Motor Co., Ltd................. 6,443,700 65,548,427 0.7%
Sumitomo Mitsui Financial Group, Inc.. 2,854,200 98,959,858 1.0%
Other Securities...................... 1,732,718,474 17.8%
-------------- -----
TOTAL JAPAN............................... 2,220,530,082 22.8%
-------------- -----
NETHERLANDS -- (3.2%)
ING Groep NV.......................... 6,261,830 82,199,110 0.8%
Koninklijke DSM NV.................... 739,169 47,509,724 0.5%
Koninklijke Philips NV................ 1,794,168 54,062,166 0.6%
Other Securities...................... 133,730,760 1.4%
-------------- -----
TOTAL NETHERLANDS......................... 317,501,760 3.3%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities...................... 12,145,818 0.1%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 77,275,822 0.8%
-------------- -----
PORTUGAL -- (0.0%)
Other Securities...................... 4,088,097 0.0%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities...................... 99,362,354 1.0%
-------------- -----
SPAIN -- (2.8%)
Banco Santander SA.................... 38,416,551 188,242,084 1.9%
Other Securities...................... 91,349,479 1.0%
-------------- -----
TOTAL SPAIN............................... 279,591,563 2.9%
-------------- -----
SWEDEN -- (2.2%)
Nordea Bank AB........................ 4,880,877 51,293,747 0.5%
Other Securities...................... 170,725,504 1.8%
-------------- -----
TOTAL SWEDEN.............................. 222,019,251 2.3%
-------------- -----
SWITZERLAND -- (7.6%)
ABB, Ltd.............................. 4,800,878 99,044,119 1.0%
Cie Financiere Richemont SA........... 1,271,917 81,771,387 0.8%
Novartis AG........................... 1,332,371 94,555,149 1.0%
Swiss Re AG........................... 1,037,390 96,281,939 1.0%
UBS Group AG.......................... 3,448,485 48,753,503 0.5%
Zurich Insurance Group AG............. 326,468 85,455,128 0.9%
Other Securities...................... 255,861,140 2.6%
-------------- -----
TOTAL SWITZERLAND......................... 761,722,365 7.8%
-------------- -----
33
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (17.7%)
* Anglo American P.L.C.............................. 3,284,169 $ 45,581,653 0.5%
Barclays P.L.C. Sponsored ADR..................... 4,766,662 43,948,624 0.5%
BP P.L.C. Sponsored ADR........................... 10,710,966 380,774,841 3.9%
* Glencore P.L.C.................................... 33,377,354 102,171,610 1.1%
HSBC Holdings P.L.C............................... 21,477,669 161,751,262 1.7%
# HSBC Holdings P.L.C. Sponsored ADR................ 3,019,816 113,635,676 1.2%
Royal Dutch Shell P.L.C. Class A.................. 2,199,265 54,777,180 0.6%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 3,177,301 158,261,344 1.6%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 3,794,361 198,483,024 2.0%
Vodafone Group P.L.C.............................. 58,351,986 160,253,496 1.6%
# Vodafone Group P.L.C. Sponsored ADR............... 4,011,201 111,671,843 1.1%
Other Securities.................................. 242,436,613 2.4%
--------------- ------
TOTAL UNITED KINGDOM.................................... 1,773,747,166 18.2%
--------------- ------
UNITED STATES -- (0.0%)
Other Securities.................................. 812,282 0.0%
--------------- ------
TOTAL COMMON STOCKS..................................... 9,571,294,827 98.4%
--------------- ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG..................................... 535,010 73,764,785 0.8%
Other Securities.................................. 18,272,581 0.1%
--------------- ------
TOTAL GERMANY........................................... 92,037,366 0.9%
--------------- ------
TOTAL PREFERRED STOCKS.................................. 92,037,366 0.9%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities.................................. 2,150,761 0.0%
--------------- ------
SWEDEN -- (0.0%)
Other Securities.................................. 251,828 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................................... 2,402,589 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............................. 9,665,734,782
---------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund.................... 31,982,623 370,102,917 3.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,045,898,931)................................ $10,035,837,699 103.1%
=============== ======
34
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2016, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- ---------------
Common Stocks
Australia........................................ $ 63,077,009 $ 572,005,173 -- $ 635,082,182
Austria.......................................... -- 7,798,226 -- 7,798,226
Belgium.......................................... -- 121,053,616 -- 121,053,616
Canada........................................... 764,728,758 -- -- 764,728,758
Denmark.......................................... -- 175,349,382 -- 175,349,382
Finland.......................................... 2,470,632 72,755,342 -- 75,225,974
France........................................... 260,795 890,242,846 -- 890,503,641
Germany.......................................... 67,367,734 642,107,155 -- 709,474,889
Hong Kong........................................ -- 269,429,626 -- 269,429,626
Ireland.......................................... 9,750,918 17,804,588 -- 27,555,506
Israel........................................... -- 37,197,840 -- 37,197,840
Italy............................................ 17,693,989 71,404,638 -- 89,098,627
Japan............................................ 32,899,160 2,187,630,922 -- 2,220,530,082
Netherlands...................................... 41,922,122 275,579,638 -- 317,501,760
New Zealand...................................... -- 12,145,818 -- 12,145,818
Norway........................................... 10,177,330 67,098,492 -- 77,275,822
Portugal......................................... -- 4,088,097 -- 4,088,097
Singapore........................................ -- 99,362,354 -- 99,362,354
Spain............................................ 3,796,801 275,794,762 -- 279,591,563
Sweden........................................... 4,064,405 217,954,846 -- 222,019,251
Switzerland...................................... 27,724,389 733,997,976 -- 761,722,365
United Kingdom................................... 1,033,348,012 740,399,154 -- 1,773,747,166
United States.................................... -- 812,282 -- 812,282
Preferred Stocks
Germany.......................................... -- 92,037,366 -- 92,037,366
Rights/Warrants
Spain............................................ -- 2,150,761 -- 2,150,761
Sweden........................................... -- 251,828 -- 251,828
Securities Lending Collateral..................... -- 370,102,917 -- 370,102,917
Futures Contracts**............................... (851,802) -- -- (851,802)
-------------- -------------- -- ---------------
TOTAL............................................. $2,078,430,252 $7,956,555,645 -- $10,034,985,897
============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
35
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%
-------------- -----
36
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%
=============== ======
37
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 H)
See accompanying Notes to Financial Statements.
38
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%
39
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%
============== ======
40
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.
41
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
THE TAX-
THE DFA THE U.S. LARGE MANAGED U.S.
INTERNATIONAL CAP VALUE MARKETWIDE
VALUE SERIES* SERIES VALUE SERIES
------------- -------------- ------------
ASSETS:
Investments at Value (including $362,128, $1,407,685 and $379,738 of
securities on loan).............................................................. $ 9,665,735 $20,729,659 $5,530,713
Temporary Cash Investments at Value & Cost........................................ -- 200,994 11,204
Collateral from Securities on Loan Invested in Affiliate at Value (including cost
of $370,043, $820,520 and $304,624).............................................. 370,103 820,651 304,658
Segregated Cash for Futures Contracts............................................. 1,176 6,012 --
Foreign Currencies at Value....................................................... 9,101 -- --
Cash.............................................................................. 17,431 -- --
Receivables:
Investment Securities Sold...................................................... -- 56,993 7,297
Dividends, Interest and Tax Reclaims............................................ 38,076 22,805 6,133
Securities Lending Income....................................................... 158 228 63
Futures Margin Variation........................................................ 13 -- --
----------- ----------- ----------
Total Assets................................................................. 10,101,793 21,837,342 5,860,068
----------- ----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................ 370,018 820,496 304,621
Investment Securities Purchased................................................. -- 97,218 15,799
Due to Advisor.................................................................. 1,649 1,787 947
Futures Margin Variation........................................................ -- 247 --
Accrued Expenses and Other Liabilities............................................ 586 1,026 297
----------- ----------- ----------
Total Liabilities............................................................ 372,253 920,774 321,664
----------- ----------- ----------
NET ASSETS........................................................................ $ 9,729,540 $20,916,568 $5,538,404
=========== =========== ==========
Investments at Cost............................................................... $ 9,675,856 $15,139,595 $3,355,562
=========== =========== ==========
Foreign Currencies at Cost........................................................ $ 9,131 $ -- $ --
=========== =========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
42
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
THE TAX-
THE DFA THE U.S. MANAGED U.S.
INTERNATIONAL LARGE CAP MARKETWIDE
VALUE SERIES VALUE SERIES VALUE SERIES
------------- ------------ ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $27,352, $20 and $4,
respectively).................................................... $ 341,886 $481,935 $ 119,737
Interest.......................................................... -- 712 --
Income from Securities Lending.................................... 9,676 3,444 909
--------- -------- ---------
Total Investment Income........................................ 351,562 486,091 120,646
--------- -------- ---------
EXPENSES
Investment Management Fees........................................ 17,844 19,402 10,647
Accounting & Transfer Agent Fees.................................. 449 954 262
Custodian Fees.................................................... 771 190 47
Shareholders' Reports............................................. 38 81 22
Directors'/Trustees' Fees & Expenses.............................. 62 134 37
Professional Fees................................................. 265 361 100
Other............................................................. 339 531 154
--------- -------- ---------
Total Expenses................................................. 19,768 21,653 11,269
--------- -------- ---------
Fees Paid Indirectly (Note C)..................................... (212) -- --
--------- -------- ---------
Net Expenses...................................................... 19,556 21,653 11,269
--------- -------- ---------
NET INVESTMENT INCOME (LOSS)...................................... 332,006 464,438 109,377
--------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................... (261,808) 567,193 194,648
Futures......................................................... 5,988 21,037 5,998
Foreign Currency Transactions................................... 5,590 -- --
Forward Currency Contracts...................................... 8 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... (32,753) (57,128) (153,025)
Futures......................................................... (852) (3,872) --
Translation of Foreign Currency Denominated Amounts............. (908) -- --
--------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... (284,735) 527,230 47,621
--------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..... $ 47,271 $991,668 $ 156,998
========= ======== =========
----------
**Net of foreign capital gain taxes withheld of $0, $0, and $0, respectively.
See accompanying Notes to Financial Statements.
43
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE DFA INTERNATIONAL THE U.S. LARGE CAP VALUE THE TAX-MANAGED U.S.
VALUE SERIES SERIES MARKETWIDE VALUE SERIES
----------------------- ------------------------ ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
---------- ----------- ----------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 332,006 $ 313,826 $ 464,438 $ 413,724 $ 109,377 $ 96,469
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... (261,808) 244,684 567,193 858,150 194,648 88,248
Futures.............................. 5,988 -- 21,037 (43) 5,998 --
Foreign Currency Transactions........ 5,590 (5,879) -- -- -- --
Forward Currency Contracts........... 8 -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ (32,753) (1,034,230) (57,128) (1,018,426) (153,025) (36,271)
Futures.............................. (852) -- (3,872) -- -- --
Translation of Foreign Currency
Denominated Amounts................. (908) 654 -- -- -- --
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 47,271 (480,945) 991,668 253,405 156,998 148,446
---------- ----------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions.......................... 1,394,282 1,070,207 1,812,211 1,769,181 280,866 247,754
Withdrawals............................ (939,918) (705,023) (981,368) (1,305,211) (247,872) (191,765)
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest........... 454,364 365,184 830,843 463,970 32,994 55,989
---------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... 501,635 (115,761) 1,822,511 717,375 189,992 204,435
NET ASSETS
Beginning of Year...................... 9,227,905 9,343,666 19,094,057 18,376,682 5,348,412 5,143,977
---------- ----------- ----------- ----------- ---------- ----------
End of Year............................ $9,729,540 $ 9,227,905 $20,916,568 $19,094,057 $5,538,404 $5,348,412
========== =========== =========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
44
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE DFA INTERNATIONAL VALUE SERIES
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
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%
---------------------------------------------------------------------------------------------------------------------------
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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
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 page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
45
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, three of which, The DFA International
Value Series, The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series (the "Series"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
The Series are investment companies and, accordingly, follow the accounting and
reporting guidance under Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the 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.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each
46
day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset value of the International Series is computed. Due to
the time differences between the closings of the relevant foreign securities
exchanges and the time the International Series prices its shares at the close
of the NYSE, the International Series will fair value its foreign investments
when it is determined that the market quotations for the foreign investments
are either unreliable or not readily available. The fair value prices will
attempt to reflect the impact of the U.S. financial markets' perceptions and
trading activities on International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). When the
International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
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.
For the year ended October 31, 2016, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign 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 Series and the U.S. dollar equivalent amounts actually received
or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such 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.
47
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 the Series are
allocated using methods approved by the Board of Trustees, generally based on
average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 2016, the investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.20%, 0.10%, and 0.20% of average daily net assets
for The DFA International Value Series, The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, respectively.
EARNED INCOME CREDIT:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of The DFA International Value 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
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.
48
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 DFA International Value Series........... $321
The U.S. Large Cap Value Series.............. 478
The Tax-Managed U.S. Marketwide Value Series. 142
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, the Series made the following purchases
and sales of investment securities, other than short-term securities and U.S.
government securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The DFA International Value Series........... $2,247,033 $1,472,195
The U.S. Large Cap Value Series.............. 4,375,099 2,884,283
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.
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 DFA International Value Series........... $10,045,899 $1,179,180 $(1,189,241) $ (10,061)
The U.S. Large Cap Value Series.............. 16,161,109 6,178,300 (588,105) 5,590,195
The Tax-Managed U.S. Marketwide Value Series. 3,671,391 2,270,876 (95,691) 2,175,185
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 the 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.
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
49
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The International Series may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge the International Series' currency exposure with
respect to a foreign market will be based primarily on the Series' existing
exposure to a given foreign currency. Each contract is valued daily and the
change in value is recorded by the Series as an unrealized gain or loss, which
is presented in the 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. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value of foreign
currency relative to the U.S. dollar.
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposit cash or pledge U.S. government securities
to a broker, equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and
are recorded daily by the Series as unrealized gains or losses until the
contracts are closed. When the contracts are closed, the Series record a
realized gain or loss, which is presented in the Statements of Operations as a
net realized gain or loss on futures, equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, 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):
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
======= ===== ======
UNREALIZED
EXPIRATION NUMBER OF CONTRACT GAIN CASH
DESCRIPTION DATE CONTRACTS VALUE (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
======== ======= ======
50
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 DFA International Value Series*........... $402 $ 58,270
The U.S. Large Cap Value Series*.............. -- 108,242
The Tax-Managed U.S. Marketwide Value Series*. -- 19,306
* 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
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
--------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2016 CONTRACTS*
---------------- ----------
The DFA International Value Series. $ (852) $ (852)
The U.S. Large Cap Value Series.... (3,872) (3,872)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location 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
--------------- --------------------------------------
Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
The DFA International Value Series........... $ 5,996 $ 8 $ 5,988
The U.S. Large Cap Value Series.............. 21,037 -- 21,037
The Tax-Managed U.S. Marketwide Value Series. 5,998 -- 5,998
51
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
The DFA International Value Series*. $ (852) -- $ (852)
The U.S. Large Cap Value Series..... (3,872) -- (3,872)
* As of October 31, 2016, there were no forward currency contracts outstanding.
During the year ended October 31, 2016, the Series had limited activity in
futures contracts.
H. LINE OF CREDIT:
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 DFA International Value Series.... 0.96% $ 6,426 14 $2 $40,666
The U.S. Large Cap Value Series....... 0.87% 53,510 3 4 56,418
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 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.
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.
52
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 DFA International Value Series........... $100,986 $137,382 $(50,541)
The U.S. Large Cap Value Series.............. 259,866 167,106 13,371
The Tax-Managed U.S. Marketwide Value Series. 46,069 25,777 6,766
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. Each
Series invests the cash collateral, as described below, and records a liability
for the return of the collateral, during the period the securities are on loan.
The non-cash collateral includes short-and/or long-term U.S. Treasuries and
U.S. Government agency securities with a market value of $631,247, $21,237 and
$85,241 (amounts in thousands). Loans of securities are expected at all times
to be secured by collateral in an amount (i) equal to at least 100% of the
current market value of the loaned securities with respect to securities of the
U.S. government or its agencies, (ii) generally equal to 102% of the current
market value of the loaned securities with respect to U.S. securities, and
(iii) generally equal to 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities. In the event of the bankruptcy of the borrower, a Series could
experience delay in recovering the loaned securities or only recover cash or a
security of equivalent value.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Such Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks..................... $370,102,917 -- -- -- $370,102,917
THE U.S. LARGE CAP VALUE SERIES
Common Stocks, Right/Warrants..... $820,651,306 -- -- -- $820,651,306
THE TAX-MANAGED U.S. MARKETWIDE
VALUE SERIES
Common Stocks, Rights/Warrants.... $304,658,223 -- -- -- $304,658,223
53
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. OTHER:
The Series 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 and The Tax-Managed U.S. Marketwide Value
Series have been named as a defendants in a multi-district litigation pending
in the United States District Court for the Southern District of New York (the
"Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
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, but the Second Circuit denied the petition. The Committee Action
remains pending, and a motion to dismiss on behalf of all shareholder
defendants in the Committee Action was filed on May 23, 2014. The motion to
dismiss is fully-briefed, and the parties await the scheduling of oral argument
on the motion. The Committee Action is stayed pending the disposition of the
motion to dismiss.
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits has advised management that it
does not believe that it is possible, at this early stage in the proceedings,
to predict with any reasonable certainty the probable outcome of the Lawsuits
or quantify the ultimate exposure to The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the respective net asset value of The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series will be made
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery the plaintiffs seek, the amount would be less than
1% of the respective net asset value of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from its net asset value. Therefore, at this time, those investors
buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series, with no adjustment relating to
the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be
taken as expenses by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expense incurred by The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series.
54
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.
55
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of the Series, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The DFA International Value Series, The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series (constituting portfolios within The
DFA Investment Trust Company, hereafter referred to as the "Series") 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
56
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.
57
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
----------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
----------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and DIG. investment companies of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
----------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Distinguished
Director of DFAIDG and DIG DIG-Since 1993 investment companies Service Professor of Economics, University of
Trustee of DFAITC and DEM DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
The University of Chicago DEM-Since 1993 Member and Chair, Competitive Markets Advisory
Booth School of Business Council, Chicago Mercantile Exchange (futures
5807 S. Woodlawn Avenue trading exchange) (since 2004). Trustee, Harbor
Chicago, IL 60637 Fund (registered investment company)
1939 (29 Portfolios) (since 1994). Formerly, Member of
the Board of Milwaukee Insurance Company
(1997-2010).
----------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Yale School of Management DEM-Since 1993 fund and asset manager) (since 2001). Consultant
P.O. Box 208200 to Morningstar Inc. (since 2006). Formerly,
New Haven, CT 06520-8200 Director, BIRR Portfolio Analysis, Inc. (software
1943 Products) (1990- 2010).
----------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM DFAITC-Since 2010 Professor of Human Resources Management and
Stanford University Graduate DEM-Since 2010 Economics, Graduate School of Business, Stanford
School of Business University (since 1995). Cornerstone Research
434 Galvez Mall (expert testimony and economic and financial
Stanford, CA 94305 analysis) (since 2009). Formerly, Chairman of the
1948 President George W. Bush's Council of Economic
Advisors, State of California (2005-2006).
Formerly, Commissioner, White House Panel on Tax
Reform (2005)
----------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital Group
Director of DFAIDG and DIG DIG-Since 1993 investment companies Inc. (since 2014). Frank E. Buck Professor of
Trustee of DFAITC and DEM DFAITC-Since 1992 Finance Emeritus, Graduate School of Business,
c/o Dimensional Fund DEM-Since 1993 Stanford University (since 1981). Chairman,
Advisers, LP Ruapay Inc. (since 2013). Formerly, Chairman,
6300 Bee Cave Road Platinum Grove Asset Management, L.P. (hedge
Building 1 fund) (formerly, Oak Hill Platinum Partners)
Austin, TX 78746 (1999-2009). Formerly, Director, American Century
1941 Fund Complex (registered investment companies)
(43 Portfolios) (1980-2014).
----------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG DIG-Since 2000 investment companies Professor of Accounting, University of Chicago
Trustee of DFAITC and DEM DFAITC-Since 2000 Booth School of Business (since 1980). Director,
The University of Chicago DEM-Since 2000 HNI Corporation (formerly known as HON Industries
Booth School of Business Inc.) (office furniture) (since 2000). Director,
5807 S. Woodlawn Avenue Ryder System Inc. (transportation, logistics and
Chicago, IL 60637 supply-chain management) (since 2003). Trustee,
1953 UBS Funds (4 investment companies within the fund
complex) (33 portfolios) (since 2009). Formerly,
Co-Director Investment Research, Fundamental
Investment Advisors (hedge fund) (2008-2011).
58
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
Executive Officer DEM-Since 1993 companies: Dimensional Holdings Inc., Dimensional
6300 Bee Cave Road Fund Advisors LP, DFA Securities LLC, DEM,
Building One DFAIDG, DIG and DFAITC (collectively, the "DFA
Austin, TX 78746 Entities"). Director of Dimensional Fund Advisors
1946 Ltd. and formerly, Chief Investment Officer.
Director of DFA Australia Limited and formerly,
President and Chief Investment Officer. Director
of Dimensional Advisors Ltd., Dimensional Funds
plc and Dimensional Funds II plc. Formerly,
President, Dimensional SmartNest (US) LLC
(2009-2014). Formerly, Limited Partner, Oak Hill
Partners (2001-2010). Limited Partner, VSC
Investors, LLC (since 2007). Trustee, University
of Chicago. Trustee, University of Kansas
Endowment Association. Formerly, Director, SA
Funds (registered investment company). Chairman,
Director and Co-Chief Executive Officer of
Dimensional Fund Advisors Canada ULC. Director
and President (since 2012) of Dimensional Japan
Ltd. Chairman, Director, President, and Co-Chief
Executive Officer of Dimensional Cayman Commodity
Fund I Ltd. (since 2010).
-----------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning
Director/Trustee, Co-Chief DIG-Since 2009 investment companies January 2010), Co-Chief Investment Officer (since
Executive Officer and Co- DFAITC-Since 2009 June 2014), Director/Trustee, and formerly, Chief
Chief Investment Officer DEM-Since 2009 Investment Officer (March 2007-June 2014) of the
6300 Bee Cave Road, DFA Entities. Director, Co-Chief Executive
Building One Officer and Chief Investment Officer (since 2010)
Austin, TX 78746 of Dimensional Cayman Commodity Fund I Ltd.
1967 Director, Co-Chief Executive Officer, President
and Co-Chief Investment Officer of Dimensional
Fund Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014). Co-Chief
Investment Officer, Vice President, and Director
of DFA Australia Limited and formerly, Chief
Investment Officer (until April 2014). Director
of Dimensional Fund Advisors Ltd., Dimensional
Funds plc, Dimensional Funds II plc and
Dimensional Advisors Ltd. Formerly, Vice
President of the DFA Entities and Dimensional
Fund Advisors Canada ULC. Director and Chief
Investment Officer (since December 2012) of
Dimensional Japan Ltd.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
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.
59
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
----------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice
1974 President, Business Development at Capson
Physicians Insurance Company (2010-2012).
----------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2016).
----------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
----------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional
Funds plc and Dimensional Funds II plc (since
November 2013).
----------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
----------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-January
2014) and Research Associate (2006-2011) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors LP
(April 2008-January 2014).
----------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
----------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Pte. and Dimensional Hong Kong Limited. Director,
Vice President, Director and Assistant Secretary of
Dimensional Fund Advisors Canada ULC.
----------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
----------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors LP
(December 2010-January 2012).
----------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund
Advisors LP (October 2010-January 2016).
----------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011).
60
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (2004-June 2011).
-------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
-------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of
1966 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) for
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since
April 2016). Formerly, Portfolio Manager for
Dimensional Fund Advisors LP (October 2005 to
January 2012).
-------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP
(April 2012-January 2014); Vice President and
Counsel for AllianceBernstein L.P. (2006-2012).
-------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director and
1972 Vice President of Dimensional Japan Ltd (since
February 2016). President and Director of
Dimensional Fund Advisors Canada ULC (since
February 2016), Vice President of DFA Australia
Limited (since April 2008) and Director (since Oct
2016). Director of Dimensional Advisors Ltd,
Dimensional Fund Advisors Pte. Ltd., and
Dimensional Hong Kong Limited, (since April 2016),
Vice President of Dimensional Fund Advisors Pte
Ltd. (since June 2016), Head of Global Institutional
Services for Dimensional Fund Advisors LP (since
January 2014). Formerly, Vice President of
Dimensional Fund Advisors Canada ULC (December
2010-February 2016); Head of Institutional, North
America (March 2012 to December 2013) and Head
of Portfolio Management (January 2006 to
March 2012) for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(September 2011-March 2013); Vice President at
MullinTBG (2005-2011).
-------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(August 2010-March 2014).
-------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(2003-March 2014).
-------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2002-January 2012).
-------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
-------------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Senior Associate, Research (January 2015-
January 2016); Associate, Research (January 2014-
January 2015); Analyst, Research (July 2010-
January 2014) for Dimensional Fund Advisors LP.
61
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance
Officer and Chief Privacy Officer of Dimensional
Fund Advisors Canada ULC, Chief Compliance
Officer of Dimensional Fund Advisors Pte. Ltd.
Formerly, Vice President and Global Chief
Compliance Officer for Dimensional SmartNest (US)
LLC (October 2010-2014).
----------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Manager, Research Systems (November 2012-
January 2016) for Dimensional Fund Advisors LP;
Assistant Vice President, Oaktree Capital
Management (April 2011-October 2012.
----------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011-July
2013);Vice President for Towers Watson (formerly,
WellsCanning) (June 2009-July 2011).
----------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 Limited and Dimensional Fund Advisors Canada
ULC.
----------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012-January 2014) and
Senior Associate (August 2010-December 2011) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007-May 2011) for
Morgan Stanley Investment Management.
----------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior
1971 Associate, Research (November 2012-January
2015) for Dimensional Fund Advisors LP; Senior
Consultant, NERA Economic Consulting, New York
(May 2010-November 2012).
----------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data
1972 Officer for Dimensional Fund Advisors LP (since
January 2016).
----------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
----------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP (since
February 2013). Formerly, Senior Manager of
Research and Marketing for Dimensional Fund
Advisors LP (June 2012-January 2013); Director of
Mutual Fund Analysis at Morningstar (January 2008-
May 2012).
----------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008-January 2015) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors Ltd.
(July 2008-March 2013).
62
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, Vice
1970 President for Dimensional SmartNest (US) LLC
(January 2012-November 2014); Senior Vice
President for Morningstar (July 2004-July 2011).
------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock
(2004-January 2012).
------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader
1975 for Dimensional Fund Advisors LP (since 2012).
Formerly, Senior Trader (2009-2012).
------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP
(January 2011-January 2014).
------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Chief Since 2016 Vice President, Chief Financial Officer, and
1958 Financial Officer, and Treasurer of all the DFA Entities. Interim Chief
Treasurer Financial Officer, interim Treasurer and Vice
President of Dimensional Advisors Ltd., Dimensional
Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd,
DFA Australia Ltd. Formerly, interim Chief Financial
Officer and interim Treasurer (April 2016-September
2016), and Controller (August 2015-September
2016) of all the DFA Entities); Vice President of
T. Rowe Price Group, Inc. and Director of Investment
Treasury and Treasurer of the T. Rowe Price Funds
(March 2008-July 2015).
------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
63
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------
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).
-----------------------------------------------------------------------------------------------------------------
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).
64
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
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, 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).
65
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013-January 2015)
for Dimensional Fund Advisors LP; Vice President
and Tax Manager, North America (August 2006-April
2012) for Pacific Investment Management Company.
-----------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
-----------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations (January
2014-January 2015), Manager, Client Systems
(October 2011-January 2014) and RFP Manager
(April 2010-October 2011) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
-----------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January 2015)
for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
-----------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors LP
(January 2009-January 2014).
-----------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014) and
Senior Associate (2011) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1959 Manager, Project Management Office for
Dimensional Fund Advisors LP (October 2006-
January 2016).
-----------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager for
Wells Capital Management (October 2004-
September 2011).
-----------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1974 Regional Director for Dimensional Fund Advisors LP
(September 2013-January 2016); Managing Director,
Client Services, Charles Schwab (December 2009-
August 2013).
-----------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January 2013)
for Dimensional Fund Advisors LP.
66
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 Director, Vice President and Secretary of DFA
Australia Limited and Dimensional Fund Advisors
Ltd. (since February 2002, April 1997, and May
2002, respectively). Vice President and Secretary of
Dimensional Fund Advisors Canada ULC (since
June 2003), Dimensional Cayman Commodity Fund I
Ltd., Dimensional Japan Ltd (since February 2012),
Dimensional Advisors Ltd (since March 2012),
Dimensional Fund Advisors Pte. Ltd. (since June
2012). Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund
Advisors Pte. Ltd. and Dimensional Hong Kong
Limited (since August 2012 and July 2012).
Formerly, Vice President and Secretary of
Dimensional SmartNest (US) LLC (October 2010-
November 2014).
-----------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (July 2008-May 2011).
-----------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors LP
(2008-2010).
-----------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer of Dimensional Fund Advisors LP (since
December 2012). Formerly, Chief Compliance
Officer of Wellington Management Company, LLP
(2004-2011).
-----------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional
Fund Advisors Canada ULC (since April 2016).
Deputy General Counsel, Funds (since 2011).
-----------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Co- Vice President since 2007 Vice President and Co-Chief Investment Officer of all
1976 Chief Investment and Co-Chief Investment the DFA Entities, Dimensional Fund Advisors
Officer Officer since 2014 Canada ULC, and Dimensional Japan Ltd. Director
of Dimensional Funds plc and Dimensional Fund II
plc.
-----------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Senior Compliance Officer for Dimensional Fund
Advisors LP (July 2014-January 2016); Vice
President Regional Head of Investment Compliance,
Asia, PIMCO Asia Private Limited (July 2012-July
2014); Country Compliance Officer, Janus Capital,
Singapore Private Limited (May 2011-June 2012).
-----------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP (since
July 2005).
-----------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
-----------------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(2012-January 2013); Senior Consultant (June 2011-
December 2011) and Senior Investment Analyst and
Consultant (July 2008-June 2011) at Hewitt
EnnisKnupp.
67
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager (January 2015-present). Formerly,
Portfolio Manager (April 2014-January 2015) and
Investment Associate for Dimensional Fund Advisors
LP (July 2012-March 2014).
---------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP. Formerly,
Manager, Advisor Benchmarking (April 2012-
December 2014) for Dimensional Fund Advisors LP;
Senior Manager, Research and Consulting (October
2010-April 2012) for Crain Communications Inc.
---------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February
2015). Formerly, Chief Financial Officer and General
Counsel for Relentless (March 2014-January 2015);
Vice President of all the DFA Entities (January 2013-
March 2014); Counsel for Dimensional Fund
Advisors LP (January 2009-March 2014).
---------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and
Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
for Dimensional Fund Advisors LP (2006-January
2015).
---------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
---------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
---------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002-July 2013) for MFS Investment
Management.
---------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
---------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1978 President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
---------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for Dimensional
Fund Advisors LP (January 2012-January 2014);
Director of Human Resources at Spansion, Inc.
(March 2009-December 2011).
68
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.
69
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund Advisors
LP (November 2009-January 2016).
---------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2012).
---------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
---------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and
Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(September 2008-January 2014).
---------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP (since
2004).
---------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Director of Marketing
and Investor Relations for Treaty Oak Capital
Management (July 2011-October 2011); Vice
President for Rockspring Capital (October 2010-July
2011).
---------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1985 Regional Director (January 2014-January 2016) and
Senior Associate (January 2011-December 2013).for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1968 Counsel for Dimensional Fund Advisors LP (July
2014-January 2016); Assistant General Counsel,
Teacher Retirement System of Texas (October
2008-June 2014).
---------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
---------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
---------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFDA Entities. Formerly,
1975 Client Service Supervisor for Dowling & Yahnke
(July 2014-January 2016); Head of Operations for
The Elements Financial Group (January 2013-June
2014); Head of Operations for Vericimetry Advisors
LLC (July 2011-December 2012).
---------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Manager, Client Systems for Dimensional Fund
Advisors LP (May 2012-January 2016); Vice
President, Implementations, Citigroup (August 2006-
October 2011).
---------------------------------------------------------------------------------------------------------------
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.
---------------------------------------------------------------------------------------------------------------
70
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------
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.
71
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.
72
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2016 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
DIMENSIONAL INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING FOREIGN FOREIGN QUALIFYING
INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX SOURCE INTEREST
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2) CREDIT(3) INCOME(4) INCOME(5)
----------- ------------- ------------- ------------- ------------- ------------ ---------- --------- --------- ----------
DFA International
Value Portfolio
III.............. 63% -- 37% 100% 100% 100% 5% 100% 100%
U.S. Large Cap
Value Portfolio
III.............. 31% -- 69% 100% 100% 100% -- -- 100%
Tax-Managed
U.S.
Marketwide
Value Portfolio
II............... 54% -- 46% 100% 100% 100% -- 6% 100%
QUALIFYING
SHORT-
DIMENSIONAL TERM
INVESTMENT CAPITAL
GROUP INC. GAIN(6)
----------- ----------
DFA International
Value Portfolio
III.............. 100%
U.S. Large Cap
Value Portfolio
III.............. 100%
Tax-Managed
U.S.
Marketwide
Value Portfolio
II............... 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).
73
DFA103116-008A
[LOGO]Recycled Recyclable 00185760
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
Dimensional Investment Group Inc.
LWAS/DFA U.S. High Book to Market Portfolio
LWAS/DFA Two-Year Fixed Income Portfolio
LWAS/DFA Two-Year Government Portfolio
DFA Investment Dimensions Group Inc.
LWAS/DFA International High Book to Market Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................ 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 4
Disclosure of Fund Expenses........................................ 7
Disclosure of Portfolio Holdings................................... 9
Schedules of Investments........................................... 10
LWAS/DFA U.S. High Book to Market Portfolio.................... 10
LWAS/DFA Two-Year Fixed Income Portfolio....................... 11
LWAS/DFA Two-Year Government Portfolio......................... 13
Statements of Assets and Liabilities............................... 14
Statements of Operations........................................... 16
Statements of Changes in Net Assets................................ 17
Financial Highlights............................................... 18
Notes to Financial Statements...................................... 21
Report of Independent Registered Public Accounting Firm............ 28
Section 19(a) Notice............................................... 29
DFA INVESTMENT DIMENSIONS GROUP INC. - LWAS/DFA INTERNATIONAL HIGH
BOOK TO MARKET PORTFOLIO
Performance Charts................................................. 30
Management's Discussion and Analysis............................... 31
Disclosure of Fund Expenses........................................ 33
Disclosure of Portfolio Holdings................................... 34
Schedule of Investments............................................ 35
Statement of Assets and Liabilities................................ 36
Statement of Operations............................................ 37
Statements of Changes in Net Assets................................ 38
Financial Highlights............................................... 39
Notes to Financial Statements...................................... 40
Report of Independent Registered Public Accounting Firm............ 45
Section 19(a) Notice............................................... 46
THE DFA INVESTMENT TRUST COMPANY
Performance Charts................................................. 47
Management's Discussion and Analysis............................... 48
Disclosure of Fund Expenses........................................ 50
Disclosure of Portfolio Holdings................................... 51
Summary Schedules of Portfolio Holdings............................ 52
The U.S. Large Cap Value Series................................ 52
The DFA International Value Series............................. 55
Statements of Assets and Liabilities............................... 59
Statements of Operations........................................... 60
Statements of Changes in Net Assets................................ 61
Financial Highlights............................................... 62
Notes to Financial Statements...................................... 63
Report of Independent Registered Public Accounting Firm............ 72
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
FUND MANAGEMENT....................................................... 73
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 88
NOTICE TO SHAREHOLDERS................................................ 89
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
ii
DIMENSIONAL INVESTMENT GROUP INC.
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
## Rule 144 A, Section 4(2), or other security which is restricted as to resale to institutional investors. The
Fund's Advisor has deemed this security to be liquid based upon procedures approved by the Board of
Trustees.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2006-October 31, 2016
[CHART]
LWAS/DFA U.S. High Book to Russell 1000/R/
Market Portfolio Value Index
-------------------------- -----------------
10/2006 $10,000 $10,000
11/2006 $10,190 $10,228
12/2006 $10,391 $10,458
01/2007 $10,693 $10,592
02/2007 $10,529 $10,427
03/2007 $10,600 $10,588
04/2007 $11,053 $10,979
05/2007 $11,506 $11,375
06/2007 $11,320 $11,109
07/2007 $10,615 $10,595
08/2007 $10,411 $10,714
09/2007 $10,680 $11,082
10/2007 $10,739 $11,083
11/2007 $10,138 $10,542
12/2007 $10,098 $10,440
01/2008 $9,711 $10,022
02/2008 $9,416 $9,602
03/2008 $9,321 $9,530
04/2008 $9,912 $9,994
05/2008 $10,145 $9,978
06/2008 $9,032 $9,023
07/2008 $8,933 $8,991
08/2008 $9,103 $9,144
09/2008 $8,286 $8,472
10/2008 $6,418 $7,005
11/2008 $5,786 $6,503
12/2008 $5,978 $6,593
01/2009 $5,266 $5,835
02/2009 $4,526 $5,055
03/2009 $4,970 $5,488
04/2009 $5,772 $6,076
05/2009 $6,217 $6,452
06/2009 $6,141 $6,404
07/2009 $6,724 $6,928
08/2009 $7,176 $7,290
09/2009 $7,485 $7,572
10/2009 $7,163 $7,340
11/2009 $7,565 $7,754
12/2009 $7,775 $7,891
01/2010 $7,591 $7,669
02/2010 $7,922 $7,911
03/2010 $8,537 $8,426
04/2010 $8,802 $8,645
05/2010 $8,051 $7,934
06/2010 $7,442 $7,487
07/2010 $8,018 $7,994
08/2010 $7,531 $7,652
09/2010 $8,270 $8,246
10/2010 $8,575 $8,493
11/2010 $8,508 $8,448
12/2010 $9,339 $9,115
01/2011 $9,631 $9,321
02/2011 $10,154 $9,665
03/2011 $10,204 $9,703
04/2011 $10,452 $9,962
05/2011 $10,309 $9,856
06/2011 $10,118 $9,654
07/2011 $9,659 $9,334
08/2011 $8,838 $8,752
09/2011 $7,948 $8,090
10/2011 $9,045 $9,016
11/2011 $8,969 $8,970
12/2011 $9,035 $9,151
01/2012 $9,484 $9,497
02/2012 $10,033 $9,875
03/2012 $10,216 $10,168
04/2012 $10,002 $10,064
05/2012 $9,292 $9,474
06/2012 $9,790 $9,945
07/2012 $9,882 $10,047
08/2012 $10,274 $10,266
09/2012 $10,650 $10,591
10/2012 $10,674 $10,539
11/2012 $10,697 $10,535
12/2012 $11,016 $10,753
01/2013 $11,786 $11,452
02/2013 $11,933 $11,616
03/2013 $12,508 $12,076
04/2013 $12,632 $12,259
05/2013 $13,155 $12,573
06/2013 $13,003 $12,463
07/2013 $13,778 $13,135
08/2013 $13,363 $12,637
09/2013 $13,754 $12,954
10/2013 $14,454 $13,521
11/2013 $15,058 $13,898
12/2013 $15,453 $14,250
01/2014 $14,839 $13,744
02/2014 $15,338 $14,338
03/2014 $15,700 $14,681
04/2014 $15,798 $14,820
05/2014 $16,143 $15,037
06/2014 $16,578 $15,430
07/2014 $16,454 $15,167
08/2014 $16,973 $15,725
09/2014 $16,553 $15,400
10/2014 $16,677 $15,746
11/2014 $16,867 $16,069
12/2014 $16,999 $16,167
01/2015 $16,146 $15,521
02/2015 $17,293 $16,272
03/2015 $16,956 $16,050
04/2015 $17,304 $16,200
05/2015 $17,492 $16,395
06/2015 $17,201 $16,068
07/2015 $17,156 $16,138
08/2015 $16,115 $15,177
09/2015 $15,591 $14,719
10/2015 $16,863 $15,830
11/2015 $16,926 $15,890
12/2015 $16,398 $15,548
01/2016 $15,271 $14,745
02/2016 $15,301 $14,741
03/2016 $16,406 $15,803
04/2016 $16,853 $16,135
05/2016 $17,082 $16,386
06/2016 $17,062 $16,527
07/2016 $17,642 $17,007 Past performance is not predictive of
08/2016 $17,851 $17,138 future performance.
09/2016 $17,932 $17,103 The returns shown do not reflect the
10/2016 $17,621 $16,838 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
------------------------------------------------------ Investment Group 1995-2016, all rights
4.49% 14.27% 5.83% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-3 YEAR US CORPORATE & GOVERNMENT INDEX
October 31, 2006-October 31, 2016
[CHART]
LWAS/DFA Two-Year The BofA Merrill Lynch 1-3 Year
Fixed Income Portfolio US Corporate & Government Index
---------------------- ---------------------------------
10/2006 $10,000 $10,000
11/2006 $10,040 $10,053
12/2006 $10,088 $10,058
01/2007 $10,129 $10,082
02/2007 $10,170 $10,164
03/2007 $10,214 $10,203
04/2007 $10,255 $10,242
05/2007 $10,296 $10,235
06/2007 $10,341 $10,277
07/2007 $10,383 $10,361
08/2007 $10,435 $10,448
09/2007 $10,471 $10,523
10/2007 $10,514 $10,567
11/2007 $10,546 $10,720
12/2007 $10,597 $10,750
01/2008 $10,629 $10,935
02/2008 $10,661 $11,034
03/2008 $10,674 $11,035
04/2008 $10,696 $10,972
05/2008 $10,718 $10,948
06/2008 $10,732 $10,975
07/2008 $10,765 $11,006
08/2008 $10,787 $11,055
09/2008 $10,739 $10,995
10/2008 $10,805 $10,986
11/2008 $10,915 $11,125
12/2008 $11,011 $11,254
01/2009 $11,022 $11,265
02/2009 $11,011 $11,250
03/2009 $11,059 $11,298
04/2009 $11,104 $11,364
05/2009 $11,148 $11,455
06/2009 $11,164 $11,477
07/2009 $11,187 $11,528
08/2009 $11,231 $11,596
09/2009 $11,248 $11,642
10/2009 $11,271 $11,684
11/2009 $11,316 $11,759
12/2009 $11,255 $11,686
01/2010 $11,311 $11,780
02/2010 $11,323 $11,808
03/2010 $11,312 $11,794
04/2010 $11,335 $11,830
05/2010 $11,346 $11,858
06/2010 $11,394 $11,912
07/2010 $11,428 $11,961
08/2010 $11,439 $11,992
09/2010 $11,460 $12,022
10/2010 $11,483 $12,056
11/2010 $11,460 $12,032
12/2010 $11,461 $12,015
01/2011 $11,472 $12,041
02/2011 $11,472 $12,039
03/2011 $11,471 $12,038
04/2011 $11,505 $12,097
05/2011 $11,539 $12,141
06/2011 $11,542 $12,144
07/2011 $11,553 $12,180
08/2011 $11,565 $12,202
09/2011 $11,555 $12,173
10/2011 $11,567 $12,200
11/2011 $11,555 $12,191
12/2011 $11,555 $12,202
01/2012 $11,590 $12,245
02/2012 $11,590 $12,251
03/2012 $11,597 $12,258
04/2012 $11,608 $12,281
05/2012 $11,608 $12,280
06/2012 $11,618 $12,287
07/2012 $11,641 $12,330
08/2012 $11,641 $12,344
09/2012 $11,654 $12,358
10/2012 $11,654 $12,363
11/2012 $11,654 $12,374
12/2012 $11,664 $12,383
01/2013 $11,664 $12,390
02/2013 $11,664 $12,404
03/2013 $11,669 $12,411
04/2013 $11,680 $12,430
05/2013 $11,669 $12,412
06/2013 $11,664 $12,393
07/2013 $11,676 $12,420
08/2013 $11,664 $12,412
09/2013 $11,684 $12,446
10/2013 $11,684 $12,469
11/2013 $11,684 $12,485
12/2013 $11,684 $12,470
01/2014 $11,696 $12,495
02/2014 $11,696 $12,512
03/2014 $11,698 $12,501
04/2014 $11,710 $12,522
05/2014 $11,710 $12,550
06/2014 $11,703 $12,547
07/2014 $11,703 $12,537
08/2014 $11,715 $12,559
09/2014 $11,708 $12,551
10/2014 $11,720 $12,583
11/2014 $11,732 $12,603
12/2014 $11,717 $12,568
01/2015 $11,753 $12,631
02/2015 $11,729 $12,614
03/2015 $11,759 $12,642
04/2015 $11,759 $12,652
05/2015 $11,759 $12,662
06/2015 $11,760 $12,660
07/2015 $11,760 $12,668
08/2015 $11,760 $12,660
09/2015 $11,787 $12,696
10/2015 $11,787 $12,694
11/2015 $11,764 $12,669
12/2015 $11,755 $12,652
01/2016 $11,802 $12,718
02/2016 $11,802 $12,732
03/2016 $11,835 $12,776
04/2016 $11,846 $12,793
05/2016 $11,835 $12,785
06/2016 $11,880 $12,861 Past performance is not predictive of
07/2016 $11,880 $12,863 future performance.
