================================================================================
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 811-7440
-----------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
(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, President and General Counsel
Dimensional Emerging Markets Value Fund,
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: November 1, 2016 - April 30, 2017
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2017 (Unaudited)
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2017
Dear Fellow Shareholder,
Thank you for trusting us with your savings. All of us at Dimensional are
dedicated to helping you achieve your investment goals, a responsibility we do
not take lightly.
We believe the scientific underpinning of our investment approach and our
efficient implementation enables us to deliver portfolios with better outcomes.
By offering consistent and well-diversified investment solutions across regions
and asset classes, investors and the professionals advising them can more
confidently create asset allocations that satisfy their desired profiles and
long-term goals.
We live in an evolving world with new data, new trading technologies, and new
client needs emerging all the time. Since our founding in 1981, Dimensional has
been fully committed to being on the cutting edge of incorporating knowledge
and technology for even better solutions -- always centered on investors' needs.
Sincerely,
/s/ David Butler /s/ Eduardo A. Repetto
David Butler Eduardo Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF EXECUTIVE OFFICER AND
HEAD OF GLOBAL FINANCIAL ADVISOR SERVICES CO-CHIEF INVESTMENT OFFICER
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES.............................. 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Disclosure of Fund Expenses.......................................... 2
Disclosure of Portfolio Holdings..................................... 8
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio............................ 11
U.S. Large Cap Equity Portfolio.................................. 14
U.S. Large Cap Value Portfolio................................... 17
U.S. Targeted Value Portfolio.................................... 18
U.S. Small Cap Value Portfolio................................... 21
U.S. Core Equity 1 Portfolio..................................... 24
U.S. Core Equity 2 Portfolio..................................... 27
U.S. Vector Equity Portfolio..................................... 30
U.S. Small Cap Portfolio......................................... 33
U.S. Micro Cap Portfolio......................................... 36
DFA Real Estate Securities Portfolio............................. 39
Large Cap International Portfolio................................ 41
International Core Equity Portfolio.............................. 45
International Small Company Portfolio............................ 49
Global Small Company Portfolio................................... 50
Japanese Small Company Portfolio................................. 51
Asia Pacific Small Company Portfolio............................. 51
United Kingdom Small Company Portfolio........................... 52
Continental Small Company Portfolio.............................. 52
DFA International Real Estate Securities Portfolio............... 53
DFA Global Real Estate Securities Portfolio...................... 57
DFA International Small Cap Value Portfolio...................... 59
International Vector Equity Portfolio............................ 63
World ex U.S. Value Portfolio.................................... 67
World ex U.S. Targeted Value Portfolio........................... 68
World ex U.S. Core Equity Portfolio.............................. 73
World Core Equity Portfolio...................................... 79
Selectively Hedged Global Equity Portfolio....................... 80
Emerging Markets Portfolio....................................... 81
Emerging Markets Small Cap Portfolio............................. 81
Emerging Markets Value Portfolio................................. 81
Emerging Markets Core Equity Portfolio........................... 82
Statements of Assets and Liabilities................................. 86
Statements of Operations............................................. 93
Statements of Changes in Net Assets.................................. 100
Financial Highlights................................................. 110
Notes to Financial Statements........................................ 132
Section 19(a) Notice................................................. 167
DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO
Consolidated Disclosure of Fund Expenses............................. 169
Consolidated Disclosure of Portfolio Holdings........................ 170
Consolidated Schedule of Investments................................. 171
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
Consolidated Statement of Assets and Liabilities................ 176
Consolidated Statement of Operations............................ 177
Consolidated Statements of Changes in Net Assets................ 178
Consolidated Financial Highlights............................... 179
Consolidated Notes to Financial Statements...................... 180
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses..................................... 193
Disclosure of Portfolio Holdings................................ 195
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio........................... 196
U.S. Large Company Portfolio................................ 197
Statements of Assets and Liabilities............................ 200
Statements of Operations........................................ 201
Statements of Changes in Net Assets............................. 202
Financial Highlights............................................ 203
Notes to Financial Statements................................... 206
Section 19(a) Notice............................................ 216
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses..................................... 217
Disclosure of Portfolio Holdings................................ 220
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series............................. 221
The DFA International Value Series.......................... 224
The Japanese Small Company Series........................... 228
The Asia Pacific Small Company Series....................... 231
The United Kingdom Small Company Series..................... 233
The Continental Small Company Series........................ 236
The Canadian Small Company Series........................... 239
The Emerging Markets Series................................. 242
The Emerging Markets Small Cap Series....................... 246
Statements of Assets and Liabilities............................ 250
Statements of Operations........................................ 252
Statements of Changes in Net Assets............................. 254
Financial Highlights............................................ 257
Notes to Financial Statements................................... 262
DIMENSIONAL EMERGING MARKETS VALUE FUND
Disclosure of Fund Expenses..................................... 274
Disclosure of Portfolio Holdings................................ 275
Summary Schedule of Portfolio Holdings.......................... 276
Statement of Assets and Liabilities............................. 280
Statement of Operations......................................... 281
Statements of Changes in Net Assets............................. 282
Financial Highlights............................................ 283
Notes to Financial Statements................................... 284
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................ 292
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS................. 293
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.
ii
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
GBP British Pounds
NZD New Zealand Dollars
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Denominated in USD, unless otherwise noted.
@ Security purchased with cash proceeds from Securities on Loan.
^^ Security pledged as collateral for the Open Futures Contracts.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Fund(s).
(C) Because of commencement of operations and related preliminary transaction costs, these ratios are
not necessarily indicative of future ratios.
(D) Non-Annualized
(E) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
REIT Real Estate Investment Trust
SEC Securities and Exchange Commission
(a) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
-------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,133.30 0.22% $1.16
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,023.70 0.22% $1.10
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP EQUITY PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,140.80 0.17% $0.90
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.95 0.17% $0.85
U.S. LARGE CAP VALUE PORTFOLIO**
--------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,151.90 0.27% $1.44
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.46 0.27% $1.35
U.S. TARGETED VALUE PORTFOLIO
-----------------------------
Actual Fund Return
Class R1 Shares................. $1,000.00 $1,164.70 0.47% $2.52
Class R2 Shares................. $1,000.00 $1,164.40 0.62% $3.33
Institutional Class Shares...... $1,000.00 $1,165.50 0.37% $1.99
Hypothetical 5% Annual Return
Class R1 Shares................. $1,000.00 $1,022.46 0.47% $2.36
Class R2 Shares................. $1,000.00 $1,021.72 0.62% $3.11
Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86
U.S. SMALL CAP VALUE PORTFOLIO
------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,177.30 0.52% $2.81
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.22 0.52% $2.61
U.S. CORE EQUITY 1 PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,147.00 0.18% $0.96
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.90 0.18% $0.90
U.S. CORE EQUITY 2 PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,149.00 0.21% $1.12
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.75 0.21% $1.05
U.S. VECTOR EQUITY PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,164.10 0.32% $1.72
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.21 0.32% $1.61
3
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. SMALL CAP PORTFOLIO
------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,175.50 0.37% $2.00
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.96 0.37% $1.86
U.S. MICRO CAP PORTFOLIO
------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,189.40 0.52% $2.82
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.22 0.52% $2.61
DFA REAL ESTATE SECURITIES PORTFOLIO
------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,036.60 0.18% $0.91
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.90 0.18% $0.90
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,111.90 0.24% $1.26
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.60 0.24% $1.20
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,119.40 0.32% $1.68
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.21 0.32% $1.61
INTERNATIONAL SMALL COMPANY PORTFOLIO***
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,126.00 0.53% $2.79
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.17 0.53% $2.66
GLOBAL SMALL COMPANY PORTFOLIO****
----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,057.00 0.49% $2.50
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.36 0.49% $2.46
JAPANESE SMALL COMPANY PORTFOLIO**
----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,068.80 0.53% $2.72
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.17 0.53% $2.66
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
ASIA PACIFIC SMALL COMPANY PORTFOLIO**
--------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,048.20 0.54% $2.74
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.12 0.54% $2.71
UNITED KINGDOM SMALL COMPANY PORTFOLIO**
----------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,204.40 0.59% $3.22
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.87 0.59% $2.96
CONTINENTAL SMALL COMPANY PORTFOLIO**
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,180.90 0.54% $2.92
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.12 0.54% $2.71
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,037.90 0.28% $1.41
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.41 0.28% $1.40
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO*****
------------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,035.80 0.24% $1.21
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.60 0.24% $1.20
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
-------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,132.90 0.68% $3.60
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.42 0.68% $3.41
INTERNATIONAL VECTOR EQUITY PORTFOLIO
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,123.60 0.48% $2.53
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.41 0.48% $2.41
WORLD EX U.S. VALUE PORTFOLIO***
--------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,117.00 0.52% $2.73
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.22 0.52% $2.61
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
WORLD EX U.S. TARGETED VALUE PORTFOLIO
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,139.00 0.70% $3.71
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.32 0.70% $3.51
WORLD EX U.S. CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,113.30 0.41% $2.15
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.76 0.41% $2.06
WORLD CORE EQUITY PORTFOLIO***
------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,130.80 0.35% $1.85
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.06 0.35% $1.76
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO***
---------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,133.00 0.34% $1.80
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.11 0.34% $1.71
EMERGING MARKETS PORTFOLIO**
----------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,091.70 0.53% $2.75
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.17 0.53% $2.66
EMERGING MARKETS SMALL CAP PORTFOLIO**
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,098.30 0.72% $3.75
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.22 0.72% $3.61
EMERGING MARKETS VALUE PORTFOLIO**
----------------------------------
Actual Fund Return
Class R2 Shares.............................. $1,000.00 $1,114.00 0.81% $4.25
Institutional Class Shares................... $1,000.00 $1,114.90 0.56% $2.94
Hypothetical 5% Annual Return
Class R2 Shares.............................. $1,000.00 $1,020.78 0.81% $4.06
Institutional Class Shares................... $1,000.00 $1,022.02 0.56% $2.81
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
EMERGING MARKETS CORE EQUITY PORTFOLIO
--------------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $1,096.80 0.56% $2.91
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,022.02 0.56% $2.81
----------
* 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 (181), then
divided by the number of days in the year (365) to reflect the six-month
period.
** The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses
of its Master 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 (Affiliated Investment Companies).
****Global Small Company Portfolio commenced operations on January 18, 2017.
Expenses are equal to the fund's annualized expense ratio for the period,
multiplied by the average account value over the period, multiplied by the
number of days since inception (102), then divided by the number of days in
the year (365) to reflect the period. The "Ending Account Value" is derived
from the fund's share class actual return since inception. The
"Hypothetical 5% Annual Return" information reflects the 181 day period for
the six months ended April 30, 2017 to allow for comparability. 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 (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 Master Funds (Affiliated Investment
Companies).
7
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 30, 2017. They are available upon request,
without charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The categories of industry classification for the Affiliated Investment
Companies are represented in their Disclosures of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Schedule of
Investments/Summary Schedule of Portfolio Holdings for each of the underlying
Affiliated Investment Company's holdings, which reflect the investments by
category or country.
FEEDER FUNDS
AFFILIATED INVESTMENT COMPANIES
-------------------------------
U.S. Large Cap Value Portfolio......... 100.0%
Japanese Small Company Portfolio....... 100.0%
Asia Pacific Small Company Portfolio... 100.0%
United Kingdom Small Company Portfolio. 100.0%
Continental Small Company Portfolio.... 100.0%
Emerging Markets Portfolio............. 100.0%
Emerging Markets Small Cap Portfolio... 100.0%
Emerging Markets Value Portfolio....... 100.0%
8
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
FUND OF FUNDS
International Small Company Portfolio..................................................... 100.0%
Global 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.................................... 39.2%
Government................................... 13.8%
Foreign Corporate............................ 22.9%
Foreign Government........................... 21.1%
Supranational................................ 3.0%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. LARGE CAP EQUITY PORTFOLIO
Consumer Discretionary....................... 15.3%
Consumer Staples............................. 8.7%
Energy....................................... 5.4%
Financials................................... 14.8%
Health Care.................................. 13.0%
Industrials.................................. 12.2%
Information Technology....................... 21.1%
Materials.................................... 3.8%
Real Estate.................................. 0.3%
Telecommunication Services................... 2.7%
Utilities.................................... 2.7%
-----
100.0%
U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 14.9%
Consumer Staples............................. 2.6%
Energy....................................... 8.5%
Financials................................... 26.5%
Health Care.................................. 5.1%
Industrials.................................. 22.0%
Information Technology....................... 13.0%
Materials.................................... 5.5%
Real Estate.................................. 0.5%
Telecommunication Services................... 0.9%
Utilities.................................... 0.5%
-----
100.0%
U.S. SMALL CAP VALUE PORTFOLIO
Consumer Discretionary....................... 15.3%
Consumer Staples............................. 4.7%
Energy....................................... 9.4%
Financials................................... 27.1%
Health Care.................................. 4.5%
Industrials.................................. 17.9%
Information Technology....................... 14.1%
Materials.................................... 5.9%
Real Estate.................................. 0.2%
Telecommunication Services................... 0.9%
-----
100.0%
U.S. CORE EQUITY 1 PORTFOLIO
Consumer Discretionary....................... 15.9%
Consumer Staples............................. 8.0%
Energy....................................... 4.9%
Financials................................... 15.5%
Health Care.................................. 11.5%
Industrials.................................. 13.6%
Information Technology....................... 20.5%
Materials.................................... 4.5%
Real Estate.................................. 0.3%
Telecommunication Services................... 2.4%
Utilities.................................... 2.9%
-----
100.0%
U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 15.0%
Consumer Staples............................. 6.9%
Energy....................................... 5.8%
Financials................................... 18.7%
Health Care.................................. 10.9%
Industrials.................................. 14.3%
Information Technology....................... 18.7%
Materials.................................... 4.8%
Real Estate.................................. 0.4%
Telecommunication Services................... 2.6%
Utilities.................................... 1.9%
-----
100.0%
U.S. VECTOR EQUITY PORTFOLIO
Consumer Discretionary....................... 14.6%
Consumer Staples............................. 4.6%
Energy....................................... 7.1%
Financials................................... 23.7%
Health Care.................................. 8.3%
Industrials.................................. 16.7%
Information Technology....................... 15.4%
Materials.................................... 5.4%
Real Estate.................................. 0.4%
Telecommunication Services................... 2.7%
Utilities.................................... 1.1%
-----
100.0%
U.S. SMALL CAP PORTFOLIO
Consumer Discretionary....................... 15.9%
Consumer Staples............................. 4.3%
Energy....................................... 4.4%
Financials................................... 21.6%
Health Care.................................. 8.2%
Industrials.................................. 19.3%
Information Technology....................... 15.1%
Materials.................................... 5.4%
Real Estate.................................. 0.6%
Telecommunication Services................... 1.1%
Utilities.................................... 4.1%
-----
100.0%
U.S. MICRO CAP PORTFOLIO
Consumer Discretionary....................... 15.4%
Consumer Staples............................. 3.4%
Energy....................................... 2.6%
Financials................................... 23.2%
Health Care.................................. 9.1%
Industrials.................................. 21.5%
Information Technology....................... 14.0%
Materials.................................... 5.7%
Real Estate.................................. 0.9%
Telecommunication Services................... 1.9%
Utilities.................................... 2.3%
-----
100.0%
DFA REAL ESTATE SECURITIES PORTFOLIO
Real Estate.................................. 100.0%
-----
100.0%
9
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
LARGE CAP INTERNATIONAL PORTFOLIO
Consumer Discretionary....................... 13.4%
Consumer Staples............................. 10.7%
Energy....................................... 5.8%
Financials................................... 21.6%
Health Care.................................. 9.4%
Industrials.................................. 14.7%
Information Technology....................... 5.1%
Materials.................................... 10.0%
Real Estate.................................. 1.9%
Telecommunication Services................... 4.2%
Utilities.................................... 3.2%
-----
100.0%
INTERNATIONAL CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 16.1%
Consumer Staples............................. 7.4%
Energy....................................... 6.1%
Financials................................... 18.5%
Health Care.................................. 5.9%
Industrials.................................. 18.5%
Information Technology....................... 6.8%
Materials.................................... 12.7%
Real Estate.................................. 2.5%
Telecommunication Services................... 2.7%
Utilities.................................... 2.8%
-----
100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Health Care.................................. 0.1%
Real Estate.................................. 99.9%
-----
100.0%
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
Affiliated Investment Companies.............. 64.0%
Real Estate.................................. 36.0%
-----
100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Consumer Discretionary....................... 15.5%
Consumer Staples............................. 4.6%
Energy....................................... 6.5%
Financials................................... 19.3%
Health Care.................................. 1.7%
Industrials.................................. 24.0%
Information Technology....................... 5.4%
Materials.................................... 17.8%
Real Estate.................................. 3.0%
Telecommunication Services................... 0.7%
Utilities.................................... 1.5%
-----
100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Consumer Discretionary....................... 15.7%
Consumer Staples............................. 6.6%
Energy....................................... 7.0%
Financials................................... 18.4%
Health Care.................................. 4.7%
Industrials.................................. 19.4%
Information Technology....................... 7.2%
Materials.................................... 14.3%
Real Estate.................................. 2.6%
Telecommunication Services................... 2.1%
Utilities.................................... 2.0%
-----
100.0%
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 16.1%
Consumer Staples............................. 5.4%
Energy....................................... 5.5%
Financials................................... 17.6%
Health Care.................................. 2.7%
Industrials.................................. 20.5%
Information Technology....................... 8.1%
Materials.................................... 16.5%
Real Estate.................................. 4.7%
Telecommunication Services................... 1.1%
Utilities.................................... 1.8%
-----
100.0%
WORLD EX U.S. CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 15.0%
Consumer Staples............................. 7.1%
Energy....................................... 6.1%
Financials................................... 19.4%
Health Care.................................. 5.0%
Industrials.................................. 16.5%
Information Technology....................... 9.5%
Materials.................................... 12.3%
Real Estate.................................. 3.1%
Telecommunication Services................... 3.1%
Utilities.................................... 2.9%
-----
100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 11.7%
Consumer Staples............................. 7.8%
Energy....................................... 5.5%
Financials................................... 19.4%
Health Care.................................. 3.4%
Industrials.................................. 9.7%
Information Technology....................... 20.8%
Materials.................................... 10.3%
Real Estate.................................. 3.6%
Telecommunication Services................... 4.3%
Utilities.................................... 3.5%
-----
100.0%
10
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (86.2%)
AUSTRALIA -- (6.9%)
Commonwealth Bank of Australia
## 1.375%, 09/06/18............................. 3,995 $ 3,973,072
5.000%, 10/15/19............................. 3,000 3,203,271
National Australia Bank, Ltd.
1.875%, 07/23/18............................. 2,500 2,506,120
Westpac Banking Corp.
2.250%, 07/30/18............................. 3,000 3,021,033
2.250%, 01/17/19............................. 3,200 3,219,942
Other Securities................................. 1,514,047
-----------
TOTAL AUSTRALIA.................................. 17,437,485
-----------
AUSTRIA -- (2.0%)
Oesterreichische Kontrollbank AG
1.750%, 01/24/20............................. 5,000 5,007,270
-----------
BELGIUM -- (0.5%)
Other Securities................................. 1,220,223
-----------
CANADA -- (9.7%)
Ontario, Province of Canada
2.000%, 09/27/18............................. 7,200 7,248,866
Quebec, Province of Canada
4.625%, 05/14/18............................. 5,000 5,163,860
Royal Bank of Canada
2.000%, 12/10/18............................. 3,000 3,011,583
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 3,000 2,997,657
1.750%, 07/23/18............................. 2,000 2,003,782
Other Securities................................. 4,273,320
-----------
TOTAL CANADA..................................... 24,699,068
-----------
DENMARK -- (2.1%)
Kommunekredit
1.250%, 08/27/18............................. 5,300 5,285,865
-----------
FINLAND -- (1.2%)
Other Securities................................. 2,992,161
-----------
FRANCE -- (1.4%)
Other Securities................................. 3,587,356
-----------
GERMANY -- (4.5%)
State of North Rhine-Westphalia
1.375%, 07/16/18............................. 2,500 2,498,415
Volkswagen Group of America Finance LLC
2.450%, 11/20/19............................. 2,000 2,006,182
Other Securities................................. 6,895,953
-----------
TOTAL GERMANY.................................... 11,400,550
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
IRELAND -- (1.8%)
Medtronic, Inc.
2.500%, 03/15/20............................. 2,500 $ 2,546,725
Other Securities................................. 1,923,516
-----------
TOTAL IRELAND.................................... 4,470,241
-----------
JAPAN -- (2.9%)
Toyota Motor Credit Corp.
1.550%, 10/18/19............................. 2,500 2,484,402
Other Securities................................. 4,980,619
-----------
TOTAL JAPAN...................................... 7,465,021
-----------
NETHERLANDS -- (9.4%)
Bank Nederlandse Gemeenten NV
## 1.000%, 09/20/18............................. 5,000 4,968,095
1.875%, 06/11/19............................. 2,000 2,008,326
Cooperatieve Rabobank UA
1.700%, 03/19/18............................. 3,435 3,439,891
2.250%, 01/14/19............................. 3,700 3,726,030
Nederlandse Waterschapsbank NV
0.875%, 07/13/18............................. 3,500 3,477,656
## 1.500%, 01/23/19............................. 2,000 1,996,594
Shell International Finance BV
1.625%, 11/10/18............................. 2,870 2,878,320
Other Securities................................. 1,302,569
-----------
TOTAL NETHERLANDS................................ 23,797,481
-----------
NORWAY -- (2.9%)
Statoil ASA
2.250%, 11/08/19............................. 4,461 4,489,457
Other Securities................................. 2,998,951
-----------
TOTAL NORWAY..................................... 7,488,408
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.0%)
African Development Bank
1.625%, 10/02/18............................. 4,750 4,765,476
Council Of Europe Development Bank
1.625%, 03/10/20............................. 3,000 2,993,565
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 7,759,041
-----------
SWEDEN -- (1.1%)
Kommuninvest I Sverige AB
2.000%, 11/12/19............................. 2,000 2,016,882
Other Securities................................. 697,003
-----------
TOTAL SWEDEN..................................... 2,713,885
-----------
SWITZERLAND -- (0.5%)
Other Securities................................. 1,400,283
-----------
11
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED KINGDOM -- (2.5%)
BP Capital Markets P.L.C.
2.315%, 02/13/20............................. 2,550 $ 2,574,449
Other Securities................................. 3,694,007
------------
TOTAL UNITED KINGDOM............................. 6,268,456
------------
UNITED STATES -- (33.8%)
Adobe Systems, Inc.
4.750%, 02/01/20............................. 2,150 2,317,311
Apple, Inc.
1.100%, 08/02/19............................. 3,000 2,969,898
Bank of New York Mellon Corp. (The)
2.150%, 02/24/20............................. 2,000 2,014,884
Becton Dickinson and Co.
2.675%, 12/15/19............................. 2,100 2,114,708
Bristol-Myers Squibb Co.
1.600%, 02/27/19............................. 2,500 2,497,128
Chevron Corp.
2.193%, 11/15/19............................. 3,500 3,531,678
Cisco Systems, Inc.
1.650%, 06/15/18............................. 2,800 2,808,151
Citizens Bank NA
2.450%, 12/04/19............................. 2,200 2,216,872
Dominion Resources, Inc.
2.500%, 12/01/19............................. 2,000 2,020,222
Eastman Chemical Co.
2.700%, 01/15/20............................. 2,000 2,032,220
Enterprise Products Operating LLC
5.250%, 01/31/20............................. 2,000 2,160,668
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 2,000 2,030,920
Express Scripts Holding Co.
2.250%, 06/15/19............................. 2,000 2,006,256
Humana, Inc.
2.625%, 10/01/19............................. 2,000 2,025,488
Morgan Stanley
2.375%, 07/23/19............................. 2,000 2,014,102
Ryder System, Inc.
2.450%, 09/03/19............................. 2,000 2,012,646
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 2,000 2,023,218
Time Warner, Inc.
4.875%, 03/15/20............................. 2,000 2,145,176
Tyson Foods, Inc.
2.650%, 08/15/19............................. 2,000 2,020,316
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 2,000 2,022,012
Other Securities................................. 40,847,459
------------
TOTAL UNITED STATES.............................. 85,831,333
------------
TOTAL BONDS...................................... 218,824,127
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
U.S. TREASURY OBLIGATIONS -- (13.8%)
U.S. Treasury Notes
1.125%, 01/15/19............................. 8,700 $ 8,684,366
1.125%, 03/31/20............................. 26,700 26,463,251
------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 35,147,617
------------
TOTAL INVESTMENT SECURITIES........................ 253,971,744
------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (--%)
(S)@ DFA Short Term Investment Fund............... 114 1,323
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $253,895,484).............................. $253,973,067
============
12
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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...................................................................... -- $ 17,437,485 -- $ 17,437,485
Austria........................................................................ -- 5,007,270 -- 5,007,270
Belgium........................................................................ -- 1,220,223 -- 1,220,223
Canada......................................................................... -- 24,699,068 -- 24,699,068
Denmark........................................................................ -- 5,285,865 -- 5,285,865
Finland........................................................................ -- 2,992,161 -- 2,992,161
France......................................................................... -- 3,587,356 -- 3,587,356
Germany........................................................................ -- 11,400,550 -- 11,400,550
Ireland........................................................................ -- 4,470,241 -- 4,470,241
Japan.......................................................................... -- 7,465,021 -- 7,465,021
Netherlands.................................................................... -- 23,797,481 -- 23,797,481
Norway......................................................................... -- 7,488,408 -- 7,488,408
Supranational Organization Obligations......................................... -- 7,759,041 -- 7,759,041
Sweden......................................................................... -- 2,713,885 -- 2,713,885
Switzerland.................................................................... -- 1,400,283 -- 1,400,283
United Kingdom................................................................. -- 6,268,456 -- 6,268,456
United States.................................................................. -- 85,831,333 -- 85,831,333
U.S. Treasury Obligations....................................................... -- 35,147,617 -- 35,147,617
Securities Lending Collateral................................................... -- 1,323 -- 1,323
Futures Contracts**............................................................. $2,995,577 -- -- 2,995,577
---------- ------------ -- ------------
TOTAL........................................................................... $2,995,577 $253,973,067 -- $256,968,644
========== ============ == ============
**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.
13
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (96.6%)
Consumer Discretionary -- (14.8%)
* Amazon.com, Inc................... 18,767 $ 17,359,287 1.7%
Comcast Corp. Class A............. 287,333 11,260,580 1.1%
Home Depot, Inc. (The)............ 55,364 8,642,320 0.8%
Lowe's Cos., Inc.................. 44,366 3,765,786 0.4%
McDonald's Corp................... 26,974 3,774,472 0.4%
Starbucks Corp.................... 62,954 3,781,017 0.4%
Walt Disney Co. (The)............. 75,950 8,779,820 0.8%
Other Securities.................. 100,513,720 9.6%
------------ -----
Total Consumer Discretionary.......... 157,877,002 15.2%
------------ -----
Consumer Staples -- (8.4%)
Altria Group, Inc................. 87,167 6,256,847 0.6%
Coca-Cola Co. (The)............... 177,393 7,654,508 0.7%
CVS Health Corp................... 48,410 3,990,920 0.4%
PepsiCo, Inc...................... 64,099 7,261,135 0.7%
Philip Morris International, Inc.. 51,373 5,694,183 0.6%
Procter & Gamble Co. (The)........ 111,304 9,720,178 0.9%
Wal-Mart Stores, Inc.............. 87,376 6,568,928 0.6%
Walgreens Boots Alliance, Inc..... 46,029 3,983,350 0.4%
Other Securities.................. 38,823,691 3.7%
------------ -----
Total Consumer Staples................ 89,953,740 8.6%
------------ -----
Energy -- (5.2%)
Chevron Corp...................... 60,073 6,409,789 0.6%
Exxon Mobil Corp.................. 127,724 10,428,665 1.0%
Other Securities.................. 38,416,873 3.7%
------------ -----
Total Energy.......................... 55,255,327 5.3%
------------ -----
Financials -- (14.3%)
Bank of America Corp.............. 373,238 8,711,375 0.8%
* Berkshire Hathaway, Inc. Class B.. 59,826 9,883,853 1.0%
Citigroup, Inc.................... 89,769 5,307,143 0.5%
JPMorgan Chase & Co............... 155,585 13,535,895 1.3%
Wells Fargo & Co.................. 207,376 11,165,124 1.1%
Other Securities.................. 104,413,737 10.0%
------------ -----
Total Financials...................... 153,017,127 14.7%
------------ -----
Health Care -- (12.6%)
AbbVie, Inc....................... 68,920 4,544,585 0.4%
Amgen, Inc........................ 31,515 5,147,030 0.5%
* Celgene Corp...................... 32,831 4,072,686 0.4%
Johnson & Johnson................. 117,807 14,545,630 1.4%
Merck & Co., Inc.................. 119,459 7,445,879 0.7%
Pfizer, Inc....................... 321,597 10,908,570 1.1%
UnitedHealth Group, Inc........... 41,232 7,210,652 0.7%
Other Securities.................. 80,722,884 7.7%
------------ -----
Total Health Care..................... 134,597,916 12.9%
------------ -----
Industrials -- (11.8%)
3M Co............................. 26,886 5,265,085 0.5%
Boeing Co. (The).................. 25,987 4,803,177 0.5%
General Electric Co............... 342,505 9,929,220 1.0%
Honeywell International, Inc...... 33,512 4,394,764 0.4%
14
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Union Pacific Corp............................................ 45,307 $ 5,072,572 0.5%
United Technologies Corp...................................... 43,205 5,140,963 0.5%
Other Securities.............................................. 90,889,275 8.7%
-------------- ------
Total Industrials................................................... 125,495,056 12.1%
-------------- ------
Information Technology -- (20.4%)
Accenture P.L.C. Class A...................................... 31,458 3,815,855 0.4%
* Alphabet, Inc. Class A........................................ 10,745 9,933,967 1.0%
* Alphabet, Inc. Class C........................................ 11,285 10,223,759 1.0%
Apple, Inc.................................................... 215,464 30,951,404 3.0%
Cisco Systems, Inc............................................ 208,936 7,118,450 0.7%
* Facebook, Inc. Class A........................................ 68,220 10,250,055 1.0%
Intel Corp.................................................... 241,422 8,727,405 0.8%
International Business Machines Corp.......................... 43,508 6,973,897 0.7%
Mastercard, Inc. Class A...................................... 48,631 5,656,758 0.5%
Microsoft Corp................................................ 299,894 20,530,743 2.0%
Oracle Corp................................................... 129,267 5,811,844 0.6%
Texas Instruments, Inc........................................ 50,780 4,020,760 0.4%
# Visa, Inc. Class A............................................ 74,058 6,755,571 0.7%
Other Securities.............................................. 87,368,113 8.1%
-------------- ------
Total Information Technology........................................ 218,138,581 20.9%
-------------- ------
Materials -- (3.6%)
Other Securities.............................................. 38,801,265 3.7%
-------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 2,582,318 0.2%
-------------- ------
Telecommunication Services -- (2.6%)
AT&T, Inc..................................................... 377,616 14,964,922 1.4%
Verizon Communications, Inc................................... 187,985 8,630,392 0.8%
Other Securities.............................................. 4,438,365 0.5%
-------------- ------
Total Telecommunication Services.................................... 28,033,679 2.7%
-------------- ------
Utilities -- (2.6%)
Other Securities.............................................. 27,774,396 2.7%
-------------- ------
TOTAL COMMON STOCKS................................................. 1,031,526,407 99.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 7,305 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 1,031,533,712
--------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 5,107,938 5,107,938 0.5%
-------------- ------
SECURITIES LENDING COLLATERAL -- (2.9%)
(S)@ DFA Short Term Investment Fund................................ 2,686,276 31,088,275 3.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $902,766,517)........................................... $1,067,729,925 102.5%
============== ======
15
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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............ $ 157,877,002 -- -- $ 157,877,002
Consumer Staples.................. 89,953,740 -- -- 89,953,740
Energy............................ 55,255,327 -- -- 55,255,327
Financials........................ 153,017,127 -- -- 153,017,127
Health Care....................... 134,597,916 -- -- 134,597,916
Industrials....................... 125,495,056 -- -- 125,495,056
Information Technology............ 218,138,581 -- -- 218,138,581
Materials......................... 38,801,265 -- -- 38,801,265
Real Estate....................... 2,582,318 -- -- 2,582,318
Telecommunication Services........ 28,033,679 -- -- 28,033,679
Utilities......................... 27,774,396 -- -- 27,774,396
Rights/Warrants.................... -- $ 7,305 -- 7,305
Temporary Cash Investments......... 5,107,938 -- -- 5,107,938
Securities Lending Collateral...... -- 31,088,275 -- 31,088,275
Futures Contracts**................ 1,023 -- -- 1,023
-------------- ----------- -- --------------
TOTAL.............................. $1,036,635,368 $31,095,580 -- $1,067,730,948
============== =========== == ==============
**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.
16
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
VALUE+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $21,064,988,669
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$14,743,776,593)....................................... $21,064,988,669
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
17
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (83.8%)
Consumer Discretionary -- (12.5%)
# CalAtlantic Group, Inc............. 1,112,227 $ 40,284,862 0.4%
# Kohl's Corp........................ 1,003,092 39,150,681 0.4%
* Madison Square Garden Co. (The)
Class A........................... 187,861 37,904,714 0.4%
# Penske Automotive Group, Inc....... 730,052 34,830,781 0.4%
# PulteGroup, Inc.................... 3,308,268 74,998,436 0.8%
Staples, Inc....................... 5,235,500 51,150,835 0.5%
# Toll Brothers, Inc................. 1,935,113 69,644,717 0.7%
Other Securities................... 1,076,549,460 11.2%
-------------- -----
Total Consumer Discretionary........... 1,424,514,486 14.8%
-------------- -----
Consumer Staples -- (2.2%)
#* Post Holdings, Inc................. 498,951 42,006,685 0.4%
Other Securities................... 209,331,683 2.2%
-------------- -----
Total Consumer Staples................. 251,338,368 2.6%
-------------- -----
Energy -- (7.1%)
#* CONSOL Energy, Inc................. 2,980,049 45,237,144 0.5%
# HollyFrontier Corp................. 1,989,315 55,979,324 0.6%
# Murphy Oil Corp.................... 1,768,756 46,306,032 0.5%
# Nabors Industries, Ltd............. 3,371,391 34,860,183 0.4%
#* Transocean, Ltd.................... 4,853,043 53,529,064 0.6%
Other Securities................... 577,360,487 5.8%
-------------- -----
Total Energy........................... 813,272,234 8.4%
-------------- -----
Financials -- (22.2%)
Allied World Assurance Co.
Holdings AG....................... 916,893 48,677,849 0.5%
American Financial Group, Inc...... 387,636 37,720,859 0.4%
Assurant, Inc...................... 583,134 56,120,816 0.6%
Assured Guaranty, Ltd.............. 1,438,096 54,834,600 0.6%
Axis Capital Holdings, Ltd......... 875,934 57,724,051 0.6%
# Investors Bancorp, Inc............. 3,494,999 48,405,736 0.5%
# Legg Mason, Inc.................... 942,615 35,234,949 0.4%
# Navient Corp....................... 2,556,220 38,854,544 0.4%
Old Republic International Corp.... 1,900,386 39,299,982 0.4%
# PacWest Bancorp.................... 1,146,079 56,604,842 0.6%
# People's United Financial, Inc..... 3,756,568 65,627,243 0.7%
# Prosperity Bancshares, Inc......... 631,538 42,439,354 0.4%
Reinsurance Group of America, Inc.. 324,024 40,515,961 0.4%
# RenaissanceRe Holdings, Ltd........ 423,464 60,203,877 0.6%
Umpqua Holdings Corp............... 2,390,030 42,231,830 0.4%
Validus Holdings, Ltd.............. 783,685 43,322,107 0.5%
# Zions Bancorporation............... 916,829 36,700,665 0.4%
Other Securities................... 1,725,243,238 17.8%
-------------- -----
Total Financials....................... 2,529,762,503 26.2%
-------------- -----
Health Care -- (4.3%)
Other Securities................... 486,437,667 5.0%
-------------- -----
Industrials -- (18.4%)
#* AECOM.............................. 1,361,250 46,568,362 0.5%
# AGCO Corp.......................... 929,613 59,485,936 0.6%
# Air Lease Corp..................... 1,011,383 38,574,148 0.4%
* Colfax Corp........................ 919,847 37,226,208 0.4%
18
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
#* Genesee & Wyoming, Inc. Class A............................... 579,330 $ 39,255,401 0.4%
Jacobs Engineering Group, Inc................................. 1,286,761 70,668,914 0.7%
* JetBlue Airways Corp.......................................... 2,670,322 58,293,129 0.6%
#* Kirby Corp.................................................... 545,422 38,506,793 0.4%
ManpowerGroup, Inc............................................ 345,864 34,925,347 0.4%
Owens Corning................................................. 1,025,375 62,394,069 0.7%
* Quanta Services, Inc.......................................... 1,728,344 61,252,511 0.6%
Ryder System, Inc............................................. 540,258 36,688,921 0.4%
# Trinity Industries, Inc....................................... 1,557,299 41,891,343 0.4%
Other Securities.............................................. 1,473,225,450 15.3%
--------------- ------
Total Industrials................................................... 2,098,956,532 21.8%
--------------- ------
Information Technology -- (10.9%)
* Arrow Electronics, Inc........................................ 1,011,843 71,334,932 0.7%
Avnet, Inc.................................................... 1,615,113 62,488,722 0.7%
# Jabil Circuit, Inc............................................ 1,475,340 42,814,367 0.5%
Marvell Technology Group, Ltd................................. 2,487,280 37,358,946 0.4%
#* Tech Data Corp................................................ 386,025 36,923,291 0.4%
Other Securities.............................................. 988,439,992 10.1%
--------------- ------
Total Information Technology........................................ 1,239,360,250 12.8%
--------------- ------
Materials -- (4.6%)
# Olin Corp..................................................... 1,184,056 38,043,719 0.4%
Reliance Steel & Aluminum Co.................................. 819,428 64,587,315 0.7%
Other Securities.............................................. 418,794,429 4.3%
--------------- ------
Total Materials..................................................... 521,425,463 5.4%
--------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 47,519,465 0.5%
--------------- ------
Telecommunication Services -- (0.8%)
Other Securities.............................................. 85,250,957 0.9%
--------------- ------
Utilities -- (0.4%)
Other Securities.............................................. 43,544,804 0.5%
--------------- ------
TOTAL COMMON STOCKS................................................. 9,541,382,729 98.9%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 9,541,382,729
---------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 134,136,158 134,136,158 1.4%
--------------- ------
SECURITIES LENDING COLLATERAL -- (15.0%)
(S)@ DFA Short Term Investment Fund................................ 147,224,651 1,703,830,892 17.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,616,092,312)........................................... $11,379,349,779 117.9%
=============== ======
19
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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............ $1,423,271,725 $ 1,242,761 -- $ 1,424,514,486
Consumer Staples.................. 251,338,368 -- -- 251,338,368
Energy............................ 813,272,234 -- -- 813,272,234
Financials........................ 2,529,762,503 -- -- 2,529,762,503
Health Care....................... 486,437,667 -- -- 486,437,667
Industrials....................... 2,098,956,532 -- -- 2,098,956,532
Information Technology............ 1,239,360,250 -- -- 1,239,360,250
Materials......................... 521,425,463 -- -- 521,425,463
Real Estate....................... 47,519,465 -- -- 47,519,465
Telecommunication Services........ 85,250,957 -- -- 85,250,957
Utilities......................... 43,544,804 -- -- 43,544,804
Temporary Cash Investments......... 134,136,158 -- -- 134,136,158
Securities Lending Collateral...... -- 1,703,830,892 -- 1,703,830,892
Futures Contracts**................ 517,857 -- -- 517,857
-------------- -------------- -- ---------------
TOTAL.............................. $9,674,793,983 $1,705,073,653 -- $11,379,867,636
============== ============== == ===============
**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.
20
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (87.5%)
Consumer Discretionary -- (13.4%)
# Aaron's, Inc................................. 2,630,659 $ 94,545,884 0.7%
# DeVry Education Group, Inc................... 2,279,058 86,262,345 0.6%
# Marriott Vacations Worldwide Corp............ 735,327 81,018,329 0.6%
#* TRI Pointe Group, Inc........................ 5,761,788 71,734,261 0.5%
Other Securities............................. 1,828,925,138 12.7%
-------------- -----
Total Consumer Discretionary..................... 2,162,485,957 15.1%
-------------- -----
Consumer Staples -- (4.1%)
#* Darling Ingredients, Inc..................... 6,016,808 91,034,305 0.6%
# Fresh Del Monte Produce, Inc................. 1,805,623 110,684,690 0.8%
# Seaboard Corp................................ 18,363 77,749,126 0.5%
# Universal Corp............................... 835,660 61,379,227 0.4%
Other Securities............................. 325,566,472 2.3%
-------------- -----
Total Consumer Staples........................... 666,413,820 4.6%
-------------- -----
Energy -- (8.2%)
# Nabors Industries, Ltd....................... 6,698,859 69,266,202 0.5%
#* Oasis Petroleum, Inc......................... 7,863,821 93,894,023 0.7%
# Patterson-UTI Energy, Inc.................... 3,900,459 84,425,435 0.6%
# PBF Energy, Inc. Class A..................... 3,373,654 75,299,957 0.5%
#* Rowan Cos. P.L.C. Class A.................... 4,891,454 68,822,758 0.5%
* Whiting Petroleum Corp....................... 11,805,777 97,987,949 0.7%
Other Securities............................. 838,435,433 5.8%
-------------- -----
Total Energy..................................... 1,328,131,757 9.3%
-------------- -----
Financials -- (23.7%)
# American Equity Investment Life Holding Co... 3,211,831 76,184,631 0.5%
Argo Group International Holdings, Ltd....... 1,082,821 71,412,045 0.5%
Aspen Insurance Holdings, Ltd................ 1,997,554 104,571,952 0.7%
# Associated Banc-Corp......................... 4,440,682 110,572,982 0.8%
CNO Financial Group, Inc..................... 4,510,009 95,025,890 0.7%
# Fulton Financial Corp........................ 5,522,644 101,892,782 0.7%
# Hancock Holding Co........................... 2,234,490 104,350,683 0.7%
Hanover Insurance Group, Inc. (The).......... 1,198,891 105,826,109 0.8%
Iberiabank Corp.............................. 1,066,802 84,650,739 0.6%
Kemper Corp.................................. 1,702,554 66,995,500 0.5%
# MB Financial, Inc............................ 1,998,996 84,977,320 0.6%
# Old National Bancorp......................... 3,969,135 66,681,468 0.5%
# Selective Insurance Group, Inc............... 1,755,082 92,668,330 0.7%
# Washington Federal, Inc...................... 2,995,613 100,952,158 0.7%
Wintrust Financial Corp...................... 1,581,628 112,074,160 0.8%
Other Securities............................. 2,450,653,747 17.0%
-------------- -----
Total Financials................................. 3,829,490,496 26.8%
-------------- -----
Health Care -- (3.9%)
#* LifePoint Health, Inc........................ 1,220,067 75,827,164 0.5%
Other Securities............................. 563,126,487 4.0%
-------------- -----
Total Health Care................................ 638,953,651 4.5%
-------------- -----
Industrials -- (15.7%)
# Aircastle, Ltd............................... 2,623,128 61,958,283 0.4%
#* DigitalGlobe, Inc............................ 2,340,325 75,358,465 0.5%
#* Esterline Technologies Corp.................. 1,083,684 99,102,902 0.7%
21
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
# GATX Corp..................................................... 1,651,625 $ 98,932,337 0.7%
SkyWest, Inc.................................................. 1,687,220 62,764,584 0.4%
# Terex Corp.................................................... 2,506,053 87,661,734 0.6%
* WESCO International, Inc...................................... 1,329,218 81,015,837 0.6%
Other Securities.............................................. 1,972,083,511 13.9%
--------------- ------
Total Industrials................................................... 2,538,877,653 17.8%
--------------- ------
Information Technology -- (12.4%)
* CACI International, Inc. Class A.............................. 849,691 100,263,538 0.7%
# Convergys Corp................................................ 3,776,945 85,019,032 0.6%
#* Cree, Inc..................................................... 3,027,240 66,236,011 0.5%
# MKS Instruments, Inc.......................................... 1,201,698 94,032,868 0.7%
#* Sanmina Corp.................................................. 2,606,192 97,080,652 0.7%
# SYNNEX Corp................................................... 847,108 91,851,920 0.7%
#* Tech Data Corp................................................ 1,054,751 100,886,933 0.7%
# Vishay Intertechnology, Inc................................... 4,923,147 80,493,453 0.6%
Other Securities.............................................. 1,282,645,960 8.8%
--------------- ------
Total Information Technology........................................ 1,998,510,367 14.0%
--------------- ------
Materials -- (5.1%)
# Carpenter Technology Corp..................................... 1,553,161 63,058,337 0.4%
# Commercial Metals Co.......................................... 4,169,164 77,713,217 0.5%
Domtar Corp................................................... 2,221,439 88,080,056 0.6%
# Hecla Mining Co............................................... 12,535,408 68,317,974 0.5%
Other Securities.............................................. 532,835,962 3.8%
--------------- ------
Total Materials..................................................... 830,005,546 5.8%
--------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 27,093,537 0.2%
--------------- ------
Telecommunication Services -- (0.8%)
Telephone & Data Systems, Inc................................. 2,493,615 68,474,668 0.5%
Other Securities.............................................. 57,602,565 0.4%
--------------- ------
Total Telecommunication Services.................................... 126,077,233 0.9%
--------------- ------
Utilities -- (0.0%)
Other Securities.............................................. 6,919,066 0.0%
--------------- ------
TOTAL COMMON STOCKS................................................. 14,152,959,083 99.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 14,152,959,083
---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 126,007,973 126,007,973 0.9%
--------------- ------
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund................................ 164,232,188 1,900,659,111 13.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,611,886,187).......................................... $16,179,626,167 113.2%
=============== ======
22
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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............ $ 2,161,413,947 $ 1,072,010 -- $ 2,162,485,957
Consumer Staples.................. 666,413,820 -- -- 666,413,820
Energy............................ 1,328,131,757 -- -- 1,328,131,757
Financials........................ 3,829,490,496 -- -- 3,829,490,496
Health Care....................... 638,953,651 -- -- 638,953,651
Industrials....................... 2,538,877,653 -- -- 2,538,877,653
Information Technology............ 1,998,510,367 -- -- 1,998,510,367
Materials......................... 830,005,546 -- -- 830,005,546
Real Estate....................... 27,093,537 -- -- 27,093,537
Telecommunication Services........ 126,077,233 -- -- 126,077,233
Utilities......................... 6,919,066 -- -- 6,919,066
Temporary Cash Investments......... 126,007,973 -- -- 126,007,973
Securities Lending Collateral...... -- 1,900,659,111 -- 1,900,659,111
Futures Contracts**................ 1,189,504 -- -- 1,189,504
--------------- -------------- -- ---------------
TOTAL.............................. $14,279,084,550 $1,901,731,121 -- $16,180,815,671
=============== ============== == ===============
**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.
23
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (90.3%)
Consumer Discretionary -- (14.3%)
* Amazon.com, Inc.................... 284,735 $ 263,377,028 1.4%
Comcast Corp. Class A.............. 4,057,379 159,008,683 0.9%
Home Depot, Inc. (The)............. 852,036 133,002,820 0.7%
McDonald's Corp.................... 527,922 73,872,125 0.4%
Starbucks Corp..................... 1,007,502 60,510,570 0.3%
Walt Disney Co. (The).............. 910,925 105,302,930 0.6%
Other Securities................... 2,087,736,478 11.4%
-------------- -----
Total Consumer Discretionary........... 2,882,810,634 15.7%
-------------- -----
Consumer Staples -- (7.2%)
Altria Group, Inc.................. 1,353,494 97,153,799 0.5%
Coca-Cola Co. (The)................ 2,498,932 107,828,916 0.6%
CVS Health Corp.................... 645,839 53,242,967 0.3%
PepsiCo, Inc....................... 1,007,642 114,145,686 0.6%
Philip Morris International, Inc... 687,129 76,161,378 0.4%
Procter & Gamble Co. (The)......... 1,243,715 108,613,631 0.6%
Wal-Mart Stores, Inc............... 1,321,553 99,354,355 0.5%
Other Securities................... 789,902,551 4.4%
-------------- -----
Total Consumer Staples................. 1,446,403,283 7.9%
-------------- -----
Energy -- (4.4%)
Chevron Corp....................... 925,612 98,762,800 0.6%
Exxon Mobil Corp................... 1,701,638 138,938,743 0.8%
Other Securities................... 646,170,976 3.4%
-------------- -----
Total Energy........................... 883,872,519 4.8%
-------------- -----
Financials -- (14.0%)
Bank of America Corp............... 5,599,136 130,683,834 0.7%
* Berkshire Hathaway, Inc. Class B... 930,687 153,758,799 0.9%
Citigroup, Inc..................... 1,581,065 93,472,563 0.5%
JPMorgan Chase & Co................ 2,148,927 186,956,649 1.0%
Wells Fargo & Co................... 2,909,420 156,643,173 0.9%
Other Securities................... 2,105,877,671 11.4%
-------------- -----
Total Financials....................... 2,827,392,689 15.4%
-------------- -----
Health Care -- (10.4%)
AbbVie, Inc........................ 1,092,274 72,024,548 0.4%
Amgen, Inc......................... 349,369 57,058,945 0.3%
* Celgene Corp....................... 544,650 67,563,832 0.4%
Gilead Sciences, Inc............... 809,650 55,501,507 0.3%
Johnson & Johnson.................. 1,287,481 158,965,279 0.9%
Merck & Co., Inc................... 1,335,662 83,251,812 0.5%
Pfizer, Inc........................ 3,582,107 121,505,069 0.7%
UnitedHealth Group, Inc............ 598,591 104,681,594 0.6%
Other Securities................... 1,366,312,205 7.3%
-------------- -----
Total Health Care...................... 2,086,864,791 11.4%
-------------- -----
Industrials -- (12.3%)
3M Co.............................. 417,065 81,673,839 0.5%
Boeing Co. (The)................... 406,553 75,143,191 0.4%
General Electric Co................ 2,874,270 83,325,087 0.5%
Honeywell International, Inc....... 427,001 55,996,911 0.3%
Union Pacific Corp................. 498,031 55,759,551 0.3%
24
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
United Parcel Service, Inc. Class B........................... 476,456 $ 51,199,962 0.3%
United Technologies Corp...................................... 532,026 63,305,774 0.4%
Other Securities.............................................. 2,010,062,083 10.8%
--------------- ------
Total Industrials................................................... 2,476,466,398 13.5%
--------------- ------
Information Technology -- (18.5%)
Accenture P.L.C. Class A...................................... 431,332 52,320,572 0.3%
* Alphabet, Inc. Class A........................................ 108,011 99,858,330 0.6%
* Alphabet, Inc. Class C........................................ 113,508 102,833,708 0.6%
Apple, Inc.................................................... 3,766,502 541,058,012 3.0%
Cisco Systems, Inc............................................ 2,849,851 97,094,424 0.5%
* Facebook, Inc. Class A........................................ 1,117,863 167,958,916 0.9%
Intel Corp.................................................... 3,555,626 128,535,880 0.7%
International Business Machines Corp.......................... 633,170 101,490,819 0.6%
Mastercard, Inc. Class A...................................... 674,690 78,479,941 0.4%
Microsoft Corp................................................ 4,408,179 301,783,934 1.7%
Oracle Corp................................................... 1,459,376 65,613,545 0.4%
Texas Instruments, Inc........................................ 682,286 54,023,405 0.3%
# Visa, Inc. Class A............................................ 1,083,518 98,838,512 0.5%
Other Securities.............................................. 1,832,740,366 9.8%
--------------- ------
Total Information Technology........................................ 3,722,630,364 20.3%
--------------- ------
Materials -- (4.1%)
Other Securities.............................................. 826,133,600 4.5%
--------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 60,949,410 0.3%
--------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc..................................................... 5,343,722 211,771,703 1.2%
Verizon Communications, Inc................................... 2,848,582 130,778,400 0.7%
Other Securities.............................................. 94,451,861 0.5%
--------------- ------
Total Telecommunication Services.................................... 437,001,964 2.4%
--------------- ------
Utilities -- (2.6%)
Other Securities.............................................. 526,870,407 2.9%
--------------- ------
TOTAL COMMON STOCKS................................................. 18,177,396,059 99.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 286,870 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 18,177,682,929
---------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 140,211,829 140,211,829 0.8%
--------------- ------
SECURITIES LENDING COLLATERAL -- (9.0%)
(S)@ DFA Short Term Investment Fund................................ 156,034,311 1,805,785,077 9.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $14,584,804,362).......................................... $20,123,679,835 109.7%
=============== ======
25
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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............ $ 2,882,744,962 $ 65,672 -- $ 2,882,810,634
Consumer Staples.................. 1,446,403,283 -- -- 1,446,403,283
Energy............................ 883,872,519 -- -- 883,872,519
Financials........................ 2,827,392,689 -- -- 2,827,392,689
Health Care....................... 2,086,864,791 -- -- 2,086,864,791
Industrials....................... 2,476,466,398 -- -- 2,476,466,398
Information Technology............ 3,722,630,364 -- -- 3,722,630,364
Materials......................... 826,133,600 -- -- 826,133,600
Real Estate....................... 60,949,410 -- -- 60,949,410
Telecommunication Services........ 437,001,964 -- -- 437,001,964
Utilities......................... 526,870,407 -- -- 526,870,407
Rights/Warrants.................... -- 286,870 -- 286,870
Temporary Cash Investments......... 140,211,829 -- -- 140,211,829
Securities Lending Collateral...... -- 1,805,785,077 -- 1,805,785,077
Futures Contracts**................ 328,629 -- -- 328,629
--------------- -------------- -- ---------------
TOTAL.............................. $18,317,870,845 $1,806,137,619 -- $20,124,008,464
=============== ============== == ===============
**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.
26
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (89.8%)
Consumer Discretionary -- (13.5%)
* Amazon.com, Inc.................... 119,448 $ 110,488,206 0.6%
* Charter Communications, Inc.