08/2016 $11,868 $12,850 The returns shown do not reflect the
09/2016 $11,874 $12,864 deduction of taxes that a shareholder
10/2016 $11,874 $12,859 would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten The Merrill Lynch Indices are used with
Total Return Year Years Years permission; copyright 2016 Merrill
----------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.74% 0.53% 1.73% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-3 YEAR US TREASURY & AGENCY INDEX
October 31, 2006-October 31, 2016
[CHART]
LWAS/DFA Two-Year The BofA Merrill Lynch 1-3 Year
Government Portfolio US Treasury & Agency Index
-------------------- -------------------------------
10/2006 $10,000 $10,000
11/2006 $10,041 $10,052
12/2006 $10,084 $10,055
01/2007 $10,125 $10,079
02/2007 $10,156 $10,158
03/2007 $10,204 $10,197
04/2007 $10,245 $10,234
05/2007 $10,287 $10,229
06/2007 $10,333 $10,271
07/2007 $10,375 $10,360
08/2007 $10,417 $10,454
09/2007 $10,453 $10,533
10/2007 $10,496 $10,574
11/2007 $10,528 $10,739
12/2007 $10,565 $10,773
01/2008 $10,598 $10,957
02/2008 $10,630 $11,058
03/2008 $10,640 $11,087
04/2008 $10,661 $11,010
05/2008 $10,640 $10,974
06/2008 $10,662 $11,006
07/2008 $10,695 $11,047
08/2008 $10,727 $11,092
09/2008 $10,719 $11,157
10/2008 $10,752 $11,240
11/2008 $10,950 $11,385
12/2008 $11,130 $11,500
01/2009 $11,086 $11,459
02/2009 $11,086 $11,459
03/2009 $11,145 $11,519
04/2009 $11,178 $11,520
05/2009 $11,222 $11,550
06/2009 $11,219 $11,539
07/2009 $11,230 $11,558
08/2009 $11,264 $11,604
09/2009 $11,290 $11,634
10/2009 $11,312 $11,659
11/2009 $11,357 $11,727
12/2009 $11,299 $11,642
01/2010 $11,344 $11,725
02/2010 $11,367 $11,749
03/2010 $11,357 $11,724
04/2010 $11,380 $11,754
05/2010 $11,403 $11,803
06/2010 $11,448 $11,856
07/2010 $11,471 $11,887
08/2010 $11,483 $11,909
09/2010 $11,501 $11,929
10/2010 $11,535 $11,957
11/2010 $11,501 $11,934
12/2010 $11,513 $11,914
01/2011 $11,524 $11,934
02/2011 $11,513 $11,925
03/2011 $11,507 $11,921
04/2011 $11,553 $11,973
05/2011 $11,588 $12,015
06/2011 $11,587 $12,020
07/2011 $11,599 $12,050
08/2011 $11,610 $12,091
09/2011 $11,612 $12,076
10/2011 $11,612 $12,086
11/2011 $11,623 $12,092
12/2011 $11,624 $12,099
01/2012 $11,648 $12,115
02/2012 $11,648 $12,103
03/2012 $11,649 $12,097
04/2012 $11,661 $12,121
05/2012 $11,661 $12,126
06/2012 $11,654 $12,120
07/2012 $11,665 $12,148
08/2012 $11,677 $12,150
09/2012 $11,670 $12,151
10/2012 $11,670 $12,145
11/2012 $11,670 $12,156
12/2012 $11,675 $12,160
01/2013 $11,675 $12,162
02/2013 $11,675 $12,171
03/2013 $11,676 $12,174
04/2013 $11,688 $12,187
05/2013 $11,676 $12,170
06/2013 $11,676 $12,160
07/2013 $11,688 $12,180
08/2013 $11,676 $12,169
09/2013 $11,689 $12,196
10/2013 $11,701 $12,210
11/2013 $11,701 $12,221
12/2013 $11,692 $12,205
01/2014 $11,704 $12,224
02/2014 $11,704 $12,235
03/2014 $11,704 $12,222
04/2014 $11,716 $12,239
05/2014 $11,728 $12,261
06/2014 $11,718 $12,255
07/2014 $11,718 $12,245
08/2014 $11,730 $12,266
09/2014 $11,723 $12,259
10/2014 $11,746 $12,292
11/2014 $11,758 $12,311
12/2014 $11,730 $12,281
01/2015 $11,778 $12,343
02/2015 $11,754 $12,317
03/2015 $11,771 $12,345
04/2015 $11,783 $12,351
05/2015 $11,783 $12,360
06/2015 $11,781 $12,364
07/2015 $11,781 $12,370
08/2015 $11,781 $12,366
09/2015 $11,803 $12,403
10/2015 $11,792 $12,391
11/2015 $11,756 $12,361
12/2015 $11,743 $12,350
01/2016 $11,802 $12,425
02/2016 $11,802 $12,438
03/2016 $11,830 $12,460
04/2016 $11,830 $12,465
05/2016 $11,818 $12,452
06/2016 $11,871 $12,525
07/2016 $11,859 $12,518 Past performance is not predictive of
08/2016 $11,847 $12,498 future performance.
09/2016 $11,860 $12,513 The returns shown do not reflect the
10/2016 $11,860 $12,505 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten The Merrill Lynch Indices are used with
Total Return Year Years Years permission; copyright 2016 Merrill
---------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.58% 0.42% 1.72% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large-cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index/SM/......... 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks). -0.49%
Russell 1000(R) Value Index (large-cap value stocks)... 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks). 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities directly.
DOMESTIC EQUITY PORTFOLIO PERFORMANCE OVERVIEW
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
The LWAS/DFA U.S. High Book to Market Portfolio seeks to capture the returns
of U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. Value
is measured primarily by book-to-market ratio. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2016, the
Master Fund held approximately 300 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.49% for the
Portfolio and 6.37% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than the behavior of a limited number of stocks. The Master Fund
had a larger allocation than the benchmark to lower relative price stocks,
which detracted from the Portfolio's performance relative to the benchmark as
the lowest relative price quartile underperformed. The Master Fund's exclusion
of real estate investment trusts (REITs) and utilities detracted from relative
performance as REITs and utilities outperformed most other sectors during the
period.
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Interest rates in both U.S. and developed international fixed income markets
generally decreased across their respective yield curves for the year ended
October 31, 2016. In the U.S., the yield curve flattened as shorter-term bond
yields increased and longer-term bond yields declined. The Eurozone, as well as
U.K. and Japan, saw a
4
sharp decline in bond yields across the curve with the largest declines in
longer-term bonds. In general, U.S. and developed international fixed income
market investment grade credit outperformed government bonds of similar
duration. The one-month U.S. Treasury bill yield increased to 0.17% during the
period, while the yield on ten-year U.S. Treasury notes decreased to 1.83%.
OCTOBER 31, 2015 OCTOBER 31, 2016 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.00% 0.17% 0.17%
Ten-Year U.S. Treasury Notes (yield). 2.14% 1.83% -0.31%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the 12 months
ended October 31, 2016, the total return was 0.32% for three-month U.S.
Treasury bills, 2.36% for five-year U.S. Treasury notes, and 9.65% for 30- year
U.S. Treasury bonds.
----------
Source: Bloomberg Barclays US Treasury Bellwethers.
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies a maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities may
be lengthened to position a portfolio for higher expected returns associated
with longer maturities. These higher returns may be achieved by capital
appreciation (from holding bonds through an upwardly sloped term structure) as
well as by earning higher current yields. During the period under review, the
portfolios employing a variable maturity approach continued to take term risk,
reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio for higher expected returns associated
with increased credit risk. The portfolios employing a variable-credit approach
continued to focus on single-A and BBB-rated bonds during the first few months
of 2016 as credit spreads remained relatively wide. In the second half of the
fiscal year, the portfolios increased their allocation to higher-quality bonds
as credit spreads started to narrow.
FIXED INCOME PORTFOLIOS' PERFORMANCE OVERVIEW
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
The LWAS/DFA Two-Year Fixed Income Portfolio is designed to maximize total
returns consistent with preservation of capital by investing in high-quality
fixed income securities maturing in two years or less. The investment strategy
uses a variable-maturity approach and shifts maturities based on changes in the
yield curve. The strategy uses current yields and identifies favorable maturity
ranges for risk-adjusted expected returns based on potential buy and sell
strategies. Maturity targets are shifted based on the Advisor's expectations
for term premia. The average maturity of the Portfolio decreased to 1.23 years
as of October 31, 2016, from 1.60 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 0.74% for the
Portfolio and 1.30% for The BofA Merrill Lynch 1-3 Year US Corporate &
Government Index, the Portfolio's benchmark. The Portfolio invests in
securities rated AAA and AA while the benchmark held an average weight of
approximately 22% in single A and BBB-rated securities. The Portfolio's lack of
exposure to lower rated securities negatively impacted its performance relative
to the benchmark as these securities outperformed. Further detracting from
performance was the Portfolio's lack of exposure to maturities beyond two
years. By design, the Portfolio is not allowed to invest in securities with
maturities greater than two years. In comparison, the benchmark had an
approximate average weight of 47% in maturities between two and three years and
these securities outperformed.
5
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
The LWAS/DFA Two-Year Government Portfolio is designed to maximize total
returns consistent with preservation of capital by investing in securities of
the U.S. government and its agencies maturing in two years or less. The
investment strategy uses a variable maturity approach and shifts maturities
based on changes in the yield curve. The strategy uses current yields and
identifies favorable maturity ranges for risk-adjusted expected returns based
on potential buy and sell strategies for each eligible country. Maturity
targets are shifted based on the Advisor's expectations for term premia. The
average maturity of the Portfolio decreased to 1.31 years as of October 31,
2016, from 1.80 years as of October 31, 2015.
For the 12 months ended October 31, 2016, the total return was 0.58% for the
Portfolio and 0.92% for The BofA Merrill Lynch 1-3 Year US Treasury & Agency
Index, the Portfolio's benchmark. The Portfolio's underperformance relative to
the benchmark was largely due to the Portfolio's lack of exposure to maturities
beyond two years. By design, the Portfolio is not allowed to invest in
securities with maturities greater than two years. In comparison, the benchmark
had an approximate average weight of 45% in securities maturing between two and
three years and these securities outperformed.
6
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/16 10/31/16 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA U.S. High Book to Market Portfolio**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,045.50 0.34% $1.75
Hypothetical 5% Annual Return................. $1,000.00 $1,023.43 0.34% $1.73
LWAS/DFA Two-Year Fixed Income Portfolio
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,002.40 0.26% $1.31
Hypothetical 5% Annual Return................. $1,000.00 $1,023.83 0.26% $1.32
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/16 10/31/16 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA Two-Year Government Portfolio
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,002.50 0.24% $1.21
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.93 0.24% $1.22
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
8
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 2016. They are available upon request, without charge,
by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The categories of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
FEEDER FUND
Affiliated Investment Company
-----------------------------
LWAS/DFA U.S. High Book to Market Portfolio. 100.0%
FIXED INCOME PORTFOLIOS
LWAS/DFA Two-Year Fixed Income Portfolio
Corporate.................................... 24.2%
Government................................... 7.5%
Foreign Corporate............................ 35.3%
Foreign Government........................... 27.8%
Supranational................................ 5.2%
-----
100.0%
LWAS/DFA Two-Year Government Portfolio
Government................................... 100.0%
-----
100.0%
9
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $54,634,189
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $25,751,373)................................ $54,634,189
-----------
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
10
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2016
Face
Amount Value+
------ ------
(000)
AGENCY OBLIGATIONS -- (7.4%)
Federal Home Loan Bank
1.250%, 06/08/18............................. $3,000 $3,016,842
Federal Home Loan Mortgage Corporation
0.750%, 01/12/18............................. 500 499,892
0.750%, 04/09/18............................. 1,800 1,798,009
Federal National Mortgage Association
1.125%, 10/19/18............................. 750 752,888
----------
TOTAL AGENCY OBLIGATIONS......................... 6,067,631
----------
BONDS -- (90.9%)
African Development Bank
1.000%, 11/02/18............................. 700 698,158
ANZ New Zealand International Ltd.
1.400%, 04/27/17............................. 1,800 1,801,651
Apple, Inc.
# 1.300%, 02/23/18............................. 500 501,350
1.000%, 05/03/18............................. 900 898,811
Bank Nederlandse Gemeenten NV
## 1.000%, 02/12/18............................. 1,000 998,785
1.375%, 03/19/18............................. 500 501,826
## 1.125%, 05/25/18............................. 500 499,859
Bank of Montreal
1.400%, 09/11/17............................. 1,100 1,101,360
1.400%, 04/10/18............................. 1,000 1,000,560
Bank of Nova Scotia (The)
1.250%, 04/11/17............................. 1,000 1,000,651
1.300%, 07/21/17............................. 800 800,134
Berkshire Hathaway Finance Corp
1.450%, 03/07/18............................. 1,250 1,256,215
Chevron Corp.
1.344%, 11/09/17............................. 2,550 2,555,278
Cisco Systems, Inc.
1.400%, 02/28/18............................. 2,181 2,189,214
Coca-Cola Co. (The)
0.875%, 10/27/17............................. 1,100 1,099,031
1.150%, 04/01/18............................. 700 700,917
Commonwealth Bank of Australia
1.125%, 03/13/17............................. 900 900,532
1.900%, 09/18/17............................. 1,000 1,005,230
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
1.700%, 03/19/18............................. 704 706,377
Council Of Europe Development Bank
1.000%, 03/07/18............................. 500 499,498
Development Bank of Japan, Inc.
1.500%, 03/13/17............................. 500 499,945
Erste Abwicklungsanstalt
1.000%, 02/27/17............................. 1,400 1,399,741
European Investment Bank
# 1.000%, 03/15/18............................. 500 499,749
Face
Amount Value+
------ ------
(000)
Exxon Mobil Corp.
1.439%, 03/01/18............................. $1,900 $1,906,781
1.305%, 03/06/18............................. 465 466,333
General Electric Co.
5.250%, 12/06/17............................. 1,000 1,045,013
5.625%, 05/01/18............................. 1,000 1,066,174
Inter-American Development Bank
1.250%, 01/16/18............................. 1,020 1,024,296
0.875%, 03/15/18............................. 500 499,479
International Business Machines Corp.
5.700%, 09/14/17............................. 1,213 1,261,653
Japan Finance Organization for Municipalities
1.500%, 09/12/17............................. 1,609 1,610,334
KFW
2.375%, 12/22/17............................. 700 710,870
4.375%, 03/15/18............................. 750 784,156
1.000%, 09/07/18............................. 500 499,222
Kommunalbanken A.S.
1.000%, 03/15/18............................. 500 499,331
1.125%, 05/23/18............................. 1,000 999,794
Kommunekredit
1.125%, 01/16/18............................. 1,000 1,000,800
Kommuninvest I Sverige AB
1.000%, 01/29/18............................. 1,500 1,498,534
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.000%, 04/23/18............................. 1,530 1,527,176
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 500 500,051
1.250%, 09/10/18............................. 500 500,702
## 1.250%, 09/10/18............................. 1,000 1,001,403
National Australia Bank, Ltd.
2.750%, 03/09/17............................. 1,350 1,357,633
1.300%, 06/30/17............................. 400 400,276
Nederlandse Waterschapsbank NV
## 1.500%, 04/16/18............................. 700 703,420
0.875%, 07/13/18............................. 500 497,493
Nordea Bank AB
3.125%, 03/20/17............................. 2,270 2,288,541
Nordic Investment Bank
1.125%, 03/19/18............................. 1,000 1,001,580
NRW Bank
1.375%, 08/20/18............................. 1,200 1,203,577
Ontario, Province of Canada
1.100%, 10/25/17............................. 550 550,230
2.000%, 09/27/18............................. 1,300 1,319,002
Pfizer, Inc.
1.200%, 06/01/18............................. 2,322 2,323,488
Royal Bank of Canada
# 1.400%, 10/13/17............................. 300 300,555
# 1.500%, 01/16/18............................. 1,331 1,333,320
1.500%, 06/07/18............................. 850 851,763
11
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
Face
Amount Value+
------ ------
(000)
Sanofi
1.250%, 04/10/18............................. $1,500 $1,502,350
Shell International Finance BV
1.125%, 08/21/17............................. 800 800,474
1.250%, 11/10/17............................. 1,500 1,502,100
State of North Rhine-Westphalia
1.250%, 02/20/18............................. 800 800,610
Statoil ASA
3.125%, 08/17/17............................. 500 507,715
1.250%, 11/09/17............................. 1,000 1,000,060
1.150%, 05/15/18............................. 800 797,598
Svensk Exportkredit AB
1.125%, 04/05/18............................. 2,300 2,300,667
Svenska Handelsbanken AB
2.875%, 04/04/17............................. 700 705,418
Toronto-Dominion Bank (The)
1.625%, 03/13/18............................. 1,500 1,506,405
1.400%, 04/30/18............................. 979 979,604
Total Capital International SA
1.550%, 06/28/17............................. 300 300,696
Total Capital SA
2.125%, 08/10/18............................. 1,950 1,973,304
Face
Amount Value+
------ ------
(000)
Toyota Motor Credit Corp.
1.200%, 04/06/18............................. $ 1,500 $ 1,498,307
1.550%, 07/13/18............................. 750 753,342
Westpac Banking Corp.
2.000%, 08/14/17............................. 1,026 1,032,139
1.500%, 12/01/17............................. 1,000 1,001,605
-----------
TOTAL BONDS........................................ 74,610,246
-----------
TOTAL INVESTMENT SECURITIES........................ 80,677,877
-----------
Shares
------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government
Money Market Fund, 0.260%................... 304,597 304,597
-----------
SECURITIES LENDING COLLATERAL -- (1.3%)
(S)@ DFA Short Term Investment Fund............... 97,715 1,130,757
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $82,122,488)............................... $82,113,231
===========
Summary of the Portfolio's investments as of October 31, 2016, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------
Level 1 Level 2 Level 3 Total
-------- ----------- ------- -----------
Agency Obligations............ -- $ 6,067,631 -- $ 6,067,631
Bonds......................... -- 74,610,246 -- 74,610,246
Temporary Cash Investments.... $304,597 -- -- 304,597
Securities Lending Collateral. -- 1,130,757 -- 1,130,757
-------- ----------- -- -----------
TOTAL......................... $304,597 $81,808,634 -- $82,113,231
======== =========== == ===========
See accompanying Notes to Financial Statements.
12
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULES OF INVESTMENTS
October 31, 2016
Face
Amount Value+
-------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (99.9%)
U.S. Treasury Notes
2.250%, 11/30/17........................................... $ 7,700 $ 7,824,224
1.000%, 12/15/17........................................... 11,400 11,432,513
0.750%, 12/31/17........................................... 22,700 22,700,885
0.875%, 01/15/18........................................... 27,750 27,794,455
2.625%, 01/31/18........................................... 14,600 14,934,778
1.000%, 03/15/18........................................... 7,000 7,021,329
2.875%, 03/31/18........................................... 5,000 5,144,335
0.750%, 04/30/18........................................... 4,000 3,997,188
0.875%, 10/15/18........................................... 5,000 5,000,000
1.250%, 10/31/18........................................... 9,000 9,064,332
------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 114,914,039
------------
TOTAL INVESTMENT SECURITIES................................. 114,914,039
------------
Shares
--------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market
Fund, 0.260%............................................... 107,458 107,458
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $114,864,255)........... $115,021,497
============
Summary of the Portfolio's investments as of October 31, 2016, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------
Level 1 Level 2 Level 3 Total
-------- ------------ ------- ------------
U.S. Treasury Obligations.......... -- $114,914,039 -- $114,914,039
Temporary Cash Investments......... $107,458 -- -- 107,458
-------- ------------ -- ------------
TOTAL.............................. $107,458 $114,914,039 -- $115,021,497
======== ============ == ============
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company (Affiliated Investment Company)
at Value................................................... $ 54,634
Prepaid Expenses and Other Assets........................... 5
------------
Total Assets........................................... 54,639
------------
LIABILITIES:
Payables:
Fund Shares Redeemed....................................... 10
Accrued Expenses and Other Liabilities...................... 15
------------
Total Liabilities...................................... 25
------------
NET ASSETS.................................................. $ 54,614
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 3,111,459
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 17.55
============
Investment in Affiliated Investment Company at Cost......... $ 25,751
------------
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 22,293
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 64
Accumulated Net Realized Gain (Loss)........................ 3,374
Net Unrealized Appreciation (Depreciation).................. 28,883
------------
NET ASSETS.................................................. $ 54,614
============
(1) NUMBER OF SHARES AUTHORIZED............................. 300,000,000
============
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
LWAS/DFA LWAS/DFA
TWO-YEAR TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
------------ ------------
ASSETS:
Investments at Value (including $1,108 and $0 of securities on loan, respectively).............. $ 80,678 $ 114,914
Temporary Cash Investments at Value & Cost...................................................... 305 107
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $1,131 and
$0)............................................................................................ 1,131 --
Receivables:
Investment Securities Sold.................................................................... 601 9,252
Interest...................................................................................... 299 367
Fund Shares Sold.............................................................................. 5 --
Prepaid Expenses and Other Assets............................................................... 5 6
------------ ------------
Total Assets............................................................................... 83,024 124,646
------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................................................. 1,131 --
Investment Securities Purchased............................................................... 698 9,066
Fund Shares Redeemed.......................................................................... -- 43
Due to Advisor................................................................................ 10 15
Accrued Expenses and Other Liabilities.......................................................... 17 23
------------ ------------
Total Liabilities.......................................................................... 1,856 9,147
------------ ------------
NET ASSETS...................................................................................... $ 81,168 $ 115,499
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)......................................................... 8,112,912 11,693,604
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE........................................ $ 10.00 $ 9.88
============ ============
Investments at Cost............................................................................. $ 80,687 $ 114,757
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................................. $ 81,094 $ 115,508
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......... 100 102
Accumulated Net Realized Gain (Loss)............................................................ (17) (268)
Net Unrealized Appreciation (Depreciation)...................................................... (9) 157
------------ ------------
NET ASSETS...................................................................................... $ 81,168 $ 115,499
============ ============
(1) NUMBER OF SHARES AUTHORIZED................................................................. 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
LWAS/DFA
U.S. HIGH LWAS/DFA LWAS/DFA
BOOK TO TWO-YEAR TWO-YEAR
MARKET FIXED INCOME GOVERNMENT
PORTFOLIO* PORTFOLIO PORTFOLIO
---------- ------------ ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Company:
Dividends............................................................ $ 1,381 $ -- $ --
Income from Securities Lending....................................... 10 -- --
Expenses Allocated from Affiliated Investment Company................ (62) -- --
------- ---- ------
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 1,329 -- --
------- ---- ------
FUND INVESTMENT INCOME
Dividends.............................................................. -- 2 --
Interest............................................................... -- 884 1,010
Income from Securities Lending......................................... -- 10 --
------- ---- ------
Total Investment Income............................................. -- 896 1,010
------- ---- ------
FUND EXPENSES
Investment Management Fees............................................. 61 129 183
Accounting & Transfer Agent Fees....................................... 4 9 10
Shareholder Servicing Fees............................................. 83 69 98
Custodian Fees......................................................... -- 1 --
Filing Fees............................................................ 19 19 20
Shareholders' Reports.................................................. 7 11 15
Directors'/Trustees' Fees & Expenses................................... -- 1 1
Professional Fees...................................................... 2 6 7
Other.................................................................. 1 3 6
------- ---- ------
Total Expenses...................................................... 177 248 340
------- ---- ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (55) -- --
------- ---- ------
Net Expenses........................................................... 122 248 340
------- ---- ------
NET INVESTMENT INCOME (LOSS)........................................... 1,207 648 670
------- ---- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... 3,454 (18) (267)
Futures.............................................................. 59 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................ (2,441) 49 227
Futures.............................................................. (9) -- --
------- ---- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 1,063 31 (40)
------- ---- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $ 2,270 $679 $ 630
======= ==== ======
----------
* Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LWAS/DFA U.S. HIGH BOOK LWAS/DFA TWO-YEAR FIXED LWAS/DFA TWO-YEAR
TO MARKET PORTFOLIO INCOME PORTFOLIO GOVERNMENT PORTFOLIO
---------------------- ---------------------- ------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015 2016 2015
-------- -------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 1,207 $ 1,275 $ 648 $ 422 $ 670 $ 443
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 3,454 4,976 (18) 218 (267) 367
Futures............................... 59 -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities................. (2,441) (5,532) 49 (102) 227 (250)
Futures............................... (9) -- -- -- -- --
------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 2,270 719 679 538 630 560
------- -------- -------- -------- -------- --------
Distributions From:
Net Investment Income................... (1,193) (1,203) (605) (376) (610) (424)
Net Short-Term Gains.................... -- (68) (205) (108) (352) (411)
Net Long-Term Gains..................... (4,712) (4,067) (5) (73) -- --
------- -------- -------- -------- -------- --------
Total Distributions.................. (5,905) (5,338) (815) (557) (962) (835)
------- -------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued........................... 1,005 1,865 3,649 6,920 5,405 9,826
Shares Issued in Lieu of Cash
Distributions.......................... 5,905 5,338 815 557 962 836
Shares Redeemed......................... (8,182) (11,277) (14,939) (14,640) (24,184) (21,970)
------- -------- -------- -------- -------- --------
Net Increase (Decrease) from
Capital Share Transactions.......... (1,272) (4,074) (10,475) (7,163) (17,817) (11,308)
------- -------- -------- -------- -------- --------
Total Increase (Decrease) in Net
Assets.............................. (4,907) (8,693) (10,611) (7,182) (18,149) (11,583)
NET ASSETS
Beginning of Year....................... 59,521 68,214 91,779 98,961 133,648 145,231
------- -------- -------- -------- -------- --------
End of Year............................. $54,614 $ 59,521 $ 81,168 $ 91,779 $115,499 $133,648
======= ======== ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 59 98 365 691 548 992
Shares Issued in Lieu of Cash
Distributions.......................... 351 294 82 56 98 85
Shares Redeemed......................... (482) (592) (1,494) (1,462) (2,451) (2,219)
------- -------- -------- -------- -------- --------
Net Increase (Decrease) from
Shares Issued and Redeemed.......... (72) (200) (1,047) (715) (1,805) (1,142)
======= ======== ======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)....................... $ 64 $ 107 $ 100 $ 68 $ 102 $ 55
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA U.S. High Book to Market Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 18.70 $ 20.16 $ 18.40 $ 13.84 $ 11.96
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.37 0.38 0.32 0.28 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.36 (0.23) 2.41 4.57 1.87
------- ------- ------- ------- -------
Total from Investment Operations.. 0.73 0.15 2.73 4.85 2.12
----------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.37) (0.36) (0.29) (0.29) (0.24)
Net Realized Gains.................. (1.51) (1.25) (0.68) -- --
------- ------- ------- ------- -------
Total Distributions............... (1.88) (1.61) (0.97) (0.29) (0.24)
----------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 17.55 $ 18.70 $ 20.16 $ 18.40 $ 13.84
=================================== ======== ======== ======== ======== ========
Total Return......................... 4.49% 1.12% 15.38% 35.41% 18.01%
----------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $54,614 $59,521 $68,214 $67,266 $60,916
Ratio of Expenses to Average Net
Assets (B).......................... 0.33% 0.32% 0.34% 0.34% 0.34%
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered
by Advisor) (B)..................... 0.43% 0.35% 0.34% 0.34% 0.34%
Ratio of Net Investment Income to
Average Net Assets.................. 2.19% 1.99% 1.67% 1.77% 1.93%
----------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA Two-Year Fixed Income Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 10.02 $ 10.02 $ 10.02 $ 10.07 $ 10.10
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.08 0.04 0.02 0.03 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized)......... (0.01) 0.02 0.01 -- 0.03
------- ------- ------- ------- -------
Total from Investment Operations.. 0.07 0.06 0.03 0.03 0.07
----------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.07) (0.04) (0.02) (0.03) (0.04)
Net Realized Gains.................. (0.02) (0.02) (0.01) (0.05) (0.06)
------- ------- ------- ------- -------
Total Distributions............... (0.09) (0.06) (0.03) (0.08) (0.10)
----------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 10.00 $ 10.02 $ 10.02 $ 10.02 $ 10.07
=================================== ======== ======== ======== ======== ========
Total Return......................... 0.74% 0.57% 0.31% 0.26% 0.75%
----------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $81,168 $91,779 $98,961 $94,726 $89,326
Ratio of Expenses to Average Net
Assets.............................. 0.29% 0.29% 0.28% 0.29% 0.30%
Ratio of Net Investment Income to
Average Net Assets.................. 0.75% 0.43% 0.20% 0.27% 0.40%
Portfolio Turnover Rate.............. 93% 238% 122% 57% 102%
----------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA Two-Year Government Portfolio
------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year... $ 9.90 $ 9.92 $ 9.91 $ 9.96 $ 9.98
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.05 0.03 0.01 0.01 0.02
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.01 0.01 0.03 0.02 0.04
-------- -------- -------- -------- --------
Total from Investment Operations.. 0.06 0.04 0.04 0.03 0.06
---------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.05) (0.03) (0.01) (0.01) (0.03)
Net Realized Gains.................. (0.03) (0.03) (0.02) (0.07) (0.05)
-------- -------- -------- -------- --------
Total Distributions............... (0.08) (0.06) (0.03) (0.08) (0.08)
---------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 9.88 $ 9.90 $ 9.92 $ 9.91 $ 9.96
=================================== ======== ======== ======== ======== ========
Total Return......................... 0.58% 0.38% 0.39% 0.26% 0.50%
---------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $115,499 $133,648 $145,231 $145,205 $145,273
Ratio of Expenses to Average Net
Assets.............................. 0.28% 0.28% 0.27% 0.28% 0.28%
Ratio of Net Investment Income to
Average Net Assets.................. 0.55% 0.31% 0.12% 0.05% 0.19%
Portfolio Turnover Rate.............. 118% 262% 225% 160% 111%
---------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
20
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, three of which, LWAS/DFA U.S. High Book to Market Portfolio,
LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA Two-Year Government
Portfolio (the "Portfolios"), are presented in this report. The remaining
operational portfolios are presented in separate reports. The Portfolios are
investment companies and, accordingly, follow the accounting and reporting
guidance under Financial Accounting Standards Board ("FASB") Accounting
Standards Certification ("ASC") Topic 946, "Financial Services-Investment
Companies."
LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") primarily
invests its assets in The U.S. Large Cap Value Series (the "Series"), a
corresponding series of The DFA Investment Trust Company. At October 31, 2016,
the Feeder Fund owned less than 1% of the Series. The financial statements of
the Series are included elsewhere in this report and should be read in
conjunction with the financial statements of the Feeder Fund.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by LWAS/DFA Two-Year Fixed Income Portfolio and
LWAS/DFA Two-Year Government Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of Directors
of the Fund. These valuations are generally categorized as Level 2 in the
hierarchy. Fair value pricing may also be used if events that have a
significant effect on the value of an investment (as determined in the
discretion of Dimensional Fund Advisors LP) occur before the net asset value of
the Portfolio is calculated. When fair value pricing is used, the prices of
securities used by the Portfolios may differ from the quoted or published
prices for the same securities on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
21
The Feeder Fund's investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments for the Portfolios (except for the Feeder Fund). The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the year ended October 31, 2016, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors' Fees &
Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of October 31, 2016, none of the Directors
have requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Feeder Fund recognizes its pro-rata share of net investment
income and realized and unrealized gains/losses of investment securities, on a
daily basis, from its Series, which is treated as a partnership for federal
income tax purposes. Security transactions are accounted for as of the trade
date. Costs used in determining realized gains and losses on the sale of
investment securities are accounted for on the basis of identified cost.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities, utilizing the effective interest method. Expenses directly
attributable to a Portfolio are directly charged. Common expenses of the Fund
or the Portfolios are allocated using methods approved by the Board, generally
based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 2016, the
Portfolios' investment management fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates of average daily net
assets:
LWAS/DFA U.S. High Book to Market Portfolio
(1)........................................ 0.11%
LWAS/DFA Two-Year Fixed Income Portfolio..... 0.15%
LWAS/DFA Two-Year Government Portfolio....... 0.15%
(1) Effective as of July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Feeder Fund to
the extent necessary to limit the total management fees paid to the Advisor by
the Feeder Fund, including the proportionate share of the management fees the
Feeder Fund pays
22
indirectly through its investment in other funds managed by the Advisor, to
0.11% of the average net assets of a class of the Feeder Fund on an annualized
basis. The Fee Waiver Agreement for the Feeder Fund will remain in effect
permanently, unless terminated by the Fund.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolios pay monthly Shareholder Servicing Fees to LWIF at the
following effective annual rates of their average daily net assets:
SHAREHOLDER
SERVICING FEES
--------------
LWAS/DFA U.S. High Book to Market Portfolio... 0.15%
LWAS/DFA Two-Year Fixed Income Portfolio...... 0.08%
LWAS/DFA Two-Year Government Portfolio........ 0.08%
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $31 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 2016, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
LWAS/DFA U.S. High Book to Market Portfolio... $3
LWAS/DFA Two-Year Fixed Income Portfolio...... 4
LWAS/DFA Two-Year Government Portfolio........ 7
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------ -----------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- -------
LWAS/DFA Two-Year Fixed Income Portfolio.. $ 19,064 $ 39,820 $60,141 $44,700
LWAS/DFA Two-Year Government Portfolio.... 144,088 162,504 -- --
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that
23
the differences arise. Accordingly, the following permanent differences as of
October 31, 2016, primarily attributable to tax equalization, were reclassified
to the following accounts. These reclassifications had no effect on net assets
or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio. $192 $(57) $(135)
LWAS/DFA Two-Year Fixed Income Portfolio.... 11 (11) --
LWAS/DFA Two-Year Government Portfolio...... 13 (13) --
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
LWAS/DFA U.S. High Book to Market Portfolio
2015........................................ $1,271 $4,067 -- $5,338
2016........................................ 1,193 4,712 -- 5,905
LWAS/DFA Two-Year Fixed Income Portfolio
2015........................................ 484 73 -- 557
2016........................................ 809 5 -- 814
LWAS/DFA Two-Year Government Portfolio
2015........................................ 836 -- -- 836
2016........................................ 962 -- -- 962
At October 31, 2016, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
LWAS/DFA U.S. High Book to Market Portfolio. $51 $141 $192
LWAS/DFA Two-Year Fixed Income Portfolio.... 11 -- 11
LWAS/DFA Two-Year Government Portfolio...... 13 -- 13
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
LWAS/DFA U.S. High Book to
Market Portfolio......... $108 $3,325 -- $28,893 $32,326
LWAS/DFA Two-Year Fixed
Income Portfolio......... 104 -- $ (18) (9) 77
LWAS/DFA Two-Year
Government Portfolio..... 108 -- (269) 157 (4)
24
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2016, the
Portfolios had no capital loss carryforwards available to offset future
realized capital gains.
At October 31, 2016, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
LWAS/DFA U.S. High Book
to Market Portfolio.... $ 25,761 $28,873 -- $28,873
LWAS/DFA Two-Year Fixed
Income Portfolio....... 82,122 49 $(58) (9)
LWAS/DFA Two-Year
Government Portfolio... 114,864 164 (7) 157
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 29, 2017.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 7, 2017.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 2016.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending
25
portfolios as compared to rates available through short-term bank loans or
investments in overnight repurchase agreements and money market funds,
respectively, as detailed in the Order. Further, a portfolio may participate in
the program only if and to the extent that such participation is consistent
with its investment objectives and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice. The
Portfolios did not utilize the interfund lending program during the year ended
October 31, 2016.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. OTHER:
At October 31, 2016, the following number of shareholders held the following
approximate percentages of the stated Portfolios' outstanding shares. One or
more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -------------
LWAS/DFA U.S. High Book to Market Portfolio....... 2 92%
LWAS/DFA Two-Year Fixed Income Portfolio.......... 3 96%
LWAS/DFA Two-Year Government Portfolio............ 3 97%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee on behalf of the committee of unsecured creditors
of Tribune (the "Committee Action," and with the Individual Creditor Actions,
collectively referred to as the "Lawsuits"). The Lawsuits seek to unwind the
LBO stock repurchases as fraudulent transfers and recover the stock repurchase
proceeds paid to the Tribune shareholders who participated in the LBO. On
September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs lack standing to pursue their claims. The parties appealed the
Court's dismissal order to the Second Circuit, and, on March 29, 2016, the
Second Circuit affirmed the dismissal, albeit on the grounds that the
individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's
safe harbor for securities transactions. The individual creditor plaintiffs
have petitioned the Second Circuit for rehearing of the appeal, and that
petition is pending. The Committee Action remains pending, and a motion to
dismiss on behalf of all shareholder defendants in the Committee Action was
filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties
await the scheduling of oral argument on the motion. The Committee Action is
stayed pending the disposition of the motion to dismiss.
26
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset values of The U.S. Large Cap
Value Series at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as
incurred and in a manner similar to any other expense incurred by The U.S.
Large Cap Value Series.
J. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
27
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of LWAS/DFA U.S. High
Book to Market Portfolio, LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA
Two-Year Government Portfolio (constituting portfolios within Dimensional
Investment Group Inc., hereafter referred to as the "Portfolios") as of October
31, 2016, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period
then ended and the financial highlights for each of the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management. Our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities as of October 31, 2016 by correspondence with the
custodian, broker and transfer agents of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
28
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record that included amounts from net
investment income and return of capital. Please note that this information is
being provided to satisfy certain notice requirements under the Investment
Company Act of 1940 and is not being provided for tax reporting purposes. Each
Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial
intermediary should provide (or has provided) shareholders with similar
information) for the relevant calendar year informing shareholders how to
report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
LWAS/DFA Two-Year Fixed Income Portfolio
December 16, 2015..................... 91% 0% 0% 9%
LWAS/DFA Two-Year Government Portfolio
December 16, 2015..................... 92% 0% 0% 8%
March 30, 2016........................ 99% 0% 0% 1%
Each Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in a Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect a
Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce a Portfolio's net asset value per share.
29
DFA INVESTMENT DIMENSIONS GROUP
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
LWAS/DFA International MSCI World
High Book to ex USA Index
Market Portfolio (net dividends)
------------------------- ---------------
10/2006 $10,000 $10,000
11/2006 $10,330 $10,298
12/2006 $10,731 $10,593
01/2007 $10,930 $10,658
02/2007 $10,921 $10,743
03/2007 $11,272 $11,018
04/2007 $11,837 $11,520
05/2007 $12,241 $11,775
06/2007 $12,147 $11,787
07/2007 $11,806 $11,624
08/2007 $11,672 $11,456
09/2007 $12,280 $12,107
10/2007 $12,872 $12,633
11/2007 $12,091 $12,139
12/2007 $11,830 $11,911
01/2008 $10,868 $10,837
02/2008 $10,729 $11,033
03/2008 $10,853 $10,876
04/2008 $11,335 $11,480
05/2008 $11,340 $11,655
06/2008 $10,216 $10,748
07/2008 $9,925 $10,366
08/2008 $9,508 $9,965
09/2008 $8,397 $8,526
10/2008 $6,289 $6,753
11/2008 $5,903 $6,386
12/2008 $6,336 $6,723
01/2009 $5,459 $6,096
02/2009 $4,789 $5,479
03/2009 $5,311 $5,840
04/2009 $6,292 $6,593
05/2009 $7,221 $7,427
06/2009 $7,112 $7,350
07/2009 $7,951 $8,040
08/2009 $8,406 $8,425
09/2009 $8,837 $8,773
10/2009 $8,486 $8,632
11/2009 $8,732 $8,845
12/2009 $8,831 $8,986
01/2010 $8,325 $8,565
02/2010 $8,351 $8,557
03/2010 $9,006 $9,107
04/2010 $8,855 $8,972
05/2010 $7,815 $7,982
06/2010 $7,671 $7,866
07/2010 $8,636 $8,593
08/2010 $8,212 $8,336
09/2010 $9,089 $9,136
10/2010 $9,407 $9,462
11/2010 $8,926 $9,061
12/2010 $9,759 $9,790
01/2011 $10,175 $10,001
02/2011 $10,514 $10,372
03/2011 $10,223 $10,164
04/2011 $10,767 $10,718
05/2011 $10,369 $10,400
06/2011 $10,226 $10,252
07/2011 $9,901 $10,083
08/2011 $8,834 $9,231
09/2011 $7,870 $8,304
10/2011 $8,625 $9,111
11/2011 $8,337 $8,690
12/2011 $8,109 $8,595
01/2012 $8,656 $9,059
02/2012 $9,109 $9,557
03/2012 $9,030 $9,487
04/2012 $8,703 $9,326
05/2012 $7,628 $8,262
06/2012 $8,167 $8,804
07/2012 $8,135 $8,913
08/2012 $8,468 $9,168
09/2012 $8,767 $9,446
10/2012 $8,875 $9,512
11/2012 $9,015 $9,712
12/2012 $9,459 $10,006
01/2013 $9,903 $10,498
02/2013 $9,600 $10,393
03/2013 $9,626 $10,476
04/2013 $10,106 $10,953
05/2013 $9,977 $10,708
06/2013 $9,629 $10,307
07/2013 $10,283 $10,855
08/2013 $10,212 $10,715
09/2013 $10,969 $11,472
10/2013 $11,352 $11,857
11/2013 $11,387 $11,930
12/2013 $11,642 $12,110
01/2014 $11,214 $11,621
02/2014 $11,843 $12,255
03/2014 $11,764 $12,200
04/2014 $11,956 $12,392
05/2014 $12,084 $12,584
06/2014 $12,242 $12,763
07/2014 $11,956 $12,536
08/2014 $11,956 $12,546
09/2014 $11,435 $12,030
10/2014 $11,239 $11,839
11/2014 $11,239 $11,985
12/2014 $10,822 $11,586
01/2015 $10,741 $11,545
02/2015 $11,509 $12,235
03/2015 $11,273 $12,030
04/2015 $11,880 $12,551
05/2015 $11,880 $12,442
06/2015 $11,534 $12,089
07/2015 $11,425 $12,280
08/2015 $10,576 $11,386
09/2015 $9,854 $10,811
10/2015 $10,611 $11,624
11/2015 $10,459 $11,439
12/2015 $10,135 $11,234
01/2016 $9,341 $10,461
02/2016 $9,038 $10,315
03/2016 $9,716 $11,015
04/2016 $10,194 $11,369
05/2016 $9,991 $11,241
06/2016 $9,631 $10,899
07/2016 $10,059 $11,435
08/2016 $10,325 $11,446 Past performance is not predictive of
09/2016 $10,443 $11,585 future performance.
10/2016 $10,562 $11,360 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2016, all
-0.46% 4.13% 0.55% rights reserved.
--------------------------------------------------------------------------------
30
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index........... -2.27%
MSCI World ex USA Small Cap Index. 3.96%
MSCI World ex USA Value Index..... -2.07%
MSCI World ex USA Growth Index.... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 pm London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities directly.
INTERNATIONAL EQUITY PORTFOLIO'S PERFORMANCE OVERVIEW
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
The LWAS/DFA International High Book to Market Portfolio seeks to capture
the returns of developed ex U.S. large-cap value stocks by purchasing shares of
The DFA International Value Series, a Master Fund managed
31
by Dimensional that invests in such stocks. Value is measured primarily by
price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Master Fund held
approximately 500 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Master Fund's
assets.
For the 12 months ended October 31, 2016, total returns were -0.46% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Master Fund invests primarily in value stocks, while the benchmark
is neutral with regard to value or growth stocks. The Master Fund's emphasis on
deep value stocks contributed positively to its performance relative to the
benchmark, as that segment of the market outperformed for the year. The Master
Fund's emphasis on mid-cap stocks also contributed positively to relative
performance, as those stocks outperformed for the period.
32
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2016
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/16 10/31/16 RATIO* PERIOD*
--------- --------- ---------- --------
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO**
------------------------------------------------------
Actual Fund Return..................................... $1,000.00 $1,036.10 0.48% $2.46
Hypothetical 5% Annual Return.......................... $1,000.00 $ 1022.72 0.48% $2.44
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
33
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 2016. They are available upon request,
without charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by country.
FEEDER FUND
Affiliated Investment Company
-----------------------------
LWAS/DFA
International High
Book to Market
Portfolio........... 100.0%
34
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The
DFA Investment Trust Company.............................. $54,237,875
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$53,039,799)........................................... $54,237,875
-----------
Summary of the Portfolio's Master Fund's investments as of October 31, 2016,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company (Affiliated Investment
Company) at Value.......................................................................................... $ 54,238
Fund Shares Sold.......................................................................................... 1
Prepaid Expenses and Other Assets........................................................................... 4
------------
Total Assets........................................................................................... 54,243
------------
LIABILITIES:
Payables:
Fund Shares Redeemed...................................................................................... 2
Accrued Expenses and Other Liabilities...................................................................... 16
------------
Total Liabilities...................................................................................... 18
------------
NET ASSETS.................................................................................................. $ 54,225
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................................................................... 7,601,296
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................... $ 7.13
============
Investment in Affiliated Investment Company at Cost......................................................... $ 53,040
============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................................................. $ 54,052
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................... 290
Accumulated Net Realized Gain (Loss)........................................................................ (1,314)
Net Unrealized Foreign Exchange Gain (Loss)................................................................. (1)
Net Unrealized Appreciation (Depreciation).................................................................. 1,198
------------
NET ASSETS.................................................................................................. $ 54,225
============
(1) NUMBER OF SHARES AUTHORIZED............................................................................. 200,000,000
============
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO*
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Company:
Dividends (Net of Foreign Taxes Withheld of $163)............................................... $ 2,019
Income from Securities Lending.................................................................. 58
Expenses Allocated from Affiliated Investment Company........................................... (117)
-------
Total Investment Income........................................................................ 1,960
-------
EXPENSES
Investment Management Fees........................................................................ 112
Accounting & Transfer Agent Fees.................................................................. 4
Shareholder Servicing Fees........................................................................ 101
Filing Fees....................................................................................... 17
Shareholders' Reports............................................................................. 8
Professional Fees................................................................................. 1
Other............................................................................................. 2
-------
Total Expenses................................................................................. 245
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C). (107)
-------
Net Expenses...................................................................................... 138
-------
NET INVESTMENT INCOME (LOSS)...................................................................... 1,822
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................................... (1,293)
Futures......................................................................................... 37
Foreign Currency Transactions................................................................... 33
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... (990)
Futures......................................................................................... (7)
Translation of Foreign Currency Denominated Amounts............................................. (5)
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................... (2,225)
-------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................... $ (403)
=======
----------
* Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0.
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LWAS/DFA INTERNATIONAL
HIGH BOOK TO MARKET
PORTFOLIO
---------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2016 2015
-------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................................................... $ 1,822 $ 2,005
Net Realized Gain (Loss) on:
Investment Securities Sold*........................................................ (1,293) 2,348
Futures............................................................................ 37 --
Foreign Currency Transactions...................................................... 33 (42)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... (990) (7,888)
Futures............................................................................ (7) --
Translation of Foreign Currency Denominated Amounts................................ (5) 5
-------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations................... (403) (3,572)
-------- -------
Distributions From:
Net Investment Income................................................................ (1,752) (1,879)
Net Short-Term Gains................................................................. -- (40)
Net Long-Term Gains.................................................................. (2,241) (1,481)
-------- -------
Total Distributions............................................................... (3,993) (3,400)
-------- -------
Capital Share Transactions (1):
Shares Issued........................................................................ 4,830 3,105
Shares Issued in Lieu of Cash Distributions.......................................... 3,993 3,399
Shares Redeemed...................................................................... (10,274) (8,126)
-------- -------
Net Increase (Decrease) from Capital Share Transactions........................... (1,451) (1,622)
-------- -------
Total Increase (Decrease) in Net Assets........................................... (5,847) (8,594)
NET ASSETS
Beginning of Year.................................................................... 60,072 68,666
End of Year.......................................................................... $ 54,225 $60,072
======== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................................ 692 377
Shares Issued in Lieu of Cash Distributions.......................................... 583 421
Shares Redeemed...................................................................... (1,469) (980)
-------- -------
Net Increase (Decrease) from Shares Issued and Redeemed........................... (194) (182)
======== =======
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME). $ 290 $ 191
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA International High Book to Market Portfolio
---------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $ 7.71 $ 8.61 $ 9.50 $ 8.22 $ 8.68
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.23 0.25 0.39 0.25 0.28
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... (0.29) (0.72) (0.47) 1.87 (0.10)
------- ------- ------- ------- -------
Total from Investment Operations............... (0.06) (0.47) (0.08) 2.12 0.18
-------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.23) (0.24) (0.38) (0.27) (0.28)
Net Realized Gains............................... (0.29) (0.19) (0.43) (0.57) (0.36)
------- ------- ------- ------- -------
Total Distributions............................ (0.52) (0.43) (0.81) (0.84) (0.64)
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 7.13 $ 7.71 $ 8.61 $ 9.50 $ 8.22
================================================= ========= ========= ========= ========= =========
Total Return...................................... (0.46)% (5.59)% (0.99)% 27.91% 2.89%
-------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $54,225 $60,072 $68,666 $77,901 $66,900
Ratio of Expenses to Average Net Assets (B)....... 0.48% 0.47% 0.50% 0.49% 0.50%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered by
Advisor) (B)..................................... 0.68% 0.53% 0.50% 0.49% 0.50%
Ratio of Net Investment Income to Average Net
Assets........................................... 3.42% 3.05% 4.28% 2.91% 3.49%
-------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of ninety-five operational
portfolios, one of which, LWAS/DFA International High Book to Market Portfolio
(the "Portfolio"), is presented in this report. The remaining operational
portfolios are presented in separate reports. The Portfolio is an investment
company and, accordingly, follows the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
The Portfolio primarily invests its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At October 31, 2016, the Portfolio owned less than 1% of the Series.
The financial statements of the Portfolio are included elsewhere in this report
and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 2016, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolio.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio;
40
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors' Fees &
Expenses. At October 31, 2016, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities in the amount of $4 (in thousands).
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of October 31, 2016, none of the Directors
have requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Portfolio recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Distributions received on
securities that represent a return of capital or capital gains are recorded as
a reduction of cost of investments or as a realized gain, respectively.
Expenses directly attributable to the Portfolio are directly charged. Common
expenses of the Fund or the Portfolios are allocated using methods approved by
the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
For the year ended October 31, 2016, the Portfolio's investment management
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.21% of the Portfolio's average daily net assets.
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of the Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by the
Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, to 0.21% of the average net assets of a class of the Portfolio on an
annualized basis. The Fee Waiver Agreement for the Portfolio will remain in
effect permanently, unless terminated by the Fund.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolio pays a monthly Shareholder Servicing Fee to LWIF at an
effective annual rate of 0.19% of its average daily net assets.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $291 (in thousands). The total related amounts paid by the
Portfolio are included in Other Expenses on the Statement of Operations.
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
41
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2016, primarily attributable to net foreign
currency gains (losses) and gains on securities considered to be "passive
foreign investment companies", tax equalization and foreign capital gains tax
were reclassified to the following accounts. These reclassifications had no
effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
LWAS/DFA International High Book to Market Portfolio... $37 $29 $(66)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
LWAS/DFA International High Book to Market Portfolio
2015................................................. $1,918 $1,481 -- $3,399
2016................................................. 1,752 2,241 -- 3,993
At October 31, 2016, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
LWAS/DFA International High Book to Market Portfolio. $37
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
LWAS/DFA International High Book to
Market Portfolio.................. $382 -- $(1,184) $750 $(52)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolio after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2015, the
Portfolio had no capital loss carryforwards available to offset future realized
capital gains.
During the year ended October 31, 2016, the Portfolio did not utilize
capital loss carryforwards.
42
At October 31, 2016, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------- ------------ ------------ --------------
LWAS/DFA International High Book to Market Portfolio. $53,260 $977 -- $977
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolio's
tax positions and has concluded that no additional provision for income tax is
required in the Portfolio's financial statements. The Portfolio is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Portfolio's federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 29, 2017.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 7, 2017.
There were no borrowings by the Portfolio under the lines of credit during
the year ended October 31, 2016.
F. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
G. OTHER:
At October 31, 2016, two shareholders held approximately 94% of the
outstanding shares of the Portfolio. One or more of the shareholders may be
omnibus accounts, which typically hold shares for the benefit of several other
underlying investors.
43
H. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolio through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
44
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of LWAS/DFA International High Book to Market Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of LWAS/DFA International High Book
to Market Portfolio (one of the portfolios constituting DFA Investment
Dimensions Group Inc., hereafter referred to as the "Portfolio") as of
October 31, 2016, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended
and the financial highlights for each of the five years in the period then
ended, in conformity with accounting principles generally accepted in the
United States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Portfolio's management. Our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities as of October 31, 2016 by correspondence with the transfer agent
of the investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
45
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, the Portfolios paid distributions to
shareholders of record that included amounts from net investment income and
return of capital. Please note that this information is being provided to
satisfy certain notice requirements under the Investment Company Act of 1940
and is not being provided for tax reporting purposes. The Portfolio will send
(or has sent) shareholders a Form 1099-DIV (or a financial intermediary should
provide (or has provided) shareholders with similar information) for the
relevant calendar year informing shareholders how to report these distributions
for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
LWAS/DFA International High Book to Market Portfolio
December 16, 2015................................. 86% 0% 0% 14%
June 29, 2016..................................... 94% 0% 0% 6%
The Portfolio estimates that it has distributed more than the amount of net
investment income and net realized capital gains; therefore, a portion of the
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the shareholder's investment in the Portfolio is
returned to the shareholder. A return of capital does not necessarily reflect
the Portfolio's investment performance and should not be confused with yield or
income. When distributions exceed total return performance, the difference will
reduce the Portfolio's net asset value per share.
46
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The U.S. Large Cap Russell 1000
Value Series Value Index
---------------------- ---------------
10/2006 $10,000 $10,000
11/2006 $10,190 $10,228
12/2006 $10,395 $10,458
01/2007 $10,698 $10,592
02/2007 $10,537 $10,427
03/2007 $10,610 $10,588
04/2007 $11,062 $10,979
05/2007 $11,518 $11,375
06/2007 $11,332 $11,109
07/2007 $10,630 $10,595
08/2007 $10,427 $10,714
09/2007 $10,699 $11,082
10/2007 $10,759 $11,083
11/2007 $10,158 $10,542
12/2007 $10,124 $10,440
01/2008 $9,737 $10,022
02/2008 $9,439 $9,602
03/2008 $9,351 $9,530
04/2008 $9,940 $9,994
05/2008 $10,179 $9,978
06/2008 $9,063 $9,023
07/2008 $8,964 $8,991
08/2008 $9,138 $9,144
09/2008 $8,317 $8,472
10/2008 $6,447 $7,005
11/2008 $5,815 $6,503
12/2008 $6,004 $6,593
01/2009 $5,291 $5,835
02/2009 $4,550 $5,055
03/2009 $4,999 $5,488
04/2009 $5,808 $6,076
05/2009 $6,253 $6,452
06/2009 $6,176 $6,404
07/2009 $6,765 $6,928
08/2009 $7,224 $7,290
09/2009 $7,540 $7,572
10/2009 $7,215 $7,340
11/2009 $7,621 $7,754
12/2009 $7,832 $7,891
01/2010 $7,650 $7,669
02/2010 $7,980 $7,911
03/2010 $8,602 $8,426
04/2010 $8,875 $8,645
05/2010 $8,114 $7,934
06/2010 $7,502 $7,487
07/2010 $8,090 $7,994
08/2010 $7,602 $7,652
09/2010 $8,344 $8,246
10/2010 $8,655 $8,493
11/2010 $8,588 $8,448
12/2010 $9,425 $9,115
01/2011 $9,726 $9,321
02/2011 $10,253 $9,665
03/2011 $10,300 $9,703
04/2011 $10,563 $9,962
05/2011 $10,410 $9,856
06/2011 $10,229 $9,654
07/2011 $9,760 $9,334
08/2011 $8,937 $8,752
09/2011 $8,033 $8,090
10/2011 $9,147 $9,016
11/2011 $9,071 $8,970
12/2011 $9,143 $9,151
01/2012 $9,597 $9,497
02/2012 $10,152 $9,875
03/2012 $10,339 $10,168
04/2012 $10,128 $10,064
05/2012 $9,410 $9,474
06/2012 $9,918 $9,945
07/2012 $10,013 $10,047
08/2012 $10,410 $10,266
09/2012 $10,793 $10,591
10/2012 $10,822 $10,539
11/2012 $10,846 $10,535
12/2012 $11,176 $10,753
01/2013 $11,956 $11,452
02/2013 $12,109 $11,616
03/2013 $12,688 $12,076
04/2013 $12,822 $12,259
05/2013 $13,348 $12,573
06/2013 $13,200 $12,463
07/2013 $13,989 $13,135
08/2013 $13,578 $12,637
09/2013 $13,975 $12,954
10/2013 $14,683 $13,521
11/2013 $15,300 $13,898
12/2013 $15,706 $14,250
01/2014 $15,085 $13,744
02/2014 $15,596 $14,338
03/2014 $15,965 $14,681
04/2014 $16,070 $14,820
05/2014 $16,424 $15,037
06/2014 $16,869 $15,430
07/2014 $16,749 $15,167
08/2014 $17,280 $15,725
09/2014 $16,855 $15,400
10/2014 $16,984 $15,746
11/2014 $17,185 $16,069
12/2014 $17,314 $16,167
01/2015 $16,458 $15,521
02/2015 $17,620 $16,272
03/2015 $17,285 $16,050
04/2015 $17,635 $16,200
05/2015 $17,831 $16,395
06/2015 $17,544 $16,068
07/2015 $17,501 $16,138
08/2015 $16,438 $15,177
09/2015 $15,912 $14,719
10/2015 $17,209 $15,830
11/2015 $17,276 $15,890
12/2015 $16,735 $15,548
01/2016 $15,596 $14,745
02/2016 $15,625 $14,741
03/2016 $16,764 $15,803
04/2016 $17,218 $16,135
05/2016 $17,453 $16,386
06/2016 $17,434 $16,527
07/2016 $18,036 $17,007 Past performance is not predictive of
08/2016 $18,252 $17,138 future performance.
09/2016 $18,338 $17,103 The returns shown do not reflect the
10/2016 $18,027 $16,838 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2016, all rights
4.75% 14.53% 6.07% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The DFA International MSCI World ex
Value Series USA Index (net dividends)
----------------- ------------------------
10/2006 $10,000 $10,000
11/2006 $10,332 $10,298
12/2006 $10,735 $10,593
01/2007 $10,938 $10,658
02/2007 $10,928 $10,743
03/2007 $11,281 $11,018
04/2007 $11,851 $11,520
05/2007 $12,256 $11,775
06/2007 $12,166 $11,787
07/2007 $11,828 $11,624
08/2007 $11,696 $11,456
09/2007 $12,306 $12,107
10/2007 $12,903 $12,633
11/2007 $12,121 $12,139
12/2007 $11,860 $11,911
01/2008 $10,900 $10,837
02/2008 $10,761 $11,033
03/2008 $10,890 $10,876
04/2008 $11,376 $11,480
05/2008 $11,382 $11,655
06/2008 $10,256 $10,748
07/2008 $9,966 $10,366
08/2008 $9,549 $9,965
09/2008 $8,434 $8,526
10/2008 $6,319 $6,753
11/2008 $5,931 $6,386
12/2008 $6,380 $6,723
01/2009 $5,499 $6,096
02/2009 $4,824 $5,479
03/2009 $5,350 $5,840
04/2009 $6,336 $6,593
05/2009 $7,277 $7,427
06/2009 $7,166 $7,350
07/2009 $8,019 $8,040
08/2009 $8,479 $8,425
09/2009 $8,911 $8,773
10/2009 $8,556 $8,632
11/2009 $8,811 $8,845
12/2009 $8,911 $8,986
01/2010 $8,396 $8,565
02/2010 $8,429 $8,557
03/2010 $9,094 $9,107
04/2010 $8,939 $8,972
05/2010 $7,892 $7,982
06/2010 $7,753 $7,866
07/2010 $8,723 $8,593
08/2010 $8,296 $8,336
09/2010 $9,188 $9,136
10/2010 $9,509 $9,462
11/2010 $9,033 $9,061
12/2010 $9,875 $9,790
01/2011 $10,295 $10,001
02/2011 $10,639 $10,372
03/2011 $10,345 $10,164
04/2011 $10,899 $10,718
05/2011 $10,506 $10,400
06/2011 $10,362 $10,252
07/2011 $10,030 $10,083
08/2011 $8,955 $9,231
09/2011 $7,975 $8,304
10/2011 $8,745 $9,111
11/2011 $8,457 $8,690
12/2011 $8,230 $8,595
01/2012 $8,784 $9,059
02/2012 $9,243 $9,557
03/2012 $9,166 $9,487
04/2012 $8,839 $9,326
05/2012 $7,748 $8,262
06/2012 $8,296 $8,804
07/2012 $8,263 $8,913
08/2012 $8,606 $9,168
09/2012 $8,911 $9,446
10/2012 $9,022 $9,512
11/2012 $9,166 $9,712
12/2012 $9,614 $10,006
01/2013 $10,068 $10,498
02/2013 $9,764 $10,393
03/2013 $9,797 $10,476
04/2013 $10,279 $10,953
05/2013 $10,157 $10,708
06/2013 $9,797 $10,307
07/2013 $10,467 $10,855
08/2013 $10,395 $10,715
09/2013 $11,176 $11,472
10/2013 $11,564 $11,857
11/2013 $11,608 $11,930
12/2013 $11,863 $12,110
01/2014 $11,431 $11,621
02/2014 $12,084 $12,255
03/2014 $11,996 $12,200
04/2014 $12,201 $12,392
05/2014 $12,339 $12,584
06/2014 $12,489 $12,763
07/2014 $12,212 $12,536
08/2014 $12,217 $12,546
09/2014 $11,680 $12,030
10/2014 $11,481 $11,839
11/2014 $11,486 $11,985
12/2014 $11,060 $11,586
01/2015 $10,988 $11,545
02/2015 $11,774 $12,235
03/2015 $11,525 $12,030
04/2015 $12,156 $12,551
05/2015 $12,162 $12,442
06/2015 $11,813 $12,089
07/2015 $11,697 $12,280
08/2015 $10,827 $11,386
09/2015 $10,091 $10,811
10/2015 $10,866 $11,624
11/2015 $10,722 $11,439
12/2015 $10,378 $11,234
01/2016 $9,570 $10,461
02/2016 $9,265 $10,315
03/2016 $9,969 $11,015
04/2016 $10,450 $11,369
05/2016 $10,257 $11,241
06/2016 $9,886 $10,899
07/2016 $10,323 $11,435
08/2016 $10,600 $11,446 Past performance is not predictive of
09/2016 $10,716 $11,585 future performance.
10/2016 $10,855 $11,360 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------------------- MSCI data copyright MSCI 2016, all
-0.10% 4.42% 0.82% rights reserved.
--------------------------------------------------------------------------------
47
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 3000(R) Index........................ 4.24%
Russell Microcap(R) Index (micro-cap stocks). 1.54%
Russell 2000(R) Index (small-cap stocks)..... 4.11%
Russell 1000(R) Index (large-cap stocks)..... 4.26%
Dow Jones U.S. Select REIT Index/SM/......... 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 8.81%
Russell 2000(R) Growth Index (small-cap growth stocks). -0.49%
Russell 1000(R) Value Index (large-cap value stocks)... 6.37%
Russell 1000(R) Growth Index (large-cap growth stocks). 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW
THE U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large-cap value stocks. Value is measured primarily by book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2016, the Series held approximately 300 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2016, total returns were 4.75% for the
Series and 6.37% for the Russell 1000(R) Value Index, the Series benchmark. As
a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than
the behavior of a limited number of stocks. The Series had a larger allocation
than the benchmark to lower relative price stocks, which detracted from the
Series' performance relative to the benchmark as the lowest relative price
quartile underperformed. The Series' exclusion of real estate investment trusts
(REITs) and utilities detracted from relative performance as REITs and
utilities outperformed most other sectors during the period.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index........... -2.27%
MSCI World ex USA Small Cap Index. 3.96%
MSCI World ex USA Value Index..... -2.07%
MSCI World ex USA Growth Index.... -2.58%
48
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations detracted from USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
For funds investing in non-US equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market while their benchmark indices use rates at 4 pm London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2016, these
differences generally benefitted the funds' relative performance.
INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series is designed to capture the returns of
developed ex U.S. large cap value stocks. Value is measured primarily by
price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Series held approximately
500 securities in 22 eligible developed markets. In general, average cash
exposure throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were -0.10% for the
Series and -2.27% for the MSCI World ex USA Index (net dividends), the Series'
benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in developed ex U.S.
equity markets rather than by the behavior of a limited number of stocks. The
Series invests primarily in value stocks, while the benchmark is neutral with
regard to value or growth stocks. The Series' emphasis on deep value stocks
contributed positively to its performance, relative to the benchmark as that
segment of the market outperformed for the year. The Series' emphasis on
mid-cap stocks also contributed positively to relative performance, as those
stocks outperformed for the period.
49
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/16 10/31/16 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,047.00 0.11% $0.57
Hypothetical 5% Annual Return...... $1,000.00 $1,024.58 0.11% $0.56
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,038.70 0.22% $1.13
Hypothetical 5% Annual Return...... $1,000.00 $1,024.03 0.22% $1.12
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
50
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent
Form N-Q with the SEC on September 29, 2016. They are available upon request,
without charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
THE U.S. LARGE CAP VALUE SERIES
Consumer Discretionary....................... 12.3%
Consumer Staples............................. 6.6%
Energy....................................... 13.7%
Financials................................... 21.5%
Health Care.................................. 11.0%
Industrials.................................. 11.3%
Information Technology....................... 14.7%
Materials.................................... 3.9%
Telecommunication Services................... 4.8%
Utilities.................................... 0.2%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary....................... 12.8%
Consumer Staples............................. 2.6%
Energy....................................... 16.2%
Financials................................... 29.7%
Health Care.................................. 1.2%
Industrials.................................. 10.7%
Information Technology....................... 3.2%
Materials.................................... 14.6%
Real Estate.................................. 2.3%
Telecommunication Services................... 4.3%
Utilities.................................... 2.4%
-----
100.0%
51
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2016
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.3%)
Consumer Discretionary -- (11.7%)
#* Charter Communications, Inc. Class A..... 910,208 $ 227,451,877 1.1%
Comcast Corp. Class A.................... 10,885,890 672,965,720 3.2%
Ford Motor Co............................ 14,753,200 173,202,568 0.8%
General Motors Co........................ 5,641,400 178,268,240 0.9%
Time Warner, Inc......................... 3,800,376 338,195,460 1.6%
Other Securities......................... 954,615,599 4.6%
-------------- -----
Total Consumer Discretionary................. 2,544,699,464 12.2%
-------------- -----
Consumer Staples -- (6.3%)
CVS Health Corp.......................... 3,989,908 335,551,263 1.6%
Mondelez International, Inc. Class A..... 3,933,821 176,785,916 0.9%
# Tyson Foods, Inc. Class A................ 1,957,913 138,718,136 0.7%
Wal-Mart Stores, Inc..................... 1,998,751 139,952,545 0.7%
Other Securities......................... 574,239,450 2.6%
-------------- -----
Total Consumer Staples....................... 1,365,247,310 6.5%
-------------- -----
Energy -- (13.1%)
Chevron Corp............................. 3,924,607 411,102,583 2.0%
ConocoPhillips........................... 3,210,456 139,494,313 0.7%
EOG Resources, Inc....................... 1,485,821 134,347,935 0.6%
Exxon Mobil Corp......................... 9,096,178 757,893,551 3.6%
Occidental Petroleum Corp................ 1,857,300 135,415,743 0.6%
Phillips 66.............................. 2,096,097 170,098,272 0.8%
Valero Energy Corp....................... 2,806,975 166,285,199 0.8%
Other Securities......................... 932,855,101 4.5%
-------------- -----
Total Energy................................. 2,847,492,697 13.6%
-------------- -----
Financials -- (20.5%)
American International Group, Inc........ 2,735,967 168,809,164 0.8%
Bank of America Corp..................... 15,552,325 256,613,362 1.2%
Bank of New York Mellon Corp. (The)...... 3,379,657 146,237,758 0.7%
Capital One Financial Corp............... 2,036,842 150,807,782 0.7%
Citigroup, Inc........................... 8,251,489 405,560,684 1.9%
Goldman Sachs Group, Inc. (The).......... 980,999 174,853,262 0.8%
JPMorgan Chase & Co...................... 11,452,239 793,182,073 3.8%
Morgan Stanley........................... 3,534,479 118,652,460 0.6%
PNC Financial Services Group, Inc. (The). 1,303,329 124,598,252 0.6%
Travelers Cos., Inc. (The)............... 1,119,453 121,102,426 0.6%
Wells Fargo & Co......................... 6,090,495 280,223,675 1.3%
Other Securities......................... 1,721,446,165 8.3%
-------------- -----
Total Financials............................. 4,462,087,063 21.3%
-------------- -----
Health Care -- (10.5%)
Aetna, Inc............................... 1,802,581 193,507,070 0.9%
Anthem, Inc.............................. 1,445,532 176,152,529 0.9%
* Express Scripts Holding Co............... 2,738,677 184,586,830 0.9%
Humana, Inc.............................. 707,042 121,278,914 0.6%
Medtronic P.L.C.......................... 3,541,179 290,447,502 1.4%
Pfizer, Inc.............................. 16,340,523 518,157,984 2.5%
Thermo Fisher Scientific, Inc............ 1,023,977 150,555,338 0.7%
Other Securities......................... 644,260,598 3.0%
-------------- -----
Total Health Care............................ 2,278,946,765 10.9%
-------------- -----
52
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (10.8%)
# Caterpillar, Inc.............................................. 1,458,164 $ 121,698,367 0.6%
CSX Corp...................................................... 5,234,843 159,715,060 0.8%
FedEx Corp.................................................... 853,987 148,867,014 0.7%
General Electric Co........................................... 7,508,293 218,491,326 1.0%
Norfolk Southern Corp......................................... 1,569,304 145,945,272 0.7%
Southwest Airlines Co......................................... 3,733,160 149,513,058 0.7%
Stanley Black & Decker, Inc................................... 1,095,910 124,758,394 0.6%
Union Pacific Corp............................................ 2,259,039 199,202,059 1.0%
Other Securities.............................................. 1,077,855,471 5.1%
--------------- ------
Total Industrials................................................... 2,346,046,021 11.2%
--------------- ------
Information Technology -- (14.0%)
Cisco Systems, Inc............................................ 21,342,703 654,794,128 3.1%
Hewlett Packard Enterprise Co................................. 9,162,273 205,876,274 1.0%
HP, Inc....................................................... 9,619,949 139,393,061 0.7%
Intel Corp.................................................... 20,115,235 701,418,244 3.4%
# NVIDIA Corp................................................... 1,824,559 129,835,618 0.6%
QUALCOMM, Inc................................................. 2,685,866 184,572,712 0.9%
Other Securities.............................................. 1,024,025,488 4.8%
--------------- ------
Total Information Technology........................................ 3,039,915,525 14.5%
--------------- ------
Materials -- (3.7%)
Newmont Mining Corp........................................... 3,239,227 119,980,968 0.6%
Other Securities.............................................. 691,529,819 3.3%
--------------- ------
Total Materials..................................................... 811,510,787 3.9%
--------------- ------
Real Estate -- (0.0%)
Other Securities.............................................. 500,715 0.0%
--------------- ------
Telecommunication Services -- (4.5%)
AT&T, Inc..................................................... 21,002,992 772,700,076 3.7%
Other Securities.............................................. 221,455,332 1.1%
--------------- ------
Total Telecommunication Services.................................... 994,155,408 4.8%
--------------- ------
Utilities -- (0.2%)
Other Securities.............................................. 38,848,392 0.2%
--------------- ------
TOTAL COMMON STOCKS................................................. 20,729,450,147 99.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 208,566 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 20,729,658,713
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
0.260%....................................................... 200,994,368 200,994,368 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (3.8%)
(S)@ DFA Short Term Investment Fund................................ 70,916,981 820,651,306 3.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,161,108,715).......................................... $21,751,304,387 104.0%
=============== ======
53
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2016, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary...... $ 2,544,699,464 -- -- $ 2,544,699,464
Consumer Staples............ 1,365,247,310 -- -- 1,365,247,310
Energy...................... 2,847,492,697 -- -- 2,847,492,697
Financials.................. 4,462,087,063 -- -- 4,462,087,063
Health Care................. 2,278,946,765 -- -- 2,278,946,765
Industrials................. 2,346,046,021 -- -- 2,346,046,021
Information Technology...... 3,039,915,525 -- -- 3,039,915,525
Materials................... 811,510,787 -- -- 811,510,787
Real Estate................. 500,715 -- -- 500,715
Telecommunication Services.. 994,155,408 -- -- 994,155,408
Utilities................... 38,848,392 -- -- 38,848,392
Rights/Warrants............... -- $ 208,566 -- 208,566
Temporary Cash Investments.... 200,994,368 -- -- 200,994,368
Securities Lending Collateral. -- 820,651,306 -- 820,651,306
Futures Contracts**........... (3,872,034) -- -- (3,872,034)
--------------- ------------ -- ---------------
TOTAL......................... $20,926,572,481 $820,859,872 -- $21,747,432,353
=============== ============ == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
54
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2016
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (95.4%)
AUSTRALIA -- (6.3%)
# Australia & New Zealand Banking Group, Ltd.. 5,260,554 $111,078,744 1.1%
BHP Billiton, Ltd........................... 5,929,050 103,585,415 1.1%
# BHP Billiton, Ltd. Sponsored ADR............ 1,703,682 59,662,944 0.6%
Newcrest Mining, Ltd........................ 3,033,954 53,122,828 0.5%
Woodside Petroleum, Ltd..................... 2,846,042 60,922,340 0.6%
Other Securities............................ 246,709,911 2.6%
------------ ----
TOTAL AUSTRALIA................................. 635,082,182 6.5%
------------ ----
AUSTRIA -- (0.1%)
Other Securities............................ 7,798,226 0.1%
------------ ----
BELGIUM -- (1.2%)
Other Securities............................ 121,053,616 1.2%
------------ ----
CANADA -- (7.6%)
Bank of Montreal............................ 1,645,325 104,642,670 1.1%
Suncor Energy, Inc.......................... 3,911,426 117,374,872 1.2%
Other Securities............................ 542,711,216 5.6%
------------ ----
TOTAL CANADA.................................... 764,728,758 7.9%
------------ ----
DENMARK -- (1.7%)
Vestas Wind Systems A.S..................... 680,712 54,535,811 0.6%
Other Securities............................ 120,813,571 1.2%
------------ ----
TOTAL DENMARK................................... 175,349,382 1.8%
------------ ----
FINLAND -- (0.7%)
Other Securities............................ 75,225,974 0.8%
------------ ----
FRANCE -- (8.9%)
BNP Paribas SA.............................. 1,521,254 88,207,260 0.9%
Cie de Saint-Gobain......................... 1,719,658 76,358,268 0.8%
# Engie SA.................................... 4,083,126 58,885,688 0.6%
# Orange SA................................... 4,783,728 75,265,526 0.8%
Renault SA.................................. 759,818 66,075,160 0.7%
Societe Generale SA......................... 1,935,625 75,503,898 0.8%
Total SA.................................... 4,607,253 220,709,998 2.2%
Other Securities............................ 229,497,843 2.4%
------------ ----
TOTAL FRANCE.................................... 890,503,641 9.2%
------------ ----
GERMANY -- (7.1%)
Allianz SE.................................. 730,758 114,074,413 1.2%
# Bayerische Motoren Werke AG................. 972,382 84,835,907 0.9%
Daimler AG.................................. 2,565,266 183,011,136 1.9%
E.ON SE..................................... 9,462,347 69,348,171 0.7%
Other Securities............................ 258,205,262 2.6%
------------ ----
TOTAL GERMANY................................... 709,474,889 7.3%
------------ ----
HONG KONG -- (2.7%)
CK Hutchison Holdings, Ltd.................. 5,014,984 61,925,181 0.6%
Sun Hung Kai Properties, Ltd................ 2,980,920 44,389,245 0.5%
Other Securities............................ 163,115,200 1.7%
------------ ----
TOTAL HONG KONG................................. 269,429,626 2.8%
------------ ----
55
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (0.3%)
Other Securities...................... $ 27,555,506 0.3%
-------------- -----
ISRAEL -- (0.4%)
Other Securities...................... 37,197,840 0.4%
-------------- -----
ITALY -- (0.9%)
Other Securities...................... 89,098,627 0.9%
-------------- -----
JAPAN -- (22.1%)
Hitachi, Ltd.......................... 10,841,000 57,792,205 0.6%
Honda Motor Co., Ltd.................. 3,689,000 110,380,798 1.1%
Mitsubishi UFJ Financial Group, Inc... 13,919,406 71,821,469 0.7%
Mizuho Financial Group, Inc........... 49,478,100 83,308,851 0.9%
Nissan Motor Co., Ltd................. 6,443,700 65,548,427 0.7%
Sumitomo Mitsui Financial Group, Inc.. 2,854,200 98,959,858 1.0%
Other Securities...................... 1,732,718,474 17.8%
-------------- -----
TOTAL JAPAN............................... 2,220,530,082 22.8%
-------------- -----
NETHERLANDS -- (3.2%)
ING Groep NV.......................... 6,261,830 82,199,110 0.8%
Koninklijke DSM NV.................... 739,169 47,509,724 0.5%
Koninklijke Philips NV................ 1,794,168 54,062,166 0.6%
Other Securities...................... 133,730,760 1.4%
-------------- -----
TOTAL NETHERLANDS......................... 317,501,760 3.3%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities...................... 12,145,818 0.1%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 77,275,822 0.8%
-------------- -----
PORTUGAL -- (0.0%)
Other Securities...................... 4,088,097 0.0%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities...................... 99,362,354 1.0%
-------------- -----
SPAIN -- (2.8%)
Banco Santander SA.................... 38,416,551 188,242,084 1.9%
Other Securities...................... 91,349,479 1.0%
-------------- -----
TOTAL SPAIN............................... 279,591,563 2.9%
-------------- -----
SWEDEN -- (2.2%)
Nordea Bank AB........................ 4,880,877 51,293,747 0.5%
Other Securities...................... 170,725,504 1.8%
-------------- -----
TOTAL SWEDEN.............................. 222,019,251 2.3%
-------------- -----
SWITZERLAND -- (7.6%)
ABB, Ltd.............................. 4,800,878 99,044,119 1.0%
Cie Financiere Richemont SA........... 1,271,917 81,771,387 0.8%
Novartis AG........................... 1,332,371 94,555,149 1.0%
Swiss Re AG........................... 1,037,390 96,281,939 1.0%
UBS Group AG.......................... 3,448,485 48,753,503 0.5%
Zurich Insurance Group AG............. 326,468 85,455,128 0.9%
Other Securities...................... 255,861,140 2.6%
-------------- -----
TOTAL SWITZERLAND......................... 761,722,365 7.8%
-------------- -----
56
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (17.7%)
* Anglo American P.L.C............................ 3,284,169 $ 45,581,653 0.5%
Barclays P.L.C. Sponsored ADR................... 4,766,662 43,948,624 0.5%
BP P.L.C. Sponsored ADR......................... 10,710,966 380,774,841 3.9%
* Glencore P.L.C.................................. 33,377,354 102,171,610 1.1%
HSBC Holdings P.L.C............................. 21,477,669 161,751,262 1.7%
# HSBC Holdings P.L.C. Sponsored ADR.............. 3,019,816 113,635,676 1.2%
Royal Dutch Shell P.L.C. Class A................ 2,199,265 54,777,180 0.6%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 3,177,301 158,261,344 1.6%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 3,794,361 198,483,024 2.0%
Vodafone Group P.L.C............................ 58,351,986 160,253,496 1.6%
# Vodafone Group P.L.C. Sponsored ADR............. 4,011,201 111,671,843 1.1%
Other Securities................................ 242,436,613 2.4%
--------------- ------
TOTAL UNITED KINGDOM.................................. 1,773,747,166 18.2%
--------------- ------
UNITED STATES -- (0.0%)
Other Securities................................ 812,282 0.0%
--------------- ------
TOTAL COMMON STOCKS................................... 9,571,294,827 98.4%
--------------- ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG................................... 535,010 73,764,785 0.8%
Other Securities................................ 18,272,581 0.1%
--------------- ------
TOTAL GERMANY......................................... 92,037,366 0.9%
--------------- ------
TOTAL PREFERRED STOCKS................................ 92,037,366 0.9%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities................................ 2,150,761 0.0%
--------------- ------
SWEDEN -- (0.0%)
Other Securities................................ 251,828 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................................. 2,402,589 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES........................... 9,665,734,782
---------------
- - -
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund.................. 31,982,623 370,102,917 3.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,045,898,931)............................ $10,035,837,699 103.1%
=============== ======
57
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2016, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- ---------------
Common Stocks
Australia............ $ 63,077,009 $ 572,005,173 -- $ 635,082,182
Austria.............. -- 7,798,226 -- 7,798,226
Belgium.............. -- 121,053,616 -- 121,053,616
Canada............... 764,728,758 -- -- 764,728,758
Denmark.............. -- 175,349,382 -- 175,349,382
Finland.............. 2,470,632 72,755,342 -- 75,225,974
France............... 260,795 890,242,846 -- 890,503,641
Germany.............. 67,367,734 642,107,155 -- 709,474,889
Hong Kong............ -- 269,429,626 -- 269,429,626
Ireland.............. 9,750,918 17,804,588 -- 27,555,506
Israel............... -- 37,197,840 -- 37,197,840
Italy................ 17,693,989 71,404,638 -- 89,098,627
Japan................ 32,899,160 2,187,630,922 -- 2,220,530,082
Netherlands.......... 41,922,122 275,579,638 -- 317,501,760
New Zealand.......... -- 12,145,818 -- 12,145,818
Norway............... 10,177,330 67,098,492 -- 77,275,822
Portugal............. -- 4,088,097 -- 4,088,097
Singapore............ -- 99,362,354 -- 99,362,354
Spain................ 3,796,801 275,794,762 -- 279,591,563
Sweden............... 4,064,405 217,954,846 -- 222,019,251
Switzerland.......... 27,724,389 733,997,976 -- 761,722,365
United Kingdom....... 1,033,348,012 740,399,154 -- 1,773,747,166
United States........ -- 812,282 -- 812,282
Preferred Stocks
Germany.............. -- 92,037,366 -- 92,037,366
Rights/Warrants
Spain................ -- 2,150,761 -- 2,150,761
Sweden............... -- 251,828 -- 251,828
Securities Lending
Collateral........... -- 370,102,917 -- 370,102,917
Futures Contracts**... (851,802) -- -- (851,802)
-------------- -------------- -- ---------------
TOTAL................. $2,078,430,252 $7,956,555,645 -- $10,034,985,897
============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note G)
See accompanying Notes to Financial Statements.
58
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(Amounts in thousands)
The U.S. Large The DFA
Cap Value International
Series* Value Series*
-------------- -------------
ASSETS:
Investments at Value (including $1,407,685 and $362,128 of securities on loan,
respectively)................................................................................ $20,729,659 $ 9,665,735
Temporary Cash Investments at Value & Cost.................................................... 200,994 --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $820,520
and $370,043)................................................................................ 820,651 370,103
Segregated Cash for Futures Contracts......................................................... 6,012 1,176
Foreign Currencies at Value................................................................... -- 9,101
Cash.......................................................................................... -- 17,431
Receivables:
Investment Securities Sold.................................................................. 56,993 --
Dividends, Interest and Tax Reclaims........................................................ 22,805 38,076
Securities Lending Income................................................................... 228 158
Futures Margin Variation.................................................................... -- 13
----------- -----------
Total Assets............................................................................. 21,837,342 10,101,793
----------- -----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 820,496 370,018
Investment Securities Purchased............................................................. 97,218 --
Due to Advisor.............................................................................. 1,787 1,649
Futures Margin Variation.................................................................... 247 --
Accrued Expenses and Other Liabilities........................................................ 1,026 586
----------- -----------
Total Liabilities........................................................................ 920,774 372,253
----------- -----------
NET ASSETS.................................................................................... $20,916,568 $ 9,729,540
=========== ===========
Investments at Cost........................................................................... $15,139,595 $ 9,675,856
=========== ===========
Foreign Currencies at Cost.................................................................... $ -- $ 9,131
=========== ===========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
59
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP INTERNATIONAL
VALUE SERIES VALUE SERIES
------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $20 and $27,690, respectively)..... $481,935 $ 341,886
Interest....................................................................... 712 --
Income from Securities Lending................................................. 3,444 9,676
-------- ---------
Total Investment Income.................................................... 486,091 351,562
-------- ---------
EXPENSES
Investment Management Fees..................................................... 19,402 17,844
Accounting & Transfer Agent Fees............................................... 954 449
Custodian Fees................................................................. 190 771
Shareholders' Reports.......................................................... 81 38
Directors'/Trustees' Fees & Expenses........................................... 134 62
Professional Fees.............................................................. 361 265
Other.......................................................................... 531 339
-------- ---------
Total Expenses............................................................. 21,653 19,768
-------- ---------
Fees Paid Indirectly (Note C).................................................. -- (212)
-------- ---------
Net Expenses................................................................... 21,653 19,556
-------- ---------
NET INVESTMENT INCOME (LOSS)................................................... 464,438 332,006
-------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold*.................................................. 567,193 (261,808)
Futures...................................................................... 21,037 5,988
Foreign Currency Transactions................................................ -- 5,590
Forward Currency Contracts................................................... -- 8
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................... (57,128) (32,753)
Futures...................................................................... (3,872) (852)
Translation of Foreign Currency Denominated Amounts.......................... -- (908)
-------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................ 527,230 (284,735)
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. $991,668 $ 47,271
======== =========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
60
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL
SERIES VALUE SERIES
------------------------ -----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015
----------- ----------- ---------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................ $ 464,438 $ 413,724 $ 332,006 $ 313,826
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 567,193 858,150 (261,808) 244,684
Futures................................................... 21,037 (43) 5,988 --
Foreign Currency Transactions............................. -- -- 5,590 (5,879)
Forward Currency Contracts................................ -- -- 8 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (57,128) (1,018,426) (32,753) (1,034,230)
Futures................................................... (3,872) -- (852) --
Translation of Foreign Currency Denominated Amounts....... -- -- (908) 654
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 991,668 253,405 47,271 (480,945)
----------- ----------- ---------- -----------
Transactions in Interest:
Contributions............................................... 1,812,211 1,769,181 1,394,282 1,070,207
Withdrawals................................................. (981,368) (1,305,211) (939,918) (705,023)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Transactions in Interest.... 830,843 463,970 454,364 365,184
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets.................. 1,822,511 717,375 501,635 (115,761)
NET ASSETS
Beginning of Year........................................... 19,094,057 18,376,682 9,227,905 9,343,666
----------- ----------- ---------- -----------
End of Year................................................. $20,916,568 $19,094,057 $9,729,540 $ 9,227,905
=========== =========== ========== ===========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
61
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series
---------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 4.75% 1.32% 15.67% 35.68% 18.31%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $20,916,568 $19,094,057 $18,376,682 $14,838,988 $10,589,152
Ratio of Expenses to Average Net Assets...................... 0.11% 0.11% 0.11% 0.11% 0.12%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.11% 0.11% 0.11% 0.11% 0.12%
Ratio of Net Investment Income to Average Net Assets......... 2.39% 2.20% 1.90% 1.98% 2.15%
Portfolio Turnover Rate...................................... 15% 16% 15% 15% 10%
-------------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series
-------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------
Total Return................................................. (0.10)% (5.35)% (0.72)% 28.18% 3.17%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $9,729,540 $9,227,905 $9,343,666 $8,792,130 $7,238,249
Ratio of Expenses to Average Net Assets...................... 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Net Investment Income to Average Net Assets......... 3.72% 3.31% 4.50% 3.20% 3.75%
Portfolio Turnover Rate...................................... 17% 21% 17% 15% 14%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
62
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, two of which, The U.S. Large Cap Value
Series and The DFA International Value Series (the "Series"), are presented in
this report. The remaining operational portfolios are presented in separate
reports. The Series are investment companies and, accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE
(normally, 4:00 p.m. ET) and the time that the net asset value of the
International Series is computed.
63
Due to the time differences between the closings of the relevant foreign
securities exchanges and the time the International Series prices its shares at
the close of the NYSE, the International Series will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Series foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Trustees of the Trust has determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable. Fair valuation of portfolio securities may occur
on a daily basis. The fair value pricing by the International Series utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). The fair
value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of the International Series. When the International Series uses
fair value pricing, the values assigned to the International Series foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy. Over-the-counter derivative contracts, which include forward
currency contracts, do not require material subjectivity as pricing inputs are
observed from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 2016, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors' Fees &
Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred
64
compensation until a date specified by such Director in the Notice, which date
may not be sooner than the earlier of: (i) the first business day of January
following the year in which such Trustee ceases to be a member of the Board of
Trustees of the Trust; and (ii) five years following the effective date of the
Trustee's first deferral election. If a Trustee who elects to defer fees fails
to designate in the Notice a time or date as of which payment of the Trustee's
deferred fee account shall commence, payment of such amount shall commence as
of the first business day of January following the year in which the Trustee
ceases to be a member of the Board (unless the Trustee files an amended Notice
selecting a different distribution date). As of October 31, 2016, none of the
Trustees have requested or received a distribution of proceeds of a deferred
fee account.
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Series estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to a
Series are directly charged. Common expenses of the Trust or Series are
allocated using methods approved by the Board of Directors, generally based on
average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series.
For the year ended October 31, 2016, the investment management fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.10% and 0.20% of average daily net assets for The U.S. Large Cap Value
Series and The DFA International Value Series, respectively.
EARNED INCOME CREDIT:
In addition, the Series entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of the Series' net assets.
During the year ended October 31, 2016, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series...... $212
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Trust; however, such Officers and Directors (with the
exception of the Chief Compliance Officer ("CCO")) receive no compensation from
the Trust. For the year ended October 31, 2016, the total related amounts paid
by the Trust to the CCO were $83 (in thousands). The total related amounts paid
by each of the Series are included in Other Expenses on the Statement of
Operations.
65
D. DEFERRED COMPENSATION:
At October 31, 2016, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
The U.S. Large Cap Value Series.... $478
The DFA International Value Series. 321
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, the Series made the following purchases
and sales of investment securities, other than short-term securities and U.S.
government securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series.... $4,375,099 $2,884,283
The DFA International Value Series. 2,247,033 1,472,195
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 2016, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
The U.S. Large Cap Value Series.... $16,161,109 $6,178,300 $ (588,105) $5,590,195
The DFA International Value Series. $10,045,899 $1,179,180 $(1,189,241) $ (10,061)
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
66
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposit cash or pledge U.S. government securities
to a broker, equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and
are recorded daily by the Series as unrealized gains or losses until the
contracts are closed. When the contracts are closed, the Series record a
realized gain or loss, which is presented in the Statements of Operations as a
net realized gain or loss on futures, equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Series could lose more than
the initial margin requirements. The Series entering into stock index futures
are subject to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At October 31, 2016, the following Series had the following outstanding
futures contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
The U.S. Large Cap Value
Series................. S&P 500 Emini Index(R) 12/16/16 1,336 $141,623 $(3,872) $6,012
-------- ------- ------
$141,623 $(3,872) $6,012
======== ======= ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ----------- ----------
The DFA International Value
Series.................... Mini MSCI EAFE Index(R) 12/16/16 280 $23,320 $(852) $1,176
------- ----- ------
$23,320 $(852) $1,176
======= ===== ======
3. FORWARD CURRENCY CONTRACTS: The International Series may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge the International Series' currency exposure with
respect to a foreign market will be based primarily on the Series' existing
exposure to a given foreign currency. Each contract is valued daily and the
change in value is recorded by the Series as an unrealized gain or loss, which
is presented in the Statement of Operations as the change in unrealized
appreciation or depreciation from translation of foreign currency denominated
amounts. When the contract is closed or offset with the same counterparty, the
Series records a realized gain or loss equal to the change in the value of the
contract when it was opened and the value at the time it was closed or offset.
This is presented in the Statements of Operations as a net realized gain or
loss on foreign currency transactions. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value of foreign
currency relative to the U.S. dollar.
67
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2016 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
- --------- --------
The U.S. Large Cap Value Series...... -- $108,242
The DFA International Value Series *. $402 58,270
* The Series had derivative activity during the period but it did not have open
positions at October 31, 2016.
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of October 31, 2016:
LOCATION ON THE
STATEMENTS OF ASSETS AND
LIABILITIES
------------------------
DERIVATIVE TYPE LIABILITY DERIVATIVES
--------------- ---------------------
Equity contracts Payables: Futures Margin
Variation
The following is a summary of Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
--------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2016 CONTRACTS*
---------------- ----------
The U.S. Large Cap Value Series.... $(3,872) $(3,872)
The DFA International Value Series. (852) (852)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the year ended October 31, 2016:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Contracts
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
The U.S. Large Cap Value Series..... $21,037 -- $21,037
The DFA International Value Series*. $ 5,996 $ 8 5,988
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
The U.S. Large Cap Value Series..... $(3,872) -- $(3,872)
The DFA International Value Series*. (852) -- (852)
* As of October 31, 2016, there were no forward currency contracts
outstanding. During the year ended October 31, 2016, the International Series
had limited activity in forward currency contracts.
68
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 29, 2017.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 7, 2017.
For the year ended October 31, 2016, borrowings by the Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
The U.S. Large Cap Value Series.... 0.87% $53,510 3 $4 $56,418
The DFA International Value Series. 0.96% $ 6,426 14 $2 $40,666
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2016, that each Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series' under the lines of
credit as of October 31, 2016.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Series
may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice. The Series did not utilize the interfund lending program
during the year ended October 31, 2016.
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 2016, if any, were executed by
the Series pursuant to procedures adopted by the Board of Trustees of the Trust
to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940
(the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
69
For the year ended October 31, 2016, cross trades by the Series under Rule
17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- -------- --------------------
The U.S. Large Cap Value Series.... $259,866 $167,106 $ 13,371
The DFA International Value Series. 100,986 137,382 (50,541)
J. SECURITIES LENDING:
As of October 31, 2016, each Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. Each Series
invests the cash collateral, as described below, and records a liability for
the return of the collateral, during the period the securities are on loan. The
non-cash collateral includes short- and/or long-term U.S. Treasuries and U.S.