Class A........................... 203,447 70,221,767 0.4%
Comcast Corp. Class A.............. 5,459,654 213,963,840 1.1%
Ford Motor Co...................... 4,256,529 48,822,388 0.3%
General Motors Co.................. 1,628,062 56,396,068 0.3%
Home Depot, Inc. (The)............. 339,073 52,929,295 0.3%
Time Warner, Inc................... 819,384 81,340,250 0.4%
Walt Disney Co. (The).............. 949,440 109,755,264 0.6%
Other Securities................... 2,263,239,381 10.8%
-------------- -----
Total Consumer Discretionary........... 3,007,156,459 14.8%
-------------- -----
Consumer Staples -- (6.2%)
Coca-Cola Co. (The)................ 1,420,248 61,283,701 0.3%
CVS Health Corp.................... 951,257 78,421,627 0.4%
PepsiCo, Inc....................... 441,915 50,060,131 0.3%
Procter & Gamble Co. (The)......... 1,360,960 118,852,637 0.6%
Wal-Mart Stores, Inc............... 1,850,588 139,127,206 0.7%
Walgreens Boots Alliance, Inc...... 825,718 71,457,636 0.4%
Other Securities................... 854,738,027 4.1%
-------------- -----
Total Consumer Staples................. 1,373,940,965 6.8%
-------------- -----
Energy -- (5.2%)
Chevron Corp....................... 1,234,214 131,690,634 0.7%
Exxon Mobil Corp................... 1,978,605 161,553,098 0.8%
Other Securities................... 860,795,876 4.2%
-------------- -----
Total Energy........................... 1,154,039,608 5.7%
-------------- -----
Financials -- (16.7%)
American Express Co................ 831,568 65,901,764 0.3%
Bank of America Corp............... 6,518,226 152,135,395 0.8%
* Berkshire Hathaway, Inc. Class B... 456,755 75,460,494 0.4%
Citigroup, Inc..................... 1,745,438 103,190,295 0.5%
Goldman Sachs Group, Inc. (The).... 282,295 63,177,621 0.3%
JPMorgan Chase & Co................ 2,916,097 253,700,439 1.3%
U.S. Bancorp....................... 1,202,817 61,680,456 0.3%
Wells Fargo & Co................... 4,176,562 224,866,098 1.1%
Other Securities................... 2,738,205,713 13.4%
-------------- -----
Total Financials....................... 3,738,318,275 18.4%
-------------- -----
Health Care -- (9.8%)
Abbott Laboratories................ 1,267,250 55,302,790 0.3%
Allergan P.L.C..................... 211,621 51,605,897 0.3%
Amgen, Inc......................... 327,896 53,551,975 0.3%
Johnson & Johnson.................. 1,239,975 153,099,713 0.8%
Medtronic P.L.C.................... 642,842 53,413,742 0.3%
Merck & Co., Inc................... 1,222,425 76,193,750 0.4%
Pfizer, Inc........................ 4,993,637 169,384,167 0.8%
UnitedHealth Group, Inc............ 617,082 107,915,300 0.5%
Other Securities................... 1,464,069,534 7.1%
-------------- -----
Total Health Care...................... 2,184,536,868 10.8%
-------------- -----
27
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (12.9%)
CSX Corp...................................................... 987,114 $ 50,184,876 0.3%
Delta Air Lines, Inc.......................................... 1,137,994 51,710,447 0.3%
General Electric Co........................................... 3,181,174 92,222,234 0.5%
Union Pacific Corp............................................ 671,012 75,126,504 0.4%
United Technologies Corp...................................... 592,959 70,556,191 0.4%
Other Securities.............................................. 2,533,390,439 12.3%
--------------- ------
Total Industrials................................................... 2,873,190,691 14.2%
--------------- ------
Information Technology -- (16.8%)
* Alphabet, Inc. Class A........................................ 95,859 88,623,563 0.4%
* Alphabet, Inc. Class C........................................ 100,541 91,086,124 0.5%
Apple, Inc.................................................... 3,188,839 458,076,722 2.3%
Cisco Systems, Inc............................................ 4,695,731 159,983,555 0.8%
* Facebook, Inc. Class A........................................ 583,793 87,714,898 0.4%
Intel Corp.................................................... 5,141,165 185,853,115 0.9%
Microsoft Corp................................................ 3,539,615 242,322,043 1.2%
Oracle Corp................................................... 1,400,777 62,978,934 0.3%
QUALCOMM, Inc................................................. 1,310,728 70,438,523 0.4%
# Visa, Inc. Class A............................................ 643,473 58,697,607 0.3%
Other Securities.............................................. 2,248,556,129 11.0%
--------------- ------
Total Information Technology........................................ 3,754,331,213 18.5%
--------------- ------
Materials -- (4.3%)
Dow Chemical Co. (The)........................................ 878,752 55,185,626 0.3%
Other Securities.............................................. 913,043,000 4.5%
--------------- ------
Total Materials..................................................... 968,228,626 4.8%
--------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 79,231,879 0.4%
--------------- ------
Telecommunication Services -- (2.3%)
AT&T, Inc..................................................... 7,593,543 300,932,109 1.5%
Verizon Communications, Inc................................... 1,954,061 89,710,941 0.5%
Other Securities.............................................. 131,346,600 0.6%
--------------- ------
Total Telecommunication Services.................................... 521,989,650 2.6%
--------------- ------
Utilities -- (1.7%)
Other Securities.............................................. 381,026,785 1.9%
--------------- ------
TOTAL COMMON STOCKS................................................. 20,035,991,019 98.9%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 312,987 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 20,036,304,006
---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 229,150,804 229,150,804 1.1%
--------------- ------
SECURITIES LENDING COLLATERAL -- (9.2%)
(S)@ DFA Short Term Investment Fund................................ 177,643,414 2,055,867,234 10.2%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $15,787,650,725).......................................... $22,321,322,044 110.2%
=============== ======
28
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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............ $ 3,006,972,559 $ 183,900 -- $ 3,007,156,459
Consumer Staples.................. 1,373,940,965 -- -- 1,373,940,965
Energy............................ 1,154,039,608 -- -- 1,154,039,608
Financials........................ 3,738,318,275 -- -- 3,738,318,275
Health Care....................... 2,184,536,868 -- -- 2,184,536,868
Industrials....................... 2,873,190,691 -- -- 2,873,190,691
Information Technology............ 3,754,331,213 -- -- 3,754,331,213
Materials......................... 968,228,626 -- -- 968,228,626
Real Estate....................... 79,231,879 -- -- 79,231,879
Telecommunication Services........ 521,989,650 -- -- 521,989,650
Utilities......................... 381,026,785 -- -- 381,026,785
Rights/Warrants.................... -- 312,987 -- 312,987
Temporary Cash Investments......... 229,150,804 -- -- 229,150,804
Securities Lending Collateral...... -- 2,055,867,234 -- 2,055,867,234
Futures Contracts**................ 1,280,785 -- -- 1,280,785
--------------- -------------- -- ---------------
TOTAL.............................. $20,266,238,708 $2,056,364,121 -- $22,322,602,829
=============== ============== == ===============
**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.
29
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (86.1%)
Consumer Discretionary -- (12.6%)
* Charter Communications, Inc. Class A.... 37,711 $ 13,016,329 0.3%
Comcast Corp. Class A................... 530,175 20,777,558 0.5%
Ford Motor Co........................... 1,060,195 12,160,437 0.3%
General Motors Co....................... 390,610 13,530,730 0.3%
Goodyear Tire & Rubber Co. (The)........ 241,087 8,734,582 0.2%
Time Warner, Inc........................ 94,912 9,421,914 0.2%
Walt Disney Co. (The)................... 118,253 13,670,047 0.3%
Other Securities........................ 550,500,954 12.3%
-------------- -----
Total Consumer Discretionary................ 641,812,551 14.4%
-------------- -----
Consumer Staples -- (4.0%)
CVS Health Corp......................... 102,304 8,433,942 0.2%
Procter & Gamble Co. (The).............. 103,497 9,038,393 0.2%
Wal-Mart Stores, Inc.................... 198,213 14,901,653 0.3%
Walgreens Boots Alliance, Inc........... 96,800 8,377,072 0.2%
Other Securities........................ 161,592,087 3.7%
-------------- -----
Total Consumer Staples...................... 202,343,147 4.6%
-------------- -----
Energy -- (6.1%)
Chevron Corp............................ 222,498 23,740,537 0.5%
Exxon Mobil Corp........................ 296,620 24,219,023 0.6%
# Tesoro Corp............................. 121,066 9,650,171 0.2%
Valero Energy Corp...................... 125,201 8,089,237 0.2%
Other Securities........................ 244,718,752 5.5%
-------------- -----
Total Energy................................ 310,417,720 7.0%
-------------- -----
Financials -- (20.4%)
Bank of America Corp.................... 1,204,998 28,124,653 0.6%
Citigroup, Inc.......................... 312,527 18,476,596 0.4%
Fifth Third Bancorp..................... 403,189 9,849,907 0.2%
Goldman Sachs Group, Inc. (The)......... 44,550 9,970,290 0.2%
# Huntington Bancshares, Inc.............. 748,332 9,623,550 0.2%
JPMorgan Chase & Co..................... 550,713 47,912,031 1.1%
KeyCorp................................. 482,222 8,795,729 0.2%
Principal Financial Group, Inc.......... 157,281 10,243,712 0.2%
Regions Financial Corp.................. 613,306 8,432,957 0.2%
Wells Fargo & Co........................ 846,080 45,552,947 1.0%
Other Securities........................ 843,924,088 19.1%
-------------- -----
Total Financials............................ 1,040,906,460 23.4%
-------------- -----
Health Care -- (7.1%)
Allergan P.L.C.......................... 38,459 9,378,612 0.2%
Anthem, Inc............................. 52,191 9,284,257 0.2%
Johnson & Johnson....................... 108,631 13,412,670 0.3%
Merck & Co., Inc........................ 149,737 9,333,107 0.2%
Pfizer, Inc............................. 602,303 20,430,118 0.5%
UnitedHealth Group, Inc................. 78,101 13,658,303 0.3%
Other Securities........................ 288,749,532 6.5%
-------------- -----
Total Health Care........................... 364,246,599 8.2%
-------------- -----
Industrials -- (14.4%)
General Electric Co..................... 299,460 8,681,345 0.2%
Owens Corning........................... 129,690 7,891,636 0.2%
30
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Union Pacific Corp............................................ 79,133 $ 8,859,731 0.2%
* United Rentals, Inc........................................... 117,421 12,876,387 0.3%
United Technologies Corp...................................... 89,909 10,698,272 0.3%
#* XPO Logistics, Inc............................................ 197,780 9,768,354 0.2%
Other Securities.............................................. 674,687,627 15.1%
-------------- ------
Total Industrials................................................... 733,463,352 16.5%
-------------- ------
Information Technology -- (13.3%)
* Alphabet, Inc. Class A........................................ 10,302 9,524,405 0.2%
* Alphabet, Inc. Class C........................................ 10,827 9,808,829 0.2%
Apple, Inc.................................................... 329,973 47,400,621 1.1%
Cisco Systems, Inc............................................ 479,871 16,349,205 0.4%
Intel Corp.................................................... 578,019 20,895,387 0.5%
Jabil Circuit, Inc............................................ 302,067 8,765,984 0.2%
* Micron Technology, Inc........................................ 650,355 17,995,323 0.4%
Microsoft Corp................................................ 278,222 19,047,078 0.4%
# Visa, Inc. Class A............................................ 116,012 10,582,615 0.2%
Western Digital Corp.......................................... 113,626 10,120,668 0.2%
Other Securities.............................................. 507,044,176 11.4%
-------------- ------
Total Information Technology........................................ 677,534,291 15.2%
-------------- ------
Materials -- (4.7%)
Other Securities.............................................. 239,103,797 5.4%
-------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 17,279,091 0.4%
-------------- ------
Telecommunication Services -- (2.3%)
AT&T, Inc..................................................... 1,501,915 59,520,891 1.4%
# CenturyLink, Inc.............................................. 526,869 13,524,727 0.3%
Verizon Communications, Inc................................... 259,639 11,920,026 0.3%
Other Securities.............................................. 34,415,828 0.7%
-------------- ------
Total Telecommunication Services.................................... 119,381,472 2.7%
-------------- ------
Utilities -- (0.9%)
Other Securities.............................................. 47,896,602 1.1%
-------------- ------
TOTAL COMMON STOCKS................................................. 4,394,385,082 98.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 61,222 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 4,394,446,304
--------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 45,293,421 45,293,421 1.0%
-------------- ------
SECURITIES LENDING COLLATERAL -- (13.0%)
(S)@ DFA Short Term Investment Fund................................ 57,408,502 664,388,590 15.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,682,199,124)........................................... $5,104,128,315 114.9%
============== ======
31
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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............ $ 641,738,783 $ 73,768 -- $ 641,812,551
Consumer Staples.................. 202,343,147 -- -- 202,343,147
Energy............................ 310,417,720 -- -- 310,417,720
Financials........................ 1,040,906,460 -- -- 1,040,906,460
Health Care....................... 364,246,599 -- -- 364,246,599
Industrials....................... 733,463,352 -- -- 733,463,352
Information Technology............ 677,534,291 -- -- 677,534,291
Materials......................... 239,103,797 -- -- 239,103,797
Real Estate....................... 17,279,091 -- -- 17,279,091
Telecommunication Services........ 119,381,472 -- -- 119,381,472
Utilities......................... 47,896,602 -- -- 47,896,602
Rights/Warrants.................... -- 61,222 -- 61,222
Temporary Cash Investments......... 45,293,421 -- -- 45,293,421
Securities Lending Collateral...... -- 664,388,590 -- 664,388,590
Futures Contracts**................ 290,316 -- -- 290,316
-------------- ------------ -- --------------
TOTAL.............................. $4,439,895,051 $664,523,580 -- $5,104,418,631
============== ============ == ==============
**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.
32
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (80.6%)
Consumer Discretionary -- (12.8%)
#* Deckers Outdoor Corp................ 656,986 $ 39,149,796 0.3%
#* Grand Canyon Education, Inc......... 499,376 37,533,100 0.2%
Jack in the Box, Inc................ 398,413 40,626,174 0.3%
# Papa John's International, Inc...... 463,838 36,671,032 0.2%
# Tenneco, Inc........................ 542,557 34,197,368 0.2%
* Visteon Corp........................ 340,599 35,064,667 0.2%
# Wendy's Co. (The)................... 2,743,838 40,444,172 0.3%
Other Securities.................... 2,207,934,857 14.0%
-------------- -----
Total Consumer Discretionary............ 2,471,621,166 15.7%
-------------- -----
Consumer Staples -- (3.4%)
# Sanderson Farms, Inc................ 381,768 44,201,099 0.3%
Other Securities.................... 617,491,672 3.9%
-------------- -----
Total Consumer Staples.................. 661,692,771 4.2%
-------------- -----
Energy -- (3.6%)
Other Securities.................... 687,429,522 4.4%
-------------- -----
Financials -- (17.4%)
Associated Banc-Corp................ 1,434,291 35,713,846 0.2%
# BancorpSouth, Inc................... 1,310,621 39,908,409 0.3%
BGC Partners, Inc. Class A.......... 3,104,312 35,327,071 0.2%
Cathay General Bancorp.............. 1,123,773 42,759,563 0.3%
Evercore Partners, Inc. Class A..... 512,710 37,812,362 0.2%
FNB Corp............................ 3,227,757 45,963,260 0.3%
# Fulton Financial Corp............... 2,124,462 39,196,324 0.3%
Hancock Holding Co.................. 781,269 36,485,262 0.2%
# Mercury General Corp................ 593,604 36,500,710 0.2%
# Pinnacle Financial Partners, Inc.... 528,359 33,814,976 0.2%
# Primerica, Inc...................... 596,328 49,972,286 0.3%
PrivateBancorp, Inc................. 706,570 40,818,549 0.3%
ProAssurance Corp................... 648,045 40,113,985 0.3%
# Selective Insurance Group, Inc...... 718,693 37,946,990 0.2%
# Sterling Bancorp.................... 1,887,128 43,875,726 0.3%
TCF Financial Corp.................. 2,136,334 35,270,874 0.2%
#* Texas Capital Bancshares, Inc....... 524,404 39,907,144 0.3%
# UMB Financial Corp.................. 496,964 36,024,920 0.2%
# United Bankshares, Inc.............. 913,459 36,447,012 0.2%
# Valley National Bancorp............. 3,472,172 40,832,743 0.3%
# Wintrust Financial Corp............. 515,201 36,507,143 0.2%
Other Securities.................... 2,540,370,172 16.2%
-------------- -----
Total Financials........................ 3,361,569,327 21.4%
-------------- -----
Health Care -- (6.6%)
# Chemed Corp......................... 168,025 33,836,874 0.2%
#* Integra LifeSciences Holdings Corp.. 771,372 35,459,971 0.2%
* Masimo Corp......................... 391,510 40,223,737 0.3%
#* NuVasive, Inc....................... 476,938 34,582,774 0.2%
Other Securities.................... 1,135,892,970 7.2%
-------------- -----
Total Health Care....................... 1,279,996,326 8.1%
-------------- -----
33
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (15.6%)
* Beacon Roofing Supply, Inc.............................. 682,180 $ 33,815,663 0.2%
#* Dycom Industries, Inc................................... 329,337 34,797,747 0.2%
EMCOR Group, Inc........................................ 527,088 34,650,765 0.2%
EnerSys................................................. 433,616 36,037,826 0.2%
Kennametal, Inc......................................... 850,849 35,378,301 0.2%
* MasTec, Inc............................................. 933,917 41,232,436 0.3%
# Timken Co. (The)........................................ 810,462 39,104,791 0.3%
Valmont Industries, Inc................................. 238,545 36,342,331 0.2%
Other Securities........................................ 2,710,307,991 17.3%
--------------- ------
Total Industrials............................................. 3,001,667,851 19.1%
--------------- ------
Information Technology -- (12.2%)
# Belden, Inc............................................. 500,667 34,896,490 0.2%
#* Cirrus Logic, Inc....................................... 662,556 42,635,479 0.3%
#* Coherent, Inc........................................... 276,406 59,593,134 0.4%
* Entegris, Inc........................................... 1,400,987 34,744,478 0.2%
MKS Instruments, Inc.................................... 528,185 41,330,476 0.3%
Other Securities........................................ 2,133,473,902 13.5%
--------------- ------
Total Information Technology.................................. 2,346,673,959 14.9%
--------------- ------
Materials -- (4.4%)
* Louisiana-Pacific Corp.................................. 1,719,416 44,257,768 0.3%
Other Securities........................................ 799,578,267 5.1%
--------------- ------
Total Materials............................................... 843,836,035 5.4%
--------------- ------
Real Estate -- (0.5%)
Other Securities........................................ 96,252,837 0.6%
--------------- ------
Telecommunication Services -- (0.9%)
Other Securities........................................ 165,874,639 1.1%
--------------- ------
Utilities -- (3.2%)
# Black Hills Corp........................................ 500,581 34,049,520 0.2%
Southwest Gas Holdings, Inc............................. 430,070 36,022,663 0.2%
# WGL Holdings, Inc....................................... 421,322 34,742,212 0.2%
Other Securities........................................ 523,186,006 3.4%
--------------- ------
Total Utilities 628,000,401 4.0%
--------------- ------
TOTAL COMMON STOCKS........................................... 15,544,614,834 98.9%
--------------- ------
TOTAL INVESTMENT SECURITIES................................... 15,544,614,834
---------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
State Street Institutional U.S. Government Money Market
Fund, 0.680%........................................... 211,738,229 211,738,229 1.3%
--------------- ------
SECURITIES LENDING COLLATERAL -- (18.3%)
(S)@ DFA Short Term Investment Fund.......................... 304,056,330 3,518,843,904 22.4%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $15,605,036,262).................................... $19,275,196,967 122.6%
=============== ======
34
U.S. SMALL CAP PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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............ $ 2,471,052,761 $ 568,405 -- $ 2,471,621,166
Consumer Staples.................. 661,692,771 -- -- 661,692,771
Energy............................ 687,425,053 4,469 -- 687,429,522
Financials........................ 3,361,569,327 -- -- 3,361,569,327
Health Care....................... 1,279,996,326 -- -- 1,279,996,326
Industrials....................... 3,001,667,851 -- -- 3,001,667,851
Information Technology............ 2,346,673,959 -- -- 2,346,673,959
Materials......................... 843,836,035 -- -- 843,836,035
Real Estate....................... 96,252,837 -- -- 96,252,837
Telecommunication Services........ 165,874,639 -- -- 165,874,639
Utilities......................... 628,000,401 -- -- 628,000,401
Temporary Cash Investments......... 211,738,229 -- -- 211,738,229
Securities Lending Collateral...... -- 3,518,843,904 -- 3,518,843,904
Futures Contracts**................ 2,410,255 -- -- 2,410,255
--------------- -------------- -- ---------------
TOTAL.............................. $15,758,190,444 $3,519,416,778 -- $19,277,607,222
=============== ============== == ===============
**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.
35
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (85.2%)
Consumer Discretionary -- (13.2%)
* American Axle & Manufacturing Holdings, Inc.. 826,992 $ 14,546,789 0.3%
# Bob Evans Farms, Inc......................... 234,571 15,655,269 0.3%
Caleres, Inc................................. 489,203 14,098,830 0.3%
# Children's Place, Inc. (The)................. 120,831 13,871,399 0.2%
#* iRobot Corp.................................. 241,122 19,227,068 0.3%
La-Z-Boy, Inc................................ 546,869 15,257,645 0.3%
Nutrisystem, Inc............................. 347,024 18,548,433 0.3%
#* Select Comfort Corp.......................... 443,759 13,712,153 0.2%
# Sonic Corp................................... 598,492 16,087,465 0.3%
Other Securities............................. 753,625,451 12.8%
-------------- -----
Total Consumer Discretionary..................... 894,630,502 15.3%
-------------- -----
Consumer Staples -- (2.9%)
# Coca-Cola Bottling Co. Consolidated.......... 73,233 15,515,143 0.3%
# WD-40 Co..................................... 145,060 15,209,541 0.3%
Other Securities............................. 163,677,122 2.7%
-------------- -----
Total Consumer Staples........................... 194,401,806 3.3%
-------------- -----
Energy -- (2.2%)
Other Securities............................. 152,157,494 2.6%
-------------- -----
Financials -- (19.8%)
# Ameris Bancorp............................... 359,211 16,918,838 0.3%
Astoria Financial Corp....................... 689,448 14,057,845 0.2%
# Boston Private Financial Holdings, Inc....... 934,943 14,585,111 0.3%
FBL Financial Group, Inc. Class A............ 252,835 16,813,527 0.3%
# First Financial Bancorp...................... 530,631 14,671,947 0.3%
#* Green Dot Corp. Class A...................... 513,948 17,623,277 0.3%
Horace Mann Educators Corp................... 408,077 15,772,176 0.3%
# Stewart Information Services Corp............ 308,986 14,658,296 0.3%
#* Walker & Dunlop, Inc......................... 342,436 15,358,255 0.3%
Other Securities............................. 1,205,089,598 20.4%
-------------- -----
Total Financials................................. 1,345,548,870 23.0%
-------------- -----
Health Care -- (7.7%)
#* Cambrex Corp................................. 265,240 15,741,994 0.3%
* Merit Medical Systems, Inc................... 505,117 17,022,443 0.3%
#* Omnicell, Inc................................ 390,314 16,159,000 0.3%
Other Securities............................. 477,334,259 8.1%
-------------- -----
Total Health Care................................ 526,257,696 9.0%
-------------- -----
Industrials -- (18.3%)
# AAON, Inc.................................... 449,295 16,466,662 0.3%
# Apogee Enterprises, Inc...................... 293,243 15,981,743 0.3%
Brink's Co. (The)............................ 233,711 14,349,855 0.3%
Comfort Systems USA, Inc..................... 380,897 13,978,920 0.2%
Exponent, Inc................................ 266,014 16,266,756 0.3%
Forward Air Corp............................. 308,222 16,388,164 0.3%
Insperity, Inc............................... 229,047 20,923,443 0.4%
# Korn/Ferry International..................... 428,819 13,893,736 0.2%
#* Meritor, Inc................................. 962,823 17,147,878 0.3%
#* Trex Co., Inc................................ 189,783 13,890,218 0.2%
# Wabash National Corp......................... 661,379 15,066,214 0.3%
Other Securities............................. 1,073,642,176 18.2%
-------------- -----
Total Industrials................................ 1,247,995,765 21.3%
-------------- -----
36
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (11.9%)
#* Advanced Energy Industries, Inc............................... 204,036 $ 15,057,857 0.3%
Cabot Microelectronics Corp................................... 275,151 21,558,081 0.4%
#* ExlService Holdings, Inc...................................... 333,971 15,933,756 0.3%
# Methode Electronics, Inc...................................... 410,752 18,299,002 0.3%
#* OSI Systems, Inc.............................................. 218,318 16,897,813 0.3%
* Rogers Corp................................................... 149,440 15,383,354 0.3%
Other Securities.............................................. 709,261,605 12.0%
-------------- ------
Total Information Technology........................................ 812,391,468 13.9%
-------------- ------
Materials -- (4.9%)
* Ferro Corp.................................................... 915,672 16,408,842 0.3%
* Headwaters, Inc............................................... 771,171 18,323,023 0.3%
Innospec, Inc................................................. 257,508 16,995,528 0.3%
# Kaiser Aluminum Corp.......................................... 167,047 14,100,437 0.2%
# Quaker Chemical Corp.......................................... 132,575 19,170,345 0.3%
Stepan Co..................................................... 185,079 15,694,699 0.3%
Other Securities.............................................. 231,306,551 4.0%
-------------- ------
Total Materials..................................................... 331,999,425 5.7%
-------------- ------
Real Estate -- (0.8%)
Other Securities.............................................. 54,429,862 0.9%
-------------- ------
Telecommunication Services -- (1.6%)
#* General Communication, Inc. Class A........................... 439,260 16,445,894 0.3%
# Shenandoah Telecommunications Co.............................. 502,216 16,070,912 0.2%
Other Securities.............................................. 75,543,592 1.3%
-------------- ------
Total Telecommunication Services.................................... 108,060,398 1.8%
-------------- ------
Utilities -- (1.9%)
# American States Water Co...................................... 394,734 17,573,558 0.3%
# California Water Service Group................................ 488,796 17,450,017 0.3%
Other Securities.............................................. 95,107,399 1.6%
-------------- ------
Total Utilities..................................................... 130,130,974 2.2%
-------------- ------
TOTAL COMMON STOCKS................................................. 5,798,004,260 99.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 5,798,004,260
--------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 54,273,730 54,273,730 0.9%
-------------- ------
SECURITIES LENDING COLLATERAL -- (14.0%)
(S)@ DFA Short Term Investment Fund................................ 82,329,938 952,804,374 16.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,866,553,909)........................................... $6,805,082,364 116.2%
============== ======
37
U.S. MICRO CAP PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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............ $ 894,619,023 $ 11,479 -- $ 894,630,502
Consumer Staples.................. 194,401,806 -- -- 194,401,806
Energy............................ 152,141,002 16,492 -- 152,157,494
Financials........................ 1,345,548,870 -- -- 1,345,548,870
Health Care....................... 526,257,696 -- -- 526,257,696
Industrials....................... 1,247,995,765 -- -- 1,247,995,765
Information Technology............ 812,391,468 -- -- 812,391,468
Materials......................... 331,999,425 -- -- 331,999,425
Real Estate....................... 54,429,862 -- -- 54,429,862
Telecommunication Services........ 108,060,398 -- -- 108,060,398
Utilities......................... 130,130,974 -- -- 130,130,974
Temporary Cash Investments......... 54,273,730 -- -- 54,273,730
Securities Lending Collateral...... -- 952,804,374 -- 952,804,374
Futures Contracts**................ 721,978 -- -- 721,978
-------------- ------------ -- --------------
TOTAL.............................. $5,852,971,997 $952,832,345 -- $6,805,804,342
============== ============ == ==============
**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.
38
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (93.1%)
Real Estate -- (93.1%)
Alexandria Real Estate Equities, Inc.... 842,788 $ 94,822,078 1.2%
American Campus Communities, Inc........ 1,255,493 59,497,813 0.8%
# American Homes 4 Rent Class A........... 2,072,453 47,770,042 0.6%
Apartment Investment & Management Co.
Class A................................ 1,491,202 65,225,176 0.8%
# AvalonBay Communities, Inc.............. 1,306,173 247,963,882 3.1%
Boston Properties, Inc.................. 1,485,349 188,045,183 2.4%
Brixmor Property Group, Inc............. 2,888,376 57,045,426 0.7%
Camden Property Trust................... 831,494 68,456,901 0.9%
CubeSmart............................... 1,710,433 43,342,372 0.5%
DCT Industrial Trust, Inc............... 894,750 45,238,560 0.6%
# Digital Realty Trust, Inc............... 1,511,514 173,582,268 2.2%
Douglas Emmett, Inc..................... 1,378,225 51,917,736 0.7%
Duke Realty Corp........................ 3,372,012 93,505,893 1.2%
# EPR Properties.......................... 603,716 43,896,190 0.6%
Equinix, Inc............................ 729,425 304,680,823 3.9%
Equity LifeStyle Properties, Inc........ 780,714 63,167,570 0.8%
Equity Residential...................... 3,481,321 224,823,710 2.8%
Essex Property Trust, Inc............... 629,004 153,772,608 1.9%
# Extra Space Storage, Inc................ 1,196,092 90,340,829 1.1%
Federal Realty Investment Trust......... 683,759 89,497,216 1.1%
Forest City Realty Trust, Inc. Class A.. 2,292,067 51,800,714 0.7%
Gaming and Leisure Properties, Inc...... 1,870,000 65,076,000 0.8%
GGP, Inc................................ 5,475,114 118,317,214 1.5%
HCP, Inc................................ 4,450,308 139,517,156 1.8%
Highwoods Properties, Inc............... 963,479 49,021,812 0.6%
Hospitality Properties Trust............ 1,558,020 49,591,777 0.6%
# Host Hotels & Resorts, Inc.............. 7,137,258 128,113,781 1.6%
Hudson Pacific Properties, Inc.......... 1,467,570 50,425,705 0.6%
# Iron Mountain, Inc...................... 2,379,313 82,704,920 1.0%
Kilroy Realty Corp...................... 928,148 65,462,279 0.8%
Kimco Realty Corp....................... 4,041,002 81,991,931 1.0%
Liberty Property Trust.................. 1,442,711 58,530,785 0.7%
# Macerich Co. (The)...................... 1,438,568 89,809,800 1.1%
Mid-America Apartment Communities, Inc.. 1,102,863 109,415,038 1.4%
National Retail Properties, Inc......... 1,396,299 58,951,744 0.7%
# Omega Healthcare Investors, Inc......... 1,865,077 61,547,541 0.8%
Prologis, Inc........................... 5,028,044 273,575,874 3.5%
Public Storage.......................... 1,402,330 293,619,855 3.7%
Realty Income Corp...................... 2,484,586 144,975,593 1.8%
Regency Centers Corp.................... 1,599,666 101,066,898 1.3%
# Senior Housing Properties Trust......... 2,256,754 48,565,346 0.6%
Simon Property Group, Inc............... 3,041,839 502,694,313 6.4%
# SL Green Realty Corp.................... 968,768 101,652,826 1.3%
Sun Communities, Inc.................... 661,430 55,302,162 0.7%
UDR, Inc................................ 2,540,787 94,872,987 1.2%
Ventas, Inc............................. 3,368,039 215,588,176 2.7%
VEREIT, Inc............................. 9,261,049 77,514,980 1.0%
Vornado Realty Trust.................... 1,639,064 157,743,519 2.0%
Welltower, Inc.......................... 3,448,237 246,342,051 3.1%
# WP Carey, Inc........................... 959,557 60,068,268 0.8%
Other Securities........................ 1,944,499,335 25.0%
-------------- -----
TOTAL COMMON STOCKS......................... 7,784,952,656 98.7%
-------------- -----
TOTAL INVESTMENT SECURITIES................. 7,784,952,656
--------------
39
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 102,157,416 $ 102,157,416 1.3%
-------------- ------
SECURITIES LENDING COLLATERAL -- (5.7%)
(S)@ DFA Short Term Investment Fund................................ 41,124,224 475,930,650 6.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,140,307,059).............................................. $8,363,040,722 106.0%
============== ======
Summary of the Portfolio's investments as of April 30, 2017, 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....................... $7,784,952,656 -- -- $7,784,952,656
Temporary Cash Investments......... 102,157,416 -- -- 102,157,416
Securities Lending Collateral...... -- $475,930,650 -- 475,930,650
Futures Contracts**................ 708,491 -- -- 708,491
-------------- ------------ -- --------------
TOTAL.............................. $7,887,818,563 $475,930,650 -- $8,363,749,213
============== ============ == ==============
**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.
40
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.7%)
AUSTRALIA -- (5.9%)
# Australia & New Zealand Banking Group, Ltd.. 717,809 $ 17,571,231 0.4%
BHP Billiton, Ltd........................... 982,411 17,490,780 0.4%
# Commonwealth Bank of Australia.............. 455,055 29,721,420 0.7%
CSL, Ltd.................................... 127,603 12,653,120 0.3%
# National Australia Bank, Ltd................ 626,468 15,901,096 0.4%
# Westpac Banking Corp........................ 765,898 20,077,830 0.5%
Other Securities............................ 146,445,025 3.6%
------------ ----
TOTAL AUSTRALIA................................. 259,860,502 6.3%
------------ ----
AUSTRIA -- (0.2%)
Other Securities............................ 10,834,391 0.3%
------------ ----
BELGIUM -- (1.3%)
# Anheuser-Busch InBev SA/NV.................. 243,093 27,413,677 0.7%
Other Securities............................ 28,911,717 0.7%
------------ ----
TOTAL BELGIUM................................... 56,325,394 1.4%
------------ ----
CANADA -- (7.9%)
Royal Bank of Canada........................ 246,120 16,852,743 0.4%
Toronto-Dominion Bank (The)................. 270,619 12,733,496 0.3%
Other Securities............................ 318,158,411 7.7%
------------ ----
TOTAL CANADA.................................... 347,744,650 8.4%
------------ ----
DENMARK -- (1.4%)
Novo Nordisk A.S. Class B................... 411,533 16,023,801 0.3%
Other Securities............................ 45,984,787 1.2%
------------ ----
TOTAL DENMARK................................... 62,008,588 1.5%
------------ ----
FINLAND -- (0.9%)
Other Securities............................ 39,223,542 0.9%
------------ ----
FRANCE -- (8.4%)
Air Liquide SA.............................. 107,672 12,972,988 0.3%
# Airbus SE................................... 164,233 13,285,234 0.3%
# AXA SA...................................... 422,810 11,280,624 0.3%
BNP Paribas SA.............................. 283,980 20,042,508 0.5%
# L'Oreal SA.................................. 64,588 12,862,672 0.3%
# LVMH Moet Hennessy Louis Vuitton SE......... 79,335 19,585,332 0.5%
# Sanofi...................................... 263,467 24,895,993 0.6%
Total SA.................................... 377,642 19,385,571 0.5%
# Vinci SA.................................... 138,360 11,793,599 0.3%
Other Securities............................ 225,574,839 5.4%
------------ ----
TOTAL FRANCE.................................... 371,679,360 9.0%
------------ ----
GERMANY -- (7.2%)
Allianz SE.................................. 82,245 15,657,606 0.4%
BASF SE..................................... 241,542 23,530,764 0.6%
# Bayer AG.................................... 196,088 24,262,568 0.6%
Daimler AG.................................. 251,127 18,712,548 0.5%
Deutsche Telekom AG......................... 880,657 15,447,423 0.4%
SAP SE...................................... 193,973 19,429,491 0.5%
41
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
Siemens AG............................ 158,545 $ 22,742,150 0.6%
Other Securities...................... 178,341,676 4.1%
------------ -----
TOTAL GERMANY............................. 318,124,226 7.7%
------------ -----
HONG KONG -- (2.8%)
AIA Group, Ltd........................ 3,116,200 21,568,576 0.5%
Other Securities...................... 100,751,521 2.5%
------------ -----
TOTAL HONG KONG........................... 122,320,097 3.0%
------------ -----
IRELAND -- (0.5%)
Other Securities...................... 19,995,878 0.5%
------------ -----
ISRAEL -- (0.4%)
Other Securities...................... 19,306,272 0.5%
------------ -----
ITALY -- (1.9%)
Other Securities...................... 82,854,156 2.0%
------------ -----
JAPAN -- (20.8%)
KDDI Corp............................. 524,700 13,911,922 0.4%
SoftBank Group Corp................... 258,360 19,597,295 0.5%
Sumitomo Mitsui Financial Group, Inc.. 322,440 11,972,395 0.3%
Toyota Motor Corp..................... 544,869 29,488,721 0.7%
Other Securities...................... 845,212,176 20.4%
------------ -----
TOTAL JAPAN............................... 920,182,509 22.3%
------------ -----
NETHERLANDS -- (2.8%)
Unilever NV........................... 256,547 13,439,327 0.3%
Other Securities...................... 108,125,654 2.6%
------------ -----
TOTAL NETHERLANDS......................... 121,564,981 2.9%
------------ -----
NEW ZEALAND -- (0.2%)
Other Securities...................... 7,882,428 0.2%
------------ -----
NORWAY -- (0.6%)
Other Securities...................... 27,274,883 0.7%
------------ -----
PORTUGAL -- (0.1%)
Other Securities...................... 6,288,712 0.1%
------------ -----
SINGAPORE -- (1.0%)
Other Securities...................... 45,991,865 1.1%
------------ -----
SPAIN -- (2.8%)
# Banco Santander SA.................... 3,030,791 19,751,428 0.5%
Other Securities...................... 103,490,645 2.5%
------------ -----
TOTAL SPAIN............................... 123,242,073 3.0%
------------ -----
SWEDEN -- (2.6%)
Other Securities...................... 114,356,933 2.8%
------------ -----
SWITZERLAND -- (7.0%)
Nestle SA............................. 786,239 60,556,490 1.5%
Novartis AG........................... 442,365 34,055,498 0.8%
Roche Holding AG...................... 184,245 48,210,336 1.2%
42
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Other Securities........................ $ 166,932,274 4.0%
-------------- ------
TOTAL SWITZERLAND............................. 309,754,598 7.5%
-------------- ------
UNITED KINGDOM -- (15.0%)
BP P.L.C. Sponsored ADR................. 686,863 23,573,121 0.6%
British American Tobacco P.L.C.......... 344,767 23,293,590 0.6%
# British American Tobacco P.L.C.
Sponsored ADR.......................... 175,004 11,907,272 0.3%
# Diageo P.L.C. Sponsored ADR............. 115,851 13,604,383 0.3%
GlaxoSmithKline P.L.C................... 566,003 11,392,420 0.3%
# GlaxoSmithKline P.L.C. Sponsored ADR.... 402,851 16,476,606 0.4%
* Glencore P.L.C.......................... 3,170,885 12,462,015 0.3%
HSBC Holdings P.L.C..................... 1,829,707 15,088,344 0.4%
# HSBC Holdings P.L.C. Sponsored ADR...... 577,438 23,773,122 0.6%
Reckitt Benckiser Group P.L.C........... 160,900 14,824,915 0.4%
Royal Dutch Shell P.L.C. Class A........ 468,172 12,157,688 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR,
Class A................................ 346,136 18,064,851 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR,
Class B................................ 358,960 19,426,915 0.5%
Unilever P.L.C. Sponsored ADR........... 254,623 13,072,345 0.3%
Other Securities........................ 433,321,688 10.3%
-------------- ------
TOTAL UNITED KINGDOM.......................... 662,439,275 16.0%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities........................ 67,462 0.0%
-------------- ------
TOTAL COMMON STOCKS........................... 4,049,322,775 98.1%
-------------- ------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Other Securities........................ 21,743,766 0.5%
-------------- ------
TOTAL PREFERRED STOCKS........................ 21,743,766 0.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
--------------
TOTAL INVESTMENT SECURITIES................... 4,071,066,541
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (7.8%)
(S)@ DFA Short Term Investment Fund.......... 29,622,436 342,820,452 8.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,834,337,349)....................... $4,413,886,993 106.9%
============== ======
43
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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......................... $ 5,457,016 $ 254,403,486 -- $ 259,860,502
Austria........................... -- 10,834,391 -- 10,834,391
Belgium........................... 286,610 56,038,784 -- 56,325,394
Canada............................ 347,744,650 -- -- 347,744,650
Denmark........................... 2,339,637 59,668,951 -- 62,008,588
Finland........................... 1,769,986 37,453,556 -- 39,223,542
France............................ 8,861,850 362,817,510 -- 371,679,360
Germany........................... 21,726,215 296,398,011 -- 318,124,226
Hong Kong......................... 749,285 121,570,812 -- 122,320,097
Ireland........................... 4,705,728 15,290,150 -- 19,995,878
Israel............................ 7,011,448 12,294,824 -- 19,306,272
Italy............................. 4,450,416 78,403,740 -- 82,854,156
Japan............................. 37,730,465 882,452,044 -- 920,182,509
Netherlands....................... 26,066,201 95,498,780 -- 121,564,981
New Zealand....................... -- 7,882,428 -- 7,882,428
Norway............................ 807,018 26,467,865 -- 27,274,883
Portugal.......................... -- 6,288,712 -- 6,288,712
Singapore......................... -- 45,991,865 -- 45,991,865
Spain............................. 13,388,948 109,853,125 -- 123,242,073
Sweden............................ -- 114,356,933 -- 114,356,933
Switzerland....................... 26,367,747 283,386,851 -- 309,754,598
United Kingdom.................... 207,151,470 455,287,805 -- 662,439,275
United States..................... -- 67,462 -- 67,462
Preferred Stocks
Germany........................... -- 21,743,766 -- 21,743,766
Securities Lending Collateral...... -- 342,820,452 -- 342,820,452
Futures Contracts**................ 581,869 -- -- 581,869
------------ -------------- -- --------------
TOTAL.............................. $717,196,559 $3,697,272,303 -- $4,414,468,862
============ ============== == ==============
**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.
44
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (90.4%)
AUSTRALIA -- (5.4%)
# Australia & New Zealand Banking Group, Ltd.. 2,056,866 $ 50,349,978 0.3%
BHP Billiton, Ltd........................... 2,778,611 49,470,205 0.3%
# Commonwealth Bank of Australia.............. 695,403 45,419,485 0.2%
Macquarie Group, Ltd........................ 602,362 41,844,170 0.2%
# National Australia Bank, Ltd................ 1,864,442 47,323,522 0.2%
# Westpac Banking Corp........................ 2,102,187 55,108,322 0.3%
Other Securities............................ 948,974,676 4.4%
-------------- ----
TOTAL AUSTRALIA................................. 1,238,490,358 5.9%
-------------- ----
AUSTRIA -- (0.6%)
Other Securities............................ 132,312,880 0.6%
-------------- ----
BELGIUM -- (1.2%)
Other Securities............................ 271,326,230 1.3%
-------------- ----
CANADA -- (7.7%)
Bank of Montreal............................ 512,923 36,340,595 0.2%
# Bank of Nova Scotia (The)................... 943,453 52,484,290 0.3%
# Royal Bank of Canada........................ 699,021 47,868,958 0.2%
Other Securities............................ 1,621,757,660 7.7%
-------------- ----
TOTAL CANADA.................................... 1,758,451,503 8.4%
-------------- ----
CHINA -- (0.0%)
Other Securities............................ 1,513,491 0.0%
-------------- ----
DENMARK -- (1.7%)
Other Securities............................ 388,369,799 1.9%
-------------- ----
FINLAND -- (1.6%)
UPM-Kymmene Oyj............................. 1,573,268 41,450,374 0.2%
Other Securities............................ 323,368,827 1.5%
-------------- ----
TOTAL FINLAND 364,819,201 1.7%
-------------- ----
FRANCE -- (6.7%)
BNP Paribas SA.............................. 981,305 69,257,739 0.3%
# Cie Generale des Etablissements Michelin.... 371,701 48,618,879 0.2%
Orange SA................................... 2,984,136 46,186,477 0.2%
Societe Generale SA......................... 754,381 41,364,717 0.2%
Total SA.................................... 1,746,012 89,628,376 0.4%
Other Securities............................ 1,241,841,461 6.0%
-------------- ----
TOTAL FRANCE.................................... 1,536,897,649 7.3%
-------------- ----
GERMANY -- (6.5%)
Allianz SE.................................. 223,516 42,552,439 0.2%
BASF SE..................................... 772,900 75,295,092 0.4%
Bayer AG.................................... 326,759 40,430,891 0.2%
Bayerische Motoren Werke AG................. 505,276 48,274,957 0.2%
Daimler AG.................................. 1,216,771 90,666,819 0.4%
# Deutsche Telekom AG......................... 3,408,551 59,788,690 0.3%
# E.ON SE..................................... 5,371,567 41,873,432 0.2%
Fresenius SE & Co. KGaA..................... 594,150 48,203,539 0.2%
Other Securities............................ 1,036,123,166 5.0%
-------------- ----
TOTAL GERMANY................................... 1,483,209,025 7.1%
-------------- ----
45
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.8%)
AIA Group, Ltd........................ 6,136,600 $ 42,474,079 0.2%
CK Hutchison Holdings, Ltd............ 3,807,408 47,544,188 0.2%
Other Securities...................... 555,974,674 2.7%
-------------- -----
TOTAL HONG KONG........................... 645,992,941 3.1%
-------------- -----
IRELAND -- (0.5%)
Other Securities...................... 112,362,473 0.5%
-------------- -----
ISRAEL -- (0.7%)
Other Securities...................... 149,048,367 0.7%
-------------- -----
ITALY -- (2.6%)
Assicurazioni Generali SpA............ 2,476,453 39,227,046 0.2%
Other Securities...................... 556,899,855 2.6%
-------------- -----
TOTAL ITALY............................... 596,126,901 2.8%
-------------- -----
JAPAN -- (21.5%)
Hitachi, Ltd.......................... 6,497,000 35,891,817 0.2%
Honda Motor Co., Ltd.................. 1,287,400 37,470,623 0.2%
Mitsubishi UFJ Financial Group, Inc... 7,664,200 48,564,916 0.3%
Sumitomo Mitsui Financial Group, Inc.. 995,670 36,969,836 0.2%
Toyota Motor Corp..................... 2,458,894 133,077,196 0.7%
# Toyota Motor Corp. Sponsored ADR...... 408,823 44,210,119 0.2%
Other Securities...................... 4,562,039,047 21.5%
-------------- -----
TOTAL JAPAN............................... 4,898,223,554 23.3%
-------------- -----
NETHERLANDS -- (2.5%)
# Akzo Nobel NV......................... 456,161 39,896,798 0.2%
Koninklijke Ahold Delhaize NV......... 2,136,192 44,251,745 0.2%
Other Securities...................... 483,392,166 2.3%
-------------- -----
TOTAL NETHERLANDS......................... 567,540,709 2.7%
-------------- -----
NEW ZEALAND -- (0.4%)
Other Securities...................... 79,939,369 0.4%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 177,481,460 0.8%
-------------- -----
PORTUGAL -- (0.2%)
Other Securities...................... 53,627,665 0.3%
-------------- -----
SINGAPORE -- (1.1%)
Other Securities...................... 239,010,084 1.1%
-------------- -----
SPAIN -- (2.3%)
# Banco Santander SA.................... 8,636,362 56,282,495 0.3%
Iberdrola SA.......................... 6,319,526 45,429,592 0.2%
Other Securities...................... 427,022,035 2.0%
-------------- -----
TOTAL SPAIN............................... 528,734,122 2.5%
-------------- -----
SWEDEN -- (2.8%)
Other Securities...................... 628,616,755 3.0%
-------------- -----
SWITZERLAND -- (5.8%)
Nestle SA............................. 2,417,067 186,163,615 0.9%
Novartis AG........................... 500,288 38,514,704 0.2%
46
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND --(Continued)
Novartis AG Sponsored ADR............... 935,984 $ 72,098,848 0.4%
Roche Holding AG........................ 169,071 44,239,842 0.2%
* Syngenta AG............................. 92,858 43,154,212 0.2%
Other Securities........................ 939,325,135 4.4%
--------------- ------
TOTAL SWITZERLAND............................. 1,323,496,356 6.3%
--------------- ------
UNITED KINGDOM -- (15.0%)
BP P.L.C. Sponsored ADR................. 2,580,234 88,553,639 0.4%
* Glencore P.L.C.......................... 9,379,540 36,862,891 0.2%
# HSBC Holdings P.L.C. Sponsored ADR...... 2,608,732 107,401,496 0.5%
Lloyds Banking Group P.L.C.............. 47,201,041 42,411,317 0.2%
# Rio Tinto P.L.C. Sponsored ADR.......... 944,661 37,616,401 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR,
Class A................................ 1,148,264 59,927,898 0.3%
# Royal Dutch Shell P.L.C. Sponsored ADR,
Class B................................ 1,245,058 67,382,539 0.3%
# Vodafone Group P.L.C. Sponsored ADR..... 1,397,631 36,603,949 0.2%
Other Securities........................ 2,944,077,550 14.0%
--------------- ------
TOTAL UNITED KINGDOM.......................... 3,420,837,680 16.3%
--------------- ------
UNITED STATES -- (0.0%)
Other Securities........................ 1,096,180 0.0%
--------------- ------
TOTAL COMMON STOCKS........................... 20,597,524,752 98.0%
--------------- ------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Volkswagen AG........................... 298,637 47,407,640 0.2%
Other Securities........................ 51,508,808 0.3%
--------------- ------
TOTAL GERMANY................................. 98,916,448 0.5%
--------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities........................ 12,411 0.0%
--------------- ------
TOTAL PREFERRED STOCKS........................ 98,928,859 0.5%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
ITALY -- (0.0%)
Other Securities........................ 25,788 0.0%
--------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities........................ 1,492,782 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS......................... 1,518,570 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES................... 20,697,972,181
---------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (9.1%)
(S)@ DFA Short Term Investment Fund.......... 179,696,811 2,079,631,191 9.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $20,359,776,803).................. $22,777,603,372 108.4%
=============== ======
47
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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......................... $ 36,599,605 $ 1,201,890,753 -- $ 1,238,490,358
Austria........................... 58,737 132,254,143 -- 132,312,880
Belgium........................... 7,221,705 264,104,525 -- 271,326,230
Canada............................ 1,758,421,395 30,108 -- 1,758,451,503
China............................. -- 1,513,491 -- 1,513,491
Denmark........................... 23,025,546 365,344,253 -- 388,369,799
Finland........................... 4,812,269 360,006,932 -- 364,819,201
France............................ 74,753,385 1,462,144,264 -- 1,536,897,649
Germany........................... 84,939,307 1,398,269,718 -- 1,483,209,025
Hong Kong......................... 1,069,708 644,923,233 -- 645,992,941
Ireland........................... 21,979,811 90,382,662 -- 112,362,473
Israel............................ 25,398,528 123,649,839 -- 149,048,367
Italy............................. 14,515,421 581,611,480 -- 596,126,901
Japan............................. 107,870,081 4,790,353,473 -- 4,898,223,554
Netherlands....................... 69,358,485 498,182,224 -- 567,540,709
New Zealand....................... 159,402 79,779,967 -- 79,939,369
Norway............................ 11,959,568 165,521,892 -- 177,481,460
Portugal.......................... 237,810 53,389,855 -- 53,627,665
Singapore......................... -- 239,010,084 -- 239,010,084
Spain............................. 31,443,782 497,290,340 -- 528,734,122
Sweden............................ 3,425,338 625,191,417 -- 628,616,755
Switzerland....................... 145,766,070 1,177,730,286 -- 1,323,496,356
United Kingdom.................... 676,622,503 2,744,215,177 -- 3,420,837,680
United States..................... 112 1,096,068 -- 1,096,180
Preferred Stocks
Germany........................... -- 98,916,448 -- 98,916,448
United Kingdom.................... -- 12,411 -- 12,411
Rights/Warrants
Italy............................. -- 25,788 -- 25,788
United Kingdom.................... -- 1,492,782 -- 1,492,782
Securities Lending Collateral...... -- 2,079,631,191 -- 2,079,631,191
Futures Contracts**................ 1,156,615 -- -- 1,156,615
-------------- --------------- -- ---------------
TOTAL.............................. $3,100,795,183 $19,677,964,804 -- $22,778,759,987
============== =============== == ===============
**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.
48
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of The
DFA Investment Trust Company.............................. $ 4,543,221,548
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company.................................. 2,838,253,953
Investment in The United Kingdom Small Company Series
of The DFA Investment Trust Company....................... 2,045,443,066
Investment in The Asia Pacific Small Company Series of The
DFA Investment Trust Company.............................. 1,357,746,980
Investment in The Canadian Small Company Series of The DFA
Investment Trust Company.................................. 1,186,604,610
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES (Cost $10,153,529,078)....................... $11,971,270,157
===============
Summary of the Portfolio's investments as of April 30, 2017, 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.... $11,971,270,157 -- -- $11,971,270,157
Futures Contracts**................ 1,368,363 -- -- 1,368,363
--------------- -- -- ---------------
TOTAL.............................. $11,972,638,520 -- -- $11,972,638,520
=============== == == ===============
**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
GLOBAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
SHARES VALUE+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Small Cap Portfolio of DFA Investment
Dimensions Group Inc...................................... 154,221 $ 5,305,191
Investment in The Continental Small Company Series of The
DFA Investment Trust Company.............................. 1,456,234
Investment in The Emerging Markets Small Cap Series of The
DFA Investment Trust Company.............................. 1,201,988
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company.................................. 907,053
Investment in The United Kingdom Small Company Series
of The DFA Investment Trust Company....................... 660,544
Investment in The Asia Pacific Small Company Series of The
DFA Investment Trust Company.............................. 428,824
Investment in The Canadian Small Company Series of The DFA
Investment Trust Company.................................. 385,099
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES (Cost $10,000,471)........................... $10,344,933
===========
Summary of the Fund's investments as of April 30, 2017, 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.... $10,344,933 -- -- $10,344,933
----------- -- -- -----------
TOTAL.............................. $10,344,933 -- -- $10,344,933
=========== == == ===========
See accompanying Notes to Financial Statements.
50
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
JAPANESE SMALL COMPANY PORTFOLIO
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company.................................. $538,996,477
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$444,382,828).......................................... $538,996,477
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2017,
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.............................. $282,927,979
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$286,808,761).......................................... $282,927,979
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
51
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
UNITED KINGDOM SMALL COMPANY PORTFOLIO
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The United Kingdom Small Company Series
of The DFA Investment Trust Company....................... $43,125,135
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$34,523,163)........................................... $43,125,135
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2017,
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.............................. $386,548,508
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$296,628,007).......................................... $386,548,508
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
52
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (95.9%)
AUSTRALIA -- (18.3%)
Dexus Property Group.................... 11,710,255 $ 89,418,831 1.9%
Goodman Group........................... 21,220,425 128,844,037 2.7%
Investa Office Fund..................... 7,519,794 26,734,530 0.6%
Scentre Group........................... 58,558,424 188,938,843 4.0%
Stockland............................... 29,284,761 106,284,493 2.2%
Vicinity Centres........................ 39,802,744 85,791,549 1.8%
# Westfield Corp.......................... 22,271,419 151,456,139 3.2%
Other Securities........................ 118,704,483 2.5%
------------ -----
TOTAL AUSTRALIA............................. 896,172,905 18.9%
------------ -----
BELGIUM -- (1.9%)
Cofinimmo SA............................ 245,183 29,674,025 0.6%
Other Securities........................ 64,659,786 1.4%
------------ -----
TOTAL BELGIUM............................... 94,333,811 2.0%
------------ -----
CANADA -- (5.1%)
H&R REIT................................ 1,684,870 28,586,202 0.6%
RioCan REIT............................. 1,792,442 34,048,585 0.7%
Other Securities........................ 187,457,637 4.0%
------------ -----
TOTAL CANADA................................ 250,092,424 5.3%
------------ -----
CHINA -- (0.3%)
Other Securities........................ 13,596,036 0.3%
------------ -----
FRANCE -- (6.0%)
Fonciere Des Regions.................... 421,103 37,582,947 0.8%
# Gecina SA............................... 456,238 64,890,000 1.4%
# ICADE................................... 460,846 34,220,547 0.7%
# Klepierre............................... 2,536,495 99,557,112 2.1%
Unibail-Rodamco SE...................... 154,462 37,933,182 0.8%
Other Securities........................ 20,479,117 0.4%
------------ -----
TOTAL FRANCE................................ 294,662,905 6.2%
------------ -----
GERMANY -- (2.4%)
GPT Group (The)......................... 21,837,047 85,777,635 1.8%
Other Securities........................ 32,396,734 0.7%
------------ -----
TOTAL GERMANY............................... 118,174,369 2.5%
------------ -----
GREECE -- (0.0%)
Other Securities........................ 898,875 0.0%
------------ -----
HONG KONG -- (4.7%)
Link REIT............................... 25,235,805 181,394,237 3.8%
Other Securities........................ 49,640,637 1.1%
------------ -----
TOTAL HONG KONG............................. 231,034,874 4.9%
------------ -----
IRELAND -- (0.1%)
Other Securities........................ 5,923,985 0.1%
------------ -----
ITALY -- (0.3%)
Other Securities........................ 13,782,924 0.3%
------------ -----
53
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
JAPAN -- (21.0%)
# Advance Residence Investment Corp..... 15,716 $ 41,372,199 0.9%
Daiwa House REIT Investment Corp...... 14,803 37,424,445 0.8%
Frontier Real Estate Investment Corp.. 5,902 25,761,492 0.5%
# GLP J-Reit............................ 28,026 31,584,493 0.7%
Japan Hotel REIT Investment Corp...... 45,578 31,065,315 0.7%
Japan Prime Realty Investment Corp.... 9,848 36,973,481 0.8%
Japan Real Estate Investment Corp..... 15,108 79,556,533 1.7%
# Japan Retail Fund Investment Corp..... 30,552 59,685,405 1.3%
# Kenedix Office Investment Corp........ 5,365 30,397,526 0.6%
Nippon Building Fund, Inc............. 16,267 86,510,910 1.8%
# Nomura Real Estate Master Fund, Inc... 45,356 65,372,349 1.4%
# Orix JREIT, Inc....................... 30,297 48,045,116 1.0%
# United Urban Investment Corp.......... 35,141 53,092,827 1.1%
Other Securities...................... 399,494,289 8.3%
-------------- -----
TOTAL JAPAN............................... 1,026,336,380 21.6%
-------------- -----
MALAYSIA -- (0.6%)
Other Securities...................... 28,351,480 0.6%
-------------- -----
MEXICO -- (1.9%)
# Fibra Uno Administracion S.A. de C.V.. 30,974,520 53,984,622 1.1%
Other Securities...................... 36,877,195 0.8%
-------------- -----
TOTAL MEXICO.............................. 90,861,817 1.9%
-------------- -----
NETHERLANDS -- (6.2%)
Unibail-Rodamco SE.................... 978,160 240,178,975 5.0%
# Wereldhave NV......................... 612,390 28,198,004 0.6%
Other Securities...................... 33,430,129 0.7%
-------------- -----
TOTAL NETHERLANDS......................... 301,807,108 6.3%
-------------- -----
NEW ZEALAND -- (0.9%)
Other Securities...................... 41,437,876 0.9%
-------------- -----
SINGAPORE -- (7.4%)
Ascendas REIT......................... 27,808,000 50,966,492 1.1%
CapitaLand Commercial Trust........... 27,456,100 31,909,426 0.7%
CapitaLand Mall Trust................. 28,275,700 39,871,500 0.8%
# Mapletree Commercial Trust............ 22,421,937 25,601,257 0.5%
# Suntec REIT........................... 27,816,000 35,224,833 0.7%
Other Securities...................... 175,395,106 3.8%
-------------- -----
TOTAL SINGAPORE........................... 358,968,614 7.6%
-------------- -----
SOUTH AFRICA -- (3.7%)
Growthpoint Properties, Ltd........... 26,707,715 51,185,224 1.1%
Redefine Properties, Ltd.............. 57,986,898 47,727,586 1.0%
Resilient REIT, Ltd................... 3,159,707 27,527,902 0.6%
Other Securities...................... 55,877,782 1.1%
-------------- -----
TOTAL SOUTH AFRICA........................ 182,318,494 3.8%
-------------- -----
SPAIN -- (1.0%)
Merlin Properties Socimi SA........... 4,056,833 47,974,126 1.0%
Other Securities...................... 1,411,446 0.0%
-------------- -----
TOTAL SPAIN............................... 49,385,572 1.0%
-------------- -----
54
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (0.2%)
Other Securities................ $ 11,890,387 0.2%
-------------- ------
TURKEY -- (0.6%)
Other Securities................ 27,712,629 0.6%
-------------- ------
UNITED KINGDOM -- (13.3%)
British Land Co. P.L.C. (The)... 11,852,980 100,787,697 2.1%
Derwent London P.L.C............ 1,296,652 49,427,864 1.0%
Great Portland Estates P.L.C.... 4,219,977 37,811,444 0.8%
Hammerson P.L.C................. 9,766,520 74,307,342 1.6%
# Intu Properties P.L.C........... 11,626,258 41,524,417 0.9%
Land Securities Group P.L.C..... 9,292,927 133,090,190 2.8%
Segro P.L.C..................... 11,826,836 74,390,079 1.6%
Shaftesbury P.L.C............... 3,248,018 39,200,284 0.8%
Other Securities................ 98,404,346 2.1%
-------------- ------
TOTAL UNITED KINGDOM................... 648,943,663 13.7%
-------------- ------
TOTAL COMMON STOCKS.................... 4,686,687,128 98.7%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
UNITED KINGDOM -- (0.0%)
Other Securities................ 3,210 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 4,686,690,338
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (4.1%)
(S)@ DFA Short Term Investment Fund.. 17,302,487 200,241,680 4.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,650,415,625).............. $4,886,932,018 102.9%
============== ======
55
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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......................... -- $ 896,172,905 -- $ 896,172,905
Belgium........................... -- 94,333,811 -- 94,333,811
Canada............................ $250,092,424 -- -- 250,092,424
China............................. -- 13,596,036 -- 13,596,036
France............................ -- 294,662,905 -- 294,662,905
Germany........................... -- 118,174,369 -- 118,174,369
Greece............................ -- 898,875 -- 898,875
Hong Kong......................... -- 231,034,874 -- 231,034,874
Ireland........................... -- 5,923,985 -- 5,923,985
Italy............................. -- 13,782,924 -- 13,782,924
Japan............................. -- 1,026,336,380 -- 1,026,336,380
Malaysia.......................... -- 28,351,480 -- 28,351,480
Mexico............................ 90,861,817 -- -- 90,861,817
Netherlands....................... -- 301,807,108 -- 301,807,108
New Zealand....................... -- 41,437,876 -- 41,437,876
Singapore......................... -- 358,968,614 -- 358,968,614
South Africa...................... -- 182,318,494 -- 182,318,494
Spain............................. -- 49,385,572 -- 49,385,572
Taiwan............................ -- 11,890,387 -- 11,890,387
Turkey............................ -- 27,712,629 -- 27,712,629
United Kingdom.................... -- 648,943,663 -- 648,943,663
Rights/Warrants....................