Government agency securities with a market value of $631,247 and $21,237
(amounts in thousands), respectively. Loans of securities are expected at all
times to be secured by collateral in an amount (i) equal to at least 100% of
the current market value of the loaned securities with respect to securities of
the U.S. government or its agencies, (ii) generally equal to 102% of the
current market value of the loaned securities with respect to U.S. securities,
and (iii) generally equal to 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities. In the event of the bankruptcy of the borrower, a Series could
experience delay in recovering the loaned securities or only recover cash or a
security of equivalent value.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Such Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
THE U.S. LARGE CAP VALUE SERIES
Common Stocks, Right/Warrants...... $820,651,306 -- -- -- $820,651,306
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks...................... 370,102,917 -- -- -- 370,102,917
70
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. OTHER:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee on behalf of the committee of unsecured creditors
of Tribune (the "Committee Action," and with the Individual Creditor Actions,
collectively referred to as the "Lawsuits"). The Lawsuits seek to unwind the
LBO stock repurchases as fraudulent transfers and recover the stock repurchase
proceeds paid to the Tribune shareholders who participated in the LBO. On
September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs lack standing to pursue their claims. The parties appealed the
Court's dismissal order to the Second Circuit, and, on March 29, 2016, the
Second Circuit affirmed the dismissal, albeit on the grounds that the
individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's
safe harbor for securities transactions. The Committee Action remains pending,
and a motion to dismiss on behalf of all shareholder defendants in the
Committee Action was filed on May 23, 2014. The motion to dismiss is
fully-briefed, and the parties await the scheduling of oral argument on the
motion. The Committee Action is stayed pending the disposition of the motion to
dismiss.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The U.S. Large Cap Value
Series at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as
incurred and in a manner similar to any other expense incurred by The U.S.
Large Cap Value Series.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
71
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of the Series, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series and The DFA International Value Series
(constituting portfolios within The DFA Investment Trust Company, hereafter
referred to as the "Series") as of October 31, 2016, the results of each of
their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Series' management. Our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities as of October 31, 2016 by
correspondence with the custodians, brokers and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
72
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2016.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2016.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2016.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at http://us.dimensional.com.
73
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
-------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
-------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 122 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and investment companies of Chicago Booth School of Business.
DIG.
Trustee of DFAITC and
DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
1947
-------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Distinguished
Director of DFAIDG and DIG-Since 1993 investment companies Service Professor of Economics, University of
DIG DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
Trustee of DFAITC and DEM-Since 1993 Member and Chair, Competitive Markets Advisory
DEM Council, Chicago Mercantile Exchange (futures
The University of Chicago trading exchange) (since 2004). Trustee, Harbor
Booth School of Business Fund (registered investment company) (29 Portfolios)
5807 S. Woodlawn (since 1994). Formerly, Member of the Board of
Avenue Milwaukee Insurance Company (1997-2010).
Chicago, IL 60637
1939
-------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
DIG DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Trustee of DFAITC and DEM-Since 1993 fund and asset manager) (since 2001). Consultant to
DEM Morningstar Inc. (since 2006). Formerly, Director,
Yale School of BIRR Portfolio Analysis, Inc. (sofware Products)
Management (1990- 2010).
P.O. Box 208200
New Haven,
CT 06520-8200
1943
-------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution
Director of DFAIDG and DIG-Since 2010 investment companies (since 2002). Jack Steele Parker Professor of Human
DIG DFAITC-Since 2010 Resources Management and Economics, Graduate
Trustee of DFAITC and DEM-Since 2010 School of Business, Stanford University (since 1995).
DEM Cornerstone Research (expert testimony and economic
Stanford University and financial analysis) (since 2009). Formerly,
Graduate Chairman of the President George W. Bush's Council of
School of Business Economic Advisors, State of California (2005-2006).
434 Galvez Mall Formerly, Commissioner, White House Panel on Tax
Stanford, CA 94305 Reform (2005)
1948
-------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital Group Inc.
Director of DFAIDG and DIG-Since 1993 investment companies (since 2014). Frank E. Buck Professor of Finance
DIG DFAITC-Since 1992 Emeritus, Graduate School of Business, Stanford
Trustee of DFAITC and DEM-Since 1993 University (since 1981). Chairman, Ruapay Inc. (since
DEM 2013). Formerly, Chairman, Platinum Grove Asset
c/o Dimensional Fund Management, L.P. (hedge fund) (formerly, Oak Hill
Advisers, LP Platinum Partners) (1999-2009). Formerly, Director,
6300 Bee Cave Road American Centruy Fund Complex (registered
Building 1 investment companies) (43 Portfolios) (1980-2014).
Austin, TX 78746
1941
-------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG-Since 2000 investment companies Professor of Accounting, University of Chicago Booth
DIG DFAITC-Since 2000 School of Business (since 1980). Director, HNI
Trustee of DFAITC and DEM-Since 2000 Corporation (formerly known as HON Industries Inc.)
DEM (office furniture) (since 2000). Director, Ryder
The University of Chicago System Inc. (transportation, logistics and supply-
Booth School of Business chain management) (since 2003). Trustee, UBS
5807 S. Woodlawn Funds (4 investment companies within the fund
Avenue complex) (33 portfolios) (since 2009). Formerly, Co-
Chicago, IL 60637 Director Investment Research, Fundamental
1953 Investment Advisors (hedge fund) (2008-2011).
-------------------------------------------------------------------------------------------------------------------------------
74
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
------------------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief
Chairman, Director/ DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
Trustee, DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies:
President and Co-Chief DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund
Executive Officer Advisors LP, DFA Securities LLC, DEM, DFAIDG,
6300 Bee Cave Road DIG and DFAITC (collectively, the "DFA Entities").
Building One Director of Dimensional Fund Advisors Ltd. and
Austin, TX 78746 formerly, Chief Investment Officer. Director of DFA
1946 Australia Limited and formerly, President and Chief
Investment Officer. Director of Dimensional Advisors
Ltd., Dimensional Funds plc and Dimensional Funds
II plc. Formerly, President, Dimensional SmartNest
(US) LLC (2009- 2014). Formerly, Limited Partner,
Oak Hill Partners (2001-2010). Limited Partner, VSC
Investors, LLC (since 2007). Trustee, University of
Chicago. Trustee, University of Kansas Endowment
Association. Formerly, Director, SA Funds
(registered investment company). Chairman, Director
and Co-Chief Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and President (since
2012) of Dimensional Japan Ltd. Chairman, Director,
President, and Co-Chief Executive Officer of
Dimensional Cayman Commodity Fund I Ltd. (since
2010).
------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning January
Director/Trustee, Co- DIG-Since 2009 investment companies 2010), Co-Chief Investment Officer (since June
Chief DFAITC-Since 2009 2014), Director/Trustee, and formerly, Chief
Executive Officer and Co- DEM-Since 2009 Investment Officer (March 2007-June 2014) of the
Chief Investment Officer DFA Entities. Director, Co-Chief Executive Officer
6300 Bee Cave Road, and Chief Investment Officer (since 2010) of
Building One Dimensional Cayman Commodity Fund I Ltd.
Austin, TX 78746 Director, Co-Chief Executive Officer, President and
1967 Co-Chief Investment Officer of Dimensional Fund
Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014). Co-Chief
Investment Officer, Vice President, and Director of
DFA Australia Limited and formerly, Chief
Investment Officer (until April 2014). Director of
Dimensional Fund Advisors Ltd., Dimensional Funds
plc, Dimensional Funds II plc and Dimensional
Advisors Ltd. Formerly, Vice President of the DFA
Entities and Dimensional Fund Advisors Canada
ULC. Director and Chief Investment Officer (since
December 2012) of Dimensional Japan Ltd.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the DFAIDG, DIG, DFAITC and DEM. Each disinterested Trustee/Director also
serves on the Independent Review Committee of the Dimensional Funds, mutual
funds registered in the provinces of Canada and managed by an affiliate of
Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors
Canada ULC.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with the Advisor.
75
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
--------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1974 Vice President, Business Development at Capson
Physicians Insurance Company (2010-2012).
--------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2016).
--------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
--------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional
Funds plc and Dimensional Funds II plc (since
November 2013).
--------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
--------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-
January 2014) and Research Associate (2006-2011)
for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors LP
(April 2008-January 2014).
--------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
--------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Pte. and Dimensional Hong Kong Limited. Director,
Vice President, Director and Assistant Secretary of
Dimensional Fund Advisors Canada ULC.
--------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
--------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors LP
(December 2010-January 2012).
--------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund
Advisors LP (October 2010-January 2016).
--------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011).
76
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (2004-June 2011).
-------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
-------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of
1966 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) for
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since April
2016). Formerly, Portfolio Manager for Dimensional
Fund Advisors LP (October 2005 to January 2012).
-------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP
(April 2012-January 2014); Vice President and
Counsel for AllianceBernstein L.P. (2006-2012).
-------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director and
1972 Vice President of Dimensional Japan Ltd (since
February 2016). President and Director of
Dimensional Fund Advisors Canada ULC (since
February 2016), Vice President of DFA Australia
Limited (since April 2008) and Director (since Oct
2016). Director of Dimensional Advisors Ltd,
Dimensional Fund Advisors Pte. Ltd., and
Dimensional Hong Kong Limited, (since April 2016),
Vice President of Dimensional Fund Advisors Pte
Ltd. (since June 2016), Head of Global Institutional
Services for Dimensional Fund Advisors LP (since
January 2014). Formerly, Vice President of
Dimensional Fund Advisors Canada ULC (December
2010-February 2016); Head of Institutional, North
America (March 2012 to December 2013) and Head
of Portfolio Management (January 2006 to March
2012) for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(September 2011-March 2013); Vice President at
MullinTBG (2005-2011).
-------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(August 2010-March 2014).
-------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(2003-March 2014).
-------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2002-January 2012).
-------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
-------------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Senior Associate, Research (January 2015-
January 2016); Associate, Research (January 2014-
January 2015); Analyst, Research (July 2010-
January 2014) for Dimensional Fund Advisors LP.
77
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance
Officer and Chief Privacy Officer of Dimensional
Fund Advisors Canada ULC, Chief Compliance
Officer of Dimensional Fund Advisors Pte. Ltd.
Formerly, Vice President and Global Chief
Compliance Officer for Dimensional SmartNest (US)
LLC (October 2010-2014).
----------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Manager, Research Systems (November 2012-
January 2016) for Dimensional Fund Advisors LP;
Assistant Vice President, Oaktree Capital
Management (April 2011-October 2012.
----------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011-
July 2013);Vice President for Towers Watson
(formerly, WellsCanning) (June 2009-July 2011).
----------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 Limited and Dimensional Fund Advisors Canada
ULC.
----------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012-January 2014) and
Senior Associate (August 2010-December 2011) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007-May 2011) for
Morgan Stanley Investment Management.
----------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior
1971 Associate, Research (November 2012-
January 2015) for Dimensional Fund Advisors LP;
Senior Consultant, NERA Economic Consulting,
New York (May 2010-November 2012).
----------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data
1972 Officer for Dimensional Fund Advisors LP (since
January 2016).
----------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
----------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP (since
February 2013). Formerly, Senior Manager of
Research and Marketing for Dimensional Fund
Advisors LP (June 2012-January 2013); Director of
Mutual Fund Analysis at Morningstar (January 2008-
May 2012).
----------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008-January 2015) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors Ltd.
(July 2008-March 2013).
78
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
-------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of
1974 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) of
Dimensional Fund Advisors LP. Vice President of
Dimensional Fund Advisors Canada ULC (since April
2016). Formerly, Portfolio Manager of Dimensional
Fund Advisors LP (September 2004-January 2012).
-------------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2011-January 2014); Senior Vice President
of First Trust Advisors L.P. (2007-July 2011).
-------------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1959 Senior Associate (May 2011-January 2015) for
Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
-------------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1970 Vice President for Dimensional SmartNest (US) LLC
(January 2012-November 2014); Senior Vice
President for Morningstar (July 2004-July 2011).
-------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004-January
2012).
-------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
-------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader
1975 for Dimensional Fund Advisors LP (since 2012).
Formerly, Senior Trader (2009-2012).
-------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP
(January 2011-January 2014).
-------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Since 2016 Vice President, Chief Financial Officer, and
1958 Chief Financial Officer, Treasurer of all the DFA Entities. Interim Chief
and Treasurer Financial Officer, interim Treasurer and Vice
President of Dimensional Advisors Ltd., Dimensional
Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd,
DFA Australia Ltd. Formerly, interim Chief Financial
Officer and interim Treasurer (April 2016-September
2016), and Controller (August 2015-September
2016) of all the DFA Entities); Vice President of
T. Rowe Price Group, Inc. and Director of Investment
Treasury and Treasurer of the T. Rowe Price Funds
(March 2008-July 2015).
-------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
-------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1960 Managing Director, Co-Head Global Consultant
Relations at BlackRock (2004-2011).
79
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Compliance Officer (November 2010-
January 2015) for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio
1977 Manager for Dimensional Fund Advisors LP
(January 2013-Present). Formerly, Investment
Associate for Dimensional Fund Advisors LP
(January 2010-January 2013).
-----------------------------------------------------------------------------------------------------------------
Shahryar S. Jaberzadeh Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Regional Director for Dimensional Fund Advisors LP
(April 2006-January 2016).
-----------------------------------------------------------------------------------------------------------------
Jeremy R. James Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Manager, IT Service Management (October 2014-
January 2016); Manager, Managed DC Systems
(October 2005-October 2014) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and
1973 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Manager of Sales and Marketing Systems
(January 2011-January 2014) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Facilities Manager for Dimensional Fund Advisors
LP (October 2008-January 2012).
-----------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1975 Senior Manager, Investment Operations
(January 2014-January 2015) and Investment
Operations Manager (May 2008-January 2014) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of
1978 Operations for Financial Advisor Services for
Dimensional Fund Advisors LP (since July 2014).
Formerly, Counsel of Dimensional Fund Advisors LP
(August 2011-January 2014); Associate at Andrews
Kurth LLP (2006-2011).
-----------------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund
Advisors LP and Dimensional Japan Ltd. Chief
Operating Officer and Director of Dimensional Japan
Ltd. Formerly, Vice President of DFA Securities LLC,
Dimensional Cayman Commodity Fund I Ltd. and
Dimensional Advisors Ltd (until February 2015);
Chief Operating Officer of Dimensional Holdings Inc.,
DFA Securities LLC, Dimensional Fund Advisors LP,
Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Advisors Ltd. and Dimensional Fund
Advisors Pte. Ltd. (until February 2015); Director,
Vice President, and Chief Privacy Officer of
Dimensional Fund Advisors Canada ULC (until
February 2015); Director of DFA Australia Limited,
Dimensional Fund Advisors Ltd. and Dimensional
Advisors Ltd. (until February 2015); and Director and
Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd. (until
February 2015).
-----------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(October 2004-January 2013).
-----------------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio
1971 Manager for Dimensional Fund Advisors LP (since
June 2004).
80
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
Arun C. Keswani Vice President Since 2016 Vice President of all the DFA Entities. Senior
1975 Portfolio Manager for Dimensional Fund Advisors LP
(January 2015-Present). Formerly, Portfolio Manager
(January 2013-January 2015) and Investment
Associate (October 2011-January 2013) for
Dimensional Fund Advisors LP; Investment Banking
Associate at Morgan Stanley (August 2010-
September 2011).
---------------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Creative Director for Dimensional Fund Advisors LP
(September 2012-January 2014); Vice President and
Global Creative Director at Morgan Stanley
(2007-2012); Visiting Assistant Professor, Graduate
Communications Design at Pratt Institute
(2004-2012).
---------------------------------------------------------------------------------------------------------------
Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Manager, RFP, Institutional (January 2015-January
2016); Senior Associate, Institutional
(April 2007-January 2015) for Dimensional Fund
Advisors LP.
---------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of
1971 Defined Contribution Sales for Dimensional Fund
Advisors LP (since August 2010).
---------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior
1971 Portfolio Manager of Dimensional Fund Advisors LP
(since January 2012). Formerly, Portfolio Manager
for Dimensional (April 2001-January 2012).
---------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1981 Senior Associate, Investment Analytics and Data
(January 2012-December 2012) and Systems
Developer (June 2007-December 2011) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1966 Regional Director (May 2010-January 2014) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities.
1968
---------------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly,
1967 Chief Executive Officer for Dimensional SmartNest
(US) LLC (July 2012-November 2014).
---------------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice
1969 President -- Global Operations at Janus Capital
Group (2005-2011).
---------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1978 Senior Trader (January 2010-December 2012) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
---------------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities.
1980
---------------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Chief Investment
Officer (April 2005-April 2013) for First Citizens
Bancorporation.
---------------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1960 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2013).
81
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013-January 2015)
for Dimensional Fund Advisors LP; Vice President
and Tax Manager, North America (August 2006-
April 2012) for Pacific Investment Management
Company.
-----------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
-----------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations
(January 2014-January 2015), Manager, Client
Systems (October 2011-January 2014) and RFP
Manager (April 2010-October 2011) for Dimensional
Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
-----------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January 2015)
for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
-----------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors LP
(January 2009-January 2014).
-----------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014) and
Senior Associate (2011) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1959 Manager, Project Management Office for
Dimensional Fund Advisors LP (October 2006-
January 2016).
-----------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager for
Wells Capital Management (October 2004-
September 2011).
-----------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1974 Regional Director for Dimensional Fund Advisors LP
(September 2013-January 2016); Managing Director,
Client Services, Charles Schwab (December 2009-
August 2013).
-----------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January 2013)
for Dimensional Fund Advisors LP.
82
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 Director, Vice President and Secretary of DFA
Australia Limited and Dimensional Fund Advisors
Ltd. (since February 2002, April 1997, and May
2002, respectively). Vice President and Secretary of
Dimensional Fund Advisors Canada ULC (since
June 2003), Dimensional Cayman Commodity Fund I
Ltd., Dimensional Japan Ltd (since February 2012),
Dimensional Advisors Ltd (since March 2012),
Dimensional Fund Advisors Pte. Ltd. (since June
2012). Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund
Advisors Pte. Ltd. and Dimensional Hong Kong
Limited (since August 2012 and July 2012).
Formerly, Vice President and Secretary of
Dimensional SmartNest (US) LLC (October 2010-
November 2014).
---------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (July 2008-May 2011).
---------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors LP
(2008-2010).
---------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer of Dimensional Fund Advisors LP (since
December 2012). Formerly, Chief Compliance
Officer of Wellington Management Company, LLP
(2004-2011).
---------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional
Fund Advisors Canada ULC (since April 2016).
Deputy General Counsel, Funds (since 2011).
---------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Vice President since 2007 Vice President and Co-Chief Investment Officer of all
1976 Co-Chief Investment and Co-Chief Investment the DFA Entities, Dimensional Fund Advisors
Officer Officer since 2014 Canada ULC, and Dimensional Japan Ltd. Director
of Dimensional Funds plc and Dimensional Fund II
plc.
---------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Senior Compliance Officer for Dimensional Fund
Advisors LP (July 2014-January 2016); Vice
President Regional Head of Investment Compliance,
Asia, PIMCO Asia Private Limited (July 2012-
July 2014); Country Compliance Officer, Janus
Capital, Singapore Private Limited (May 2011-
June 2012).
---------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP (since
July 2005).
---------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
---------------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(2012-January 2013); Senior Consultant (June 2011-
December 2011) and Senior Investment Analyst and
Consultant (July 2008-June 2011) at Hewitt
EnnisKnupp.
83
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager (January 2015-present). Formerly,
Portfolio Manager (April 2014-January 2015) and
Investment Associate for Dimensional Fund Advisors
LP (July 2012-March 2014).
--------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP. Formerly,
Manager, Advisor Benchmarking (April 2012-
December 2014) for Dimensional Fund Advisors LP;
Senior Manager, Research and Consulting (October
2010-April 2012) for Crain Communications Inc.
--------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February
2015). Formerly, Chief Financial Officer and General
Counsel for Relentless (March 2014-January 2015);
Vice President of all the DFA Entities (January 2013-
March 2014); Counsel for Dimensional Fund
Advisors LP (January 2009-March 2014).
--------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and
Dimensional Fund Advisors Canada ULC.
--------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
for Dimensional Fund Advisors LP (2006-January
2015).
--------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
--------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
--------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002-July 2013) for MFS Investment
Management.
--------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
--------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Vice President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
--------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for Dimensional
Fund Advisors LP (January 2012-January 2014);
Director of Human Resources at Spansion, Inc.
(March 2009-December 2011).
84
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1987 Manager Investment Analytics and Data
(January 2014-January 2015), Senior Associate,
Investment Analytics and Data (January 2013-
January 2014), Associate, Investment Analytics and
Data (January 2012-January 2013), and Investment
Data Analyst (April 2010-January 2012) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities.
1959
------------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1980 Manager (since 2013) for Dimensional Fund
Advisors LP. Formerly, Investment Associate
(April 2011-January 2013) for Dimensional Fund
Advisors LP.
------------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Regional Director (September 2009-January 2015)
for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities.
1965
------------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
------------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
(January 2012-January 2015) and Investment
Associate for Dimensional Fund Advisors LP
(August 2010-December 2011).
------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
------------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio
1977 Manager of Dimensional Fund Advisors LP (since
January 2010).
------------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities.
1968
------------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and
1956 Dimensional Fund Advisors Canada ULC.
------------------------------------------------------------------------------------------------------------
Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(September 2011-January 2016); Sales Executive,
Vanguard (May 2008-August 2011).
------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
------------------------------------------------------------------------------------------------------------
Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1965 Senior Manager for Dimensional Fund Advisors LP
(September 2014-January 2016); Vice President of
Marketing, Forward Management/Salient
(January 2008-February 2014).
------------------------------------------------------------------------------------------------------------
Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Project Manager (September 2012-December 2015)
and Manager, Corporate Systems for Dimensional
Fund Advisors LP (January 2011-September 2012).
------------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(April 2010-January 2013).
------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1973 Manager, Investment Analytics and Data (2012-
January 2013) and Research Assistant (2002-2011)
for Dimensional Fund Advisors LP.
85
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund Advisors
LP (November 2009-January 2016).
---------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2012).
---------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
---------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and
Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(September 2008-January 2014).
---------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP
(since 2004).
---------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Director of Marketing
and Investor Relations for Treaty Oak Capital
Management (July 2011-October 2011); Vice
President for Rockspring Capital (October 2010-
July 2011).
---------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1985 Regional Director (January 2014-January 2016) and
Senior Associate (January 2011-December 2013).
for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1968 Counsel for Dimensional Fund Advisors LP
(July 2014-January 2016); Assistant General
Counsel, Teacher Retirement System of Texas
(October 2008-June 2014).
---------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
---------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
---------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFDA Entities. Formerly,
1975 Client Service Supervisor for Dowling & Yahnke
(July 2014-January 2016); Head of Operations for
The Elements Financial Group (January 2013-June
2014); Head of Operations for Vericimetry Advisors
LLC (July 2011-December 2012).
---------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Manager, Client Systems for Dimensional Fund
Advisors LP (May 2012-January 2016); Vice
President, Implementations, Citigroup (August 2006-
October 2011).
---------------------------------------------------------------------------------------------------------------
86
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of
1981 Global Recruiting and Development (since June
2014) for Dimensional Fund Advisors LP. Formerly,
Senior Manager, Recruiting (December 2012-
June 2014) for Dimensional Fund Advisors LP;
Co-Head of Global Recruiting (May 2009-
November 2012) for Two Sigma Investments.
--------------------------------------------------------------------------------------------------------
Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1981 Client Service Manager for Dimensional Fund
Advisors LP (June 2005-January 2016).
--------------------------------------------------------------------------------------------------------
Craig A. Wright Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Accounting Manager for Dimensional Fund Advisors
LP (November 2011-January 2016); Senior
Associate, PricewaterhouseCoopers LP (July 2009-
November 2011).
--------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities.
1978
--------------------------------------------------------------------------------------------------------
/1/ Each officer holds office for an indefinite term at the pleasure of the
Board of Directors and until his or her successor is elected and qualified.
87
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. Information regarding how the Advisor votes these proxies
is available from the EDGAR database on the SEC's website at http://www.sec.gov
and from the Advisor's website at http://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
88
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2016 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING U.S.
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND GOVERNMENT
DIMENSIONAL INVESTMENT GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) INTEREST (3)
--------------------------------- ------------- ------------- ------------- ------------- ------------- ---------- ------------
LWAS/DFA U.S. High Book to
Market Portfolio................. 20% -- 80% 100% 100% 100% --
LWAS/DFA Two-Year Fixed Income
Portfolio........................ 74% 25% 1% 100% -- -- 9%
LWAS/DFA Two-Year Government
Portfolio........................ 64% 36% -- 100% -- -- 100%
LWAS/DFA International High Book
to Market Portfolio.............. 44% -- 56% 100% 100% 100% --
QUALIFYING
FOREIGN FOREIGN QUALIFYING SHORT-TERM
TAX SOURCE INTEREST CAPITAL
DIMENSIONAL INVESTMENT GROUP INC. CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
--------------------------------- ---------- ---------- ---------- ----------
LWAS/DFA U.S. High Book to
Market Portfolio................. -- -- 100% 100%
LWAS/DFA Two-Year Fixed Income
Portfolio........................ -- -- 100% 100%
LWAS/DFA Two-Year Government
Portfolio........................ -- -- 100% 100%
LWAS/DFA International High Book
to Market Portfolio.............. 5% 100% 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
89
DFA103116-003A
[LOGO]Recycled Recyclable 00185758
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
Dimensional Investment Group Inc.
DFA International Value Portfolio IV
Emerging Markets Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................ 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 3
Disclosure of Fund Expenses........................................ 6
Disclosure of Portfolio Holdings................................... 7
Schedules of Investments
DFA International Value Portfolio IV........................... 8
Emerging Markets Portfolio II.................................. 8
Statements of Assets and Liabilities............................... 9
Statements of Operations........................................... 10
Statements of Changes in Net Assets................................ 11
Financial Highlights............................................... 12
Notes to Financial Statements...................................... 13
Report of Independent Registered Public Accounting Firm............ 18
Section 19(a) Notice............................................... 19
THE DFA INVESTMENT TRUST COMPANY
Performance Charts................................................. 20
Management's Discussion and Analysis............................... 21
Disclosure of Fund Expenses........................................ 24
Disclosure of Portfolio Holdings................................... 25
Summary Schedules of Portfolio Holdings
The DFA International Value Series............................. 26
The Emerging Markets Series.................................... 30
Statements of Assets and Liabilities............................... 34
Statements of Operations........................................... 35
Statements of Changes in Net Assets................................ 36
Financial Highlights............................................... 37
Notes to Financial Statements...................................... 38
Report of Independent Registered Public Accounting Firm............ 47
FUND MANAGEMENT....................................................... 48
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 61
NOTICE TO SHAREHOLDERS................................................ 62
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO IV VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
DFA International Value MSCI World ex USA
Portfolio IV Index (net dividends)
-------------------------- --------------------
10/31/06 $10,000 $10,000
11/30/06 10,329 10,298
12/31/06 10,730 10,593
1/31/07 10,936 10,658
2/28/07 10,924 10,743
3/31/07 11,278 11,018
4/30/07 11,843 11,520
5/31/07 12,248 11,775
6/30/07 12,163 11,787
7/31/07 11,820 11,624
8/31/07 11,689 11,456
9/30/07 12,300 12,107
10/31/07 12,899 12,633
11/30/07 12,117 12,139
12/31/07 11,852 11,911
1/31/08 10,892 10,837
2/29/08 10,753 11,033
3/31/08 10,886 10,876
4/30/08 11,369 11,480
5/31/08 11,375 11,655
6/30/08 10,252 10,748
7/31/08 9,956 10,366
8/31/08 9,539 9,965
9/30/08 8,429 8,526
10/31/08 6,315 6,753
11/30/08 5,929 6,386
12/31/08 6,376 6,723
1/31/09 5,495 6,096
2/28/09 4,816 5,479
3/31/09 5,345 5,840
4/30/09 6,331 6,593
5/31/09 7,270 7,427
6/30/09 7,159 7,350
7/31/09 8,008 8,040
8/31/09 8,465 8,425
9/30/09 8,902 8,773
10/31/09 8,543 8,632
11/30/09 8,797 8,845
12/31/09 8,902 8,986
1/31/10 8,385 8,565
2/28/10 8,412 8,557
3/31/10 9,083 9,107
4/30/10 8,929 8,972
5/31/10 7,881 7,982
6/30/10 7,740 7,866
7/31/10 8,707 8,593
8/31/10 8,284 8,336
9/30/10 9,170 9,136
10/31/10 9,493 9,462
11/30/10 9,016 9,061
12/31/10 9,856 9,790
1/31/11 10,276 10,001
2/28/11 10,620 10,372
3/31/11 10,324 10,164
4/30/11 10,875 10,718
5/31/11 10,483 10,400
6/30/11 10,338 10,252
7/31/11 10,008 10,083
8/31/11 8,934 9,231
9/30/11 7,964 8,304
10/31/11 8,721 9,111
11/30/11 8,439 8,690
12/31/11 8,206 8,595
1/31/12 8,761 9,059
2/29/12 9,216 9,557
3/31/12 9,144 9,487
4/30/12 8,819 9,326
5/31/12 7,730 8,262
6/30/12 8,271 8,804
7/31/12 8,242 8,913
8/31/12 8,581 9,168
9/30/12 8,884 9,446
10/31/12 8,999 9,512
11/30/12 9,144 9,712
12/31/12 9,585 10,006
1/31/13 10,036 10,498
2/28/13 9,735 10,393
3/31/13 9,773 10,476
4/30/13 10,247 10,953
5/31/13 10,127 10,708
6/30/13 9,766 10,307
7/31/13 10,435 10,855
8/31/13 10,360 10,715
9/30/13 11,142 11,472
10/31/13 11,526 11,857
11/30/13 11,571 11,930
12/31/13 11,822 12,110
1/31/14 11,395 11,621
2/28/14 12,039 12,255
3/31/14 11,954 12,200
4/30/14 12,163 12,392
5/31/14 12,295 12,584
6/30/14 12,450 12,763
7/31/14 12,171 12,536
8/31/14 12,171 12,546
9/30/14 11,643 12,030
10/31/14 11,442 11,839
11/30/14 11,449 11,985
12/31/14 11,018 11,586
1/31/15 10,945 11,545
2/28/15 11,730 12,235
3/31/15 11,477 12,030
4/30/15 12,107 12,551
5/31/15 12,115 12,442
6/30/15 11,763 12,089
7/31/15 11,649 12,280
8/31/15 10,789 11,386
9/30/15 10,044 10,811
10/31/15 10,822 11,624
11/30/15 10,674 11,439
12/31/15 10,337 11,234
1/31/16 9,529 10,461
2/28/16 9,223 10,315
3/31/16 9,920 11,015
4/30/16 10,405 11,369
5/31/16 10,209 11,241
6/30/16 9,835 10,899
7/31/16 10,277 11,435
8/31/16 10,549 11,446
9/30/16 10,668 11,585
10/31/16 10,804 11,360
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------ MSCI data copyright MSCI 2016, all
-0.16% 4.38% 0.78% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
Emerging Markets MSCI Emerging Markets
Portfolio II Index (net dividends)
------------------ -------------------
10/31/06 $10,000 $10,000
11/30/06 10,638 10,743
12/31/06 11,065 11,227
1/31/07 11,232 11,108
2/28/07 11,060 11,043
3/31/07 11,560 11,481
4/30/07 12,302 12,025
5/31/07 13,124 12,609
6/30/07 13,336 13,200
7/31/07 13,655 13,897
8/31/07 13,422 13,601
9/30/07 14,604 15,103
10/31/07 16,204 16,788
11/30/07 15,149 15,597
12/31/07 15,086 15,652
1/31/08 13,769 13,699
2/29/08 14,212 14,710
3/31/08 13,769 13,932
4/30/08 14,751 15,062
5/31/08 14,834 15,342
6/30/08 13,312 13,811
7/31/08 13,137 13,290
8/31/08 12,355 12,229
9/30/08 10,638 10,089
10/31/08 7,836 7,328
11/30/08 7,126 6,776
12/31/08 7,686 7,305
1/31/09 7,092 6,833
2/28/09 6,635 6,447
3/31/09 7,588 7,374
4/30/09 8,714 8,601
5/31/09 10,200 10,071
6/30/09 10,108 9,935
7/31/09 11,267 11,052
8/31/09 11,305 11,013
9/30/09 12,301 12,012
10/31/09 12,045 12,027
11/30/09 12,764 12,544
12/31/09 13,221 13,039
1/31/10 12,505 12,312
2/28/10 12,655 12,355
3/31/10 13,709 13,353
4/30/10 13,792 13,514
5/31/10 12,511 12,326
6/30/10 12,528 12,235
7/31/10 13,632 13,254
8/31/10 13,315 12,997
9/30/10 14,830 14,441
10/31/10 15,274 14,860
11/30/10 14,930 14,468
12/31/10 16,147 15,500
1/31/11 15,727 15,080
2/28/11 15,614 14,939
3/31/11 16,481 15,818
4/30/11 17,054 16,308
5/31/11 16,583 15,880
6/30/11 16,374 15,636
7/31/11 16,243 15,567
8/31/11 14,928 14,176
9/30/11 12,671 12,109
10/31/11 14,253 13,713
11/30/11 13,760 12,799
12/31/11 13,359 12,645
1/31/12 14,788 14,079
2/29/12 15,588 14,922
3/31/12 15,179 14,424
4/30/12 14,911 14,252
5/31/12 13,300 12,653
6/30/12 13,960 13,142
7/31/12 14,071 13,398
8/31/12 14,164 13,354
9/30/12 14,952 14,159
10/31/12 14,876 14,073
11/30/12 15,069 14,252
12/31/12 15,948 14,949
1/31/13 16,031 15,155
2/28/13 15,840 14,965
3/31/13 15,614 14,707
4/30/13 15,793 14,818
5/31/13 15,274 14,438
6/30/13 14,314 13,518
7/31/13 14,523 13,660
8/31/13 14,183 13,425
9/30/13 15,190 14,298
10/31/13 15,888 14,993
11/30/13 15,650 14,774
12/31/13 15,482 14,560
1/31/14 14,410 13,615
2/28/14 14,931 14,066
3/31/14 15,457 14,497
4/30/14 15,543 14,546
5/31/14 16,070 15,053
6/30/14 16,517 15,453
7/31/14 16,713 15,752
8/31/14 17,233 16,107
9/30/14 15,966 14,913
10/31/14 16,131 15,089
11/30/14 15,972 14,930
12/31/14 15,254 14,241
1/31/15 15,355 14,327
2/28/15 15,820 14,770
3/31/15 15,487 14,560
4/30/15 16,525 15,680
5/31/15 15,858 15,052
6/30/15 15,474 14,661
7/31/15 14,481 13,645
8/31/15 13,280 12,411
9/30/15 12,928 12,038
10/31/15 13,708 12,896
11/30/15 13,230 12,393
12/31/15 12,872 12,117
1/31/16 12,332 11,331
2/28/16 12,254 11,312
3/31/16 13,873 12,809
4/30/16 13,957 12,879
5/31/16 13,411 12,398
6/30/16 14,120 12,894
7/31/16 14,848 13,543
8/31/16 15,024 13,879
9/30/16 15,219 14,058
10/31/16 15,251 14,091
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------- MSCI data copyright MSCI 2016, all
11.26% 1.36% 4.31% rights reserved.
--------------------------------------------------------------------------------
2
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 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 contributed to USD-denominated returns in developed markets.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. -10.14% 3.19%
United Kingdom.................... 13.55% -10.24%
France............................ -4.31% -5.04%
Switzerland....................... -8.27% -8.57%
Canada............................ 11.55% 8.90%
Germany........................... -2.14% -2.89%
Australia......................... 5.52% 12.55%
Hong Kong......................... 8.52% 8.45%
Spain............................. -8.40% -9.10%
Netherlands....................... 0.63% -0.20%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2016, all rights reserved.
Emerging markets had stronger performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks underperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLAR
- ---------------------
MSCI Emerging Markets Index........... 9.27%
MSCI Emerging Markets Small Cap Index. 4.78%
MSCI Emerging Markets Value Index..... 8.60%
MSCI Emerging Markets Growth Index.... 9.81%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of emerging markets. In particular, while the
U.S. dollar appreciated significantly against the Mexican peso, it also
depreciated significantly against the Brazilian real. Overall, currency
fluctuations detracted from USD-denominated returns in emerging markets.
3
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.
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 SERIES' PERFORMANCE OVERVIEW
DFA INTERNATIONAL VALUE PORTFOLIO IV
The DFA International Value Portfolio IV is designed to capture the returns
of developed ex U.S. large-cap value stocks by purchasing shares of The DFA
International Value Series, a Master Fund managed by Dimensional that invests
in such stocks. Value is measured primarily by price-to-book ratio. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2016, the Master Fund held approximately 500 securities in 22
eligible developed markets. In general, average cash exposure throughout the
year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2016, total returns were -0.16% for the
Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Master Fund invests primarily in value stocks, while the benchmark
is neutral with regard to value or growth stocks. The Master Fund's emphasis on
deep value stocks contributed positively to its performance relative to the
benchmark, as that segment of the market outperformed for the year. The Master
Fund's emphasis on mid-cap stocks also contributed positively to relative
performance, as those stocks outperformed for the period.
EMERGING MARKETS PORTFOLIO II
The Emerging Markets Portfolio II is designed to capture the returns of
large-cap stocks in selected emerging markets countries by purchasing shares of
The Emerging Markets Series, a Master Fund managed by Dimensional that invests
in such securities. The investment strategy is process driven, emphasizing
broad diversification. As of
4
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 11.26% 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 outperformance of the
Master Fund relative to the benchmark 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 relative
performance, as China underperformed the overall 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 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.
5
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 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 IV**
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,038.40 0.28% $1.43
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.73 0.28% $1.42
EMERGING MARKETS PORTFOLIO II**
-------------------------------
Actual Fund Return..................... $1,000.00 $1,092.70 0.33% $1.74
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.48 0.33% $1.68
----------
* 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).
6
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 2016. They are available upon request, without charge,
by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
DFA International Value Portfolio IV........................ 100.0%
Emerging Markets Portfolio II............................... 100.0%
7
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2016
DFA INTERNATIONAL VALUE PORTFOLIO IV
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $195,672,712
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANY (Cost $190,450,215)............................ $195,672,712
============
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 PORTFOLIO II
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $83,402,631
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANY (Cost $16,108,797)............................. $83,402,631
===========
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.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
INTERNATIONAL EMERGING
VALUE PORTFOLIO MARKETS
IV PORTFOLIO II
--------------- ------------
ASSETS:
Investment in Affiliated Investment Company at Value........ $ 195,673 $ 83,403
Prepaid Expenses and Other Assets........................... 9 8
------------ ------------
Total Assets........................................... 195,682 83,411
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed....................................... 210 61
Due to Advisor............................................. 7 11
Accrued Expenses and Other Liabilities...................... 19 9
------------ ------------
Total Liabilities...................................... 236 81
------------ ------------
NET ASSETS.................................................. $ 195,446 $ 83,330
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 15,381,343 3,551,889
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 12.71 $ 23.46
============ ============
Investment in Affiliated Investment Company at Cost......... $ 190,450 $ 16,109
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 188,935 $ 16,585
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 6,254 1,261
Accumulated Net Realized Gain (Loss)........................ (4,970) (1,811)
Net Unrealized Foreign Exchange Gain (Loss)................. 4 1
Net Unrealized Appreciation (Depreciation).................. 5,223 67,294
------------ ------------
NET ASSETS.................................................. $ 195,446 $ 83,330
============ ============
(1) NUMBER OF SHARES AUTHORIZED............................. 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
DFA
INTERNATIONAL EMERGING
VALUE MARKETS
PORTFOLIO IV* PORTFOLIO II*
------------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $592 and $260, respectively)................ $ 7,414 $1,913
Interest................................................................................ -- 1
Income from Securities Lending.......................................................... 212 116
Expenses Allocated from Affiliated Investment Company................................... (427) (120)
------- ------
Total Investment Income................................................................ 7,199 1,910
------- ------
FUND EXPENSES
Investment Management Fees................................................................ 470 196
Accounting & Transfer Agent Fees.......................................................... 4 3
Filing Fees............................................................................... 20 18
Shareholders' Reports..................................................................... 8 4
Directors'/Trustees' Fees & Expenses...................................................... 1 1
Legal Fees................................................................................ 5 2
Other..................................................................................... 3 --
------- ------
Total Expenses......................................................................... 511 224
------- ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. (390) (78)
------- ------
Net Expenses........................................................................... 121 146
------- ------
NET INVESTMENT INCOME (LOSS).............................................................. 7,078 1,764
------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................ (4,901) (597)
Futures................................................................................. 135 97
Foreign Currency Transactions........................................................... 122 16
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................................. (3,218) 6,761
Futures................................................................................. (29) (3)
Translation of Foreign Currency Denominated Amounts..................................... (17) 4
------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... (7,908) 6,278
------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $ (830) $8,042
======= ======
----------
* 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.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE EMERGING MARKETS PORTFOLIO
PORTFOLIO IV II
---------------------- -------------------------
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).......................................... $ 7,078 $ 8,027 $ 1,764 $ 2,087
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... (4,901) 8,096 (597) (693)
Futures............................................................. 135 -- 97 61
Foreign Currency Transactions....................................... 122 (157) 16 (49)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... (3,218) (28,686) 6,761 (16,625)
Futures............................................................. (29) -- (3) (4)
Translation of Foreign Currency Denominated Amounts................. (17) 18 4 (2)
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... (830) (12,702) 8,042 (15,225)
-------- -------- -------- --------
Distributions From:
Net Investment Income................................................. (7,677) (12,599) (2,525) (2,459)
-------- -------- -------- --------
Total Distributions................................................ (7,677) (12,599) (2,525) (2,459)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 13,487 14,480 11,413 12,868
Shares Issued in Lieu of Cash Distributions........................... 7,677 12,599 2,525 2,459
Shares Redeemed....................................................... (38,698) (37,932) (18,543) (20,212)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions............ (17,534) (10,853) (4,605) (4,885)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets............................ (26,041) (36,154) 912 (22,569)
NET ASSETS
Beginning of Year..................................................... 221,487 257,641 82,418 104,987
-------- -------- -------- --------
End of Year........................................................... $195,446 $221,487 $ 83,330 $ 82,418
======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 1,150 1,045 541 530
Shares Issued in Lieu of Cash Distributions........................... 633 957 127 106
Shares Redeemed....................................................... (3,160) (2,714) (896) (841)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ (1,377) (712) (228) (205)
======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 6,254 $ 6,617 $ 1,261 $ 1,947
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO IV
---------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 13.22 $ 14.75 $ 15.32 $ 12.48 $ 12.67
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.44 0.46 0.68 0.42 0.45
Net Gains (Losses) on Securities (Realized and Unrealized)................ (0.48) (1.26) (0.80) 2.96 (0.11)
-------- -------- -------- -------- --------
Total from Investment Operations......................................... (0.04) (0.80) (0.12) 3.38 0.34
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.47) (0.73) (0.45) (0.54) (0.53)
-------- -------- -------- -------- --------
Total Distributions...................................................... (0.47) (0.73) (0.45) (0.54) (0.53)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 12.71 $ 13.22 $ 14.75 $ 15.32 $ 12.48
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ (0.16)% (5.42)% (0.73)% 28.08% 3.20%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $195,446 $221,487 $257,641 $265,343 $252,963
Ratio of Expenses to Average Net Assets (B)................................. 0.28% 0.27% 0.27% 0.28% 0.28%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.48% 0.32% 0.27% 0.28% 0.28%
Ratio of Net Investment Income to Average Net Assets (B).................... 3.63% 3.26% 4.46% 3.13% 3.76%
----------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II
-----------------------------------------------
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.......................................... $ 21.80 $ 26.34 $ 26.65 $ 25.49 $ 25.14
------- ------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.48 0.53 0.59 0.56 0.58
Net Gains (Losses) on Securities (Realized and Unrealized)................ 1.85 (4.45) (0.22) 1.16 0.44
------- ------- -------- -------- --------
Total from Investment Operations......................................... 2.33 (3.92) 0.37 1.72 1.02
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.67) (0.62) (0.68) (0.56) (0.67)
------- ------- -------- -------- --------
Total Distributions...................................................... (0.67) (0.62) (0.68) (0.56) (0.67)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 23.46 $ 21.80 $ 26.34 $ 26.65 $ 25.49
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 11.26% (15.02)% 1.53% 6.80% 4.37%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $83,330 $82,418 $104,987 $112,140 $114,646
Ratio of Expenses to Average Net Assets (B)................................. 0.34% 0.34% 0.34% 0.35% 0.38%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.44% 0.36% 0.34% 0.35% 0.38%
Ratio of Net Investment Income to Average Net Assets (B).................... 2.25% 2.18% 2.29% 2.17% 2.33%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, two of
which, DFA International Value Portfolio IV and Emerging Markets Portfolio II
(the "Portfolios"), are presented in this report. The remaining portfolios are
presented in separate reports. 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 IV and Emerging Markets Portfolio II
primarily invest their assets in The DFA International Value Series and The
Emerging Markets Series (the "Series"), respectively, each a corresponding
Series of The DFA Investment Trust Company. At October 31, 2016, DFA
International Value Portfolio IV and Emerging Markets Portfolio II each owned
2% of their respective Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolios.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 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
13
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 Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
For the year ended October 31, 2016, the investment management fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.40% of the first $40 million of average daily net assets and 0.20% of the
average daily net assets exceeding $40 million for DFA International Value
Portfolio IV and based on an effective annual rate 0.25% of average daily net
assets for Emerging Markets Portfolio II.
Effective July 21, 2015, 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 below as a percentage of the average net assets of a class
of a Portfolio on an annualized basis. The Fee Waiver Agreement will remain in
effect permanently, unless terminated by the Fund.