United Kingdom.................... -- 3,210 -- 3,210
Securities Lending Collateral...... -- 200,241,680 -- 200,241,680
Futures Contracts**................ 248,637 -- -- 248,637
------------ -------------- -- --------------
TOTAL.............................. $341,202,878 $4,545,977,777 -- $4,887,180,655
============ ============== == ==============
**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.
56
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (34.9%)
UNITED STATES -- (34.9%)
Alexandria Real Estate Equities,
Inc............................... 225,859 $ 25,411,396 0.5%
American Campus Communities, Inc... 331,281 15,699,407 0.3%
# American Homes 4 Rent Class A...... 559,906 12,905,843 0.2%
Apartment Investment & Management
Co. Class A....................... 389,828 17,051,077 0.3%
AvalonBay Communities, Inc......... 339,061 64,367,340 1.2%
Boston Properties, Inc............. 379,814 48,084,452 0.9%
Brixmor Property Group, Inc........ 756,959 14,949,940 0.3%
Camden Property Trust.............. 217,559 17,911,632 0.3%
DCT Industrial Trust, Inc.......... 238,194 12,043,089 0.2%
# Digital Realty Trust, Inc.......... 393,694 45,211,819 0.8%
Douglas Emmett, Inc................ 360,262 13,571,070 0.2%
Duke Realty Corp................... 882,749 24,478,630 0.4%
Equinix, Inc....................... 189,336 79,085,647 1.4%
# Equity LifeStyle Properties, Inc... 203,333 16,451,673 0.3%
Equity Residential................. 905,209 58,458,397 1.1%
Essex Property Trust, Inc.......... 161,862 39,570,403 0.7%
Extra Space Storage, Inc........... 312,604 23,610,980 0.4%
Federal Realty Investment Trust.... 179,184 23,453,394 0.4%
Forest City Realty Trust, Inc.
Class A........................... 599,278 13,543,683 0.2%
Gaming and Leisure Properties, Inc. 490,010 17,052,348 0.3%
GGP, Inc........................... 1,417,759 30,637,772 0.6%
HCP, Inc........................... 1,156,484 36,255,773 0.7%
Highwoods Properties, Inc.......... 268,882 13,680,716 0.3%
# Hospitality Properties Trust....... 417,259 13,281,354 0.2%
# Host Hotels & Resorts, Inc......... 1,825,161 32,761,640 0.6%
Hudson Pacific Properties, Inc..... 376,306 12,929,874 0.2%
Iron Mountain, Inc................. 622,011 21,621,102 0.4%
# Kilroy Realty Corp................. 242,746 17,120,875 0.3%
# Kimco Realty Corp.................. 1,056,721 21,440,869 0.4%
Liberty Property Trust............. 364,940 14,805,616 0.3%
Macerich Co. (The)................. 303,682 18,958,867 0.3%
Mid-America Apartment Communities,
Inc............................... 280,339 27,812,385 0.5%
National Retail Properties, Inc.... 368,450 15,555,959 0.3%
# Omega Healthcare Investors, Inc.... 488,455 16,119,015 0.3%
Prologis, Inc...................... 1,307,447 71,138,191 1.3%
Public Storage..................... 364,123 76,240,074 1.4%
Realty Income Corp................. 651,802 38,032,647 0.7%
Regency Centers Corp............... 377,260 23,835,262 0.4%
Senior Housing Properties Trust.... 581,155 12,506,456 0.2%
Simon Property Group, Inc.......... 796,159 131,573,236 2.4%
# SL Green Realty Corp............... 249,710 26,202,070 0.5%
Sun Communities, Inc............... 173,919 14,541,368 0.3%
UDR, Inc........................... 662,635 24,742,791 0.4%
Ventas, Inc........................ 873,893 55,937,891 1.0%
VEREIT, Inc........................ 2,418,808 20,245,423 0.4%
Vornado Realty Trust............... 420,190 40,439,086 0.7%
# Welltower, Inc..................... 895,148 63,949,373 1.2%
WP Carey, Inc...................... 250,768 15,698,077 0.3%
Other Securities................... 505,661,158 8.8%
-------------- -----
TOTAL COMMON STOCKS.................... 1,996,637,140 35.8%
-------------- -----
57
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
AFFILIATED INVESTMENT COMPANIES -- (62.0%)
UNITED STATES -- (62.0%)
DFA International Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc.......................... 392,297,043 $1,957,562,246 35.1%
DFA Real Estate Securities Portfolio of DFA Investment
Dimensions Group Inc..................................... 45,970,822 1,591,969,556 28.6%
-------------- ------
TOTAL UNITED STATES............................................. 3,549,531,802 63.7%
-------------- ------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES...................................................... 3,549,531,802 63.7%
-------------- ------
TOTAL INVESTMENT SECURITIES..................................... 5,546,168,942
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (3.1%)
(S)@ DFA Short Term Investment Fund............................ 15,098,658 174,736,767 3.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,053,660,152)....................................... $5,720,905,709 102.6%
============== ======
Summary of the Portfolio's investments as of April 30, 2017, 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................. $1,996,637,140 -- -- $1,996,637,140
Affiliated Investment Companies
United States................. 3,549,531,802 -- -- 3,549,531,802
Securities Lending Collateral... -- $174,736,767 -- 174,736,767
-------------- ------------ -- --------------
TOTAL........................... $5,546,168,942 $174,736,767 -- $5,720,905,709
============== ============ == ==============
See accompanying Notes to Financial Statements.
58
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (94.0%)
AUSTRALIA -- (6.3%)
BlueScope Steel, Ltd........ 6,590,807 $ 57,583,469 0.4%
Downer EDI, Ltd............. 14,879,724 65,386,575 0.5%
Other Securities............ 834,905,657 5.7%
-------------- ----
TOTAL AUSTRALIA................. 957,875,701 6.6%
-------------- ----
AUSTRIA -- (1.2%)
* Raiffeisen Bank
International AG........... 2,178,103 49,652,504 0.4%
Wienerberger AG............. 2,688,169 62,936,242 0.4%
Other Securities............ 71,106,294 0.5%
-------------- ----
TOTAL AUSTRIA................... 183,695,040 1.3%
-------------- ----
BELGIUM -- (1.3%)
Other Securities............ 203,374,130 1.4%
-------------- ----
CANADA -- (7.8%)
# Canadian Western Bank....... 2,271,634 44,648,870 0.3%
Laurentian Bank of Canada... 1,182,799 48,384,672 0.3%
#* Precision Drilling Corp..... 11,731,771 46,667,533 0.3%
Other Securities............ 1,042,976,502 7.2%
-------------- ----
TOTAL CANADA.................... 1,182,677,577 8.1%
-------------- ----
CHINA -- (0.1%)
Other Securities............ 6,776,512 0.0%
-------------- ----
DENMARK -- (2.0%)
Jyske Bank A.S.............. 1,229,946 65,772,509 0.4%
Sydbank A.S................. 1,536,298 55,882,180 0.4%
TDC A.S..................... 9,555,576 51,260,563 0.4%
Other Securities............ 125,819,135 0.8%
-------------- ----
TOTAL DENMARK................... 298,734,387 2.0%
-------------- ----
FINLAND -- (2.2%)
# Cargotec Oyj Class B........ 1,045,879 62,318,208 0.4%
# Kesko Oyj Class B........... 1,476,131 69,134,262 0.5%
Other Securities............ 205,197,138 1.4%
-------------- ----
TOTAL FINLAND................... 336,649,608 2.3%
-------------- ----
FRANCE -- (4.6%)
Arkema SA................... 888,342 94,060,305 0.7%
# Lagardere SCA............... 1,403,866 42,972,857 0.3%
#* Nexans SA................... 749,010 41,638,847 0.3%
Rexel SA.................... 4,203,935 75,075,272 0.5%
Other Securities............ 450,920,786 3.0%
-------------- ----
TOTAL FRANCE.................... 704,668,067 4.8%
-------------- ----
GERMANY -- (7.1%)
Aareal Bank AG.............. 1,773,002 71,311,591 0.5%
# Aurubis AG.................. 1,167,679 81,603,780 0.6%
Lanxess AG.................. 1,446,504 104,446,868 0.7%
Osram Licht AG.............. 1,096,994 73,486,982 0.5%
Rheinmetall AG.............. 1,061,111 97,399,009 0.7%
59
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
Salzgitter AG....... 1,332,610 $ 45,614,637 0.3%
Other Securities.... 608,039,198 4.1%
-------------- -----
TOTAL GERMANY........... 1,081,902,065 7.4%
-------------- -----
GREECE -- (0.0%)
Other Securities.... 1,871 0.0%
-------------- -----
HONG KONG -- (3.3%)
Other Securities.... 506,553,651 3.5%
-------------- -----
IRELAND -- (0.3%)
Other Securities.... 51,341,307 0.4%
-------------- -----
ISRAEL -- (0.7%)
Other Securities.... 108,500,576 0.7%
-------------- -----
ITALY -- (3.8%)
Banco BPM SpA....... 29,050,631 84,842,452 0.6%
# BPER Banca.......... 15,129,358 82,767,610 0.6%
Unipol Gruppo
Finanziario SpA.... 12,433,370 55,450,099 0.4%
Other Securities.... 355,912,690 2.4%
-------------- -----
TOTAL ITALY............. 578,972,851 4.0%
-------------- -----
JAPAN -- (24.2%)
Other Securities.... 3,685,782,669 25.3%
-------------- -----
NETHERLANDS -- (2.0%)
# APERAM SA........... 1,295,977 65,155,416 0.5%
# ASM International NV 776,380 46,730,691 0.3%
SBM Offshore NV..... 4,524,261 74,533,617 0.5%
Other Securities.... 114,285,010 0.8%
-------------- -----
TOTAL NETHERLANDS....... 300,704,734 2.1%
-------------- -----
NEW ZEALAND -- (0.5%)
Other Securities.... 66,985,410 0.5%
-------------- -----
NORWAY -- (0.8%)
Other Securities.... 121,388,062 0.8%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities.... 41,670,802 0.3%
-------------- -----
SINGAPORE -- (1.2%)
Other Securities.... 183,003,415 1.3%
-------------- -----
SPAIN -- (2.3%)
Acciona SA.......... 768,947 63,438,580 0.4%
Acerinox SA......... 3,037,459 42,312,970 0.3%
Other Securities.... 247,649,639 1.7%
-------------- -----
TOTAL SPAIN............. 353,401,189 2.4%
-------------- -----
SWEDEN -- (2.9%)
Holmen AB Class B... 1,053,254 44,382,026 0.3%
Other Securities.... 395,495,327 2.7%
-------------- -----
TOTAL SWEDEN............ 439,877,353 3.0%
-------------- -----
60
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (4.6%)
Baloise Holding AG.............. 474,208 $ 69,535,733 0.5%
Helvetia Holding AG............. 147,590 81,956,028 0.6%
Other Securities................ 542,432,464 3.7%
--------------- ------
TOTAL SWITZERLAND...................... 693,924,225 4.8%
--------------- ------
UNITED KINGDOM -- (14.5%)
Beazley P.L.C................... 12,913,461 73,569,423 0.5%
Bellway P.L.C................... 3,429,370 126,391,048 0.9%
Bodycote P.L.C.................. 4,881,426 52,710,640 0.4%
Bovis Homes Group P.L.C......... 4,734,227 56,450,703 0.4%
Centamin P.L.C.................. 26,072,202 59,735,303 0.4%
Close Brothers Group P.L.C...... 2,360,623 51,719,784 0.4%
Greene King P.L.C............... 7,264,634 70,696,049 0.5%
Hiscox, Ltd..................... 7,763,844 113,855,269 0.8%
Inchcape P.L.C.................. 5,770,186 63,832,659 0.4%
John Wood Group P.L.C........... 8,475,299 83,312,803 0.6%
Lancashire Holdings, Ltd........ 4,725,259 41,735,989 0.3%
Man Group P.L.C................. 35,299,953 70,251,105 0.5%
Meggitt P.L.C................... 8,482,346 50,797,078 0.4%
Melrose Industries P.L.C........ 37,248,042 114,023,591 0.8%
Phoenix Group Holdings.......... 5,339,666 51,067,997 0.4%
Redrow P.L.C.................... 6,600,671 49,309,111 0.3%
Vesuvius P.L.C.................. 6,876,493 47,276,853 0.3%
Other Securities................ 1,034,182,777 6.9%
--------------- ------
TOTAL UNITED KINGDOM................... 2,210,918,182 15.2%
--------------- ------
UNITED STATES -- (0.0%)
Other Securities................ 319,270 0.0%
--------------- ------
TOTAL COMMON STOCKS.................... 14,299,698,654 98.2%
--------------- ------
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities................ 14,728,561 0.1%
--------------- ------
TOTAL PREFERRED STOCKS................. 14,728,561 0.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
ITALY -- (0.0%)
Other Securities................ 271,902 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS.................. 271,902 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............ 14,314,699,117
---------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (5.9%)
(S)@ DFA Short Term Investment Fund.. 77,331,698 894,959,738 6.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,870,695,163)............. $15,209,658,855 104.4%
=============== ======
61
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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......................... -- $ 957,875,701 -- $ 957,875,701
Austria........................... -- 183,695,040 -- 183,695,040
Belgium........................... -- 203,374,130 -- 203,374,130
Canada............................ $1,182,500,164 177,413 -- 1,182,677,577
China............................. -- 6,776,512 -- 6,776,512
Denmark........................... -- 298,734,387 -- 298,734,387
Finland........................... -- 336,649,608 -- 336,649,608
France............................ -- 704,668,067 -- 704,668,067
Germany........................... -- 1,081,902,065 -- 1,081,902,065
Greece............................ -- 1,871 -- 1,871
Hong Kong......................... 342,699 506,210,952 -- 506,553,651
Ireland........................... -- 51,341,307 -- 51,341,307
Israel............................ -- 108,500,576 -- 108,500,576
Italy............................. -- 578,972,851 -- 578,972,851
Japan............................. -- 3,685,782,669 -- 3,685,782,669
Netherlands....................... -- 300,704,734 -- 300,704,734
New Zealand....................... -- 66,985,410 -- 66,985,410
Norway............................ -- 121,388,062 -- 121,388,062
Portugal.......................... -- 41,670,802 -- 41,670,802
Singapore......................... -- 183,003,415 -- 183,003,415
Spain............................. -- 353,401,189 -- 353,401,189
Sweden............................ -- 439,877,353 -- 439,877,353
Switzerland....................... -- 693,924,225 -- 693,924,225
United Kingdom.................... -- 2,210,918,182 -- 2,210,918,182
United States..................... -- 319,270 -- 319,270
Preferred Stocks
Germany........................... -- 14,728,561 -- 14,728,561
Rights/Warrants
Italy............................. -- 271,902 -- 271,902
Securities Lending Collateral...... -- 894,959,738 -- 894,959,738
Futures Contracts**................ 1,238,713 -- -- 1,238,713
-------------- --------------- -- ---------------
TOTAL.............................. $1,184,081,576 $14,026,815,992 -- $15,210,897,568
============== =============== == ===============
**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.
62
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (90.8%)
AUSTRALIA -- (5.7%)
# Australia & New Zealand Banking
Group, Ltd........................ 214,260 $ 5,244,866 0.3%
BHP Billiton, Ltd.................. 314,531 5,599,889 0.3%
Fortescue Metals Group, Ltd........ 868,376 3,441,939 0.2%
Macquarie Group, Ltd............... 56,822 3,947,248 0.2%
Woodside Petroleum, Ltd............ 175,531 4,225,289 0.2%
Other Securities................... 113,800,338 5.0%
------------ ----
TOTAL AUSTRALIA........................ 136,259,569 6.2%
------------ ----
AUSTRIA -- (0.7%)
Other Securities................... 16,311,588 0.8%
------------ ----
BELGIUM -- (1.5%)
Ageas.............................. 83,970 3,438,213 0.2%
Other Securities................... 33,305,115 1.5%
------------ ----
TOTAL BELGIUM.......................... 36,743,328 1.7%
------------ ----
CANADA -- (7.8%)
Suncor Energy, Inc................. 133,753 4,191,742 0.2%
Other Securities................... 183,102,221 8.3%
------------ ----
TOTAL CANADA........................... 187,293,963 8.5%
------------ ----
CHINA -- (0.0%)
Other Securities................... 522,183 0.0%
------------ ----
DENMARK -- (1.9%)
Other Securities................... 44,458,076 2.0%
------------ ----
FINLAND -- (2.0%)
# Stora Enso Oyj Class R............. 285,475 3,387,986 0.2%
UPM-Kymmene Oyj.................... 258,374 6,807,295 0.3%
Other Securities................... 36,733,168 1.6%
------------ ----
TOTAL FINLAND.......................... 46,928,449 2.1%
------------ ----
FRANCE -- (6.1%)
BNP Paribas SA..................... 73,561 5,191,728 0.2%
Cie de Saint-Gobain................ 98,275 5,302,607 0.3%
Orange SA.......................... 225,492 3,490,016 0.2%
Rexel SA........................... 238,651 4,261,909 0.2%
STMicroelectronics NV.............. 210,594 3,380,805 0.2%
Total SA........................... 240,139 12,327,102 0.6%
Other Securities................... 111,238,269 4.9%
------------ ----
TOTAL FRANCE........................... 145,192,436 6.6%
------------ ----
GERMANY -- (5.7%)
Allianz SE......................... 25,753 4,902,794 0.2%
BASF SE............................ 38,075 3,709,226 0.2%
Daimler AG......................... 89,896 6,698,536 0.3%
E.ON SE............................ 588,434 4,587,070 0.2%
# K+S AG............................. 146,988 3,506,883 0.2%
* RWE AG............................. 247,438 4,098,373 0.2%
Other Securities................... 107,984,270 4.9%
------------ ----
TOTAL GERMANY.......................... 135,487,152 6.2%
------------ ----
63
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (3.0%)
Other Securities................... $ 70,849,364 3.2%
------------ -----
IRELAND -- (0.5%)
Other Securities................... 12,458,769 0.6%
------------ -----
ISRAEL -- (0.8%)
Other Securities................... 18,149,414 0.8%
------------ -----
ITALY -- (2.9%)
Assicurazioni Generali SpA......... 303,243 4,803,373 0.2%
* Fiat Chrysler Automobiles NV....... 452,754 5,142,606 0.3%
* UniCredit SpA...................... 251,448 4,094,194 0.2%
Other Securities................... 54,370,614 2.4%
------------ -----
TOTAL ITALY............................ 68,410,787 3.1%
------------ -----
JAPAN -- (22.3%)
Mitsubishi Chemical Holdings Corp.. 464,080 3,632,440 0.2%
Mitsubishi UFJ Financial Group,
Inc............................... 817,300 5,178,897 0.3%
Toyota Motor Corp.................. 73,263 3,965,049 0.2%
Toyota Motor Corp. Sponsored ADR... 36,827 3,982,472 0.2%
Other Securities................... 516,578,762 23.4%
------------ -----
TOTAL JAPAN............................ 533,337,620 24.3%
------------ -----
NETHERLANDS -- (2.6%)
Koninklijke Ahold Delhaize NV...... 219,005 4,536,743 0.2%
Koninklijke DSM NV................. 62,767 4,491,494 0.2%
Other Securities................... 52,475,044 2.4%
------------ -----
TOTAL NETHERLANDS...................... 61,503,281 2.8%
------------ -----
NEW ZEALAND -- (0.5%)
Other Securities................... 10,927,198 0.5%
------------ -----
NORWAY -- (0.9%)
Other Securities................... 20,742,959 1.0%
------------ -----
PORTUGAL -- (0.2%)
Other Securities................... 6,127,004 0.3%
------------ -----
SINGAPORE -- (1.1%)
Other Securities................... 27,194,279 1.2%
------------ -----
SPAIN -- (2.1%)
Banco de Sabadell SA............... 1,761,979 3,388,995 0.2%
# Banco Santander SA................. 862,819 5,622,922 0.3%
Other Securities................... 40,529,089 1.8%
------------ -----
TOTAL SPAIN............................ 49,541,006 2.3%
------------ -----
SWEDEN -- (2.6%)
# Boliden AB......................... 124,690 3,562,181 0.2%
Other Securities................... 58,854,182 2.7%
------------ -----
TOTAL SWEDEN........................... 62,416,363 2.9%
------------ -----
SWITZERLAND -- (5.8%)
Baloise Holding AG................. 26,119 3,829,973 0.2%
Clariant AG........................ 182,599 3,697,944 0.2%
Flughafen Zuerich AG............... 16,575 3,652,757 0.2%
64
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Nestle SA.......................... 110,012 $ 8,473,175 0.4%
Novartis AG........................ 52,784 4,063,580 0.2%
Novartis AG Sponsored ADR.......... 73,269 5,643,911 0.3%
Swiss Life Holding AG.............. 10,397 3,383,578 0.2%
Other Securities................... 106,337,164 4.6%
-------------- ------
TOTAL SWITZERLAND........................ 139,082,082 6.3%
-------------- ------
UNITED KINGDOM -- (14.1%)
BP P.L.C. Sponsored ADR............ 269,445 9,247,358 0.4%
# HSBC Holdings P.L.C. Sponsored ADR. 231,447 9,528,673 0.4%
Melrose Industries P.L.C........... 1,702,272 5,210,991 0.2%
Royal Dutch Shell P.L.C. Sponsored
ADR, Class A...................... 152,592 7,963,766 0.4%
# Royal Dutch Shell P.L.C. Sponsored
ADR, Class B...................... 100,626 5,445,879 0.3%
* Standard Chartered P.L.C........... 355,770 3,324,811 0.2%
#* Tullow Oil P.L.C................... 1,270,443 3,446,726 0.2%
Vodafone Group P.L.C. Sponsored ADR 142,624 3,735,327 0.2%
WM Morrison Supermarkets P.L.C..... 1,327,157 4,122,680 0.2%
Other Securities................... 285,838,180 12.9%
-------------- ------
TOTAL UNITED KINGDOM..................... 337,864,391 15.4%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities................... 167,439 0.0%
-------------- ------
TOTAL COMMON STOCKS...................... 2,167,968,700 98.8%
-------------- ------
PREFERRED STOCKS -- (0.4%)
GERMANY -- (0.4%)
Volkswagen AG...................... 25,998 4,127,097 0.2%
Other Securities................... 5,363,848 0.3%
-------------- ------
TOTAL GERMANY............................ 9,490,945 0.5%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................... 1,747 0.0%
-------------- ------
TOTAL PREFERRED STOCKS................... 9,492,692 0.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
ITALY -- (0.0%)
Other Securities................... 6,134 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................... 186,160 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................... 192,294 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............. 2,177,653,686
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (8.8%)
(S)@ DFA Short Term Investment Fund..... 18,077,958 209,216,208 9.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,081,306,051).................. $2,386,869,894 108.8%
============== ======
65
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, 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......................... $ 2,960,204 $ 133,299,365 -- $ 136,259,569
Austria........................... -- 16,311,588 -- 16,311,588
Belgium........................... 727,907 36,015,421 -- 36,743,328
Canada............................ 187,273,032 20,931 -- 187,293,963
China............................. -- 522,183 -- 522,183
Denmark........................... -- 44,458,076 -- 44,458,076
Finland........................... -- 46,928,449 -- 46,928,449
France............................ 629,772 144,562,664 -- 145,192,436
Germany........................... 4,555,380 130,931,772 -- 135,487,152
Hong Kong......................... 288,280 70,561,084 -- 70,849,364
Ireland........................... 2,502,593 9,956,176 -- 12,458,769
Israel............................ 1,852,867 16,296,547 -- 18,149,414
Italy............................. 531,410 67,879,377 -- 68,410,787
Japan............................. 8,233,934 525,103,686 -- 533,337,620
Netherlands....................... 7,138,089 54,365,192 -- 61,503,281
New Zealand....................... 7,022 10,920,176 -- 10,927,198
Norway............................ 344,745 20,398,214 -- 20,742,959
Portugal.......................... -- 6,127,004 -- 6,127,004
Singapore......................... -- 27,194,279 -- 27,194,279
Spain............................. 2,931,430 46,609,576 -- 49,541,006
Sweden............................ 176,450 62,239,913 -- 62,416,363
Switzerland....................... 11,613,566 127,468,516 -- 139,082,082
United Kingdom.................... 54,251,673 283,612,718 -- 337,864,391
United States..................... -- 167,439 -- 167,439
Preferred Stocks
Germany........................... -- 9,490,945 -- 9,490,945
United Kingdom.................... -- 1,747 -- 1,747
Rights/Warrants
Italy............................. -- 6,134 -- 6,134
United Kingdom.................... -- 186,160 -- 186,160
Securities Lending Collateral...... -- 209,216,208 -- 209,216,208
------------ -------------- -- --------------
TOTAL.............................. $286,018,354 $2,100,851,540 -- $2,386,869,894
============ ============== == ==============
See accompanying Notes to Financial Statements.
66
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company........................... $138,704,884
Investment in Dimensional Emerging Markets Value Fund........ 54,217,877
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc........................ 1,130,528 23,752,386
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $196,173,983)..................................... $216,675,147
============
Summary of the Portfolio's investments as of April 30, 2017, 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. $216,675,147 -- -- $216,675,147
------------ -- -- ------------
TOTAL........................... $216,675,147 -- -- $216,675,147
============ == == ============
See accompanying Notes to Financial Statements.
67
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (96.7%)
AUSTRALIA -- (4.1%)
BlueScope Steel, Ltd....................... 88,385 $ 772,214 0.2%
Boral, Ltd................................. 149,841 690,699 0.2%
Challenger, Ltd............................ 73,657 727,502 0.2%
Other Securities........................... 13,655,620 3.6%
----------- ----
TOTAL AUSTRALIA................................ 15,846,035 4.2%
----------- ----
AUSTRIA -- (0.7%)
Other Securities........................... 2,779,083 0.7%
----------- ----
BELGIUM -- (1.0%)
Ageas...................................... 30,934 1,266,618 0.3%
Other Securities........................... 2,587,690 0.7%
----------- ----
TOTAL BELGIUM.................................. 3,854,308 1.0%
----------- ----
BRAZIL -- (1.5%)
Kroton Educacional SA...................... 178,300 839,806 0.2%
Other Securities........................... 4,853,270 1.3%
----------- ----
TOTAL BRAZIL................................... 5,693,076 1.5%
----------- ----
CANADA -- (6.1%)
First Quantum Minerals, Ltd................ 103,517 986,598 0.3%
* Kinross Gold Corp.......................... 202,343 704,098 0.2%
Other Securities........................... 21,882,732 5.7%
----------- ----
TOTAL CANADA................................... 23,573,428 6.2%
----------- ----
CHILE -- (0.3%)
Other Securities........................... 1,111,241 0.3%
----------- ----
CHINA -- (7.3%)
* China Taiping Insurance Holdings Co., Ltd.. 278,000 692,155 0.2%
Other Securities........................... 27,286,108 7.2%
----------- ----
TOTAL CHINA.................................... 27,978,263 7.4%
----------- ----
COLOMBIA -- (0.1%)
Other Securities........................... 269,524 0.1%
----------- ----
DENMARK -- (1.4%)
Other Securities........................... 5,235,205 1.4%
----------- ----
FINLAND -- (1.4%)
Neste Oyj.................................. 17,647 719,101 0.2%
Stora Enso Oyj Class R..................... 74,460 883,683 0.2%
Other Securities........................... 3,877,965 1.1%
----------- ----
TOTAL FINLAND.................................. 5,480,749 1.5%
----------- ----
FRANCE -- (3.8%)
Arkema SA.................................. 9,229 977,194 0.3%
Rexel SA................................... 50,303 898,328 0.3%
SCOR SE.................................... 26,197 1,036,274 0.3%
SES SA..................................... 32,900 719,082 0.2%
STMicroelectronics NV...................... 87,664 1,407,328 0.4%
Other Securities........................... 9,776,416 2.4%
----------- ----
TOTAL FRANCE................................... 14,814,622 3.9%
----------- ----
68
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (4.8%)
Deutsche Lufthansa AG.............. 40,731 $ 702,700 0.2%
Lanxess AG......................... 11,884 858,101 0.2%
Osram Licht AG..................... 10,639 712,700 0.2%
Rheinmetall AG..................... 8,438 774,521 0.2%
* RWE AG............................. 66,040 1,093,836 0.3%
Other Securities................... 14,391,820 3.8%
----------- -----
TOTAL GERMANY.......................... 18,533,678 4.9%
----------- -----
HONG KONG -- (2.1%)
Other Securities................... 8,030,148 2.1%
----------- -----
INDIA -- (4.6%)
Other Securities................... 17,816,902 4.7%
----------- -----
INDONESIA -- (0.9%)
Other Securities................... 3,460,196 0.9%
----------- -----
IRELAND -- (0.6%)
* Bank of Ireland.................... 6,312,004 1,588,966 0.4%
Other Securities................... 842,369 0.2%
----------- -----
TOTAL IRELAND.......................... 2,431,335 0.6%
----------- -----
ISRAEL -- (0.5%)
Other Securities................... 2,122,466 0.6%
----------- -----
ITALY -- (2.6%)
Banco BPM SpA...................... 257,482 751,978 0.2%
* Fiat Chrysler Automobiles NV....... 99,560 1,130,852 0.3%
Other Securities................... 8,199,518 2.2%
----------- -----
TOTAL ITALY............................ 10,082,348 2.7%
----------- -----
JAPAN -- (16.7%)
Other Securities................... 64,299,721 17.0%
----------- -----
MALAYSIA -- (0.9%)
Other Securities................... 3,635,443 1.0%
----------- -----
MEXICO -- (0.8%)
Other Securities................... 3,230,238 0.9%
----------- -----
NETHERLANDS -- (1.3%)
APERAM SA.......................... 14,890 748,597 0.2%
ASM International NV............... 11,881 715,123 0.2%
Boskalis Westminster............... 18,710 688,206 0.2%
SBM Offshore NV.................... 44,899 739,675 0.2%
Other Securities................... 2,185,025 0.5%
----------- -----
TOTAL NETHERLANDS...................... 5,076,626 1.3%
----------- -----
NEW ZEALAND -- (0.4%)
Other Securities................... 1,441,715 0.4%
----------- -----
NORWAY -- (0.9%)
Subsea 7 SA........................ 45,313 746,742 0.2%
Other Securities................... 2,835,348 0.7%
----------- -----
TOTAL NORWAY........................... 3,582,090 0.9%
----------- -----
69
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
PHILIPPINES -- (0.4%)
Other Securities............... $ 1,469,874 0.4%
----------- ----
POLAND -- (0.4%)
Other Securities............... 1,608,243 0.4%
----------- ----
PORTUGAL -- (0.2%)
Other Securities............... 675,781 0.2%
----------- ----
SINGAPORE -- (0.8%)
Other Securities............... 2,989,116 0.8%
----------- ----
SOUTH AFRICA -- (1.9%)
Other Securities............... 7,413,740 2.0%
----------- ----
SOUTH KOREA -- (4.5%)
Other Securities............... 17,357,060 4.6%
----------- ----
SPAIN -- (1.6%)
Banco de Sabadell SA........... 912,089 1,754,314 0.5%
Other Securities............... 4,293,849 1.1%
----------- ----
TOTAL SPAIN........................ 6,048,163 1.6%
----------- ----
SWEDEN -- (1.9%)
Other Securities............... 7,145,341 1.9%
----------- ----
SWITZERLAND -- (3.1%)
Baloise Holding AG............. 6,236 914,419 0.3%
* Dufry AG....................... 4,813 788,643 0.2%
Swiss Life Holding AG.......... 4,696 1,528,256 0.4%
Other Securities............... 8,862,680 2.3%
----------- ----
TOTAL SWITZERLAND.................. 12,093,998 3.2%
----------- ----
TAIWAN -- (4.8%)
Other Securities............... 18,325,905 4.8%
----------- ----
THAILAND -- (0.9%)
Other Securities............... 3,361,020 0.9%
----------- ----
TURKEY -- (0.4%)
Other Securities............... 1,523,393 0.4%
----------- ----
UNITED KINGDOM -- (11.0%)
Barratt Developments P.L.C..... 150,791 1,131,475 0.3%
Bellway P.L.C.................. 25,648 945,269 0.3%
Berkeley Group Holdings P.L.C.. 16,899 712,757 0.2%
Coca-Cola HBC AG............... 24,514 680,093 0.2%
GKN P.L.C...................... 201,823 937,923 0.3%
Hiscox, Ltd.................... 55,044 807,210 0.2%
Inchcape P.L.C................. 64,830 717,182 0.2%
Investec P.L.C................. 95,225 705,472 0.2%
J Sainsbury P.L.C.............. 246,901 880,315 0.2%
Johnson Matthey P.L.C.......... 24,288 936,877 0.3%
Marks & Spencer Group P.L.C.... 205,740 976,472 0.3%
Meggitt P.L.C.................. 120,877 723,880 0.2%
Melrose Industries P.L.C....... 227,014 694,936 0.2%
Persimmon P.L.C................ 33,858 1,021,601 0.3%
Smiths Group P.L.C............. 49,987 1,062,646 0.3%
70
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Taylor Wimpey P.L.C............. 358,141 $ 927,688 0.3%
Travis Perkins P.L.C............ 35,834 747,352 0.2%
WM Morrison Supermarkets P.L.C.. 331,940 1,031,138 0.3%
Other Securities................ 26,838,100 6.7%
------------ ------
TOTAL UNITED KINGDOM.................. 42,478,386 11.2%
------------ ------
UNITED STATES -- (0.0%)
Other Securities................ 27,267 0.0%
------------ ------
TOTAL COMMON STOCKS................... 372,895,727 98.6%
------------ ------
PREFERRED STOCKS -- (0.7%)
BRAZIL -- (0.5%)
Other Securities................ 1,803,475 0.5%
------------ ------
CHILE -- (0.0%)
Other Securities................ 33,025 0.0%
------------ ------
COLOMBIA -- (0.0%)
Other Securities................ 172,267 0.1%
------------ ------
GERMANY -- (0.2%)
Other Securities................ 721,513 0.2%
------------ ------
INDIA -- (0.0%)
Other Securities................ 11,583 0.0%
------------ ------
TOTAL PREFERRED STOCKS................ 2,741,863 0.8%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
ITALY -- (0.0%)
Other Securities................ 1,922 0.0%
------------ ------
MALAYSIA -- (0.0%)
Other Securities................ 4,178 0.0%
------------ ------
PHILIPPINES -- (0.0%)
Other Securities................ 545 0.0%
------------ ------
TAIWAN -- (0.0%)
Other Securities................ 204 0.0%
------------ ------
THAILAND -- (0.0%)
Other Securities................ 1,500 0.0%
------------ ------
UNITED KINGDOM -- (0.0%)
Other Securities................ 52,850 0.0%
------------ ------
TOTAL RIGHTS/WARRANTS................. 61,199 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES........... 375,698,789
------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (2.6%)
(S)@ DFA Short Term Investment Fund.. 860,347 9,956,793 2.6%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $336,254,471)............... $385,655,582 102.0%
============ ======
71
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2017, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ ------- ------------
Common Stocks
Australia......................... -- $ 15,846,035 -- $ 15,846,035
Austria........................... -- 2,779,083 -- 2,779,083
Belgium........................... -- 3,854,308 -- 3,854,308
Brazil............................ $ 5,693,076 -- -- 5,693,076
Canada............................ 23,573,428 -- -- 23,573,428
Chile............................. 368,426 742,815 -- 1,111,241
China............................. 1,019,423 26,958,840 -- 27,978,263
Colombia.......................... 269,524 -- -- 269,524
Denmark........................... -- 5,235,205 -- 5,235,205
Finland........................... -- 5,480,749 -- 5,480,749
France............................ -- 14,814,622 -- 14,814,622
Germany........................... -- 18,533,678 -- 18,533,678
Hong Kong......................... -- 8,030,148 -- 8,030,148
India............................. 2,434 17,814,468 -- 17,816,902
Indonesia......................... -- 3,460,196 -- 3,460,196
Ireland........................... -- 2,431,335 -- 2,431,335
Israel............................ 28,492 2,093,974 -- 2,122,466
Italy............................. -- 10,082,348 -- 10,082,348
Japan............................. -- 64,299,721 -- 64,299,721
Malaysia.......................... -- 3,635,443 -- 3,635,443
Mexico............................ 3,230,238 -- -- 3,230,238
Netherlands....................... -- 5,076,626 -- 5,076,626
New Zealand....................... -- 1,441,715 -- 1,441,715
Norway............................ -- 3,582,090 -- 3,582,090
Philippines....................... -- 1,469,874 -- 1,469,874
Poland............................ -- 1,608,243 -- 1,608,243
Portugal.......................... -- 675,781 -- 675,781
Singapore......................... -- 2,989,116 -- 2,989,116
South Africa...................... 1,017,196 6,396,544 -- 7,413,740
South Korea....................... 10,785 17,346,275 -- 17,357,060
Spain............................. -- 6,048,163 -- 6,048,163
Sweden............................ -- 7,145,341 -- 7,145,341
Switzerland....................... -- 12,093,998 -- 12,093,998
Taiwan............................ -- 18,325,905 -- 18,325,905
Thailand.......................... 3,349,988 11,032 -- 3,361,020
Turkey............................ -- 1,523,393 -- 1,523,393
United Kingdom.................... -- 42,478,386 -- 42,478,386
United States..................... -- 27,267 -- 27,267
Preferred Stocks
Brazil............................ 1,803,475 -- -- 1,803,475
Chile............................. -- 33,025 -- 33,025
Colombia.......................... 172,267 -- -- 172,267
Germany........................... -- 721,513 -- 721,513
India............................. -- 11,583 -- 11,583
Rights/Warrants
Italy............................. -- 1,922 -- 1,922
Malaysia.......................... -- 4,178 -- 4,178
Philippines....................... -- 545 -- 545
Taiwan............................ -- 204 -- 204
Thailand.......................... -- 1,500 -- 1,500
United Kingdom.................... -- 52,850 -- 52,850
Securities Lending Collateral...... -- 9,956,793 -- 9,956,793
----------- ------------ -- ------------
TOTAL.............................. $40,538,752 $345,116,830 -- $385,655,582
=========== ============ == ============
See accompanying Notes to Financial Statements.
72
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (92.1%)
AUSTRALIA -- (4.1%)
# Australia & New Zealand Banking
Group, Ltd........................ 147,526 $ 3,611,286 0.2%
BHP Billiton, Ltd.................. 283,621 5,049,569 0.3%
# Commonwealth Bank of Australia..... 52,903 3,455,302 0.2%
National Australia Bank, Ltd....... 167,814 4,259,478 0.2%
Westpac Banking Corp............... 198,957 5,215,609 0.3%
Other Securities................... 73,901,075 3.2%
------------ ----
TOTAL AUSTRALIA........................ 95,492,319 4.4%
------------ ----
AUSTRIA -- (0.4%)
Other Securities................... 10,037,255 0.5%
------------ ----
BELGIUM -- (1.0%)
Anheuser-Busch InBev SA/NV......... 36,562 4,123,109 0.2%
Other Securities................... 19,342,043 0.9%
------------ ----
TOTAL BELGIUM.......................... 23,465,152 1.1%
------------ ----
BRAZIL -- (1.2%)
Other Securities................... 29,062,297 1.3%
------------ ----
CANADA -- (5.9%)
Bank of Montreal................... 51,556 3,652,743 0.2%
Bank of Nova Scotia (The).......... 84,596 4,706,075 0.2%
# Royal Bank of Canada............... 72,182 4,943,023 0.3%
Other Securities................... 123,977,922 5.6%
------------ ----
TOTAL CANADA........................... 137,279,763 6.3%
------------ ----
CHILE -- (0.3%)
Other Securities................... 6,723,237 0.3%
------------ ----
CHINA -- (6.0%)
China Construction Bank Corp.
Class H........................... 9,249,000 7,507,074 0.4%
China Mobile, Ltd.................. 317,500 3,380,302 0.2%
Industrial & Commercial Bank of
China, Ltd. Class H............... 6,427,000 4,189,540 0.2%
Tencent Holdings, Ltd.............. 103,100 3,230,465 0.2%
Other Securities................... 122,014,735 5.4%
------------ ----
TOTAL CHINA............................ 140,322,116 6.4%
------------ ----
COLOMBIA -- (0.1%)
Other Securities................... 1,961,997 0.1%
------------ ----
CZECH REPUBLIC -- (0.0%)
Other Securities................... 558,124 0.0%
------------ ----
DENMARK -- (1.2%)
Other Securities................... 27,829,870 1.3%
------------ ----
EGYPT -- (0.0%)
Other Securities................... 174,122 0.0%
------------ ----
FINLAND -- (1.2%)
UPM-Kymmene Oyj.................... 130,315 3,433,366 0.2%
Other Securities................... 23,872,993 1.0%
------------ ----
TOTAL FINLAND.......................... 27,306,359 1.2%
------------ ----
73
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
FRANCE -- (5.1%)
# AXA SA............................. 120,043 $ 3,202,762 0.2%
BNP Paribas SA..................... 70,988 5,010,133 0.2%
Cie Generale des Etablissements
Michelin.......................... 28,795 3,766,416 0.2%
Orange SA.......................... 256,370 3,967,925 0.2%
Sanofi............................. 44,127 4,169,727 0.2%
Total SA........................... 185,779 9,536,630 0.5%
Other Securities................... 88,213,549 3.9%
------------ -----
TOTAL FRANCE........................... 117,867,142 5.4%
------------ -----
GERMANY -- (4.8%)
Allianz SE......................... 23,924 4,554,594 0.2%
BASF SE............................ 66,555 6,483,717 0.3%
# Bayer AG........................... 27,125 3,356,259 0.2%
# Bayerische Motoren Werke AG........ 37,367 3,570,109 0.2%
Daimler AG......................... 102,777 7,658,354 0.4%
Deutsche Telekom AG................ 323,930 5,681,989 0.3%
Other Securities................... 81,585,711 3.6%
------------ -----
TOTAL GERMANY.......................... 112,890,733 5.2%
------------ -----
GREECE -- (0.0%)
Other Securities................... 488,971 0.0%
------------ -----
HONG KONG -- (2.2%)
AIA Group, Ltd..................... 557,400 3,858,008 0.2%
CK Hutchison Holdings, Ltd......... 269,200 3,361,577 0.2%
Other Securities................... 43,036,817 1.9%
------------ -----
TOTAL HONG KONG........................ 50,256,402 2.3%
------------ -----
HUNGARY -- (0.1%)
Other Securities................... 2,103,046 0.1%
------------ -----
INDIA -- (2.8%)
Other Securities................... 65,062,192 3.0%
------------ -----
INDONESIA -- (0.6%)
Other Securities................... 14,052,711 0.6%
------------ -----
IRELAND -- (0.4%)
Other Securities................... 9,175,801 0.4%
------------ -----
ISRAEL -- (0.5%)
Other Securities................... 11,279,942 0.5%
------------ -----
ITALY -- (2.0%)
# Eni SpA............................ 205,577 3,188,707 0.2%
* UniCredit SpA...................... 247,229 4,025,496 0.2%
Other Securities................... 39,950,303 1.8%
------------ -----
TOTAL ITALY............................ 47,164,506 2.2%
------------ -----
JAPAN -- (16.2%)
Mitsubishi UFJ Financial Group,
Inc............................... 600,200 3,803,223 0.2%
Toyota Motor Corp.................. 218,788 11,840,972 0.6%
Other Securities................... 361,426,018 16.4%
------------ -----
TOTAL JAPAN............................ 377,070,213 17.2%
------------ -----
74
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (0.7%)
Other Securities......... $15,255,112 0.7%
----------- ----
MEXICO -- (0.8%)
Other Securities......... 19,506,984 0.9%
----------- ----
NETHERLANDS -- (1.9%)
Koninklijke Ahold
Delhaize NV............. 155,008 3,211,024 0.2%
Other Securities......... 40,712,278 1.8%
----------- ----
TOTAL NETHERLANDS............ 43,923,302 2.0%
----------- ----
NEW ZEALAND -- (0.3%)
Other Securities......... 7,265,190 0.3%
----------- ----
NORWAY -- (0.6%)
Other Securities......... 14,294,075 0.7%
----------- ----
PERU -- (0.0%)
Other Securities......... 351,590 0.0%
----------- ----
PHILIPPINES -- (0.3%)
Other Securities......... 7,355,760 0.3%
----------- ----
POLAND -- (0.4%)
Other Securities......... 8,785,367 0.4%
----------- ----
PORTUGAL -- (0.2%)
Other Securities......... 4,442,875 0.2%
----------- ----
RUSSIA -- (0.3%)
Other Securities......... 6,306,601 0.3%
----------- ----
SINGAPORE -- (0.8%)
Other Securities......... 19,031,049 0.9%
----------- ----
SOUTH AFRICA -- (1.7%)
Other Securities......... 40,251,482 1.8%
----------- ----
SOUTH KOREA -- (3.8%)
Samsung Electronics Co.,
Ltd..................... 7,245 14,203,296 0.7%
Other Securities......... 74,314,488 3.3%
----------- ----
TOTAL SOUTH KOREA............ 88,517,784 4.0%
----------- ----
SPAIN -- (1.8%)
Banco Bilbao Vizcaya
Argentaria SA........... 426,873 3,419,942 0.2%
# Banco Santander SA....... 820,758 5,348,816 0.3%
Iberdrola SA............. 444,682 3,196,715 0.2%
Other Securities......... 31,050,232 1.3%
----------- ----
TOTAL SPAIN.................. 43,015,705 2.0%
----------- ----
SWEDEN -- (2.0%)
Other Securities......... 47,537,873 2.2%
----------- ----
SWITZERLAND -- (4.3%)
ABB, Ltd................. 127,841 3,132,648 0.2%
Nestle SA................ 200,030 15,406,403 0.7%
Novartis AG.............. 56,381 4,340,495 0.2%
Roche Holding AG......... 13,790 3,608,351 0.2%
75
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
* Syngenta AG............................................ 8,330 $ 3,871,229 0.2%
UBS Group AG........................................... 191,586 3,270,533 0.2%
Other Securities....................................... 66,581,060 2.9%
-------------- -----
TOTAL SWITZERLAND.......................................... 100,210,719 4.6%
-------------- -----
TAIWAN -- (3.7%)
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 134,422 4,445,336 0.2%
Other Securities....................................... 81,547,455 3.7%
-------------- -----
TOTAL TAIWAN............................................... 85,992,791 3.9%
-------------- -----
THAILAND -- (0.6%)
Other Securities....................................... 14,286,414 0.6%
-------------- -----
TURKEY -- (0.3%)
Other Securities....................................... 7,350,971 0.3%
-------------- -----
UNITED KINGDOM -- (11.5%)
BP P.L.C. Sponsored ADR................................ 285,945 9,813,632 0.5%
HSBC Holdings P.L.C. Sponsored ADR..................... 242,758 9,994,347 0.5%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A........ 124,731 6,509,711 0.3%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B........ 112,412 6,083,737 0.3%
Vodafone Group P.L.C................................... 1,455,360 3,748,483 0.2%
Other Securities....................................... 232,151,561 10.5%
-------------- -----
TOTAL UNITED KINGDOM....................................... 268,301,471 12.3%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities....................................... 101,498 0.0%
-------------- -----
TOTAL COMMON STOCKS........................................ 2,149,708,883 98.2%
-------------- -----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.6%)
Other Securities....................................... 12,958,296 0.6%
-------------- -----
CHILE -- (0.0%)
Other Securities....................................... 177,555 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities....................................... 321,134 0.0%
-------------- -----
GERMANY -- (0.3%)
Volkswagen AG.......................................... 22,876 3,631,490 0.2%
Other Securities....................................... 4,556,203 0.2%
-------------- -----
TOTAL GERMANY.............................................. 8,187,693 0.4%
-------------- -----
INDIA -- (0.0%)
Other Securities....................................... 24,206 0.0%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities....................................... 1,305 0.0%
-------------- -----
TOTAL PREFERRED STOCKS..................................... 21,670,189 1.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities....................................... 48 0.0%
-------------- -----
76
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
ITALY -- (0.0%)
Other Securities............... $ 2,275 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities............... 6,880 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities............... 1,115 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities............... 5,434 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities............... 3,253 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities............... 90,149 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................ 109,154 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......... 2,171,488,226
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (7.0%)
(S)@ DFA Short Term Investment Fund. 14,162,737 163,905,361 7.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,152,705,143)............ $2,335,393,587 106.7%
============== ======
Summary of the Portfolio's investments as of April 30, 2017, 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......................... $ 872,475 $ 94,619,844 -- $ 95,492,319
Austria........................... -- 10,037,255 -- 10,037,255
Belgium........................... 122,412 23,342,740 -- 23,465,152
Brazil............................ 29,062,297 -- -- 29,062,297
Canada............................ 137,279,763 -- -- 137,279,763
Chile............................. 1,741,865 4,981,372 -- 6,723,237
China............................. 13,948,318 126,373,798 -- 140,322,116
Colombia.......................... 1,961,997 -- -- 1,961,997
Czech Republic.................... -- 558,124 -- 558,124
Denmark........................... 206,706 27,623,164 -- 27,829,870
Egypt............................. -- 174,122 -- 174,122
Finland........................... 118,181 27,188,178 -- 27,306,359
France............................ 1,799,786 116,067,356 -- 117,867,142
Germany........................... 2,166,728 110,724,005 -- 112,890,733
Greece............................ -- 488,971 -- 488,971
Hong Kong......................... 99,954 50,156,448 -- 50,256,402
Hungary........................... -- 2,103,046 -- 2,103,046
India............................. 843,023 64,219,169 -- 65,062,192
Indonesia......................... 205,094 13,847,617 -- 14,052,711
Ireland........................... 2,032,540 7,143,261 -- 9,175,801
Israel............................ 1,899,238 9,380,704 -- 11,279,942
Italy............................. 160,681 47,003,825 -- 47,164,506
77
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Japan............................. $ 2,636,336 $ 374,433,877 -- $ 377,070,213
Malaysia.......................... -- 15,255,112 -- 15,255,112
Mexico............................ 19,506,984 -- -- 19,506,984
Netherlands....................... 3,712,352 40,210,950 -- 43,923,302
New Zealand....................... -- 7,265,190 -- 7,265,190
Norway............................ 133,792 14,160,283 -- 14,294,075
Peru.............................. 351,590 -- -- 351,590
Philippines....................... 31,959 7,323,801 -- 7,355,760
Poland............................ -- 8,785,367 -- 8,785,367
Portugal.......................... -- 4,442,875 -- 4,442,875
Russia............................ 1,431,775 4,874,826 -- 6,306,601
Singapore......................... -- 19,031,049 -- 19,031,049
South Africa...................... 3,383,005 36,868,477 -- 40,251,482
South Korea....................... 1,088,358 87,429,426 -- 88,517,784
Spain............................. 812,403 42,203,302 -- 43,015,705
Sweden............................ 52,491 47,485,382 -- 47,537,873
Switzerland....................... 4,790,191 95,420,528 -- 100,210,719
Taiwan............................ 4,662,110 81,330,681 -- 85,992,791
Thailand.......................... 14,286,414 -- -- 14,286,414
Turkey............................ 21,000 7,329,971 -- 7,350,971
United Kingdom.................... 61,066,567 207,234,904 -- 268,301,471
United States..................... -- 101,498 -- 101,498
Preferred Stocks...................
Brazil............................ 12,958,296 -- -- 12,958,296
Chile............................. -- 177,555 -- 177,555
Colombia.......................... 321,134 -- -- 321,134
Germany........................... -- 8,187,693 -- 8,187,693
India............................. -- 24,206 -- 24,206
United Kingdom.................... -- 1,305 -- 1,305
Rights/Warrants....................
Brazil............................ -- 48 -- 48
Italy............................. -- 2,275 -- 2,275
Malaysia.......................... -- 6,880 -- 6,880
South Korea....................... -- 1,115 -- 1,115
Taiwan............................ -- 5,434 -- 5,434
Thailand.......................... -- 3,253 -- 3,253
United Kingdom.................... -- 90,149 -- 90,149
Securities Lending Collateral...... -- 163,905,361 -- 163,905,361
------------ -------------- -- --------------
TOTAL.............................. $325,767,815 $2,009,625,772 -- $2,335,393,587
============ ============== == ==============
See accompanying Notes to Financial Statements.
78
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc............................... 11,331,620 $230,825,090
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc............................... 12,899,971 165,764,625
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc............................... 2,593,690 52,081,287
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $399,516,833)............................................ 448,671,002
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund, 0.680%
(Cost $322,101)................................................... 322,101 322,101
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $399,838,934)............................................ $448,993,103
============
Summary of the Fund's investments as of April 30, 2017, 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.... $448,671,002 -- -- $448,671,002
Temporary Cash Investments......... 322,101 -- -- 322,101
------------ -- -- ------------
TOTAL.............................. $448,993,103 -- -- $448,993,103
============ == == ============
See accompanying Notes to Financial Statements.