EXPENSE
INSTITUTIONAL CLASS SHARES LIMITATION AMOUNT
-------------------------- -----------------
DFA International Value
Portfolio IV................... 0.24%*
Emerging Markets Portfolio II.... 0.25%
* The expense limitation amount for the Portfolios is equal to 0.40% of the
first $40 million of average daily net assets and 0.20% of the average daily
net assets exceeding $40 million.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $31 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
14
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 IV.............. $15
Emerging Markets Portfolio II..................... 6
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2016, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
DFA International Value Portfolio IV. $(17,786) $236 $17,550
Emerging Markets Portfolio II........ (58,399) 75 58,324
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- -------
DFA International Value Portfolio IV
2015................................. $12,599 -- -- $12,599
2016................................. 7,677 -- -- 7,677
Emerging Markets Portfolio II
2015................................. 2,459 -- -- 2,459
2016................................. 2,525 -- -- 2,525
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 IV. $6,595 -- $(4,502) $ 3,610 $ 5,703
Emerging Markets Portfolio II........ 1,752 -- (1,778) 66,780 66,754
15
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolios after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2016, the DFA
International Value Portfolio IV and Emerging Markets Portfolio II had the
following capital loss carryforwards available to offset future realized
capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31,
----------------------
UNLIMITED TOTAL
---------------------- ------
DFA International Value Portfolio IV. $4,498 $4,498
Emerging Markets Portfolio II........ 1,778 1,778
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 IV. $191,254 $ 4,419 -- $ 4,419
Emerging Markets Portfolio II........ 16,628 66,775 -- 66,775
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.
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 29, 2017.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under
16
the line of credit. Borrowings under the line of credit are charged interest at
rates agreed upon by the parties at the time of borrowing. There is no
commitment fee on the unused portion of the line of credit. The line of credit
agreement expires on January 7, 2017.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 2016.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
At October 31, 2016, the following number of shareholders held the following
approximate percentages of the stated Portfolios' outstanding shares. One or
more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -------------
DFA International Value Portfolio IV.............. 1 100%
Emerging Markets Portfolio II..................... 2 100%
I. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios 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.
17
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of DFA International
Value Portfolio IV and Emerging Markets Portfolio II (constituting portfolios
within Dimensional Investment Group Inc., hereafter referred to as the
"Portfolios") 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 transfer agent of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
18
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
(UNAUDITED)
As noted in the table provided below, on December 16, 2015, the DFA
International Value Portfolio IV and Emerging Markets Portfolio II paid
distributions to shareholders of record as of December 15, 2015 that included
amounts from net investment income and return of capital. Please note that this
information is being provided to satisfy certain notice requirements under the
Investment Company Act of 1940 and is not being provided for tax reporting
purposes. Each Portfolio will send (or has sent) shareholders a Form 1099-DIV
(or a financial intermediary should provide (or has provided) shareholders with
similar information) for the relevant calendar year informing shareholders how
to report these distributions for federal income tax purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET NET REALIZED NET REALIZED
INVESTMENT CAPITAL GAINS: CAPITAL GAINS: RETURN OF
PORTFOLIO NAME INCOME SHORT-TERM LONG-TERM CAPITAL
-------------- ---------- -------------- -------------- ---------
DFA International Value Portfolio IV
December 16, 2015................. 93% 0% 0% 7%
Emerging Markets Portfolio II
December 16, 2015................. 67% 0% 0% 33%
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.
19
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
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 USA Index
Value Series (net dividends)
----------------------- ---------------------------
10/31/06 $10,000 $10,000
11/30/06 10,332 10,298
12/31/06 10,735 10,593
1/31/07 10,938 10,658
2/28/07 10,928 10,743
3/31/07 11,281 11,018
4/30/07 11,851 11,520
5/31/07 12,256 11,775
6/30/07 12,166 11,787
7/31/07 11,828 11,624
8/31/07 11,696 11,456
9/30/07 12,306 12,107
10/31/07 12,903 12,633
11/30/07 12,121 12,139
12/31/07 11,860 11,911
1/31/08 10,900 10,837
2/29/08 10,761 11,033
3/31/08 10,890 10,876
4/30/08 11,376 11,480
5/31/08 11,382 11,655
6/30/08 10,256 10,748
7/31/08 9,966 10,366
8/31/08 9,549 9,965
9/30/08 8,434 8,526
10/31/08 6,319 6,753
11/30/08 5,931 6,386
12/31/08 6,380 6,723
1/31/09 5,499 6,096
2/28/09 4,824 5,479
3/31/09 5,350 5,840
4/30/09 6,336 6,593
5/31/09 7,277 7,427
6/30/09 7,166 7,350
7/31/09 8,019 8,040
8/31/09 8,479 8,425
9/30/09 8,911 8,773
10/31/09 8,556 8,632
11/30/09 8,811 8,845
12/31/09 8,911 8,986
1/31/10 8,396 8,565
2/28/10 8,429 8,557
3/31/10 9,094 9,107
4/30/10 8,939 8,972
5/31/10 7,892 7,982
6/30/10 7,753 7,866
7/31/10 8,723 8,593
8/31/10 8,296 8,336
9/30/10 9,188 9,136
10/31/10 9,509 9,462
11/30/10 9,033 9,061
12/31/10 9,875 9,790
1/31/11 10,295 10,001
2/28/11 10,639 10,372
3/31/11 10,345 10,164
4/30/11 10,899 10,718
5/31/11 10,506 10,400
6/30/11 10,362 10,252
7/31/11 10,030 10,083
8/31/11 8,955 9,231
9/30/11 7,975 8,304
10/31/11 8,745 9,111
11/30/11 8,457 8,690
12/31/11 8,230 8,595
1/31/12 8,784 9,059
2/29/12 9,243 9,557
3/31/12 9,166 9,487
4/30/12 8,839 9,326
5/31/12 7,748 8,262
6/30/12 8,296 8,804
7/31/12 8,263 8,913
8/31/12 8,606 9,168
9/30/12 8,911 9,446
10/31/12 9,022 9,512
11/30/12 9,166 9,712
12/31/12 9,614 10,006
1/31/13 10,068 10,498
2/28/13 9,764 10,393
3/31/13 9,797 10,476
4/30/13 10,279 10,953
5/31/13 10,157 10,708
6/30/13 9,797 10,307
7/31/13 10,467 10,855
8/31/13 10,395 10,715
9/30/13 11,176 11,472
10/31/13 11,564 11,857
11/30/13 11,608 11,930
12/31/13 11,863 12,110
1/31/14 11,431 11,621
2/28/14 12,084 12,255
3/31/14 11,996 12,200
4/30/14 12,201 12,392
5/31/14 12,339 12,584
6/30/14 12,489 12,763
7/31/14 12,212 12,536
8/31/14 12,217 12,546
9/30/14 11,680 12,030
10/31/14 11,481 11,839
11/30/14 11,486 11,985
12/31/14 11,060 11,586
1/31/15 10,988 11,545
2/28/15 11,774 12,235
3/31/15 11,525 12,030
4/30/15 12,156 12,551
5/31/15 12,162 12,442
6/30/15 11,813 12,089
7/31/15 11,697 12,280
8/31/15 10,827 11,386
9/30/15 10,091 10,811
10/31/15 10,866 11,624
11/30/15 10,722 11,439
12/31/15 10,378 11,234
1/31/16 9,570 10,461
2/28/16 9,265 10,315
3/31/16 9,969 11,015
4/30/16 10,450 11,369
5/31/16 10,257 11,241
6/30/16 9,886 10,899
7/31/16 10,323 11,435
8/31/16 10,600 11,446
9/30/16 10,716 11,585
10/31/16 10,855 11,360
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------- MSCI data copyright MSCI 2016, all
-0.10% 4.42% 0.82% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2006-OCTOBER 31, 2016
[CHART]
The Emerging Markets Series MSCI Emerging Markets Index
(net dividends)
----------------------------- ---------------------------
10/31/06 $10,000 $10,000
11/30/06 10,641 10,743
12/31/06 11,072 11,227
1/31/07 11,236 11,108
2/28/07 11,065 11,043
3/31/07 11,570 11,481
4/30/07 12,311 12,025
5/31/07 13,136 12,609
6/30/07 13,353 13,200
7/31/07 13,677 13,897
8/31/07 13,444 13,601
9/30/07 14,629 15,103
10/31/07 16,236 16,788
11/30/07 15,177 15,597
12/31/07 15,124 15,652
1/31/08 13,808 13,699
2/29/08 14,248 14,710
3/31/08 13,808 13,932
4/30/08 14,796 15,062
5/31/08 14,883 15,342
6/30/08 13,357 13,811
7/31/08 13,183 13,290
8/31/08 12,401 12,229
9/30/08 10,678 10,089
10/31/08 7,866 7,328
11/30/08 7,154 6,776
12/31/08 7,715 7,305
1/31/09 7,124 6,833
2/28/09 6,663 6,447
3/31/09 7,625 7,374
4/30/09 8,758 8,601
5/31/09 10,251 10,071
6/30/09 10,164 9,935
7/31/09 11,329 11,052
8/31/09 11,369 11,013
9/30/09 12,375 12,012
10/31/09 12,118 12,027
11/30/09 12,842 12,544
12/31/09 13,307 13,039
1/31/10 12,582 12,312
2/28/10 12,735 12,355
3/31/10 13,804 13,353
4/30/10 13,888 13,514
5/31/10 12,599 12,326
6/30/10 12,619 12,235
7/31/10 13,731 13,254
8/31/10 13,413 12,997
9/30/10 14,940 14,441
10/31/10 15,394 14,860
11/30/10 15,050 14,468
12/31/10 16,276 15,500
1/31/11 15,855 15,080
2/28/11 15,745 14,939
3/31/11 16,623 15,818
4/30/11 17,204 16,308
5/31/11 16,730 15,880
6/30/11 16,533 15,636
7/31/11 16,406 15,567
8/31/11 15,080 14,176
9/30/11 12,799 12,109
10/31/11 14,402 13,713
11/30/11 13,904 12,799
12/31/11 13,500 12,645
1/31/12 14,947 14,079
2/29/12 15,758 14,922
3/31/12 15,351 14,424
4/30/12 15,077 14,252
5/31/12 13,454 12,653
6/30/12 14,122 13,142
7/31/12 14,235 13,398
8/31/12 14,332 13,354
9/30/12 15,134 14,159
10/31/12 15,057 14,073
11/30/12 15,254 14,252
12/31/12 16,149 14,949
1/31/13 16,232 15,155
2/28/13 16,045 14,965
3/31/13 15,818 14,707
4/30/13 15,999 14,818
5/31/13 15,481 14,438
6/30/13 14,509 13,518
7/31/13 14,723 13,660
8/31/13 14,379 13,425
9/30/13 15,404 14,298
10/31/13 16,109 14,993
11/30/13 15,868 14,774
12/31/13 15,708 14,560
1/31/14 14,619 13,615
2/28/14 15,150 14,066
3/31/14 15,685 14,497
4/30/14 15,778 14,546
5/31/14 16,316 15,053
6/30/14 16,770 15,453
7/31/14 16,971 15,752
8/31/14 17,502 16,107
9/30/14 16,216 14,913
10/31/14 16,389 15,089
11/30/14 16,232 14,930
12/31/14 15,501 14,241
1/31/15 15,605 14,327
2/28/15 16,082 14,770
3/31/15 15,748 14,560
4/30/15 16,804 15,680
5/31/15 16,129 15,052
6/30/15 15,741 14,661
7/31/15 14,733 13,645
8/31/15 13,517 12,411
9/30/15 13,156 12,038
10/31/15 13,955 12,896
11/30/15 13,470 12,393
12/31/15 13,103 12,117
1/31/16 12,555 11,331
2/28/16 12,478 11,312
3/31/16 14,132 12,809
4/30/16 14,218 12,879
5/31/16 13,667 12,398
6/30/16 14,389 12,894
7/31/16 15,130 13,543
8/31/16 15,314 13,879
9/30/16 15,518 14,058
10/31/16 15,551 14,091
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2016, all
11.44% 1.55% 4.51% rights reserved.
--------------------------------------------------------------------------------
20
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2016
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index................. -2.27%
MSCI World ex USA Small Cap Index....... 3.96%
MSCI World ex USA Value Index........... -2.07%
MSCI World ex USA Growth Index.......... -2.58%
During the period, the performance of the U.S. dollar was mixed when
compared against the currencies of other developed markets. In particular,
while the U.S. dollar appreciated significantly against the British pound, it
depreciated significantly against the Japanese yen. Overall, currency
fluctuations contributed to 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%
21
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 contributed to 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.
INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series is designed to capture the returns of
developed ex U.S. large cap value stocks. Value is measured primarily by
price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Series held approximately
500 securities in 22 eligible developed markets. In general, average cash
exposure throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2016, total returns were -0.10% for the
Series and -2.27% for the MSCI World ex USA Index (net dividends), the Series'
benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in developed ex U.S.
equity markets rather than by the behavior of a limited number of stocks. The
Series invests primarily in value stocks, while the benchmark is neutral with
regard to value or growth stocks. The Series' emphasis on deep value stocks
contributed positively to its performance relative to the benchmark, as that
segment of the market outperformed for the year. The Series' emphasis on
mid-cap stocks also contributed positively to relative performance, as those
stocks outperformed for the period.
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
22
limited number of stocks. The outperformance of the Series relative to the
benchmark was driven primarily by country allocation differences between the
Series and the benchmark. The Series' lesser allocation to China contributed
positively to relative performance, as China underperformed the overall
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.
23
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 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
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
----------
* 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.
24
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.
INTERNATIONAL EQUITY PORTFOLIOS
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 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%
25
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%
------------ ----
26
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (0.3%)
Other Securities...................... $ 27,555,506 0.3%
-------------- -----
ISRAEL -- (0.4%)
Other Securities...................... 37,197,840 0.4%
-------------- -----
ITALY -- (0.9%)
Other Securities...................... 89,098,627 0.9%
-------------- -----
JAPAN -- (22.1%)
Hitachi, Ltd.......................... 10,841,000 57,792,205 0.6%
Honda Motor Co., Ltd.................. 3,689,000 110,380,798 1.1%
Mitsubishi UFJ Financial Group, Inc... 13,919,406 71,821,469 0.7%
Mizuho Financial Group, Inc........... 49,478,100 83,308,851 0.9%
Nissan Motor Co., Ltd................. 6,443,700 65,548,427 0.7%
Sumitomo Mitsui Financial Group, Inc.. 2,854,200 98,959,858 1.0%
Other Securities...................... 1,732,718,474 17.8%
-------------- -----
TOTAL JAPAN............................... 2,220,530,082 22.8%
-------------- -----
NETHERLANDS -- (3.2%)
ING Groep NV.......................... 6,261,830 82,199,110 0.8%
Koninklijke DSM NV.................... 739,169 47,509,724 0.5%
Koninklijke Philips NV................ 1,794,168 54,062,166 0.6%
Other Securities...................... 133,730,760 1.4%
-------------- -----
TOTAL NETHERLANDS......................... 317,501,760 3.3%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities...................... 12,145,818 0.1%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 77,275,822 0.8%
-------------- -----
PORTUGAL -- (0.0%)
Other Securities...................... 4,088,097 0.0%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities...................... 99,362,354 1.0%
-------------- -----
SPAIN -- (2.8%)
Banco Santander SA.................... 38,416,551 188,242,084 1.9%
Other Securities...................... 91,349,479 1.0%
-------------- -----
TOTAL SPAIN............................... 279,591,563 2.9%
-------------- -----
SWEDEN -- (2.2%)
Nordea Bank AB........................ 4,880,877 51,293,747 0.5%
Other Securities...................... 170,725,504 1.8%
-------------- -----
TOTAL SWEDEN.............................. 222,019,251 2.3%
-------------- -----
SWITZERLAND -- (7.6%)
ABB, Ltd.............................. 4,800,878 99,044,119 1.0%
Cie Financiere Richemont SA........... 1,271,917 81,771,387 0.8%
Novartis AG........................... 1,332,371 94,555,149 1.0%
Swiss Re AG........................... 1,037,390 96,281,939 1.0%
UBS Group AG.......................... 3,448,485 48,753,503 0.5%
Zurich Insurance Group AG............. 326,468 85,455,128 0.9%
Other Securities...................... 255,861,140 2.6%
-------------- -----
TOTAL SWITZERLAND......................... 761,722,365 7.8%
-------------- -----
27
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (17.7%)
* Anglo American P.L.C.............................. 3,284,169 $ 45,581,653 0.5%
Barclays P.L.C. Sponsored ADR..................... 4,766,662 43,948,624 0.5%
BP P.L.C. Sponsored ADR........................... 10,710,966 380,774,841 3.9%
* Glencore P.L.C.................................... 33,377,354 102,171,610 1.1%
HSBC Holdings P.L.C............................... 21,477,669 161,751,262 1.7%
# HSBC Holdings P.L.C. Sponsored ADR................ 3,019,816 113,635,676 1.2%
Royal Dutch Shell P.L.C. Class A.................. 2,199,265 54,777,180 0.6%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 3,177,301 158,261,344 1.6%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 3,794,361 198,483,024 2.0%
Vodafone Group P.L.C.............................. 58,351,986 160,253,496 1.6%
# Vodafone Group P.L.C. Sponsored ADR............... 4,011,201 111,671,843 1.1%
Other Securities.................................. 242,436,613 2.4%
--------------- ------
TOTAL UNITED KINGDOM.................................... 1,773,747,166 18.2%
--------------- ------
UNITED STATES -- (0.0%)
Other Securities.................................. 812,282 0.0%
--------------- ------
TOTAL COMMON STOCKS..................................... 9,571,294,827 98.4%
--------------- ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG..................................... 535,010 73,764,785 0.8%
Other Securities.................................. 18,272,581 0.1%
--------------- ------
TOTAL GERMANY........................................... 92,037,366 0.9%
--------------- ------
TOTAL PREFERRED STOCKS.................................. 92,037,366 0.9%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities.................................. 2,150,761 0.0%
--------------- ------
SWEDEN -- (0.0%)
Other Securities.................................. 251,828 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................................... 2,402,589 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............................. 9,665,734,782
---------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund.................... 31,982,623 370,102,917 3.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,045,898,931)............................ $10,035,837,699 103.1%
=============== ======
28
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2016, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- ---------------
Common Stocks
Australia.............................. $ 63,077,009 $ 572,005,173 -- $ 635,082,182
Austria................................ -- 7,798,226 -- 7,798,226
Belgium................................ -- 121,053,616 -- 121,053,616
Canada................................. 764,728,758 -- -- 764,728,758
Denmark................................ -- 175,349,382 -- 175,349,382
Finland................................ 2,470,632 72,755,342 -- 75,225,974
France................................. 260,795 890,242,846 -- 890,503,641
Germany................................ 67,367,734 642,107,155 -- 709,474,889
Hong Kong.............................. -- 269,429,626 -- 269,429,626
Ireland................................ 9,750,918 17,804,588 -- 27,555,506
Israel................................. -- 37,197,840 -- 37,197,840
Italy.................................. 17,693,989 71,404,638 -- 89,098,627
Japan.................................. 32,899,160 2,187,630,922 -- 2,220,530,082
Netherlands............................ 41,922,122 275,579,638 -- 317,501,760
New Zealand............................ -- 12,145,818 -- 12,145,818
Norway................................. 10,177,330 67,098,492 -- 77,275,822
Portugal............................... -- 4,088,097 -- 4,088,097
Singapore.............................. -- 99,362,354 -- 99,362,354
Spain.................................. 3,796,801 275,794,762 -- 279,591,563
Sweden................................. 4,064,405 217,954,846 -- 222,019,251
Switzerland............................ 27,724,389 733,997,976 -- 761,722,365
United Kingdom......................... 1,033,348,012 740,399,154 -- 1,773,747,166
United States.......................... -- 812,282 -- 812,282
Preferred Stocks
Germany................................ -- 92,037,366 -- 92,037,366
Rights/Warrants
Spain.................................. -- 2,150,761 -- 2,150,761
Sweden................................. -- 251,828 -- 251,828
Securities Lending Collateral........... -- 370,102,917 -- 370,102,917
Futures Contracts**..................... (851,802) -- -- (851,802)
-------------- -------------- -- ---------------
TOTAL................................... $2,078,430,252 $7,956,555,645 -- $10,034,985,897
============== ============== == ===============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
29
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%
------------ -----
30
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%
31
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%
============== ======
32
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 H)
See accompanying Notes to Financial Statements.
33
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
THE DFA
INTERNATIONAL THE EMERGING
VALUE SERIES* MARKETS SERIES*
------------- ---------------
ASSETS:
Investments at Value (including $362,128 and $212,759 of securities on loan, respectively).... $ 9,665,735 $4,954,105
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $370,043
and $143,624)................................................................................ 370,103 143,647
Segregated Cash for Futures Contracts......................................................... 1,176 1,298
Foreign Currencies at Value................................................................... 9,101 38,502
Cash.......................................................................................... 17,431 2,268
Receivables:
Investment Securities Sold.................................................................. -- 1,559
Dividends, Interest and Tax Reclaims........................................................ 38,076 2,882
Securities Lending Income................................................................... 158 526
Futures Margin Variation.................................................................... 13 149
----------- ----------
Total Assets............................................................................. 10,101,793 5,144,936
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 370,018 143,617
Investment Securities Purchased............................................................. -- 2,758
Due to Advisor.............................................................................. 1,649 424
Accrued Expenses and Other Liabilities........................................................ 586 406
----------- ----------
Total Liabilities........................................................................ 372,253 147,205
----------- ----------
NET ASSETS.................................................................................... $ 9,729,540 $4,997,731
=========== ==========
Investments at Cost........................................................................... $ 9,675,856 $3,903,992
=========== ==========
Foreign Currencies at Cost.................................................................... $ 9,131 $ 38,157
=========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
34
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(AMOUNTS IN THOUSANDS)
THE DFA THE EMERGING
INTERNATIONAL MARKETS
VALUE SERIES SERIES
------------- ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $27,352 and $15,157, respectively)...... $ 341,886 $ 110,969
Interest............................................................................ -- 55
Income from Securities Lending...................................................... 9,676 6,697
--------- ---------
Total Investment Income......................................................... 351,562 117,721
--------- ---------
EXPENSES
Investment Management Fees.......................................................... 17,844 4,522
Accounting & Transfer Agent Fees.................................................... 449 232
Custodian Fees...................................................................... 771 1,780
Shareholders' Reports............................................................... 38 18
Directors'/Trustees' Fees & Expenses................................................ 62 31
Professional Fees................................................................... 265 254
Other............................................................................... 339 172
--------- ---------
Total Expenses.................................................................. 19,768 7,009
--------- ---------
Fees Paid Indirectly (Note C)....................................................... (212) (69)
--------- ---------
Net Expenses........................................................................ 19,556 6,940
--------- ---------
NET INVESTMENT INCOME (LOSS)........................................................ 332,006 110,781
--------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................................................... (261,808) (106,229)
Futures........................................................................... 5,988 5,752
Foreign Currency Transactions..................................................... 5,590 975
Forward Currency Contracts........................................................ 8 (4)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................................ (32,753) 512,891
Futures........................................................................... (852) (266)
Translation of Foreign Currency Denominated Amounts............................... (908) 207
--------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................................. (284,735) 413,326
--------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $ 47,271 $ 524,107
========= =========
----------
**Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
35
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE DFA INTERNATIONAL THE EMERGING MARKETS
VALUE SERIES SERIES
----------------------- ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2016 2015
---------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................ $ 332,006 $ 313,826 $ 110,781 $ 101,691
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... (261,808) 244,684 (106,229) (99,010)
Futures................................................... 5,988 -- 5,752 2,478
Foreign Currency Transactions............................. 5,590 (5,879) 975 (2,204)
Forward Currency Contracts................................ 8 -- (4) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (32,753) (1,034,230) 512,891 (686,412)
Futures................................................... (852) -- (266) --
Translation of Foreign Currency Denominated Amounts....... (908) 654 207 (95)
---------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 47,271 (480,945) 524,107 (683,552)
---------- ----------- ---------- ----------
Transactions in Interest:
Contributions............................................... 1,394,282 1,070,207 471,019 1,463,845
Withdrawals................................................. (939,918) (705,023) (400,950) (562,189)
---------- ----------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest.... 454,364 365,184 70,069 901,656
---------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. 501,635 (115,761) 594,176 218,104
NET ASSETS
Beginning of Year........................................... 9,227,905 9,343,666 4,403,555 4,185,451
---------- ----------- ---------- ----------
End of Year................................................. $9,729,540 $ 9,227,905 $4,997,731 $4,403,555
========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
36
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE DFA INTERNATIONAL VALUE SERIES
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
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%
----------------------------------------------------------------------------------------------------------------------------
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.
37
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, two of which, The DFA
International Value Series and The Emerging Markets Series (the "Series"), are
presented in this report. The remaining portfolios are presented in separate
reports. The Series are investment companies and, accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the 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.
The Series will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the
close of the NYSE (normally, 4:00 p.m. ET) and the time that the
38
net asset value of each Series is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time each
Series prices its shares at the close of the NYSE, the Series will fair value
their foreign investments when it is determined that the market quotations for
the foreign investments are either unreliable or not readily available. The
fair value prices will attempt to reflect the impact of the U.S. financial
markets' perceptions and trading activities on each Series' foreign investments
since the last closing prices of the foreign investments were calculated on
their primary foreign securities markets or exchanges. For these purposes, the
Board of Trustees of the Series has determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the Series utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the Series use fair value
pricing, the values assigned to the foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
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 had significant transfers of
securities with a total value of $334,768 (in thousands), that transferred from
Level 2 to Level 1 because fair value procedures were no longer applied.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign 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 Series
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such 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.
39
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 Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrue
such taxes when the related income or capital gains are earned or throughout
the holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Emerging Markets Series is subject to a 15% tax on short-term capital
gains for investments in India. Such taxes are due upon sale of individual
securities. The capital gains taxes are recognized when the capital gains are
earned.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 2016, investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.20% and 0.10% of average daily net assets for The
DFA International Value Series and The Emerging Markets Series, respectively.
EARNED INCOME CREDIT:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of each Series' net assets.
During the year ended October 31, 2016, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series........... $212
The Emerging Markets Series.................. 69
40
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 DFA International Value Series...... $321
The Emerging Markets Series............. 122
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2016, the Series made the following purchases
and sales of investment securities, other than short-term securities and U.S.
government securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The DFA International Value Series............. $2,247,033 $1,472,195
The Emerging Markets Series.................... 1,082,050 1,019,065
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 DFA International Value Series...... $10,045,899 $1,179,180 $(1,189,241) $ (10,061)
The Emerging Markets Series............. 4,047,616 1,441,316 (391,180) 1,050,136
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 the Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
The Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
41
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the
United States of America. Consequently, acquisition and disposition of
international securities held by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The Series may acquire and sell forward
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge the 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. Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts and
from unanticipated movements in the value of foreign currency relative to the
U.S. dollar.
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposit cash or pledge U.S. government securities
to a broker, equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and
are recorded daily by the Series as unrealized gains or losses until the
contracts are closed. When the contracts are closed, the Series record a
realized gain or loss, which is presented in the Statements of Operations as a
net realized gain or loss on futures, equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, 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):
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
======= ===== ======
42
UNREALIZED
EXPIRATION NUMBER OF CONTRACT GAIN CASH
DESCRIPTION DATE CONTRACTS VALUE (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
======= ===== ======
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 DFA International Value Series. $402 $58,270
The Emerging Markets Series........ 141 22,025
* 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
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2016 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
--------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2016 CONTRACTS*
---------------- ----------
The 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 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
--------------- --------------------------------------
Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2016 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
--------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------ --------- ---------
The DFA International Value Series...... $5,996 $ 8 $5,988
The Emerging Markets Series............. 5,748 (4) 5,752
43
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
----- --------- ---------
The DFA International Value Series.... $(852) -- $(852)
The Emerging Markets Series........... (266) -- (266)
H. LINE OF CREDIT:
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 DFA International Value Series...... 0.96% $ 6,426 14 $ 2 $40,666
The Emerging Markets Series............. 1.06% 11,513 33 11 27,055
* 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.
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.
44
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 DFA International Value Series................ $100,986 $137,382 $(50,541)
The Emerging Markets Series....................... 4,946 5,107 (252)
J. SECURITIES LENDING:
As of October 31, 2016, each Series had securities on loan to
brokers/dealers, for which each 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 $21,237 and $88,488 (amounts in
thousands). Each Series invests the cash collateral, as described below, and
records a liability for the return of the collateral, during the period the
securities are on loan. Loans of securities are expected at all times to be
secured by collateral in an amount (i) equal to at least 100% of the current
market value of the loaned securities with respect to securities of the U.S.
government or its agencies, (ii) generally equal to 102% of the current market
value of the loaned securities with respect to U.S. securities, and
(iii) generally equal to 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities. In the event of the bankruptcy of the borrower, a Series could
experience delay in recovering the loaned securities or only recover cash or a
security of equivalent value.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Such Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2016:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2016
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks..................... $370,102,917 -- -- -- $370,102,917
THE EMERGING MARKETS SERIES
Common Stocks..................... $143,647,490 -- -- -- $143,647,490
45
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. 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.
46
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of the Series, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The DFA International Value Series and The Emerging Markets Series
(constituting portfolios within The DFA Investment Trust Company, hereafter
referred to as the "Series") 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 custodian, brokers and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
47
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.
48
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 DIG. investment companies University of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
--------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Distinguished
Director of DFAIDG and DIG DIG-Since 1993 investment companies Service Professor of Economics, University of
Trustee of DFAITC and DEM DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
The University of Chicago DEM-Since 1993 Member and Chair, Competitive Markets Advisory
Booth School of Business Council, Chicago Mercantile Exchange (futures
5807 S. Woodlawn Avenue trading exchange) (since 2004). Trustee, Harbor
Chicago, IL 60637 Fund (registered investment company)
1939 (29 Portfolios) (since 1994). Formerly, Member of
the Board of Milwaukee Insurance Company
(1997-2010).
--------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Yale School of Management DEM-Since 1993 fund and asset manager) (since 2001).
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).
49
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
Executive Officer DEM-Since 1993 companies: Dimensional Holdings Inc.,
6300 Bee Cave Road Dimensional Fund Advisors LP, DFA Securities
Building One LLC, DEM, DFAIDG, DIG and DFAITC
Austin, TX 78746 (collectively, the "DFA Entities"). Director of
1946 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 Officer
Executive Officer and Co- DFAITC-Since 2009 (since June 2014), Director/Trustee, and formerly,
Chief Investment Officer DEM-Since 2009 Chief Investment Officer (March 2007-June 2014)
6300 Bee Cave Road, of the DFA Entities. Director, Co-Chief Executive
Building One Officer and Chief Investment Officer (since 2010)
Austin, TX 78746 of Dimensional Cayman Commodity Fund I Ltd.
1967 Director, Co-Chief Executive Officer, President
and Co-Chief Investment Officer of Dimensional
Fund Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014). Co-Chief
Investment Officer, Vice President, and Director
of DFA Australia Limited and formerly, Chief
Investment Officer (until April 2014). Director of
Dimensional Fund Advisors Ltd., Dimensional
Funds plc, Dimensional Funds II plc and
Dimensional Advisors Ltd. Formerly, Vice
President of the DFA Entities and Dimensional
Fund Advisors Canada ULC. Director and Chief
Investment Officer (since December 2012) of
Dimensional Japan Ltd.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
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.
50
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
--------------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice
1974 President, Business Development at Capson Physicians
Insurance Company (2010-2012).
--------------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1977 Director for Dimensional Fund Advisors LP (January 2011-
January 2016).
--------------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
--------------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional Funds plc
and Dimensional Funds II plc (since November 2013).
--------------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Client
1974 Service Manager for Dimensional Fund Advisors LP
(February 2008-January 2014).
--------------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Senior
1970 Research Associate (January 2012-January 2014) and
Research Associate (2006-2011) for Dimensional Fund
Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1973 Director for Dimensional Fund Advisors LP (April 2008-
January 2014).
--------------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
--------------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the DFA
1967 Assistant Secretary Entities, DFA Australia Limited, Dimensional Fund Advisors
Ltd., Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Fund Advisors Pte. and Dimensional Hong
Kong Limited. Director, Vice President, Director and
Assistant Secretary of Dimensional Fund Advisors Canada
ULC.
--------------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of Global
1964 Financial Services for Dimensional Fund Advisors LP
(since 2008).
--------------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional
1970 Director for Dimensional Fund Advisors LP (December
2010-January 2012).
--------------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1973 Director (January 2010-January 2014) for Dimensional
Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund Advisors LP
(October 2010-January 2016).
--------------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1972 Director (January 2012-January 2015) for Dimensional
Fund Advisors LP; Principal for Chamberlain Financial
Group (October 2010-December 2011).
--------------------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1971 Director (June 2011-January 2015) for Dimensional Fund
Advisors LP; Sales Executive for Vanguard (2004-June
2011).
51
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
1966 Management (since March 2012) and Senior Portfolio
Manager (since January 2012) for Dimensional Fund
Advisors LP. Vice President of Dimensional Fund Advisors
Canada ULC (since April 2016). Formerly, Portfolio
Manager for Dimensional Fund Advisors LP (October 2005
to January 2012).
----------------------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Counsel
1972 for Dimensional Fund Advisors LP (April 2012-January
2014); Vice President and Counsel for AllianceBernstein
L.P. (2006-2012).
----------------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities. Director and Vice
1972 President of Dimensional Japan Ltd (since February 2016).
President and Director of Dimensional Fund Advisors
Canada ULC (since February 2016), Vice President of DFA
Australia Limited (since April 2008) and Director (since Oct
2016). Director of Dimensional Advisors Ltd, Dimensional
Fund Advisors Pte. Ltd., and Dimensional Hong Kong
Limited, (since April 2016), Vice President of Dimensional
Fund Advisors Pte Ltd. (since June 2016), Head of Global
Institutional Services for Dimensional Fund Advisors LP
(since January 2014). Formerly, Vice President of
Dimensional Fund Advisors Canada ULC (December
2010-February 2016); Head of Institutional, North America
(March 2012 to December 2013) and Head of Portfolio
Management (January 2006 to March 2012) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Matthew B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1971 Director for Dimensional Fund Advisors LP (September
2011-March 2013); Vice President at MullinTBG (2005-
2011).
----------------------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1971 Director for Dimensional Fund Advisors LP (August 2010-
March 2014).
----------------------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1979 Director for Dimensional Fund Advisors LP (2003-March
2014).
----------------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional
1976 Director for Dimensional Fund Advisors LP (August 2002-
January 2012).
----------------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
----------------------------------------------------------------------------------------------------------------------------
John W. Crill (Wes) Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior
1982 Associate, Research (January 2015-January 2016);
Associate, Research (January 2014-January 2015);
Analyst, Research (July 2010-January 2014) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer of all
1965 Global Chief the DFA Entities, DFA Australia Limited and Dimensional
Compliance Officer Fund Advisors Ltd. Chief Compliance Officer and Chief
Privacy Officer of Dimensional Fund Advisors Canada
ULC, Chief Compliance Officer of Dimensional Fund
Advisors Pte. Ltd. Formerly, Vice President and Global
Chief Compliance Officer for Dimensional SmartNest (US)
LLC (October 2010-2014).
----------------------------------------------------------------------------------------------------------------------------
John T. Curnutte Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1980 Research Systems (November 2012-January 2016) for
Dimensional Fund Advisors LP; Assistant Vice President,
Oaktree Capital Management (April 2011-October 2012.
52
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1980 Director (July 2013-January 2015) for Dimensional Fund
Advisors LP; Relationship Manager for Blackrock, Inc. (July
2011-July 2013); Vice President for Towers Watson
(formerly, WellsCanning) (June 2009-July 2011).
----------------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
----------------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia
1957 Limited and Dimensional Fund Advisors Canada ULC.
----------------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1979 Director (January 2012-January 2014) and Senior
Associate (August 2010-December 2011) for Dimensional
Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Regional
1976 Director (May 2011-January 2015) for Dimensional Fund
Advisors LP; Vice President, Portfolio Specialist (January
2007-May 2011) for Morgan Stanley Investment
Management.
----------------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior
1971 Associate, Research (November 2012-January 2015) for
Dimensional Fund Advisors LP; Senior Consultant, NERA
Economic Consulting, New York (May 2010-November
2012).
----------------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Chief Data Officer
1972 for Dimensional Fund Advisors LP (since January 2016).
----------------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
----------------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of Marketing
1979 for Dimensional Fund Advisors LP (since February 2013).
Formerly, Senior Manager of Research and Marketing for
Dimensional Fund Advisors LP (June 2012-January 2013);
Director of Mutual Fund Analysis at Morningstar (January
2008-May 2012).
----------------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly, Regional
1959 Director (May 2008-January 2015) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the DFA
1965 Assistant Secretary Entities and DFA Australia Limited. Chief Operating Officer
for Dimensional Fund Advisors Pte. Ltd. (since April 2013).
Formerly, Chief Operating Officer for Dimensional Fund
Advisors Ltd. (July 2008-March 2013).
----------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
----------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
1974 Management (since March 2012) and Senior Portfolio
Manager (since January 2012) of Dimensional Fund
Advisors LP. Vice President of Dimensional Fund Advisors
Canada ULC (since April 2016). Formerly, Portfolio
Manager of Dimensional Fund Advisors LP (September
2004-January 2012).
----------------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1976 Director for Dimensional Fund Advisors LP (August 2011-
January 2014); Senior Vice President of First Trust
Advisors L.P. (2007-July 2011).
----------------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1959 Associate (May 2011-January 2015) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
53
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1970 President for Dimensional SmartNest (US) LLC (January
2012-November 2014); Senior Vice President for
Morningstar (July 2004-July 2011).
--------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Managing
1968 Director at BlackRock (2004-January 2012).
--------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
--------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader for
1975 Dimensional Fund Advisors LP (since 2012). Formerly,
Senior Trader (2009-2012).
--------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Counsel
1974 for Dimensional Fund Advisors LP (January 2011-January
2014).
--------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Since 2016 Vice President, Chief Financial Officer, and Treasurer of all
1958 Chief Financial the DFA Entities. Interim Chief Financial Officer, interim
Officer, and Treasurer and Vice President of Dimensional Advisors Ltd.,
Treasurer Dimensional Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd, DFA
Australia Ltd. Formerly, interim Chief Financial Officer and
interim Treasurer (April 2016-September 2016), and
Controller (August 2015-September 2016) of all the DFA
Entities); Vice President of T. Rowe Price Group, Inc. and
Director of Investment Treasury and Treasurer of the
T. Rowe Price Funds (March 2008-July 2015).
--------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Managing
1960 Director, Co-Head Global Consultant Relations at
BlackRock (2004-2011).
--------------------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1971 Compliance Officer (November 2010-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio Manager for
1977 Dimensional Fund Advisors LP (January 2013-Present).
Formerly, Investment Associate for Dimensional Fund
Advisors LP (January 2010-January 2013).
--------------------------------------------------------------------------------------------------------------------------
Shahryar S. Jaberzadeh Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1983 Director for Dimensional Fund Advisors LP (April 2006-
January 2016).
--------------------------------------------------------------------------------------------------------------------------
Jeremy R. James Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1977 IT Service Management (October 2014-January 2016);
Manager, Managed DC Systems (October 2005-October
2014) for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and Dimensional
1973 Cayman Commodity Fund I Ltd.
--------------------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Manager
1971 of Sales and Marketing Systems (January 2011-January
2014) for Dimensional Fund Advisors LP.
54
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Facilities
1968 Manager for Dimensional Fund Advisors LP (October
2008-January 2012).
----------------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1975 Manager, Investment Operations (January 2014-January
2015) and Investment Operations Manager (May 2008-
January 2014) for Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of Operations
1978 for Financial Advisor Services for Dimensional Fund
Advisors LP (since July 2014). Formerly, Counsel of
Dimensional Fund Advisors LP (August 2011-January
2014); Associate at Andrews Kurth LLP (2006-2011).
----------------------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund Advisors LP
and Dimensional Japan Ltd. Chief Operating Officer and
Director of Dimensional Japan Ltd. Formerly, Vice
President of DFA Securities LLC, Dimensional Cayman
Commodity Fund I Ltd. and Dimensional Advisors Ltd (until
February 2015); Chief Operating Officer of Dimensional
Holdings Inc., DFA Securities LLC, Dimensional Fund
Advisors LP, Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Advisors Ltd. and Dimensional Fund Advisors
Pte. Ltd. (until February 2015); Director, Vice President,
and Chief Privacy Officer of Dimensional Fund Advisors
Canada ULC (until February 2015); Director of DFA
Australia Limited, Dimensional Fund Advisors Ltd. and
Dimensional Advisors Ltd. (until February 2015); and
Director and Vice President of Dimensional Hong Kong
Limited and Dimensional Fund Advisors Pte. Ltd. (until
February 2015).
----------------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1977 Director for Dimensional Fund Advisors LP (October 2004-
January 2013).
----------------------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
1971 Dimensional Fund Advisors LP (since June 2004).
----------------------------------------------------------------------------------------------------------------------
Arun C. Keswani Vice President Since 2016 Vice President of all the DFA Entities. Senior Portfolio
1975 Manager for Dimensional Fund Advisors LP (January
2015-Present). Formerly, Portfolio Manager (January
2013-January 2015) and Investment Associate (October
2011-January 2013) for Dimensional Fund Advisors LP;
Investment Banking Associate at Morgan Stanley (August
2010-September 2011).
----------------------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Creative
1972 Director for Dimensional Fund Advisors LP (September
2012-January 2014); Vice President and Global Creative
Director at Morgan Stanley (2007-2012); Visiting Assistant
Professor, Graduate Communications Design at Pratt
Institute (2004-2012).
----------------------------------------------------------------------------------------------------------------------
Natalia Y. Knych Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1971 RFP, Institutional (January 2015-January 2016); Senior
Associate, Institutional (April 2007-January 2015) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of Defined
1971 Contribution Sales for Dimensional Fund Advisors LP
(since August 2010).
----------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior Portfolio
1971 Manager of Dimensional Fund Advisors LP (since January
2012). Formerly, Portfolio Manager for Dimensional (April
2001-January 2012).
----------------------------------------------------------------------------------------------------------------------
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.
55
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1966 Director (May 2010-January 2014) for Dimensional Fund
Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities.
1968
---------------------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly, Chief
1967 Executive Officer for Dimensional SmartNest (US) LLC
(July 2012-November 2014).
---------------------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice
1969 President-Global Operations at Janus Capital Group
(2005-2011).
---------------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior
1978 Trader (January 2010-December 2012) for Dimensional
Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
---------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities.
1980
---------------------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1971 Director (July 2013-January 2015) for Dimensional Fund
Advisors LP; Chief Investment Officer (April 2005-April
2013) for First Citizens Bancorporation.
---------------------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1960 Director for Dimensional Fund Advisors LP (January 2008-
January 2013).
---------------------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Tax
1971 Manager (February 2013-January 2015) for Dimensional
Fund Advisors LP; Vice President and Tax Manager, North
America (August 2006-April 2012) for Pacific Investment
Management Company.
---------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
---------------------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1972 Manager, Marketing Operations (January 2014-January
2015), Manager, Client Systems (October 2011-January
2014) and RFP Manager (April 2010-October 2011) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1969 Director for Dimensional Fund Advisors LP (January 2011-
January 2014).
---------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and Dimensional
1972 Cayman Commodity Fund I Ltd.
---------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of Global
1970 Human Resources for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1965 Compliance Officer (May 2012-January 2015) for
Dimensional Fund Advisors LP; Chief Compliance Officer
(April 2010-April 2012) for Al Frank Asset Management.
---------------------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1975 Director of Dimensional Fund Advisors LP (January 2009-
January 2014).
---------------------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1984 Director (January 2009-January 2014) and Senior
Associate (2011) for Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------
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).
56
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio Manager
1981 (since September 2011) for Dimensional Fund Advisors
LP. Formerly, Portfolio Manager for Wells Capital
Management (October 2004-September 2011).
---------------------------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1974 Director for Dimensional Fund Advisors LP (September
2013-January 2016); Managing Director, Client Services,
Charles Schwab (December 2009-August 2013).
---------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Manager,
1971 Investment Systems (2011-January 2013) for Dimensional
Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President Vice President and Secretary of all the DFA Entities.
1964 Secretary since 1997 and Director, Vice President and Secretary of DFA Australia
Secretary since Limited and Dimensional Fund Advisors Ltd. (since
2000 February 2002, April 1997, and May 2002, respectively).
Vice President and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003), Dimensional
Cayman Commodity Fund I Ltd., Dimensional Japan Ltd
(since February 2012), Dimensional Advisors Ltd (since
March 2012), Dimensional Fund Advisors Pte. Ltd. (since
June 2012). Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund Advisors
Pte. Ltd. and Dimensional Hong Kong Limited (since
August 2012 and July 2012). Formerly, Vice President and
Secretary of Dimensional SmartNest (US) LLC (October
2010-November 2014).
---------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1977 Director (June 2011-January 2015) for Dimensional Fund
Advisors LP; Sales Executive for Vanguard (July 2008-May
2011).
---------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Portfolio
1964 Manager for Dimensional Fund Advisors LP (2008-2010).
---------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer of all
1961 Deputy Chief the DFA Entities. Deputy Chief Compliance Officer of
Compliance Officer Dimensional Fund Advisors LP (since December 2012).
Formerly, Chief Compliance Officer of Wellington
Management Company, LLP (2004-2011).
---------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional Fund
Advisors Canada ULC (since April 2016). Deputy General
Counsel, Funds (since 2011).
---------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Vice President Vice President and Co-Chief Investment Officer of all the
1976 Co-Chief since 2007 and DFA Entities, Dimensional Fund Advisors Canada ULC,
Investment Officer Co-Chief and Dimensional Japan Ltd. Director of Dimensional Funds
Investment Officer plc and Dimensional Fund II plc.
since 2014
---------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior
1980 Compliance Officer for Dimensional Fund Advisors LP
(July 2014-January 2016); Vice President Regional Head
of Investment Compliance, Asia, PIMCO Asia Private
Limited (July 2012-July 2014); Country Compliance Officer,
Janus Capital, Singapore Private Limited (May 2011-June
2012).
---------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
1973 Dimensional Fund Advisors LP (since July 2005).
---------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
57
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1977 Director for Dimensional Fund Advisors LP (2012-January
2013); Senior Consultant (June 2011-December 2011) and
Senior Investment Analyst and Consultant (July 2008-June
2011) at Hewitt EnnisKnupp.
-------------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior Portfolio
1981 Manager (January 2015-present). Formerly, Portfolio
Manager (April 2014-January 2015) and Investment
Associate for Dimensional Fund Advisors LP (July 2012-
March 2014).
-------------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior Manager,
1984 Advisor Benchmarking (since January 2015) for
Dimensional Fund Advisors LP. Formerly, Manager,
Advisor Benchmarking (April 2012-December 2014) for
Dimensional Fund Advisors LP; Senior Manager, Research
and Consulting (October 2010-April 2012) for Crain
Communications Inc.
-------------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1974 Director (May 2011-January 2015) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February 2015).
Formerly, Chief Financial Officer and General Counsel for
Relentless (March 2014-January 2015); Vice President of
all the DFA Entities (January 2013-March 2014); Counsel
for Dimensional Fund Advisors LP (January 2009-March
2014).
-------------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and Dimensional
Fund Advisors Canada ULC.
-------------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior Portfolio
1970 Manager for Dimensional Fund Advisors LP (since January
2015). Formerly, Portfolio Manager for Dimensional Fund
Advisors LP (2006-January 2015).
-------------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1967 Director for Dimensional Fund Advisors LP (January 2011-
January 2014).
-------------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Planning
1969 and Analysis Manager for Dimensional Fund Advisors LP
(July 2007-January 2014).
-------------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1979 Director (March 2011-January 2015) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Research
1981 Associate (June 2011-January 2012) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior
1968 Fund Accounting Manager (July 2013-January 2015) for
Dimensional Fund Advisors LP; Senior Financial
Consultant and Chief Accounting Officer (July 2002-July
2013) for MFS Investment Management.
-------------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
-------------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1978 President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
-------------------------------------------------------------------------------------------------------------------
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).
58
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, Manager
1987 Investment Analytics and Data (January 2014-January
2015), Senior Associate, Investment Analytics and Data
(January 2013-January 2014), Associate, Investment
Analytics and Data (January 2012-January 2013), and
Investment Data Analyst (April 2010-January 2012) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities.
1959
----------------------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio Manager
1980 (since 2013) for Dimensional Fund Advisors LP. Formerly,
Investment Associate (April 2011-January 2013) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1978 Director (September 2009-January 2015) for Dimensional
Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities.
1965
----------------------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
----------------------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior Portfolio
1981 Manager for Dimensional Fund Advisors LP (since January
2015). Formerly, Portfolio Manager (January 2012-January
2015) and Investment Associate for Dimensional Fund
Advisors LP (August 2010-December 2011).
----------------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
----------------------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio Manager of
1977 Dimensional Fund Advisors LP (since January 2010).
----------------------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities.
1968
----------------------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and Dimensional
1956 Fund Advisors Canada ULC.
----------------------------------------------------------------------------------------------------------------------
Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1976 Director for Dimensional Fund Advisors LP (September
2011-January 2016); Sales Executive, Vanguard (May
2008-August 2011).
----------------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
----------------------------------------------------------------------------------------------------------------------
Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior
1965 Manager for Dimensional Fund Advisors LP (September
2014-January 2016); Vice President of Marketing, Forward
Management/Salient (January 2008-February 2014).
----------------------------------------------------------------------------------------------------------------------
Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Project
1971 Manager (September 2012-December 2015) and Manager,
Corporate Systems for Dimensional Fund Advisors LP
(January 2011-September 2012).
----------------------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1971 Director for Dimensional Fund Advisors LP (April 2010-
January 2013).
----------------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Manager,
1973 Investment Analytics and Data (2012-January 2013) and
Research Assistant (2002-2011) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------------
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).
59
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional
1980 Director (2010-January 2013) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional
1978 Director for Dimensional Fund Advisors LP (January 2008-
January 2012).
-----------------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
-----------------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Research
1982 Associate (June 2011-January 2015) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and Dimensional
Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional
1979 Director for Dimensional Fund Advisors LP (September
2008-January 2014).
-----------------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
1970 Dimensional Fund Advisors LP (since 2004).
-----------------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional
1974 Director (January 2012-January 2015) for Dimensional
Fund Advisors LP; Director of Marketing and Investor
Relations for Treaty Oak Capital Management (July 2011-
October 2011); Vice President for Rockspring Capital
(October 2010-July 2011).
-----------------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional
1985 Director (January 2014-January 2016) and Senior
Associate (January 2011-December 2013) for Dimensional
Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Counsel
1968 for Dimensional Fund Advisors LP (July 2014-January
2016); Assistant General Counsel, Teacher Retirement
System of Texas (October 2008-June 2014).
-----------------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
-----------------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
-----------------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFDA Entities. Formerly, Client
1975 Service Supervisor for Dowling & Yahnke (July 2014-January
2016); Head of Operations for The Elements Financial Group
(January 2013-June 2014); Head of Operations for
Vericimetry Advisors LLC (July 2011-December 2012).
-----------------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager,
1976 Client Systems for Dimensional Fund Advisors LP (May
2012-January 2016); Vice President, Implementations,
Citigroup (August 2006-October 2011).
-----------------------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of Global
1981 Recruiting and Development (since June 2014) for
Dimensional Fund Advisors LP. Formerly, Senior Manager,
Recruiting (December 2012-June 2014) for Dimensional
Fund Advisors LP; Co-Head of Global Recruiting (May
2009-November 2012) for Two Sigma Investments.
-----------------------------------------------------------------------------------------------------------------------
Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Client
1981 Service Manager for Dimensional Fund Advisors LP (June
2005-January 2016).
-----------------------------------------------------------------------------------------------------------------------
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.
60
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.
61
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2016 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2016 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
DIMENSIONAL INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING FOREIGN FOREIGN QUALIFYING
INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX SOURCE INTEREST
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2) CREDIT(3) INCOME(4) INCOME(5)
----------- ------------- ------------- ------------- ------------- ------------ ---------- --------- --------- ----------
DFA International
Value
Portfolio IV..... 100% -- -- 100% 100% 100% 5% 100% 100%
Emerging Markets
Portfolio II..... 100% -- -- 100% 100% 100% 6% 100% 100%
QUALIFYING
SHORT-
DIMENSIONAL TERM
INVESTMENT CAPITAL
GROUP INC. GAIN(6)
----------- ----------
DFA International
Value
Portfolio IV..... 100%
Emerging Markets
Portfolio II..... 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).
62
DFA103116-011A
[LOGO]Recycled Recyclable 00185762
[LOGO]
ANNUAL REPORT
year ended: October 31, 2016
Dimensional Investment Group Inc.
Global Equity Portfolio
Global Allocation 60/40 Portfolio
Global Allocation 25/75 Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
December 2016
Dear Fellow Shareholder,
On behalf of our team at Dimensional, I want to thank you for trusting us with
your investments. We recognize the important role those investments play in
your future plans, and we take the responsibility implied by this trust with
the utmost dedication and seriousness that it deserves.
Dimensional is focused on offering consistent ways to access the performance
delivered by securities in different markets and asset classes through
well-diversified, efficiently managed portfolios. The importance of the word
CONSISTENCY cannot be overemphasized. By being consistent in our investment
approach and the quality of our implementation, we create opportunities for you
to combine funds into an asset allocation that fits your goals and preferences
-- enabling you to be a long-term investor in control of your investments.
We recognize markets are full of uncertainties, which highlights the importance
of having efficiently managed funds focused on delivering value to investors as
part of an overall asset allocation that can help overcome those uncertainties.
We are fortunate to work with clients who are committed to a long-term
investment philosophy. We remain committed to managing investments for our
clients with the same dedication, transparency, efficiency, and consistency we
have for more than 35 years.
Sincerely,
/s/ Eduardo A. Repetto
Eduardo A. Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF INVESTMENT OFFICER
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes............................ 1
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 5
Disclosure of Fund Expenses........................................ 10
Disclosure of Portfolio Holdings................................... 12
Schedules of Investments
Global Equity Portfolio........................................ 13
Global Allocation 60/40 Portfolio.............................. 14
Global Allocation 25/75 Portfolio.............................. 15
Statements of Assets and Liabilities............................... 16
Statements of Operations........................................... 17
Statements of Changes in Net Assets................................ 18
Financial Highlights............................................... 19
Notes to Financial Statements...................................... 23
Report of Independent Registered Public Accounting Firm............ 32
Section 19(a) Notice............................................... 33
Fund Management....................................................... 34
Voting Proxies on Fund Portfolio Securities........................... 48
Notice to Shareholders................................................ 49
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments
------------------------
Investment Footnotes
+ See Note B to Financial Statements.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
N/A Does not apply to this fund.
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS)
October 31, 2006-October 31, 2016
[CHART]
Global Equity Portfolio - MSCI World Index
Institutional Class (net dividends)
--------------------------- ------------------
10/2006 10,000 10,000
11/2006 10,292 10,245
12/2006 10,481 10,453
01/2007 10,694 10,577
02/2007 10,623 10,522
03/2007 10,793 10,714
04/2007 11,197 11,187
05/2007 11,615 11,500
06/2007 11,468 11,411
07/2007 11,069 11,159
08/2007 11,055 11,150
09/2007 11,440 11,680
10/2007 11,762 12,039
11/2007 11,082 11,547
12/2007 10,943 11,398
01/2008 10,260 10,527
02/2008 10,084 10,466
03/2008 10,029 10,365
04/2008 10,523 10,910
05/2008 10,758 11,077
06/2008 9,771 10,193
07/2008 9,652 9,944
08/2008 9,623 9,804
09/2008 8,605 8,638
10/2008 6,815 7,000
11/2008 6,264 6,547
12/2008 6,567 6,757
01/2009 5,883 6,165
02/2009 5,236 5,534
03/2009 5,734 5,952
04/2009 6,558 6,619
05/2009 7,117 7,219
06/2009 7,098 7,186
07/2009 7,759 7,795
08/2009 8,102 8,117
09/2009 8,512 8,440
10/2009 8,199 8,290
11/2009 8,535 8,629
12/2009 8,834 8,784
01/2010 8,511 8,421
02/2010 8,742 8,539
03/2010 9,378 9,068
04/2010 9,578 9,070
05/2010 8,694 8,201
06/2010 8,287 7,920
07/2010 8,991 8,562
08/2010 8,550 8,242
09/2010 9,454 9,011
10/2010 9,804 9,346
11/2010 9,742 9,145
12/2010 10,543 9,817
01/2011 10,723 10,039
02/2011 11,098 10,390
03/2011 11,166 10,288
04/2011 11,557 10,725
05/2011 11,322 10,502
06/2011 11,114 10,336
07/2011 10,822 10,149
08/2011 9,955 9,434
09/2011 8,893 8,619
10/2011 9,962 9,511
11/2011 9,812 9,278
12/2011 9,762 9,273
01/2012 10,400 9,739
02/2012 10,879 10,214
03/2012 11,023 10,346
04/2012 10,872 10,228
05/2012 9,945 9,345
06/2012 10,398 9,821
07/2012 10,438 9,948
08/2012 10,744 10,200
09/2012 11,099 10,480
10/2012 11,058 10,409
11/2012 11,188 10,542
12/2012 11,543 10,741
01/2013 12,146 11,288
02/2013 12,203 11,306
03/2013 12,551 11,571
04/2013 12,771 11,936
05/2013 12,943 11,940
06/2013 12,675 11,646
07/2013 13,382 12,259
08/2013 13,045 11,998
09/2013 13,750 12,598
10/2013 14,286 13,091
11/2013 14,575 13,324
12/2013 14,908 13,606
01/2014 14,360 13,102
02/2014 15,074 13,758
03/2014 15,215 13,778
04/2014 15,240 13,919
05/2014 15,507 14,193
06/2014 15,907 14,447
07/2014 15,530 14,216
08/2014 15,999 14,529
09/2014 15,366 14,135
10/2014 15,576 14,227
11/2014 15,736 14,512
12/2014 15,597 14,278
01/2015 15,267 14,019
02/2015 16,172 14,840
03/2015 16,021 14,608
04/2015 16,301 14,951
05/2015 16,403 15,002
06/2015 16,114 14,653
07/2015 16,062 14,916
08/2015 15,106 13,929
09/2015 14,583 13,415
10/2015 15,587 14,479
11/2015 15,621 14,407
12/2015 15,173 14,153
01/2016 14,276 13,307
02/2016 14,259 13,208
03/2016 15,379 14,104
04/2016 15,579 14,327
05/2016 15,691 14,407
06/2016 15,600 14,246
07/2016 16,289 14,848
08/2016 16,394 14,860
09/2016 16,498 14,939 Past performance is not predictive of
10/2016 16,156 14,650 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
3.65% 10.15% 4.91% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO -- CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS)
October 31, 2006-October 31, 2016
[CHART]
Global Equity Portfolio - MSCI World Index
Class R2 (net dividends)
--------------------------- ------------------
10/2006 10,000 10,000
11/2006 10,293 10,245
12/2006 10,478 10,453
01/2007 10,691 10,577
02/2007 10,613 10,522
03/2007 10,783 10,714
04/2007 11,180 11,187
05/2007 11,591 11,500
06/2007 11,447 11,411
07/2007 11,041 11,159
08/2007 11,034 11,150
09/2007 11,413 11,680
10/2007 11,727 12,039
11/2007 11,056 11,547
12/2007 10,907 11,398
01/2008 10,227 10,527
02/2008 10,045 10,466
03/2008 9,992 10,365
04/2008 10,475 10,910
05/2008 10,709 11,077
06/2008 9,731 10,193
07/2008 9,606 9,944
08/2008 9,576 9,804
09/2008 8,564 8,638
10/2008 6,776 7,000
11/2008 6,229 6,547
12/2008 6,531 6,757
01/2009 5,847 6,165
02/2009 5,201 5,534
03/2009 5,702 5,952
04/2009 6,515 6,619
05/2009 7,074 7,219
06/2009 7,047 7,186
07/2009 7,706 7,795
08/2009 8,036 8,117
09/2009 8,451 8,440
10/2009 8,135 8,290
11/2009 8,466 8,629
12/2009 8,761 8,784
01/2010 8,437 8,421
02/2010 8,663 8,539
03/2010 9,292 9,068
04/2010 9,488 9,070
05/2010 8,611 8,201
06/2010 8,205 7,920
07/2010 8,897 8,562
08/2010 8,463 8,242
09/2010 9,362 9,011
10/2010 9,697 9,346
11/2010 9,636 9,145
12/2010 10,428 9,817
01/2011 10,605 10,039
02/2011 10,973 10,390
03/2011 11,037 10,288
04/2011 11,421 10,725
05/2011 11,183 10,502
06/2011 10,971 10,336
07/2011 10,685 10,149
08/2011 9,828 9,434
09/2011 8,780 8,619
10/2011 9,828 9,511
11/2011 9,680 9,278
12/2011 9,625 9,273
01/2012 10,257 9,739
02/2012 10,734 10,214
03/2012 10,868 10,346
04/2012 10,720 10,228
05/2012 9,798 9,345
06/2012 10,249 9,821
07/2012 10,280 9,948
08/2012 10,579 10,200
09/2012 10,935 10,480
10/2012 10,887 10,409
11/2012 11,014 10,542
12/2012 11,359 10,741
01/2013 11,947 11,288
02/2013 11,995 11,306
03/2013 12,345 11,571
04/2013 12,560 11,936
05/2013 12,720 11,940
06/2013 12,459 11,646
07/2013 13,149 12,259
08/2013 12,812 11,998
09/2013 13,499 12,598
10/2013 14,030 13,091
11/2013 14,311 13,324
12/2013 14,631 13,606
01/2014 14,090 13,102
02/2014 14,785 13,758
03/2014 14,925 13,778
04/2014 14,941 13,919
05/2014 15,201 14,193
06/2014 15,590 14,447
07/2014 15,223 14,216
08/2014 15,679 14,529
09/2014 15,051 14,135
10/2014 15,255 14,227
11/2014 15,410 14,512
12/2014 15,273 14,278
01/2015 14,944 14,019
02/2015 15,831 14,840
03/2015 15,677 14,608
04/2015 15,949 14,951
05/2015 16,039 15,002
06/2015 15,759 14,653
07/2015 15,701 14,916
08/2015 14,766 13,929
09/2015 14,250 13,415
10/2015 15,231 14,479
11/2015 15,255 14,407
12/2015 14,817 14,153
01/2016 13,939 13,307
02/2016 13,922 13,208
03/2016 15,007 14,104
04/2016 15,201 14,327
05/2016 15,302 14,407
06/2016 15,212 14,246
07/2016 15,880 14,848
08/2016 15,982 14,860 Past performance is not predictive of
09/2016 16,082 14,939 future performance.
10/2016 15,743 14,650 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
3.37% 9.88% 4.64% rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITI WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/CITI)
October 31, 2006-October 31, 2016
[CHART]
Global Allocation Citi World
60/40 Government Bond Global 60/40
Portfolio Index,1-3 Years, Composite
- Institutional MSCI World Index Currency-Hedged Index
Class (net dividends) in USD Terms (MSCI/Citigroup)
-------------- ----------------- --------------- ----------------
10/2006 $10,000 $10,000 $10,000 $10,000
11/2006 10,193 10,245 10,046 10,165
12/2006 10,316 10,453 10,066 10,297
01/2007 10,454 10,577 10,103 10,386
02/2007 10,438 10,522 10,159 10,376
03/2007 10,554 10,714 10,195 10,505
04/2007 10,807 11,187 10,229 10,797
05/2007 11,060 11,500 10,237 10,982
06/2007 10,991 11,411 10,274 10,947
07/2007 10,787 11,159 10,347 10,832
08/2007 10,811 11,150 10,439 10,866
09/2007 11,050 11,680 10,498 11,201
10/2007 11,265 12,039 10,543 11,426
11/2007 10,885 11,547 10,642 11,189
12/2007 10,823 11,398 10,673 11,115
01/2008 10,444 10,527 10,802 10,659
02/2008 10,343 10,466 10,860 10,645
03/2008 10,316 10,365 10,860 10,584
04/2008 10,612 10,910 10,820 10,902
05/2008 10,755 11,077 10,786 10,988
06/2008 10,181 10,193 10,790 10,464
07/2008 10,114 9,944 10,849 10,333
08/2008 10,046 9,804 10,899 10,265
09/2008 9,347 8,638 10,971 9,560
10/2008 8,112 7,000 11,108 8,520
11/2008 7,746 6,547 11,183 8,212
12/2008 8,037 6,757 11,266 8,395
01/2009 7,495 6,165 11,289 7,960
02/2009 6,996 5,534 11,307 7,476
03/2009 7,485 5,952 11,353 7,827
04/2009 8,167 6,619 11,362 8,356
05/2009 8,675 7,219 11,384 8,817
06/2009 8,678 7,186 11,394 8,796
07/2009 9,216 7,795 11,422 9,252
08/2009 9,493 8,117 11,450 9,490
09/2009 9,832 8,440 11,477 9,726
10/2009 9,649 8,290 11,488 9,626
11/2009 9,928 8,629 11,524 9,874
12/2009 10,089 8,784 11,498 9,971
01/2010 9,896 8,421 11,528 9,734
02/2010 10,063 8,539 11,564 9,829
03/2010 10,503 9,068 11,563 10,194
04/2010 10,669 9,070 11,561 10,194
05/2010 10,055 8,201 11,607 9,624
06/2010 9,813 7,920 11,619 9,430
07/2010 10,351 8,562 11,645 9,897
08/2010 10,077 8,242 11,671 9,684
09/2010 10,751 9,011 11,664 10,224
10/2010 11,026 9,346 11,676 10,457
11/2010 10,928 9,145 11,647 10,311
12/2010 11,475 9,817 11,653 10,768
01/2011 11,600 10,039 11,653 10,914
02/2011 11,859 10,390 11,650 11,142
03/2011 11,926 10,288 11,644 11,074
04/2011 12,266 10,725 11,663 11,364
05/2011 12,132 10,502 11,696 11,235
06/2011 12,005 10,336 11,700 11,130
07/2011 11,905 10,149 11,713 11,014
08/2011 11,383 9,434 11,781 10,573
09/2011 10,570 8,619 11,779 10,025
10/2011 11,394 9,511 11,769 10,644
11/2011 11,249 9,278 11,753 10,482
12/2011 11,227 9,273 11,819 10,502
01/2012 11,740 9,739 11,852 10,830
02/2012 12,088 10,214 11,868 11,153
03/2012 12,169 10,346 11,865 11,238
04/2012 12,096 10,228 11,875 11,165
05/2012 11,445 9,345 11,870 10,585
06/2012 11,794 9,821 11,884 10,914
07/2012 11,868 9,948 11,905 11,006
08/2012 12,108 10,200 11,934 11,184
09/2012 12,375 10,480 11,947 11,373
10/2012 12,347 10,409 11,954 11,330
11/2012 12,449 10,542 11,971 11,423
12/2012 12,693 10,741 11,980 11,555
01/2013 13,067 11,288 11,983 11,910
02/2013 13,114 11,306 11,998 11,928
03/2013 13,356 11,571 12,006 12,098
04/2013 13,543 11,936 12,031 12,337
05/2013 13,562 11,940 12,017 12,334
06/2013 13,284 11,646 12,003 12,146
07/2013 13,774 12,259 12,026 12,539
08/2013 13,520 11,998 12,021 12,377
09/2013 14,033 12,598 12,044 12,758
10/2013 14,402 13,091 12,066 13,067
11/2013 14,553 13,324 12,081 13,212
12/2013 14,720 13,606 12,071 13,376
01/2014 14,443 13,102 12,096 13,089
02/2014 14,910 13,758 12,105 13,487
03/2014 15,000 13,778 12,105 13,498
04/2014 15,047 13,919 12,116 13,586
05/2014 15,257 14,193 12,133 13,754
06/2014 15,498 14,447 12,141 13,906
07/2014 15,258 14,216 12,143 13,773
08/2014 15,574 14,529 12,161 13,963
09/2014 15,133 14,135 12,161 13,736
10/2014 15,277 14,227 12,178 13,797
11/2014 15,393 14,512 12,194 13,970
12/2014 15,266 14,278 12,187 13,832
01/2015 15,130 14,019 12,227 13,700
02/2015 15,645 14,840 12,220 14,178
03/2015 15,562 14,608 12,237 14,053
04/2015 15,766 14,951 12,240 14,252
05/2015 15,776 15,002 12,249 14,286
06/2015 15,565 14,653 12,246 14,085
07/2015 15,526 14,916 12,259 14,243
08/2015 14,930 13,929 12,257 13,676
09/2015 14,658 13,415 12,280 13,384
10/2015 15,277 14,479 12,282 14,021
11/2015 15,277 14,407 12,275 13,976
12/2015 15,001 14,153 12,273 13,828 Past performance is not predictive of
01/2016 14,516 13,307 12,323 13,354 future performance.
02/2016 14,536 13,208 12,341 13,302 The returns shown do not reflect the
03/2016 15,322 14,104 12,352 13,848 deduction of taxes that a shareholder
04/2016 15,461 14,327 12,359 13,983 would pay on fund distributions or the
05/2016 15,501 14,407 12,361 14,031 redemption of fund shares.
06/2016 15,551 14,246 12,410 13,959 MSCI data copyright MSCI 2016, all
07/2016 16,010 14,848 12,410 14,313 rights reserved.
08/2016 16,050 14,860 12,405 14,318 Citigroup bond indices copyright 2016
09/2016 16,131 14,939 12,424 14,372 by Citigroup.
10/2016 15,901 14,650 12,419 14,203 Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five Ten for additional details. MSCI data
Total Return Year Years Years copyright MSCI 2016, all rights reserved.
--------------------------------------------------------------- Citigroup bond indices copyright 2016
4.09% 6.89% 4.75% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO -- CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITI WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/CITI)
October 31, 2006-October 31, 2016
[CHART]
Citi World
Global Allocation Government Bond Global 60/40
60/40 MSCI World Index,1-3 Years, Composite
Portfolio - Index Currency-Hedged Index
Class R2 (net dividends) in USD Terms (MSCI/Citigroup)
----------------- --------------- --------------- ----------------
10/2006 $10,000 $10,000 $10,000 $10,000
11/2006 10,193 10,245 10,046 10,165
12/2006 10,312 10,453 10,066 10,297
01/2007 10,451 10,577 10,103 10,386
02/2007 10,427 10,522 10,159 10,376
03/2007 10,541 10,714 10,195 10,505
04/2007 10,786 11,187 10,229 10,797
05/2007 11,039 11,500 10,237 10,982
06/2007 10,974 11,411 10,274 10,947
07/2007 10,761 11,159 10,347 10,832
08/2007 10,785 11,150 10,439 10,866
09/2007 11,021 11,680 10,498 11,201
10/2007 11,236 12,039 10,543 11,426
11/2007 10,856 11,547 10,642 11,189
12/2007 10,787 11,398 10,673 11,115
01/2008 10,409 10,527 10,802 10,659
02/2008 10,309 10,466 10,860 10,645
03/2008 10,284 10,365 10,860 10,584
04/2008 10,569 10,910 10,820 10,902
05/2008 10,712 11,077 10,786 10,988
06/2008 10,143 10,193 10,790 10,464
07/2008 10,067 9,944 10,849 10,333
08/2008 9,999 9,804 10,899 10,265
09/2008 9,300 8,638 10,971 9,560
10/2008 8,074 7,000 11,108 8,520
11/2008 7,702 6,547 11,183 8,212
12/2008 7,990 6,757 11,266 8,395
01/2009 7,454 6,165 11,289 7,960
02/2009 6,960 5,534 11,307 7,476
03/2009 7,444 5,952 11,353 7,827
04/2009 8,118 6,619 11,362 8,356
05/2009 8,621 7,219 11,384 8,817
06/2009 8,620 7,186 11,394 8,796
07/2009 9,143 7,795 11,422 9,252
08/2009 9,416 8,117 11,450 9,490
09/2009 9,754 8,440 11,477 9,726
10/2009 9,565 8,290 11,488 9,626
11/2009 9,848 8,629 11,524 9,874
12/2009 10,001 8,784 11,498 9,971
01/2010 9,811 8,421 11,528 9,734
02/2010 9,975 8,539 11,564 9,829
03/2010 10,411 9,068 11,563 10,194
04/2010 10,576 9,070 11,561 10,194
05/2010 9,962 8,201 11,607 9,624
06/2010 9,717 7,920 11,619 9,430
07/2010 10,256 8,562 11,645 9,897
08/2010 9,969 8,242 11,671 9,684
09/2010 10,634 9,011 11,664 10,224
10/2010 10,904 9,346 11,676 10,457
11/2010 10,817 9,145 11,647 10,311
12/2010 11,345 9,817 11,653 10,768
01/2011 11,468 10,039 11,653 10,914
02/2011 11,723 10,390 11,650 11,142
03/2011 11,784 10,288 11,644 11,074
04/2011 12,118 10,725 11,663 11,364
05/2011 11,986 10,502 11,696 11,235
06/2011 11,853 10,336 11,700 11,130
07/2011 11,747 10,149 11,713 11,014
08/2011 11,234 9,434 11,781 10,573
09/2011 10,428 8,619 11,779 10,025
10/2011 11,245 9,511 11,769 10,644
11/2011 11,094 9,278 11,753 10,482
12/2011 11,075 9,273 11,819 10,502
01/2012 11,569 9,739 11,852 10,830
02/2012 11,919 10,214 11,868 11,153
03/2012 11,991 10,346 11,865 11,238
04/2012 11,919 10,228 11,875 11,165
05/2012 11,272 9,345 11,870 10,585
06/2012 11,608 9,821 11,884 10,914
07/2012 11,689 9,948 11,905 11,006
08/2012 11,915 10,200 11,934 11,184
09/2012 12,168 10,480 11,947 11,373
10/2012 12,150 10,409 11,954 11,330
11/2012 12,250 10,542 11,971 11,423
12/2012 12,479 10,741 11,980 11,555
01/2013 12,845 11,288 11,983 11,910
02/2013 12,891 11,306 11,998 11,928
03/2013 13,131 11,571 12,006 12,098
04/2013 13,305 11,936 12,031 12,337
05/2013 13,323 11,940 12,017 12,334
06/2013 13,044 11,646 12,003 12,146
07/2013 13,522 12,259 12,026 12,539
08/2013 13,264 11,998 12,021 12,377
09/2013 13,777 12,598 12,044 12,758
10/2013 14,137 13,091 12,066 13,067
11/2013 14,284 13,324 12,081 13,212
12/2013 14,444 13,606 12,071 13,376
01/2014 14,166 13,102 12,096 13,089
02/2014 14,621 13,758 12,105 13,487
03/2014 14,703 13,778 12,105 13,498
04/2014 14,749 13,919 12,116 13,586
05/2014 14,945 14,193 12,133 13,754
06/2014 15,189 14,447 12,141 13,906
07/2014 14,936 14,216 12,143 13,773
08/2014 15,254 14,529 12,161 13,963
09/2014 14,824 14,135 12,161 13,736
10/2014 14,964 14,227 12,178 13,797
11/2014 15,076 14,512 12,194 13,970
12/2014 14,948 14,278 12,187 13,832
01/2015 14,816 14,019 12,227 13,700
02/2015 15,316 14,840 12,220 14,178
03/2015 15,228 14,608 12,237 14,053
04/2015 15,417 14,951 12,240 14,252
05/2015 15,436 15,002 12,249 14,286
06/2015 15,214 14,653 12,246 14,085
07/2015 15,176 14,916 12,259 14,243
08/2015 14,588 13,929 12,257 13,676
09/2015 14,325 13,415 12,280 13,384
10/2015 14,924 14,479 12,282 14,021
11/2015 14,924 14,407 12,275 13,976
12/2015 14,653 14,153 12,273 13,828 Past performance is not predictive of
01/2016 14,174 13,307 12,323 13,354 future performance.
02/2016 14,193 13,208 12,341 13,302 The returns shown do not reflect the
03/2016 14,949 14,104 12,352 13,848 deduction of taxes that a shareholder
04/2016 15,083 14,327 12,359 13,983 would pay on fund distributions or the
05/2016 15,122 14,407 12,361 14,031 redemption of fund shares.
06/2016 15,170 14,246 12,410 13,959 MSCI data copyright MSCI 2016, all
07/2016 15,606 14,848 12,410 14,313 rights reserved.
08/2016 15,644 14,860 12,405 14,318 Citigroup bond indices copyright 2016
09/2016 15,723 14,939 12,424 14,372 by Citigroup.
10/2016 15,500 14,650 12,419 14,203 Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five Ten for additional details. MSCI data
Total Return Year Years Years copyright MSCI 2016, all rights reserved.
--------------------------------------------------------------- Citigroup bond indices copyright 2016
3.86% 6.63% 4.48% by Citigroup.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 25/75 PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITI WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 25/75 COMPOSITE INDEX (MSCI/CITI)
October 31, 2006-October 31, 2016
[CHART]
Global Allocation MSCI World Index Citi World Global 25/75
25/75 Portfolio (net dividends) Government Bond Composite Index
Institutional Class Index,1-3 Years, (MSCI/Citigroup)
Currency-Hedged in
USD Terms
------------------- ---------------- ------------------ ----------------
10/2006 10,000 10,000 10,000 10,000
11/2006 10,109 10,245 10,046 10,095
12/2006 10,171 10,453 10,066 10,162
01/2007 10,253 10,577 10,103 10,220
02/2007 10,281 10,522 10,159 10,250
03/2007 10,355 10,714 10,195 10,324
04/2007 10,474 11,187 10,229 10,463
05/2007 10,594 11,500 10,237 10,542
06/2007 10,592 11,411 10,274 10,551
07/2007 10,537 11,159 10,347 10,549
08/2007 10,592 11,150 10,439 10,617
09/2007 10,709 11,680 10,498 10,788
10/2007 10,830 12,039 10,543 10,906
11/2007 10,700 11,547 10,642 10,871
12/2007 10,700 11,398 10,673 10,860
01/2008 10,576 10,527 10,802 10,751
02/2008 10,557 10,466 10,860 10,778
03/2008 10,547 10,365 10,860 10,753
04/2008 10,661 10,910 10,820 10,864
05/2008 10,719 11,077 10,786 10,880
06/2008 10,492 10,193 10,790 10,666
07/2008 10,492 9,944 10,849 10,645
08/2008 10,511 9,804 10,899 10,644
09/2008 10,181 8,638 10,971 10,380
10/2008 9,678 7,000 11,108 9,985
11/2008 9,572 6,547 11,183 9,875
12/2008 9,770 6,757 11,266 10,009
01/2009 9,523 6,165 11,289 9,805
02/2009 9,238 5,534 11,307 9,566
03/2009 9,575 5,952 11,353 9,775
04/2009 9,949 6,619 11,362 10,055
05/2009 10,244 7,219 11,384 10,297
06/2009 10,279 7,186 11,394 10,293
07/2009 10,576 7,795 11,422 10,529
08/2009 10,755 8,117 11,450 10,657
09/2009 10,954 8,440 11,477 10,782
10/2009 10,904 8,290 11,488 10,742
11/2009 11,104 8,629 11,524 10,877
12/2009 11,125 8,784 11,498 10,908
01/2010 11,105 8,421 11,528 10,816
02/2010 11,186 8,539 11,564 10,879
03/2010 11,380 9,068 11,563 11,047
04/2010 11,522 9,070 11,561 11,046
05/2010 11,248 8,201 11,607 10,815
06/2010 11,182 7,920 11,619 10,731
07/2010 11,468 8,562 11,645 10,966
08/2010 11,386 8,242 11,671 10,882
09/2010 11,729 9,011 11,664 11,131
10/2010 11,904 9,346 11,676 11,243
11/2010 11,832 9,145 11,647 11,162
12/2010 12,028 9,817 11,653 11,371
01/2011 12,111 10,039 11,653 11,435
02/2011 12,235 10,390 11,650 11,533
03/2011 12,274 10,288 11,644 11,500
04/2011 12,471 10,725 11,663 11,637
05/2011 12,450 10,502 11,696 11,601
06/2011 12,411 10,336 11,700 11,558
07/2011 12,442 10,149 11,713 11,515
08/2011 12,244 9,434 11,781 11,362
09/2011 11,890 8,619 11,779 11,116
10/2011 12,288 9,511 11,769 11,396
11/2011 12,225 9,278 11,753 11,315
12/2011 12,225 9,273 11,819 11,361
01/2012 12,510 9,739 11,852 11,527
02/2012 12,658 10,214 11,868 11,680
03/2012 12,695 10,346 11,865 11,715
04/2012 12,706 10,228 11,875 11,689
05/2012 12,473 9,345 11,870 11,433
06/2012 12,608 9,821 11,884 11,589
07/2012 12,693 9,948 11,905 11,642
08/2012 12,800 10,200 11,934 11,737
09/2012 12,930 10,480 11,947 11,827
10/2012 12,930 10,409 11,954 11,812
11/2012 12,994 10,542 11,971 11,862
12/2012 13,081 10,741 11,980 11,925
01/2013 13,231 11,288 11,983 12,079
02/2013 13,274 11,306 11,998 12,095
03/2013 13,392 11,571 12,006 12,172
04/2013 13,489 11,936 12,031 12,287
05/2013 13,435 11,940 12,017 12,277
06/2013 13,248 11,646 12,003 12,191
07/2013 13,475 12,259 12,026 12,369
08/2013 13,345 11,998 12,021 12,299
09/2013 13,581 12,598 12,044 12,471
10/2013 13,755 13,091 12,066 12,610
11/2013 13,820 13,324 12,081 12,678
12/2013 13,846 13,606 12,071 12,737
01/2014 13,791 13,102 12,096 12,639
02/2014 13,977 13,758 12,105 12,804
03/2014 13,994 13,778 12,105 12,809
04/2014 14,038 13,919 12,116 12,850
05/2014 14,170 14,193 12,133 12,927
06/2014 14,263 14,447 12,141 12,991
07/2014 14,164 14,216 12,143 12,941
08/2014 14,318 14,529 12,161 13,026
09/2014 14,120 14,135 12,161 12,938
10/2014 14,208 14,227 12,178 12,972
11/2014 14,285 14,512 12,194 13,050
12/2014 14,205 14,278 12,187 12,992
01/2015 14,261 14,019 12,227 12,966
02/2015 14,428 14,840 12,220 13,150
03/2015 14,411 14,608 12,237 13,112
04/2015 14,478 14,951 12,240 13,191
05/2015 14,489 15,002 12,249 13,210
06/2015 14,388 14,653 12,246 13,131
07/2015 14,399 14,916 12,259 13,200
08/2015 14,163 13,929 12,257 12,980
09/2015 14,084 13,415 12,280 12,879
10/2015 14,321 14,479 12,282 13,136
11/2015 14,309 14,407 12,275 13,113
12/2015 14,167 14,153 12,273 13,054 Past performance is not predictive of
01/2016 14,065 13,307 12,323 12,899 future performance.
02/2016 14,088 13,208 12,341 12,889 The returns shown do not reflect the
03/2016 14,439 14,104 12,352 13,116 deduction of taxes that a shareholder
04/2016 14,507 14,327 12,359 13,174 would pay on fund distributions or the
05/2016 14,519 14,407 12,361 13,194 redemption of fund shares.
06/2016 14,611 14,246 12,410 13,196 MSCI data copyright MSCI 2016, all
07/2016 14,794 14,848 12,410 13,336 rights reserved.
08/2016 14,805 14,860 12,405 13,334 Citigroup bond indices copyright 2016
09/2016 14,847 14,939 12,424 13,367 by Citigroup.
10/2016 14,756 14,650 12,419 13,298 Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five Ten for additional details. MSCI data
Total Return Year Years Years copyright MSCI 2016, all rights reserved.
--------------------------------------------------------------- Citigroup bond indices copyright 2016
3.04% 3.73% 3.97% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 25/75 PORTFOLIO -- CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITI WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 25/75 COMPOSITE INDEX (MSCI/CITI)
October 31, 2006-October 31, 2016
[CHART]
Citi World
Global Government Bond Global 25/75
Allocation 25/75 MSCI World Index,1-3 Years, Composite
Portfolio - Index Currency-Hedged Index
Class R2 (net dividends) in USD Terms (MSCI/Citigroup)
-------------- --------------- --------------- ---------------
10/2006 10,000 10,000 10,000 10,000
11/2006 10,100 10,245 10,046 10,095
12/2006 10,163 10,453 10,066 10,162
01/2007 10,246 10,577 10,103 10,220
02/2007 10,264 10,522 10,159 10,250
03/2007 10,338 10,714 10,195 10,324
04/2007 10,449 11,187 10,229 10,463
05/2007 10,568 11,500 10,237 10,542
06/2007 10,568 11,411 10,274 10,551
07/2007 10,513 11,159 10,347 10,549
08/2007 10,559 11,150 10,439 10,617
09/2007 10,680 11,680 10,498 10,788
10/2007 10,792 12,039 10,543 10,906
11/2007 10,661 11,547 10,642 10,871
12/2007 10,659 11,398 10,673 10,860
01/2008 10,535 10,527 10,802 10,751
02/2008 10,507 10,466 10,860 10,778
03/2008 10,498 10,365 10,860 10,753
04/2008 10,603 10,910 10,820 10,864
05/2008 10,660 11,077 10,786 10,880
06/2008 10,430 10,193 10,790 10,666
07/2008 10,420 9,944 10,849 10,645
08/2008 10,449 9,804 10,899 10,644
09/2008 10,105 8,638 10,971 10,380
10/2008 9,616 7,000 11,108 9,985
11/2008 9,501 6,547 11,183 9,875
12/2008 9,698 6,757 11,266 10,009
01/2009 9,445 6,165 11,289 9,805
02/2009 9,173 5,534 11,307 9,566
03/2009 9,494 5,952 11,353 9,775
04/2009 9,873 6,619 11,362 10,055
05/2009 10,155 7,219 11,384 10,297
06/2009 10,190 7,186 11,394 10,293
07/2009 10,483 7,795 11,422 10,529
08/2009 10,650 8,117 11,450 10,657
09/2009 10,848 8,440 11,477 10,782
10/2009 10,789 8,290 11,488 10,742
11/2009 10,996 8,629 11,524 10,877
12/2009 11,010 8,784 11,498 10,908
01/2010 10,990 8,421 11,528 10,816
02/2010 11,060 8,539 11,564 10,879
03/2010 11,262 9,068 11,563 11,047
04/2010 11,392 9,070 11,561 11,046
05/2010 11,122 8,201 11,607 10,815
06/2010 11,058 7,920 11,619 10,731
07/2010 11,309 8,562 11,645 10,966
08/2010 11,229 8,242 11,671 10,882
09/2010 11,557 9,011 11,664 11,131
10/2010 11,728 9,346 11,676 11,243
11/2010 11,657 9,145 11,647 11,162
12/2010 11,841 9,817 11,653 11,371
01/2011 11,922 10,039 11,653 11,435
02/2011 12,033 10,390 11,650 11,533
03/2011 12,062 10,288 11,644 11,500
04/2011 12,255 10,725 11,663 11,637
05/2011 12,235 10,502 11,696 11,601
06/2011 12,182 10,336 11,700 11,558
07/2011 12,213 10,149 11,713 11,515
08/2011 12,019 9,434 11,781 11,362
09/2011 11,657 8,619 11,779 11,116
10/2011 12,046 9,511 11,769 11,396
11/2011 11,974 9,278 11,753 11,315
12/2011 11,979 9,273 11,819 11,361
01/2012 12,247 9,739 11,852 11,527
02/2012 12,402 10,214 11,868 11,680
03/2012 12,431 10,346 11,865 11,715
04/2012 12,441 10,228 11,875 11,689
05/2012 12,204 9,345 11,870 11,433
06/2012 12,328 9,821 11,884 11,589
07/2012 12,411 9,948 11,905 11,642
08/2012 12,514 10,200 11,934 11,737
09/2012 12,642 10,480 11,947 11,827
10/2012 12,632 10,409 11,954 11,812
11/2012 12,694 10,542 11,971 11,862
12/2012 12,777 10,741 11,980 11,925
01/2013 12,923 11,288 11,983 12,079
02/2013 12,965 11,306 11,998 12,095
03/2013 13,063 11,571 12,006 12,172
04/2013 13,157 11,936 12,031 12,287
05/2013 13,105 11,940 12,017 12,277
06/2013 12,926 11,646 12,003 12,191
07/2013 13,136 12,259 12,026 12,369
08/2013 12,999 11,998 12,021 12,299
09/2013 13,240 12,598 12,044 12,471
10/2013 13,408 13,091 12,066 12,610
11/2013 13,471 13,324 12,081 12,678
12/2013 13,485 13,606 12,071 12,737
01/2014 13,432 13,102 12,096 12,639
02/2014 13,612 13,758 12,105 12,804
03/2014 13,623 13,778 12,105 12,809
04/2014 13,666 13,919 12,116 12,850
05/2014 13,793 14,193 12,133 12,927
06/2014 13,875 14,447 12,141 12,991
07/2014 13,779 14,216 12,143 12,941
08/2014 13,918 14,529 12,161 13,026
09/2014 13,673 14,135 12,161 12,938
10/2014 13,769 14,227 12,178 12,972
11/2014 13,833 14,512 12,194 13,050
12/2014 13,754 14,278 12,187 12,992
01/2015 13,808 14,019 12,227 12,966
02/2015 13,959 14,840 12,220 13,150
03/2015 13,947 14,608 12,237 13,112
04/2015 14,012 14,951 12,240 13,191
05/2015 14,023 15,002 12,249 13,210
06/2015 13,914 14,653 12,246 13,131
07/2015 13,925 14,916 12,259 13,200
08/2015 13,697 13,929 12,257 12,980
09/2015 13,610 13,415 12,280 12,879
10/2015 13,838 14,479 12,282 13,136
11/2015 13,827 14,407 12,275 13,113
12/2015 13,686 14,153 12,273 13,054
01/2016 13,576 13,307 12,323 12,899 Past performance is not predictive of
02/2016 13,598 13,208 12,341 12,889 future performance.
03/2016 13,942 14,104 12,352 13,116 The returns shown do not reflect the
04/2016 13,996 14,327 12,359 13,174 deduction of taxes that a shareholder
05/2016 14,007 14,407 12,361 13,194 would pay on fund distributions or the
06/2016 14,092 14,246 12,410 13,196 redemption of fund shares.
07/2016 14,268 14,848 12,410 13,336 MSCI data copyright MSCI 2016, all
08/2016 14,280 14,860 12,405 13,334 rights reserved.
09/2016 14,321 14,939 12,424 13,367 Citigroup bond indices copyright 2016
10/2016 14,222 14,650 12,419 13,298 by Citigroup.
Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five Ten for additional details. MSCI data
Total Return Year Years Years copyright MSCI 2016, all rights reserved.
-------------------------------------------------------------- Citigroup bond indices copyright 2016
2.78% 3.38% 3.58% by Citigroup.
--------------------------------------------------------------------------------
4
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(Unaudited)
U.S. Equity Market Review 12 Months Ended October 31, 2016
Most U.S. equities had positive returns during the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
Total Return for 12 Months Ended October 31, 2016
-------------------------------------------------
Russell 3000(R) Index............................. 4.24%
Russell Microcap(R) Index (micro-cap stocks)...... 1.54%
Russell 2000(R) Index (small-cap stocks).......... 4.11%
Russell 1000(R) Index (large-cap stocks).......... 4.26%
Dow Jones U.S. Select REIT Index /SM/............. 4.96%
Value stocks outperformed growth stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2016
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value
stocks)......................................... 8.81%
Russell 2000(R) Growth Index (small-cap growth
stocks)......................................... -0.49%
Russell 1000(R) Value Index (large-cap value
stocks)......................................... 6.37%
Russell 1000(R) Growth Index (large-cap growth
stocks)......................................... 2.28%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
International Equity Market Review 12 Months Ended October 31, 2016
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks had positive returns, while large-cap stocks had negative
returns. As measured by the MSCI World ex USA indices, small-cap stocks
outperformed large-cap stocks, and value stocks outperformed growth stocks.
12 Months Ended October 31, 2016
--------------------------------
Return in U.S. Dollar
---------------------
MSCI World ex USA Index........................... -2.27%
MSCI World ex USA Small Cap Index................. 3.96%
MSCI World ex USA Value Index..................... -2.07%
MSCI World ex USA Growth Index.................... -2.58%
5
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 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%
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.
6
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 benefited the funds' relative performance.
Fixed Income Market Review 12 Months Ended October 31, 2016
Interest rates in both U.S. and developed international fixed income markets
generally decreased across their respective yield curves for the year ended
October 31, 2016. In the U.S., the yield curve flattened as shorter-term bond
yields increased and longer-term bond yields declined. The Eurozone, as well as
U.K. and Japan, saw a sharp decline in bond yields across the curve with the
largest declines in longer-term bonds. In general, U.S. and developed
international fixed income market investment grade credit outperformed
government bonds of similar duration. The one-month U.S. Treasury bill yield
increased to 0.17% during the period, while the yield on ten-year U.S. Treasury
notes decreased to 1.83%.
10/31/2015 10/31/2016 Change
---------- ---------- ------
One-Month Treasury Bill (yield)................... 0.00% 0.17% 0.17%
Ten-Year U.S. Treasury Notes (yield).............. 2.14% 1.83% -0.31%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the 12 months
ended October 31, 2016, the total return was 0.32% for three-month U.S.
Treasury bills, 2.36% for five-year U.S. Treasury notes, and 9.65% for 30-year
U.S. Treasury bonds.
Source: Bloomberg Barclays US Treasury Bellwethers.