79
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 7,312,954 $142,310,078
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 9,039,605 116,158,929
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 2,923,636 58,706,601
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $270,709,066)................................. $317,175,608
============
Summary of the Portfolio's investments as of April 30, 2017, 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.... $317,175,608 -- -- $317,175,608
Futures Contracts**................ 163,014 -- -- 163,014
Forward Currency Contracts**....... -- $(110,728) -- (110,728)
------------ --------- -- ------------
TOTAL.............................. $317,338,622 $(110,728) -- $317,227,894
============ ========= == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
80
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
EMERGING MARKETS PORTFOLIO
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company..................... $5,688,367,394
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $4,238,392,775)............................. $5,688,367,394
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2017,
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..................... $6,505,830,321
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $5,780,415,651)............................. $6,505,830,321
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2017,
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.. $17,986,994,600
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $16,897,663,786)............................ $17,986,994,600
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
81
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (92.4%)
BRAZIL -- (5.4%)
Ambev SA ADR........................................ 12,546,714 $ 71,892,671 0.3%
BM&FBovespa SA -- Bolsa de Valores Mercadorias e
Futuros............................................ 10,615,945 63,580,950 0.3%
Ultrapar Participacoes SA........................... 2,067,950 45,879,882 0.2%
Other Securities.................................... 1,058,472,399 4.8%
-------------- -----
TOTAL BRAZIL............................................ 1,239,825,902 5.6%
-------------- -----
CHILE -- (1.3%)
Other Securities.................................... 304,098,060 1.4%
-------------- -----
CHINA -- (15.8%)
* Alibaba Group Holding, Ltd. Sponsored ADR........... 928,258 107,213,799 0.5%
Bank of China, Ltd. Class H......................... 150,583,702 72,839,236 0.3%
China Construction Bank Corp. Class H............... 243,058,302 197,281,496 0.9%
China Mobile, Ltd................................... 9,455,000 100,663,786 0.5%
China Mobile, Ltd. Sponsored ADR.................... 1,997,961 106,531,281 0.5%
Industrial & Commercial Bank of China, Ltd. Class H. 172,209,725 112,257,600 0.5%
NetEase, Inc. ADR................................... 246,761 65,487,902 0.3%
Ping An Insurance Group Co. of China, Ltd. Class H.. 15,605,500 87,738,060 0.4%
Tencent Holdings, Ltd............................... 10,436,500 327,010,196 1.5%
Other Securities.................................... 2,473,756,059 11.0%
-------------- -----
TOTAL CHINA............................................. 3,650,779,415 16.4%
-------------- -----
COLOMBIA -- (0.3%)
Other Securities.................................... 71,270,885 0.3%
-------------- -----
CZECH REPUBLIC -- (0.1%)
Other Securities.................................... 31,146,057 0.1%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 16,612,512 0.1%
-------------- -----
GREECE -- (0.2%)
Other Securities.................................... 55,752,682 0.2%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 795,966 0.0%
-------------- -----
HUNGARY -- (0.4%)
Other Securities.................................... 81,775,245 0.4%
-------------- -----
INDIA -- (12.9%)
HDFC Bank, Ltd...................................... 2,994,559 71,794,694 0.3%
Housing Development Finance Corp., Ltd.............. 3,100,726 74,022,536 0.4%
Infosys, Ltd........................................ 3,738,427 53,536,885 0.3%
# Infosys, Ltd. Sponsored ADR......................... 3,708,004 53,988,538 0.3%
ITC, Ltd............................................ 12,536,994 54,093,595 0.3%
Reliance Industries, Ltd............................ 3,320,225 71,905,811 0.3%
Tata Consultancy Services, Ltd...................... 1,537,993 54,349,867 0.3%
Yes Bank, Ltd....................................... 1,919,569 48,826,342 0.2%
Other Securities.................................... 2,500,129,079 11.0%
-------------- -----
TOTAL INDIA............................................. 2,982,647,347 13.4%
-------------- -----
82
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
INDONESIA -- (2.9%)
Bank Central Asia Tbk PT.................. 40,100,600 $ 53,331,430 0.3%
Bank Rakyat Indonesia Persero Tbk PT...... 50,598,500 48,873,101 0.2%
Other Securities.......................... 560,480,111 2.5%
-------------- -----
TOTAL INDONESIA............................... 662,684,642 3.0%
-------------- -----
MALAYSIA -- (3.3%)
Other Securities.......................... 757,378,044 3.4%
-------------- -----
MEXICO -- (3.7%)
America Movil S.A.B. de C.V. Series L ADR. 3,134,148 48,234,537 0.2%
* Cemex S.A.B. de C.V. Sponsored ADR........ 6,399,701 59,005,244 0.3%
Grupo Mexico S.A.B. de C.V. Series B...... 19,578,566 57,211,294 0.3%
Grupo Televisa S.A.B. Sponsored ADR....... 1,922,391 46,714,101 0.2%
Other Securities.......................... 635,036,831 2.8%
-------------- -----
TOTAL MEXICO.................................. 846,202,007 3.8%
-------------- -----
PERU -- (0.1%)
Other Securities.......................... 26,006,050 0.1%
-------------- -----
PHILIPPINES -- (1.3%)
Other Securities.......................... 310,250,223 1.4%
-------------- -----
POLAND -- (1.6%)
Polski Koncern Naftowy Orlen SA........... 2,073,148 61,957,229 0.3%
Other Securities.......................... 317,221,777 1.4%
-------------- -----
TOTAL POLAND.................................. 379,179,006 1.7%
-------------- -----
RUSSIA -- (1.3%)
Sberbank of Russia PJSC Sponsored ADR..... 4,081,901 48,663,677 0.2%
Other Securities.......................... 250,852,025 1.1%
-------------- -----
TOTAL RUSSIA.................................. 299,515,702 1.3%
-------------- -----
SOUTH AFRICA -- (6.9%)
# AngloGold Ashanti, Ltd. Sponsored ADR..... 4,151,296 47,449,313 0.2%
FirstRand, Ltd............................ 18,295,995 68,259,037 0.3%
MTN Group, Ltd............................ 9,901,001 93,636,938 0.4%
Naspers, Ltd. Class N..................... 466,930 88,787,427 0.4%
# Sanlam, Ltd............................... 9,204,888 48,882,409 0.2%
Standard Bank Group, Ltd.................. 6,505,944 72,245,795 0.3%
# Steinhoff International Holdings NV....... 9,034,034 45,956,987 0.2%
Other Securities.......................... 1,128,929,937 5.1%
-------------- -----
TOTAL SOUTH AFRICA............................ 1,594,147,843 7.1%
-------------- -----
SOUTH KOREA -- (15.5%)
Hyundai Motor Co.......................... 433,085 54,775,248 0.3%
LG Chem, Ltd.............................. 207,292 49,859,554 0.2%
# LG Electronics, Inc....................... 834,743 50,671,915 0.3%
NAVER Corp................................ 71,470 50,230,817 0.2%
Samsung Electronics Co., Ltd.............. 426,639 836,394,674 3.8%
SK Holdings Co., Ltd...................... 247,932 52,809,989 0.3%
SK Hynix, Inc............................. 3,141,984 148,846,344 0.7%
Other Securities.......................... 2,327,329,975 10.2%
-------------- -----
TOTAL SOUTH KOREA............................. 3,570,918,516 16.0%
-------------- -----
83
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (14.8%)
Hon Hai Precision Industry Co., Ltd.................... 55,950,504 $ 183,135,028 0.8%
Taiwan Semiconductor Manufacturing Co., Ltd............ 41,147,652 265,068,840 1.2%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 7,660,550 253,334,389 1.2%
Other Securities....................................... 2,722,258,278 12.2%
--------------- -----
TOTAL TAIWAN............................................... 3,423,796,535 15.4%
--------------- -----
THAILAND -- (3.0%)
PTT PCL................................................ 5,479,380 61,621,244 0.3%
Other Securities....................................... 632,166,413 2.8%
--------------- -----
TOTAL THAILAND............................................. 693,787,657 3.1%
--------------- -----
TURKEY -- (1.5%)
Other Securities....................................... 342,140,540 1.5%
--------------- -----
TOTAL COMMON STOCKS........................................ 21,340,710,836 95.7%
--------------- -----
PREFERRED STOCKS -- (2.9%)
BRAZIL -- (2.8%)
Banco Bradesco SA...................................... 5,283,085 55,609,669 0.3%
Banco Bradesco SA ADR.................................. 7,269,077 76,688,760 0.4%
Itau Unibanco Holding SA............................... 10,663,754 131,900,563 0.6%
Itau Unibanco Holding SA ADR........................... 6,510,406 80,077,994 0.4%
Other Securities....................................... 291,597,416 1.2%
--------------- -----
TOTAL BRAZIL............................................... 635,874,402 2.9%
--------------- -----
CHILE -- (0.0%)
Other Securities....................................... 3,545,969 0.0%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities....................................... 16,903,277 0.1%
--------------- -----
INDIA -- (0.0%)
Other Securities....................................... 1,088,369 0.0%
--------------- -----
TOTAL PREFERRED STOCKS..................................... 657,412,017 3.0%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities....................................... 68,771 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities....................................... 374,190 0.0%
--------------- -----
PHILIPPINES -- (0.0%)
Other Securities....................................... 18,747 0.0%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Securities....................................... 65,265 0.0%
--------------- -----
TAIWAN -- (0.0%)
Other Securities....................................... 224,205 0.0%
--------------- -----
THAILAND -- (0.0%)
Other Securities....................................... 108,188 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS...................................... 859,366 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES................................ 21,998,982,219
---------------
84
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (4.7%)
(S)@ DFA Short Term Investment Fund. 94,695,863 $ 1,095,915,225 4.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $20,335,900,065)........... $23,094,897,444 103.6%
=============== ======
Summary of the Portfolio's investments as of April 30, 2017, 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...................... $1,239,825,902 -- -- $ 1,239,825,902
Chile....................... 99,347,676 $ 204,750,384 -- 304,098,060
China....................... 546,543,403 3,104,236,012 -- 3,650,779,415
Colombia.................... 71,270,885 -- -- 71,270,885
Czech Republic.............. -- 31,146,057 -- 31,146,057
Egypt....................... 789,020 15,823,492 -- 16,612,512
Greece...................... -- 55,752,682 -- 55,752,682
Hong Kong................... -- 795,966 -- 795,966
Hungary..................... 302,490 81,472,755 -- 81,775,245
India....................... 108,734,104 2,873,913,243 -- 2,982,647,347
Indonesia................... 29,680,010 633,004,632 -- 662,684,642
Malaysia.................... 8,479 757,369,565 -- 757,378,044
Mexico...................... 846,202,007 -- -- 846,202,007
Peru........................ 26,006,050 -- -- 26,006,050
Philippines................. 7,086,518 303,163,705 -- 310,250,223
Poland...................... -- 379,179,006 -- 379,179,006
Russia...................... 35,966,192 263,549,510 -- 299,515,702
South Africa................ 122,888,171 1,471,259,672 -- 1,594,147,843
South Korea................. 96,053,909 3,474,864,607 -- 3,570,918,516
Taiwan...................... 280,412,577 3,143,383,958 -- 3,423,796,535
Thailand.................... 693,324,691 462,966 -- 693,787,657
Turkey...................... 2,550,861 339,589,679 -- 342,140,540
Preferred Stocks
Brazil...................... 635,874,402 -- -- 635,874,402
Chile....................... -- 3,545,969 -- 3,545,969
Colombia.................... 16,903,277 -- -- 16,903,277
India....................... 75,669 1,012,700 -- 1,088,369
Rights/Warrants
Brazil...................... -- 68,771 -- 68,771
Malaysia.................... -- 374,190 -- 374,190
Philippines................. -- 18,747 -- 18,747
South Korea................. -- 65,265 -- 65,265
Taiwan...................... -- 224,205 -- 224,205
Thailand.................... -- 108,188 -- 108,188
Securities Lending Collateral. -- 1,095,915,225 -- 1,095,915,225
Futures Contracts**........... 2,813,972 -- -- 2,813,972
-------------- --------------- -- ---------------
TOTAL......................... $4,862,660,265 $18,235,051,151 -- $23,097,711,416
============== =============== == ===============
**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.
85
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ENHANCED U.S.
LARGE U.S. LARGE CAP
COMPANY EQUITY U.S. LARGE CAP
PORTFOLIO PORTFOLIO* VALUE PORTFOLIO
-------------- -------------- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value............. -- -- $ 21,064,989
Investments at Value (including $0, $37,058, $0 and $2,078,550
of securities on loan, respectively)............................. $ 253,972 $ 1,031,534 --
Temporary Cash Investments at Value & Cost........................ -- 5,108 --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $1, $31,083, $0 and $1,703,529)............... 1 31,088 --
Segregated Cash for Futures Contracts............................. -- -- --
Cash.............................................................. 3,475 -- --
Receivables:
Investment Securities/Affiliated Investment Company Sold........ 1,507 -- --
Dividends, Interest and Tax Reclaims............................ 1,394 987 --
Securities Lending Income....................................... -- 11 --
Fund Shares Sold................................................ 160 6,567 10,443
Futures Margin Variation........................................ -- 1 --
Prepaid Expenses and Other Assets................................. 24 36 200
-------------- -------------- --------------
Total Assets.................................................. 260,533 1,075,332 21,075,632
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ -- 31,078 --
Investment Securities/Affiliated Investment Company
Purchased...................................................... 3,473 2,822 --
Fund Shares Redeemed............................................ 59 46 18,267
Due to Advisor.................................................. 24 126 2,557
Futures Margin Variation........................................ 605 -- --
Accrued Expenses and Other Liabilities............................ 22 47 716
-------------- -------------- --------------
Total Liabilities............................................. 4,183 34,119 21,540
-------------- -------------- --------------
NET ASSETS........................................................ $ 256,350 $ 1,041,213 $ 21,054,092
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and
$53,053 and shares outstanding of 0; 0; 0 and 2,222,293,
respectively..................................................... N/A N/A N/A
============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................................... N/A N/A N/A
============== ============== ==============
Class R2 Shares -- based on net assets of $0; $0; $0 and
$179,693 and shares outstanding of 0; 0; 0 and 7,563,837,
respectively..................................................... N/A N/A N/A
============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................................... N/A N/A N/A
============== ============== ==============
Institutional Class Shares -- based on net assets of $256,350;
$1,041,213; $21,054,092 and $9,418,997 and shares
outstanding of 19,131,400; 70,560,358; 578,208,176 and
394,442,842, respectively........................................ $ 13.40 $ 14.76 $ 36.41
============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................................... 1,000,000,000 1,000,000,000 4,000,000,000
============== ============== ==============
Investments in Affiliated Investment Company at Cost.............. $ -- $ -- $ 14,743,777
============== ============== ==============
Investments at Cost............................................... $ 253,894 $ 866,575 $ --
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................... $ 226,088 $ 883,728 $ 14,030,750
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)........................................... 352 1,225 34,467
Accumulated Net Realized Gain (Loss).............................. 26,852 (8,705) 667,663
Net Unrealized Appreciation (Depreciation)........................ 3,058 164,965 6,321,212
-------------- -------------- --------------
NET ASSETS........................................................ $ 256,350 $ 1,041,213 $ 21,054,092
============== ============== ==============
U.S. TARGETED
VALUE PORTFOLIO*
----------------
ASSETS:
Investments in Affiliated Investment Company at Value............. --
Investments at Value (including $0, $37,058, $0 and $2,078,550
of securities on loan, respectively)............................. $ 9,541,383
Temporary Cash Investments at Value & Cost........................ 134,136
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $1, $31,083, $0 and $1,703,529)............... 1,703,831
Segregated Cash for Futures Contracts............................. 3,825
Cash.............................................................. 4,889
Receivables:
Investment Securities/Affiliated Investment Company Sold........ 39,117
Dividends, Interest and Tax Reclaims............................ 2,440
Securities Lending Income....................................... 419
Fund Shares Sold................................................ 9,120
Futures Margin Variation........................................ --
Prepaid Expenses and Other Assets................................. 132
--------------
Total Assets.................................................. 11,439,292
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 1,703,525
Investment Securities/Affiliated Investment Company
Purchased...................................................... 65,851
Fund Shares Redeemed............................................ 14,670
Due to Advisor.................................................. 2,753
Futures Margin Variation........................................ 214
Accrued Expenses and Other Liabilities............................ 536
--------------
Total Liabilities............................................. 1,787,549
--------------
NET ASSETS........................................................ $ 9,651,743
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and
$53,053 and shares outstanding of 0; 0; 0 and 2,222,293,
respectively..................................................... $ 23.87
==============
NUMBER OF SHARES AUTHORIZED....................................... 200,000,000
==============
Class R2 Shares -- based on net assets of $0; $0; $0 and
$179,693 and shares outstanding of 0; 0; 0 and 7,563,837,
respectively..................................................... $ 23.76
==============
NUMBER OF SHARES AUTHORIZED....................................... 200,000,000
==============
Institutional Class Shares -- based on net assets of $256,350;
$1,041,213; $21,054,092 and $9,418,997 and shares
outstanding of 19,131,400; 70,560,358; 578,208,176 and
394,442,842, respectively........................................ $ 23.88
==============
NUMBER OF SHARES AUTHORIZED....................................... 1,500,000,000
==============
Investments in Affiliated Investment Company at Cost.............. $ --
==============
Investments at Cost............................................... $ 7,778,427
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................... $ 7,475,082
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)........................................... 3,863
Accumulated Net Realized Gain (Loss).............................. 409,017
Net Unrealized Appreciation (Depreciation)........................ 1,763,781
--------------
NET ASSETS........................................................ $ 9,651,743
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
86
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(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 $2,263,575,
$2,603,976, $2,982,708 and $864,775 of securities
on loan, respectively).............................. $ 14,152,959 $ 18,177,683 $ 20,036,304 $ 4,394,446
Temporary Cash Investments at Value & Cost........... 126,008 140,212 229,151 45,293
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $1,900,283,
$1,805,496, $2,055,495 and $664,267)................ 1,900,659 1,805,785 2,055,867 664,389
Segregated Cash for Futures Contracts................ 4,995 3,950 6,700 1,500
Cash................................................. 11,380 1,315 1,996 1,457
Receivables:
Investment Securities Sold......................... 18,635 2,229 25,799 12,233
Dividends and Interest............................. 3,183 14,875 15,771 2,655
Securities Lending Income.......................... 493 658 785 204
Fund Shares Sold................................... 8,336 13,059 18,140 2,363
Prepaid Expenses and Other Assets.................... 136 210 194 70
-------------- -------------- -------------- --------------
Total Assets.................................... 16,226,784 20,159,976 22,390,707 5,124,610
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 1,900,168 1,805,353 2,055,323 664,258
Investment Securities Purchased.................... 20,709 -- 67,033 15,135
Fund Shares Redeemed............................... 7,599 5,625 5,442 2,224
Due to Advisor..................................... 5,796 2,535 3,276 1,082
Futures Margin Variation........................... 280 221 375 84
Accrued Expenses and Other Liabilities............... 892 741 899 261
-------------- -------------- -------------- --------------
Total Liabilities............................... 1,935,444 1,814,475 2,132,348 683,044
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 14,291,340 $ 18,345,501 $ 20,258,359 $ 4,441,566
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$14,291,340; $18,345,501; $20,258,359 and
$4,441,566 and shares outstanding of
385,837,964; 900,421,377; 1,041,156,367 and
246,800,248, respectively........................... $ 37.04 $ 20.37 $ 19.46 $ 18.00
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 3,400,000,000 3,000,000,000 4,600,000,000 2,000,000,000
============== ============== ============== ==============
Investments at Cost.................................. $ 10,585,596 $ 12,639,097 $ 13,503,005 $ 2,972,639
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 9,907,983 $ 12,744,167 $ 13,625,691 $ 2,948,057
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 3,460 19,633 21,824 3,488
Accumulated Net Realized Gain (Loss)................. 810,959 42,490 75,885 67,800
Net Unrealized Appreciation (Depreciation)........... 3,568,938 5,539,211 6,534,959 1,422,221
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 14,291,340 $ 18,345,501 $ 20,258,359 $ 4,441,566
============== ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
87
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA REAL ESTATE LARGE CAP
U.S. SMALL CAP U.S. MICRO CAP SECURITIES INTERNATIONAL
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------- -------------- --------------- --------------
ASSETS:
Investments at Value (including $3,797,096,
$1,064,522, $573,650 and $405,915 of securities
on loan, respectively).............................. $ 15,544,615 $ 5,798,004 $ 7,784,953 $ 4,071,067
Temporary Cash Investments at Value & Cost........... 211,738 54,274 102,157 --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $3,518,240,
$952,632, $475,841 and $342,825).................... 3,518,844 952,804 475,931 342,820
Segregated Cash for Futures Contracts................ 7,313 1,985 3,955 1,487
Foreign Currencies at Value.......................... -- -- -- 4,148
Cash................................................. 6,091 4,449 -- 33,441
Receivables:
Investment Securities Sold......................... 6,660 9,268 -- --
Dividends, Interest and Tax Reclaims............... 3,922 1,781 7,185 19,240
Securities Lending Income.......................... 1,359 445 79 439
Fund Shares Sold................................... 10,897 2,717 4,758 3,107
Prepaid Expenses and Other Assets.................... 129 64 92 44
-------------- -------------- -------------- --------------
Total Assets.................................... 19,311,568 6,825,791 8,379,110 4,475,793
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 3,518,123 952,605 475,836 342,767
Investment Securities Purchased.................... 30,717 11,175 10,495 57
Fund Shares Redeemed............................... 35,983 2,942 2,281 1,215
Due to Advisor..................................... 4,442 2,357 1,047 697
Futures Margin Variation........................... 1,345 381 221 78
Accrued Expenses and Other Liabilities............... 720 402 446 272
-------------- -------------- -------------- --------------
Total Liabilities............................... 3,591,330 969,862 490,326 345,086
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 15,720,238 $ 5,855,929 $ 7,888,784 $ 4,130,707
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$15,720,238; $5,855,929; $7,888,784 and
$4,130,707 and shares outstanding of
456,945,402; 277,885,714; 227,804,277 and
192,213,663, respectively........................... $ 34.40 $ 21.07 $ 34.63 $ 21.49
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 2,000,000,000 3,000,000,000 1,700,000,000 1,500,000,000
============== ============== ============== ==============
Investments at Cost.................................. $ 11,875,058 $ 3,859,648 $ 5,562,309 $ 3,491,512
============== ============== ============== ==============
Foreign Currencies at Cost........................... $ -- $ -- $ -- $ 4,169
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 11,445,983 $ 3,629,207 $ 5,690,819 $ 3,742,861
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 6,208 1,497 69,541 23,646
Accumulated Net Realized Gain (Loss)................. 595,469 285,972 (95,021) (215,927)
Net Unrealized Foreign Exchange Gain (Loss).......... -- -- -- 14
Net Unrealized Appreciation (Depreciation)........... 3,672,578 1,939,253 2,223,445 580,113
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 15,720,238 $ 5,855,929 $ 7,888,784 $ 4,130,707
============== ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
88
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL ASIA PACIFIC
INTERNATIONAL SMALL GLOBAL SMALL JAPANESE SMALL SMALL
CORE EQUITY COMPANY COMPANY COMPANY COMPANY
PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- ------------ -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................ -- $ 11,971,270 $ 10,345 $ 538,996 $ 282,928
Investments at Value (including $2,170,666, $0,
$0, $0 and $0 of securities on loan,
respectively).................................... $ 20,697,972 -- -- -- --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of
$2,079,308, $0, $0, $0 and $0)................... 2,079,631 -- -- -- --
Segregated Cash for Futures Contracts............. 8,100 4,654 -- -- --
Foreign Currencies at Value....................... 10,746 -- -- -- --
Cash.............................................. 325,004 123,062 22 -- --
Receivables:
Investment Securities Sold....................... 6,308 -- -- -- --
Dividends, Interest and Tax Reclaims............. 93,638 -- -- -- --
Securities Lending Income........................ 3,421 -- -- -- --
Fund Shares Sold................................. 20,058 4,480 110 262 --
From Advisor..................................... -- -- 8 -- --
Unrealized Gain on Foreign Currency Contracts..... 32 -- -- -- --
Deferred Offering Costs........................... -- -- 23 -- --
Prepaid Expenses and Other Assets................. 220 70 4 12 12
-------------- -------------- ------------ -------------- --------------
Total Assets.................................. 23,245,130 12,103,536 10,512 539,270 282,940
-------------- -------------- ------------ -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................. 2,079,284 -- -- -- --
Investment Securities Purchased.................. 139,434 -- 40 -- --
Fund Shares Redeemed............................. 5,133 7,577 -- 10 50
Due to Advisor................................... 4,545 3,850 -- 174 93
Futures Margin Variation......................... 454 464 -- -- --
Unrealized Loss on Foreign Currency Contracts..... 55 -- -- -- --
Accrued Expenses and Other Liabilities............ 871 417 2 15 11
-------------- -------------- ------------ -------------- --------------
Total Liabilities............................. 2,229,776 12,308 42 199 154
-------------- -------------- ------------ -------------- --------------
NET ASSETS........................................ $ 21,015,354 $ 12,091,228 $ 10,470 $ 539,071 $ 282,786
============== ============== ============ ============== ==============
NET ASSET VALUE, OFFERING
AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets
of $21,015,354; $12,091,228; $10,470; $539,071
and $282,786 and shares outstanding of
1,635,224,061; 625,644,782; 990,694; 22,348,911
and 13,162,865, respectively..................... $ 12.85 $ 19.33 $ 10.57 $ 24.12 $ 21.48
============== ============== ============ ============== ==============
NUMBER OF SHARES AUTHORIZED....................... 7,000,000,000 3,000,000,000 100,000,000 1,000,000,000 1,000,000,000
============== ============== ============ ============== ==============
Investments in Affiliated Investment Companies at
Cost............................................. $ -- $ 10,153,529 $ 10,000 $ 444,383 $ 286,809
============== ============== ============ ============== ==============
Investments at Cost............................... $ 18,280,468 $ -- $ -- $ -- $ --
============== ============== ============ ============== ==============
Foreign Currencies at Cost........................ $ 10,744 $ -- $ -- $ -- $ --
============== ============== ============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 18,870,631 $ 10,147,577 $ 10,082 $ 476,319 $ 309,594
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... 127,061 16,467 32 (2,191) (5,017)
Accumulated Net Realized Gain (Loss).............. (401,483) 108,109 11 (29,629) (17,907)
Net Unrealized Foreign Exchange Gain (Loss)....... 151 (38) -- (41) (3)
Net Unrealized Appreciation (Depreciation)........ 2,418,994 1,819,113 345 94,613 (3,881)
-------------- -------------- ------------ -------------- --------------
NET ASSETS........................................ $ 21,015,354 $ 12,091,228 $ 10,470 $ 539,071 $ 282,786
============== ============== ============ ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
89
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
UNITED CONTINENTAL INTERNATIONAL DFA GLOBAL
KINGDOM SMALL SMALL REAL ESTATE REAL ESTATE
COMPANY COMPANY SECURITIES SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................. $ 43,125 $ 386,549 -- $ 3,549,532
Investments at Value (including $0, $0, $195,714,
$169,934 and $893,768 of securities on loan,
respectively)..................................... -- -- $ 4,686,690 1,996,637
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0,
$200,224, $174,718 and $894,767).................. -- -- 200,242 174,737
Segregated Cash for Futures Contracts.............. -- -- 1,075 --
Foreign Currencies at Value........................ -- -- 4,691 --
Cash............................................... -- -- 45,870 8,127
Receivables:
Investment Securities/Affiliated Investment
Company Sold.................................... -- -- 351 --
Dividends, Interest and Tax Reclaims............. -- -- 18,909 1,857
Securities Lending Income........................ -- -- 466 23
Fund Shares Sold................................. -- 74 15,159 38,124
Unrealized Gain on Foreign Currency Contracts...... -- -- 14 --
Prepaid Expenses and Other Assets.................. 14 68 79 102
-------------- -------------- -------------- --------------
Total Assets................................... 43,139 386,691 4,973,546 5,769,139
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................. -- -- 200,184 174,713
Investment Securities/Affiliated Investment
Company Purchased............................... -- -- 20,732 14,107
Fund Shares Redeemed............................. 21 41 2,082 3,984
Due to Advisor................................... 12 121 961 302
Futures Margin Variation......................... -- -- 61 --
Unrealized Loss on Foreign Currency Contracts...... -- -- 16 --
Accrued Expenses and Other Liabilities............. 5 12 254 206
-------------- -------------- -------------- --------------
Total Liabilities.............................. 38 174 224,290 193,312
-------------- -------------- -------------- --------------
NET ASSETS......................................... $ 43,101 $ 386,517 $ 4,749,256 $ 5,575,827
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets
of $43,101; $386,517; $4,749,256; $5,575,827
and $14,562,703 and shares outstanding of
1,393,593; 15,292,635; 952,231,946;
522,372,529 and 693,253,327, respectively......... $ 30.93 $ 25.27 $ 4.99 $ 10.67
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED........................ 1,000,000,000 1,000,000,000 4,000,000,000 3,000,000,000
============== ============== ============== ==============
Investments in Affiliated Investment Companies at
Cost.............................................. $ 34,523 $ 296,628 $ -- $ 2,959,753
============== ============== ============== ==============
Investments at Cost................................ $ -- $ -- $ 4,450,191 $ 1,919,189
============== ============== ============== ==============
Foreign Currencies at Cost......................... $ -- $ -- $ 4,656 $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.................................... $ 33,919 $ 301,692 $ 5,164,678 $ 4,901,629
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)............... 220 2,276 (389,673) 32,402
Accumulated Net Realized Gain (Loss)............... 350 (7,491) (262,590) (25,450)
Net Unrealized Foreign Exchange Gain (Loss)........ 10 119 40 --
Net Unrealized Appreciation (Depreciation)......... 8,602 89,921 236,801 667,246
-------------- -------------- -------------- --------------
NET ASSETS......................................... $ 43,101 $ 386,517 $ 4,749,256 $ 5,575,827
============== ============== ============== ==============
DFA
INTERNATIONAL
SMALL CAP
VALUE PORTFOLIO*
----------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................. --
Investments at Value (including $0, $0, $195,714,
$169,934 and $893,768 of securities on loan,
respectively)..................................... $ 14,314,699
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0,
$200,224, $174,718 and $894,767).................. 894,960
Segregated Cash for Futures Contracts.............. 5,520
Foreign Currencies at Value........................ 81,666
Cash............................................... 97,772
Receivables:
Investment Securities/Affiliated Investment
Company Sold.................................... 38,009
Dividends, Interest and Tax Reclaims............. 71,685
Securities Lending Income........................ 2,251
Fund Shares Sold................................. 5,910
Unrealized Gain on Foreign Currency Contracts...... 7
Prepaid Expenses and Other Assets.................. 134
--------------
Total Assets................................... 15,512,613
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................. 894,710
Investment Securities/Affiliated Investment
Company Purchased............................... 40,652
Fund Shares Redeemed............................. 5,588
Due to Advisor................................... 7,586
Futures Margin Variation......................... 481
Unrealized Loss on Foreign Currency Contracts...... 3
Accrued Expenses and Other Liabilities............. 890
--------------
Total Liabilities.............................. 949,910
--------------
NET ASSETS......................................... $ 14,562,703
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets
of $43,101; $386,517; $4,749,256; $5,575,827
and $14,562,703 and shares outstanding of
1,393,593; 15,292,635; 952,231,946;
522,372,529 and 693,253,327, respectively......... $ 21.01
==============
NUMBER OF SHARES AUTHORIZED........................ 4,600,000,000
==============
Investments in Affiliated Investment Companies at
Cost.............................................. $ --
==============
Investments at Cost................................ $ 11,975,928
==============
Foreign Currencies at Cost......................... $ 82,254
==============
NET ASSETS CONSIST OF:
Paid-In Capital.................................... $ 11,958,612
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)............... (27,590)
Accumulated Net Realized Gain (Loss)............... 291,988
Net Unrealized Foreign Exchange Gain (Loss)........ 73
Net Unrealized Appreciation (Depreciation)......... 2,339,620
--------------
NET ASSETS......................................... $ 14,562,703
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
90
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(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...................................................... -- $ 216,675 -- --
Investments at Value (including $210,226, $0, $12,345,
$180,374 and $0 of securities on loan, respectively)....... $ 2,177,654 -- $ 375,699 $ 2,171,488
Temporary Cash Investments at Value & Cost.................. -- -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $209,180, $0, $9,956,
$163,878 and $0)........................................... 209,216 -- 9,957 163,905
Foreign Currencies at Value................................. 1,173 -- 1,726 3,698
Cash........................................................ 7,667 216 921 10,802
Receivables:
Investment Securities Sold................................ 664 -- 716 584
Dividends, Interest and Tax Reclaims...................... 9,689 -- 1,379 7,674
Securities Lending Income................................. 389 -- 37 365
Fund Shares Sold.......................................... 2,082 55 183 963
Unrealized Gain on Foreign Currency Contracts............... 1 -- 2 --
Prepaid Expenses and Other Assets........................... 50 11 26 55
-------------- -------------- -------------- --------------
Total Assets............................................ 2,408,585 216,957 390,646 2,359,534
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 209,175 -- 9,955 163,878
Investment Securities Purchased........................... 3,222 -- 2,220 4,617
Fund Shares Redeemed...................................... 1,035 12 70 740
Due to Advisor............................................ 790 58 178 606
Unrealized Loss on Foreign Currency Contracts............... 1 -- 1 --
Accrued Expenses and Other Liabilities...................... 131 4 82 172
-------------- -------------- -------------- --------------
Total Liabilities....................................... 214,354 74 12,506 170,013
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 2,194,231 $ 216,883 $ 378,140 $ 2,189,521
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$2,194,231; $216,883; $378,140; $2,189,521 and
$449,153 and shares outstanding of 183,057,375;
19,030,131; 27,726,632; 199,584,395 and 30,600,514,
respectively............................................... $ 11.99 $ 11.40 $ 13.64 $ 10.97
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 1,000,000,000 1,000,000,000 1,500,000,000
============== ============== ============== ==============
Investments in Affiliated Investment Companies at
Cost....................................................... $ -- $ 196,174 $ -- $ --
============== ============== ============== ==============
Investments at Cost......................................... $ 1,872,126 $ -- $ 326,299 $ 1,988,827
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ 1,172 $ -- $ 1,719 $ 3,706
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 1,877,408 $ 198,784 $ 330,263 $ 2,007,781
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 13,057 1,014 1,594 10,827
Accumulated Net Realized Gain (Loss)........................ (1,811) (3,381) (3,125) (11,780)
Net Unrealized Foreign Exchange Gain (Loss)................. 12 (35) -- 13
Net Unrealized Appreciation (Depreciation).................. 305,565 20,501 49,408 182,680
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 2,194,231 $ 216,883 $ 378,140 $ 2,189,521
============== ============== ============== ==============
WORLD CORE
EQUITY
PORTFOLIO
--------------
ASSETS:
Investments in Affiliated Investment Companies at
Value...................................................... $ 448,671
Investments at Value (including $210,226, $0, $12,345,
$180,374 and $0 of securities on loan, respectively)....... --
Temporary Cash Investments at Value & Cost.................. 322
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $209,180, $0, $9,956,
$163,878 and $0)........................................... --
Foreign Currencies at Value................................. --
Cash........................................................ --
Receivables:
Investment Securities Sold................................ --
Dividends, Interest and Tax Reclaims...................... --
Securities Lending Income................................. --
Fund Shares Sold.......................................... 351
Unrealized Gain on Foreign Currency Contracts............... --
Prepaid Expenses and Other Assets........................... 21
--------------
Total Assets............................................ 449,365
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... --
Investment Securities Purchased........................... 161
Fund Shares Redeemed...................................... 27
Due to Advisor............................................ 19
Unrealized Loss on Foreign Currency Contracts............... --
Accrued Expenses and Other Liabilities...................... 5
--------------
Total Liabilities....................................... 212
--------------
NET ASSETS.................................................. $ 449,153
==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$2,194,231; $216,883; $378,140; $2,189,521 and
$449,153 and shares outstanding of 183,057,375;
19,030,131; 27,726,632; 199,584,395 and 30,600,514,
respectively............................................... $ 14.68
==============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000
==============
Investments in Affiliated Investment Companies at
Cost....................................................... $ 399,517
==============
Investments at Cost......................................... $ --
==============
Foreign Currencies at Cost.................................. $ --
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 403,336
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... (33)
Accumulated Net Realized Gain (Loss)........................ (3,304)
Net Unrealized Foreign Exchange Gain (Loss)................. --
Net Unrealized Appreciation (Depreciation).................. 49,154
--------------
NET ASSETS.................................................. $ 449,153
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
91
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
SELECTIVELY
HEDGED GLOBAL EMERGING EMERGING EMERGING
EQUITY MARKETS MARKETS SMALL MARKETS VALUE
PORTFOLIO PORTFOLIO CAP PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................ $ 317,176 $ 5,688,367 $ 6,505,830 $ 17,986,995
Investments at Value (including $0, $0, $0, $0
and $1,859,446 of securities on loan,
respectively).................................... -- -- -- --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0,
$0, $0 and $1,095,684)........................... -- -- -- --
Segregated Cash for Futures Contracts............. 830 -- -- --
Foreign Currencies at Value....................... -- -- -- --
Cash.............................................. 19,617 -- -- --
Receivables:
Investment Securities/Affiliated Investment
Companies Sold................................. -- -- -- --
Dividends, Interest and Tax Reclaims............. -- -- -- --
Securities Lending Income........................ -- -- -- --
Fund Shares Sold................................. 727 5,047 3,371 5,516
Unrealized Gain on Forward Currency Contracts..... 207 -- -- --
Unrealized Gain on Foreign Currency Contracts..... -- -- -- --
Prepaid Expenses and Other Assets................. 13 58 51 80
-------------- -------------- -------------- --------------
Total Assets.................................. 338,570 5,693,472 6,509,252 17,992,591
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................. -- -- -- --
Investment Securities/Affiliated Investment
Companies Purchased............................ 370 -- -- --
Fund Shares Redeemed............................. 23 3,662 2,610 13,942
Due to Advisor................................... 11 1,472 2,366 5,866
Futures Margin Variation......................... 46 -- -- --
Unrealized Loss on Forward Currency Contracts..... 318 -- -- --
Unrealized Loss on Foreign Currency Contracts..... -- -- -- --
Accrued Expenses and Other Liabilities............ 9 218 179 681
-------------- -------------- -------------- --------------
Total Liabilities............................. 777 5,352 5,155 20,489
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 337,793 $ 5,688,120 $ 6,504,097 $ 17,972,102
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of $0; $0;
$0; $24,119 and $0 and shares outstanding of 0;
0; 0; 880,642 and 0, respectively................ N/A N/A N/A $ 27.39
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................... N/A N/A N/A 200,000,000
============== ============== ============== ==============
Institutional Class Shares -- based on net assets
of $337,793; $5,688,120; $6,504,097; $17,947,983
and $22,299,430 and shares outstanding of
22,475,170; 217,226,559; 301,548,953;
651,352,264 and 1,110,693,339, respectively...... $ 15.03 $ 26.19 $ 21.57 $ 27.55
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................... 1,000,000,000 1,500,000,000 1,500,000,000 3,000,000,000
============== ============== ============== ==============
Investments in Affiliated Investment Companies at
Cost............................................. $ 270,709 $ 4,238,393 $ 5,780,416 $ 16,897,664
============== ============== ============== ==============
Investments at Cost............................... $ -- $ -- $ -- $ --
============== ============== ============== ==============
Foreign Currencies at Cost........................ $ -- $ -- $ -- $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 288,855 $ 4,470,840 $ 5,782,823 $ 18,398,556
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... 45 6,345 (16,108) (31,904)
Accumulated Net Realized Gain (Loss).............. 2,374 (239,042) 11,922 (1,484,043)
Net Unrealized Foreign Exchange Gain (Loss)....... (111) 3 46 162
Net Unrealized Appreciation (Depreciation)........ 46,630 1,449,974 725,414 1,089,331
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 337,793 $ 5,688,120 $ 6,504,097 $ 17,972,102
============== ============== ============== ==============
EMERGING
MARKETS CORE
EQUITY
PORTFOLIO*
--------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................ --
Investments at Value (including $0, $0, $0, $0
and $1,859,446 of securities on loan,
respectively).................................... $ 21,998,982
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0,
$0, $0 and $1,095,684)........................... 1,095,915
Segregated Cash for Futures Contracts............. 7,865
Foreign Currencies at Value....................... 88,495
Cash.............................................. 193,057
Receivables:
Investment Securities/Affiliated Investment
Companies Sold................................. 22,609
Dividends, Interest and Tax Reclaims............. 23,047
Securities Lending Income........................ 5,172
Fund Shares Sold................................. 28,427
Unrealized Gain on Forward Currency Contracts..... --
Unrealized Gain on Foreign Currency Contracts..... 3
Prepaid Expenses and Other Assets................. 196
--------------
Total Assets.................................. 23,463,768
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................. 1,095,654
Investment Securities/Affiliated Investment
Companies Purchased............................ 51,000
Fund Shares Redeemed............................. 7,353
Due to Advisor................................... 8,662
Futures Margin Variation......................... 267
Unrealized Loss on Forward Currency Contracts..... --
Unrealized Loss on Foreign Currency Contracts..... 24
Accrued Expenses and Other Liabilities............ 1,378
--------------
Total Liabilities............................. 1,164,338
--------------
NET ASSETS........................................ $ 22,299,430
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of $0; $0;
$0; $24,119 and $0 and shares outstanding of 0;
0; 0; 880,642 and 0, respectively................ N/A
==============
NUMBER OF SHARES AUTHORIZED....................... N/A
==============
Institutional Class Shares -- based on net assets
of $337,793; $5,688,120; $6,504,097; $17,947,983
and $22,299,430 and shares outstanding of
22,475,170; 217,226,559; 301,548,953;
651,352,264 and 1,110,693,339, respectively...... $ 20.08
==============
NUMBER OF SHARES AUTHORIZED....................... 5,000,000,000
==============
Investments in Affiliated Investment Companies at
Cost............................................. $ --
==============
Investments at Cost............................... $ 19,240,216
==============
Foreign Currencies at Cost........................ $ 88,740
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 20,398,507
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... 44,770
Accumulated Net Realized Gain (Loss).............. (905,520)
Net Unrealized Foreign Exchange Gain (Loss)....... 99
Net Unrealized Appreciation (Depreciation)........ 2,761,574
--------------
NET ASSETS........................................ $ 22,299,430
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
92
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
ENHANCED
U.S. LARGE U.S. LARGE U.S. LARGE U.S. TARGETED
COMPANY CAP EQUITY CAP VALUE VALUE
PORTFOLIO# PORTFOLIO# PORTFOLIO* PORTFOLIO#
---------- ---------- ---------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends...................................................... $ -- $ -- $ 219,975 $ --
Income from Securities Lending................................. -- -- 1,085 --
Expenses Allocated from Affiliated Investment Company.......... -- -- (10,911) --
------- -------- ---------- ----------
Total Net Investment Income Received from Affiliated
Investment Company........................................... -- -- 210,149 --
------- -------- ---------- ----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $34,
respectively)................................................... $ -- $ 9,153 $ -- $ 68,372
Interest......................................................... 1,672 -- -- --
Income from Securities Lending................................... 7 77 -- 2,516
------- -------- ---------- ----------
Total Investment Income....................................... 1,679 9,230 -- 70,888
------- -------- ---------- ----------
FUND EXPENSES
Investment Management Fees....................................... 250 712 24,707 16,427
Accounting & Transfer Agent Fees................................. 9 30 167 259
S&P 500(R) Fees.................................................. 4 -- -- --
Custodian Fees................................................... 4 7 -- 58
Shareholder Servicing Fees
Class R1 Shares................................................ -- -- -- 24
Class R2 Shares................................................ -- -- -- 216
Filing Fees...................................................... 16 26 127 76
Shareholders' Reports............................................ 3 8 190 140
Directors'/Trustees' Fees & Expenses............................. 1 5 95 46
Professional Fees................................................ 2 7 17 65
Other............................................................ 5 21 47 123
------- -------- ---------- ----------
Total Expenses................................................ 294 816 25,350 17,434
------- -------- ---------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C).............................. (18) -- (9,883) --
Fees Paid Indirectly (Note C).................................... (4) -- -- --
------- -------- ---------- ----------
Net Expenses..................................................... 272 816 15,467 17,434
------- -------- ---------- ----------
NET INVESTMENT INCOME (LOSS)..................................... 1,407 8,414 194,682 53,454
------- -------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................... (237) 2,571 652,478 396,371
Futures........................................................ 27,341 -- 12,107 11,155
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 68 110,709 1,831,911 872,409
Futures........................................................ 2,744 1 4,884 2,557
------- -------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS).......................... 29,916 113,281 2,501,380 1,282,492
------- -------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................................ $31,323 $121,695 $2,696,062 $1,335,946
======= ======== ========== ==========
----------
* 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.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
93
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
U.S. SMALL U.S. CORE U.S. CORE U.S. VECTOR
CAP VALUE EQUITY 1 EQUITY 2 EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ---------- -----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $50, $30, $35 and $10,
respectively)#..................................................... $ 94,623 $ 153,647 $ 168,821 $ 34,825
Income from Securities Lending...................................... 3,278 4,075 4,803 1,210
---------- ---------- ---------- --------
Total Investment Income.......................................... 97,901 157,722 173,624 36,035
---------- ---------- ---------- --------
EXPENSES
Investment Management Fees.......................................... 35,532 14,449 18,881 6,403
Accounting & Transfer Agent Fees.................................... 415 468 526 127
Custodian Fees...................................................... 95 89 97 26
Filing Fees......................................................... 121 172 127 35
Shareholders' Reports............................................... 161 107 129 52
Directors'/Trustees' Fees & Expenses................................ 71 81 91 21
Professional Fees................................................... 103 118 133 31
Other............................................................... 192 219 248 58
---------- ---------- ---------- --------
Total Expenses................................................... 36,690 15,703 20,232 6,753
---------- ---------- ---------- --------
NET INVESTMENT INCOME (LOSS)........................................ 61,211 142,019 153,392 29,282
---------- ---------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................................... 709,314 30,001 60,806 63,503
Futures........................................................... 20,973 10,576 12,375 2,950
In-Kind Redemptions............................................... 79,386 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................. 1,361,435 2,068,820 2,303,338 527,084
Futures........................................................... 5,136 3,553 4,911 1,125
---------- ---------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 2,176,244 2,112,950 2,381,430 594,662
---------- ---------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................................... $2,237,455 $2,254,969 $2,534,822 $623,944
========== ========== ========== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
94
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA REAL
U.S. SMALL U.S. MICRO ESTATE LARGE CAP
CAP CAP SECURITIES INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ---------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $29, $4, $0 and $4,983,
respectively)#...................................................... $ 102,667 $ 35,567 $168,017 $ 52,179
Income from Securities Lending....................................... 7,041 2,101 591 1,398
---------- -------- -------- --------
Total Investment Income........................................... 109,708 37,668 168,608 53,577
---------- -------- -------- --------
EXPENSES
Investment Management Fees........................................... 25,932 14,226 6,375 4,357
Accounting & Transfer Agent Fees..................................... 420 176 217 126
Custodian Fees....................................................... 91 42 39 178
Filing Fees.......................................................... 99 41 70 31
Shareholders' Reports................................................ 142 62 111 62
Directors'/Trustees' Fees & Expenses................................. 72 28 37 18
Professional Fees.................................................... 103 42 57 34
Other................................................................ 192 80 99 69
---------- -------- -------- --------
Total Expenses.................................................... 27,051 14,697 7,005 4,875
---------- -------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C).................................. -- -- (254) (141)
Fees Paid Indirectly (Note C)........................................ -- -- -- (132)
---------- -------- -------- --------
Net Expenses......................................................... 27,051 14,697 6,751 4,602
---------- -------- -------- --------
NET INVESTMENT INCOME (LOSS)......................................... 82,657 22,971 161,857 48,975
---------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................... 468,794 283,979 (21,717) 11,853
Futures............................................................ 11,882 6,138 5,170 1,906
Foreign Currency Transactions...................................... -- -- -- (899)
In-Kind Redemptions................................................ 125,200 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 1,581,604 652,854 118,073 346,444
Futures............................................................ 6,700 2,384 2,226 1,452
Translation of Foreign Currency Denominated Amounts................ -- -- -- 346
---------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 2,194,180 945,355 103,752 361,102
---------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $2,276,837 $968,326 $265,609 $410,077
========== ======== ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
95
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INTERNATIONAL JAPANESE ASIA PACIFIC
INTERNATIONAL SMALL GLOBAL SMALL SMALL SMALL
CORE EQUITY COMPANY COMPANY COMPANY COMPANY
PORTFOLIO# PORTFOLIO* PORTFOLIO (A)* PORTFOLIO* PORTFOLIO*
------------- ------------- -------------- ---------- ------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated
Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0,
$11,583, $3, $633 and $84, respectively)................ $ -- $ 133,511 $ 26 $ 5,776 $ 3,674
Income from Securities Lending........................... -- 13,856 3 551 392
Expenses Allocated from Affiliated Investment
Companies............................................... -- (6,538) (1) (318) (168)
Income Distributions Received from Affiliated Investment
Companies................................................ -- 239 8 -- --
---------- ---------- ---- ------- -------
Total Net Investment Income Received from
Affiliated Investment Companies....................... -- 141,068 36 6,009 3,898
---------- ---------- ---- ------- -------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $23,093,
$0, $0, $0 and $0, respectively)......................... 249,096 -- -- -- --
Income from Securities Lending............................ 13,832 -- -- -- --
---------- ---------- ---- ------- -------
Total Investment Income................................ 262,928 -- -- -- --
---------- ---------- ---- ------- -------
FUND EXPENSES
Investment Management Fees................................ 29,668 21,562 8 1,266 644
Accounting & Transfer Agent Fees.......................... 541 60 1 3 2
Custodian Fees............................................ 935 2 1 -- --
Filing Fees............................................... 179 111 1 10 11
Shareholders' Reports..................................... 182 133 -- 3 3
Directors'/Trustees' Fees & Expenses...................... 87 52 -- 2 1
Professional Fees......................................... 163 31 -- 1 --
Organizational & Offering Costs........................... -- -- 9 -- --
Other..................................................... 306 36 -- 2 --
---------- ---------- ---- ------- -------
Total Expenses......................................... 32,061 21,987 20 1,287 661
---------- ---------- ---- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)................................................. (2,081) -- (16) (253) (129)
Fees Paid Indirectly (Note C)............................. (799) -- -- -- --
---------- ---------- ---- ------- -------
Net Expenses.............................................. 29,181 21,987 4 1,034 532
---------- ---------- ---- ------- -------
NET INVESTMENT INCOME (LOSS).............................. 233,747 119,081 32 4,975 3,366
---------- ---------- ---- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................. (44,503) 117,973 12 4,995 4,278
Futures.................................................. 14,372 5,651 (1) -- --
Foreign Currency Transactions............................ (4,031) (2,047) -- (381) (76)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 1,942,368 1,071,748 (2) 23,816 4,656
Affiliated Investment Companies Shares................... -- -- 347 -- --
Futures.................................................. 4,105 4,157 -- 1 --
Translation of Foreign Currency Denominated
Amounts................................................. 1,680 1,021 -- 115 (3)
---------- ---------- ---- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)................... 1,913,991 1,198,503 356 28,546 8,855
---------- ---------- ---- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................. $2,147,738 $1,317,584 $388 $33,521 $12,221
========== ========== ==== ======= =======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
(a)The Portfolio commenced operations on January 18, 2017.
See accompanying Notes to Financial Statements.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(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, $523, $0,
$0 and $0, respectively)...................................... $ 755 $ 3,531 $ -- $ -- $ --
Income from Securities Lending................................. 11 512 -- -- --
Expenses Allocated from Affiliated Investment Company.......... (23) (201) -- -- --
Income Distributions Received from Affiliated Investment
Companies...................................................... -- -- -- 160,849 --
------ ------- -------- -------- ----------
Total Net Investment Income Received from Affiliated
Investment Company........................................... 743 3,842 -- 160,849 --
------ ------- -------- -------- ----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $10,768,
$0 and $13,215, respectively).................................. -- -- 89,904 39,852 154,442
Income from Securities Lending.................................. -- -- 1,416 188 10,927
------ ------- -------- -------- ----------
Total Fund Investment Income.................................. -- -- 91,320 40,040 165,369
------ ------- -------- -------- ----------
FUND EXPENSES
Investment Management Fees...................................... 98 814 5,315 5,105 43,908
Accounting & Transfer Agent Fees................................ 2 3 135 79 401
Custodian Fees.................................................. -- -- 244 14 915
Filing Fees..................................................... 16 24 42 75 86
Shareholders' Reports........................................... 1 4 55 101 174
Directors'/Trustees' Fees & Expenses............................ -- 2 20 25 66
Professional Fees............................................... 1 -- 38 21 118
Other........................................................... -- -- 72 27 243
------ ------- -------- -------- ----------
Total Expenses................................................ 118 847 5,921 5,447 45,911
------ ------- -------- -------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)...................... (26) (163) -- (3,138) --
Fees Paid Indirectly (Note C)................................... -- -- (155) -- (233)
------ ------- -------- -------- ----------
Net Expenses.................................................... 92 684 5,766 2,309 45,678
------ ------- -------- -------- ----------
NET INVESTMENT INCOME (LOSS).................................... 651 3,158 85,554 198,580 119,691
------ ------- -------- -------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment
Companies...................................................... -- -- -- 14,569 --
Net Realized Gain (Loss) on:
Investment Securities Sold**................................... 559 3,117 (24,204) 426 306,161
Affiliated Investment Companies Shares Sold.................... -- -- -- (1,562) --
Futures........................................................ -- -- 3,760 222 8,861
Foreign Currency Transactions.................................. (3) 29 (253) 3 (4,809)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 6,241 52,027 104,882 (29,277) 1,265,279
Futures........................................................ -- -- 553 -- 4,697
Translation of Foreign Currency Denominated Amounts............ 8 6 404 -- 1,606
------ ------- -------- -------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 6,805 55,179 85,142 (15,619) 1,581,795
------ ------- -------- -------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $7,456 $58,337 $170,696 $182,961 $1,701,486
====== ======= ======== ======== ==========
----------
* 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, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
97
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(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,
$228, $0, $0 and $0, respectively)................. $ -- $ 2,433 $ -- $ -- $ --
Income from Securities Lending...................... -- 98 -- -- --
Expenses Allocated from Affiliated Investment
Companies.......................................... -- (175) -- -- --
Income Distributions Received from Affiliated
Investment Companies................................ -- 170 -- -- 3,426
-------- ------- ------- -------- -------
Total Net Investment Income Received from
Affiliated Investment Companies................... -- 2,526 -- -- 3,426
-------- ------- ------- -------- -------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $2,424,
$0, $303, $2,232 and $0, respectively).............. 26,142 -- 3,302 22,527 1
Income from Securities Lending....................... 1,751 -- 154 1,511 --
-------- ------- ------- -------- -------
Total Investment Income............................ 27,893 -- 3,456 24,038 1
-------- ------- ------- -------- -------
FUND EXPENSES
Investment Management Fees........................... 4,454 470 929 3,473 614
Accounting & Transfer Agent Fees..................... 68 2 15 62 3
Custodian Fees....................................... 126 -- 121 285 --
Filing Fees.......................................... 36 9 22 32 21
Shareholders' Reports................................ 36 2 3 30 2
Directors'/Trustees' Fees & Expenses................. 9 1 1 9 2
Professional Fees.................................... 18 3 12 28 3
Other................................................ 42 2 12 36 --
-------- ------- ------- -------- -------
Total Expenses..................................... 4,789 489 1,115 3,955 645
-------- ------- ------- -------- -------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)............................................ -- (224) -- (69) (509)
Fees Paid Indirectly (Note C)........................ (30) -- (5) (57) --
-------- ------- ------- -------- -------
Net Expenses......................................... 4,759 265 1,110 3,829 136
-------- ------- ------- -------- -------
NET INVESTMENT INCOME (LOSS)......................... 23,134 2,261 2,346 20,209 3,291
-------- ------- ------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated
Investment Companies................................ -- 653 -- -- 898
Net Realized Gain (Loss) on:
Investment Securities Sold**........................ (658) (821) 5,191 848 (436)
Futures............................................. 158 125 -- 2 --
Foreign Currency Transactions....................... (394) (32) (54) (396) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... 212,999 20,446 35,582 191,232 (1)
Affiliated Investment Companies Shares.............. -- (148) -- -- 46,422
Futures............................................. -- 73 -- -- --
Translation of Foreign Currency Denominated
Amounts............................................ 196 13 22 129 --
-------- ------- ------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS).............. 212,301 20,309 40,741 191,815 46,883
-------- ------- ------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS....................................... $235,435 $22,570 $43,087 $212,024 $50,174
======== ======= ======= ======== =======
----------
* 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, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
SELECTIVELY EMERGING EMERGING EMERGING
HEDGED EMERGING MARKETS MARKETS MARKETS CORE
GLOBAL EQUITY MARKETS SMALL CAP VALUE EQUITY
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO#
------------- ---------- ---------- ---------- ------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $5,398,
$4,262, $16,476 and $0, respectively)......................... $ -- $ 41,595 $ 38,733 $ 135,744 $ --
Interest....................................................... -- 10 51 13 --
Income from Securities Lending................................. -- 2,051 21,381 11,652 --
Expenses Allocated from Affiliated Investment Companies........ -- (3,763) (7,371) (12,761) --
Income Distributions Received from Affiliated Investment
Companies...................................................... 2,303 -- -- -- --
------- -------- -------- ---------- ----------
Total Net Investment Income Received from Affiliated
Investment Companies......................................... 2,303 39,893 52,794 134,648 --
------- -------- -------- ---------- ----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and
$19,700, respectively)......................................... 38 -- -- -- 152,254
Income from Securities Lending.................................. -- -- -- -- 25,846
------- -------- -------- ---------- ----------
Total Fund Investment Income.................................. 38 -- -- -- 178,100
------- -------- -------- ---------- ----------
FUND EXPENSES
Investment Management Fees...................................... 468 12,007 18,595 41,723 50,486
Accounting & Transfer Agent Fees................................ 3 30 32 69 557
Custodian Fees.................................................. -- -- -- -- 3,991
Shareholder Servicing Fees
Class R2 Shares................................................ -- -- -- 93 --
Filing Fees..................................................... 11 50 44 106 126
Shareholders' Reports........................................... 3 77 54 133 229
Directors'/Trustees' Fees & Expenses............................ 2 24 27 80 91
Professional Fees............................................... 2 5 5 15 247
Other........................................................... 2 12 15 42 314
------- -------- -------- ---------- ----------
Total Expenses................................................ 491 12,205 18,772 42,261 56,041
------- -------- -------- ---------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)...................... (427) (2,551) (5,722) -- (1,506)
Fees Waived, (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)
Institutional Class Shares..................................... -- -- -- (8,307) --
Class R2 Shares................................................ -- -- -- (37) --
Fees Paid Indirectly (Note C)................................... -- -- -- -- (568)
------- -------- -------- ---------- ----------
Net Expenses.................................................... 64 9,654 13,050 33,917 53,967
------- -------- -------- ---------- ----------
NET INVESTMENT INCOME (LOSS).................................... 2,277 30,239 39,744 100,731 124,133
------- -------- -------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment
Companies...................................................... 894 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold**................................... (578) (19,102) 16,761 (434,056) (114,322)
Futures........................................................ 1,472 2,394 3,141 8,408 14,114
Foreign Currency Transactions.................................. -- 114 755 3,586 (2,003)
Forward Currency Contracts..................................... 1,881 -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... -- 467,837 535,791 2,175,373 1,890,406
Affiliated Investment Companies Shares......................... 33,263 -- -- -- --
Futures........................................................ 511 1,766 753 3,185 6,261
Translation of Foreign Currency Denominated Amounts............ -- (57) (68) (50) (67)
Forward Currency Contracts..................................... (760) -- -- -- --
------- -------- -------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 36,683 452,952 557,133 1,756,446 1,794,389
------- -------- -------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $38,960 $483,191 $596,877 $1,857,177 $1,918,522
======= ======== ======== ========== ==========
----------
* 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, $144 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE CAP EQUITY U.S. LARGE CAP VALUE
COMPANY PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- --------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- -------- ----------- --------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 1,407 $ 1,670 $ 8,414 $ 15,047 $ 194,682 $ 363,236
Net Realized Gain (Loss) on:
Investment Securities Sold*........... (237) (59) 2,571 (9,470) 652,478 447,750
Futures............................... 27,341 7,848 -- -- 12,107 17,635
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 68 118 110,709 22,964 1,831,911 (11,625)
Futures............................... 2,744 (557) 1 -- 4,884 (3,292)
-------- -------- ---------- --------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 31,323 9,020 121,695 28,541 2,696,062 813,704
-------- -------- ---------- --------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares............ (1,256) (1,417) (9,076) (14,431) (179,198) (357,227)
Net Short-Term Gains:
Institutional Class Shares............ (2,722) (3,529) -- -- -- --
Net Long-Term Gains:
Institutional Class Shares............ (4,088) (9,801) -- -- (446,140) (643,970)
-------- -------- ---------- --------- ----------- -----------
Total Distributions.................. (8,066) (14,747) (9,076) (14,431) (625,338) (1,001,197)
-------- -------- ---------- --------- ----------- -----------
Capital Share Transactions (1):
Shares Issued........................... 39,475 73,655 197,414 301,960 2,672,157 4,078,939
Shares Issued in Lieu of Cash
Distributions.......................... 7,501 13,002 8,737 14,259 584,187 935,970
Shares Redeemed......................... (52,296) (46,158) (128,880) (178,150) (1,946,229) (2,962,098)
-------- -------- ---------- --------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions.......... (5,320) 40,499 77,271 138,069 1,310,115 2,052,811
-------- -------- ---------- --------- ----------- -----------
Total Increase (Decrease) in Net
Assets.............................. 17,937 34,772 189,890 152,179 3,380,839 1,865,318
NET ASSETS
Beginning of Period..................... 238,413 203,641 851,323 699,144 17,673,253 15,807,935
-------- -------- ---------- --------- ----------- -----------
End of Period........................... $256,350 $238,413 $1,041,213 $ 851,323 $21,054,092 $17,673,253
======== ======== ========== ========= =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 3,036 6,113 13,834 24,003 74,712 131,035
Shares Issued in Lieu of Cash
Distributions.......................... 591 1,111 612 1,116 16,428 29,906
Shares Redeemed......................... (4,009) (3,945) (9,069) (14,319) (54,557) (94,466)
-------- -------- ---------- --------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and Redeemed.......... (382) 3,279 5,377 10,800 36,583 66,475
======== ======== ========== ========= =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)....................... $ 352 $ 201 $ 1,225 $ 1,887 $ 34,467 $ 18,983
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. TARGETED VALUE U.S. SMALL CAP VALUE
PORTFOLIO PORTFOLIO U.S. CORE EQUITY 1 PORTFOLIO
------------------------ ------------------------ ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............... $ 53,454 $ 93,044 $ 61,211 $ 122,969 $ 142,019 $ 261,444
Net Realized Gain (Loss) on:
Investment Securities Sold*............... 396,371 310,791 709,314 533,632 30,001 71,932
Futures................................... 11,155 6,695 20,973 42,945 10,576 14,545
In-Kind Redemptions....................... -- -- 79,386 -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities..................... 872,409 (32,158) 1,361,435 (45,822) 2,068,820 193,308
Futures................................... 2,557 (2,039) 5,136 (3,946) 3,553 (3,224)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations............... 1,335,946 376,333 2,237,455 649,778 2,254,969 538,005
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares........................... (241) (462) -- -- -- --
Class R2 Shares........................... (808) (1,837) -- -- -- --
Institutional Class Shares................ (49,959) (92,387) (55,980) (122,993) (156,030) (253,050)
Net Short-Term Gains:
Class R1 Shares........................... (75) (54) -- -- -- --
Class R2 Shares........................... (304) (202) -- -- -- --
Institutional Class Shares................ (15,806) (9,668) -- -- -- --
Net Long-Term Gains:
Class R1 Shares........................... (1,310) (1,571) -- -- -- --
Class R2 Shares........................... (5,296) (5,836) -- -- -- --
Institutional Class Shares................ (275,712) (279,118) (533,287) (487,348) (71,615) (160,152)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions...................... (349,511) (391,135) (589,267) (610,341) (227,645) (413,202)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued.............................. 1,635,245 1,989,566 1,660,803 2,855,521 2,563,876 3,836,889
Shares Issued in Lieu of Cash
Distributions............................. 322,721 363,680 533,141 547,459 217,685 394,137
Shares Redeemed............................ (1,360,947) (1,433,622) (2,163,977) (2,509,494) (1,423,543) (2,671,444)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions...................... 597,019 919,624 29,967 893,486 1,358,018 1,559,582
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets.................................. 1,583,454 904,822 1,678,155 932,923 3,385,342 1,684,385
NET ASSETS
Beginning of Period........................ 8,068,289 7,163,467 12,613,185 11,680,262 14,960,159 13,275,774
----------- ----------- ----------- ----------- ----------- -----------
End of Period.............................. $ 9,651,743 $ 8,068,289 $14,291,340 $12,613,185 $18,345,501 $14,960,159
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.............................. 68,077 99,453 44,747 94,286 130,428 221,794
Shares Issued in Lieu of Cash
Distributions............................. 13,315 18,127 14,108 17,740 11,099 22,712
Shares Redeemed............................ (56,715) (70,370) (58,128) (79,957) (72,342) (154,875)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed..................... 24,677 47,210 727 32,069 69,185 89,631
=========== =========== =========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)..................................... $ 3,863 $ 1,417 $ 3,460 $ (1,771) $ 19,633 $ 33,644
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. CORE EQUITY 2 PORTFOLIO U.S. VECTOR EQUITY PORTFOLIO U.S. SMALL CAP PORTFOLIO
--------------------------- --------------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ----------- ----------- ---------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........ $ 153,392 $ 293,351 $ 29,282 $ 59,961 $ 82,657 $ 135,557
Net Realized Gain (Loss) on:
Investment Securities Sold*....... 60,806 110,911 63,503 103,375 468,794 362,082
Futures........................... 12,375 16,424 2,950 3,911 11,882 18,220
In-Kind Redemptions............... -- -- -- -- 125,200 --
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities............. 2,303,338 180,375 527,084 (37,035) 1,581,604 11,454
Futures........................... 4,911 (3,630) 1,125 (835) 6,700 (4,290)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations...................... 2,534,822 597,431 623,944 129,377 2,276,837 523,023
----------- ----------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares........ (158,282) (281,321) (25,944) (59,624) (79,187) (133,998)
Net Short-Term Gains:
Institutional Class Shares........ -- -- (202) -- (12,822) (1,951)
Net Long-Term Gains:
Institutional Class Shares........ (122,469) (296,061) (101,959) (119,588) (343,192) (503,176)
----------- ----------- ---------- ---------- ----------- -----------
Total Distributions.............. (280,751) (577,382) (128,105) (179,212) (435,201) (639,125)
----------- ----------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued....................... 2,238,177 3,614,827 477,722 802,042 2,209,997 3,878,897
Shares Issued in Lieu of Cash
Distributions...................... 277,642 569,820 126,559 177,958 412,088 601,644
Shares Redeemed..................... (1,362,577) (2,554,214) (481,201) (759,047) (1,720,682) (2,003,782)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions...... 1,153,242 1,630,433 123,080 220,953 901,403 2,476,759
----------- ----------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in
Net Assets...................... 3,407,313 1,650,482 618,919 171,118 2,743,039 2,360,657
NET ASSETS
Beginning of Period................. 16,851,046 15,200,564 3,822,647 3,651,529 12,977,199 10,616,542
----------- ----------- ---------- ---------- ----------- -----------
End of Period....................... $20,258,359 $16,851,046 $4,441,566 $3,822,647 $15,720,238 $12,977,199
=========== =========== ========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................... 118,199 220,326 26,894 53,015 65,150 133,904
Shares Issued in Lieu of Cash
Distributions...................... 14,719 34,541 7,127 11,617 12,070 20,883
Shares Redeemed..................... (72,236) (155,064) (27,156) (49,773) (50,910) (68,437)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................ 60,682 99,803 6,865 14,859 26,310 86,350
=========== =========== ========== ========== =========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)............ $ 21,824 $ 26,714 $ 3,488 $ 150 $ 6,208 $ 2,738
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA REAL ESTATE SECURITIES LARGE CAP INTERNATIONAL
U.S. MICRO CAP PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ------------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ---------- ----------- ----------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 22,971 $ 43,562 $ 161,857 $ 221,443 $ 48,975 $ 95,056
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 283,979 265,995 (21,717) 90,717 11,853 40,972
Futures............................... 6,138 4,507 5,170 6,786 1,906 2,587
Foreign Currency Transactions......... -- -- -- -- (899) (670)
Forward Currency Contracts............ -- -- -- -- -- (1)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 652,854 (93,832) 118,073 133,266 346,444 (163,381)
Futures............................... 2,384 (1,662) 2,226 (1,518) 1,452 (870)
Translation of Foreign Currency
Denominated Amounts.................. -- -- -- -- 346 (284)
---------- ---------- ---------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 968,326 218,570 265,609 450,694 410,077 (26,591)
---------- ---------- ---------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares............ (23,292) (43,417) (131,338) (199,996) (37,058) (92,122)
Net Long-Term Gains:
Institutional Class Shares............ (255,837) (267,818) (66,384) -- -- --
---------- ---------- ---------- ----------- ---------- ----------
Total Distributions.................. (279,129) (311,235) (197,722) (199,996) (37,058) (92,122)
---------- ---------- ---------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................... 399,886 728,237 988,165 1,324,786 524,774 1,137,696
Shares Issued in Lieu of Cash
Distributions.......................... 257,672 288,388 150,349 180,508 32,993 81,307
Shares Redeemed......................... (619,149) (802,728) (577,797) (1,049,004) (327,854) (722,849)
---------- ---------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.......... 38,409 213,897 560,717 456,290 229,913 496,154
---------- ---------- ---------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 727,606 121,232 628,604 706,988 602,932 377,441
NET ASSETS
Beginning of Period..................... 5,128,323 5,007,091 7,260,180 6,553,192 3,527,775 3,150,334
---------- ---------- ---------- ----------- ---------- ----------
End of Period........................... $5,855,929 $5,128,323 $7,888,784 $ 7,260,180 $4,130,707 $3,527,775
========== ========== ========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 19,385 41,740 28,668 38,318 26,098 59,417
Shares Issued in Lieu of Cash
Distributions.......................... 12,269 16,256 4,456 5,269 1,650 4,282
Shares Redeemed......................... (29,748) (45,482) (16,848) (30,405) (16,281) (37,696)
---------- ---------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 1,906 12,514 16,276 13,182 11,467 26,003
========== ========== ========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)....................... $ 1,497 $ 1,818 $ 69,541 $ 39,022 $ 23,646 $ 11,729
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL CORE INTERNATIONAL SMALL GLOBAL SMALL
EQUITY PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO
------------------------ ------------------------ -----------------
PERIOD
SIX MONTHS YEAR SIX MONTHS YEAR JAN. 18,
ENDED ENDED ENDED ENDED 2017 (A) TO
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30,
2017 2016 2017 2016 2017
----------- ----------- ----------- ----------- -----------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ 233,747 $ 431,691 $ 119,081 $ 238,233 $ 32
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... (44,503) (84,212) 117,973 261,664 12
Futures.............................. 14,372 19,275 5,651 17,796 (1)
Foreign Currency Transactions........ (4,031) (72) (2,047) 673 --
Forward Currency Contracts........... -- (3) -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ 1,942,368 (7,083) 1,071,748 13,423 (2)
Affiliated Investment Companies
Shares.............................. -- -- -- -- 347
Futures.............................. 4,105 (2,948) 4,157 (2,771) --
Translation of Foreign Currency
Denominated Amounts................. 1,680 (1,251) 1,021 (814) --
----------- ----------- ----------- ----------- -------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 2,147,738 355,397 1,317,584 528,204 388
----------- ----------- ----------- ----------- -------
Distributions From:
Net Investment Income:
Institutional Class Shares........... (155,915) (387,589) (83,744) (283,791) --
Net Short-Term Gains:
Institutional Class Shares........... -- -- (18,854) -- --
Net Long-Term Gains:
Institutional Class Shares........... -- -- (251,076) (207,859) --
----------- ----------- ----------- ----------- -------
Total Distributions................. (155,915) (387,589) (353,674) (491,650) --
----------- ----------- ----------- ----------- -------
Capital Share Transactions (1):
Shares Issued......................... 3,136,495 5,576,571 1,229,119 2,126,348 10,297
Shares Issued in Lieu of Cash
Distributions........................ 148,004 367,352 339,989 473,837 --
Shares Redeemed....................... (1,243,979) (3,349,288) (829,151) (1,572,870) (215)
----------- ----------- ----------- ----------- -------
Net Increase (Decrease) from
Capital Share Transactions......... 2,040,520 2,594,635 739,957 1,027,315 10,082
----------- ----------- ----------- ----------- -------
Total Increase (Decrease) in Net
Assets............................. 4,032,343 2,562,443 1,703,867 1,063,869 10,470
NET ASSETS
Beginning of Period................... 16,983,011 14,420,568 10,387,361 9,323,492 --
----------- ----------- ----------- ----------- -------
End of Period......................... $21,015,354 $16,983,011 $12,091,228 $10,387,361 $10,470
=========== =========== =========== =========== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 260,067 500,176 67,541 124,163 1,012
Shares Issued in Lieu of Cash
Distributions........................ 12,584 33,144 19,964 27,874 --
Shares Redeemed....................... (103,648) (300,515) (46,228) (92,160) (21)
----------- ----------- ----------- ----------- -------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 169,003 232,805 41,277 59,877 991
=========== =========== =========== =========== =======
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................... $ 127,061 $ 49,229 $ 16,467 $ (18,870) $ 32
JAPANESE SMALL
COMPANY PORTFOLIO
--------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2017 2016
----------- --------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ 4,975 $ 7,013
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... 4,995 20,065
Futures.............................. -- --
Foreign Currency Transactions........ (381) 326
Forward Currency Contracts........... -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ 23,816 33,546
Affiliated Investment Companies
Shares.............................. -- --
Futures.............................. 1 --
Translation of Foreign Currency
Denominated Amounts................. 115 (100)
-------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 33,521 60,850
-------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares........... (9,568) (6,534)
Net Short-Term Gains:
Institutional Class Shares........... -- --
Net Long-Term Gains:
Institutional Class Shares........... -- --
-------- --------
Total Distributions................. (9,568) (6,534)
-------- --------
Capital Share Transactions (1):
Shares Issued......................... 57,453 50,775
Shares Issued in Lieu of Cash
Distributions........................ 8,825 6,058
Shares Redeemed....................... (60,573) (65,733)
-------- --------
Net Increase (Decrease) from
Capital Share Transactions......... 5,705 (8,900)
-------- --------
Total Increase (Decrease) in Net
Assets............................. 29,658 45,416
NET ASSETS
Beginning of Period................... 509,413 463,997
-------- --------
End of Period......................... $539,071 $509,413
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 2,502 2,413
Shares Issued in Lieu of Cash
Distributions........................ 401 298
Shares Redeemed....................... (2,690) (3,255)
-------- --------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 213 (544)
======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................... $ (2,191) $ 2,402
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, , $0 and
$0, respectively.
(a)The Portfolio commenced operations on January 18, 2017.
See accompanying Notes to Financial Statements.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ASIA PACIFIC SMALL COMPANY UNITED KINGDOM SMALL CONTINENTAL SMALL COMPANY
PORTFOLIO COMPANY PORTFOLIO PORTFOLIO
------------------------- -------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- -------- ----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 3,366 $ 8,007 $ 651 $ 1,302 $ 3,158 $ 6,325
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 4,278 (4,191) 559 2,090 3,117 6,536
Futures.................................... -- -- -- -- -- 50
Foreign Currency Transactions.............. (76) 49 (3) (25) 29 (31)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 4,656 30,333 6,241 (8,433) 52,027 5,988
Futures.................................... -- -- -- -- -- 2
Translation of Foreign Currency
Denominated Amounts....................... (3) 4 8 (2) 6 (3)
-------- -------- ------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 12,221 34,202 7,456 (5,068) 58,337 18,867
-------- -------- ------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (8,894) (7,760) (630) (1,389) (1,109) (6,377)
Net Long-Term Gains:
Institutional Class Shares................. -- -- (1,684) (1,632) -- --
-------- -------- ------- -------- -------- --------
Total Distributions....................... (8,894) (7,760) (2,314) (3,021) (1,109) (6,377)
-------- -------- ------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................ 25,449 30,200 10,877 12,964 45,985 68,569
Shares Issued in Lieu of Cash
Distributions............................... 8,101 6,990 2,019 2,476 992 4,981
Shares Redeemed.............................. (5,666) (12,327) (7,260) (10,665) (9,805) (71,947)
-------- -------- ------- -------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... 27,884 24,863 5,636 4,775 37,172 1,603
-------- -------- ------- -------- -------- --------
Total Increase (Decrease) in Net
Assets................................... 31,211 51,305 10,778 (3,314) 94,400 14,093
NET ASSETS
Beginning of Period.......................... 251,575 200,270 32,323 35,637 292,117 278,024
-------- -------- ------- -------- -------- --------
End of Period................................ $282,786 $251,575 $43,101 $ 32,323 $386,517 $292,117
======== ======== ======= ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 1,198 1,570 391 473 2,091 3,363
Shares Issued in Lieu of Cash
Distributions............................... 408 387 76 78 46 249
Shares Redeemed.............................. (273) (637) (261) (367) (446) (3,414)
-------- -------- ------- -------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 1,333 1,320 206 184 1,691 198
======== ======== ======= ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)............................ $ (5,017) $ 511 $ 220 $ 199 $ 2,276 $ 227
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL REAL DFA GLOBAL REAL ESTATE DFA INTERNATIONAL SMALL
ESTATE SECURITIES PORTFOLIO SECURITIES PORTFOLIO CAP VALUE PORTFOLIO
-------------------------- ---------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ---------- ----------- ---------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 85,554 $ 143,130 $ 198,580 $ 110,990 $ 119,691 $ 294,075
Capital Gain Distributions Received from
Affiliated Investment Companies............ -- -- 14,569 -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (24,204) (1,596) 426 14,561 306,161 414,975
Affiliated Investment Companies Shares
Sold...................................... -- -- (1,562) -- -- --
Futures.................................... 3,760 4,432 222 757 8,861 29,217
Foreign Currency Transactions.............. (253) 540 3 7 (4,809) 7,305
Forward Currency Contracts................. -- 48 -- -- -- 27
In-Kind Redemptions........................ -- -- -- -- -- 29,398
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 104,882 (118,705) (29,277) 61,152 1,265,279 (242,603)
Futures.................................... 553 (304) -- -- 4,697 (3,458)
Translation of Foreign Currency
Denominated Amounts....................... 404 (367) -- -- 1,606 (1,796)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 170,696 27,178 182,961 187,467 1,701,486 527,140
---------- ---------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (326,892) (60,576) (227,401) (97,767) (107,330) (381,199)
Net Short-Term Gains:
Institutional Class Shares................. -- -- (2,070) -- (3,853) --
Net Long-Term Gains:
Institutional Class Shares................. -- -- (13,530) -- (410,189) (182,540)
---------- ---------- ---------- ---------- ----------- -----------
Total Distributions....................... (326,892) (60,576) (243,001) (97,767) (521,372) (563,739)
---------- ---------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued............................... 862,926 1,062,437 1,202,240 1,524,272 1,046,052 2,066,905
Shares Issued in Lieu of Cash Distributions. 320,016 60,055 233,500 93,708 465,554 508,968
Shares Redeemed............................. (459,113) (447,563) (688,828) (878,641) (1,138,746) (2,107,120)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 723,829 674,929 746,912 739,339 372,860 468,753
---------- ---------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets... 567,633 641,531 686,872 829,039 1,552,974 432,154
NET ASSETS
Beginning of Period......................... 4,181,623 3,540,092 4,888,955 4,059,916 13,009,729 12,577,575
---------- ---------- ---------- ---------- ----------- -----------
End of Period............................... $4,749,256 $4,181,623 $5,575,827 $4,888,955 $14,562,703 $13,009,729
========== ========== ========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 179,011 201,532 114,249 139,784 52,904 113,522
Shares Issued in Lieu of Cash Distributions. 69,418 12,306 23,234 9,151 24,659 28,063
Shares Redeemed............................. (95,836) (85,422) (65,979) (81,345) (57,953) (115,085)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 152,593 128,416 71,504 67,590 19,610 26,500
========== ========== ========== ========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)...................................... $ (389,673) $ (148,335) $ 32,402 $ 61,223 $ (27,590) $ (39,951)
----------
* Net of foreign capital gain taxes withheld of $0, $92, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL VECTOR EQUITY WORLD EX U.S. VALUE WORLD EX U.S. TARGETED
PORTFOLIO PORTFOLIO VALUE PORTFOLIO
-------------------------- -------------------- ---------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ---------- ----------- -------- ----------- ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 23,134 $ 46,551 $ 2,261 $ 5,412 $ 2,346 $ 5,264
Capital Gain Distributions Received from Affiliated
Investment Companies................................ -- -- 653 256 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... (658) 4,157 (821) (2,948) 5,191 6,843
Futures............................................. 158 182 125 112 -- --
Foreign Currency Transactions....................... (394) 127 (32) 85 (54) 124
Forward Currency Contracts.......................... -- (44) -- -- -- 8
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.......... 212,999 16,206 20,446 7,285 35,582 5,177
Affiliated Investment Companies Shares.............. -- -- (148) 148 -- --
Futures............................................. -- -- 73 (19) -- --
Translation of Foreign Currency Denominated
Amounts............................................ 196 (165) 13 (11) 22 (20)
---------- ---------- -------- -------- -------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 235,435 67,014 22,570 10,320 43,087 17,396
---------- ---------- -------- -------- -------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (15,044) (43,651) (1,984) (5,358) (1,634) (4,374)
Net Long-Term Gains:
Institutional Class Shares.......................... (4,041) (5,716) -- -- -- --
---------- ---------- -------- -------- -------- ---------
Total Distributions................................ (19,085) (49,367) (1,984) (5,358) (1,634) (4,374)
---------- ---------- -------- -------- -------- ---------
Capital Share Transactions (1):
Shares Issued........................................ 239,341 688,513 14,483 47,689 66,773 164,346
Shares Issued in Lieu of Cash Distributions.......... 18,907 48,918 1,983 5,353 1,633 4,371
Shares Redeemed...................................... (136,841) (493,518) (8,323) (25,151) (12,931) (128,258)
---------- ---------- -------- -------- -------- ---------
Net Increase (Decrease) from Capital Share
Transactions...................................... 121,407 243,913 8,143 27,891 55,475 40,459
---------- ---------- -------- -------- -------- ---------
Total Increase (Decrease) in Net Assets............ 337,757 261,560 28,729 32,853 96,928 53,481
NET ASSETS
Beginning of Period.................................. 1,856,474 1,594,914 188,154 155,301 281,212 227,731
---------- ---------- -------- -------- -------- ---------
End of Period........................................ $2,194,231 $1,856,474 $216,883 $188,154 $378,140 $ 281,212
========== ========== ======== ======== ======== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 21,319 68,056 1,369 5,184 5,247 15,218
Shares Issued in Lieu of Cash Distributions.......... 1,750 4,797 187 562 133 392
Shares Redeemed...................................... (12,250) (48,877) (781) (2,605) (1,017) (12,154)
---------- ---------- -------- -------- -------- ---------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 10,819 23,976 775 3,141 4,363 3,456
========== ========== ======== ======== ======== =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................... $ 13,057 $ 4,967 $ 1,014 $ 737 $ 1,594 $ 882
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $1,
respectively.
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
SELECTIVELY
WORLD EX U.S. CORE WORLD CORE HEDGED GLOBAL
EQUITY PORTFOLIO EQUITY PORTFOLIO EQUITY PORTFOLIO
---------------------- -------------------- --------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ---------- ----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)....... $ 20,209 $ 37,861 $ 3,291 $ 5,949 $ 2,277 $ 5,406
Capital Gain Distributions
Received from Affiliated
Investment Companies.............. -- -- 898 1,313 894 2,164
Net Realized Gain (Loss) on:
Investment Securities Sold*....... 848 (2,134) (436) (2,896) (578) (989)
Futures........................... 2 (629) -- -- 1,472 1,760
Foreign Currency
Transactions..................... (396) 189 -- -- -- --
Forward Currency Contracts........ -- -- -- -- 1,881 371
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency................. 191,232 47,901 (1) -- -- --
Affiliated Investment Companies
Shares........................... -- -- 46,422 9,340 33,263 6,150
Futures........................... -- -- -- -- 511 (1,100)
Translation of Foreign Currency
Denominated Amounts.............. 129 (103) -- -- -- --
Forward Currency Contracts........ -- -- -- -- (760) 541
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) in
Net Assets Resulting from
Operations...................... 212,024 83,085 50,174 13,706 38,960 14,303
---------- ---------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares........ (13,556) (36,005) (3,529) (5,800) (6,477) (6,333)
Net Short-Term Gains:
Institutional Class Shares........ -- -- (67) -- (260) (115)
Net Long-Term Gains:
Institutional Class Shares........ -- -- (1,231) (132) (2,369) (620)
---------- ---------- -------- -------- -------- --------
Total Distributions.............. (13,556) (36,005) (4,827) (5,932) (9,106) (7,068)
---------- ---------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued...................... 483,217 729,178 51,639 189,580 35,850 77,521
Shares Issued in Lieu of Cash
Distributions..................... 13,008 34,930 4,683 5,702 9,105 7,066
Shares Redeemed.................... (161,617) (325,571) (22,745) (35,482) (26,920) (47,024)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) from
Capital Share
Transactions.................... 334,608 438,537 33,577 159,800 18,035 37,563
---------- ---------- -------- -------- -------- --------
Total Increase (Decrease) in
Net Assets...................... 533,076 485,617 78,924 167,574 47,889 44,798
NET ASSETS
Beginning of Period................ 1,656,445 1,170,828 370,229 202,655 289,904 245,106
---------- ---------- -------- -------- -------- --------
End of Period...................... $2,189,521 $1,656,445 $449,153 $370,229 $337,793 $289,904
========== ========== ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................... 47,443 78,713 3,710 14,944 2,478 6,131
Shares Issued in Lieu of Cash
Distributions..................... 1,305 3,690 340 451 649 552
Shares Redeemed.................... (15,931) (34,710) (1,620) (2,883) (1,867) (3,623)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................ 32,817 47,693 2,430 12,512 1,260 3,060
========== ========== ======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)........... $ 10,827 $ 4,174 $ (33) $ 205 $ 45 $ 4,245
EMERGING MARKETS
PORTFOLIO
-----------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2017 2016
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)....... $ 30,239 $ 90,681
Capital Gain Distributions
Received from Affiliated
Investment Companies.............. -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*....... (19,102) (105,635)
Futures........................... 2,394 5,655
Foreign Currency
Transactions..................... 114 955
Forward Currency Contracts........ -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency................. 467,837 506,131
Affiliated Investment Companies
Shares........................... -- --
Futures........................... 1,766 (263)
Translation of Foreign Currency
Denominated Amounts.............. (57) 204
Forward Currency Contracts........ -- --
---------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations...................... 483,191 497,728
---------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares........ (27,413) (89,527)
Net Short-Term Gains:
Institutional Class Shares........ -- --
Net Long-Term Gains:
Institutional Class Shares........ -- --
---------- -----------
Total Distributions.............. (27,413) (89,527)
---------- -----------
Capital Share Transactions (1):
Shares Issued...................... 717,234 1,428,054
Shares Issued in Lieu of Cash
Distributions..................... 25,783 83,981
Shares Redeemed.................... (426,075) (1,326,366)
---------- -----------
Net Increase (Decrease) from
Capital Share
Transactions.................... 316,942 185,669
---------- -----------
Total Increase (Decrease) in
Net Assets...................... 772,720 593,870
NET ASSETS
Beginning of Period................ 4,915,400 4,321,530
---------- -----------
End of Period...................... $5,688,120 $ 4,915,400
========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................... 29,829 67,596
Shares Issued in Lieu of Cash
Distributions..................... 1,130 3,805
Shares Redeemed.................... (17,522) (62,542)
---------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................ 13,437 8,859
========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)........... $ 6,345 $ 3,519
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS SMALL EMERGING MARKETS VALUE EMERGING MARKETS CORE
CAP PORTFOLIO PORTFOLIO EQUITY PORTFOLIO
---------------------- ------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ---------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 39,744 $ 120,203 $ 100,731 $ 342,874 $ 124,133 $ 351,450
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 16,761 141,742 (434,056) (77,435) (114,322) (342,991)
Futures............................... 3,141 4,016 8,408 11,373 14,114 30,116
Foreign Currency Transactions......... 755 338 3,586 3,728 (2,003) (539)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 535,791 394,050 2,175,373 1,954,176 1,890,406 2,038,618
Futures............................... 753 286 3,185 (391) 6,261 (3,447)
Translation of Foreign Currency
Denominated Amounts.................. (68) 579 (50) 46 (67) 726
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 596,877 661,214 1,857,177 2,234,371 1,918,522 2,073,933
---------- ---------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares....................... -- -- (481) (2,365) -- --
Institutional Class Shares............ (68,331) (124,387) (82,854) (436,707) (91,137) (349,434)
Net Short-Term Gains:
Institutional Class Shares............ (10,357) -- -- -- -- --
Net Long-Term Gains:
Institutional Class Shares............ (117,099) (36,697) -- -- -- --
---------- ---------- ----------- ----------- ----------- -----------
Total Distributions.................. (195,787) (161,084) (83,335) (439,072) (91,137) (349,434)
---------- ---------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued........................... 991,103 913,984 1,431,254 2,821,337 3,199,981 6,091,963
Shares Issued in Lieu of Cash
Distributions.......................... 184,642 151,141 78,194 416,149 85,701 328,562
Shares Redeemed......................... (532,247) (950,920) (1,713,432) (3,539,505) (1,526,603) (4,288,936)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions.......... 643,498 114,205 (203,984) (302,019) 1,759,079 2,131,589
---------- ---------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets.............................. 1,044,588 614,335 1,569,858 1,493,280 3,586,464 3,856,088
NET ASSETS
Beginning of Period..................... 5,459,509 4,845,174 16,402,244 14,908,964 18,712,966 14,856,878
---------- ---------- ----------- ----------- ----------- -----------
End of Period........................... $6,504,097 $5,459,509 $17,972,102 $16,402,244 $22,299,430 $18,712,966
========== ========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 50,712 49,652 55,568 133,176 171,898 379,414
Shares Issued in Lieu of Cash
Distributions.......................... 9,970 8,492 3,234 19,311 4,888 19,496
Shares Redeemed......................... (26,886) (52,089) (66,810) (163,363) (83,180) (265,600)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 33,796 6,055 (8,008) (10,876) 93,606 133,310
========== ========== =========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)....................... $ (16,108) $ 12,479 $ (31,904) $ (49,300) $ 44,770 $ 11,774
----------
* Net of foreign capital gain taxes withheld of $0, $68, $144, $144, $0 and
$53, respectively.
See accompanying Notes to Financial Statements.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ENHANCED U.S. LARGE COMPANY PORTFOLIO
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.................... $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 9.29 $ 8.15
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.07 0.10 0.07 0.07 0.07 0.07
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 1.54 0.45 0.53 1.94 2.42 1.20
-------- -------- -------- -------- -------- --------
Total from Investment Operations..................... 1.61 0.55 0.60 2.01 2.49 1.27
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.07) (0.08) (0.05) (0.06) (0.08) (0.13)
Net Realized Gains.................................... (0.36) (0.79) (1.66) -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions.................................. (0.43) (0.87) (1.71) (0.06) (0.08) (0.13)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......................... $ 13.40 $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 9.29
======================================================== =========== ======== ======== ======== ======== ========
Total Return............................................ 13.33%(D) 4.75% 5.25% 17.18% 26.99% 15.84%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $256,350 $238,413 $203,641 $216,719 $212,840 $190,011
Ratio of Expenses to Average Net Assets................. 0.22%(E) 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)............................................ 0.23%(E) 0.24% 0.24% 0.23% 0.24% 0.25%
Ratio of Net Investment Income to Average Net Assets.... 1.13%(E) 0.80% 0.53% 0.55% 0.63% 0.80%
Portfolio Turnover Rate................................. 92%(D) 119% 223% 202% 139% 76%
-------------------------------------------------------------------------------------------------------------------------
U.S. LARGE CAP EQUITY PORTFOLIO
------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR JUNE 25,
ENDED ENDED ENDED ENDED 2013(A) TO
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.................... $ 13.06 $ 12.86 $ 12.65 $ 11.07 $ 10.00
---------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.12 0.25 0.23 0.21 0.06
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 1.71 0.19 0.21 1.57 1.04
---------- -------- -------- -------- --------
Total from Investment Operations..................... 1.83 0.44 0.44 1.78 1.10
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.13) (0.24) (0.21) (0.20) (0.03)
Net Realized Gains.................................... -- -- (0.02) -- --
---------- -------- -------- -------- --------
Total Distributions.................................. (0.13) (0.24) (0.23) (0.20) (0.03)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......................... $ 14.76 $ 13.06 $ 12.86 $ 12.65 $ 11.07
======================================================== =========== ======== ======== ======== ==========
Total Return............................................ 14.08%(D) 3.51% 3.49% 16.19% 11.01%(D)
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $1,041,213 $851,323 $699,144 $274,955 $135,407
Ratio of Expenses to Average Net Assets................. 0.17%(E) 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%(E) 0.17% 0.19% 0.20% 0.25%(C)(E)
Ratio of Net Investment Income to Average Net Assets.... 1.77%(E) 1.99% 1.77% 1.75% 1.58%(C)(E)
Portfolio Turnover Rate................................. 9%(D) 12% 12% 1% 0%(D)
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period........................ $ 32.63 $ 33.27 $ 33.75 $ 29.72 $ 22.34
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.35 0.70 0.69 0.56 0.47
Net Gains (Losses) on Securities (Realized and Unrealized). 4.57 0.71 (0.32) 4.02 7.38
----------- ----------- ----------- ----------- -----------
Total from Investment Operations......................... 4.92 1.41 0.37 4.58 7.85
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.32) (0.70) (0.66) (0.55) (0.47)
Net Realized Gains......................................... (0.82) (1.35) (0.19) -- --
----------- ----------- ----------- ----------- -----------
Total Distributions...................................... (1.14) (2.05) (0.85) (0.55) (0.47)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 36.41 $ 32.63 $ 33.27 $ 33.75 $ 29.72
=========================================================== =========== =========== =========== =========== ===========
Total Return................................................ 15.19%(D) 4.58% 1.16% 15.49% 35.52%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $21,054,092 $17,673,253 $15,807,935 $15,146,981 $11,963,072
Ratio of Expenses to Average Net Assets (B)................. 0.27%(E) 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%(E) 0.37% 0.30% 0.27% 0.27%
Ratio of Net Investment Income to Average Net Assets........ 1.97%(E) 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.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES
----------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period......................... $ 21.26 $ 21.58 $ 23.19 $ 22.63 $17.28 $ 15.32
------- ------- ------- ------- ------ -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.12 0.24 0.26 0.18 0.27 0.15
Net Gains (Losses) on Securities (Realized and Unrealized). 3.39 0.60 (0.61) 1.86 6.28 2.06
------- ------- ------- ------- ------ -------
Total from Investment Operations.......................... 3.51 0.84 (0.35) 2.04 6.55 2.21
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income...................................... (0.12) (0.27) (0.25) (0.16) (0.22) (0.13)
Net Realized Gains......................................... (0.78) (0.89) (1.01) (1.32) (0.98) (0.12)
------- ------- ------- ------- ------ -------
Total Distributions....................................... (0.90) (1.16) (1.26) (1.48) (1.20) (0.25)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 23.87 $ 21.26 $ 21.58 $ 23.19 $22.63 $ 17.28
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 16.47%(D) 4.21% (1.33)% 9.47% 40.39% 14.67%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $53,053 $35,661 $40,159 $16,971 $9,470 $49,423
Ratio of Expenses to Average Net Assets...................... 0.47%(E) 0.47% 0.47% 0.47% 0.47% 0.48%
Ratio of Net Investment Income to Average Net Assets......... 1.02%(E) 1.16% 1.15% 0.79% 1.42% 0.93%
Portfolio Turnover Rate...................................... 15%(D) 28% 15% 10% 16% 20%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES
------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period......................... $ 21.16 $ 21.51 $ 23.12 $ 22.57 $ 17.26 $ 15.31
-------- -------- -------- ------- ------- -------
Income from Investment Operations
-
Net Investment Income (Loss) (A)........................... 0.11 0.20 0.23 0.15 0.19 0.13
Net Gains (Losses) on Securities (Realized and Unrealized). 3.38 0.60 (0.61) 1.84 6.31 2.05
-------- -------- -------- ------- ------- -------
Total from Investment Operations.......................... 3.49 0.80 (0.38) 1.99 6.50 2.18
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income...................................... (0.11) (0.26) (0.22) (0.12) (0.21) (0.11)
Net Realized Gains......................................... (0.78) (0.89) (1.01) (1.32) (0.98) (0.12)
-------- -------- -------- ------- ------- -------
Total Distributions....................................... (0.89) (1.15) (1.23) (1.44) (1.19) (0.23)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 23.76 $ 21.16 $ 21.51 $ 23.12 $ 22.57 $ 17.26
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 16.44%(D) 4.04% (1.49)% 9.30% 40.10% 14.46%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $179,693 $147,945 $135,412 $82,977 $23,305 $12,754
Ratio of Expenses to Average Net Assets...................... 0.62%(E) 0.62% 0.63% 0.62% 0.62% 0.63%
Ratio of Net Investment Income to Average Net Assets......... 0.90%(E) 1.00% 1.02% 0.64% 0.95% 0.78%
Portfolio Turnover Rate...................................... 15%(D) 28% 15% 10% 16% 20%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period................ $ 21.26 $ 21.56 $ 23.16 $ 22.60 $ 17.28 $ 15.32
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.14 0.25 0.29 0.21 0.24 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized)...................................... 3.39 0.60 (0.61) 1.85 6.31 2.06
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations................. 3.53 0.85 (0.32) 2.06 6.55 2.23
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.13) (0.26) (0.27) (0.18) (0.25) (0.15)
Net Realized Gains................................. (0.78) (0.89) (1.01) (1.32) (0.98) (0.12)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............................. (0.91) (1.15) (1.28) (1.50) (1.23) (0.27)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...................... $ 23.88 $ 21.26 $ 21.56 $ 23.16 $ 22.60 $ 17.28
==================================================== =========== ========== ========== ========== ========== ==========
Total Return........................................ 16.55%(D) 4.29% (1.20)% 9.58% 40.40% 14.78%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............... $9,418,997 $7,884,683 $6,987,896 $5,490,959 $4,180,974 $2,989,632
Ratio of Expenses to Average Net Assets............. 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.38%
Ratio of Net Investment Income to Average Net Assets 1.14%(E) 1.24% 1.28% 0.90% 1.25% 1.03%
Portfolio Turnover Rate............................. 15%(D) 28% 15% 10% 16% 20%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP VALUE PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period......................... $ 32.75 $ 33.08 $ 35.82 $ 34.48 $ 26.57
----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.16 0.32 0.41 0.23 0.39
Net Gains (Losses) on Securities (Realized and Unrealized). 5.68 1.06 (1.44) 2.93 9.41
----------- ----------- ----------- ----------- ----------
Total from Investment Operations.......................... 5.84 1.38 (1.03) 3.16 9.80
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.15) (0.33) (0.38) (0.22) (0.37)
Net Realized Gains......................................... (1.40) (1.38) (1.33) (1.60) (1.52)
----------- ----------- ----------- ----------- ----------
Total Distributions....................................... (1.55) (1.71) (1.71) (1.82) (1.89)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 37.04 $ 32.75 $ 33.08 $ 35.82 $ 34.48
============================================================= =========== =========== =========== =========== ==========
Total Return................................................. 17.73%(D) 4.49% (2.83)% 9.49% 39.35%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $14,291,340 $12,613,185 $11,680,262 $11,512,306 $9,526,981
Ratio of Expenses to Average Net Assets...................... 0.52%(E) 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets......... 0.86%(E) 1.01% 1.18% 0.66% 1.28%
Portfolio Turnover Rate...................................... 15%(D) 19% 17% 9% 14%
----------------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2012
-------------------------------------------------------------------------
Net Asset Value, Beginning of Period......................... $ 23.50
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.20
Net Gains (Losses) on Securities (Realized and Unrealized). 3.38
----------
Total from Investment Operations.......................... 3.58
-------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.18)
Net Realized Gains......................................... (0.33)
----------
Total Distributions....................................... (0.51)
-------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 26.57
============================================================= ==========
Total Return................................................. 15.60%
-------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $7,088,470
Ratio of Expenses to Average Net Assets...................... 0.52%
Ratio of Net Investment Income to Average Net Assets......... 0.78%
Portfolio Turnover Rate...................................... 15%
-------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 1 PORTFOLIO
-----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period. $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 12.11 $ 10.78
----------- ----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)... 0.16 0.33 0.31 0.27 0.25 0.21
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 2.48 0.30 0.26 2.02 3.62 1.32
----------- ----------- ----------- ----------- ---------- ----------
Total from Investment
Operations....................... 2.64 0.63 0.57 2.29 3.87 1.53
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............. (0.18) (0.32) (0.30) (0.25) (0.24) (0.20)
Net Realized Gains................. (0.09) (0.21) (0.08) (0.07) -- --
----------- ----------- ----------- ----------- ---------- ----------
Total Distributions............... (0.27) (0.53) (0.38) (0.32) (0.24) (0.20)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 20.37 $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 12.11
===================================== =========== =========== =========== =========== ========== ==========
Total Return......................... 14.70%(D) 3.68% 3.26% 14.72% 32.32% 14.29%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $18,345,501 $14,960,159 $13,275,774 $10,780,830 $7,566,179 $4,876,973
Ratio of Expenses to Average Net
Assets.............................. 0.18%(E) 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets.................. 1.67%(E) 1.88% 1.71% 1.61% 1.79% 1.79%
Portfolio Turnover Rate.............. 1%(D) 4% 4% 5% 1% 3%
---------------------------------------------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO
-----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period. $ 17.19 $ 17.26 $ 17.34 $ 15.62 $ 11.99 $ 10.61
----------- ----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)... 0.15 0.31 0.30 0.26 0.24 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 2.40 0.25 0.02 1.86 3.73 1.36
----------- ----------- ----------- ----------- ---------- ----------
Total from Investment
Operations....................... 2.55 0.56 0.32 2.12 3.97 1.56
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............. (0.16) (0.30) (0.28) (0.24) (0.24) (0.18)
Net Realized Gains................. (0.12) (0.33) (0.12) (0.16) (0.10) --
----------- ----------- ----------- ----------- ---------- ----------
Total Distributions............... (0.28) (0.63) (0.40) (0.40) (0.34) (0.18)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 19.46 $ 17.19 $ 17.26 $ 17.34 $ 15.62 $ 11.99
===================================== =========== =========== =========== =========== ========== ==========
Total Return......................... 14.90%(D) 3.47% 1.92% 13.78% 33.66% 14.81%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $20,258,359 $16,851,046 $15,200,564 $12,919,176 $9,989,564 $6,923,984
Ratio of Expenses to Average Net
Assets.............................. 0.21%(E) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets.................. 1.62%(E) 1.87% 1.68% 1.55% 1.74% 1.74%
Portfolio Turnover Rate.............. 2%(D) 4% 5% 6% 3% 5%
--------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO
---------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period......................... $ 15.93 $ 16.22 $ 17.04 $ 15.62 $ 11.61
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.12 0.25 0.25 0.21 0.20
Net Gains (Losses) on Securities (Realized and Unrealized). 2.49 0.24 (0.30) 1.62 4.03
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 2.61 0.49 (0.05) 1.83 4.23
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.11) (0.25) (0.24) (0.19) (0.20)
Net Realized Gains......................................... (0.43) (0.53) (0.53) (0.22) (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.54) (0.78) (0.77) (0.41) (0.22)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 18.00 $ 15.93 $ 16.22 $ 17.04 $ 15.62
============================================================= =========== ========== ========== ========== ==========
Total Return................................................. 16.41%(D) 3.28% (0.18)% 11.91% 36.80%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $4,441,566 $3,822,647 $3,651,529 $3,501,319 $2,893,842
Ratio of Expenses to Average Net Assets...................... 0.32%(E) 0.32% 0.32% 0.32% 0.32%
Ratio of Net Investment Income to Average Net Assets......... 1.37%(E) 1.64% 1.50% 1.26% 1.50%
Portfolio Turnover Rate...................................... 5%(D) 10% 10% 10% 3%
------------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2012
-------------------------------------------------------------------------
Net Asset Value, Beginning of Period......................... $ 10.28
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.16
Net Gains (Losses) on Securities (Realized and Unrealized). 1.32
----------
Total from Investment Operations.......................... 1.48
-------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.15)
Net Realized Gains......................................... --
----------
Total Distributions....................................... (0.15)
-------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 11.61
============================================================= ==========
Total Return................................................. 14.55%
-------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $2,009,177
Ratio of Expenses to Average Net Assets...................... 0.32%
Ratio of Net Investment Income to Average Net Assets......... 1.45%
Portfolio Turnover Rate...................................... 9%
-------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................. $ 30.14 $ 30.84 $ 31.38 $ 30.03 $ 23.11 $ 20.55
----------- ----------- ----------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.19 0.34 0.35 0.26 0.35 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 5.08 0.77 0.33 2.27 8.13 2.53
----------- ----------- ----------- ---------- ---------- ----------
Total from Investment
Operations...................... 5.27 1.11 0.68 2.53 8.48 2.78
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.18) (0.35) (0.33) (0.24) (0.36) (0.22)
Net Realized Gains................ (0.83) (1.46) (0.89) (0.94) (1.20) --
----------- ----------- ----------- ---------- ---------- ----------
Total Distributions.............. (1.01) (1.81) (1.22) (1.18) (1.56) (0.22)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 34.40 $ 30.14 $ 30.84 $ 31.38 $ 30.03 $ 23.11
=================================== =========== =========== =========== ========== ========== ==========
Total Return........................ 17.51%(D) 3.89% 2.34% 8.67% 39.03% 13.61%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $15,720,238 $12,977,199 $10,616,542 $9,247,716 $7,446,827 $4,563,345
Ratio of Expenses to Average Net
Assets............................. 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to
Average Net Assets................. 1.12%(E) 1.16% 1.10% 0.86% 1.33% 1.14%
Portfolio Turnover Rate............. 6%(D) 10% 11% 9% 10% 16%
-------------------------------------------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................. $ 18.58 $ 19.00 $ 20.10 $ 19.64 $ 14.84 $ 13.24
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.08 0.16 0.16 0.14 0.19 0.14
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 3.43 0.60 0.02 1.35 5.57 1.59
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 3.51 0.76 0.18 1.49 5.76 1.73
----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.08) (0.16) (0.16) (0.13) (0.20) (0.13)
Net Realized Gains................ (0.94) (1.02) (1.12) (0.90) (0.76) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (1.02) (1.18) (1.28) (1.03) (0.96) (0.13)
----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 21.07 $ 18.58 $ 19.00 $ 20.10 $ 19.64 $ 14.84
=================================== =========== ========== ========== ========== ========== ==========
Total Return........................ 18.94%(D) 4.32% 1.11% 7.88% 41.34% 13.13%
----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $5,855,929 $5,128,323 $5,007,091 $5,029,027 $4,695,831 $3,437,958
Ratio of Expenses to Average Net
Assets............................. 0.52% (E) 0.52% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to
Average Net Assets................. 0.81% (E) 0.88% 0.82% 0.69% 1.16% 0.99%
Portfolio Turnover Rate............. 8% (D) 15% 14% 12% 11% 15%
----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA REAL ESTATE SECURITIES PORTFOLIO
------------------------------------------------------------------------- --------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, APRIL 30,
2017 2016 2015 2014 2013 2012 2017
-------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period............................. $ 34.32 $ 33.04 $ 32.24 $ 27.77 $ 25.83 $ 23.25 $ 19.52
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.74 1.09 0.90 0.72 0.67 0.57 0.26
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.49 1.18 0.95 4.62 1.95 2.74 1.91
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 1.23 2.27 1.85 5.34 2.62 3.31 2.17
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.61) (0.99) (1.05) (0.87) (0.68) (0.73) (0.20)
Net Realized Gains................ (0.31) -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.92) (0.99) (1.05) (0.87) (0.68) (0.73) (0.20)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 34.63 $ 34.32 $ 33.04 $ 32.24 $ 27.77 $ 25.83 $ 21.49
=================================== =========== ========== ========== ========== ========== ========== ===========
Total Return........................ 3.66%(D) 6.89% 5.89% 19.80% 10.28% 14.45% 11.19%(D)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $7,888,784 $7,260,180 $6,553,192 $6,607,759 $4,677,418 $3,716,389 $4,130,707
Ratio of Expenses to Average
Net Assets......................... 0.18%(E) 0.18% 0.18% 0.18% 0.18% 0.22% 0.24%(E)
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and Fees
Paid Indirectly)................... 0.19%(E) 0.19% 0.19% 0.19% 0.19% 0.23% 0.26%
Ratio of Net Investment Income to
Average Net Assets................. 4.32%(E) 3.15% 2.75% 2.48% 2.42% 2.29% 2.61%(E)
Portfolio Turnover Rate............. 1%(D) 3% 4% 0% 1% 0% 2%(D)
-------------------------------------------------------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................. $ 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)
Net Realized Gains................ -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.55) (0.57) (0.74) (0.61) (0.58)
--------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 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 Period
(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.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL CORE EQUITY PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period............... $ 11.58 $ 11.69 $ 12.15 $ 12.57 $ 10.10
----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).................. 0.15 0.32 0.32 0.38 0.31
Net Gains (Losses) on Securities (Realized and
Unrealized)...................................... 1.22 (0.15) (0.45) (0.43) 2.47
----------- ----------- ----------- ----------- ----------
Total from Investment Operations................ 1.37 0.17 (0.13) (0.05) 2.78
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................. (0.10) (0.28) (0.33) (0.37) (0.31)
Net Realized Gains................................ -- -- -- -- --
----------- ----------- ----------- ----------- ----------
Total Distributions............................. (0.10) (0.28) (0.33) (0.37) (0.31)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 12.85 $ 11.58 $ 11.69 $ 12.15 $ 12.57
=================================================== =========== =========== =========== =========== ==========
Total Return....................................... 11.94%(D) 1.62% (1.10)% (0.55)% 27.98%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $21,015,354 $16,983,011 $14,420,568 $12,294,542 $9,508,466
Ratio of Expenses to Average Net Assets (B)........ 0.32%(E) 0.38% 0.38% 0.38% 0.39%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor and
Fees Paid Indirectly) (B)......................... 0.35%(E) 0.38% 0.38% 0.38% 0.39%
Ratio of Net Investment Income to Average Net
Assets............................................ 2.53%(E) 2.83% 2.63% 3.01% 2.80%
Portfolio Turnover Rate............................ 3%(D) 2% 4% 7% 3%
-------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2012
----------------------------------------------------------------
Net Asset Value, Beginning of Period............... $ 9.89
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).................. 0.31
Net Gains (Losses) on Securities (Realized and
Unrealized)...................................... 0.20
----------
Total from Investment Operations................ 0.51
----------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................. (0.30)
Net Realized Gains................................ --
----------
Total Distributions............................. (0.30)
----------------------------------------------------------------
Net Asset Value, End of Period..................... $ 10.10
=================================================== ==========
Total Return....................................... 5.49%
----------------------------------------------------------------
Net Assets, End of Period (thousands).............. $6,482,738
Ratio of Expenses to Average Net Assets (B)........ 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) (B)......................... 0.40%
Ratio of Net Investment Income to Average Net
Assets............................................ 3.18%
Portfolio Turnover Rate............................ 5%
----------------------------------------------------------------
INTERNATIONAL SMALL COMPANY PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period............... $ 17.78 $ 17.78 $ 18.24 $ 19.40 $ 15.28 $ 15.21
----------- ----------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).................. 0.20 0.43 0.41 0.42 0.42 0.38
Net Gains (Losses) on Securities (Realized and
Unrealized)...................................... 1.95 0.48 0.12 (0.62) 4.16 0.39
----------- ----------- ---------- ---------- ---------- ----------
Total from Investment Operations................ 2.15 0.91 0.53 (0.20) 4.58 0.77
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................. (0.14) (0.51) (0.42) (0.42) (0.37) (0.42)
Net Realized Gains................................ (0.46) (0.40) (0.57) (0.54) (0.09) (0.28)
----------- ----------- ---------- ---------- ---------- ----------
Total Distributions............................. (0.60) (0.91) (0.99) (0.96) (0.46) (0.70)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 19.33 $ 17.78 $ 17.78 $ 18.24 $ 19.40 $ 15.28
=================================================== =========== =========== ========== ========== ========== ==========
Total Return....................................... 12.60%(D) 5.43% 3.30% (1.09)% 30.66% 5.63%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $12,091,228 $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%(E) 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 and
Fees Paid Indirectly) (B)......................... 0.53%(E) 0.53% 0.54% 0.53% 0.54% 0.56%
Ratio of Net Investment Income to Average Net
Assets............................................ 2.21%(E) 2.47% 2.30% 2.15% 2.47% 2.58%
Portfolio Turnover Rate............................ N/A 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.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL SMALL
COMPANY PORTFOLIO JAPANESE SMALL COMPANY PORTFOLIO
----------------- -----------------------------------------------------
PERIOD
JAN. 18, SIX MONTHS YEAR YEAR YEAR YEAR
2017 (A) TO ENDED ENDED ENDED ENDED ENDED
APRIL 30, APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 10.00 $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 14.99
------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.05 0.22 0.32 0.25 0.24 0.26
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.52 1.32 2.51 1.36 0.13 4.21
------- -------- -------- -------- -------- --------
Total from Investment Operations............... 0.57 1.54 2.83 1.61 0.37 4.47
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ -- (0.43) (0.28) (0.30) (0.55) (0.13)
Net Realized Gains............................... -- -- -- -- -- --
------- -------- -------- -------- -------- --------
Total Distributions............................ -- (0.43) (0.28) (0.30) (0.55) (0.13)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 10.57 $ 24.12 $ 23.01 $ 20.46 $ 19.15 $ 19.33
================================================= ================= =========== ======== ======== ======== ========
Total Return...................................... 5.70%(D) 6.88%(D) 14.04% 8.62% 2.00% 30.06%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $10,470 $539,071 $509,413 $463,997 $508,190 $414,132
Ratio of Expenses to Average Net Assets (B)....... 0.49%(C)(E) 0.53%(E) 0.54% 0.54% 0.55% 0.56%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered by
Advisor) (B)..................................... 1.41%(C)(E) 0.63%(E) 0.64% 0.57% 0.55% 0.56%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.01%(C)(E) 1.96%(E) 1.57% 1.27% 1.25% 1.51%
-----------------------------------------------------------------------------------------------------------------------------
---------
YEAR
ENDED
OCT. 31,
2012
------------------------------------------------------------
Net Asset Value, Beginning of Period.............. $ 15.24
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.29
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... (0.26)
--------
Total from Investment Operations............... 0.03
------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.28)
Net Realized Gains............................... --
--------
Total Distributions............................ (0.28)
------------------------------------------------------------
Net Asset Value, End of Period.................... $ 14.99
================================================= ========
Total Return...................................... 0.20%
------------------------------------------------------------
Net Assets, End of Period (thousands)............. $293,968
Ratio of Expenses to Average Net Assets (B)....... 0.57%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered by
Advisor) (B)..................................... 0.57%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.88%
------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ASIA PACIFIC SMALL COMPANY PORTFOLIO
----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.................... $ 21.27 $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 23.04
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.27 0.71 0.75 0.83 1.01 0.87
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 0.69 2.24 (3.51) (1.81) 1.37 0.58
-------- -------- -------- -------- -------- --------
Total from Investment Operations..................... 0.96 2.95 (2.76) (0.98) 2.38 1.45
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.75) (0.74) (1.06) (0.96) (0.78) (1.27)
Net Realized Gains.................................... -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions.................................. (0.75) (0.74) (1.06) (0.96) (0.78) (1.27)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......................... $ 21.48 $ 21.27 $ 19.06 $ 22.88 $ 24.82 $ 23.22
======================================================== =========== ======== ======== ======== ======== ========
Total Return............................................ 4.82%(D) 16.18% (12.19)% (3.84)% 10.46% 7.09%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $282,786 $251,575 $200,270 $364,117 $331,166 $238,191
Ratio of Expenses to Average Net Assets (B)............. 0.54%(E) 0.54% 0.55% 0.55% 0.57% 0.59%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor) (B).................. 0.64%(E) 0.64% 0.57% 0.55% 0.57% 0.59%
Ratio of Net Investment Income to Average Net Assets.... 2.61%(E) 3.57% 3.67% 3.53% 4.26% 3.91%
---------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO
----------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.................... $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 23.44
------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.46 1.18 1.06 0.95 0.88 0.69
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 4.84 (6.55) 1.95 (0.65) 9.17 4.47
------- ------- ------- ------- ------- -------
Total from Investment Operations..................... 5.30 (5.37) 3.01 0.30 10.05 5.16
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.43) (1.29) (1.05) (0.93) (0.90) (0.79)
Net Realized Gains.................................... (1.15) (1.63) (2.38) (0.41) -- --
------- ------- ------- ------- ------- -------
Total Distributions.................................. (1.58) (2.92) (3.43) (1.34) (0.90) (0.79)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......................... $ 30.93 $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81
======================================================== =========== ======== ======== ======== ======== ========
Total Return............................................ 20.44%(D) (16.20)% 9.43% 0.73% 36.81% 22.82%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $43,101 $32,323 $35,637 $35,050 $37,096 $31,316
Ratio of Expenses to Average Net Assets (B)............. 0.59%(E) 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).................. 0.71%(E) 0.71% 0.62% 0.62% 0.63% 0.63%
Ratio of Net Investment Income to Average Net Assets.... 3.30%(E) 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.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CONTINENTAL SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 21.48 $ 20.74 $ 19.34 $ 20.26 $ 14.51
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.22 0.43 0.43 0.42 0.37
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 3.65 0.72 1.38 (0.90) 5.78
-------- -------- -------- -------- --------
Total from Investment Operations............... 3.87 1.15 1.81 (0.48) 6.15
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.08) (0.41) (0.41) (0.44) (0.40)
-------- -------- -------- -------- --------
Total Distributions............................ (0.08) (0.41) (0.41) (0.44) (0.40)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 25.27 $ 21.48 $ 20.74 $ 19.34 $ 20.26
================================================= =========== ======== ======== ======== ========
Total Return...................................... 18.09%(D) 5.70% 9.37% (2.68)% 42.99%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $386,517 $292,117 $278,024 $168,961 $170,806
Ratio of Expenses to Average Net Assets........... 0.54%(B)(E) 0.54%(B) 0.55%(B) 0.56%(B) 0.58%(B)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid
Indirectly)...................................... 0.64%(B)(E) 0.64%(B) 0.58%(B) 0.56%(B) 0.58%(B)
Ratio of Net Investment Income to Average Net
Assets........................................... 1.94%(E) 2.08% 2.09% 1.97% 2.16%
Portfolio Turnover Rate........................... N/A N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------
---------
YEAR
ENDED
OCT. 31,
2012
----------------------------------------------------------------
Net Asset Value, Beginning of Period.............. $ 14.66
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.39
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... (0.17)
--------
Total from Investment Operations............... 0.22
----------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.37)
--------
Total Distributions............................ (0.37)
----------------------------------------------------------------
Net Asset Value, End of Period.................... $ 14.51
================================================= ========
Total Return...................................... 1.85%
----------------------------------------------------------------
Net Assets, End of Period (thousands)............. $106,316
Ratio of Expenses to Average Net Assets........... 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)...................................... 0.59%(B)
Ratio of Net Investment Income to Average Net
Assets........................................... 2.78%
Portfolio Turnover Rate........................... N/A
----------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 5.67 $ 4.90
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.10 0.20 0.19 0.22 0.22 0.27
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.07 (0.15) (0.22) 0.19 0.25 0.75
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... 0.17 0.05 (0.03) 0.41 0.47 1.02
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.41) (0.09) (0.33) (0.26) (0.66) (0.25)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................ (0.41) (0.09) (0.33) (0.26) (0.66) (0.25)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 4.99 $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 5.67
================================================= =========== ========== ========== ========== ========== ==========
Total Return...................................... 3.79%(D) 1.05% (0.37)% 8.21% 9.24% 22.34%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $4,749,256 $4,181,623 $3,540,092 $3,088,376 $2,158,977 $1,531,708
Ratio of Expenses to Average Net Assets........... 0.28%(E) 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%(E) 0.28% 0.32% 0.38% 0.39% 0.41%
Ratio of Net Investment Income to Average Net
Assets........................................... 4.02%(E) 3.71% 3.64% 4.14% 4.07% 5.45%
Portfolio Turnover Rate........................... 1%(D) 1% 2% 1% 5% 3%
------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................. $ 10.84 $ 10.59 $ 10.63 $ 9.59 $ 9.33 $ 8.21
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.41 0.27 0.44 0.31 0.49 0.29
Net Gains (Losses) on Securities
(Realized and Unrealized)........ (0.05) 0.23 (0.09) 1.05 0.37 1.07
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 0.36 0.50 0.35 1.36 0.86 1.36
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.50) (0.25) (0.39) (0.32) (0.60) (0.24)
Net Realized Gains................ (0.03) -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.53) (0.25) (0.39) (0.32) (0.60) (0.24)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 10.67 $ 10.84 $ 10.59 $ 10.63 $ 9.59 $ 9.33
=================================== =========== ========== ========== ========== ========== ==========
Total Return........................ 3.58%(D) 4.87% 3.44% 14.98% 9.74% 17.33%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $5,575,827 $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)(E) 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)................... 0.36%(B)(E) 0.38%(B) 0.45%(B) 0.55%(B) 0.55%(B) 0.60%(B)
Ratio of Net Investment Income to
Average Net Assets................. 7.78%(E) 2.45% 4.16% 3.21% 5.18% 3.38%
Portfolio Turnover Rate............. 2%(D) 2% 1% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................. $ 19.31 $ 19.44 $ 19.55 $ 20.17 $ 15.16 $ 14.85
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.17 0.44 0.38 0.37 0.37 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 2.31 0.29 0.22 (0.34) 5.21 0.61
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment
Operations...................... 2.48 0.73 0.60 0.03 5.58 0.95
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.16) (0.58) (0.37) (0.35) (0.36) (0.36)
Net Realized Gains................ (0.62) (0.28) (0.34) (0.30) (0.21) (0.28)
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions.............. (0.78) (0.86) (0.71) (0.65) (0.57) (0.64)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 21.01 $ 19.31 $ 19.44 $ 19.55 $ 20.17 $ 15.16
=================================== =========== =========== =========== =========== =========== ==========
Total Return........................ 13.29%(D) 4.09% 3.31% 0.13% 37.79% 6.92%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $14,562,703 $13,009,729 $12,577,575 $11,684,771 $11,148,899 $8,266,610
Ratio of Expenses to Average Net
Assets............................. 0.68%(E) 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%(E) 0.68% 0.69% 0.68% 0.69% 0.71%
Ratio of Net Investment Income to
Average Net Assets................. 1.77%(E) 2.38% 1.94% 1.78% 2.16% 2.30%
Portfolio Turnover Rate............. 10%(D) 19% 18% 8% 9% 18%
--------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL VECTOR EQUITY PORTFOLIO
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.......... $ 10.78 $ 10.76 $ 11.26 $ 11.75 $ 9.33 $ 9.34
---------- ---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.13 0.28 0.28 0.32 0.26 0.27
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 1.19 0.05 (0.41) (0.43) 2.44 0.14
---------- ---------- ---------- ---------- ---------- --------
Total from Investment Operations........... 1.32 0.33 (0.13) (0.11) 2.70 0.41
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.09) (0.27) (0.27) (0.30) (0.25) (0.27)
Net Realized Gains.......................... (0.02) (0.04) (0.10) (0.08) (0.03) (0.15)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions........................ (0.11) (0.31) (0.37) (0.38) (0.28) (0.42)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 11.99 $ 10.78 $ 10.76 $ 11.26 $ 11.75 $ 9.33
============================================== =========== ========== ========== ========== ========== ========
Total Return.................................. 12.36%(D) 3.21% (1.14)% (1.05)% 29.52% 4.90%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $2,194,231 $1,856,474 $1,594,914 $1,305,553 $1,090,774 $561,399
Ratio of Expenses to Average Net Assets....... 0.48%(E) 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).................................. 0.48%(E) 0.49% 0.50% 0.49% 0.51% 0.54%
Ratio of Net Investment Income to Average Net
Assets....................................... 2.34%(E) 2.73% 2.50% 2.64% 2.51% 2.94%
Portfolio Turnover Rate....................... 2%(D) 4% 8% 8% 2% 5%
--------------------------------------------------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.......... $ 10.31 $ 10.28 $ 11.43 $ 11.93 $ 9.94 $ 9.96
-------- -------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.12 0.31 0.30 0.42 0.29 0.29
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 1.08 0.03 (1.18) (0.50) 2.02 (0.05)
-------- -------- -------- -------- -------- -------
Total from Investment Operations........... 1.20 0.34 (0.88) (0.08) 2.31 0.24
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.11) (0.31) (0.27) (0.42) (0.32) (0.26)
Net Realized Gains.......................... -- -- -- -- -- --
-------- -------- -------- -------- -------- -------
Total Distributions........................ (0.11) (0.31) (0.27) (0.42) (0.32) (0.26)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 11.40 $ 10.31 $ 10.28 $ 11.43 $ 11.93 $ 9.94
============================================== =========== ======== ======== ======== ======== ========
Total Return.................................. 11.70%(D) 3.54% (7.77)% (0.81)% 23.61% 2.70%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $216,883 $188,154 $155,301 $113,951 $117,587 $57,197
Ratio of Expenses to Average Net Assets....... 0.52%(B)(E) 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).................................. 0.74%(B)(E) 0.76%(B) 0.75%(B) 0.76%(B) 0.76%(B) 0.84%(B)
Ratio of Net Investment Income to Average Net
Assets....................................... 2.26%(E) 3.20% 2.69% 3.54% 2.61% 2.97%
Portfolio Turnover Rate....................... N/A 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.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD EX U.S. TARGETED VALUE PORTFOLIO
----------------------------------------------------- --------------
PERIOD
SIX MONTHS YEAR YEAR YEAR NOV. 1, SIX MONTHS
ENDED ENDED ENDED ENDED 2012(A) TO ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, APRIL 30,
2017 2016 2015 2014 2013 2017
--------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period............... $ 12.04 $ 11.44 $ 12.08 $ 12.46 $ 10.00 $ 9.93
-------- -------- -------- -------- ------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.09 0.25 0.23 0.23 0.20 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 1.58 0.55 (0.58) (0.22) 2.46 1.01
-------- -------- -------- -------- ------- ----------
Total from Investment Operations................ 1.67 0.80 (0.35) 0.01 2.66 1.12
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.07) (0.20) (0.26) (0.24) (0.20) (0.08)
Net Realized Gains............................... -- -- (0.03) (0.15) -- --
-------- -------- -------- -------- ------- ----------
Total Distributions............................. (0.07) (0.20) (0.29) (0.39) (0.20) (0.08)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 13.64 $ 12.04 $ 11.44 $ 12.08 $ 12.46 $ 10.97
=================================================== =========== ======== ======== ======== ========== ===========
Total Return....................................... 13.90%(D) 7.18% (2.88)% 0.06% 26.90%(D) 11.33%(D)
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $378,140 $281,212 $227,731 $151,096 $96,010 $2,189,521
Ratio of Expenses to Average Net Assets (B)........ 0.70%(E) 0.76% 0.65% 0.69% 0.79%(C)(E) 0.41%(E)
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly) (B)......................... 0.70%(E) 0.77% 1.06% 1.17% 1.27%(C)(E) 0.42%(E)
Ratio of Net Investment Income (Loss) to Average
Net Assets........................................ 1.46%(E) 2.18% 1.95% 1.84% 1.78%(C)(E) 2.15%(E)
Portfolio Turnover Rate............................ 7%(D) 28% 1% N/A N/A 2%(D)
--------------------------------------------------------------------------------------------------------------------------------
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 Paid Indirectly) (B)......................... 0.47% 0.52% 0.88% 0.97%(C)(E)
Ratio of Net Investment Income (Loss) 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.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD CORE EQUITY PORTFOLIO
------------------------------------------------------------- -------------
PERIOD
SIX MONTHS YEAR YEAR YEAR YEAR MARCH 7, SIX MONTHS
ENDED ENDED ENDED ENDED ENDED 2012(A) TO ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, APRIL 30,
2017 2016 2015 2014 2013 2012 2017
------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period...... $ 13.14 $ 12.94 $ 13.33 $ 12.71 $10.24 $10.00 $ 13.67
-------- -------- -------- ------- ------ ------ --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.11 0.27 0.26 0.17 0.23 0.16 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 1.60 0.20 (0.35) 0.87 2.47 0.19 1.69
-------- -------- -------- ------- ------ ------ --------
Total from Investment Operations....... 1.71 0.47 (0.09) 1.04 2.70 0.35 1.79
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.12) (0.26) (0.26) (0.24) (0.23) (0.11) (0.31)
Net Realized Gains...................... (0.05) (0.01) (0.04) (0.18) -- -- (0.12)
-------- -------- -------- ------- ------ ------ --------
Total Distributions.................... (0.17) (0.27) (0.30) (0.42) (0.23) (0.11) (0.43)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 14.68 $ 13.14 $ 12.94 $ 13.33 $12.71 $10.24 $ 15.03
========================================== =========== ======== ======== ======== ======== ========== ===========
Total Return.............................. 13.08%(D) 3.73% (0.61)% 8.36% 26.77% 3.54%(D) 13.30%(D)
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $449,153 $370,229 $202,655 $75,707 $1,728 $ 191 $337,793
Ratio of Expenses to Average Net
Assets (B)............................... 0.35%(E) 0.35% 0.35% 0.35% 0.40% 0.40%(C)(E) 0.34%(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)........... 0.60%(E) 0.64% 0.65% 0.97% 5.71% 52.27%(C)(E) 0.61%(E)
Ratio of Net Investment Income to Average
Net Assets............................... 1.61%(E) 2.14% 1.95% 1.27% 2.01% 2.40%(C)(E) 1.46%(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.