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies a maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities may
be lengthened to position a portfolio for higher expected returns associated
with longer maturities. These higher returns may be achieved by capital
appreciation (from holding bonds through an upwardly sloped term structure) as
well as by earning higher current yields. During the period under review, the
portfolios employing a variable maturity approach continued to take term risk,
reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio for higher expected returns associated
with increased credit risk. The portfolios employing a variable-credit approach
continued to focus on single-A and BBB-rated bonds during the first few months
of 2016 as credit spreads remained relatively wide. In the second half of the
fiscal year, the portfolios increased their allocation to higher-quality bonds
as credit spreads started to narrow.
Global Equity Portfolio
The Global Equity Portfolio seeks long-term capital appreciation by
investing in a combination of mutual funds managed by the Advisor that invest
in domestic and international equity securities. As of the date of this report,
the Portfolio's investments in the domestic funds included the U.S. Core Equity
1 Portfolio, the U.S. Core Equity 2 Portfolio, and the DFA Real Estate
Securities Portfolio; and the Portfolio's investments in the international
funds included the International Core Equity Portfolio, the Emerging Markets
Core Equity Portfolio and the Canadian Small Company Series (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.
7
For the 12 months ended October 31, 2016, total returns were 3.65% for the
Portfolio's Institutional Class shares, 3.37% for the Portfolio's Class R2
shares, and 1.18% for the MSCI 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' allocation to emerging markets, which generally outperformed
developed markets and are not included in the benchmark, contributed to the
Portfolio's stronger performance relative to the benchmark. The Underlying
Funds' greater allocation than the benchmark to smaller and deeper value
stocks, both of which outperformed, contributed to the Portfolio's stronger
relative performance.
Global Allocation 60/40 Portfolio
The Global Allocation 60/40 Portfolio seeks capital appreciation and current
income by investing in a combination of mutual funds managed by Dimensional
that invest in equity and fixed income securities. As of the date of this
report, the Portfolio's investments in domestic equity funds included the U.S.
Core Equity 1 Portfolio, the U.S. Core Equity 2 Portfolio, and the DFA Real
Estate Securities Portfolio; the Portfolio's investments in international
equity funds included the International Core Equity Portfolio and the Emerging
Markets Core Equity Portfolio (collectively, the "Equity Underlying Funds");
and the Portfolio's investments in fixed income funds included the DFA
Short-Term Extended Quality Portfolio, the DFA Five-Year Global Fixed Income
Portfolio, the DFA Inflation-Protected Securities Portfolio, the DFA
Selectively Hedged Global Fixed Income Portfolio, the DFA Intermediate-Term
Extended Quality Portfolio, and the DFA World ex U.S. Government Fixed Income
Portfolio (collectively with the Equity Underlying Funds, the "Equity and Fixed
Income Underlying Funds"). The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2016, the Equity and Fixed
Income Underlying Funds collectively held more than 12,000 equity securities in
44 countries and approximately 1,100 fixed income securities in 20 countries,
excluding supranationals.
For the 12 months ended October 31, 2016, total returns were 4.09% for the
Portfolio's Institutional Class shares, 3.86% for the Portfolio's Class R2
shares, and 1.30% for the Portfolio's composite benchmark, a hypothetical
composite index composed of 60% MSCI World Index (net dividends) and 40% Citi
World Government Bond Index, 1-3 Years, Currency-Hedged in USD Terms, the
Portfolio's primary benchmarks. As a result of the Equity and Fixed Income
Underlying Funds' diversified investment approach, performance was determined
principally by broad trends in global equity and fixed income markets rather
than the behavior of a limited group of securities. The Portfolio's equity and
fixed income components each outperformed the relevant component of the
composite benchmark and contributed to the Portfolio's overall outperformance
relative to the composite benchmark.
The Equity Underlying Funds' allocation to emerging markets, which generally
outperformed and are not included in the equity component of the composite
benchmark, contributed to the Portfolio's relative performance. The Equity
Underlying Funds' greater allocation than the composite benchmark to smaller
and deeper value stocks, both of which outperformed, contributed to relative
performance.
The Portfolio's fixed income component outperformed the fixed income
component of the composite benchmark. The Portfolio's longer average duration
of 4.1 years relative to the fixed income component of the composite
benchmark's duration of 1.9 years contributed significantly toward the
Portfolio's outperformance as interest rates in U.S. dollar-denominated
securities beyond three years generally declined during the period. The
Portfolio also benefited from a higher relative allocation to U.S.
dollar-denominated corporate securities during a period where credit spreads
narrowed.
Global Allocation 25/75 Portfolio
The Global Allocation 25/75 Portfolio seeks total return consistent with
current income and preservation of capital with some capital appreciation by
investing in a combination of mutual funds managed by Dimensional. The
Portfolio allocates the majority of its assets to fixed income funds, but also
invests a portion of its assets in domestic and international equity funds. As
of the date of this report, the Portfolio's investments in domestic equity
funds included the U.S. Core Equity 1 Portfolio, the U.S. Core Equity 2
Portfolio, and the DFA Real Estate Securities Portfolio; the Portfolio's
investments in international equity funds included the International Core
Equity Portfolio and the Emerging Markets Core Equity Portfolio (collectively,
the "Equity Underlying Funds"); and the Portfolio's investments in fixed income
funds included the DFA Two-Year Global Fixed Income Portfolio, the DFA
8
Inflation-Protected Securities Portfolio, the DFA Short-Term Extended Quality
Portfolio, and the DFA World ex U.S. Government Fixed Income Portfolio
(collectively with the Equity Underlying Funds, the "Equity and Fixed Income
Underlying Funds"). The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2016, the Equity and Fixed Income
Underlying Funds collectively held more than 12,000 equity securities in 44
countries and approximately 750 fixed income securities in 20 countries,
excluding supranationals.
For the 12 months ended October 31, 2016, total returns were 3.04% for the
Portfolio's Institutional Class shares, 2.78% for the Portfolio's Class R2
shares, and 1.24% for the Portfolio's composite benchmark, hypothetical
composite index composed of 25% MSCI World Index (net dividends) and 75% Citi
World Government Bond Index, 1-3 Years, Currency-Hedged in USD Terms, the
Portfolio's primary benchmarks. As a result of the Equity and Fixed Income
Underlying Funds' diversified investment approach, performance was determined
principally by broad trends in global equity and fixed income markets rather
than the behavior of a limited group of securities. The Portfolio's equity and
fixed income components each outperformed the relevant component of the
composite benchmark and contributed to the Portfolio's overall outperformance
relative to the composite benchmark.
The Equity Underlying Funds' allocation to emerging markets, which generally
outperformed and are not included in the equity component of the composite
benchmark, contributed to the Portfolio's relative performance. The Equity
Underlying Funds' greater allocation than the composite benchmark to smaller
and deeper value stocks contributed to relative performance as these stocks
generally outperformed.
The Portfolio's fixed income component outperformed the fixed income
component of the composite benchmark. The Portfolio's longer average duration
of 3.3 years relative to the fixed income component of the composite
benchmark's duration of 1.9 years contributed significantly toward the
outperformance as interest rates in U.S. dollar-denominated securities beyond
three years generally declined during the period. The Portfolio also benefited
from a higher relative allocation to U.S. dollar-denominated corporate
securities during a period where credit spreads narrowed.
9
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2016
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/16 10/31/16 Ratio* Period*
--------- --------- ---------- --------
Global Equity Portfolio**
-------------------------
Actual Fund Return
Class R2 Shares.............. $1,000.00 $1,035.70 0.56% $2.87
Institutional Class Shares... $1,000.00 $1,037.10 0.31% $1.59
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,022.57 0.51% $2.85
Institutional Class Shares... $1,000.00 $1,023.83 0.26% $1.58
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*
--------- --------- ---------- --------
Global Allocation 60/40 Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,027.60 0.53% $2.70
Institutional Class Shares......... $1,000.00 $1,028.50 0.28% $1.43
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.47 0.53% $2.69
Institutional Class Shares......... $1,000.00 $1,023.73 0.28% $1.42
Global Allocation 25/75 Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,016.10 0.51% $2.58
Institutional Class Shares......... $1,000.00 $1,017.10 0.26% $1.32
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.57 0.51% $2.59
Institutional Class Shares......... $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.
**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).
11
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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.
Affiliated Investment Companies
-------------------------------
Global Equity Portfolio........... 100.0%
Global Allocation 60/40 Portfolio. 100.0%
Global Allocation 25/75 Portfolio. 100.0%
12
GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2016
Shares Value+
----------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................ 138,036,720 $2,372,851,212
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 99,659,134 1,154,052,772
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 43,942,927 790,972,677
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 19,717,501 362,802,019
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 3,534,128 121,291,289
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company................................... 905
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $3,681,985,945)........................................... 4,801,970,874
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund, 0.260%
(Cost $2,836,132).................................................. 2,836,132 2,836,132
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,684,822,077)........................................... $4,804,807,006
==============
Summary of the Global 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. $4,801,970,874 -- -- $4,801,970,874
Temporary Cash Investments...... 2,836,132 -- -- 2,836,132
-------------- -- -- --------------
TOTAL........................... $4,804,807,006 -- -- $4,804,807,006
============== == == ==============
See accompanying Notes to Financial Statements.
13
GLOBAL ALLOCATION 60/40 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................................. 53,387,128 $ 917,724,733
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 47,942,643 466,481,920
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 38,429,191 445,010,027
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 28,577,958 311,499,738
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................. 16,984,505 305,721,081
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 14,004,274 156,287,700
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 14,204,424 155,822,533
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 7,596,648 139,778,320
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 6,479,551 78,337,771
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 7,441,947 77,172,987
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 1,336,989 45,885,455
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $2,672,780,076)............................................ 3,099,722,265
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,672,780,076)............................................ $3,099,722,265
==============
Summary of the Global 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. $3,099,722,265 -- -- $3,099,722,265
-------------- -- -- --------------
TOTAL........................... $3,099,722,265 -- -- $3,099,722,265
============== == == ==============
See accompanying Notes to Financial Statements.
14
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2016
Shares Value+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 21,833,957 $218,121,229
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................ 19,987,989 217,869,078
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................ 5,222,342 89,772,056
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 6,632,810 80,190,668
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 3,774,211 43,705,368
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 1,667,432 30,013,772
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 2,789,497 28,927,087
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 747,335 13,750,958
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 132,399 4,543,924
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $661,076,585)............................................. 726,894,140
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund, 0.260%
(Cost $733,876).................................................... 733,876 733,876
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $661,810,461)............................................. $727,628,016
============
Summary of the Global 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. $726,894,140 -- -- $726,894,140
Temporary Cash Investments...... 733,876 -- -- 733,876
------------ -- -- ------------
TOTAL........................... $727,628,016 -- -- $727,628,016
============ == == ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2016
(Amounts in thousands, except share and per share amounts)
Global Global
Global Equity Allocation Allocation
Portfolio 60/40 Portfolio 25/75 Portfolio
------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Companies at Value..................... $ 4,801,971 $ 3,099,722 $ 726,894
Temporary Cash Investments at Value & Cost.................................. 2,836 -- 734
Receivables:
Affiliated Investment Companies Sold...................................... -- 2,867 --
Dividend.................................................................. 1 1 --
Fund Shares Sold.......................................................... 3,264 2,900 866
Prepaid Expenses and Other Assets........................................... 53 46 25
------------ ------------ ------------
Total Assets........................................................... 4,808,125 3,105,536 728,519
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased................................. 2,139 -- 574
Fund Shares Redeemed...................................................... 4,441 3,525 592
Due to Advisor............................................................ 58 65 20
Line of Credit............................................................ -- 2,815 --
Accrued Expenses and Other Liabilities...................................... 202 108 27
------------ ------------ ------------
Total Liabilities...................................................... 6,840 6,513 1,213
------------ ------------ ------------
NET ASSETS.................................................................. $ 4,801,285 $ 3,099,023 $ 727,306
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Class R2 Shares -- based on net assets of $19,844; $5,793 and $848 and
shares outstanding of 1,067,951; 362,349 and 65,832, respectively.......... $ 18.58 $ 15.99 $ 12.89
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares -- based on net assets of $4,781,441; $3,093,230
and $726,458 and shares outstanding of 258,958,440; 194,649,269 and
56,246,342, respectively................................................... $ 18.46 $ 15.89 $ 12.92
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost...................... $ 3,681,986 $ 2,672,780 $ 661,077
------------ ------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital............................................................. $ 3,829,351 $ 2,693,405 $ 665,872
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)......................................................... (90) 1,120 549
Accumulated Net Realized Gain (Loss)........................................ (147,961) (22,444) (4,932)
Net Unrealized Appreciation (Depreciation).................................. 1,119,985 426,942 65,817
------------ ------------ ------------
NET ASSETS.................................................................. $ 4,801,285 $ 3,099,023 $ 727,306
============ ============ ============
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2016
(Amounts in thousands)
Global Global
Global Equity Allocation Allocation
Portfolio* 60/40 Portfolio 25/75 Portfolio
------------- --------------- ---------------
Investment Income
Net Investment Income Received from Affiliated Investment Companies
Income Distributions............................................... $ 90,793 $ 58,691 $11,221
-------- -------- -------
Total Investment Income Received from Affiliated Investment
Companies........................................................ 90,793 58,691 11,221
-------- -------- -------
Fund Investment Income
Dividends............................................................ 7 7 2
-------- -------- -------
Fund Expenses
Investment Management Fees........................................... 13,463 7,472 1,427
Accounting & Transfer Agent Fees..................................... 30 23 10
Custodian Fees....................................................... 1 1 1
Shareholder Servicing Fees -- Class R2 Shares........................ 110 14 2
Filing Fees.......................................................... 227 126 49
Shareholders' Reports................................................ 165 97 24
Directors'/Trustees' Fees & Expenses................................. 31 21 5
Professional Fees.................................................... 36 26 5
Other................................................................ 20 19 6
-------- -------- -------
Total Expenses.................................................... 14,083 7,799 1,529
-------- -------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C).......................................
Institutional Class Shares......................................... (12,606) (6,684) (1,188)
Class R2 Shares.................................................... (124) (13) (1)
-------- -------- -------
Net Expenses......................................................... 1,353 1,102 340
-------- -------- -------
Net Investment Income (Loss)......................................... 89,447 57,596 10,883
-------- -------- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies........................................................... 51,451 22,681 2,512
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares Sold........................ (13,593) (18,760) (922)
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares............................. 46,736 57,880 8,968
-------- -------- -------
Net Realized and Unrealized Gain (Loss).............................. 84,594 61,801 10,558
-------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations........ $174,041 $119,397 $21,441
======== ======== =======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Global Allocation 60/40 Global Allocation 25/75
Global Equity 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)................ $ 89,447 $ 79,712 $ 57,596 $ 55,092 $ 10,883 $ 11,160
Capital Gain Distributions Received from
Affiliated Investment Companies............ 51,451 15,304 22,681 7,822 2,512 1,385
Net Realized Gain (Loss) on:
Investment Securities Sold/Affiliated
Investment Companies Shares
Sold..................................... (13,593) (3,795) (18,760) (7,296) (922) (1,571)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/Affiliated
Investment Companies Shares.............. 46,736 (94,974) 57,880 (60,385) 8,968 (5,723)
---------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.............................. 174,041 (3,753) 119,397 (4,767) 21,441 5,251
---------- ---------- ---------- ---------- --------- ---------
Distributions From:
Net Investment Income:
Class R2 Shares........................... (928) (514) (109) (73) (9) (7)
Institutional Class Shares................ (88,883) (78,276) (58,073) (54,118) (10,168) (13,381)
Net Short-Term Gains:
Institutional Class Shares................ -- -- -- -- -- (306)
Net Long-Term Gains:
Class R2 Shares........................... -- -- -- -- -- (1)
Institutional Class Shares................ -- -- -- -- (7) (1,076)
---------- ---------- ---------- ---------- --------- ---------
Total Distributions...................... (89,811) (78,790) (58,182) (54,191) (10,184) (14,771)
---------- ---------- ---------- ---------- --------- ---------
Capital Share Transactions:
Shares Issued............................... 1,237,609 1,327,991 976,894 984,888 177,650 247,016
Shares Issued in Lieu of Cash
Distributions.............................. 89,070 77,839 57,170 52,988 10,153 14,742
Shares Redeemed............................. (991,702) (773,605) (955,941) (639,007) (184,254) (213,296)
---------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) from Capital
Share Transactions...................... 334,977 632,225 78,123 398,869 3,549 48,462
---------- ---------- ---------- ---------- --------- ---------
Total Increase (Decrease) in Net
Assets.................................. 419,207 549,682 139,338 339,911 14,806 38,942
Net Assets
Beginning of Year........................... 4,382,078 3,832,396 2,959,685 2,619,774 712,500 673,558
---------- ---------- ---------- ---------- --------- ---------
End of Year................................. $4,801,285 $4,382,078 $3,099,023 $2,959,685 $ 727,306 $ 712,500
========== ========== ========== ========== ========= =========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)........................... $ (90) $ 1,358 $ 1,120 $ 2,144 $ 549 $ (11)
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Equity Portfolio-Class R2 Shares
--------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................................ $ 18.32 $ 18.66 $ 17.44 $13.78 $12.67
------- ------- ------- ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................. 0.34 0.31 0.28 0.27 0.24
Net Gains (Losses) on Securities (Realized and Unrealized)................... 0.26 (0.34) 1.24 3.67 1.10
------- ------- ------- ------ ------
Total from Investment Operations........................................... 0.60 (0.03) 1.52 3.94 1.34
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................................ (0.34) (0.31) (0.30) (0.28) (0.23)
------- ------- ------- ------ ------
Total Distributions........................................................ (0.34) (0.31) (0.30) (0.28) (0.23)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................................. $ 18.58 $ 18.32 $ 18.66 $17.44 $13.78
============================================================================= ======== ======== ======== ======== ========
Total Return.................................................................. 3.37% (0.16)% 8.73% 28.87% 10.78%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................................... $19,844 $50,269 $10,109 $5,517 $4,055
Ratio of Expenses to Average Net Assets (B)................................... 0.55% 0.57% 0.56% 0.57% 0.60%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)......... 0.83% 0.86% 0.85% 0.87% 0.90%
Ratio of Net Investment Income to Average Net Assets.......................... 1.89% 1.67% 1.54% 1.76% 1.85%
-----------------------------------------------------------------------------------------------------------------------------
Global Allocation 60/40 Portfolio-Class R2 Shares
--------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................................ $15.70 $16.01 $15.32 $ 13.40 $ 12.66
------ ------ ------ ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................. 0.26 0.26 0.22 0.24 0.21
Net Gains (Losses) on Securities (Realized and Unrealized)................... 0.33 (0.31) 0.67 1.93 0.78
------ ------ ------ ------- -------
Total from Investment Operations........................................... 0.59 (0.05) 0.89 2.17 0.99
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................................ (0.30) (0.26) (0.20) (0.25) (0.25)
------ ------ ------ ------- -------
Total Distributions........................................................ (0.30) (0.26) (0.20) (0.25) (0.25)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................................. $15.99 $15.70 $16.01 $ 15.32 $ 13.40
============================================================================= ======== ======== ======== ======== ========
Total Return.................................................................. 3.86% (0.27)% 5.85% 16.35% 8.05%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................................... $5,793 $5,455 $3,259 $14,140 $11,403
Ratio of Expenses to Average Net Assets (B)................................... 0.53% 0.54% 0.54% 0.54% 0.56%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)......... 0.75% 0.77% 0.77% 0.77% 0.79%
Ratio of Net Investment Income to Average Net Assets.......................... 1.67% 1.61% 1.42% 1.71% 1.60%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Allocation 25/75 Portfolio-Class R2 Shares
------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.............................................. $12.74 $12.93 $12.75 $12.16 $11.78
------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................... 0.16 0.14 0.14 0.16 0.14
Net Gains (Losses) on Securities (Realized and Unrealized)..................... 0.19 (0.08) 0.20 0.58 0.43
------ ------ ------ ------ ------
Total from Investment Operations............................................. 0.35 0.06 0.34 0.74 0.57
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.......................................................... (0.20) (0.23) (0.13) (0.15) (0.18)
Net Realized Gains............................................................. -- (0.02) (0.03) -- (0.01)
------ ------ ------ ------ ------
Total Distributions.......................................................... (0.20) (0.25) (0.16) (0.15) (0.19)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................................... $12.89 $12.74 $12.93 $12.75 $12.16
=============================================================================== ========= ========= ========= ========= =========
Total Return.................................................................... 2.78% 0.50% 2.69% 6.15% 4.86%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................................. $ 848 $ 428 $ 183 $2,215 $2,449
Ratio of Expenses to Average Net Assets (B)..................................... 0.50% 0.51% 0.52% 0.53% 0.59%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered by Advisor) (B)........................ 0.67% 0.68% 0.69% 0.70% 0.76%
Ratio of Net Investment Income to Average Net Assets............................ 1.22% 1.12% 1.09% 1.28% 1.14%
----------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
20
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global Equity Portfolio-Institutional Class Shares
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 18.17 $ 18.51 $ 17.30 $ 13.67 $ 12.58
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.36 0.35 0.34 0.31 0.27
Net Gains (Losses) on Securities (Realized and Unrealized). 0.29 (0.34) 1.21 3.63 1.09
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 0.65 0.01 1.55 3.94 1.36
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.36) (0.35) (0.34) (0.31) (0.27)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.36) (0.35) (0.34) (0.31) (0.27)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 18.46 $ 18.17 $ 18.51 $ 17.30 $ 13.67
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 3.65% 0.07% 9.03% 29.19% 11.00%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $4,781,441 $4,331,809 $3,822,287 $3,018,911 $2,143,950
Ratio of Expenses to Average Net Assets (B).................. 0.30% 0.31% 0.31% 0.31% 0.33%
Ratio of Expenses to Average Net Assets (Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (B)................................... 0.58% 0.60% 0.60% 0.61% 0.63%
Ratio of Net Investment Income to Average Net Assets......... 1.99% 1.90% 1.87% 2.02% 2.05%
--------------------------------------------------------------------------------------------------------------------------
Global Allocation 60/40 Portfolio-Institutional Class Shares
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 15.57 $ 15.88 $ 15.24 $ 13.33 $ 12.59
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.30 0.31 0.27 0.27 0.28
Net Gains (Losses) on Securities (Realized and Unrealized). 0.33 (0.31) 0.65 1.92 0.75
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 0.63 -- 0.92 2.19 1.03
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.31) (0.31) (0.28) (0.28) (0.29)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.31) (0.31) (0.28) (0.28) (0.29)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 15.89 $ 15.57 $ 15.88 $ 15.24 $ 13.33
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 4.09% --% 6.08% 16.65% 8.37%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $3,093,230 $2,954,230 $2,616,515 $1,847,771 $1,363,322
Ratio of Expenses to Average Net Assets (B).................. 0.28% 0.29% 0.29% 0.29% 0.30%
Ratio of Expenses to Average Net Assets (Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (B)................................... 0.50% 0.52% 0.52% 0.52% 0.53%
Ratio of Net Investment Income to Average Net Assets......... 1.93% 1.93% 1.70% 1.93% 2.18%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
21
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global Allocation 25/75 Portfolio-Institutional Class Shares
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $ 12.72 $ 12.89 $ 12.69 $ 12.11 $ 11.73
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.19 0.20 0.17 0.18 0.20
Net Gains (Losses) on Securities (Realized and Unrealized)........... 0.19 (0.10) 0.24 0.59 0.41
-------- -------- -------- -------- --------
Total from Investment Operations................................... 0.38 0.10 0.41 0.77 0.61
-----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.18) (0.25) (0.18) (0.19) (0.22)
Net Realized Gains................................................... -- (0.02) (0.03) -- (0.01)
-------- -------- -------- -------- --------
Total Distributions................................................ (0.18) (0.27) (0.21) (0.19) (0.23)
-----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $ 12.92 $ 12.72 $ 12.89 $ 12.69 $ 12.11
===================================================================== =========== ========== ========== ========== ==========
Total Return.......................................................... 3.04% 0.79% 3.30% 6.38% 5.22%
-----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $726,458 $712,072 $673,375 $557,112 $417,679
Ratio of Expenses to Average Net Assets (B)........................... 0.25% 0.26% 0.27% 0.27% 0.28%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B). 0.42% 0.43% 0.44% 0.44% 0.45%
Ratio of Net Investment Income to Average Net Assets.................. 1.53% 1.58% 1.36% 1.47% 1.71%
-----------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
22
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios,
three of which, Global Equity Portfolio, Global Allocation 60/40 Portfolio and
Global Allocation 25/75 Portfolio (each a "Global Fund" and collectively, the
"Global Funds"), are presented in this report. The remaining operational
portfolios are presented in separate reports. The Global Funds are investment
companies and, accordingly, follow the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
The Global Funds achieve their investment objectives by primarily investing
in other portfolios within DFA Investment Dimensions Group Inc. ("IDG") and The
DFA Investment Trust Company ("ITC") (collectively, the "Master Funds").
Global Funds (Percentage of Ownership at October 31, 2016)
------------------------------------------------------------
Global Equity Global Allocation 60/40 Global Allocation 25/75
Master Funds Portfolio Portfolio Portfolio
------------ ------------- ----------------------- -----------------------
U.S. Core Equity 1 Portfolio (IDG)........... 5% 2% --*
U.S. Core Equity 2 Portfolio (IDG)........... 14% 5% 1%
DFA Real Estate Securities Portfolio (IDG)... 2% 1% --*
International Core Equity Portfolio (IDG).... 7% 3% --*
Emerging Markets Core Equity Portfolio
(IDG)...................................... 2% --* --*
DFA Two-Year Global Fixed Income Portfolio
(IDG)...................................... N/A N/A 5%
DFA Selectively Hedged Global Fixed Income
Portfolio (IDG)............................ N/A 47% N/A
DFA Five-Year Global Fixed Income Portfolio
(IDG)...................................... N/A 1% N/A
DFA Inflation-Protected Securities Portfolio
(IDG)...................................... N/A 2% 2%
DFA Short-Term Extended Quality Portfolio
(IDG)...................................... N/A 7% 5%
DFA Intermediate-Term Extended Quality
Portfolio (IDG)............................ N/A 11% N/A
The Canadian Small Company Series (ITC)...... --* N/A N/A
DFA World ex U.S. Government Fixed Income
Portfolio (IDG)............................ N/A 10% 4%
N/A -- Global Fund does not have any ownership in Master Fund.
*Amounts designated as -- are less than 1%.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the
23
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 Global Funds utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Global Funds'
own assumptions in determining the fair value of investments)
Master Fund shares held by the Global Funds (except the Global Equity
Portfolio's investment in The Canadian Small Company Series) are valued at
their respective daily net asset values as reported by their administrator, as
these Master Funds are treated as regulated investment companies. The Global
Equity Portfolio's investment in The Canadian Small Company Series, which is
taxed as a partnership, reflects its proportionate interest in the net assets
of the Series. These securities are generally categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Global Funds net assets by each
major security type is disclosed previously in this note. Valuation hierarchy
tables have been included at the end of the Schedule of Investments. The inputs
or methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the year ended October 31, 2016, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Global Funds.
2. Deferred Compensation Plan: Each eligible Director 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 affiliated
investment company shares are accounted for on the basis of identified cost.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received from the investment in affiliated
investment companies that represent a return of capital or capital gains are
recorded as a reduction of cost of investments or as a realized gain,
respectively. The Global Funds estimate the character of distributions received
that may be considered return of capital distributions. Interest income is
recorded on an accrual basis. Expenses directly attributable to a Global Fund
are directly charged. Common expenses of the Fund or Global Funds are allocated
using methods approved by the Board, generally based on average net assets.
24
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of its Global Fund. Income, gains and losses, and common expenses
of each Global Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Global Funds. The Global Equity Portfolio's, Global Allocation
60/40 Portfolio's and Global Allocation 25/75 Portfolio's investment management
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.30%, 0.25%, and 0.20%, respectively, of average daily net
assets.
Pursuant to an Amended and Restated Fee Waiver Agreement (the "Fee Waiver
Agreement"), the Advisor has agreed to waive certain fees of the Global Funds,
as described below. The Fee Waiver Agreement for the Global Funds will remain
in effect through February 28, 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.
Effective July 21, 2015, pursuant to the Fee Waiver Agreement, in order to
limit the total management fees received by the Advisor, the Advisor has agreed
to waive the management fee each Global Fund pays to the Advisor to the extent
necessary to limit the proportionate share of the total combined management fee
paid by a class of each Global Fund and management fees paid by each Global
Fund's Master Funds to the Advisor, on an annualized basis (the "Annualized
Expense Ratio"), to the expense limitations listed below based on a percentage
of average net assets on an annualized basis. The maximum amount waived under
this waiver is the full amount of a Global Fund's management fee to the Advisor.
At any time that the Annualized Expense Ratio of a class of a Global Fund is
less than the expense limitations listed below for such class of the Global
Fund, the Advisor retains the right to recover any fees previously waived to
the extent that such recovery will not cause the Annualized Expense Ratio of
such class of shares of the Global Fund to exceed the expense limitation listed
below. Previously waived fees subject to future recovery by the Advisor are
reflected below (amounts in thousands). The Global Funds are not obligated to
reimburse the Advisor for fees waived by the Advisor more than thirty-six
months before the date of such reimbursement.
Previously
Recovery Waived Fees/
Expense of Previously Expenses Assumed
Limitation Waived Fees/ Subject to Future
Institutional Class Shares Amount Expenses Assumed Recovery
-------------------------- ---------- ---------------- -----------------
Global Equity Portfolio........... 0.27% -- $34,841
Global Allocation 60/40 Portfolio. 0.25% -- 18,109
Global Allocation 25/75 Portfolio. 0.22% -- 3,407
Class R2 Shares
---------------
Global Equity Portfolio........... 0.27% -- 244
Global Allocation 60/40 Portfolio. 0.25% -- 56
Global Allocation 25/75 Portfolio. 0.22% -- 5
Prior to July 21, 2015, in order to limit the total administration and
management fees received by the Advisor, the Advisor had agreed to waive the
administration fee each Global Fund paid to the Advisor to the extent necessary
to limit the proportionate share of the total combined administration fee paid
by a class of each Global Fund and management fees paid by each Global Fund's
Master Funds to the Advisor to the expense limitations listed above. The
maximum amount waived under this waiver was the full amount of a Global Fund's
administration fee to the Advisor.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2016, the total related amounts paid by the Fund
to the CCO were $31 (in thousands). The total related amounts paid by each of
the Global Funds are included in Other Expenses on the Statement of Operations.
25
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):
Global Equity Portfolio........... $90
Global Allocation 60/40 Portfolio. 55
Global Allocation 25/75 Portfolio. 14
E. Purchases and Sales of Securities:
For the year ended October 31, 2016, the Global Funds transactions related
to Affiliated Investment Companies were as follows (amounts in thousands):
Global Equity Portfolio
-------------------------------------------------------------------------
Balance at Balance at Distributions of
Affiliated Investment Companies 10/31/2015 10/31/2016 Purchases Sales Dividend Income Realized Gains
------------------------------- ---------- ---------- --------- -------- --------------- ----------------
U.S. Core Equity 2 Portfolio.... $2,199,529 $2,372,851 $230,595 $ 57,028 $40,163 $42,739
International Core Equity
Portfolio..................... 1,065,657 1,154,053 149,470 54,405 27,290 --
U.S. Core Equity 1 Portfolio.... 735,772 790,973 65,580 16,514 13,611 8,712
Emerging Markets Core Equity
Portfolio..................... 281,473 362,802 65,964 14,558 6,564 --
DFA Real Estate Securities
Portfolio..................... 97,689 121,291 20,000 395 3,165 --
---------- ---------- -------- -------- ------- -------
Total........................... $4,380,120 $4,801,970 $531,609 $142,900 $90,793 $51,451
========== ========== ======== ======== ======= =======
Global Allocation 60/40 Portfolio
-------------------------------------------------------------------------
Balance at Balance at Distributions of
Affiliated Investment Companies 10/31/2015 10/31/2016 Purchases Sales Dividend Income Realized Gains
------------------------------- ---------- ---------- --------- -------- --------------- ----------------
U.S. Core Equity 2 Portfolio.... $ 895,969 $ 917,724 $143,905 $122,685 $16,004 $17,441
DFA Selectively Hedged Global
Fixed Income Portfolio........ 441,236 466,482 87,395 76,943 4,747 --
International Core Equity
Portfolio..................... 429,098 445,010 46,856 28,532 10,784 --
DFA Short-Term Extended
Quality Portfolio............. 294,533 311,500 62,965 48,144 5,283 427
U.S. Core Equity 1 Portfolio.... 305,977 305,721 25,057 28,198 5,441 3,539
DFA Five-Year Global Fixed
Income Portfolio.............. 146,934 156,288 29,655 21,376 2,277 444
DFA Intermediate-Term
Extended Quality Portfolio.... 147,388 155,823 29,360 24,934 4,677 679
Emerging Markets Core Equity
Portfolio..................... 112,645 139,778 20,926 5,371 2,575 --
DFA Inflation-Protected
Securities Portfolio.......... 73,904 78,338 12,465 11,430 792 68
DFA World ex U.S. Government
Fixed Income Portfolio........ 74,830 77,173 16,536 13,671 4,892 83
DFA Real Estate Securities
Portfolio..................... 37,009 45,885 10,182 2,939 1,219 --
---------- ---------- -------- -------- ------- -------
Total........................... $2,959,523 $3,099,722 $485,302 $384,223 $58,691 $22,681
========== ========== ======== ======== ======= =======
26
Global Allocation 25/75 Portfolio
------------------------------------------------------------------------
Balance at Balance at Distributions of
Affiliated Investment Companies 10/31/2015 10/31/2016 Purchases Sales Dividend Income Realized Gains
------------------------------- ---------- ---------- --------- ------- --------------- ----------------
DFA Two-Year Global Fixed Income
Portfolio......................... $215,434 $218,121 $20,244 $18,184 $ 1,068 --
DFA Short-Term Extended Quality
Portfolio......................... 215,038 217,869 20,802 19,503 3,796 $ 317
U.S. Core Equity 2 Portfolio........ 91,788 89,772 20,057 22,762 1,594 1,736
DFA Inflation-Protected Securities
Portfolio......................... 78,543 80,191 6,682 8,672 826 73
International Core Equity Portfolio. 43,751 43,705 6,905 6,870 1,082 --
U.S. Core Equity 1 Portfolio........ 30,476 30,014 4,450 5,378 546 353
DFA World ex U.S. Government
Fixed Income Portfolio............ 28,447 28,927 3,716 3,018 1,924 33
Emerging Markets Core Equity
Portfolio......................... 10,894 13,751 2,748 1,118 261 --
DFA Real Estate Securities
Portfolio......................... 3,936 4,544 664 220 124 --
-------- -------- ------- ------- ------- ------
Total............................... $718,307 $726,894 $86,268 $85,725 $11,221 $2,512
======== ======== ======= ======= ======= ======
F. Federal Income Taxes:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
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 passive foreign
investment companies, short term distributions received from underlying RICs,
return of capital, the utilization of accumulated earnings and profits
distributed to shareholders on redemptions of shares as part of the dividends
paid deduction for income tax purposes, were reclassified to the following
accounts. These reclassifications had no effect on net assets or net asset
value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Global Equity Portfolio........... $1,084 $(1,084) --
Global Allocation 60/40 Portfolio. 665 (511) $(154)
Global Allocation 25/75 Portfolio. 223 (146) (77)
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
-------------- ------------- -------
Global Equity Portfolio
2015.................... $78,790 -- $78,790
2016.................... 89,811 -- 89,811
27
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
Global Allocation 60/40 Portfolio
2015.............................. $54,191 -- $54,191
2016.............................. 58,182 -- 58,182
Global Allocation 25/75 Portfolio
2015.............................. 12,062 $2,710 14,772
2016.............................. 10,177 7 10,184
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
-------------- ------------- -------
Global Equity Portfolio........... $(1,084) -- $(1,084)
Global Allocation 60/40 Portfolio. (612) $(52) (664)
Global Allocation 25/75 Portfolio. (180) (43) (223)
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)
-------------- ------------- ------------- -------------- -------------
Global Equity Portfolio........... -- -- $(8,267) $980,291 $972,024
Global Allocation 60/40 Portfolio. $1,176 $4,879 -- 399,618 405,673
Global Allocation 25/75 Portfolio. 742 2,589 -- 58,339 61,670
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 Global Funds after October 31, 2011 will not be
subject to expiration and will retain their character as either short-term or
long-term capital losses. In addition, such losses must be utilized prior to
the losses incurred in the years preceding enactment. As of October 31, 2016,
the Global Funds had the following capital loss carryforwards available to
offset future realized capital gains through the indicated expiration dates
(amounts in thousands):
Expires on October 31,
----------------------
2018 2019 Total
------ ---- ------
Global Equity Portfolio........... $7,701 $565 $8,266
Global Allocation 60/40 Portfolio. -- -- --
Global Allocation 25/75 Portfolio. -- -- --
During the year ended October 31, 2016 the Global Funds utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Global Equity Portfolio........... $51,460
Global Allocation 60/40 Portfolio. 9,873
28
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)
----------- ------------ ------------ --------------
Global Equity Portfolio........... $3,824,515 $980,291 -- $980,291
Global Allocation 60/40 Portfolio. 2,700,104 407,471 $(7,853) 399,618
Global Allocation 25/75 Portfolio. 669,289 59,786 (1,447) 58,339
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Global
Fund's tax positions and has concluded that no additional provision for income
tax is required in any Global Fund's financial statements. No Global Fund is
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each Global Fund's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
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
---------- ------- ---------- -------
Global Equity Portfolio
Class R2 Shares
Shares Issued........................................ $ 10,106 572 $ 47,806 2,494
Shares Issued in Lieu of Cash Distributions.......... 928 52 514 28
Shares Redeemed...................................... (41,925) (2,300) (5,932) (320)
---------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ (30,891) (1,676) $ 42,388 2,202
========== ======= ========== =======
Institutional Class Shares
Shares Issued........................................ $1,227,503 69,158 $1,280,185 69,123
Shares Issued in Lieu of Cash Distributions.......... 88,142 4,936 77,325 4,252
Shares Redeemed...................................... (949,777) (53,503) (767,673) (41,550)
---------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 365,868 20,591 $ 589,837 31,825
========== ======= ========== =======
Global Allocation 60/40 Portfolio
Class R2 Shares
Shares Issued........................................ $ 1,147 74 $ 3,036 189
Shares Issued in Lieu of Cash Distributions.......... 109 7 73 5
Shares Redeemed...................................... (1,041) (66) (804) (51)
---------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 215 15 $ 2,305 143
========== ======= ========== =======
Institutional Class Shares
Shares Issued........................................ $ 975,747 63,046 $ 981,852 62,082
Shares Issued in Lieu of Cash Distributions.......... 57,061 3,699 52,915 3,412
Shares Redeemed...................................... (954,900) (61,872) (638,203) (40,468)
---------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 77,908 4,873 $ 396,564 25,026
========== ======= ========== =======
29
Year Year
Ended Ended
Oct. 31, Oct. 31,
2016 2015
------------------ ------------------
Amount Shares Amount Shares
--------- ------- --------- -------
Global Allocation 25/75 Portfolio
Class R2 Shares
Shares Issued........................................ $ 803 63 $ 418 33
Shares Issued in Lieu of Cash Distributions.......... 9 1 8 1
Shares Redeemed...................................... (402) (32) (176) (14)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 410 32 $ 250 20
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 176,847 13,920 $ 246,598 19,284
Shares Issued in Lieu of Cash Distributions.......... 10,144 798 14,734 1,162
Shares Redeemed...................................... (183,852) (14,472) (213,120) (16,688)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 3,139 246 $ 48,212 3,758
========= ======= ========= =======
H. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 30, 2016, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 29, 2017.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 8, 2016. A line of credit with
similar terms was in effect through January 7, 2016. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 7, 2017.
For the year ended October 31, 2016, borrowings by the Global Funds under
the lines of credit were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
Global Equity Portfolio........... 1.10% $2,745 47 $4 $17,121
Global Allocation 60/40 Portfolio. 1.10% 3,066 75 7 28,448
Global Allocation 25/75 Portfolio. 1.09% 799 86 2 5,806
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2016, that each Global Fund's available
line of credit was utilized.
At October 31, 2016, Global Allocation 60/40 Portfolio had loans outstanding
in the amount of $2,815 (in thousands).
Pursuant to an exemptive order issued by the SEC (the "Order"), the Global
Funds may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds
30
do not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice. The Global Funds did not utilize the
interfund lending program during the year ended October 31, 2016.
I. Shareholder Servicing Fees:
The Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the Global Funds' Class R2 Shares.
J. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
K. Other:
At October 31, 2016, the following number of shareholders held the following
approximate percentages of the Global Funds' outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
Approximate
Percentage of
Number of Outstanding
Shareholders Shares
------------ -------------
Global Equity Portfolio-Class R2 Shares...................... 4 92%
Global Equity Portfolio-Institutional Class Shares........... 3 77%
Global Allocation 60/40 Portfolio-Class R2 Shares............ 3 97%
Global Allocation 60/40 Portfolio-Institutional Class Shares. 4 84%
Global Allocation 25/75 Portfolio-Class R2 Shares............ 2 97%
Global Allocation 25/75 Portfolio-Institutional Class Shares. 4 90%
L. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Global
Funds 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.
31
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Global Equity
Portfolio, Global Allocation 60/40 Portfolio and Global Allocation 25/75
Portfolio (constituting portfolios within Dimensional Investment Group Inc.,
hereafter referred to as the "Portfolios") 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 transfer agent
of the investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2016
32
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
Portfolio Name ------------------------------------------------
Net Net Realized Net Realized
Investment Capital Gains: Capital Gains: Return of
Income Short-Term Long-Term Capital
- ---------- -------------- -------------- ---------
Global Equity Portfolio
December 16, 2015.............. 100% 0% 0% 0%*
March 30, 2016................. 100% 0% 0% 0%*
June 29, 2016.................. 100% 0% 0% 0%*
Global Allocation 60/40 Portfolio
December 16, 2015.............. 99% 0% 0% 1%
March 30, 2016................. 99% 0% 0% 1%
June 29, 2016.................. 99% 0% 0% 1%
Global Allocation 25/75 Portfolio
December 16, 2015.............. 45% 0% 0% 55%
March 30, 2016................. 99% 0% 0% 1%
June 29, 2016.................. 99% 0% 0% 1%
----------
* 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.
33
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.
34
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 DIG. investment companies University of Chicago Booth School of Business.
Trustee of DFAITC and
DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
1947
-------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Distinguished
Director of DFAIDG and DIG DIG-Since 1993 investment companies Service Professor of Economics, University of
Trustee of DFAITC and DEM DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
The University of Chicago DEM-Since 1993 Member and Chair, Competitive Markets Advisory
Booth School of Business Council, Chicago Mercantile Exchange (futures
5807 S. Woodlawn Avenue trading exchange) (since 2004). Trustee, Harbor
Chicago, IL 60637 Fund (registered investment company) (29
1939 Portfolios) (since 1994). Formerly, Member of the
Board of Milwaukee Insurance Company (1997-
2010).
-------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Yale School of Management DEM-Since 1993 fund and asset manager) (since 2001). Consultant
P.O. Box 208200 to Morningstar Inc. (since 2006). Formerly,
New Haven, CT 06520-8200 Director, BIRR Portfolio Analysis, Inc. (software
1943 Products) (1990- 2010).
-------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM DFAITC-Since 2010 Professor of Human Resources Management and
Stanford University Graduate DEM-Since 2010 Economics, Graduate School of Business,
School of Business Stanford University (since 1995). Cornerstone
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) (1999-
Austin, TX 78746 2009). Formerly, Director, American Century Fund
1941 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).
35
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.
36
Officers
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
-----------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice
1974 President, Business Development at Capson
Physicians Insurance Company (2010-2012).
-----------------------------------------------------------------------------------------------------------------------
Magdalia S. Armstrong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2016).
-----------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
-----------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director and
1955 Managing Director of Dimensional Fund Advisors Ltd
(since September 2013). Director of Dimensional
Funds plc and Dimensional Funds II plc (since
November 2013).
-----------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
-----------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-January
2014) and Research Associate (2006-2011) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors LP
(April 2008-January 2014).
-----------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
-----------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Pte. and Dimensional Hong Kong Limited. Director,
Vice President, Director and Assistant Secretary of
Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
-----------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors LP
(December 2010-January 2012).
-----------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------------
David K. Campbell Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC
1966 Relationship Manager for Dimensional Fund
Advisors LP (October 2010-January 2016).
-----------------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011).
37
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).
38
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).
39
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
--------------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(August 2011-January 2014); Senior Vice President
of First Trust Advisors L.P. (2007-July 2011).
--------------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1959 Senior Associate (May 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
--------------------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1970 President for Dimensional SmartNest (US) LLC
(January 2012-November 2014); Senior Vice
President for Morningstar (July 2004-July 2011).
--------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004-January
2012).
--------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
--------------------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader
1975 for Dimensional Fund Advisors LP (since 2012).
Formerly, Senior Trader (2009-2012).
--------------------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP (January
2011-January 2014).
--------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Chief Since 2016 Vice President, Chief Financial Officer, and
1958 Financial Officer, and Treasurer of all the DFA Entities. Interim Chief
Treasurer Financial Officer, interim Treasurer and Vice
President of Dimensional Advisors Ltd., Dimensional
Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd,
DFA Australia Ltd. Formerly, interim Chief Financial
Officer and interim Treasurer (April 2016-September
2016), and Controller (August 2015-September
2016) of all the DFA Entities); Vice President of T.
Rowe Price Group, Inc. and Director of Investment
Treasury and Treasurer of the T. Rowe Price Funds
(March 2008-July 2015).
--------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
--------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1960 Managing Director, Co-Head Global Consultant
Relations at BlackRock (2004-2011).
--------------------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Compliance Officer (November 2010-January
2015) for Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------
Alan R. Hutchison Vice President Since 2016 Vice President of all the DFA Entities. Portfolio
1977 Manager for Dimensional Fund Advisors LP (January
2013-Present). Formerly, Investment Associate for
Dimensional Fund Advisors LP (January 2010-
January 2013).
40
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).
41
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
42
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations (January
2014-January 2015), Manager, Client Systems
(October 2011-January 2014) and RFP Manager
(April 2010-October 2011) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
-----------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January 2015)
for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
-----------------------------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors LP
(January 2009-January 2014).
-----------------------------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014) and
Senior Associate (2011) for Dimensional Fund
Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Francis L. McNamara Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1959 Manager, Project Management Office for
Dimensional Fund Advisors LP (October 2006-
January 2016).
-----------------------------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager for
Wells Capital Management (October 2004-
September 2011).
-----------------------------------------------------------------------------------------------------------------------------
Tracy R. Mitchell Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1974 Regional Director for Dimensional Fund Advisors LP
(September 2013-January 2016); Managing Director,
Client Services, Charles Schwab (December 2009-
August 2013).
-----------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January 2013)
for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA Entities.
1964 Secretary and Secretary since 2000 Director, Vice President and Secretary of DFA
Australia Limited and Dimensional Fund Advisors
Ltd. (since February 2002, April 1997, and May
2002, respectively). Vice President and Secretary of
Dimensional Fund Advisors Canada ULC (since
June 2003), Dimensional Cayman Commodity Fund I
Ltd., Dimensional Japan Ltd (since February 2012),
Dimensional Advisors Ltd (since March 2012),
Dimensional Fund Advisors Pte. Ltd. (since June
2012). Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund
Advisors Pte. Ltd. and Dimensional Hong Kong
Limited (since August 2012 and July 2012).
Formerly, Vice President and Secretary of
Dimensional SmartNest (US) LLC (October 2010-
November 2014).
43
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
--------------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (July 2008-May 2011).
--------------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors LP
(2008-2010).
--------------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer of Dimensional Fund Advisors LP (since
December 2012). Formerly, Chief Compliance
Officer of Wellington Management Company, LLP
(2004-2011).
--------------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities, Dimensional
1974 Cayman Commodity Fund I Ltd., and Dimensional
Fund Advisors Canada ULC (since April 2016).
Deputy General Counsel, Funds (since 2011).
--------------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Co- Vice President since 2007 Vice President and Co-Chief Investment Officer of all
1976 Chief Investment and Co-Chief Investment the DFA Entities, Dimensional Fund Advisors
Officer Officer since 2014 Canada ULC, and Dimensional Japan Ltd. Director
of Dimensional Funds plc and Dimensional Fund II
plc.
--------------------------------------------------------------------------------------------------------------------------------
Randy C. Olson Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1980 Senior Compliance Officer for Dimensional Fund
Advisors LP (July 2014-January 2016); Vice
President Regional Head of Investment Compliance,
Asia, PIMCO Asia Private Limited (July 2012-July
2014); Country Compliance Officer, Janus Capital,
Singapore Private Limited (May 2011-June 2012).
--------------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP (since
July 2005).
--------------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities.
1978
--------------------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors LP
(2012-January 2013); Senior Consultant (June 2011-
December 2011) and Senior Investment Analyst and
Consultant (July 2008-June 2011) at Hewitt
EnnisKnupp.
--------------------------------------------------------------------------------------------------------------------------------
Mary T. Phillips Vice President Since 2016 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager (January 2015-present). Formerly,
Portfolio Manager (April 2014-January 2015) and
Investment Associate for Dimensional Fund Advisors
LP (July 2012-March 2014).
--------------------------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP. Formerly,
Manager, Advisor Benchmarking (April 2012-
December 2014) for Dimensional Fund Advisors LP;
Senior Manager, Research and Consulting (October
2010-April 2012) for Crain Communications Inc.
--------------------------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February
2015). Formerly, Chief Financial Officer and General
Counsel for Relentless (March 2014-January 2015);
Vice President of all the DFA Entities (January 2013-
March 2014); Counsel for Dimensional Fund
Advisors LP (January 2009-March 2014).
44
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
------------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia
1961 Limited, Dimensional Fund Advisors Ltd. and
Dimensional Fund Advisors Canada ULC.
------------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
for Dimensional Fund Advisors LP (2006-January
2015).
------------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors LP
(January 2011-January 2014).
------------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
------------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002-July 2013) for MFS Investment
Management.
------------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
------------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice
1978 President for Dimensional SmartNest (US) LLC
(September 2010-November 2014).
------------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for Dimensional
Fund Advisors LP (January 2012-January 2014);
Director of Human Resources at Spansion, Inc.
(March 2009-December 2011).
------------------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1987 Manager Investment Analytics and Data (January
2014-January 2015), Senior Associate, Investment
Analytics and Data (January 2013-January 2014),
Associate, Investment Analytics and Data (January
2012-January 2013), and Investment Data Analyst
(April 2010-January 2012) for Dimensional Fund
Advisors LP.
------------------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities.
1959
------------------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1980 Manager (since 2013) for Dimensional Fund
Advisors LP. Formerly, Investment Associate (April
2011-January 2013) for Dimensional Fund Advisors
LP.
------------------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Regional Director (September 2009-January 2015)
for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities.
1965
------------------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
45
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager for Dimensional Fund Advisors LP
(since January 2015). Formerly, Portfolio Manager
(January 2012-January 2015) and Investment
Associate for Dimensional Fund Advisors LP (August
2010-December 2011).
-----------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
-----------------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio
1977 Manager of Dimensional Fund Advisors LP (since
January 2010).
-----------------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities.
1968
-----------------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and
1956 Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------
Matthew Snider Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors LP
(September 2011-January 2016); Sales Executive,
Vanguard (May 2008-August 2011).
-----------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
-----------------------------------------------------------------------------------------------------------------
Charlene L. St. John Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1965 Senior Manager for Dimensional Fund Advisors LP
(September 2014-January 2016); Vice President of
Marketing, Forward Management/Salient (January
2008-February 2014).
-----------------------------------------------------------------------------------------------------------------
Brent M. Stone Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1971 Project Manager (September 2012-December 2015)
and Manager, Corporate Systems for Dimensional
Fund Advisors LP (January 2011-September 2012).
-----------------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors LP
(April 2010-January 2013).
-----------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1973 Manager, Investment Analytics and Data (2012-
January 2013) and Research Assistant (2002-2011)
for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
James J. Taylor Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1983 Accounting Manager for Dimensional Fund Advisors
LP (November 2009-January 2016).
-----------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors LP
(January 2008-January 2012).
-----------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
-----------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia
1966 Limited, Dimensional Fund Advisors Ltd., and
Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors LP
(September 2008-January 2014).
46
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
----------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP (since
2004).
----------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015) for
Dimensional Fund Advisors LP; Director of Marketing
and Investor Relations for Treaty Oak Capital
Management (July 2011-October 2011); Vice
President for Rockspring Capital (October 2010-July
2011).
----------------------------------------------------------------------------------------------------------------
Griffin S. Watkins Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1985 Regional Director (January 2014-January 2016) and
Senior Associate (January 2011-December 2013) for
Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------------
Timothy P. Wei Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1968 Counsel for Dimensional Fund Advisors LP (July
2014-January 2016); Assistant General Counsel,
Teacher Retirement System of Texas (October
2008-June 2014).
----------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
----------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
----------------------------------------------------------------------------------------------------------------
Kristina M. Williams Vice President Since 2016 Vice President of all the DFDA Entities. Formerly,
1975 Client Service Supervisor for Dowling & Yahnke (July
2014-January 2016); Head of Operations for The
Elements Financial Group (January 2013-June 2014);
Head of Operations for Vericimetry Advisors LLC
(July 2011-December 2012).
----------------------------------------------------------------------------------------------------------------
Jeremy J. Willis Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1976 Manager, Client Systems for Dimensional Fund
Advisors LP (May 2012-January 2016); Vice
President, Implementations, Citigroup (August 2006-
October 2011).
----------------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of
1981 Global Recruiting and Development (since June
2014) for Dimensional Fund Advisors LP. Formerly,
Senior Manager, Recruiting (December 2012-June
2014) for Dimensional Fund Advisors LP; Co-Head
of Global Recruiting (May 2009-November 2012) for
Two Sigma Investments.
----------------------------------------------------------------------------------------------------------------
Cecelia K. Wong Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1981 Client Service Manager for Dimensional Fund
Advisors LP (June 2005-January 2016).
----------------------------------------------------------------------------------------------------------------
Craig A. Wright Vice President Since 2016 Vice President of all the DFA Entities. Formerly,
1982 Accounting Manager for Dimensional Fund Advisors
LP (November 2011-January 2016); Senior
Associate, PricewaterhouseCoopers LP (July 2009-
November 2011).
----------------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities.
1978
/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.
47
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.
48
NOTICE TO SHAREHOLDERS
(Unaudited)
For shareholders that do not have an October 31, 2016 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2016 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2015 to October 31, 2016, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
Qualifying
Net For Corporate
Investment Short-Term Long-Term Dividends Qualifying Foreign
Income Capital Gain Capital Gain Total Received Dividend Tax
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction(1) Income(2) Credit(3)
--------------------------------- ------------- ------------- ------------- ------------- ------------- ---------- ---------
Global Equity Portfolio............ 100% -- -- 100% 100% 100% 2%
Global Allocation 60/40 Portfolio.. 100% -- -- 100% 100% 100% 1%
Global Allocation 25/75 Portfolio.. 100% -- -- 100% 100% 100% 1%
Qualifying
Foreign Qualifying Short-Term
Source Interest Capital
Dimensional Investment Group Inc. Income(4) Income(5) Gain(6)
--------------------------------- --------- ---------- ----------
Global Equity Portfolio............ 38% 100% 100%
Global Allocation 60/40 Portfolio.. 23% 100% 100%
Global Allocation 25/75 Portfolio.. 12% 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(5)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(6)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
49
DFA103116-025A
[LOGO] 00185766
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Directors has determined that Abbie J. Smith
possesses the technical attributes to qualify as an "audit committee financial
expert" serving on the Registrant's Audit Committee and has designated
Ms. Smith as the "audit committee financial expert." Ms. Smith earned a Ph.D.
in Accounting, and has taught Accounting at the graduate level since 1980.
Ms. Smith's education and career have provided her with an understanding of
generally accepted accounting principles and financial statements; the ability
to assess the general application of such principles in connection with the
accounting for estimates, accruals and reserves; and experience preparing,
analyzing and evaluating financial statements that present a breadth and level
of complexity of issues that can reasonably be expected to be raised by the
Registrant's financial statements. In addition, Ms. Smith has served on the
boards of directors and audit committees of entities other than the Registrant.
Ms. Smith is independent under the standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2016: $293,636
Fiscal Year Ended October 31, 2015: $305,891
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended October 31, 2016: $24,626
Fiscal Year Ended October 31, 2015: $23,488
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: $69,130
Fiscal Year Ended October 31, 2015: $84,417
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 and review of the Registrant's
applicable tax returns.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years
indicated above.
(d) All Other Fees
Fees for Registrant Fiscal Year Ended October 31, 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: $1,495,709
Fiscal Year Ended October 31, 2015: $1,585,897
(h) The Registrant's Audit Committee has considered whether the provision
of non-audit services that were rendered to the Registrant's
investment adviser, and any entity controlling, controlled by, or
under common control with the investment adviser that provides
ongoing services to the Registrant, that were not pre-approved
pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is
compatible with maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF RELATIONSHIP TO SERIES OF THE
INVESTMENTS IS PROVIDED REGISTRANT
------------------------------------ -------------------------------------
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II, U.S. Large Cap Value
Portfolio III and LWAS/DFA U.S. High
Book to Market Portfolio
The DFA International Value Series Master fund for DFA International
Value Portfolio, DFA International
Value Portfolio II, DFA International
Value Portfolio III and DFA
International Value Portfolio IV
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2016
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (94.9%)
Consumer Discretionary -- (11.8%)
* Adient P.L.C. 32,747 $ 1,490,316 0.0%
Advance Auto Parts, Inc. 25,369 3,553,690 0.1%
* Amazon.com, Inc. 135,980 107,399,724 1.7%
#* AutoNation, Inc. 22,861 1,002,912 0.0%
#* AutoZone, Inc. 10,071 7,474,293 0.1%
# Bed Bath & Beyond, Inc. 53,216 2,150,991 0.0%
Best Buy Co., Inc. 95,093 3,700,069 0.1%
# BorgWarner, Inc. 69,387 2,486,830 0.0%
#* CarMax, Inc. 65,964 3,294,242 0.1%
# Carnival Corp. 149,136 7,322,578 0.1%
CBS Corp. Class B 140,171 7,936,482 0.1%
#* Charter Communications, Inc. Class A 75,058 18,756,244 0.3%
#* Chipotle Mexican Grill, Inc. 10,034 3,619,866 0.1%
Coach, Inc. 96,097 3,448,921 0.1%
Comcast Corp. Class A 830,219 51,324,139 0.8%
# Darden Restaurants, Inc. 43,482 2,817,199 0.0%
Delphi Automotive P.L.C. 93,969 6,114,563 0.1%
#* Discovery Communications, Inc. Class A 52,027 1,358,425 0.0%
* Discovery Communications, Inc. Class C 77,318 1,941,455 0.0%
Dollar General Corp. 89,297 6,169,530 0.1%
#* Dollar Tree, Inc. 81,226 6,136,624 0.1%
DR Horton, Inc. 116,712 3,364,807 0.1%
# Expedia, Inc. 41,508 5,364,079 0.1%
Foot Locker, Inc. 46,653 3,115,021 0.1%
Ford Motor Co. 1,352,791 15,881,766 0.3%
# Gap, Inc. (The) 75,503 2,083,128 0.0%
# Garmin, Ltd. 39,692 1,919,505 0.0%
General Motors Co. 492,801 15,572,512 0.2%
# Genuine Parts Co. 51,283 4,645,727 0.1%
Goodyear Tire & Rubber Co. (The) 90,415 2,624,747 0.0%
# H&R Block, Inc. 75,479 1,733,753 0.0%
# Hanesbrands, Inc. 130,153 3,344,932 0.1%
# Harley-Davidson, Inc. 61,597 3,512,261 0.1%
Harman International Industries, Inc. 24,041 1,916,308 0.0%
Hasbro, Inc. 38,883 3,243,231 0.1%
Home Depot, Inc. (The) 426,992 52,097,294 0.8%
Interpublic Group of Cos., Inc. (The) 137,927 3,088,186 0.1%
Johnson Controls International P.L.C. 327,473 13,203,711 0.2%
# Kohl's Corp. 61,871 2,706,856 0.0%
# L Brands, Inc. 82,756 5,974,156 0.1%
# Leggett & Platt, Inc. 46,099 2,115,022 0.0%
Lennar Corp. Class A 64,716 2,698,010 0.0%
* LKQ Corp. 105,800 3,415,224 0.1%
Lowe's Cos., Inc. 302,727 20,176,755 0.3%
Macy's, Inc. 106,269 3,877,756 0.1%
Marriott International, Inc. Class A 110,185 7,569,709 0.1%
# Mattel, Inc. 117,345 3,699,888 0.1%
McDonald's Corp. 294,906 33,197,568 0.5%
#* Michael Kors Holdings, Ltd. 58,225 2,956,665 0.1%
* Mohawk Industries, Inc. 21,714 4,001,890 0.1%
* Netflix, Inc. 148,686 18,566,421 0.3%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
Newell Brands, Inc. 166,121 $ 7,977,130 0.1%
News Corp. Class A 131,097 1,588,896 0.0%
News Corp. Class B 41,264 511,674 0.0%
NIKE, Inc. Class B 466,458 23,406,862 0.4%
# Nordstrom, Inc. 40,033 2,081,716 0.0%
* O'Reilly Automotive, Inc. 32,703 8,647,981 0.1%
# Omnicom Group, Inc. 81,488 6,504,372 0.1%
* Priceline Group, Inc. (The) 17,171 25,314,003 0.4%
PulteGroup, Inc. 106,541 1,981,663 0.0%
PVH Corp. 27,639 2,956,820 0.1%
# Ralph Lauren Corp. 19,395 1,902,649 0.0%
Ross Stores, Inc. 136,624 8,544,465 0.1%
# Royal Caribbean Cruises, Ltd. 57,845 4,446,545 0.1%
# Scripps Networks Interactive, Inc. Class A 32,796 2,110,751 0.0%
# Signet Jewelers, Ltd. 26,043 2,116,254 0.0%
Staples, Inc. 224,074 1,658,148 0.0%
Starbucks Corp. 507,136 26,913,707 0.4%
# Target Corp. 199,513 13,712,528 0.2%
TEGNA, Inc. 73,835 1,448,643 0.0%
# Tiffany & Co. 37,002 2,716,687 0.0%
Time Warner, Inc. 269,229 23,958,689 0.4%
TJX Cos., Inc. (The) 227,566 16,782,992 0.3%
# Tractor Supply Co. 46,048 2,883,986 0.1%
#* TripAdvisor, Inc. 39,396 2,540,254 0.0%
Twenty-First Century Fox, Inc. Class A 366,556 9,629,426 0.2%
Twenty-First Century Fox, Inc. Class B 167,808 4,428,453 0.1%
* Ulta Salon Cosmetics & Fragrance, Inc. 20,198 4,914,981 0.1%
#* Under Armour, Inc. Class A 63,179 1,964,867 0.0%
* Under Armour, Inc. Class C 63,525 1,642,756 0.0%
#* Urban Outfitters, Inc. 30,669 1,025,878 0.0%
VF Corp. 114,345 6,198,642 0.1%
Viacom, Inc. Class B 119,621 4,492,965 0.1%
Walt Disney Co. (The) 510,954 47,360,326 0.7%
Whirlpool Corp. 25,973 3,891,275 0.1%
# Wyndham Worldwide Corp. 37,853 2,492,242 0.0%
Wynn Resorts, Ltd. 27,353 2,586,226 0.0%
Yum! Brands, Inc. 120,489 10,395,791 0.2%
------------ ------------
Total Consumer Discretionary 790,897,224 12.4%
------------ ------------
Consumer Staples -- (9.5%)
Altria Group, Inc. 675,216 44,645,282 0.7%
Archer-Daniels-Midland Co. 200,421 8,732,343 0.1%
# Brown-Forman Corp. Class B 62,836 2,901,138 0.0%
# Campbell Soup Co. 66,988 3,640,128 0.1%
# Church & Dwight Co., Inc. 88,744 4,282,786 0.1%
# Clorox Co. (The) 44,603 5,353,252 0.1%
Coca-Cola Co. (The) 1,342,386 56,917,166 0.9%
Colgate-Palmolive Co. 308,507 22,015,060 0.3%
ConAgra Foods, Inc. 143,584 6,917,877 0.1%
Constellation Brands, Inc. Class A 61,620 10,297,934 0.2%
Costco Wholesale Corp. 151,583 22,414,578 0.3%
Coty, Inc. Class A 162,394 3,733,438 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
CVS Health Corp. 368,464 $ 30,987,822 0.5%
Dr Pepper Snapple Group, Inc. 63,873 5,607,411 0.1%
Estee Lauder Cos., Inc. (The) Class A 76,116 6,631,987 0.1%
General Mills, Inc. 207,296 12,848,206 0.2%
Hershey Co. (The) 48,356 4,954,556 0.1%
# Hormel Foods Corp. 93,095 3,584,158 0.1%
JM Smucker Co. (The) 40,107 5,266,450 0.1%
Kellogg Co. 86,880 6,527,294 0.1%
Kimberly-Clark Corp. 124,727 14,270,016 0.2%
Kraft Heinz Co. (The) 206,393 18,358,657 0.3%
Kroger Co. (The) 330,104 10,226,622 0.2%
# McCormick & Co., Inc. Non-voting 39,632 3,799,520 0.1%
# Mead Johnson Nutrition Co. 63,616 4,756,568 0.1%
Molson Coors Brewing Co. Class B 63,460 6,587,783 0.1%
Mondelez International, Inc. Class A 538,269 24,189,809 0.4%
* Monster Beverage Corp. 46,561 6,720,615 0.1%
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%
Reynolds American, Inc. 287,318 15,825,476 0.2%
Sysco Corp. 175,947 8,466,570 0.1%
Tyson Foods, Inc. Class A 102,472 7,260,141 0.1%
Wal-Mart Stores, Inc. 523,797 36,676,266 0.6%
Walgreens Boots Alliance, Inc. 295,840 24,474,843 0.4%
# Whole Foods Market, Inc. 109,661 3,102,310 0.0%
------------ ------------
Total Consumer Staples 638,045,231 10.0%
------------ ------------
Energy -- (6.8%)
Anadarko Petroleum Corp. 189,578 11,268,516 0.2%
# Apache Corp. 130,713 7,774,809 0.1%
Baker Hughes, Inc. 147,414 8,166,736 0.1%
Cabot Oil & Gas Corp. 160,246 3,345,936 0.1%
#* Chesapeake Energy Corp. 257,560 1,419,156 0.0%
Chevron Corp. 651,947 68,291,448 1.1%
Cimarex Energy Co. 32,724 4,225,650 0.1%
#* Concho Resources, Inc. 48,967 6,215,871 0.1%
ConocoPhillips 429,072 18,643,178 0.3%
Devon Energy Corp. 180,383 6,834,712 0.1%
EOG Resources, Inc. 190,759 17,248,429 0.3%
# EQT Corp. 59,512 3,927,792 0.1%
Exxon Mobil Corp. 1,433,006 119,398,060 1.9%
* FMC Technologies, Inc. 77,892 2,513,575 0.0%
Halliburton Co. 298,785 13,744,110 0.2%
# Helmerich & Payne, Inc. 37,281 2,352,804 0.0%
Hess Corp. 92,732 4,448,354 0.1%
Kinder Morgan, Inc. 666,293 13,612,366 0.2%
# Marathon Oil Corp. 291,885 3,847,044 0.1%
Marathon Petroleum Corp. 182,161 7,940,398 0.1%
# Murphy Oil Corp. 55,927 1,446,832 0.0%
# National Oilwell Varco, Inc. 130,096 4,176,082 0.1%
* Newfield Exploration Co. 68,420 2,777,168 0.0%
Noble Energy, Inc. 148,024 5,102,387 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
Occidental Petroleum Corp. 264,543 $ 19,287,830 0.3%
# ONEOK, Inc. 72,493 3,510,836 0.1%
Phillips 66 154,367 12,526,882 0.2%
Pioneer Natural Resources Co. 58,969 10,556,630 0.2%
Range Resources Corp. 64,763 2,188,342 0.0%
Schlumberger, Ltd. 480,598 37,597,182 0.6%
#* Southwestern Energy Co. 169,998 1,766,279 0.0%
Spectra Energy Corp. 241,533 10,098,495 0.1%
Tesoro Corp. 40,923 3,477,227 0.1%
#* Transocean, Ltd. 118,402 1,137,843 0.0%
Valero Energy Corp. 158,934 9,415,250 0.1%
Williams Cos., Inc. (The) 235,304 6,870,877 0.1%
------------ -----------
Total Energy 457,155,086 7.2%
------------ -----------
Financials -- (12.7%)
* Affiliated Managers Group, Inc. 18,559 2,462,037 0.0%
Aflac, Inc. 141,101 9,717,626 0.1%
Allstate Corp. (The) 127,970 8,689,163 0.1%
American Express Co. 268,991 17,866,382 0.3%
American International Group, Inc. 352,077 21,723,151 0.3%
Ameriprise Financial, Inc. 55,610 4,915,368 0.1%
Aon P.L.C. 91,501 10,141,056 0.2%
Arthur J Gallagher & Co. 60,988 2,941,451 0.0%
Assurant, Inc. 20,741 1,670,065 0.0%
Bank of America Corp. 3,526,591 58,188,752 0.9%
Bank of New York Mellon Corp. (The) 370,354 16,025,218 0.2%
BB&T Corp. 283,240 11,103,008 0.2%
* Berkshire Hathaway, Inc. Class B 656,140 94,681,002 1.5%
BlackRock, Inc. 42,314 14,439,229 0.2%
Capital One Financial Corp. 175,745 13,012,160 0.2%
* CBRE Group, Inc. Class A 102,904 2,650,807 0.0%
Charles Schwab Corp. (The) 417,890 13,247,113 0.2%
Chubb, Ltd. 161,017 20,449,159 0.3%
# Cincinnati Financial Corp. 51,595 3,651,894 0.1%
Citigroup, Inc. 1,004,044 49,348,763 0.8%
Citizens Financial Group, Inc. 178,961 4,713,833 0.1%
CME Group, Inc. 117,685 11,780,269 0.2%
Comerica, Inc. 59,828 3,116,441 0.0%
Discover Financial Services 139,052 7,832,799 0.1%
* E*TRADE Financial Corp. 94,286 2,655,094 0.0%
Fifth Third Bancorp 264,020 5,745,075 0.1%
Franklin Resources, Inc. 121,071 4,075,250 0.1%
Goldman Sachs Group, Inc. (The) 130,493 23,259,072 0.4%
Hartford Financial Services Group, Inc. (The) 132,968 5,865,218 0.1%
Huntington Bancshares, Inc. 373,967 3,964,050 0.1%
Intercontinental Exchange, Inc. 41,411 11,197,120 0.2%
Invesco, Ltd. 141,218 3,966,814 0.1%
JPMorgan Chase & Co. 1,248,235 86,452,756 1.4%
KeyCorp 372,817 5,264,176 0.1%
# Legg Mason, Inc. 31,773 912,521 0.0%
# Leucadia National Corp. 111,741 2,086,204 0.0%
Lincoln National Corp. 80,199 3,936,969 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Loews Corp. 95,231 $ 4,097,790 0.1%
# M&T Bank Corp. 54,008 6,628,402 0.1%
Marsh & McLennan Cos., Inc. 180,007 11,410,644 0.2%
MetLife, Inc. 380,700 17,877,672 0.3%
# Moody's Corp. 57,636 5,793,571 0.1%
Morgan Stanley 510,263 17,129,529 0.3%
Nasdaq, Inc. 39,330 2,515,940 0.0%
# Navient Corp. 109,220 1,395,832 0.0%
Northern Trust Corp. 73,358 5,312,586 0.1%
# People's United Financial, Inc. 107,127 1,739,742 0.0%
PNC Financial Services Group, Inc. (The) 170,429 16,293,012 0.3%
Principal Financial Group, Inc. 92,142 5,030,953 0.1%
Progressive Corp. (The) 200,473 6,316,904 0.1%
Prudential Financial, Inc. 151,734 12,865,526 0.2%
Regions Financial Corp. 432,423 4,631,250 0.1%
S&P Global, Inc. 91,762 11,181,200 0.2%
State Street Corp. 126,301 8,867,593 0.1%
SunTrust Banks, Inc. 172,739 7,812,985 0.1%
Synchrony Financial 272,927 7,802,983 0.1%
# T Rowe Price Group, Inc. 85,628 5,481,048 0.1%
Torchmark Corp. 38,333 2,430,696 0.0%
Travelers Cos., Inc. (The) 100,183 10,837,797 0.2%
U.S. Bancorp. 556,589 24,912,924 0.4%
Unum Group 80,836 2,861,594 0.0%
Wells Fargo & Co. 1,569,283 72,202,711 1.1%
Willis Towers Watson P.L.C. 44,706 5,628,485 0.1%
XL Group, Ltd. 94,729 3,287,096 0.1%
Zions Bancorporation 70,662 2,276,023 0.0%
------------ ------------
Total Financials 848,369,553 13.3%
------------ ------------
Health Care -- (13.3%)
Abbott Laboratories 508,873 19,968,177 0.3%
AbbVie, Inc. 562,794 31,392,649 0.5%
Aetna, Inc. 121,766 13,071,580 0.2%
Agilent Technologies, Inc. 112,110 4,884,633 0.1%
* Alexion Pharmaceuticals, Inc. 77,255 10,081,777 0.2%
* Allergan P.L.C. 136,848 28,593,021 0.4%
# AmerisourceBergen Corp. 62,286 4,379,952 0.1%
Amgen, Inc. 258,620 36,506,799 0.6%
Anthem, Inc. 91,490 11,148,971 0.2%
Baxter International, Inc. 168,635 8,025,340 0.1%
Becton Dickinson and Co. 73,936 12,414,594 0.2%
* Biogen, Inc. 75,833 21,246,890 0.3%
* Boston Scientific Corp. 473,141 10,409,102 0.2%
Bristol-Myers Squibb Co. 577,630 29,407,143 0.5%
Cardinal Health, Inc. 109,756 7,539,140 0.1%
* Celgene Corp. 268,047 27,389,042 0.4%
* Centene Corp. 58,820 3,675,074 0.1%
#* Cerner Corp. 103,545 6,065,666 0.1%
Cigna Corp. 89,218 10,601,775 0.2%
# Cooper Cos., Inc. (The) 16,792 2,956,064 0.0%
CR Bard, Inc. 25,306 5,483,304 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Health Care -- (Continued)
Danaher Corp. 210,661 $ 16,547,422 0.3%
* DaVita, Inc. 57,023 3,342,688 0.1%
# DENTSPLY SIRONA, Inc. 80,282 4,621,835 0.1%
* Edwards Lifesciences Corp. 73,338 6,983,244 0.1%
Eli Lilly & Co. 335,908 24,803,447 0.4%
* Endo International P.L.C. 68,303 1,280,681 0.0%
* Express Scripts Holding Co. 218,548 14,730,135 0.2%
Gilead Sciences, Inc. 456,050 33,578,961 0.5%
* HCA Holdings, Inc. 101,748 7,786,774 0.1%
#* Henry Schein, Inc. 28,193 4,206,396 0.1%
* Hologic, Inc. 95,574 3,441,620 0.1%
Humana, Inc. 51,354 8,808,752 0.1%
#* Illumina, Inc. 50,513 6,876,840 0.1%
* Intuitive Surgical, Inc. 13,261 8,912,453 0.1%
Johnson & Johnson 945,469 109,664,949 1.7%
* Laboratory Corp. of America Holdings 35,243 4,417,358 0.1%
* Mallinckrodt P.L.C. 37,108 2,199,020 0.0%
McKesson Corp. 78,378 9,967,330 0.1%
Medtronic P.L.C. 477,572 39,170,455 0.6%
Merck & Co., Inc. 955,605 56,113,126 0.9%
* Mettler-Toledo International, Inc. 9,126 3,687,634 0.1%
* Mylan NV 158,481 5,784,556 0.1%
# Patterson Cos., Inc. 28,813 1,230,603 0.0%
PerkinElmer, Inc. 37,690 1,918,044 0.0%
# Perrigo Co. P.L.C. 49,361 4,106,342 0.1%
Pfizer, Inc. 2,096,178 66,469,804 1.0%
Quest Diagnostics, Inc. 47,892 3,900,324 0.1%
* Regeneron Pharmaceuticals, Inc. 26,000 8,970,520 0.1%
St Jude Medical, Inc. 98,160 7,640,774 0.1%
Stryker Corp. 107,908 12,447,188 0.2%
Thermo Fisher Scientific, Inc. 136,486 20,067,537 0.3%
UnitedHealth Group, Inc. 329,129 46,515,802 0.7%
Universal Health Services, Inc. Class B 31,039 3,746,718 0.1%
#* Varian Medical Systems, Inc. 32,170 2,918,784 0.0%
* Vertex Pharmaceuticals, Inc. 85,361 6,475,485 0.1%
* Waters Corp. 27,742 3,860,022 0.1%
Zimmer Biomet Holdings, Inc. 68,905 7,262,587 0.1%
Zoetis, Inc. 170,545 8,152,051 0.1%
------------ ------------
Total Health Care 887,848,954 13.9%
------------ ------------
Industrials -- (9.3%)
3M Co. 208,870 34,526,211 0.5%
# Acuity Brands, Inc. 15,120 3,380,378 0.1%
Alaska Air Group, Inc. 42,412 3,062,995 0.0%
Allegion P.L.C. 33,037 2,109,082 0.0%
# American Airlines Group, Inc. 182,558 7,411,855 0.1%
AMETEK, Inc. 80,000 3,528,000 0.1%
Arconic, Inc. 151,051 4,338,185 0.1%
# Boeing Co. (The) 200,618 28,574,022 0.4%
# Caterpillar, Inc. 202,412 16,893,305 0.3%
# CH Robinson Worldwide, Inc. 49,163 3,348,984 0.1%
# Cintas Corp. 29,438 3,140,151 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
CSX Corp. 325,899 $ 9,943,178 0.2%
Cummins, Inc. 53,450 6,831,979 0.1%
# Deere & Co. 99,655 8,799,536 0.1%
Delta Air Lines, Inc. 260,501 10,881,127 0.2%
Dover Corp. 53,473 3,576,809 0.1%
Dun & Bradstreet Corp. (The) 12,508 1,561,624 0.0%
Eaton Corp. P.L.C. 156,647 9,989,379 0.2%
# Emerson Electric Co. 223,707 11,337,471 0.2%
Equifax, Inc. 41,112 5,096,655 0.1%
# Expeditors International of Washington, Inc. 62,400 3,211,728 0.1%
# Fastenal Co. 99,550 3,880,459 0.1%
FedEx Corp. 84,742 14,772,225 0.2%
# Flowserve Corp. 45,011 1,906,216 0.0%
Fluor Corp. 47,986 2,494,792 0.0%
Fortive Corp. 103,576 5,287,555 0.1%
Fortune Brands Home & Security, Inc. 53,020 2,896,483 0.0%
General Dynamics Corp. 99,521 15,001,796 0.2%
General Electric Co. 3,096,837 90,117,957 1.4%
Honeywell International, Inc. 263,044 28,850,666 0.5%
Illinois Tool Works, Inc. 110,920 12,597,184 0.2%
Ingersoll-Rand P.L.C. 88,882 5,980,870 0.1%
* Jacobs Engineering Group, Inc. 41,881 2,160,222 0.0%
# JB Hunt Transport Services, Inc. 30,279 2,471,069 0.0%
Kansas City Southern 37,201 3,264,760 0.1%
L-3 Communications Holdings, Inc. 26,610 3,643,973 0.1%
Lockheed Martin Corp. 87,397 21,532,873 0.3%
Masco Corp. 113,734 3,512,106 0.1%
Nielsen Holdings P.L.C. 115,721 5,209,759 0.1%
Norfolk Southern Corp. 101,130 9,405,090 0.1%
Northrop Grumman Corp. 61,977 14,192,733 0.2%
# PACCAR, Inc. 120,759 6,632,084 0.1%
Parker-Hannifin Corp. 46,161 5,666,263 0.1%
# Pentair P.L.C. 57,399 3,164,407 0.1%
Pitney Bowes, Inc. 63,937 1,140,636 0.0%
* Quanta Services, Inc. 52,072 1,497,070 0.0%
Raytheon Co. 102,391 13,987,634 0.2%
Republic Services, Inc. 80,316 4,227,031 0.1%
Robert Half International, Inc. 44,951 1,682,066 0.0%
# Rockwell Automation, Inc. 44,555 5,334,125 0.1%
# Rockwell Collins, Inc. 44,762 3,774,332 0.1%
# Roper Technologies, Inc. 34,912 6,050,599 0.1%
Ryder System, Inc. 18,468 1,281,494 0.0%
Snap-on, Inc. 20,011 3,083,695 0.0%
Southwest Airlines Co. 213,674 8,557,644 0.1%
Stanley Black & Decker, Inc. 51,823 5,899,530 0.1%
#* Stericycle, Inc. 29,297 2,346,397 0.0%
Textron, Inc. 92,832 3,720,707 0.1%
# TransDigm Group, Inc. 17,249 4,699,663 0.1%
Union Pacific Corp. 287,976 25,393,724 0.4%
* United Continental Holdings, Inc. 101,075 5,683,447 0.1%
United Parcel Service, Inc. Class B 239,070 25,762,183 0.4%
* United Rentals, Inc. 29,683 2,245,816 0.0%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
United Technologies Corp. 269,142 $ 27,506,312 0.4%
* Verisk Analytics, Inc. 54,136 4,414,791 0.1%
Waste Management, Inc. 140,181 9,204,284 0.1%
# WW Grainger, Inc. 19,151 3,985,706 0.1%
Xylem, Inc. 61,729 2,983,363 0.0%
------------ -----------
Total Industrials 620,646,445 9.8%
------------ -----------
Information Technology -- (20.5%)
Accenture P.L.C. Class A 215,315 25,028,216 0.4%
Activision Blizzard, Inc. 235,004 10,145,123 0.2%
* Adobe Systems, Inc. 172,592 18,555,366 0.3%
#* Akamai Technologies, Inc. 60,183 4,180,913 0.1%
#* Alliance Data Systems Corp. 20,152 4,120,479 0.1%
* Alphabet, Inc. Class A 101,893 82,523,141 1.3%
* Alphabet, Inc. Class C 102,119 80,116,440 1.3%
# Amphenol Corp. Class A 106,357 7,012,117 0.1%
Analog Devices, Inc. 105,926 6,789,857 0.1%
Apple, Inc. 1,862,147 211,428,170 3.3%
Applied Materials, Inc. 375,937 10,932,248 0.2%
#* Autodesk, Inc. 67,270 4,862,276 0.1%
Automatic Data Processing, Inc. 158,298 13,781,424 0.2%
Broadcom, Ltd. 136,846 23,302,137 0.4%
CA, Inc. 108,248 3,327,544 0.1%
Cisco Systems, Inc. 1,738,176 53,327,240 0.8%
* Citrix Systems, Inc. 53,649 4,549,435 0.1%
* Cognizant Technology Solutions Corp. Class A 211,082 10,839,061 0.2%
Corning, Inc. 357,210 8,112,239 0.1%
CSRA, Inc. 50,170 1,258,765 0.0%
* eBay, Inc. 364,862 10,402,216 0.2%
* Electronic Arts, Inc. 103,615 8,135,850 0.1%
#* F5 Networks, Inc. 22,808 3,152,294 0.0%
* Facebook, Inc. Class A 802,772 105,155,104 1.6%
Fidelity National Information Services, Inc. 112,938 8,348,377 0.1%
#* First Solar, Inc. 26,394 1,068,693 0.0%
* Fiserv, Inc. 75,727 7,457,595 0.1%
FLIR Systems, Inc. 47,210 1,554,153 0.0%
Global Payments, Inc. 52,926 3,838,194 0.1%
Harris Corp. 42,749 3,813,638 0.1%
Hewlett Packard Enterprise Co. 577,115 12,967,774 0.2%
HP, Inc. 589,406 8,540,493 0.1%
Intel Corp. 1,634,947 57,010,602 0.9%
# International Business Machines Corp. 300,593 46,198,138 0.7%
Intuit, Inc. 84,418 9,179,613 0.1%
Juniper Networks, Inc. 131,933 3,475,115 0.1%
KLA-Tencor Corp. 53,741 4,036,486 0.1%
Lam Research Corp. 55,210 5,347,641 0.1%
Linear Technology Corp. 82,585 4,960,055 0.1%
Mastercard, Inc. Class A 331,389 35,465,251 0.5%
# Microchip Technology, Inc. 74,168 4,490,872 0.1%
* Micron Technology, Inc. 357,731 6,138,664 0.1%
Microsoft Corp. 2,692,950 161,361,564 2.5%
Motorola Solutions, Inc. 57,438 4,168,850 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Information Technology -- (Continued)
NetApp, Inc. 96,003 $ 3,258,342 0.1%
# NVIDIA Corp. 185,826 13,223,378 0.2%
Oracle Corp. 1,040,060 39,959,105 0.6%
# Paychex, Inc. 110,543 6,101,974 0.1%
* PayPal Holdings, Inc. 389,234 16,215,488 0.2%
#* Qorvo, Inc. 44,061 2,451,995 0.0%
QUALCOMM, Inc. 509,266 34,996,759 0.5%
* Red Hat, Inc. 62,389 4,832,028 0.1%
* salesforce.com, Inc. 223,174 16,773,758 0.3%
# Seagate Technology P.L.C. 102,872 3,529,538 0.1%
# Skyworks Solutions, Inc. 64,593 4,969,785 0.1%
Symantec Corp. 212,074 5,308,212 0.1%
TE Connectivity, Ltd. 122,571 7,706,039 0.1%
#* Teradata Corp. 44,924 1,211,151 0.0%
Texas Instruments, Inc. 347,072 24,590,051 0.4%
Total System Services, Inc. 56,999 2,843,110 0.0%
#* VeriSign, Inc. 32,000 2,688,640 0.0%
# Visa, Inc. Class A 651,917 53,789,672 0.8%
# Western Digital Corp. 97,931 5,723,088 0.1%
# Western Union Co. (The) 167,818 3,368,107 0.1%
Xerox Corp. 293,235 2,864,906 0.0%
Xilinx, Inc. 87,326 4,442,274 0.1%
* Yahoo!, Inc. 304,077 12,634,399 0.2%
-------------- ------------
Total Information Technology 1,373,941,222 21.6%
-------------- ------------
Materials -- (2.7%)
Air Products & Chemicals, Inc. 74,603 9,953,532 0.2%
Albemarle Corp. 38,723 3,235,307 0.1%
Avery Dennison Corp. 30,648 2,138,924 0.0%
# Ball Corp. 60,023 4,625,973 0.1%
# CF Industries Holdings, Inc. 80,315 1,928,363 0.0%
Dow Chemical Co. (The) 390,073 20,989,828 0.3%
Eastman Chemical Co. 50,952 3,663,958 0.1%
Ecolab, Inc. 91,244 10,417,327 0.2%
EI du Pont de Nemours & Co. 302,659 20,819,913 0.3%
# FMC Corp. 46,098 2,161,535 0.0%
# Freeport-McMoRan, Inc. 420,985 4,706,612 0.1%
# International Flavors & Fragrances, Inc. 27,420 3,585,988 0.1%
International Paper Co. 141,661 6,378,995 0.1%
LyondellBasell Industries NV Class A 117,439 9,342,272 0.1%
Martin Marietta Materials, Inc. 21,855 4,051,480 0.1%
Monsanto Co. 151,727 15,289,530 0.2%
# Mosaic Co. (The) 120,644 2,838,753 0.0%
Newmont Mining Corp. 182,791 6,770,579 0.1%
Nucor Corp. 109,675 5,357,624 0.1%
#* Owens-Illinois, Inc. 55,631 1,073,678 0.0%
PPG Industries, Inc. 91,736 8,543,374 0.1%
Praxair, Inc. 99,118 11,602,753 0.2%
Sealed Air Corp. 67,798 3,093,623 0.0%
Sherwin-Williams Co. (The) 27,641 6,768,175 0.1%
Vulcan Materials Co. 45,844 5,189,541 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
WestRock Co. 86,581 $ 3,999,176 0.1%
------------ -----------
Total Materials 178,526,813 2.8%
------------ -----------
Real Estate Investment Trusts -- (2.7%)
American Tower Corp. 147,466 17,281,541 0.3%
# Apartment Investment & Management Co. Class A 53,984 2,379,075 0.0%
AvalonBay Communities, Inc. 47,305 8,097,670 0.1%
Boston Properties, Inc. 52,948 6,379,175 0.1%
Crown Castle International Corp. 117,379 10,680,315 0.2%
# Digital Realty Trust, Inc. 50,595 4,727,091 0.1%
Equinix, Inc. 24,486 8,748,358 0.1%
Equity Residential 125,936 7,776,548 0.1%
Essex Property Trust, Inc. 22,563 4,830,513 0.1%
# Extra Space Storage, Inc. 43,335 3,169,955 0.0%
Federal Realty Investment Trust 24,427 3,547,533 0.1%
General Growth Properties, Inc. 201,166 5,019,092 0.1%
HCP, Inc. 161,085 5,517,161 0.1%
# Host Hotels & Resorts, Inc. 255,486 3,954,923 0.1%
# Iron Mountain, Inc. 84,342 2,844,856 0.0%
# Kimco Realty Corp. 144,710 3,850,733 0.1%
Macerich Co. (The) 41,563 2,941,829 0.0%
Prologis, Inc. 181,538 9,469,022 0.1%
Public Storage 51,841 11,079,458 0.2%
# Realty Income Corp. 89,078 5,276,981 0.1%
Simon Property Group, Inc. 108,760 20,225,010 0.3%
# SL Green Realty Corp. 34,561 3,394,581 0.1%
UDR, Inc. 92,003 3,217,345 0.1%
# Ventas, Inc. 121,042 8,200,595 0.1%
Vornado Realty Trust 59,197 5,492,298 0.1%
Welltower, Inc. 123,304 8,450,023 0.1%
Weyerhaeuser Co. 257,942 7,720,204 0.1%
------------ -----------
Total Real Estate Investment Trusts 184,271,885 2.9%
------------ -----------
Telecommunication Services -- (2.4%)
AT&T, Inc. 2,126,018 78,216,202 1.2%
# CenturyLink, Inc. 188,090 4,999,432 0.1%
# Frontier Communications Corp. 404,129 1,624,599 0.0%
* Level 3 Communications, Inc. 100,325 5,633,249 0.1%
Verizon Communications, Inc. 1,408,695 67,758,229 1.1%
------------ -----------
Total Telecommunication Services 158,231,711 2.5%
------------ -----------
Utilities -- (3.2%)
AES Corp. 227,060 2,672,496 0.0%
# Alliant Energy Corp. 78,318 2,980,000 0.0%
Ameren Corp. 83,589 4,175,271 0.1%
American Electric Power Co., Inc. 171,002 11,087,770 0.2%
American Water Works Co., Inc. 61,288 4,537,763 0.1%
CenterPoint Energy, Inc. 148,372 3,382,882 0.1%
CMS Energy Corp. 96,126 4,051,711 0.1%
# Consolidated Edison, Inc. 104,873 7,923,155 0.1%
# Dominion Resources, Inc. 216,954 16,314,941 0.3%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Utilities -- (Continued)
DTE Energy Co. 61,816 $ 5,934,954 0.1%
Duke Energy Corp. 238,638 19,095,813 0.3%
Edison International 112,244 8,247,689 0.1%
Entergy Corp. 61,660 4,543,109 0.1%
# Eversource Energy 109,280 6,016,957 0.1%
Exelon Corp. 320,993 10,936,231 0.2%
FirstEnergy Corp. 146,483 5,022,902 0.1%
NextEra Energy, Inc. 161,716 20,699,648 0.3%
NiSource, Inc. 110,994 2,581,720 0.0%
NRG Energy, Inc. 108,616 1,154,588 0.0%
PG&E Corp. 171,738 10,668,365 0.2%
Pinnacle West Capital Corp. 38,300 2,915,779 0.0%
PPL Corp. 233,607 8,022,064 0.1%
Public Service Enterprise Group, Inc. 174,291 7,334,165 0.1%
SCANA Corp. 49,236 3,611,953 0.1%
# Sempra Energy 86,058 9,216,812 0.1%
Southern Co. (The) 339,148 17,489,862 0.3%
# WEC Energy Group, Inc. 108,733 6,493,535 0.1%
Xcel Energy, Inc. 174,993 7,270,959 0.1%
-------------- ------------
Total Utilities 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%
============== ============
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 848,369,553 -- -- 848,369,553
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 Investment Trusts 184,271,885 -- -- 184,271,885
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 Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 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 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 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.
Dimensional Investment Group Inc.
By: /s/ David G. Booth
-----------------------------------
David G. Booth
Chairman, Director, 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
Dimensional Investment Group Inc.
Date: January 4, 2017
By: /s/ Gregory K. Hinkle
-----------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Investment Group Inc.
Date: January 4, 2017