127
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 24.12 $ 22.17 $ 26.64 $ 26.97 $ 26.06 $ 26.68
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...... 0.14 0.45 0.49 0.56 0.52 0.55
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 2.06 1.95 (4.54) (0.20) 1.17 0.37
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 2.20 2.40 (4.05) 0.36 1.69 0.92
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................. (0.13) (0.45) (0.42) (0.53) (0.50) (0.50)
Net Realized Gains.................... -- -- -- (0.16) (0.28) (1.04)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.13) (0.45) (0.42) (0.69) (0.78) (1.54)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 26.19 $ 24.12 $ 22.17 $ 26.64 $ 26.97 $ 26.06
======================================== =========== ========== ========== ========== ========== ==========
Total Return............................ 9.21%(D) 11.01% (15.24)% 1.33% 6.58% 4.08%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $5,688,120 $4,915,400 $4,321,530 $4,073,698 $3,655,740 $2,797,177
Ratio of Expenses to Average Net
Assets (B)............................. 0.53%(E) 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)........................... 0.63%(E) 0.66% 0.60% 0.56% 0.57% 0.61%
Ratio of Net Investment Income to
Average Net Assets..................... 1.19%(E) 2.04% 1.97% 2.11% 1.97% 2.14%
---------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 20.39 $ 18.51 $ 21.42 $ 21.10 $ 20.33 $ 19.85
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...... 0.14 0.45 0.43 0.43 0.40 0.40
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 1.75 2.04 (2.53) 0.62 1.37 0.83
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 1.89 2.49 (2.10) 1.05 1.77 1.23
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................. (0.25) (0.47) (0.41) (0.40) (0.39) (0.35)
Net Realized Gains.................... (0.46) (0.14) (0.40) (0.33) (0.61) (0.40)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.71) (0.61) (0.81) (0.73) (1.00) (0.75)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 21.57 $ 20.39 $ 18.51 $ 21.42 $ 21.10 $ 20.33
======================================== =========== ========== ========== ========== ========== ==========
Total Return............................ 9.83%(D) 13.96% (9.88)% 5.12% 8.92% 6.71%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $6,504,097 $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%(E) 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%(E) 0.92% 0.78% 0.72% 0.75% 0.82%
Ratio of Net Investment Income to
Average Net Assets..................... 1.39%(E) 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.
128
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES
------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period........................ $ 24.71 $ 22.18 $ 27.79 $ 29.27 $ 28.21 $ 29.02
------- ------- ------- ------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.07 0.46 0.49 0.59 0.47 0.50
Net Gains (Losses) on Securities (Realized and Unrealized). 2.73 2.75 (5.61) (1.10) 1.68 (0.45)
------- ------- ------- ------- -------- -------
Total from Investment Operations......................... 2.80 3.21 (5.12) (0.51) 2.15 0.05
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.12) (0.68) (0.49) (0.55) (0.50) (0.47)
Net Realized Gains......................................... -- -- -- (0.42) (0.59) (0.39)
------- ------- ------- ------- -------- -------
Total Distributions...................................... (0.12) (0.68) (0.49) (0.97) (1.09) (0.86)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 27.39 $ 24.71 $ 22.18 $ 27.79 $ 29.27 $ 28.21
=========================================================== =========== ======== ======== ======== ======== ========
Total Return................................................ 11.40%(D) 14.98% (18.49)% (1.75)% 7.75% 0.43%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $24,119 $97,923 $74,076 $99,066 $106,070 $99,111
Ratio of Expenses to Average Net Assets (B)................. 0.81%(E) 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%(E) 0.91% 0.84% 0.80% 0.82% 0.86%
Ratio of Net Investment Income to Average Net Assets........ 0.57%(E) 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.
129
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.......... $ 24.84 $ 22.22 $ 27.81 $ 29.28 $ 28.22 $ 29.02
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............. 0.15 0.51 0.54 0.66 0.55 0.57
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 2.69 2.77 (5.60) (1.10) 1.67 (0.44)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations........... 2.84 3.28 (5.06) (0.44) 2.22 0.13
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................ (0.13) (0.66) (0.53) (0.61) (0.57) (0.54)
Net Realized Gains........................... -- -- -- (0.42) (0.59) (0.39)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions........................ (0.13) (0.66) (0.53) (1.03) (1.16) (0.93)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 27.55 $ 24.84 $ 22.22 $ 27.81 $ 29.28 $ 28.22
============================================= =========== =========== =========== =========== =========== ===========
Total Return.................................. 11.49%(D) 15.23% (18.27)% (1.51)% 8.01% 0.70%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $17,947,983 $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%(E) 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%(E) 0.66% 0.59% 0.55% 0.57% 0.61%
Ratio of Net Investment Income to Average Net
Assets....................................... 1.21%(E) 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.
130
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO
-------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period............ $ 18.40 $ 16.81 $ 20.08 $ 20.09 $ 19.00 $ 18.73
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............... 0.12 0.37 0.39 0.42 0.39 0.41
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 1.65 1.59 (3.29) (0.03) 1.07 0.23
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment Operations............. 1.77 1.96 (2.90) 0.39 1.46 0.64
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.......................... (0.09) (0.37) (0.37) (0.40) (0.37) (0.37)
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions.......................... (0.09) (0.37) (0.37) (0.40) (0.37) (0.37)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................. $ 20.08 $ 18.40 $ 16.81 $ 20.08 $ 20.09 $ 19.00
=============================================== =========== =========== =========== =========== =========== ==========
Total Return.................................... 9.68%(D) 11.87% (14.49)% 1.89% 7.75% 3.55%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........... $22,299,430 $18,712,966 $14,856,878 $15,727,547 $13,020,962 $8,594,707
Ratio of Expenses to Average Net Assets......... 0.56%(E) 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). 0.58%(E) 0.61% 0.62% 0.61% 0.63% 0.68%
Ratio of Net Investment Income to Average Net
Assets......................................... 1.28%(E) 2.20% 2.06% 2.10% 1.97% 2.18%
Portfolio Turnover Rate......................... 2%(D) 3% 5% 2% 1% 1%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
131
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of ninety-six
operational portfolios, of which thirty-two (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. Global Small Company
Portfolio invests in six portfolios within the Fund and 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 and
Selectively Hedged Global Equity Portfolio each invest in three portfolios
within the Fund. At April 30, 2017, the following Portfolios were the owner of
record of the following approximate percentages of the total outstanding shares
of the underlying Master Funds as detailed below:
PERCENTAGE
OWNERSHIP
FEEDER FUNDS MASTER FUNDS AT 04/30/17
------------ ------------ -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 85%
Japanese Small Company Portfolio The Japanese Small Company Series 16%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 17%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2%
Continental Small Company Portfolio The Continental Small Company Series 8%
Emerging Markets Portfolio The Emerging Markets Series 99%
Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99%
Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 99%
PERCENTAGE
OWNERSHIP
FUND OF FUNDS MASTER FUNDS AT 04/30/17
------------- ------------ -----------
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 83%
The Canadian Small Company Series 98%
Global Small Company Portfolio U.S. Small Cap Portfolio --*
The Continental Small Company Series --*
The Japanese Small Company Series --*
The Asia Pacific Small Company Series --*
The United Kingdom Small Company Series --*
The Canadian Small Company Series --*
The Emerging Markets Small Cap Series --*
DFA Global Real Estate Securities Portfolio** DFA Real Estate Securities Portfolio 20%
DFA International Real Estate Securities Portfolio 41%
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --*
DFA International Small Cap Value Portfolio --*
The DFA International Value Series 1%
132
PERCENTAGE
OWNERSHIP
FUND OF FUNDS MASTER FUNDS AT 04/30/17
------------- ------------ -----------
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.
To achieve its investment objective, each feeder fund (collectively, "Feeder
Funds") and Fund of Funds invests primarily in a corresponding master fund(s)
("Master Fund") as indicated above. 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 and
global 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
133
International Equity Portfolios value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of Directors of
the Fund has determined that movements in relevant indices or other appropriate
market indicators, after the close of the Tokyo Stock Exchange or the London
Stock Exchange, demonstrate that market quotations may be unreliable. Fair
valuation of portfolio securities may occur on a daily basis. The fair value
pricing by the International Equity Portfolios utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When 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, Global 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.
134
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.
For the six months ended April 30, 2017, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the 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'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2017, 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
135
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.
The Feeder Funds, International Small Company Portfolio and World ex U.S.
Value Portfolio each recognize their pro-rata share of net investment income
and realized and unrealized gains/losses on a daily basis from their respective
Master Fund within DFAITC or DEM, which are treated as partnerships for federal
income tax purposes.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned or
throughout the holding period. Some countries require governmental approval for
the repatriation of investment income, capital or the proceeds of sales earned
by foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging
Markets Value Portfolio, World ex U.S. Core Portfolio and Emerging Markets Core
Equity Portfolio are subject to a 15% tax on short-term capital gains for
investments in India. Such taxes are due upon sale of individual securities.
The capital gains taxes are recognized when the capital gains are earned.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to all Portfolios.
For the six months ended April 30, 2017, 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 (1).............. 0.23%
International Core Equity Portfolio (2)............ 0.32%
International Small Company Portfolio.............. 0.40%
Global Small Company Portfolio..................... 0.45%
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%
136
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 (3)..... 0.37%
World Core Equity Portfolio................. 0.30%
Selectively Hedged Global Equity Portfolio.. 0.30%
Emerging Markets Portfolio (4).............. 0.47%
Emerging Markets Small Cap Portfolio........ 0.65%
Emerging Markets Value Portfolio............ 0.50%
Emerging Markets Core Equity Portfolio (5).. 0.52%
(1) Effective February 28, 2017, the Large Cap International Portfolio's
investment management fee was reduced from 0.25% to 0.20%.
(2) Effective February 28, 2017, the International Core Equity Portfolio's
investment management fee was reduced from 0.35% to 0.27%.
(3) Effective February 28, 2017, the World ex U.S. Core Equity Portfolio's
investment management fee was reduced from 0.40% to 0.32%.
(4) Effective February 28, 2017, the Emerging Markets Portfolio's investment
management fee was reduced from 0.50% to 0.42%.
(5) Effective February 28, 2017, the Emerging Markets Core Equity
Portfolio's investment management fee was reduced from 0.55% to 0.47%.
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, 2018, and may
only be terminated by the Fund's Board of Directors prior to that date. The Fee
Waiver Agreement for such Portfolios shall continue in effect from year to year
thereafter unless terminated by the Fund or the Advisor. The Fee Waiver
Agreement with respect to the total management fees paid by the Feeder Funds,
as described in the notes below, will remain in effect permanently, unless
terminated by a Feeder Fund. For the six months ended April 30, 2017, 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 and the net amount of waived
fees/expenses assumed (recovered previously waived fees/expenses assumed)
during the six months ended April 30, 2017, 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 NET WAIVED
RECOVERY WAIVED FEES/ FEES/EXPENSES
OF PREVIOUSLY EXPENSES ASSUMED (RECOVERED
EXPENSE WAIVED FEES/ ASSUMED PREVIOUSLY WAIVED
LIMITATION EXPENSES SUBJECT TO FUTURE FEES/EXPENSES
AMOUNT ASSUMED RECOVERY ASSUMED)
- ---------- ------------- ----------------- ------------------
INSTITUTIONAL CLASS SHARES
--------------------------
Enhanced U.S. Large Company Portfolio (1)......... 0.15% -- $ 18 $ 18
U.S. Large Cap Equity Portfolio (1)............... 0.19% -- -- --
U.S. Large Cap Value Portfolio (2)................ 0.25% -- -- 9,883
U.S. Targeted Value Portfolio (3)................. 0.50% -- -- --
U.S. Core Equity 1 Portfolio (1).................. 0.23% -- -- --
U.S. Core Equity 2 Portfolio (1).................. 0.26% -- -- --
U.S. Vector Equity Portfolio (1).................. 0.36% -- -- --
DFA Real Estate Securities Portfolio (1).......... 0.18% $ 1 1,813 254
137
PREVIOUSLY NET WAIVED
RECOVERY WAIVED FEES/ FEES/EXPENSES
OF PREVIOUSLY EXPENSES ASSUMED (RECOVERED
EXPENSE WAIVED FEES/ ASSUMED PREVIOUSLY WAIVED
LIMITATION EXPENSES SUBJECT TO FUTURE FEES/EXPENSES
AMOUNT ASSUMED RECOVERY ASSUMED)
- ---------- ------------- ----------------- ------------------
INSTITUTIONAL CLASS SHARES
--------------------------
Large Cap International Portfolio (1)............. 0.24% -- $ 141 $ 141
International Core Equity Portfolio (1)........... 0.30% -- 2,081 2,081
International Small Company Portfolio (4)......... 0.45% -- -- --
Global Small Company Portfolio (5)................ 0.49% -- 16 16
Japanese Small Company Portfolio (6).............. 0.47% -- -- 253
Asia Pacific Small Company Portfolio (6).......... 0.47% -- -- 129
United Kingdom Small Company Portfolio (6)........ 0.47% -- 25 26
Continental Small Company Portfolio (6)........... 0.47% -- -- 163
DFA International Real Estate Securities
Portfolio (7)................................... 0.29% -- -- --
DFA Global Real Estate Securities Portfolio (8)... 0.24% -- 19,735 3,138
International Vector Equity Portfolio (1)......... 0.60% -- -- --
World ex U.S. Value Portfolio (9)................. 0.60% -- 1,020 224
World ex U.S. Targeted Value Portfolio (10)....... 0.80% -- 1,232 --
World ex U.S. Core Equity Portfolio (11).......... 0.39% 110 1,455 69
World Core Equity Portfolio (12).................. 0.35% 40 1,856 509
Selectively Hedged Global Equity Portfolio (13)... 0.40% -- 1,996 427
Emerging Markets Portfolio (14)................... 0.49% -- -- 2,551
Emerging Markets Small Cap Portfolio (2).......... 0.65% -- -- 5,722
Emerging Markets Value Portfolio (2).............. 0.50% -- -- 8,307
Emerging Markets Core Equity Portfolio (1)........ 0.54% -- 1,506 1,506
CLASS R1 SHARES
---------------
U.S. Targeted Value Portfolio (15)................ 0.62% -- -- --
CLASS R2 SHARES
---------------
U.S. Targeted Value Portfolio (15)................ 0.77% -- -- --
Emerging Markets Value Portfolio (16)............. 0.96% -- -- 37
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume each Portfolio's ordinary operating expenses
(excluding the expenses a Portfolio incurs indirectly through investment in
other investment companies) ("Portfolio Expenses") to the extent necessary to
limit the Portfolio Expenses of each Portfolio to the rates listed above as a
percentage of average net assets on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of a Portfolio are
less than the Expense Limitation Amount listed above for such Portfolio, the
Advisor retains the right to recover any fees previously waived and/or expenses
previously assumed to the extent that such recovery is within thirty-six months
and will not cause the Portfolio's annualized Portfolio Expenses to exceed the
Expense Limitation Amount, as listed above. The Fee Waiver Agreements for the
Enhanced U.S. Large Company Portfolio and Large Cap International Portfolio
became effective on April 3, 2017 and January 1, 2017, respectively. In
addition, prior to January 1, 2017, the Advisor had contractually agreed to
waive all or a portion of its management fee and assume each of the
International Core Equity Portfolio's and Emerging Markets Core Equity
Portfolio's Portfolio Expenses to the extent necessary to limit the Portfolio
Expenses of each such Portfolio to 0.49% and 0.85%, respectively, as a
percentage of average net assets on an annualized basis.
(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
138
investment in other funds managed by the Advisor, except for the fees paid
indirectly through its investment of securities lending cash collateral in The
DFA Short Term Investment Fund (the "Money Market Series"), 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 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, as listed above. 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.
(5) The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the ordinary operating expenses of a class of the
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor, excluding money market funds, but excluding
the expenses that the Portfolio incurs indirectly through its investment in
unaffiliated investment companies) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses of a class of the Portfolio to the
rate listed above as a percentage of the average net assets of a class of the
Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time
that the Portfolio Expenses of a class of the Portfolio are less than the
Expense Limitation Amount, the Advisor retains the right to recover any fees
previously waived and/or expenses previously assumed to the extent that such
recovery is within thirty-six months and will not cause the annualized
Portfolio Expenses for such class of shares of the Portfolio to exceed the
Expense Limitation Amount.
(6) 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, except for the fees paid indirectly through its investment of
securities lending cash collateral in the Money Market Series, 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 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, as listed above. Except, a Portfolio is not obligated to reimburse the
Advisor for fees waived in connection with the Permanent Fee Waiver. Prior to
July 21, 2015, the Advisor had contractually agreed to waive its administration
fee and to assume each
139
Portfolio's other direct expenses to the extent necessary to limit the direct
expenses of each Portfolio to the Expense Limitation Amount listed above. The
Fee Waiver Agreement did not include the indirect expenses each Portfolio bore
as a shareholder of its Master Fund.
(7) 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.
(8) 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
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.
(9) 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, except for the fees paid through its investment
of securities lending cash collateral in the Money Market Series. 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.
(10) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's management fee of 0.58% to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through its
investment in its Master Funds, except for the fees paid through its investment
of securities lending cash collateral in the Money Market Series. 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
140
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.
(11) The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the expenses of a class of the Portfolio
(including the expenses that the Portfolio bears as a shareholder of its Master
Funds but excluding the expenses that the Portfolio incurs indirectly through
its investment 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.
(12) 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 ,except for the fees paid
through its investment of securities lending cash collateral in the Money
Market Series (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"). Prior to June 27, 2014, the Expense Limitation Amount was 0.40% of
the average net assets of such class of the Portfolio on an annualized basis.
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.
(13) 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, except for the fees paid through its investment
of securities lending cash collateral in the Money Market Series. 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 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.
141
(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, except for the fees paid indirectly through its investment of
securities lending cash collateral in the Money Market Series, to 0.42% of the
average net assets of a class of the Portfolio on an annualized basis (the
"Permanent Fee Waiver"). Effective January 1, 2017, 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 the 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 the
Portfolio to the rate listed above as a percentage of the average net assets of
a class of the Portfolio on an annualized basis (the "Expense Limitation
Amount"). At any time that the Portfolio Expenses of a class of the Portfolio
are less than the Expense Limitation Amount for such class of shares of the
Portfolio, the Advisor retains the right to recover any fees previously waived
and/or expenses previously assumed to the extent that such recovery will not
cause the annualized Portfolio Expenses for such class of shares of the
Portfolio to exceed the Expense Limitation Amount. Except, the Portfolio is not
obligated to reimburse the Advisor for fees waived in connection with the
Permanent Fee Waiver.
(15) 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.
(16) 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, except for the fees paid indirectly through its investment of
securities lending cash collateral in the Money Market Series, to 0.50% of the
average net assets of a class of the Portfolio on an annualized basis (the
"Permanent Fee Waiver"). In addition to the Permanent Fee Waiver, the Advisor
has contractually agreed to (including for the period prior to July 21, 2015)
assume the direct expenses of the Class R2 shares of the Portfolio (excluding
management fees and custodian fees) to the extent necessary to limit the
annualized expenses of the Class R2 shares of the Portfolio (excluding the
expenses the Portfolio incurs indirectly through investment in other investment
companies) to the rate listed above as a percentage of the average net assets
of the Class R2 shares of the Portfolio (the "Annualized Expense Ratio"). At
any time that the annualized expenses of the Class R2 shares of the Portfolio
are less than the Annualized Expense Ratio listed above, the Advisor retains
the right to recover any fees previously waived and/or expenses previously
assumed to the extent that the amount of such recovery is within thirty-six
months and 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.
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
142
generally less than one basis point of each Portfolio's net assets. During the
six months ended April 30, 2017, expenses reduced were as follows (amounts in
thousands):
FEES PAID
INDIRECTLY
- ----------
Enhanced U.S. Large Company Portfolio.................. $ 4
Large Cap International Portfolio...................... 132
International Core Equity Portfolio.................... 799
DFA International Real Estate Securities Portfolio..... 155
DFA International Small Cap Value Portfolio............ 233
International Vector Equity Portfolio.................. 30
World ex U.S. Targeted Value Portfolio................. 5
World ex U.S. Core Equity Portfolio.................... 57
Emerging Markets Core Equity Portfolio................. 568
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2017, the total related amounts paid by the
Fund to the CCO were $150 (in thousands). The total related amounts paid by
each of the Portfolios are included in Other Expenses on the Statement of
Operations.
D. DEFERRED COMPENSATION:
At April 30, 2017, 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.............. $ 10
U.S. Large Cap Equity Portfolio.................... 7
U.S. Large Cap Value Portfolio..................... 444
U.S. Targeted Value Portfolio...................... 152
U.S. Small Cap Value Portfolio..................... 385
U.S. Core Equity 1 Portfolio....................... 250
U.S. Core Equity 2 Portfolio....................... 344
U.S. Vector Equity Portfolio....................... 96
U.S. Small Cap Portfolio........................... 249
U.S. Micro Cap Portfolio........................... 182
DFA Real Estate Securities Portfolio............... 168
Large Cap International Portfolio.................. 97
International Core Equity Portfolio................ 325
International Small Company Portfolio.............. 291
Global Small Company Portfolio..................... --*
Japanese Small Company Portfolio................... 12
Asia Pacific Small Company Portfolio............... 8
United Kingdom Small Company Portfolio............. 2
Continental Small Company Portfolio................ 7
DFA International Real Estate Securities Portfolio. 71
DFA Global Real Estate Securities Portfolio........ 66
DFA International Small Cap Value Portfolio........ 414
International Vector Equity Portfolio.............. 30
World ex U.S. Value Portfolio...................... 2
World ex U.S. Targeted Value Portfolio............. 3
World ex U.S. Core Equity Portfolio................ 12
143
World Core Equity Portfolio................ $ 2
Selectively Hedged Global Equity Portfolio. 3
Emerging Markets Portfolio................. 132
Emerging Markets Small Cap Portfolio....... 113
Emerging Markets Value Portfolio........... 543
Emerging Markets Core Equity Portfolio..... 334
* Amounts are less than $500.
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, the Portfolios' transactions
related to investment securities, other than short-term securities (amounts in
thousands), were as follows:
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------ ---------------------
PURCHASES SALES PURCHASES SALES
--------- -------- ---------- ----------
Enhanced U.S. Large Company Portfolio.............. $102,401 $105,757 $ 147,499 $ 122,171
U.S. Large Cap Equity Portfolio.................... -- -- 155,745 81,606
U.S. Targeted Value Portfolio...................... -- -- 1,874,374 1,343,752
U.S. Small Cap Value Portfolio..................... -- -- 2,133,041 2,031,364
U.S. Core Equity 1 Portfolio....................... -- -- 1,657,419 247,020
U.S. Core Equity 2 Portfolio....................... -- -- 1,588,784 403,600
U.S. Vector Equity Portfolio....................... -- -- 281,883 204,572
U.S. Small Cap Portfolio........................... -- -- 1,947,460 891,125
U.S. Micro Cap Portfolio........................... -- -- 452,224 544,586
DFA Real Estate Securities Portfolio............... -- -- 573,668 93,691
Large Cap International Portfolio.................. -- -- 313,630 83,512
International Core Equity Portfolio................ -- -- 2,525,985 493,014
DFA International Real Estate Securities Portfolio. -- -- 542,784 57,288
DFA Global Real Estate Securities Portfolio........ -- -- 745,714 81,090
DFA International Small Cap Value Portfolio........ -- -- 1,351,544 1,435,417
International Vector Equity Portfolio.............. -- -- 158,095 43,484
World ex U.S. Targeted Value Portfolio............. -- -- 77,370 21,825
World ex U.S. Core Equity Portfolio................ -- -- 361,639 30,037
Emerging Markets Core Equity Portfolio............. -- -- 2,179,560 417,346
For the six months ended April 30, 2017, the Fund of Funds transactions
related to Affiliated Investment Companies were as follows (amounts in
thousands):
GLOBAL SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2016 4/30/2017 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Small Cap Portfolio........ -- $ 5,305 $ 5,267 $ 49 $ 8 --
---------- ---------- -------- ------- -------- -------
Total........................... -- $ 5,305 $ 5,267 $ 49 $ 8 --
========== ========== ======== ======= ======== =======
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2016 4/30/2017 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA International Real Estate
Securities Portfolio.......... $1,678,314 $1,957,562 $380,928 $38,225 $132,577 --
DFA Real Estate Securities
Portfolio..................... 1,619,318 1,591,970 -- 40,944 28,272 $14,569
---------- ---------- -------- ------- -------- -------
Total........................... $3,297,632 $3,549,532 $380,928 $79,169 $160,849 $14,569
========== ========== ======== ======= ======== =======
144
WORLD EX U.S. VALUE PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2016 4/30/2017 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA International Small Cap Value
Portfolio......................... $ 20,452 $ 23,752 $ 1,579 $ 200 $ 170 $653
-------- -------- ------- ------- ------ ----
Total............................... $ 20,452 $ 23,752 $ 1,579 $ 200 $ 170 $653
======== ======== ======= ======= ====== ====
WORLD CORE EQUITY PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2016 4/30/2017 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 1 Portfolio........ $189,060 $230,825 $23,147 $ 6,968 $1,949 $898
International Core Equity Portfolio. 137,648 165,765 16,614 4,493 1,262 --
Emerging Markets Core Equity
Portfolio......................... 43,388 52,081 5,743 1,453 215 --
-------- -------- ------- ------- ------ ----
Total............................... $370,096 $448,671 $45,504 $12,914 $3,426 $898
======== ======== ======= ======= ====== ====
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2016 4/30/2017 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 2 Portfolio........ $124,577 $142,310 $ 5,917 $ 4,537 $1,138 $894
International Core Equity Portfolio. 101,000 116,159 6,704 2,961 914 --
Emerging Markets Core Equity
Portfolio......................... 50,601 58,707 5,478 2,286 251 --
-------- -------- ------- ------- ------ ----
Total............................... $276,178 $317,176 $18,099 $ 9,784 $2,303 $894
======== ======== ======= ======= ====== ====
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)
145
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
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)
Global Small Company Portfolio..................... -- -- --
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
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
146
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
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
Global Small Company Portfolio
2015.... -- -- --
2016.... -- -- --
Japanese Small Company Portfolio
2015.... 7,758 -- 7,758
2016.... 6,534 -- 6,534
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
147
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
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
Global Small Company Portfolio commenced operations on January 18, 2017 and
did not pay any distributions for the years ended October 31, 2015 and October
31, 2016.
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)
148
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
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) (21,807)
Global Small Company Portfolio..................... -- -- --
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
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
Global Small Company Portfolio....... -- -- -- -- --
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)
149
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)
-------------- ------------- ------------- -------------- -------------
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. -- -- -- -- --
Global Small Company Portfolio........ -- -- -- -- --
150
EXPIRES ON OCTOBER 31,
---------------------------------------------
2017 2018 2019 UNLIMITED TOTAL
------- ------- ------- ---------- ----------
Japanese Small Company Portfolio................... $13,897 $12,208 $ 5,543 -- $ 31,648
Asia Pacific Small Company Portfolio............... 8,261 -- -- $ 13,552 21,813
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 2,364 2,709
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 Real Estate Securities Portfolio............... $10,635
Large Cap International Portfolio.................. 40,352
Japanese Small Company Portfolio................... 19,964
Continental Small Company Portfolio................ 6,882
DFA International Real Estate Securities Portfolio. 1,010
World ex U.S. Targeted Value Portfolio............. 6,624
151
At April 30, 2017, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
Enhanced U.S. Large Company Portfolio.............. $ 253,895 $ 364 $ (286) $ 78
U.S. Large Cap Equity Portfolio.................... 902,815 188,709 (23,794) 164,915
U.S. Large Cap Value Portfolio..................... 14,715,903 6,349,085 -- 6,349,085
U.S. Targeted Value Portfolio...................... 9,616,637 2,339,752 (577,039) 1,762,713
U.S. Small Cap Value Portfolio..................... 12,632,364 4,364,774 (817,511) 3,547,263
U.S. Core Equity 1 Portfolio....................... 14,583,848 6,025,876 (486,044) 5,539,832
U.S. Core Equity 2 Portfolio....................... 15,788,786 7,205,922 (673,386) 6,532,536
U.S. Vector Equity Portfolio....................... 3,681,814 1,643,521 (221,207) 1,422,314
U.S. Small Cap Portfolio........................... 15,622,391 4,475,515 (822,709) 3,652,806
U.S. Micro Cap Portfolio........................... 4,874,430 2,274,674 (344,021) 1,930,653
DFA Real Estate Securities Portfolio............... 6,201,264 2,329,798 (168,021) 2,161,777
Large Cap International Portfolio.................. 3,858,942 855,138 (300,193) 554,945
International Core Equity Portfolio................ 20,405,648 4,058,982 (1,687,027) 2,371,955
International Small Company Portfolio.............. 10,258,764 1,915,133 (202,627) 1,712,506
Global Small Company Portfolio..................... 10,000 366 (22) 344
Japanese Small Company Portfolio................... 454,394 84,602 -- 84,602
Asia Pacific Small Company Portfolio............... 291,933 -- (9,005) (9,005)
United Kingdom Small Company Portfolio............. 35,775 7,350 -- 7,350
Continental Small Company Portfolio................ 294,669 91,879 -- 91,879
DFA International Real Estate Securities Portfolio. 5,138,575 -- (251,643) (251,643)
DFA Global Real Estate Securities Portfolio........ 5,088,843 723,634 (91,572) 632,062
DFA International Small Cap Value Portfolio........ 13,025,452 3,490,261 (1,306,054) 2,184,207
International Vector Equity Portfolio.............. 2,088,346 479,904 (181,380) 298,524
World ex U.S. Value Portfolio...................... 197,778 18,897 -- 18,897
World ex U.S. Targeted Value Portfolio............. 336,394 66,293 (17,032) 49,261
World ex U.S. Core Equity Portfolio................ 2,156,504 298,254 (119,365) 178,889
World Core Equity Portfolio........................ 403,605 45,388 -- 45,388
Selectively Hedged Global Equity Portfolio......... 272,352 44,823 -- 44,823
Emerging Markets Portfolio......................... 4,259,543 1,428,825 -- 1,428,825
Emerging Markets Small Cap Portfolio............... 5,833,114 672,717 -- 672,717
Emerging Markets Value Portfolio................... 17,034,785 952,209 -- 952,209
Emerging Markets Core Equity Portfolio............. 20,395,196 4,876,344 (2,176,643) 2,699,701
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 current fiscal year
remain subject to examination by the Internal Revenue Service.
152
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
SIX MONTHS ENDED YEARENDED
APRIL 30, 2017 OCT. 31, 2016
-------------------- ---------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- --------
U.S. TARGETED VALUE PORTFOLIO
Class R1 Shares
Shares Issued........................................ $ 16,847 696 $ 10,885 541
Shares Issued in Lieu of Cash Distributions.......... 1,626 67 2,087 104
Shares Redeemed...................................... (5,235) (219) (16,510) (828)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R1 Shares............ $ 13,238 544 $ (3,538) (183)
=========== ======= =========== ========
Class R2 Shares
Shares Issued........................................ $ 47,124 1,981 $ 55,695 2,692
Shares Issued in Lieu of Cash Distributions.......... 6,408 266 7,874 394
Shares Redeemed...................................... (39,911) (1,674) (48,930) (2,390)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ 13,621 573 $ 14,639 696
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 1,571,274 65,400 $ 1,922,986 96,220
Shares Issued in Lieu of Cash Distributions.......... 314,687 12,982 353,719 17,629
Shares Redeemed...................................... (1,315,801) (54,822) (1,368,182) (67,152)
=========== ======= =========== ========
Net Increase (Decrease) -- Institutional Class Shares. $ 570,160 23,560 $ 908,523 46,697
=========== ======= =========== ========
EMERGING MARKETS VALUE PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 16,043 637 $ 26,972 1,227
Shares Issued in Lieu of Cash Distributions.......... 481 20 2,365 110
Shares Redeemed...................................... (99,425) (3,740) (15,075) (714)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ (82,901) (3,083) $ 14,262 623
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 1,415,211 54,931 $ 2,794,365 131,949
Shares Issued in Lieu of Cash Distributions.......... 77,713 3,214 413,784 19,201
Shares Redeemed...................................... (1,614,007) (63,070) (3,524,430) (162,649)
----------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ (121,083) (4,925) $ (316,281) (11,499)
=========== ======= =========== ========
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.
153
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. FORWARD CURRENCY CONTRACTS: The 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 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 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 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.
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. At
April 30, 2017, the Selectively Hedged Global Equity Portfolio had entered into
the following contracts and the net unrealized foreign exchange gain (loss) is
reflected in the accompanying financial statements (amounts in thousands):
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT* CURRENCY COUNTERPARTY AMOUNT APRIL 30, 2017 GAIN (LOSS)
---------- ---------- ------------------ ---------------------------- --------- -------------- -----------
05/03/17 (8,864) Canadian Dollar JP Morgan $ (6,633) $ (6,495) $ 138
05/31/17 (13,140) Denmark Krone Citibank, N.A. (1,924) (1,927) (3)
05/02/17 24,848 Euro Bank of America Corp. 27,019 27,066 47
05/02/17 (24,848) Euro Bank of America Corp. (27,041) (27,066) (25)
06/01/17 (26,005) Euro Bank of America Corp. (28,317) (28,366) (49)
05/04/17 81,604 Hong Kong Dollar State Street Bank and Trust 10,492 10,491 (1)
05/04/17 (81,604) Hong Kong Dollar JP Morgan (10,512) (10,491) 21
06/02/17 (83,400) Hong Kong Dollar State Street Bank and Trust (10,730) (10,729) 1
05/08/17 (2,697,719) Japanese Yen State Street Bank and Trust (24,194) (24,205) (11)
05/24/17 (7,464) Norwegian Krone Citibank, N.A. (865) (870) (5)
05/24/17 (1,606) Singapore Dollar Citibank, N.A. (1,149) (1,149) --
05/23/17 (26,832) Swedish Krona JP Morgan (3,002) (3,032) (30)
05/24/17 (6,318) Swiss Franc State Street Bank and Trust (6,336) (6,357) (21)
05/30/17 (13,148) UK Pound Sterling JP Morgan (16,868) (17,041) (173)
--------- --------- -----
$(100,060) $(100,171) $(111)
========= ========= =====
* 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: Each Portfolio noted below 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
154
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Portfolios as unrealized gains
or losses until the contracts are closed. When the contracts are closed, the
Portfolios record a realized gain or loss, which is presented in the Statements
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolios could lose more than
the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At April 30, 2017, 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) 06/16/17 2,162 $257,332 $2,996 --
-------- ------ --
$257,332 $2,996 --
======== ====== ==
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Large Cap Equity
Portfolio........... S&P 500 Emini Index(R) 06/16/17 30 $3,571 $1 --
------ -- --
$3,571 $1 --
====== == ==
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Targeted Value
Portfolio......... S&P 500 Emini Index(R) 06/16/17 765 $91,054 $518 $3,825
------- ---- ------
$91,054 $518 $3,825
======= ==== ======
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) 06/16/17 999 $118,906 $1,190 $4,995
-------- ------ ------
$118,906 $1,190 $4,995
======== ====== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Core Equity 1
Portfolio........ S&P 500 Emini Index(R) 06/16/17 790 $94,030 $329 $3,950
------- ---- ------
$94,030 $329 $3,950
======= ==== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Core Equity 2
Portfolio........ S&P 500 Emini Index(R) 06/16/17 1,340 $159,494 $1,281 $6,700
-------- ------ ------
$159,494 $1,281 $6,700
======== ====== ======
155
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Vector Equity
Portfolio........ S&P 500 Emini Index(R) 06/16/17 300 $35,708 $290 $1,500
------- ---- ------
$35,708 $290 $1,500
======= ==== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Small Cap Portfolio. Russell 2000 Index(R) 06/16/17 1,104 $ 77,192 $1,870 $5,673
U.S. Small Cap Portfolio. S&P 500 Emini Index(R) 06/16/17 723 86,055 540 1,640
-------- ------ ------
$163,247 $2,410 $7,313
======== ====== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
U.S. Micro Cap Portfolio. Russell 2000 Index(R) 06/16/17 318 $22,234 $544 $1,496
U.S. Micro Cap Portfolio. S&P 500 Emini Index(R) 06/16/17 184 21,901 178 489
------- ---- ------
$44,135 $722 $1,985
======= ==== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
DFA Real Estate Securities
Portfolio................ S&P 500 Emini Index(R) 06/16/17 791 $94,149 $708 $3,955
------- ---- ------
$94,149 $708 $3,955
======= ==== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ----------- ----------
Large Cap International
Portfolio............. MINI MSCI EAFE Index(R) 06/16/17 85 $ 7,751 $363 $ 928
Large Cap International
Portfolio............. S&P 500 Emini Index(R) 06/16/17 226 26,900 219 559
------- ---- ------
$34,651 $582 $1,487
======= ==== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
International Core Equity
Portfolio............... S&P 500 Emini Index(R) 06/16/17 1,620 $192,821 $1,157 $8,100
-------- ------ ------
$192,821 $1,157 $8,100
======== ====== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
International Small
Company Portfolio. Russell 2000 Index(R) 06/16/17 240 $ 16,781 $ 411 $1,396
International Small
Company Portfolio. S&P 500 Emini Index(R) 06/16/17 770 91,649 957 3,258
-------- ------ ------
$108,430 $1,368 $4,654
======== ====== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
DFA International Real
Estate Securities
Portfolio............ S&P 500 Emini Index(R) 06/16/17 280 $33,327 $249 $1,075
------- ---- ------
$33,327 $249 $1,075
======= ==== ======
156
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
DFA International Small
Cap Value Portfolio... Russell 2000 Index(R) 06/16/17 200 $ 13,984 $ 338 $1,505
DFA International Small
Cap Value Portfolio... S&P 500 Emini Index(R) 06/16/17 1,140 135,689 901 4,015
-------- ------ ------
$149,673 $1,239 $5,520
======== ====== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
Selectively Hedged Global
Equity Portfolio........ S&P 500 Emini Index(R) 06/16/17 166 $19,758 $163 $830
------- ---- ----
$19,758 $163 $830
======= ==== ====
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ----------- ----------
Emerging Markets Core
Equity Portfolio.... MINI MSCI EAFE Index(R) 06/16/17 650 $ 31,818 $1,374 $3,840
Emerging Markets Core
Equity Portfolio.... S&P 500 Emini Index(R) 06/16/17 1,503 178,894 1,440 4,025
-------- ------ ------
$210,712 $2,814 $7,865
======== ====== ======
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2017 (amounts in
thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- --------
Enhanced U.S. Large Company Portfolio.............. -- $248,070
U.S. Large Cap Equity Portfolio.................... -- 595
U.S. Targeted Value Portfolio...................... -- 105,895
U.S. Small Cap Value Portfolio..................... -- 158,063
U.S. Core Equity 1 Portfolio....................... -- 125,651
U.S. Core Equity 2 Portfolio....................... -- 149,447
U.S. Vector Equity Portfolio....................... -- 33,923
U.S. Small Cap Portfolio........................... -- 163,955
U.S. Micro Cap Portfolio........................... -- 51,826
DFA Real Estate Securities Portfolio............... -- 60,381
Large Cap International Portfolio.................. -- 30,252
International Core Equity Portfolio................ -- 165,345
International Small Company Portfolio.............. -- 75,399
DFA International Real Estate Securities Portfolio. -- 35,315
DFA International Small Cap Value Portfolio........ -- 98,488
International Vector Equity Portfolio.............. -- 1,208
Selectively Hedged Global Equity Portfolio......... $164,519 17,576
Emerging Markets Core Equity Portfolio............. -- 185,710
Securities have been segregated as collateral for open futures contracts.
157
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of April 30, 2017:
LOCATION ON THE STATEMENTS OF ASSETS AND
LIABILITIES
---------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------------ ------------------------
Foreign exchange Unrealized Gain on Unrealized Loss on
contracts Forward Currency Forward Currency
Contracts Contracts
Equity contracts Receivables: Futures Payables: Futures Margin
Margin Variation Variation
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2017 (amounts in
thousands):
ASSET DERIVATIVES VALUE
-----------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
APRIL 30, 2017 CONTRACTS CONTRACTS*
- -------------- --------- ----------
Enhanced U.S. Large Company Portfolio.............. $2,996 -- $2,996
U.S. Large Cap Equity Portfolio.................... 1 -- 1
U.S. Targeted Value Portfolio...................... 518 -- 518
U.S. Small Cap Value Portfolio..................... 1,190 -- 1,190
U.S. Core Equity 1 Portfolio....................... 329 -- 329
U.S. Core Equity 2 Portfolio....................... 1,281 -- 1,281
U.S. Vector Equity Portfolio....................... 290 -- 290
U.S. Small Cap Portfolio........................... 2,410 -- 2,410
U.S. Micro Cap Portfolio........................... 722 -- 722
DFA Real Estate Securities Portfolio............... 708 -- 708
Large Cap International Portfolio.................. 582 -- 582
International Core Equity Portfolio................ 1,157 -- 1,157
International Small Company Portfolio.............. 1,368 -- 1,368
DFA International Real Estate Securities Portfolio. 249 -- 249
DFA International Small Cap Value Portfolio........ 1,239 -- 1,239
Selectively Hedged Global Equity Portfolio......... 370 $ 207 163
Emerging Markets Core Equity Portfolio............. 2,814 -- 2,814
LIABILITY DERIVATIVES VALUE
- -----------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
APRIL 30, 2017 CONTRACTS CONTRACTS*
- -------------- --------- ----------
Selectively Hedged Global Equity Portfolio......... $ (318) $(318) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings through the six months ended
April 30, 2017:
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
158
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the six months ended April 30, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio.............. $27,341 -- $27,341
U.S. Large Cap Value Portfolio..................... 12,107 -- 12,107
U.S. Targeted Value Portfolio...................... 11,155 -- 11,155
U.S. Small Cap Value Portfolio..................... 20,973 -- 20,973
U.S. Core Equity 1 Portfolio....................... 10,576 -- 10,576
U.S. Core Equity 2 Portfolio....................... 12,375 -- 12,375
U.S. Vector Equity Portfolio....................... 2,950 -- 2,950
U.S. Small Cap Portfolio........................... 11,882 -- 11,882
U.S. Micro Cap Portfolio........................... 6,138 -- 6,138
DFA Real Estate Securities Portfolio............... 5,170 -- 5,170
Large Cap International Portfolio.................. 1,906 -- 1,906
International Core Equity Portfolio................ 14,372 -- 14,372
International Small Company Portfolio.............. 5,651 -- 5,651
Global Small Company Portfolio..................... (1) -- (1)
DFA International Real Estate Securities Portfolio. 3,760 -- 3,760
DFA Global Real Estate Securities Portfolio........ 222 -- 222
DFA International Small Cap Value Portfolio........ 8,861 -- 8,861
International Vector Equity Portfolio*............. 158 -- 158
World ex U.S. Value Portfolio...................... 125 -- 125
World ex U.S. Core Equity Portfolio................ 2 -- 2
Selectively Hedged Global Equity Portfolio......... 3,353 $1,881 1,472
Emerging Markets Portfolio......................... 2,394 -- 2,394
Emerging Markets Small Cap Portfolio............... 3,141 -- 3,141
Emerging Markets Value Portfolio................... 8,421 -- 8,421
Emerging Markets Core Equity Portfolio............. 14,114 -- 14,114
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
---------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio.............. $ 2,744 -- $ 2,744
U.S. Large Cap Equity Portfolio.................... 1 -- 1
U.S. Large Cap Value Portfolio..................... 4,884 -- 4,884
U.S. Targeted Value Portfolio...................... 2,557 -- 2,557
U.S. Small Cap Value Portfolio..................... 5,136 -- 5,136
U.S. Core Equity 1 Portfolio....................... 3,553 -- 3,553
U.S. Core Equity 2 Portfolio....................... 4,911 -- 4,911
U.S. Vector Equity Portfolio....................... 1,125 -- 1,125
U.S. Small Cap Portfolio........................... 6,700 -- 6,700
U.S. Micro Cap Portfolio........................... 2,384 -- 2,384
DFA Real Estate Securities Portfolio............... 2,226 -- 2,226
Large Cap International Portfolio.................. 1,452 -- 1,452
International Core Equity Portfolio................ 4,105 -- 4,105
International Small Company Portfolio.............. 4,157 -- 4,157
DFA International Real Estate Securities Portfolio. 553 -- 553
DFA International Small Cap Value Portfolio........ 4,697 -- 4,697
159
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------ --------- ---------
World ex U.S. Value Portfolio.............. $ 73 -- $ 73
Selectively Hedged Global Equity Portfolio. (249) $(760) 511
Emerging Markets Portfolio................. 1,766 -- 1,766
Emerging Markets Small Cap Portfolio....... 753 -- 753
Emerging Markets Value Portfolio........... 3,185 -- 3,185
Emerging Markets Core Equity Portfolio..... 6,261 -- 6,261
* As of April 30, 2017, there were no futures contracts outstanding. During the
six months ended April 30, 2017, the Portfolio had limited activity in
futures contracts.
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 April 30, 2017
(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......... $207 $207 $(207) -- -- $318 $318 $(207) -- $111
(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.
160
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 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. 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 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. 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 $700 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 5, 2018.
For the six months ended April 30, 2017, 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.......... 1.40% $16,236 12 $ 8 $47,676
Global Small Company Portfolio........... 1.53% 58 10 -- 90
DFA International Real Estate Securities
Portfolio.............................. 1.37% 33,360 6 8 45,480
DFA Global Real Estate Securities
Portfolio.............................. 1.27% 5,191 6 1 9,417
International Vector Equity Portfolio.... 1.06% 669 1 -- 669
World ex U.S. Value Portfolio............ 1.44% 81 15 -- 241
World ex U.S. Targeted Value Portfolio... 1.11% 137 2 -- 197
World ex U.S. Core Equity Portfolio...... 1.16% 2,265 6 -- 3,897
World Core Equity Portfolio.............. 1.35% 579 10 -- 1,848
Emerging Markets Core Equity Portfolio... 1.41% 16,061 1 1 16,061
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2017, that each Portfolio's available
line of credit was utilized.
There were no outstanding borrowings by Portfolios under the lines of credit
as of April 30, 2017.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
Portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
Portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending Portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a Portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolios did not utilize the interfund lending program during the six
months ended April 30, 2017.
161
J. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2017, if any, were executed
by the Portfolios pursuant to procedures adopted by the Board of Directors of
the Fund to ensure compliance with Rule 17a-7 under the Investment Company Act
of 1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the six months ended April 30, 2017, cross trades by the Portfolios
under Rule 17a-7 were as follows (amounts in thousands):
REALIZED
GAIN
PORTFOLIO PURCHASES SALES (LOSS)
--------- --------- -------- --------
U.S. Large Cap Equity Portfolio............. $ 26,348 $ 7,835 $ (1,537)
U.S. Targeted Value Portfolio............... 157,413 336,075 61,896
U.S. Small Cap Value Portfolio.............. 34,727 343,110 42,540
U.S. Core Equity 1 Portfolio................ 221,077 131,076 (15,810)
U.S. Core Equity 2 Portfolio................ 282,546 146,437 2,571
U.S. Vector Equity Portfolio................ 48,934 75,621 13,551
U.S. Small Cap Portfolio.................... 244,755 139,283 56,451
U.S. Micro Cap Portfolio.................... 56,965 78,161 33,872
DFA Real Estate Securities Portfolio........ 5,605 4,252 (1,417)
Large Cap International Portfolio........... 33,072 15,255 3,308
International Core Equity Portfolio......... 109,055 19,537 823
DFA Global Real Estate Securities Portfolio. 4,511 -- --
DFA International Small Cap Value Portfolio. 3,852 258,730 72,075
International Vector Equity Portfolio....... 7,363 2,416 89
World ex U.S. Targeted Value Portfolio...... 4,048 942 317
World ex U.S. Core Equity Portfolio......... 8,457 1,181 (294)
Emerging Markets Core Equity Portfolio...... 15,082 415 (10)
K. SECURITIES LENDING:
As of April 30, 2017, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral. The
non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S.
government agency securities as follows (amounts in thousands):
MARKET
VALUE
- ----------
U.S. Large Cap Equity Portfolio.................... $ 7,358
U.S. Targeted Value Portfolio...................... 461,073
U.S. Small Cap Value Portfolio..................... 458,808
U.S. Core Equity 1 Portfolio....................... 888,279
U.S. Core Equity 2 Portfolio....................... 1,029,685
U.S. Vector Equity Portfolio....................... 232,668
U.S. Small Cap Portfolio........................... 422,679
U.S. Micro Cap Portfolio........................... 154,958
DFA Real Estate Securities Portfolio............... 121,807
Large Cap International Portfolio.................. 93,462
International Core Equity Portfolio................ 233,531
DFA International Real Estate Securities Portfolio. 6,822
DFA International Small Cap Value Portfolio........ 58,434
International Vector Equity Portfolio.............. 13,896
162
MARKET
VALUE
- -------
World ex U.S. Targeted Value Portfolio. $ 3,750
World ex U.S. Core Equity Portfolio.... 29,895
Each Portfolio invests the cash collateral, as described below, and records
a liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the
Portfolio's collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
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 April 30, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2017
------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
-------------- -------- ------------ -------- --------------
SECURITIES LENDING TRANSACTIONS
U.S. LARGE CAP EQUITY PORTFOLIO
Common Stocks.................. $ 31,088,275 -- -- -- $ 31,088,275
U.S. TARGETED VALUE PORTFOLIO
Common Stocks.................. 1,703,830,892 -- -- -- 1,703,830,892
U.S. SMALL CAP VALUE PORTFOLIO
Common Stocks.................. 1,900,659,111 -- -- -- 1,900,659,111
U.S. CORE EQUITY 1 PORTFOLIO
Common Stocks, Rights/Warrants. 1,805,785,077 -- -- -- 1,805,785,077
U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants. 2,055,867,234 -- -- -- 2,055,867,234
U.S. VECTOR EQUITY PORTFOLIO
Common Stocks, Rights/Warrants. 664,388,590 -- -- -- 664,388,590
U.S. SMALL CAP PORTFOLIO
Common Stocks.................. 3,518,843,904 -- -- -- 3,518,843,904
U.S. MICRO CAP PORTFOLIO
Common Stocks.................. 952,804,374 -- -- -- 952,804,374
163
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2017
------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
-------------- -------- ------------ -------- --------------
DFA REAL ESTATE SECURITIES PORTFOLIO
Common Stocks........................... $ 475,930,650 -- -- -- $ 475,930,650
LARGE CAP INTERNATIONAL PORTFOLIO
Common Stocks, Preferred Stocks......... 342,820,452 -- -- -- 342,820,452
INTERNATIONAL CORE EQUITY PORTFOLIO
Common Stocks, Preferred Stocks,
Rights/Warrants....................... 2,079,631,191 -- -- -- 2,079,631,191
DFA INTERNATIONAL REAL ESTATE SECURITIES
PORTFOLIO
Common Stocks........................... 200,241,680 -- -- -- 200,241,680
DFA GLOBAL REAL ESTATE SECURITIES
PORTFOLIO
Common Stocks........................... 174,736,767 -- -- -- 174,736,767
DFA INTERNATIONAL SMALL CAP VALUE
PORTFOLIO
Common Stocks, Rights/Warrants.......... 894,959,738 -- -- -- 894,959,738
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Common Stocks, Preferred Stocks,
Rights/Warrants....................... 209,216,208 -- -- -- 209,216,208
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Common Stocks........................... 9,956,793 -- -- -- 9,956,793
WORLD EX U.S. CORE EQUITY PORTFOLIO
Common Stocks, Preferred Stocks,
Rights/Warrants....................... 163,905,361 -- -- -- 163,905,361
EMERGING MARKETS CORE EQUITY PORTFOLIO
Common Stocks, Rights/Warrants.......... 1,095,915,225 -- -- -- 1,095,915,225
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 six months ended April 30, 2017, the following Portfolios
realized net gains (losses) on in-kind redemptions as follows:
U.S. Small Cap Portfolio....... $125,200
U.S. Small Cap Value Portfolio. 79,386
164
O. OTHER:
At April 30, 2017, 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................................................... 3 76%
U.S. Large Cap Equity Portfolio-Institutional Class Shares....... 3 90%
U.S. Large Cap Value Portfolio-Institutional Class Shares........ 3 71%
U.S. Targeted Value Portfolio-Class R1 Shares.................... 4 87%
U.S. Targeted Value Portfolio-Class R2 Shares.................... 7 77%
U.S. Targeted Value Portfolio-Institutional Class Shares......... 3 58%
U.S. Small Cap Value Portfolio-Institutional Class Shares........ 3 59%
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 86%
U.S. Small Cap Portfolio-Institutional Class Shares.............. 3 51%
U.S. Micro Cap Portfolio-Institutional Class Shares.............. 4 74%
DFA Real Estate Securities Portfolio-Institutional Class Shares.. 4 76%
Large Cap International Portfolio-Institutional Class Shares..... 3 66%
International Core Equity Portfolio-Institutional Class Shares... 4 72%
International Small Company Portfolio-Institutional Class Shares. 3 57%
Global Small Company Portfolio-Institutional Class Shares........ 3 94%
Japanese Small Company Portfolio-Institutional Class Shares...... 4 86%
Asia Pacific Small Company Portfolio-Institutional Class Shares.. 3 91%
United Kingdom Small Company Portfolio-Institutional
Class Shares................................................... 4 93%
Continental Small Company Portfolio-Institutional Class Shares... 4 96%
DFA International Real Estate Securities Portfolio-Institutional
Class Shares................................................... 4 88%
DFA Global Real Estate Securities Portfolio-Institutional
Class Shares................................................... 3 70%
DFA International Small Cap Value Portfolio-Institutional
Class Shares................................................... 4 68%
International Vector Equity Portfolio-Institutional Class Shares. 4 90%
World ex U.S. Value Portfolio-Institutional Class Shares......... 7 93%
World ex U.S. Targeted Value Portfolio-Institutional
Class Shares................................................... 3 99%
World ex U.S. Core Equity Portfolio-Institutional Class Shares... 3 77%
World Core Equity Portfolio-Institutional Class Shares........... 4 83%
Selectively Hedged Global Equity Portfolio-Institutional
Class Shares................................................... 4 96%
Emerging Markets Portfolio-Institutional Class Shares............ 4 66%
Emerging Markets Small Cap Portfolio-Institutional
Class Shares................................................... 3 52%
Emerging Markets Value Portfolio-Class R2 Shares................. 4 96%
Emerging Markets Value Portfolio-Institutional Class Shares...... 2 34%
Emerging Markets Core Equity Portfolio-Institutional
Class Shares................................................... 3 61%
165
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 (the "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 United States Court of
Appeals for the Second Circuit (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 Supreme Court of the United States to review the Second
Circuit's ruling, and that petition is pending. On January 6, 2017, the Court
granted the shareholder defendant's motion to dismiss the claims against them
in the Committee Action. The Trustee requested that the Court certify the
dismissal order for appeal to the Second Circuit, and the District Court
advised that it will certify the dismissal order for appeal after it rules on
the additional pending motions to dismiss (not involving the shareholder
defendants).
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 borne by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expenses 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.
166
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
As noted in the table provided below, the following funds paid distributions to
shareholders of record a portion of which is estimated to be in excess of a
fund's current and accumulated undistributed net income. 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. Tax reporting information for the shareholders of a fund will not be
available until the end of a fund's fiscal year. As a result, shareholders
should not use the information provided in this notice for tax reporting
purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
----------------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING NET PROFITS FROM
FISCAL YEAR, AND THE SALE OF PAID-IN
ACCUMULATED SECURITIES OR SURPLUS OR
UNDISTRIBUTED OTHER OTHER CAPITAL
PORTFOLIO NAME NET INCOME PROPERTIES SOURCE
-------------- ---------------- ---------------- -------------
Enhanced U.S. Large Company Portfolio
December 15, 2016................... 91% 0% 9%
U.S. Large Cap Equity Portfolio
December 15, 2016................... 91% 0% 9%
U.S. Large Cap Value Portfolio
December 15, 2016................... 89% 0% 11%
U.S. Targeted Value Portfolio
December 15, 2016................... 85% 0% 15%
U.S. Small Cap Value Portfolio
December 15, 2016................... 55% 0% 45%
U.S. Core Equity 1 Portfolio
December 14, 2016................... 90% 0% 10%
U.S. Core Equity 2 Portfolio
December 14, 2016................... 89% 0% 11%
U.S. Vector Equity Portfolio
December 15, 2016................... 85% 0% 15%
U.S. Small Cap Portfolio
December 15, 2016................... 78% 0% 22%
U.S. Micro Cap Portfolio
December 15, 2016................... 81% 0% 19%
DFA Real Estate Securities Portfolio
December 14, 2016................... 95% 0% 5%
Large Cap International Portfolio
December 14, 2016................... 72% 0% 28%
International Core Equity Portfolio
December 14, 2016................... 62% 0% 38%
International Small Company Portfolio
December 15, 2016................... 0% 0% 100%
Japanese Small Company Portfolio
December 15, 2016................... 24% 0% 76%
Asia Pacific Small Company Portfolio
December 15, 2016................... 15% 0% 85%
United Kingdom Small Company Portfolio
December 15, 2016................... 59% 0% 41%
Continental Small Company Portfolio
December 15, 2016................... 36% 0% 64%
167
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
---------------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING NET PROFITS FROM
FISCAL YEAR, AND THE SALE OF PAID-IN
ACCUMULATED SECURITIES OR SURPLUS OR
UNDISTRIBUTED OTHER OTHER CAPITAL
PORTFOLIO NAME NET INCOME PROPERTIES SOURCE
-------------- ---------------- ---------------- -------------
DFA International Real Estate Securities Portfolio
December 14, 2016............................... 0% 0% 100%
DFA Global Real Estate Securities Portfolio
December 15, 2016............................... 99% 0% 1%
DFA International Small Cap Value Portfolio
December 14, 2016............................... 0% 0% 100%
International Vector Equity Portfolio
December 14, 2016............................... 53% 0% 47%
World ex U.S. Value Portfolio
December 15, 2016............................... 80% 0% 20%
World ex U.S. Targeted Value Portfolio
December 15, 2016............................... 83% 0% 17%
World ex U.S. Core Equity Portfolio
December 15, 2016............................... 59% 0% 41%
World Core Equity Portfolio
March 30, 2017.................................. 100% 0% 0%*
Selectively Hedged Global Equity Portfolio
December 15, 2016............................... 91% 0% 9%
Emerging Markets Portfolio
December 15, 2016............................... 19% 0% 81%
Emerging Markets Small Cap Portfolio
December 15, 2016............................... 30% 0% 70%
Emerging Markets Value Portfolio
December 15, 2016............................... 0% 0% 100%
Emerging Markets Core Equity Portfolio
December 14, 2016............................... 26% 0% 74%
* Amount is less than 1%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
168
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
DFA COMMODITY STRATEGY PORTFOLIO
--------------------------------
Actual Fund Return............... $1,000.00 $ 999.80 0.32% $1.59
Hypothetical 5% Annual Return.... $1,000.00 $1,023.21 0.32% $1.61
----------
* 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 (181), then divided by the
number of days in the year (365) to reflect the six-month period.
169
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 30, 2017. 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.................................... 45.4%
Government................................... 28.7%
Foreign Corporate............................ 19.6%
Foreign Government........................... 5.8%
Supranational................................ 0.5%
-----
100.0%
170
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (68.8%)
AUSTRALIA -- (3.5%)
Australia & New Zealand Banking Group, Ltd.
# 1.250%, 06/13/17............................. 8,000 $ 8,001,264
Commonwealth Bank of Australia
1.900%, 09/18/17............................. 2,000 2,003,738
2.300%, 09/06/19............................. 10,100 10,164,054
5.000%, 10/15/19............................. 10,000 10,677,570
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 5,000 5,069,995
National Australia Bank, Ltd.
## 2.400%, 12/09/19............................. 9,500 9,554,521
Westpac Banking Corp.
2.000%, 08/14/17............................. 3,000 3,005,448
2.250%, 07/30/18............................. 3,200 3,222,435
2.150%, 03/06/20............................. 5,000 5,020,030
------------
TOTAL AUSTRALIA.................................. 56,719,055
------------
BELGIUM -- (0.3%)
Anheuser-Busch InBev Worldwide, Inc.
1.375%, 07/15/17............................. 4,700 4,700,587
------------
CANADA -- (6.4%)
Alberta, Province of Canada
1.900%, 12/06/19............................. 5,000 5,014,735
Bank of Montreal
2.375%, 01/25/19............................. 15,620 15,763,610
Potash Corp. of Saskatchewan, Inc.
6.500%, 05/15/19............................. 1,446 1,563,075
Province of Ontario Canada
1.100%, 10/25/17............................. 10,000 9,989,560
1.200%, 02/14/18............................. 15,000 14,981,970
1.650%, 09/27/19............................. 6,103 6,092,369
Royal Bank of Canada
1.500%, 01/16/18............................. 1,180 1,180,338
2.200%, 07/27/18............................. 1,005 1,012,283
1.800%, 07/30/18............................. 8,492 8,508,542
1.500%, 07/29/19............................. 4,625 4,580,845
Thomson Reuters Corp.
1.650%, 09/29/17............................. 3,992 3,994,228
6.500%, 07/15/18............................. 1,000 1,054,400
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 10,000 9,992,190
2.125%, 07/02/19............................. 19,850 19,966,321
------------
TOTAL CANADA..................................... 103,694,466
------------
DENMARK -- (0.9%)
Nordea Bank AB
2.375%, 04/04/19............................. 15,000 15,110,805
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
FINLAND -- (0.4%)
Municipality Finance P.L.C.
1.250%, 04/18/19............................. 5,000 $ 4,960,700
1.750%, 05/21/19............................. 1,150 1,152,045
-----------
TOTAL FINLAND.................................... 6,112,745
-----------
FRANCE -- (2.1%)
BNP Paribas SA
2.375%, 09/14/17............................. 6,140 6,159,316
BPCE SA
1.625%, 01/26/18............................. 1,950 1,946,746
Orange SA
1.625%, 11/03/19............................. 2,000 1,975,522
Sanofi
1.250%, 04/10/18............................. 1,800 1,798,738
Societe Generale SA
2.750%, 10/12/17............................. 980 985,116
Total Capital Canada, Ltd.
# 1.450%, 01/15/18............................. 2,000 1,999,182
Total Capital International SA
1.550%, 06/28/17............................. 1,040 1,040,468
2.100%, 06/19/19............................. 18,335 18,453,132
-----------
TOTAL FRANCE..................................... 34,358,220
-----------
GERMANY -- (1.7%)
Bayer U.S. Finance LLC
2.375%, 10/08/19............................. 2,000 2,013,660
Daimler Finance North America LLC
## 1.650%, 03/02/18............................. 4,490 4,488,357
Deutsche Bank AG
6.000%, 09/01/17............................. 4,300 4,360,402
Deutsche Telekom International Finance BV
## 1.500%, 09/19/19............................. 3,000 2,956,278
State of North Rhine-Westphalia
1.625%, 01/22/20............................. 3,650 3,628,917
Volkswagen Group of America Finance LLC
## 2.125%, 05/23/19............................. 10,000 9,981,420
-----------
TOTAL GERMANY.................................... 27,429,034
-----------
IRELAND -- (0.5%)
Actavis, Inc.
1.875%, 10/01/17............................. 7,500 7,505,925
Medtronic, Inc.
1.375%, 04/01/18............................. 300 299,777
-----------
TOTAL IRELAND.................................... 7,805,702
-----------
ITALY -- (0.5%)
Enel Finance International NV
## 6.250%, 09/15/17............................. 4,300 4,372,975
171
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
ITALY -- (Continued)
Intesa Sanpaolo SpA
3.875%, 01/16/18............................. 1,500 $ 1,517,981
3.875%, 01/15/19............................. 2,570 2,627,270
-----------
TOTAL ITALY...................................... 8,518,226
-----------
JAPAN -- (2.5%)
American Honda Finance Corp.
1.550%, 12/11/17............................. 2,575 2,578,404
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
2.350%, 09/08/19............................. 850 851,765
Mizuho Bank, Ltd.
## 1.550%, 10/17/17............................. 7,700 7,699,692
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 1,034 1,044,069
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 3,500 3,532,067
Toyota Motor Credit Corp.
2.000%, 10/24/18............................. 4,149 4,176,056
1.400%, 05/20/19............................. 9,500 9,442,382
2.125%, 07/18/19............................. 1,080 1,087,884
1.550%, 10/18/19............................. 10,000 9,937,610
-----------
TOTAL JAPAN...................................... 40,349,929
-----------
NETHERLANDS -- (2.8%)
Cooperatieve Rabobank UA
1.700%, 03/19/18............................. 2,800 2,803,987
2.250%, 01/14/19............................. 13,665 13,761,133
Heineken NV
## 1.400%, 10/01/17............................. 2,500 2,499,060
ING Bank NV
## 2.500%, 10/01/19............................. 3,000 3,021,633
LyondellBasell Industries NV
5.000%, 04/15/19............................. 1,022 1,073,592
Mondelez International, Inc.
1.625%, 10/28/19............................. 2,000 1,970,892
Nederlandse Waterschapsbank NV
1.625%, 03/04/20............................. 4,362 4,338,698
Shell International Finance BV
1.900%, 08/10/18............................. 4,000 4,019,764
2.000%, 11/15/18............................. 3,250 3,267,820
4.300%, 09/22/19............................. 9,108 9,630,772
-----------
TOTAL NETHERLANDS................................ 46,387,351
-----------
NORWAY -- (0.7%)
Kommunalbanken A.S.
1.750%, 05/28/19............................. 5,000 5,010,780
1.625%, 01/15/20............................. 5,450 5,433,323
Statoil ASA
1.950%, 11/08/18............................. 1,035 1,038,899
-----------
TOTAL NORWAY 11,483,002
-----------
SPAIN -- (0.7%)
Iberdrola Finance Ireland, Ltd.
## 5.000%, 09/11/19............................. 2,000 2,124,596
FACE
AMOUNT^ VALUE+
------- ------
(000)
SPAIN -- (Continued)
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 4,992 $ 4,979,720
Telefonica Emisiones SAU
6.221%, 07/03/17............................. 2,000 2,015,900
3.192%, 04/27/18............................. 1,800 1,824,044
-----------
TOTAL SPAIN...................................... 10,944,260
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.4%)
Council Of Europe Development Bank
1.750%, 11/14/19............................. 7,000 7,025,158
-----------
SWEDEN -- (1.7%)
Svensk Exportkredit AB
1.875%, 06/17/19............................. 17,000 17,071,774
Svenska Handelsbanken AB
1.625%, 03/21/18............................. 5,000 4,996,680
2.250%, 06/17/19............................. 5,000 5,030,595
-----------
TOTAL SWEDEN..................................... 27,099,049
-----------
SWITZERLAND -- (1.2%)
Credit Suisse AG New York
1.375%, 05/26/17............................. 1,000 1,000,202
Credit Suisse New York
1.700%, 04/27/18............................. 7,595 7,589,296
UBS AG
1.800%, 03/26/18............................. 3,850 3,856,715
2.375%, 08/14/19............................. 1,500 1,510,785
2.350%, 03/26/20............................. 6,000 6,036,816
-----------
TOTAL SWITZERLAND................................ 19,993,814
-----------
UNITED KINGDOM -- (1.1%)
AstraZeneca P.L.C.
1.750%, 11/16/18............................. 6,958 6,966,864
BP Capital Markets P.L.C.
# 4.750%, 03/10/19............................. 4,110 4,325,915
Diageo Capital P.L.C.
1.500%, 05/11/17............................. 3,500 3,500,504
GlaxoSmithKline Capital, Inc.
5.650%, 05/15/18............................. 1,028 1,072,306
HSBC USA, Inc.
1.625%, 01/16/18............................. 820 819,791
Vodafone Group P.L.C.
1.250%, 09/26/17............................. 750 749,605
-----------
TOTAL UNITED KINGDOM............................. 17,434,985
-----------
UNITED STATES -- (41.4%)
3M Co.
1.625%, 06/15/19............................. 3,200 3,209,283
Abbott Laboratories
5.125%, 04/01/19............................. 2,835 2,994,959
Air Products & Chemicals, Inc.
1.200%, 10/15/17............................. 700 699,860
American Express Co.
7.000%, 03/19/18............................. 8,212 8,593,833
172
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
American Honda Finance Corp.
2.250%, 08/15/19............................. 2,000 $ 2,023,338
American International Group, Inc.
2.300%, 07/16/19............................. 2,000 2,008,466
AmerisourceBergen Corp.
4.875%, 11/15/19............................. 2,618 2,792,987
Anthem, Inc.
5.875%, 06/15/17............................. 3,100 3,116,018
Apple, Inc.
1.100%, 08/02/19............................. 4,045 4,004,412
1.900%, 02/07/20............................. 38,000 38,206,834
Assurant, Inc.
2.500%, 03/15/18............................. 203 204,169
AT&T, Inc.
1.400%, 12/01/17............................. 3,400 3,396,376
2.300%, 03/11/19............................. 575 577,744
Autodesk, Inc.
1.950%, 12/15/17............................. 5,650 5,653,599
Bank of America Corp.
2.600%, 01/15/19............................. 4,000 4,039,268
Bank of New York Mellon Corp. (The)
2.100%, 01/15/19............................. 1,000 1,005,929
BB&T Corp.
1.450%, 01/12/18............................. 170 170,114
Becton Dickinson and Co.
1.800%, 12/15/17............................. 4,900 4,896,942
Berkshire Hathaway, Inc.
1.550%, 02/09/18............................. 2,500 2,504,728
2.100%, 08/14/19............................. 2,800 2,823,408
Boston Scientific Corp.
2.650%, 10/01/18............................. 1,000 1,009,656
Branch Banking & Trust Co.
2.300%, 10/15/18............................. 1,000 1,007,006
Bristol-Myers Squibb Co.
0.875%, 08/01/17............................. 1,685 1,683,270
Burlington Northern Santa Fe LLC
4.700%, 10/01/19............................. 1,250 1,337,381
CA, Inc.
5.375%, 12/01/19............................. 5,245 5,656,512
Capital One Bank USA NA
2.300%, 06/05/19............................. 2,742 2,746,376
Capital One NA/Mclean
2.400%, 09/05/19............................. 6,536 6,563,745
Cardinal Health, Inc.
1.900%, 06/15/17............................. 5,000 5,003,980
1.700%, 03/15/18............................. 5,239 5,240,965
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 6,000 6,058,794
7.050%, 10/01/18............................. 5,000 5,362,135
CBS Corp.
2.300%, 08/15/19............................. 1,500 1,508,870
Chevron Corp.
1.345%, 11/15/17............................. 3,435 3,435,299
1.718%, 06/24/18............................. 1,425 1,429,836
2.193%, 11/15/19............................. 15,000 15,135,765
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Cisco Systems, Inc.
# 1.400%, 02/28/18............................. 9,958 $ 9,968,247
2.125%, 03/01/19............................. 10,000 10,103,200
1.400%, 09/20/19............................. 14,935 14,838,251
Citigroup, Inc.
2.050%, 12/07/18............................. 7,281 7,293,982
2.550%, 04/08/19............................. 750 757,245
Comcast Corp.
5.700%, 05/15/18............................. 732 763,218
Comerica, Inc.
2.125%, 05/23/19............................. 4,000 3,997,328
ConocoPhillips Co.
1.050%, 12/15/17............................. 3,000 2,990,730
1.500%, 05/15/18............................. 3,500 3,496,924
CVS Health Corp.
2.250%, 12/05/18............................. 7,000 7,051,240
Danaher Corp.
1.650%, 09/15/18............................. 2,000 2,003,816
Dollar General Corp.
1.875%, 04/15/18............................. 2,334 2,337,429
Duke Energy Corp.
1.625%, 08/15/17............................. 1,019 1,019,774
Eastman Chemical Co.
2.700%, 01/15/20............................. 3,883 3,945,555
eBay, Inc.
1.350%, 07/15/17............................. 7,000 6,998,334
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 11,927 12,529,313
Enterprise Products Operating LLC
1.650%, 05/07/18............................. 5,000 4,995,000
Exxon Mobil Corp.
1.439%, 03/01/18............................. 8,200 8,208,462
1.305%, 03/06/18............................. 19,430 19,429,417
1.912%, 03/06/20............................. 2,100 2,111,687
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 1,500 1,546,469
2.551%, 10/05/18............................. 5,000 5,034,160
General Mills, Inc.
2.200%, 10/21/19............................. 3,500 3,515,228
General Motors Financial Co., Inc.
3.150%, 01/15/20............................. 5,000 5,094,345
Gilead Sciences, Inc.
1.850%, 09/04/18............................. 7,064 7,084,803
Goldman Sachs Group, Inc. (The)
2.900%, 07/19/18............................. 1,000 1,013,130
7.500%, 02/15/19............................. 4,082 4,469,521
2.300%, 12/13/19............................. 600 601,317
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 585 583,425
Harris Corp.
1.999%, 04/27/18............................. 8,500 8,521,488
Huntington Bancshares, Inc.
2.600%, 08/02/18............................. 2,600 2,623,070
Intel Corp.
1.350%, 12/15/17............................. 1,000 1,000,552
Intercontinental Exchange, Inc.
2.500%, 10/15/18............................. 1,560 1,578,252
173
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
International Business Machines Corp.
# 1.950%, 02/12/19............................. 27,500 $27,705,040
Jefferies Group LLC
5.125%, 04/13/18............................. 1,000 1,030,243
JPMorgan Chase & Co.
2.000%, 08/15/17............................. 7,050 7,063,599
6.300%, 04/23/19............................. 3,500 3,790,087
Kellogg Co.
1.750%, 05/17/17............................. 3,000 3,000,447
KeyBank NA
2.350%, 03/08/19............................. 7,000 7,056,399
Kraft Heinz Foods Co.
2.250%, 06/05/17............................. 4,177 4,180,860
Kroger Co. (The)
2.300%, 01/15/19............................. 1,000 1,006,370
1.500%, 09/30/19............................. 1,565 1,546,704
Laboratory Corp. of America Holdings
2.200%, 08/23/17............................. 6,000 6,013,932
Mattel, Inc.
1.700%, 03/15/18............................. 7,000 6,991,082
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 4,417 4,452,963
McDonald's Corp.
5.800%, 10/15/17............................. 900 917,389
5.350%, 03/01/18............................. 2,000 2,061,184
# 2.100%, 12/07/18............................. 8,000 8,048,960
McKesson Corp.
1.400%, 03/15/18............................. 1,614 1,610,548
2.284%, 03/15/19............................. 6,000 6,035,202
Merck & Co., Inc.
1.850%, 02/10/20............................. 5,000 5,027,080
MetLife, Inc.
# 6.817%, 08/15/18............................. 2,000 2,129,610
7.717%, 02/15/19............................. 1,389 1,530,478
Microsoft Corp.
1.100%, 08/08/19............................. 10,000 9,903,570
Molson Coors Brewing Co.
## 2.250%, 03/15/20............................. 4,577 4,584,126
Monsanto Co.
1.850%, 11/15/18............................. 6,700 6,684,061
Morgan Stanley
7.300%, 05/13/19............................. 7,000 7,719,467
NetApp, Inc.
2.000%, 12/15/17............................. 6,200 6,213,572
NextEra Energy Capital Holdings, Inc.
2.700%, 09/15/19............................. 1,500 1,521,639
NiSource Finance Corp.
6.800%, 01/15/19............................. 2,000 2,154,272
Novartis Capital Corp.
4.400%, 04/24/20............................. 9,500 10,185,140
Nucor Corp.
5.750%, 12/01/17............................. 3,019 3,087,628
NYSE Euronext
2.000%, 10/05/17............................. 230 230,633
ONEOK Partners L.P.
2.000%, 10/01/17............................. 400 400,559
Oracle Corp.
2.250%, 10/08/19............................. 21,875 22,160,228
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
PACCAR Financial Corp.
1.750%, 08/14/18............................. 1,900 $ 1,905,759
Pfizer, Inc.
1.500%, 06/15/18............................. 1,000 1,001,299
2.100%, 05/15/19............................. 30,877 31,158,783
Philip Morris International, Inc.
5.650%, 05/16/18............................. 6,255 6,523,264
1.875%, 01/15/19............................. 5,000 5,007,020
Phillips 66
2.950%, 05/01/17............................. 5,000 5,000,000
Provident Cos., Inc.
7.000%, 07/15/18............................. 3,298 3,487,635
Prudential Financial, Inc.
6.000%, 12/01/17............................. 518 531,045
QUALCOMM, Inc.
1.400%, 05/18/18............................. 1,000 999,142
Republic Services, Inc.
5.500%, 09/15/19............................. 1,167 1,259,697
Reynolds American, Inc.
2.300%, 06/12/18............................. 4,650 4,675,552
Roper Technologies, Inc.
2.050%, 10/01/18............................. 1,500 1,504,418
Ryder System, Inc.
2.550%, 06/01/19............................. 2,400 2,422,877
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 2,000 2,023,218
Southern Co. (The)
1.300%, 08/15/17............................. 3,000 2,997,669
2.450%, 09/01/18............................. 2,700 2,721,379
Southwest Airlines Co.
2.750%, 11/06/19............................. 5,980 6,078,861
Stryker Corp.
1.300%, 04/01/18............................. 600 598,659
2.000%, 03/08/19............................. 8,000 8,026,960
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 7,735 7,818,662
Symantec Corp.
2.750%, 06/15/17............................. 4,595 4,596,608
Target Corp.
2.300%, 06/26/19............................. 10,000 10,128,680
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 1,000 1,087,145
Thermo Fisher Scientific, Inc.
2.400%, 02/01/19............................. 3,000 3,023,616
Total System Services, Inc.
2.375%, 06/01/18............................. 6,500 6,524,466
U.S. Bancorp
2.200%, 04/25/19............................. 5,000 5,045,510
UnitedHealth Group, Inc.
1.400%, 12/15/17............................. 956 956,054
1.625%, 03/15/19............................. 3,000 2,991,339
US Bank NA
1.400%, 04/26/19............................. 11,300 11,232,426
2.125%, 10/28/19............................. 5,000 5,043,030
Verizon Communications, Inc.
3.650%, 09/14/18............................. 5,000 5,124,975
1.375%, 08/15/19............................. 2,000 1,973,866
2.625%, 02/21/20............................. 2,193 2,226,812
174
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Walgreens Boots Alliance, Inc.
1.750%, 05/30/18............................. 4,200 $ 4,216,002
2.700%, 11/18/19............................. 470 476,862
Walt Disney Co. (The)
1.500%, 09/17/18............................. 1,255 1,257,103
Wells Fargo & Co.
1.500%, 01/16/18............................. 700 699,721
Whirlpool Co.
1.650%, 11/01/17............................. 7,000 7,001,316
Zoetis, Inc.
1.875%, 02/01/18............................. 6,564 6,573,452
--------------
TOTAL UNITED STATES.............................. 675,570,723
--------------
TOTAL BONDS...................................... 1,120,737,111
--------------
U.S. TREASURY OBLIGATIONS -- (29.8%)
U.S. Treasury Notes
^^ 1.375%, 06/30/18............................. 99,000 99,232,056
FACE
AMOUNT^ VALUE+
------- ------
(000)
U.S. TREASURY OBLIGATIONS -- (Continued)
# 0.875%, 09/15/19............................. 149,000 $ 147,393,631
1.500%, 10/31/19............................. 105,000 105,369,180
1.000%, 11/15/19............................. 136,000 134,756,824
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 486,751,691
--------------
TOTAL INVESTMENT SECURITIES........................ 1,607,488,802
--------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (1.4%)
(S)@ DFA Short Term Investment Fund 1,907,915..... 22,080,299
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,631,680,427)............................ $1,629,569,101
==============
Summary of the Portfolio's investments as of April 30, 2017, 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.............................. -- $ 56,719,055 -- $ 56,719,055
Belgium................................ -- 4,700,587 -- 4,700,587
Canada................................. -- 103,694,466 -- 103,694,466
Denmark................................ -- 15,110,805 -- 15,110,805
Finland................................ -- 6,112,745 -- 6,112,745
France................................. -- 34,358,220 -- 34,358,220
Germany................................ -- 27,429,034 -- 27,429,034
Ireland................................ -- 7,805,702 -- 7,805,702
Italy.................................. -- 8,518,226 -- 8,518,226
Japan.................................. -- 40,349,929 -- 40,349,929
Netherlands............................ -- 46,387,351 -- 46,387,351
Norway................................. -- 11,483,002 -- 11,483,002
Spain.................................. -- 10,944,260 -- 10,944,260
Supranational Organization Obligations. -- 7,025,158 -- 7,025,158
Sweden................................. -- 27,099,049 -- 27,099,049
Switzerland............................ -- 19,993,814 -- 19,993,814
United Kingdom......................... -- 17,434,985 -- 17,434,985
United States.......................... -- 675,570,723 -- 675,570,723
U.S. Treasury Obligations................ -- 486,751,691 -- 486,751,691
Securities Lending Collateral............ -- 22,080,299 -- 22,080,299
Swap Agreements**........................ -- 1,801,375 -- 1,801,375
Futures Contracts**...................... $ (1,594,016) -- -- (1,594,016)
------------- -------------- -- --------------
TOTAL.................................... $(1,594,016).. $1,631,370,476 -- $1,629,776,460
============= ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
175
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investments at Value (including $21,634 of securities on loan)................................ $ 1,607,489
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $22,077). 22,080
Segregated Cash for Swaps Contracts........................................................... 22,739
Cash.......................................................................................... 36,186
Receivables:
Investment Securities Sold.................................................................. 5,854
Interest.................................................................................... 7,824
Securities Lending Income................................................................... 22
Fund Shares Sold............................................................................ 1,382
Futures Margin Variation.................................................................... 266
Unrealized Gain on Swap Contracts............................................................. 1,801
Prepaid Expenses and Other Assets............................................................. 63
--------------
Total Assets............................................................................. 1,705,706
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 22,098
Investment Securities Purchased............................................................. 1,385
Fund Shares Redeemed........................................................................ 5,799
Due to Advisor.............................................................................. 416
Accrued Expenses and Other Liabilities........................................................ 86
--------------
Total Liabilities........................................................................ 29,784
--------------
NET ASSETS.................................................................................... $ 1,675,922
==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)....................................................... 288,107,424
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................................... $ 5.82
==============
Investments at Cost........................................................................... $ 1,609,603
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................................... $ 1,684,161
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........ 26,243
Accumulated Net Realized Gain (Loss).......................................................... (32,566)
Net Unrealized Appreciation (Depreciation).................................................... (1,916)
--------------
NET ASSETS.................................................................................... $ 1,675,922
==============
(1) NUMBER OF SHARES AUTHORIZED............................................................... 1,800,000,000
==============
See accompanying Notes to Financial Statements.
176
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Interest.......................................................................................... $ 11,734
Dividends#........................................................................................ 125
Income from Securities Lending.................................................................... 125
--------
Total Investment Income........................................................................ 11,984
--------
EXPENSES
Investment Management Fees........................................................................ 3,006
Accounting & Transfer Agent Fees.................................................................. 48
Custodian Fees.................................................................................... 28
Filing Fees....................................................................................... 45
Shareholders' Reports............................................................................. 31
Directors'/Trustees' Fees & Expenses.............................................................. 8
Professional Fees................................................................................. 28
Other............................................................................................. 19
--------
Total Expenses................................................................................. 3,213
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D). (523)
Fees Paid Indirectly (Note C)..................................................................... (8)
--------
Net Expenses...................................................................................... 2,682
--------
NET INVESTMENT INCOME (LOSS)...................................................................... 9,302
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................................... (1,187)
Futures......................................................................................... (1,320)
Swap Contracts.................................................................................. (29,842)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... (3,563)
Futures......................................................................................... (482)
Swap Contracts.................................................................................. 23,359
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................... (13,035)
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................... $ (3,733)
========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
177
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA COMMODITY STRATEGY
PORTFOLIO
----------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2017 2016
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................................................... $ 9,302 $ 12,561
Net Realized Gain (Loss) on:
Investment Securities Sold*........................................................ (1,187) 484
Futures............................................................................ (1,320) 5,533
Swap Contracts..................................................................... (29,842) 22,428
Change in Unrealized Appreciation (Depreciation) of:.................................
Investment Securities and Foreign Currency......................................... (3,563) 1,678
Futures............................................................................ (482) 9
Swap Contracts..................................................................... 23,359 (20,194)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations................... (3,733) 22,499
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares......................................................... (15,691) (7,538)
Net Short-Term Gains:
Institutional Class Shares......................................................... (875) --
Net Long-Term Gains:
Institutional Class Shares......................................................... -- (155)
---------- ----------
Total Distributions............................................................... (16,566) (7,693)
---------- ----------
Capital Share Transactions (1):
Shares Issued........................................................................ 379,166 1,017,341
Shares Issued in Lieu of Cash Distributions.......................................... 16,028 7,499
Shares Redeemed...................................................................... (297,070) (648,620)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions........................... 98,124 376,220
---------- ----------
Total Increase (Decrease) in Net Assets........................................... 77,825 391,026
NET ASSETS
Beginning of Period.................................................................. 1,598,097 1,207,071
---------- ----------
End of Period........................................................................ $1,675,922 $1,598,097
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................................ 63,613 183,938
Shares Issued in Lieu of Cash Distributions.......................................... 2,708 1,318
Shares Redeemed...................................................................... (50,092) (116,801)
---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 16,229 68,455
========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME). $ 26,243 $ 32,632
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
178
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA COMMODITY STRATEGY PORTFOLIO
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 5.88 $ 5.93 $ 8.00 $ 8.30 $ 9.40 $ 9.77
---------- ---------- ---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.03 0.05 0.05 0.06 0.06 0.07
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... (0.03) (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............................ (0.06) (0.03) (0.06) (0.04) (0.04) (0.06)
Net Realized Gains............................... -- -- (0.01) (0.01) (0.02) (0.01)
---------- ---------- ---------- ---------- -------- --------
Total Distributions............................ (0.06) (0.03) (0.07) (0.05) (0.06) (0.07)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 5.82 $ 5.88 $ 5.93 $ 8.00 $ 8.30 $ 9.40
================================================= =========== ========== ========== ========== ======== ========
Total Return...................................... (0.02)%(D) (0.26)% (25.16)% (3.08)% (11.15)% (3.08)%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $1,675,922 $1,598,097 $1,207,071 $1,194,191 $786,314 $458,079
Ratio of Expenses to Average Net Assets........... 0.32%(E) 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)................ 0.39%(E) 0.40% 0.40% 0.39% 0.40% 0.41%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.12%(E) 0.95% 0.77% 0.65% 0.66% 0.79%
Portfolio Turnover Rate........................... 45%(D) 159% 124% 104% 64% 69%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
179
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of ninety-six 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
180
agreements will be valued at the price provided by an independent third-party
pricing service or source. If a price is not available from an independent
third-party pricing service or source, the swap agreement will be valued in
good faith at fair value in accordance with procedures adopted by the Board.
These securities are generally categorized as Level 2 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Portfolio's investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Schedule
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the six months ended April 30, 2017, 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'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2017, 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
181
Subsidiary pursues its investment goal by investing in commodities,
commodities-related instruments, derivatives and other investments. The
Subsidiary (unlike the Portfolio) may invest without limitation in these
instruments. However, the Subsidiary is otherwise subject to the same
fundamental, non-fundamental and certain other investment restrictions as the
Portfolio. The portion of the Portfolio's or Subsidiary's assets exposed to any
particular commodity, derivative or other investment will vary based on market
conditions, but from time to time some exposure could be substantial.
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Portfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and other investments held by the
Subsidiary are generally similar to those that are permitted to be held by the
Portfolio and are subject to the same risks that apply to similar investments
if held directly by the Portfolio.
The Subsidiary is classified as a controlled foreign corporation under
Subchapter N of the Internal Revenue Code. Therefore, the Portfolio is required
to increase its taxable income by its share of the Subsidiary's income. Net
investment losses of the Subsidiary cannot be deducted by the Portfolio in the
current period nor carried forward to offset taxable income in future periods.
As of April 30, 2017, the Portfolio held a $315,220,279 investment in the
Subsidiary, representing 18.81% of the Portfolio's total assets. The
accompanying consolidated financial statements include all assets, liabilities,
revenues and expenses of the Portfolio and its wholly-owned Subsidiary.
Intercompany balances and transactions have been eliminated in consolidation.
D. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the six months ended April 30, 2017, the
investment management fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.30% of the Portfolio's average daily net
assets.
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive all or a portion of the management fee and to assume the expenses of the
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in The DFA Short Term Investment Fund and its investment in
unaffiliated investment companies) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses 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, 2018, and may only be terminated by the Fund's Board of Directors
prior to that date. The Fee Waiver Agreement will continue in effect from year
to year thereafter unless terminated by the Fund or the Advisor. At April 30,
2017, there were no previously waived fees subject to future recovery by the
Advisor.
The Subsidiary has entered into a separate contract with the Advisor whereby
the Advisor or its affiliates provide investment advisory and other services to
the Subsidiary. For the investment advisory services it provides, the Advisor
is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's
average net assets on an annualized basis; however, pursuant to a contractual
agreement, the Advisor has agreed to waive the management fee of the Subsidiary.
For the six months ended April 30, 2017, approximately $523 (in thousands)
of the Subsidiary's management fees were waived pursuant to the Subsidiary fee
waiver agreement.
182
EARNED INCOME CREDIT:
In addition, the Portfolio has entered into an arrangement with its
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of the
Portfolio's net assets. During the six months ended April 30, 2017, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Commodity Strategy Portfolio. $8
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2017, the total related amounts paid by the
Fund to the CCO were $150 (in thousands). The total related amounts paid by the
Portfolio are included in Other Expenses on the Statement of Operations.
E. DEFERRED COMPENSATION:
At April 30, 2017, 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. $19
F. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, the Portfolio's transactions
related to investment securities, other than short-term securities (amounts in
thousands), were as follows:
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------ ------------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- --------
DFA Commodity Strategy Portfolio. $463,599 $463,568 $317,892 $268,187
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
183
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)
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 April 30, 2017, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
DFA Commodity Strategy Portfolio. $1,632,611 $606 $(3,648) $(3,042)
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
184
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's investment objective and policies, the
Portfolio may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolio may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolio. The Portfolio may gain exposure to commodity markets by
investing up to 25% of the Portfolio's total assets in the Subsidiary. The
Subsidiary may invest without limitation in commodity-linked notes, swap
agreements and other commodity-linked derivative instruments, including futures
contracts on individual commodities or a subset of commodities and options on
commodities. The accompanying consolidated schedule of investments includes
investments of the Portfolio and its wholly-owned Subsidiary.
2. FORWARD CURRENCY CONTRACTS: The Portfolio may 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
185
cleared through a clearinghouse that serves as a central counterparty (for a
cleared swap), and may be traded on swap execution facilities (exchanges). Swap
agreements are contracts entered into primarily by institutional investors for
periods ranging from a few weeks to more than one year. In a standard "swap"
transaction, two parties agree to exchange the returns (or differentials in
rates of return) earned or realized on particular predetermined investments or
instruments, which may be adjusted for an interest factor. In an uncleared
swap, the swap counterparty is typically a brokerage firm, bank or other
financial institution. In a cleared swap, the Portfolio's ultimate counterparty
is a central clearinghouse rather than a brokerage firm, bank or other
financial institution.
An investment in a commodity swap agreement may involve the exchange of
floating-rate interest payments for the total return on a commodity index. In a
total return commodity swap, the Portfolio will receive the price appreciation
of a commodity index, a portion of the index, or a single commodity in exchange
for paying an agreed-upon fee. The Portfolio may also enter into credit default
swap agreements. The "buyer" in a credit default contract is obligated to pay
the "seller" a periodic stream of payments over the term of the contract
provided that no event of default on an underlying reference obligation has
occurred. If an event of default occurs, the seller must pay the buyer the full
notional value, or "par value," of the reference obligation in exchange for the
reference obligation. The Portfolio may be either the buyer or seller in a
credit default swap transaction. Credit default swap transactions involve
greater risks than if the Portfolio had invested in the reference obligation
directly.
Most swap agreements entered into by the Portfolio will calculate the
obligations of the parties to the agreement on a "net" basis, which means that
the two payment streams are netted out, with the Portfolio receiving or paying,
as the case may be, only the net amount of the two payments. The Portfolio's
current obligations under a swap agreement will be accrued daily (offset
against any amounts owed to the Portfolio) and any accrued but unpaid net
amounts owed to a swap counterparty will be covered by the segregation of
assets determined to be liquid to avoid any potential leveraging of the
Portfolio's portfolio.
Uncleared swaps are typically executed bilaterally with a swap dealer rather
than traded on exchanges. Parties to uncleared swaps face greater counterparty
credit risk than those engaging in cleared swaps since performance of uncleared
swap obligations is the responsibility only of the swap counterparty rather
than a clearinghouse, as is the case with cleared swaps. As a result, the
Portfolio bears the risk of loss of the amount expected to be received under a
swap agreement in the event of the default, insolvency or bankruptcy of a swap
agreement counterparty beyond any collateral received. In such an event, the
Portfolio will have contractual remedies pursuant to the swap agreements, but
bankruptcy and insolvency laws could affect the Portfolio's rights as a
creditor. The Portfolio will enter into swap agreements only with
counterparties that meet certain standards of creditworthiness as determined by
the Advisor's Investment Committee. To the extent that the Portfolio cannot
dispose of a swap in the ordinary course of business within seven days at
approximately the value at which the Portfolio has valued the swap, the
Portfolio will treat the swap as illiquid and subject to its overall limit on
illiquid investments of 15% of the Portfolio's net assets.
The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and
implementing rules adopted by the Commodity Futures Trading Commission ("CFTC")
currently require the clearing and exchange-trading of the most common types of
credit default index swaps and interest rate swaps, and it is expected that
additional categories of swaps will in the future be designated as subject to
mandatory clearing and trade execution requirements. Central clearing is
intended to reduce counterparty credit risk and increase liquidity, but central
clearing does not eliminate these risks completely. There is also a risk of
loss by the Portfolio of the initial and variation margin deposits in the event
of bankruptcy of the FCM with which the Portfolio has an open position, or the
central counterparty in a swap contract. The assets of the Portfolio may not be
fully protected in the event of the bankruptcy of the FCM or central
counterparty because the Portfolio might be limited to recovering only a pro
rata share of all available funds and margin segregated on behalf of an FCM's
customers.
FUTURES ACTIVITIES:
The Portfolio may enter into commodity, foreign currency, interest rate and
commodity or securities index futures contracts and purchase and write (sell)
related options traded on exchanges designated by the CFTC or, consistent with
CFTC regulations, on foreign exchanges.
186
5. FUTURES CONTRACTS: A commodity futures contract provides for the future
sale by one party and the future purchase by the other party of a specified
amount of a commodity, such as an energy, agricultural or metal commodity, at a
specified price, date, time and place. A foreign currency futures contract
provides for the future sale by one party and the future purchase by the other
party of a certain amount of a specified non-U.S. currency at a specified
price, date, time and place. An interest rate futures contract provides for the
future sale by one party and the purchase by the other party of a certain
amount of a specific interest rate sensitive financial instrument (debt
security) at a specified price, date, time and place. Securities and
commodities indexes are typically capitalization or production weighted,
respectively. A securities index or commodities index futures contract is an
agreement to be settled by delivery of an amount of cash equal to a specified
multiplier times the difference between the value of the index at the close of
the last trading day on the contract and the price at which the agreement is
made. The clearing house of the exchange on which a futures contract is entered
into becomes the counterparty to each purchaser and seller of the futures
contract.
Payments, known as "variation margin," to and from the broker, will be made
daily as the currency, financial instrument or index underlying the futures
contract fluctuates, making the long and short positions in the futures
contract more or less valuable, a process known as "marking-to-market." As a
result of the small margin deposit that is required, a small change in the
market price of a futures contract can produce major losses.
At any time prior to the expiration of a futures contract, the Portfolio may
elect to close the position by taking an opposite position, which will operate
to terminate the Portfolio's existing position in the contract. Positions in
futures contracts and options on futures contracts (described below) may be
closed out only on the exchange on which they were entered into (or through a
linked exchange). However, there is no assurance that an active market will
exist at any particular time. Once the daily fluctuation limit has been reached
in a particular contract, most futures exchanges restrict trades at a price
beyond that limit or trading may be suspended for specified periods during the
day. Such restrictions prevent prompt liquidation of futures positions at an
advantageous price, potentially subjecting the Portfolio to substantial losses.
In such event, and in the event of adverse price movements, the Portfolio would
be required to make daily cash payments of variation margin. Losses incurred in
futures transactions and the costs of these transactions will affect the
Portfolio's performance.
The price volatility of commodity futures contracts has been historically
greater than that for traditional securities, such as stocks and bonds, and
there are a variety of factors associated with commodity futures contracts
which may subject the Portfolio's investments in the contracts to greater
volatility than investments in traditional securities.
6. OPTIONS ON FUTURES CONTRACTS: The Portfolio may purchase and write put
and call options on foreign currency, interest rate and stock and commodity
index futures contracts and may enter into closing transactions with respect to
such options to terminate existing positions. There is no guarantee that such
closing transactions can be effected; the ability to establish and close out
positions on such options will be subject to the existence of a liquid market.
An option on a currency, interest rate or commodity or securities index
futures contract, as contrasted with the direct investment in such a contract,
gives the purchaser the right, in return for the premium paid, to assume a
position in a futures contract at a specified exercise price at any time prior
to the expiration date of the option. The writer of the option is required upon
exercise to assume an offsetting futures position (a short position if the
option is a call and a long position if the option is a put). Upon exercise of
an option, the delivery of the futures position by the writer of the option to
the holder of the option will be accompanied by delivery of the accumulated
balance in the writer's futures margin account, which represents the amount by
which the market price of the futures contract exceeds, in the case of a call,
or is less than, in the case of a put, the exercise price of the option on the
futures contract. The potential loss related to the purchase of an option on a
futures contract is limited to the premium paid for the option (plus
transaction costs). The value of the option changes daily, and that change is
reflected in the net asset value of the Portfolio.
The Portfolio may enter into options and futures transactions for several
purposes, including generating current income to offset expenses or increase
return, and as hedges to reduce investment risk, generally by making an
187
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.
At April 30, 2017, 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.... 05/31/17 133 $ 6,923 $ (374)
CBT Wheat Futures.......... 07/14/17 152 3,285 (20)
Coffee 'C' Futures......... 06/30/17 52 3,309 (246)
Coffee 'C' Futures......... 07/19/17 43 2,151 (105)
Copper Futures............. 07/27/17 116 7,562 (159)
Corn Futures............... 07/14/17 402 7,367 (43)
Cotton No.2 Futures........ 07/07/17 38 1,499 39
Gasoline RBOB Futures...... 06/30/17 52 3,391 (344)
Gold 100 oz Futures........ 06/28/17 92 11,668 161
KCB Wheat Futures.......... 07/14/17 53 1,159 8
LME Nickel Futures......... 05/15/17 104 5,869 (331)
LME Nickel Futures......... 07/17/17 40 2,267 (150)
LME Nickel Futures......... 05/15/17 (104) (5,869) 449
LME Nickel Futures......... 05/15/17 (265) (12,614) 82
LME Prime Aluminum Futures. 05/15/17 265 12,614 174
LME Prime Aluminum Futures. 07/17/17 104 4,969 (124)
LME Zinc Futures........... 05/15/17 102 6,667 (534)
LME Zinc Futures........... 07/17/17 40 2,624 (119)
LME Zinc Futures........... 05/15/17 (102) (6,667) 380
Lean Hogs Futures.......... 06/14/17 79 2,338 (61)
Live Cattle Futures........ 06/30/17 84 4,167 495
Natural Gas Futures........ 06/28/17 236 7,913 (138)
Silver Futures............. 07/27/17 48 4,143 (250)
Soybean Futures............ 07/14/17 114 5,451 11
Soybean Meal Futures....... 07/14/17 91 2,874 24
Soybean Oil Futures........ 07/14/17 130 2,473 (6)
Sugar #11 Futures.......... 06/30/17 142 2,565 (55)
WTI Crude Futures.......... 06/20/17 127 6,302 (358)
-------- -------
$ 96,400 $(1,594)
======== =======
The Subsidiary's securities have been segregated as collateral for open
futures contracts.
At April 30, 2017, 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.. Custom Index* 06/30/17 USD $188,305 $142
Bank of America Corp.. Custom Index* 06/30/17 USD 149,690 121
Citibank, N.A......... Custom Index* 06/30/17 USD 203,997 165
Citibank, N.A......... Custom Index* 06/30/17 USD 212,050 160
Credit Suisse......... Custom Index* 05/31/17 USD 216,714 333
188
UNREALIZED
COMMODITY EXPIRATION NOTIONAL APPRECIATION
COUNTERPARTY EXPOSURE DATE CURRENCY AMOUNT (DEPRECIATION)
------------ ------------ ---------- -------- ---------- --------------
Credit Suisse................... Custom Index* 05/31/17 USD $ 180,409 $ 260
Deutsche Bank AG, London Branch. Custom Index* 05/30/17 USD 73,490 105
UBS AG.......................... Custom Index* 07/31/17 USD 251,402 364
UBS AG.......................... Custom Index* 07/31/17 USD 98,630 151
---------- ------
$1,574,687 $1,801
========== ======
* 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 six months ended April 30, 2017 (amounts in
thousands):
SWAP
FUTURES CONTRACTS
-------- ----------
DFA Commodity Strategy Portfolio. $160,315 $1,463,333
The following is a summary of the location of derivatives on the Portfolio's
Statement of Assets and Liabilities as of April 30, 2017:
LOCATION ON THE STATEMENT OF ASSETS AND LIABILITIES
---------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------------ ------------------------
Commodity Futures Receivables: Futures Payables: Futures Margin
Contracts Margin Variation Variation
Commodity Swap Contracts Unrealized Gain on Swap Unrealized Loss on Swap
Contracts Contracts
The following is a summary of the Portfolio's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2017 (amounts in
thousands):
ASSET DERIVATIVES VALUE
-----------------------------------
TOTAL VALUE COMMODITY
AT FUTURES SWAP
APRIL 30, 2017 CONTRACTS* CONTRACTS
- -------------- ---------- ---------
DFA Commodity Strategy Portfolio. $ 3,624 $ 1,823 $1,801
LIABILITY DERIVATIVES VALUE
-----------------------------------
TOTAL VALUE COMMODITY
AT FUTURES SWAP
APRIL 30, 2017 CONTRACTS* CONTRACTS
- -------------- ---------- ---------
DFA Commodity Strategy Portfolio. $(3,417) $(3,417) $ --
* 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 six months ended April 30,
2017:
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
189
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's derivative instrument holdings categorized by
primary risk exposure through the six months ended April 30, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES
----------------------------------
COMMODITY
FUTURES SWAP
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
DFA Commodity Strategy Portfolio. $(31,162) $(1,320) $(29,842)
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION)
ON DERIVATIVES
----------------------------------
COMMODITY
FUTURES SWAP
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
DFA Commodity Strategy Portfolio. $ 22,877 $ (482) $ 23,359
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 Portfolio as of April 30, 2017
(Amounts in thousands):
GROSS AMOUNTS NOT GROSS AMOUNTS NOT
OFFSET IN THE NET AMOUNTS OFFSET IN THE
STATEMENTS OF ASSETS OF LIABILITIES STATEMENTS OF ASSETS
NET AMOUNTS AND LIABILITIES PRESENTED IN AND LIABILITIES
- GROSS OF ASSETS ---------------------- GROSS THE ----------------------
AMOUNTS OF PRESENTED IN FINANCIAL CASH AMOUNTS OF STATEMENTS FINANCIAL CASH
RECOGNIZED THE STATEMENTS INSTRUMENTS COLLATERAL NET RECOGNIZED OF ASSETS INSTRUMENTS COLLATERAL
DESCRIPTION ASSETS OF ASSETS AND (B) RECEIVED AMOUNT LIABILITIES AND (D) PLEDGED
----------- (A) LIABILITIES ----------- ---------- (C) (A) LIABILITIES ----------- ----------
ASSETS LIABILITIES
------------------------------------------------------- -------------------------------------------------
DFA COMMODITY
STRATEGY PORTFOLIO
Swap Contracts...... $1,801 $1,801 -- -- $1,801 -- -- -- --
-
NET
DESCRIPTION AMOUNT
----------- (E)
-------
DFA COMMODITY
STRATEGY PORTFOLIO
Swap Contracts...... --
(a)No amounts have been netted against the gross amounts recognized in the
Statements of Assets and Liabilities.
(b)Represents the amount of assets that could be offset by liabilities with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(c)Represents the net amount due from counterparties in the event of default.
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
190
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 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. 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 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. 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 $700 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 5, 2018.
There were no borrowings by the Portfolio under the lines of credit during
the six months ended April 30, 2017.
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 Portfolio did not utilize the
interfund lending program during the six months ended April 30, 2017.
J. SECURITIES LENDING:
As of April 30, 2017, 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
191
which the Advisor receives a management fee of 0.05% of the average daily net
assets of the Money Market Series. The Portfolio also may invest the cash
collateral received for the loaned securities in securities of the U.S.
government or its agencies, repurchase agreements collateralized by securities
of the U.S. government or its agencies, and affiliated and unaffiliated
registered and unregistered money market funds. For purposes of this paragraph,
agencies include both agency debentures and agency mortgage-backed securities.
In addition, the Portfolio will be able to terminate the loan at any time and
will receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible to be taxed
at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2017
--------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- -----------
SECURITIES LENDING TRANSACTIONS
DFA COMMODITY STRATEGY PORTFOLIO
Bonds, U.S. Treasury Obligations. $22,080,299 -- -- -- $22,080,299
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. OTHER:
At April 30, 2017, 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.
192
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,113.20 0.67% $3.51
Institutional Class Shares......... $1,000.00 $1,115.00 0.42% $2.20
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.47 0.67% $3.36
Institutional Class Shares......... $1,000.00 $1,022.71 0.42% $2.11
193
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE COMPANY PORTFOLIO
----------------------------
Actual Fund Return............ $1,000.00 $1,132.80 0.08% $0.42
Hypothetical 5% Annual Return. $1,000.00 $1,024.40 0.08% $0.40
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
194
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 30, 2017. 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............................. 9.3%
Energy....................................... 6.3%
Financials................................... 14.1%
Health Care.................................. 14.0%
Industrials.................................. 10.1%
Information Technology....................... 22.5%
Materials.................................... 2.8%
Real Estate.................................. 2.9%
Telecommunication Services................... 2.3%
Utilities.................................... 3.2%
-----
100.0%
195
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $8,617,732,695
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$7,869,569,171)........................................ $8,617,732,695
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
196
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (96.2%)
Consumer Discretionary -- (12.0%)
* Amazon.com, Inc................... 142,958 $ 132,234,720 1.8%
Comcast Corp. Class A............. 1,708,313 66,948,786 0.9%
Home Depot, Inc. (The)............ 439,705 68,637,951 0.9%
McDonald's Corp................... 295,622 41,366,386 0.6%
* Priceline Group, Inc. (The)....... 17,748 32,777,361 0.4%
Walt Disney Co. (The)............. 525,103 60,701,907 0.8%
Other Securities.................. 520,955,734 7.0%
-------------- -----
Total Consumer Discretionary.......... 923,622,845 12.4%
-------------- -----
Consumer Staples -- (8.9%)
Altria Group, Inc................. 700,050 50,249,589 0.7%
Coca-Cola Co. (The)............... 1,394,785 60,184,973 0.8%
PepsiCo, Inc...................... 515,165 58,357,891 0.8%
Philip Morris International, Inc.. 559,986 62,068,848 0.8%
Procter & Gamble Co. (The)........ 922,782 80,586,552 1.1%
Wal-Mart Stores, Inc.............. 543,554 40,864,390 0.5%
Other Securities.................. 334,056,724 4.5%
-------------- -----
Total Consumer Staples................ 686,368,967 9.2%
-------------- -----
Energy -- (6.1%)
Chevron Corp...................... 683,331 72,911,418 1.0%
Exxon Mobil Corp.................. 1,496,719 122,207,106 1.6%
Schlumberger, Ltd................. 503,219 36,528,667 0.5%
Other Securities.................. 235,035,971 3.2%
-------------- -----
Total Energy.......................... 466,683,162 6.3%
-------------- -----
Financials -- (13.6%)
Bank of America Corp.............. 3,618,650 84,459,291 1.1%
* Berkshire Hathaway, Inc. Class B.. 685,565 113,262,194 1.5%
Citigroup, Inc.................... 1,000,110 59,126,503 0.8%
JPMorgan Chase & Co............... 1,289,330 112,171,710 1.5%
Wells Fargo & Co.................. 1,625,406 87,511,859 1.2%
Other Securities.................. 584,259,159 7.9%
-------------- -----
Total Financials...................... 1,040,790,716 14.0%
-------------- -----
Health Care -- (13.4%)
AbbVie, Inc....................... 575,339 37,937,854 0.5%
Amgen, Inc........................ 265,829 43,415,192 0.6%
Bristol-Myers Squibb Co........... 603,780 33,841,869 0.5%
* Celgene Corp...................... 280,813 34,834,853 0.5%
Gilead Sciences, Inc.............. 471,797 32,341,684 0.4%
Johnson & Johnson................. 979,405 120,927,135 1.6%
Medtronic P.L.C................... 494,110 41,055,600 0.6%
Merck & Co., Inc.................. 991,037 61,771,336 0.8%
Pfizer, Inc....................... 2,148,377 72,872,948 1.0%
UnitedHealth Group, Inc........... 347,274 60,731,277 0.8%
Other Securities.................. 491,510,019 6.6%
-------------- -----
Total Health Care..................... 1,031,239,767 13.9%
-------------- -----
Industrials -- (9.8%)
3M Co............................. 215,203 42,143,204 0.6%
Boeing Co. (The).................. 205,604 38,001,787 0.5%
General Electric Co............... 3,149,283 91,297,714 1.2%
197
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Honeywell International, Inc.................................. 274,759 $ 36,031,895 0.5%
Union Pacific Corp............................................ 293,746 32,887,802 0.4%
United Technologies Corp...................................... 270,521 32,189,294 0.4%
Other Securities.............................................. 477,822,336 6.5%
-------------- ------
Total Industrials................................................... 750,374,032 10.1%
-------------- ------
Information Technology -- (21.6%)
* Alphabet, Inc. Class A........................................ 107,247 99,151,996 1.3%
* Alphabet, Inc. Class C........................................ 106,663 96,632,411 1.3%
Apple, Inc.................................................... 1,893,782 272,041,784 3.7%
Broadcom, Ltd................................................. 144,758 31,964,014 0.4%
Cisco Systems, Inc............................................ 1,807,627 61,585,852 0.8%
* Facebook, Inc. Class A........................................ 850,117 127,730,079 1.7%
Intel Corp.................................................... 1,706,611 61,693,988 0.8%
# International Business Machines Corp.......................... 309,819 49,660,888 0.7%
Mastercard, Inc. Class A...................................... 340,078 39,557,873 0.5%
Microsoft Corp................................................ 2,789,316 190,956,573 2.6%
Oracle Corp................................................... 1,081,815 48,638,402 0.7%
# Visa, Inc. Class A............................................ 670,668 61,178,335 0.8%
Other Securities.............................................. 522,256,433 7.1%
-------------- ------
Total Information Technology........................................ 1,663,048,628 22.4%
-------------- ------
Materials -- (2.7%)
Other Securities.............................................. 210,421,139 2.8%
-------------- ------
Real Estate -- (2.8%)
Other Securities.............................................. 215,134,372 2.9%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc..................................................... 2,216,850 87,853,765 1.2%
Verizon Communications, Inc................................... 1,471,370 67,550,597 0.9%
Other Securities.............................................. 11,471,335 0.2%
-------------- ------
Total Telecommunication Services.................................... 166,875,697 2.3%
-------------- ------
Utilities -- (3.1%)
Other Securities.............................................. 235,272,540 3.2%
-------------- ------
TOTAL COMMON STOCKS................................................. 7,389,831,865 99.5%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 7,389,831,865
--------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 30,114,086 30,114,086 0.4%
-------------- ------
SECURITIES LENDING COLLATERAL -- (3.4%)
(S)@ DFA Short Term Investment Fund................................ 22,788,791 263,734,682 3.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,863,196,580)........................................... $7,683,680,633 103.5%
============== ======
198
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Fund's investments as of April 30, 2017, 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...... $ 923,622,845 -- -- $ 923,622,845
Consumer Staples............ 686,368,967 -- -- 686,368,967
Energy...................... 466,683,162 -- -- 466,683,162
Financials.................. 1,040,790,716 -- -- 1,040,790,716
Health Care................. 1,031,239,767 -- -- 1,031,239,767
Industrials................. 750,374,032 -- -- 750,374,032
Information Technology...... 1,663,048,628 -- -- 1,663,048,628
Materials................... 210,421,139 -- -- 210,421,139
Real Estate................. 215,134,372 -- -- 215,134,372
Telecommunication Services.. 166,875,697 -- -- 166,875,697
Utilities................... 235,272,540 -- -- 235,272,540
Temporary Cash Investments.... 30,114,086 -- -- 30,114,086
Securities Lending Collateral. -- $263,734,682 -- 263,734,682
Futures Contracts**........... 418,101 -- -- 418,101
-------------- ------------ -- --------------
TOTAL......................... $7,420,364,052 $263,734,682 -- $7,684,098,734
============== ============ == ==============
**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.
199
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA U.S. LARGE
INTERNATIONAL COMPANY
VALUE PORTFOLIO PORTFOLIO *
--------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value..................................... $ 8,617,733 --
Investments at Value (including $0 and $493,855 of securities on loan, respectively)...... -- $ 7,389,832
Temporary Cash Investments at Value & Cost................................................ -- 30,114
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0
and $263,686)............................................................................ -- 263,735
Segregated Cash for Futures Contracts..................................................... -- 1,460
Receivables:
Investment Securities Sold.............................................................. -- 971
Dividends, Interest and Tax Reclaims.................................................... -- 7,264
Securities Lending Income............................................................... -- 57
Fund Shares Sold........................................................................ 5,760 6,019
Prepaid Expenses and Other Assets......................................................... 176 121
-------------- ------------
Total Assets......................................................................... 8,623,669 7,699,573
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................................ -- 263,651
Investment Securities Purchased......................................................... -- 276
Fund Shares Redeemed.................................................................... 7,322 8,112
Due to Advisor.......................................................................... 1,381 333
Futures Margin Variation................................................................ -- 89
Accrued Expenses and Other Liabilities.................................................... 396 668
-------------- ------------
Total Liabilities.................................................................... 9,099 273,129
-------------- ------------
NET ASSETS................................................................................ $ 8,614,570 $ 7,426,444
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $4,760 and $0 and shares outstanding of
265,966 and 0, respectively.............................................................. $ 17.90 N/A
============== ============
NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $8,609,810 and $7,426,444 and shares
outstanding of 479,718,879 and 400,229,592, respectively................................. $ 17.95 $ 18.56
============== ============
NUMBER OF SHARES AUTHORIZED............................................................... 1,500,000,000 900,000,000
============== ============
Investments in Affiliated Investment Companies at Cost.................................... $ 7,869,569 $ --
-------------- ------------
Investments at Cost....................................................................... $ -- $ 3,569,397
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................... $ 8,007,910 $ 3,773,795
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 54,575 9,903
Accumulated Net Realized Gain (Loss)...................................................... (196,035) (178,156)
Net Unrealized Foreign Exchange Gain (Loss)............................................... (44) --
Net Unrealized Appreciation (Depreciation)................................................ 748,164 3,820,902
-------------- ------------
NET ASSETS................................................................................ $ 8,614,570 $ 7,426,444
============== ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
200
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA
INTERNATIONAL U.S. LARGE
VALUE COMPANY
PORTFOLIO* PORTFOLIO#
------------- ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $10,969 and $0, respectively)............... $123,840 $ --
Income from Securities Lending.......................................................... 3,858 --
Expenses Allocated from Affiliated Investment Company................................... (8,359) --
-------- --------
Total Net Investment Income Received from Affiliated Investment Companies.............. 119,339 --
-------- --------
FUND INVESTMENT INCOME
Dividends................................................................................. $ -- $ 74,163
Income from Securities Lending............................................................ -- 464
-------- --------
Total Investment Income................................................................ -- 74,627
-------- --------
FUND EXPENSES
Investment Management Fees.............................................................. 15,692 2,105
Accounting & Transfer Agent Fees........................................................ 61 194
S&P 500(R) Fees......................................................................... -- 51
Custodian Fees.......................................................................... -- 45
Shareholder Servicing Fees................................................................
Class R2 Shares......................................................................... 5 --
Filing Fees............................................................................. 113 56
Shareholders' Reports................................................................... 112 56
Directors'/Trustees' Fees & Expenses.................................................... 38 34
Professional Fees....................................................................... 75 92
Other................................................................................... 19 96
-------- --------
Total Expenses......................................................................... 16,115 2,729
-------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. -- 78
Fees Waived, (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C).................................................................................
Institutional Class Shares.............................................................. (7,842) --
Class R2 Shares......................................................................... (4) --
-------- --------
Net Expenses.............................................................................. 8,269 2,807
-------- --------
NET INVESTMENT INCOME (LOSS).............................................................. 111,070 71,820
-------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................ (8,449) (1,478)
Futures................................................................................. 6,084 2,617
Foreign Currency Transactions........................................................... (2,636) --
Change in Unrealized Appreciation (Depreciation) of:......................................
Investment Securities and Foreign Currency.............................................. 760,265 788,540
Futures................................................................................. 2,541 516
Translation of Foreign Currency Denominated Amounts..................................... 799 --
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... 758,604 790,195
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $869,674 $862,015
======== ========
----------
* 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.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
201
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE U.S. LARGE COMPANY
PORTFOLIO PORTFOLIO
----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................. $ 111,070 $ 229,798 $ 71,820 $ 131,507
Net Realized Gain (Loss) on:..................................
Investment Securities Sold*................................. (8,449) (189,967) (1,478) 44,973
Futures..................................................... 6,084 4,316 2,617 (5,349)
Foreign Currency Transactions............................... (2,636) 4,081 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 760,265 3,950 788,540 140,290
Futures..................................................... 2,541 (482) 516 (356)
Translation of Foreign Currency Denominated Amounts......... 799 (650) -- --
---------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ 869,674 51,046 862,015 311,065
---------- ----------- ---------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares............................................. (44) (336) -- --
Institutional Class Shares.................................. (96,958) (224,465) (81,547) (125,202)
Net Short-Term Gains:
Institutional Class Shares.................................. -- -- (124) --
Net Long-Term Gains:
Institutional Class Shares.................................. -- -- (38,779) (47,852)
---------- ----------- ---------- -----------
Total Distributions........................................ (97,002) (224,801) (120,450) (173,054)
---------- ----------- ---------- -----------
Capital Share Transactions (1):
Shares Issued................................................. 1,131,966 2,442,715 906,063 1,529,402
Shares Issued in Lieu of Cash Distributions................... 94,144 218,177 105,596 150,286
Shares Redeemed............................................... (658,185) (2,019,049) (692,716) (1,262,506)
---------- ----------- ---------- -----------
Net Increase (Decrease) from Capital Share Transactions.... 567,925 641,843 318,943 417,182
---------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets.................... 1,340,597 468,088 1,060,508 555,193
NET ASSETS
Beginning of Period........................................... 7,273,973 6,805,885 6,365,936 5,810,743
---------- ----------- ---------- -----------
End of Period................................................. $8,614,570 $ 7,273,973 $7,426,444 $ 6,365,936
========== =========== ========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................. 66,606 158,003 50,981 96,985
Shares Issued in Lieu of Cash Distributions................... 5,519 14,327 5,951 9,320
Shares Redeemed............................................... (38,305) (128,304) (38,636) (78,179)
---------- ----------- ---------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 33,820 44,026 18,296 28,126
========== =========== ========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF
NET INVESTMENT INCOME)......................................... $ 54,575 $ 40,507 $ 9,903 $ 19,630
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
202
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 SHARES
-----------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $16.27 $16.93 $ 18.48 $ 19.46 $15.72 $15.83
------ ------ ------- ------- ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.22 0.53 0.51 0.74 0.49 0.51
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.61 (0.65) (1.55) (0.93) 3.77 (0.13)
------ ------ ------- ------- ------ ------
Total from Investment Operations............... 1.83 (0.12) (1.04) (0.19) 4.26 0.38
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.20) (0.54) (0.51) (0.79) (0.52) (0.49)
------ ------ ------- ------- ------ ------
Total Distributions............................ (0.20) (0.54) (0.51) (0.79) (0.52) (0.49)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $17.90 $16.27 $ 16.93 $ 18.48 $19.46 $15.72
================================================= =========== ======== ======== ======== ======== ========
Total Return...................................... 11.32%(D) (0.43)% (5.78)% (1.21)% 27.61% 2.70%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $4,760 $3,308 $10,404 $11,200 $5,517 $6,407
Ratio of Expenses to Average Net Assets (B)....... 0.67%(E) 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) (B). 0.87%(E) 0.88% 0.73% 0.68% 0.69% 0.71%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.60%(E) 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.
203
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 16.30 $ 16.92 $ 18.47 $ 19.45 $ 15.72 $ 15.83
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.24 0.55 0.56 0.84 0.52 0.54
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.62 (0.63) (1.56) (0.98) 3.78 (0.12)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... 1.86 (0.08) (1.00) (0.14) 4.30 0.42
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.21) (0.54) (0.55) (0.84) (0.57) (0.53)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................ (0.21) (0.54) (0.55) (0.84) (0.57) (0.53)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 17.95 $ 16.30 $ 16.92 $ 18.47 $ 19.45 $ 15.72
================================================= =========== ========== ========== ========== ========== ==========
Total Return...................................... 11.50%(D) (0.20)% (5.58)% (0.97)% 27.90% 2.98%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $8,609,810 $7,270,665 $6,795,481 $6,991,214 $6,522,355 $5,480,888
Ratio of Expenses to Average Net Assets (B)....... 0.42%(E) 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) (B)........................ 0.62%(E) 0.63% 0.49% 0.43% 0.43% 0.45%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.83%(E) 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.
204
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 16.67 $ 16.42 $ 15.94 $ 13.87 $ 11.15 $ 9.90
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.18 0.35 0.33 0.29 0.27 0.22
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 2.02 0.38 0.47 2.07 2.71 1.25
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... 2.20 0.73 0.80 2.36 2.98 1.47
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.21) (0.34) (0.32) (0.29) (0.26) (0.22)
Net Realized Gains............................... (0.10) (0.14) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................ (0.31) (0.48) (0.32) (0.29) (0.26) (0.22)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 18.56 $ 16.67 $ 16.42 $ 15.94 $ 13.87 $ 11.15
================================================= =========== ========== ========== ========== ========== ==========
Total Return...................................... 13.28%(D) 4.54% 5.09% 17.17% 27.10% 15.02%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $7,426,444 $6,365,936 $5,810,743 $5,668,374 $4,917,336 $4,037,336
Ratio of Expenses to Average Net Assets........... 0.08%(E) 0.08% 0.08% 0.08% 0.09% 0.10%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered by
Advisor)......................................... 0.08%(E) 0.08% 0.09% 0.08% 0.10% 0.10%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.05%(E) 2.17% 2.05% 1.95% 2.13% 2.10%
Portfolio Turnover Rate........................... 3%(D) 9% 2% 3% 3% 4%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
205
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fourteen
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 April 30, 2017, the Feeder Fund
owned 77% 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
206
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 six months ended April 30, 2017, 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'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2017, 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.
207
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the six months ended April 30, 2017, 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.
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, 2018, and may only be
terminated by the Fund's Board of Directors prior to that date and shall
continue in effect from year to year thereafter unless terminated by the Fund
or the Advisor. The Fee Waiver Agreement with respect to the total management
fees paid by the Feeder Fund, as described in the notes below, will remain in
effect permanently, unless terminated by the Feeder Fund. For the six months
ended April 30, 2017, 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
and the net amount of waived fees/expenses assumed (recovered previously waived
fees/expenses assumed) during the six months ended April 30, 2017, are also
reflected 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.
NET WAIVED
PREVIOUSLY FEES/EXPENSES
RECOVERY WAIVED FEES/ ASSUMED (RECOVERED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED PREVIOUSLY WAIVED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE FEES/EXPENSES
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY ASSUMED)
-------------------------- ---------- ---------------- ----------------- ------------------
DFA International Value Portfolio (1). 0.40% -- -- $7,842
U.S. Large Company Portfolio (2)...... 0.08% $117 $744 (78)
CLASS R2 SHARES
---------------
DFA International Value Portfolio (1). 0.79% -- -- 4
(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, except for the
fees paid indirectly through its investment of securities lending cash
collateral in The DFA Short Term Investment Fund, 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
208
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.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2017, the total related amounts paid by the
Fund to the CCO were $15 (in thousands). The total related amounts paid by each
Portfolio are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2017, 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. $259
U.S. Large Company Portfolio...... 307
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, U.S. Large Company Portfolio's
transactions related to investment securities, other than short-term securities
and U.S. government securities (amounts in thousands), were as follows:
PURCHASES SALES
- --------- --------
U.S. Large Company Portfolio. $446,655 $185,057
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
209
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)
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...... -- --
210
At April 30, 2017, 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. $7,894,749 $ 722,984 $ -- $ 722,984
U.S. Large Company Portfolio...... 4,042,583 3,699,971 (58,873) 3,641,098
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2017 OCT. 31, 2016
------------------- ---------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
---------- ------- ----------- --------
DFA INTERNATIONAL VALUE PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 2,023 118 $ 2,205 144
Shares Issued in Lieu of Cash Distributions.......... 44 3 336 22
Shares Redeemed...................................... (1,001) (58) (8,814) (578)
---------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ 1,066 63 $ (6,273) (412)
========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $1,129,943 66,488 $ 2,440,510 157,859
Shares Issued in Lieu of Cash Distributions.......... 94,100 5,516 217,841 14,305
Shares Redeemed...................................... (657,184) (38,247) (2,010,235) (127,726)
---------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ 566,859 33,757 $ 648,116 44,438
========== ======= =========== ========
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
211
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Portfolios as unrealized gains
or losses until the contracts are closed. When the contracts are closed, the
Portfolios record a realized gain or loss, which is presented in the Statements
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolios could lose more than
the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At April 30, 2017, 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) 06/16/17 333 $39,635 $418 $1,460
------- ---- ------
$39,635 $418 $1,460
======= ==== ======
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2017 (amounts in
thousands):
FUTURES
-------
U.S. Large Company Portfolio. $27,049
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 April 30, 2017:
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 April 30, 2017
(amounts in thousands):
ASSET DERIVATIVES VALUE
-------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2017 CONTRACTS*
-------------- ----------
U.S. Large Company Portfolio. $418 $418
* 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 Portfolios' Statements of Operations for the
Portfolios' derivative instrument holdings for the six months ended April 30,
2017:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME
--------------- -----------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
212
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' direct investment in derivative instrument
holdings categorized by primary risk exposure through the six months ended
April 30, 2017 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------ ---------
DFA International Value Portfolio*. $6,084 $6,084
U.S. Large Company Portfolio....... 2,617 2,617
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------ ---------
DFA International Value Portfolio*. $2,541 $2,541
U.S. Large Company Portfolio....... 516 516
* As of April 30, 2017, there were no futures contracts outstanding. During the
six months ended April 30, 2017, the Portfolios had limited activity in
futures contracts.
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 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. 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 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. 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 $700 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 5, 2018.
For the six months ended April 30, 2017, 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. 1.59% $12,591 19 $10 $46,041
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2017, that the Portfolio's available
line of credit was utilized.
There were no outstanding borrowings by the Portfolios under the lines of
credit as of April 30, 2017.
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
213
to both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice. The U.S. Large Company Portfolio did not utilize the
interfund lending program during the six months ended April 30, 2017.
J. SECURITIES LENDING:
As of April 30, 2017, 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 $244,981 (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, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policies, the Portfolio will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. The Portfolio also may invest the cash collateral received for the
loaned securities in securities of the U.S. government or its agencies,
repurchase agreements collateralized by securities of the U.S. government or
its agencies, and affiliated and unaffiliated registered and unregistered money
market funds. For purposes of this paragraph, agencies include both agency
debentures and agency mortgage-backed securities. In addition, the Portfolio
will be able to terminate the loan at any time and will receive reasonable
interest on the loan, as well as amounts equal to any dividends, interest or
other distributions on the loaned securities. However, dividend income received
from loaned securities may not be eligible to be taxed at qualified dividend
income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2017
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
U.S. LARGE COMPANY PORTFOLIO
Common Stocks. $263,734,682 -- -- -- $263,734,682
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.
214
L. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
M. OTHER:
At April 30, 2017, the following number of shareholders held the following
approximate percentages of the Portfolios' outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA International Value Portfolio-Class R2 Shares............ 5 99%
DFA International Value Portfolio-Institutional Class Shares. 4 74%
U.S. Large Company Portfolio................................. 4 74%
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.
215
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
As noted in the table provided below, the following funds paid distributions to
shareholders of record a portion of which is estimated to be in excess of a
fund's current and accumulated undistributed net income. 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. Tax reporting information for the shareholders of a fund will not be
available until the end of a fund's fiscal year. As a result, shareholders
should not use the information provided in this notice for tax reporting
purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
--------------------------------------------------
NET INCOME FOR THE
CURRENT OR ACCUMULATED
PRECEDING FISCAL UNDISTRIBUTED NET
YEAR, AND PROFITS FROM THE PAID-IN
ACCUMULATED SALE OF SECURITIES SURPLUS OR
UNDISTRIBUTED NET OR OTHER OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ------------------ ------------------ -------------
DFA International Value Portfolio
December 15, 2016.............. 85% 0% 15%
U.S. Large Company Portfolio
December 14, 2016.............. 90% 0% 10%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
216
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return................. $1,000.00 $1,152.90 0.11% $0.59
Hypothetical 5% Annual Return...... $1,000.00 $1,024.25 0.11% $0.55
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $1,115.30 0.22% $1.15
Hypothetical 5% Annual Return...... $1,000.00 $1,023.70 0.22% $1.10
217
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
THE JAPANESE SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $1,071.10 0.13% $0.67
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
THE ASIA PACIFIC SMALL COMPANY SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,050.60 0.13% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,207.20 0.12% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60
THE CONTINENTAL SMALL COMPANY SERIES
------------------------------------
Actual Fund Return...................... $1,000.00 $1,183.80 0.12% $0.65
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60
THE CANADIAN SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $1,050.00 0.11% $0.56
Hypothetical 5% Annual Return........... $1,000.00 $1,024.25 0.11% $0.55
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return...................... $1,000.00 $1,093.90 0.15% $0.78
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
THE EMERGING MARKETS SMALL CAP SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,100.60 0.26% $1.35
Hypothetical 5% Annual Return........... $1,000.00 $1,023.51 0.26% $1.30
----------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period.
218
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 30, 2017. They are available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
THE U.S. LARGE CAP VALUE SERIES
Consumer Discretionary....................... 13.5%
Consumer Staples............................. 7.0%
Energy....................................... 11.6%
Financials................................... 23.0%
Health Care.................................. 12.3%
Industrials.................................. 9.4%
Information Technology....................... 14.6%
Materials.................................... 3.7%
Telecommunication Services................... 4.7%
Utilities.................................... 0.2%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary....................... 13.2%
Consumer Staples............................. 2.4%
Energy....................................... 14.6%
Financials................................... 32.7%
Health Care.................................. 1.9%
Industrials.................................. 9.7%
Information Technology....................... 3.2%
Materials.................................... 14.7%
Real Estate.................................. 2.3%
Telecommunication Services................... 3.8%
Utilities.................................... 1.5%
-----
100.0%
THE JAPANESE SMALL COMPANY SERIES
Consumer Discretionary....................... 19.1%
Consumer Staples............................. 8.2%
Energy....................................... 1.0%
Financials................................... 8.8%
Health Care.................................. 5.1%
Industrials.................................. 28.6%
Information Technology....................... 14.0%
Materials.................................... 12.0%
Real Estate.................................. 2.1%
Telecommunication Services................... 0.1%
Utilities.................................... 1.0%
-----
100.0%
219
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
THE ASIA PACIFIC SMALL COMPANY SERIES
Consumer Discretionary....................... 24.9%
Consumer Staples............................. 6.0%
Energy....................................... 2.9%
Financials................................... 10.9%
Health Care.................................. 5.6%
Industrials.................................. 16.6%
Information Technology....................... 6.7%
Materials.................................... 13.5%
Real Estate.................................. 7.0%
Telecommunication Services................... 2.7%
Utilities.................................... 3.2%
-----
100.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
Consumer Discretionary....................... 20.4%
Consumer Staples............................. 5.4%
Energy....................................... 4.8%
Financials................................... 14.3%
Health Care.................................. 3.6%
Industrials.................................. 29.1%
Information Technology....................... 9.3%
Materials.................................... 7.6%
Real Estate.................................. 2.6%
Telecommunication Services................... 1.1%
Utilities.................................... 1.8%
-----
100.0%
THE CONTINENTAL SMALL COMPANY SERIES
Consumer Discretionary....................... 13.3%
Consumer Staples............................. 5.7%
Energy....................................... 2.8%
Financials................................... 11.6%
Health Care.................................. 8.8%
Industrials.................................. 26.4%
Information Technology....................... 10.6%
Materials.................................... 10.2%
Real Estate.................................. 5.3%
Telecommunication Services................... 2.7%
Utilities.................................... 2.6%
-----
100.0%
THE CANADIAN SMALL COMPANY SERIES
Consumer Discretionary....................... 9.9%
Consumer Staples............................. 5.0%
Energy....................................... 21.2%
Financials................................... 6.0%
Health Care.................................. 2.0%
Industrials.................................. 12.3%
Information Technology....................... 5.3%
Materials.................................... 29.3%
Real Estate.................................. 2.6%
Utilities.................................... 6.4%
-----
100.0%
THE EMERGING MARKETS SERIES
Consumer Discretionary....................... 10.1%
Consumer Staples............................. 8.2%
Energy....................................... 6.8%
Financials................................... 23.5%
Health Care.................................. 2.5%
Industrials.................................. 7.2%
Information Technology....................... 22.7%
Materials.................................... 9.1%
Real Estate.................................. 1.8%
Telecommunication Services................... 5.2%
Utilities.................................... 2.9%
-----
100.0%
THE EMERGING MARKETS SMALL CAP SERIES
Consumer Discretionary....................... 17.1%
Consumer Staples............................. 7.5%
Energy....................................... 1.6%
Financials................................... 8.8%
Health Care.................................. 6.5%
Industrials.................................. 14.6%
Information Technology....................... 16.9%
Materials.................................... 12.8%
Real Estate.................................. 7.8%
Telecommunication Services................... 1.1%
Utilities.................................... 5.3%
-----
100.0%
220
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.3%)
Consumer Discretionary -- (12.9%)
* Charter Communications, Inc. Class A.......... 956,927 $ 330,292,923 1.3%
Comcast Corp. Class A......................... 21,211,780 831,289,658 3.4%
Ford Motor Co................................. 15,336,087 175,904,918 0.7%
General Motors Co............................. 5,741,467 198,884,417 0.8%
Royal Caribbean Cruises, Ltd.................. 1,461,968 155,845,789 0.6%
Time Warner, Inc.............................. 3,804,556 377,678,274 1.5%
Other Securities.............................. 1,237,062,804 5.1%
-------------- -----
Total Consumer Discretionary...................... 3,306,958,783 13.4%
-------------- -----
Consumer Staples -- (6.7%)
CVS Health Corp............................... 3,989,908 328,928,016 1.3%
Mondelez International, Inc. Class A.......... 3,943,573 177,579,092 0.7%
Wal-Mart Stores, Inc.......................... 5,609,449 421,718,376 1.7%
Other Securities.............................. 796,139,783 3.3%
-------------- -----
Total Consumer Staples............................ 1,724,365,267 7.0%
-------------- -----
Energy -- (11.0%)
Chevron Corp.................................. 3,705,888 395,418,250 1.6%
ConocoPhillips................................ 3,218,408 154,193,927 0.6%
Exxon Mobil Corp.............................. 11,307,726 923,275,828 3.7%
Valero Energy Corp............................ 2,810,052 181,557,460 0.7%
Other Securities.............................. 1,183,622,848 4.9%
-------------- -----
Total Energy...................................... 2,838,068,313 11.5%
-------------- -----
Financials -- (21.9%)
American International Group, Inc............. 2,742,987 167,075,338 0.7%
Bank of America Corp.......................... 21,700,899 506,498,983 2.1%
Bank of New York Mellon Corp. (The)........... 4,371,565 205,725,849 0.8%
Capital One Financial Corp.................... 2,042,506 164,176,632 0.7%
Citigroup, Inc................................ 8,942,092 528,656,479 2.1%
Fifth Third Bancorp........................... 5,417,348 132,345,812 0.5%
Goldman Sachs Group, Inc. (The)............... 1,040,153 232,786,241 0.9%
Hartford Financial Services Group, Inc. (The). 2,880,302 139,291,405 0.6%
JPMorgan Chase & Co........................... 11,460,834 997,092,558 4.0%
Morgan Stanley................................ 3,862,094 167,499,017 0.7%
PNC Financial Services Group, Inc. (The)...... 1,341,871 160,689,052 0.7%
Travelers Cos., Inc. (The).................... 1,129,653 137,433,584 0.6%
Wells Fargo & Co.............................. 4,436,796 238,877,097 1.0%
Other Securities.............................. 1,852,943,282 7.4%
-------------- -----
Total Financials.................................. 5,631,091,329 22.8%
-------------- -----
Health Care -- (11.7%)
Abbott Laboratories........................... 4,117,151 179,672,470 0.7%
Aetna, Inc.................................... 1,805,018 243,803,781 1.0%
Anthem, Inc................................... 1,447,321 257,463,933 1.0%
Danaher Corp.................................. 2,154,324 179,519,819 0.7%
* Express Scripts Holding Co.................... 2,740,464 168,100,062 0.7%
Humana, Inc................................... 708,361 157,241,975 0.6%
Medtronic P.L.C............................... 4,179,517 347,276,068 1.4%
Pfizer, Inc................................... 16,341,666 554,309,311 2.3%
Thermo Fisher Scientific, Inc................. 1,050,474 173,674,866 0.7%
221
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Other Securities.............................................. $ 742,504,228 3.0%
--------------- ------
Total Health Care................................................... 3,003,566,513 12.1%
--------------- ------
Industrials -- (9.0%)
CSX Corp...................................................... 5,240,612 266,432,714 1.1%
Delta Air Lines, Inc.......................................... 2,872,498 130,526,309 0.5%
Norfolk Southern Corp......................................... 1,571,094 184,587,834 0.7%
Republic Services, Inc........................................ 2,082,943 131,204,580 0.5%
Stanley Black & Decker, Inc................................... 1,101,159 149,922,798 0.6%
Other Securities.............................................. 1,446,022,833 5.9%
--------------- ------
Total Industrials................................................... 2,308,697,068 9.3%
--------------- ------
Information Technology -- (13.9%)
Cisco Systems, Inc............................................ 19,508,609 664,658,309 2.7%
Hewlett Packard Enterprise Co................................. 9,176,127 170,951,246 0.7%
HP, Inc....................................................... 9,619,949 181,047,440 0.7%
Intel Corp.................................................... 22,961,820 830,069,793 3.4%
# Lam Research Corp............................................. 1,022,498 148,108,835 0.6%
* Micron Technology, Inc........................................ 5,266,057 145,711,797 0.6%
NVIDIA Corp................................................... 1,824,559 190,301,504 0.8%
QUALCOMM, Inc................................................. 2,686,624 144,379,174 0.6%
Other Securities.............................................. 1,092,435,693 4.3%
--------------- ------
Total Information Technology........................................ 3,567,663,791 14.4%
--------------- ------
Materials -- (3.5%)
Nucor Corp.................................................... 2,299,243 141,012,573 0.6%
Other Securities.............................................. 757,131,978 3.0%
--------------- ------
Total Materials..................................................... 898,144,551 3.6%
--------------- ------
Real Estate -- (0.0%)
Other Securities.............................................. 8,492,863 0.0%
--------------- ------
Telecommunication Services -- (4.5%)
AT&T, Inc..................................................... 23,201,858 919,489,632 3.7%
Other Securities.............................................. 231,418,744 1.0%
--------------- ------
Total Telecommunication Services.................................... 1,150,908,376 4.7%
--------------- ------
Utilities -- (0.2%)
Other Securities.............................................. 42,210,023 0.2%
--------------- ------
TOTAL COMMON STOCKS................................................. 24,480,166,877 99.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 208,566 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 24,480,375,443
---------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 288,414,347 288,414,347 1.2%
--------------- ------
SECURITIES LENDING COLLATERAL -- (3.6%)
(S)@ DFA Short Term Investment Fund................................ 79,584,549 921,031,983 3.7%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,961,870,109).......................................... $25,689,821,773 103.9%
=============== ======
222
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2017, 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...... $ 3,306,958,783 -- -- $ 3,306,958,783
Consumer Staples............ 1,724,365,267 -- -- 1,724,365,267
Energy...................... 2,838,068,313 -- -- 2,838,068,313
Financials.................. 5,631,091,329 -- -- 5,631,091,329
Health Care................. 3,003,566,513 -- -- 3,003,566,513
Industrials................. 2,308,697,068 -- -- 2,308,697,068
Information Technology...... 3,567,663,791 -- -- 3,567,663,791
Materials................... 898,144,551 -- -- 898,144,551
Real Estate................. 8,492,863 -- -- 8,492,863
Telecommunication Services.. 1,150,908,376 -- -- 1,150,908,376
Utilities................... 42,210,023 -- -- 42,210,023
Rights/Warrants............... -- $ 208,566 -- 208,566
Temporary Cash Investments.... 288,414,347 -- -- 288,414,347
Securities Lending Collateral. -- 921,031,983 -- 921,031,983
Futures Contracts**........... 1,385,776 -- -- 1,385,776
--------------- ------------ -- ---------------
TOTAL......................... $24,769,967,000 $921,240,549 -- $25,691,207,549
=============== ============ == ===============
**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.
223
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.2%)
AUSTRALIA -- (6.0%)
Australia & New Zealand Banking Group, Ltd.. 5,694,220 $ 139,388,687 1.3%
BHP Billiton, Ltd........................... 6,202,634 110,431,283 1.0%
# BHP Billiton, Ltd. Sponsored ADR............ 1,703,682 60,651,079 0.5%
Woodside Petroleum, Ltd..................... 2,846,042 68,508,412 0.6%
Other Securities............................ 333,550,416 3.0%
-------------- -----
TOTAL AUSTRALIA................................. 712,529,877 6.4%
-------------- -----
AUSTRIA -- (0.1%)
Other Securities............................ 11,349,837 0.1%
-------------- -----
BELGIUM -- (1.0%)
Other Securities............................ 116,069,925 1.0%
-------------- -----
CANADA -- (7.2%)
Bank of Montreal............................ 1,609,124 114,006,435 1.0%
Manulife Financial Corp..................... 3,005,038 52,701,813 0.5%
Suncor Energy, Inc.......................... 3,911,426 122,582,195 1.1%
Other Securities............................ 575,405,187 5.1%
-------------- -----
TOTAL CANADA.................................... 864,695,630 7.7%
-------------- -----
DENMARK -- (1.7%)
Vestas Wind Systems A.S..................... 636,500 54,768,619 0.5%
Other Securities............................ 151,735,285 1.3%
-------------- -----
TOTAL DENMARK................................... 206,503,904 1.8%
-------------- -----
FINLAND -- (0.8%)
Other Securities............................ 101,406,100 0.9%
-------------- -----
FRANCE -- (9.4%)
# AXA SA...................................... 2,945,233 78,579,188 0.7%
# BNP Paribas SA.............................. 1,948,140 137,494,233 1.2%
Cie de Saint-Gobain......................... 1,715,632 92,570,057 0.8%
# Engie SA.................................... 4,083,126 57,572,240 0.5%
Orange SA................................... 5,375,197 83,193,733 0.7%
Renault SA.................................. 797,219 74,341,567 0.7%
Societe Generale SA......................... 1,935,625 106,135,467 0.9%
Total SA.................................... 5,191,725 266,507,837 2.4%
Other Securities............................ 227,414,521 2.1%
-------------- -----
TOTAL FRANCE.................................... 1,123,808,843 10.0%
-------------- -----
GERMANY -- (7.1%)
Allianz SE.................................. 730,758 139,119,953 1.2%
Allianz SE Sponsored ADR.................... 2,811,910 53,451,597 0.5%
Bayerische Motoren Werke AG................. 1,004,588 95,980,102 0.9%
Daimler AG.................................. 2,793,294 208,140,301 1.9%
Other Securities............................ 349,162,383 3.0%
-------------- -----
TOTAL GERMANY................................... 845,854,336 7.5%
-------------- -----
HONG KONG -- (2.5%)
CK Hutchison Holdings, Ltd.................. 6,496,484 81,123,446 0.7%
Other Securities............................ 222,111,215 2.0%
-------------- -----
TOTAL HONG KONG................................. 303,234,661 2.7%
-------------- -----
224
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (0.2%)
Other Securities...................... $ 29,131,060 0.3%
-------------- -----
ISRAEL -- (0.4%)
Other Securities...................... 43,478,987 0.4%
-------------- -----
ITALY -- (1.5%)
* UniCredit SpA......................... 4,382,253 71,353,969 0.6%
Other Securities...................... 105,827,466 1.0%
-------------- -----
TOTAL ITALY............................... 177,181,435 1.6%
-------------- -----
JAPAN -- (20.3%)
Hitachi, Ltd.......................... 12,504,000 69,076,694 0.6%
Honda Motor Co., Ltd.................. 4,256,100 123,876,586 1.1%
Mitsubishi UFJ Financial Group, Inc... 17,854,906 113,139,273 1.0%
Mizuho Financial Group, Inc........... 49,478,100 90,442,450 0.8%
Nissan Motor Co., Ltd................. 6,443,700 61,379,912 0.6%
Sumitomo Mitsui Financial Group, Inc.. 2,854,200 105,978,196 1.0%
Other Securities...................... 1,869,223,662 16.6%
-------------- -----
TOTAL JAPAN............................... 2,433,116,773 21.7%
-------------- -----
NETHERLANDS -- (2.9%)
ING Groep NV.......................... 6,261,830 102,064,860 0.9%
Other Securities...................... 245,236,517 2.2%
-------------- -----
TOTAL NETHERLANDS......................... 347,301,377 3.1%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities...................... 14,021,311 0.1%
-------------- -----
NORWAY -- (0.6%)
Other Securities...................... 77,013,604 0.7%
-------------- -----
PORTUGAL -- (0.0%)
Other Securities...................... 4,123,963 0.0%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities...................... 116,434,877 1.0%
-------------- -----
SPAIN -- (3.1%)
# Banco Santander SA.................... 39,540,115 257,679,834 2.3%
Other Securities...................... 108,668,964 1.0%
-------------- -----
TOTAL SPAIN............................... 366,348,798 3.3%
-------------- -----
SWEDEN -- (2.2%)
Nordea Bank AB........................ 5,922,770 72,843,038 0.7%
Other Securities...................... 191,028,990 1.7%
-------------- -----
TOTAL SWEDEN.............................. 263,872,028 2.4%
-------------- -----
SWITZERLAND -- (7.4%)
Cie Financiere Richemont SA........... 1,058,106 88,413,728 0.8%
Novartis AG........................... 1,799,547 138,538,243 1.2%
# Swatch Group AG (The)................. 139,269 55,717,144 0.5%
Swiss Re AG........................... 1,028,159 89,428,549 0.8%
* UBS Group AG.......................... 3,507,610 59,877,836 0.5%
Zurich Insurance Group AG............. 375,926 104,033,104 0.9%
Other Securities...................... 345,494,406 3.2%
-------------- -----
TOTAL SWITZERLAND......................... 881,503,010 7.9%
-------------- -----
225
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (15.7%)
* Anglo American P.L.C............................ 3,819,283 $ 54,682,386 0.5%
# Barclays P.L.C. Sponsored ADR................... 4,808,211 51,976,761 0.5%
BP P.L.C. Sponsored ADR......................... 9,857,735 338,317,465 3.0%
* Glencore P.L.C.................................. 33,377,354 131,177,614 1.2%
HSBC Holdings P.L.C............................. 21,450,751 176,889,695 1.6%
HSBC Holdings P.L.C. Sponsored ADR.............. 2,999,605 123,493,738 1.1%
Lloyds Banking Group P.L.C...................... 95,091,730 85,442,299 0.8%
Royal Dutch Shell P.L.C. Class A................ 2,296,200 59,628,687 0.5%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 3,383,207 176,569,554 1.6%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 3,846,085 208,150,120 1.9%
Vodafone Group P.L.C............................ 58,351,986 150,293,687 1.3%
# Vodafone Group P.L.C. Sponsored ADR............. 4,011,201 105,053,361 0.9%
Other Securities................................ 216,955,016 1.9%
--------------- ------
TOTAL UNITED KINGDOM.................................. 1,878,630,383 16.8%
--------------- ------
TOTAL COMMON STOCKS................................... 10,917,610,719 97.4%
--------------- ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG................................... 552,438 87,697,713 0.8%
Other Securities................................ 20,195,820 0.2%
--------------- ------
TOTAL GERMANY......................................... 107,893,533 1.0%
--------------- ------
TOTAL PREFERRED STOCKS................................ 107,893,533 1.0%
--------------- ------
TOTAL INVESTMENT SECURITIES........................... 11,025,504,252
---------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (7.9%)
(S)@ DFA Short Term Investment Fund.................. 81,424,353 942,324,037 8.4%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,991,608,709)............................ $11,967,828,289 106.8%
=============== ======
226
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2017, 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................... $ 64,318,760 $ 648,211,117 -- $ 712,529,877
Austria..................... -- 11,349,837 -- 11,349,837
Belgium..................... -- 116,069,925 -- 116,069,925
Canada...................... 864,695,630 -- -- 864,695,630
Denmark..................... -- 206,503,904 -- 206,503,904
Finland..................... 2,929,942 98,476,158 -- 101,406,100
France...................... 264,230 1,123,544,613 -- 1,123,808,843
Germany..................... 82,554,873 763,299,463 -- 845,854,336
Hong Kong................... -- 303,234,661 -- 303,234,661
Ireland..................... 7,217,111 21,913,949 -- 29,131,060
Israel...................... -- 43,478,987 -- 43,478,987
Italy....................... 28,485,970 148,695,465 -- 177,181,435
Japan....................... 42,004,787 2,391,111,986 -- 2,433,116,773
Netherlands................. 42,895,709 304,405,668 -- 347,301,377
New Zealand................. -- 14,021,311 -- 14,021,311
Norway...................... 4,056,980 72,956,624 -- 77,013,604
Portugal.................... -- 4,123,963 -- 4,123,963
Singapore................... -- 116,434,877 -- 116,434,877
Spain....................... 5,114,699 361,234,099 -- 366,348,798
Sweden...................... 5,138,678 258,733,350 -- 263,872,028
Switzerland................. 49,768,218 831,734,792 -- 881,503,010
United Kingdom.............. 1,030,183,246 848,447,137 -- 1,878,630,383
Preferred Stocks
Germany..................... -- 107,893,533 -- 107,893,533
Securities Lending Collateral. -- 942,324,037 -- 942,324,037
Futures Contracts**........... 2,548,565 -- -- 2,548,565
-------------- -------------- -- ---------------
TOTAL......................... $2,232,177,398 $9,738,199,456 -- $11,970,376,854
============== ============== == ===============
**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.
227
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (90.2%)
Consumer Discretionary -- (17.3%)
Aoyama Trading Co., Ltd............ 304,000 $ 10,861,408 0.3%
Toyo Tire & Rubber Co., Ltd........ 623,700 10,970,652 0.3%
Wacoal Holdings Corp............... 676,000 8,569,570 0.3%
Other Securities................... 608,843,652 18.0%
------------ -----
Total Consumer Discretionary........... 639,245,282 18.9%
------------ -----
Consumer Staples -- (7.4%)
# Ain Holdings, Inc.................. 124,600 8,631,761 0.3%
Fuji Oil Holdings, Inc............. 362,600 8,507,936 0.3%
Morinaga Milk Industry Co., Ltd.... 1,164,000 9,201,550 0.3%
Takara Holdings, Inc............... 980,300 10,507,796 0.3%
Other Securities................... 238,106,495 6.9%
------------ -----
Total Consumer Staples................. 274,955,538 8.1%
------------ -----
Energy -- (0.9%)
Other Securities................... 34,558,720 1.0%
------------ -----
Financials -- (7.9%)
Daishi Bank, Ltd. (The)............ 2,071,000 8,314,742 0.3%
North Pacific Bank, Ltd............ 2,303,600 8,784,562 0.3%
Other Securities................... 276,244,391 8.1%
------------ -----
Total Financials....................... 293,343,695 8.7%
------------ -----
Health Care -- (4.6%)
Nipro Corp......................... 767,500 11,645,622 0.4%
Rohto Pharmaceutical Co., Ltd...... 546,700 10,206,903 0.3%
Sawai Pharmaceutical Co., Ltd...... 149,200 8,153,044 0.2%
#* Sosei Group Corp................... 98,000 10,078,919 0.3%
Tsumura & Co....................... 359,800 11,660,144 0.4%
Other Securities................... 118,772,098 3.5%
------------ -----
Total Health Care...................... 170,516,730 5.1%
------------ -----
Industrials -- (25.8%)
Aica Kogyo Co., Ltd................ 314,300 8,958,192 0.3%
Fujikura, Ltd...................... 1,935,000 14,547,297 0.4%
Furukawa Electric Co., Ltd......... 355,200 14,379,113 0.4%
Glory, Ltd......................... 268,900 9,029,242 0.3%
GS Yuasa Corp...................... 2,130,000 9,868,679 0.3%
Hanwa Co., Ltd..................... 1,221,000 8,657,367 0.3%
#* Kawasaki Kisen Kaisha, Ltd......... 3,035,000 7,980,002 0.2%
Nishimatsu Construction Co., Ltd... 1,794,000 9,125,318 0.3%
Nisshinbo Holdings, Inc............ 870,500 8,898,378 0.3%
OKUMA Corp......................... 849,000 8,905,039 0.3%
# OSG Corp........................... 452,700 9,326,305 0.3%
Penta-Ocean Construction Co., Ltd.. 1,890,000 9,574,936 0.3%
Sankyu, Inc........................ 1,540,000 9,780,372 0.3%
Sanwa Holdings Corp................ 1,232,600 12,424,809 0.4%
Ushio, Inc......................... 655,900 8,241,490 0.3%
Other Securities................... 806,595,268 23.6%
------------ -----
Total Industrials...................... 956,291,807 28.3%
------------ -----
Information Technology -- (12.6%)
Amano Corp......................... 377,600 8,064,547 0.2%
228
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Information Technology -- (Continued)
Citizen Watch Co., Ltd............. 1,523,200 $ 10,105,630 0.3%
Horiba, Ltd........................ 212,650 12,537,098 0.4%
Ibiden Co., Ltd.................... 620,978 10,930,807 0.3%
Taiyo Yuden Co., Ltd............... 678,700 8,284,441 0.3%
TIS, Inc........................... 505,101 12,731,466 0.4%
Topcon Corp........................ 595,400 10,519,627 0.3%
Ulvac, Inc......................... 252,600 11,859,057 0.4%
Other Securities................... 382,708,618 11.3%
-------------- ------
Total Information Technology............. 467,741,291 13.9%
-------------- ------
Materials -- (10.8%)
ADEKA Corp......................... 544,000 8,029,869 0.2%
Daido Steel Co., Ltd............... 1,685,000 9,382,340 0.3%
Denka Co., Ltd..................... 1,949,000 10,041,869 0.3%
Mitsui Mining & Smelting Co., Ltd.. 3,627,000 12,238,033 0.4%
Nippon Kayaku Co., Ltd............. 683,000 9,331,778 0.3%
NOF Corp........................... 870,000 9,803,495 0.3%
* Showa Denko K.K.................... 730,399 13,950,565 0.4%
Sumitomo Osaka Cement Co., Ltd..... 2,493,000 10,819,816 0.3%
* Tokuyama Corp...................... 2,159,000 10,628,809 0.3%
Toyobo Co., Ltd.................... 5,688,000 10,061,433 0.3%
Ube Industries, Ltd................ 3,982,000 9,257,192 0.3%
Other Securities................... 288,527,560 8.5%
-------------- ------
Total Materials.......................... 402,072,759 11.9%
-------------- ------
Real Estate -- (1.9%)
Leopalace21 Corp................... 1,960,700 10,421,817 0.3%
Other Securities................... 58,326,178 1.7%
-------------- ------
Total Real Estate........................ 68,747,995 2.0%
-------------- ------
Telecommunication Services -- (0.1%)
Other Securities................... 3,291,143 0.1%
-------------- ------
Utilities -- (0.9%)
# Hokkaido Electric Power Co., Inc... 1,189,200 8,632,838 0.3%
Other Securities................... 23,601,374 0.7%
-------------- ------
Total Utilities.......................... 32,234,212 1.0%
-------------- ------
TOTAL COMMON STOCKS...................... 3,342,999,172 99.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............. 3,342,999,172
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (9.8%)
(S)@ DFA Short Term Investment Fund..... 31,241,094 361,553,180 10.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,127,028,918)................ $3,704,552,352 109.7%
============== ======
229
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2017, 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...... -- $ 639,245,282 -- $ 639,245,282
Consumer Staples............ -- 274,955,538 -- 274,955,538
Energy...................... -- 34,558,720 -- 34,558,720
Financials.................. -- 293,343,695 -- 293,343,695
Health Care................. -- 170,516,730 -- 170,516,730
Industrials................. -- 956,291,807 -- 956,291,807
Information Technology...... -- 467,741,291 -- 467,741,291
Materials................... -- 402,072,759 -- 402,072,759
Real Estate................. -- 68,747,995 -- 68,747,995
Telecommunication Services.. -- 3,291,143 -- 3,291,143
Utilities................... -- 32,234,212 -- 32,234,212
Securities Lending Collateral. -- 361,553,180 -- 361,553,180
-- -------------- -- --------------
TOTAL......................... -- $3,704,552,352 -- $3,704,552,352
== ============== == ==============
See accompanying Notes to Financial Statements.
230
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (87.6%)
AUSTRALIA -- (43.7%)
Adelaide Brighton, Ltd................ 3,668,074 $ 16,262,304 1.0%
Ansell, Ltd........................... 659,275 11,735,730 0.7%
carsales.com, Ltd..................... 1,702,940 14,935,754 0.9%
Cleanaway Waste Management, Ltd....... 10,470,362 9,942,536 0.6%
CSR, Ltd.............................. 3,680,857 13,497,307 0.8%
Downer EDI, Ltd....................... 4,075,221 17,907,909 1.1%
DuluxGroup, Ltd....................... 3,101,823 15,705,453 1.0%
Evolution Mining, Ltd................. 5,025,776 8,735,334 0.5%
Fairfax Media, Ltd.................... 15,303,894 12,132,462 0.7%
GrainCorp, Ltd. Class A............... 1,251,687 8,347,630 0.5%
# GUD Holdings, Ltd..................... 893,134 8,313,592 0.5%
Iluka Resources, Ltd.................. 2,032,058 12,769,532 0.8%
InvoCare, Ltd......................... 920,100 10,038,767 0.6%
# IOOF Holdings, Ltd.................... 2,068,330 13,633,856 0.8%
# IRESS, Ltd............................ 1,175,824 10,948,975 0.7%
# JB Hi-Fi, Ltd......................... 962,791 17,788,459 1.1%
# Magellan Financial Group, Ltd......... 493,135 8,692,337 0.5%
#* Metcash, Ltd.......................... 5,204,963 8,379,582 0.5%
Mineral Resources, Ltd................ 1,168,088 9,342,036 0.6%
nib holdings, Ltd..................... 2,772,247 12,451,528 0.8%
Northern Star Resources, Ltd.......... 4,806,957 15,628,853 1.0%
Nufarm, Ltd........................... 1,407,770 10,699,413 0.7%
Orora, Ltd............................ 4,298,532 9,691,935 0.6%
OZ Minerals, Ltd...................... 2,198,276 11,672,477 0.7%
# Perpetual, Ltd........................ 356,426 14,076,157 0.9%
Primary Health Care, Ltd.............. 3,326,526 8,434,735 0.5%
Sims Metal Management, Ltd............ 1,382,214 12,689,455 0.8%
Spark Infrastructure Group............ 11,913,246 22,214,185 1.4%
# Super Retail Group, Ltd............... 1,280,749 9,045,457 0.6%
Tabcorp Holdings, Ltd................. 3,586,818 12,743,164 0.8%
# Vocus Group, Ltd...................... 4,330,071 10,915,915 0.7%
#* Whitehaven Coal, Ltd.................. 4,143,411 8,475,472 0.5%
Other Securities...................... 423,556,393 25.5%
------------ -----
TOTAL AUSTRALIA........................... 811,404,694 49.4%
------------ -----
CHINA -- (0.1%)
Other Securities...................... 1,873,398 0.1%
------------ -----
HONG KONG -- (25.7%)
# Dah Sing Financial Holdings, Ltd...... 1,500,544 11,375,430 0.7%
#* Esprit Holdings, Ltd.................. 14,828,050 11,504,335 0.7%
Hopewell Holdings, Ltd................ 3,345,000 12,783,103 0.8%
# IGG, Inc.............................. 7,821,000 11,867,174 0.7%
# Luk Fook Holdings International, Ltd.. 3,243,000 11,849,222 0.7%
Man Wah Holdings, Ltd................. 13,578,800 11,244,359 0.7%
Melco International Development, Ltd.. 5,011,000 10,287,907 0.6%
Television Broadcasts, Ltd............ 2,183,300 8,392,612 0.5%
# Vitasoy International Holdings, Ltd... 5,537,000 10,929,571 0.7%
VTech Holdings, Ltd................... 854,500 10,821,392 0.7%
Xinyi Glass Holdings, Ltd............. 17,658,000 15,647,317 1.0%
Other Securities...................... 350,471,207 21.3%
------------ -----
TOTAL HONG KONG........................... 477,173,629 29.1%
------------ -----
231
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
NEW ZEALAND -- (6.8%)
# Mainfreight, Ltd.................. 539,049 $ 8,177,745 0.5%
Ryman Healthcare, Ltd............. 1,373,542 8,135,375 0.5%
SKYCITY Entertainment Group, Ltd.. 5,292,424 15,824,989 1.0%
Other Securities.................. 94,380,005 5.7%
-------------- ------
TOTAL NEW ZEALAND....................... 126,518,114 7.7%
-------------- ------
SINGAPORE -- (11.3%)
SATS, Ltd......................... 2,695,900 9,830,591 0.6%
# Singapore Post, Ltd............... 10,740,900 10,598,792 0.7%
# UOL Group, Ltd.................... 2,062,964 10,685,015 0.7%
Venture Corp., Ltd................ 1,994,100 17,403,323 1.1%
Other Securities.................. 161,396,114 9.7%
-------------- ------
TOTAL SINGAPORE......................... 209,913,835 12.8%
-------------- ------
TOTAL COMMON STOCKS..................... 1,626,883,670 99.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
TOTAL RIGHTS/WARRANTS................... -- 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............. 1,626,883,670
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (12.4%)
(S)@ DFA Short Term Investment Fund.... 19,833,334 229,531,178 14.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,878,880,317)............... $1,856,414,848 113.1%
============== ======
Summary of the Series' investments as of April 30, 2017, 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................... -- $ 811,404,694 -- $ 811,404,694
China....................... -- 1,873,398 -- 1,873,398
Hong Kong................... $1,932,166 475,241,463 -- 477,173,629
New Zealand................. -- 126,518,114 -- 126,518,114
Singapore................... -- 209,913,835 -- 209,913,835
Securities Lending Collateral. -- 229,531,178 -- 229,531,178
---------- -------------- -- --------------
TOTAL......................... $1,932,166 $1,854,482,682 -- $1,856,414,848
========== ============== == ==============
See accompanying Notes to Financial Statements.
232
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (95.1%)
Consumer Discretionary -- (19.4%)
B&M European Value Retail SA...... 3,475,343 $ 15,166,218 0.7%
Bellway P.L.C..................... 669,602 24,678,497 1.2%
Greene King P.L.C................. 1,786,209 17,382,557 0.8%
Inchcape P.L.C.................... 2,190,976 24,237,663 1.1%
UBM P.L.C......................... 2,051,912 18,872,206 0.9%
WH Smith P.L.C.................... 680,498 15,585,586 0.7%
William Hill P.L.C................ 4,310,927 16,379,107 0.8%
Other Securities.................. 294,060,731 13.9%
------------ -----
Total Consumer Discretionary.......... 426,362,565 20.1%
------------ -----
Consumer Staples -- (5.1%)
Booker Group P.L.C................ 8,370,700 21,029,486 1.0%
Tate & Lyle P.L.C................. 2,479,497 24,315,771 1.2%
Other Securities.................. 67,584,685 3.1%
------------ -----
Total Consumer Staples................ 112,929,942 5.3%
------------ -----
Energy -- (4.6%)
Amec Foster Wheeler P.L.C......... 2,037,469 14,304,490 0.7%
John Wood Group P.L.C............. 1,951,303 19,181,450 0.9%
#* Tullow Oil P.L.C.................. 5,009,214 13,590,053 0.6%
Other Securities.................. 53,616,510 2.6%
------------ -----
Total Energy.......................... 100,692,503 4.8%
------------ -----
Financials -- (13.6%)
Beazley P.L.C..................... 2,787,563 15,881,056 0.7%
Close Brothers Group P.L.C........ 794,193 17,400,275 0.8%
# Henderson Group P.L.C............. 5,628,395 16,835,060 0.8%
Hiscox, Ltd....................... 1,520,623 22,299,635 1.1%
Intermediate Capital Group P.L.C.. 1,383,225 14,000,597 0.7%
Jupiter Fund Management P.L.C..... 2,227,194 13,699,960 0.6%
Man Group P.L.C................... 9,049,878 18,010,333 0.8%
Phoenix Group Holdings............ 1,737,356 16,615,887 0.8%
Saga P.L.C........................ 5,099,450 13,842,156 0.7%
TP ICAP P.L.C..................... 2,685,808 15,959,516 0.8%
Other Securities.................. 134,870,712 6.3%
------------ -----
Total Financials...................... 299,415,187 14.1%
------------ -----
Health Care -- (3.5%)
* BTG P.L.C......................... 1,870,654 16,478,442 0.8%
Indivior P.L.C.................... 3,801,468 16,500,258 0.8%
Other Securities.................. 43,418,915 2.0%
------------ -----
Total Health Care..................... 76,397,615 3.6%
------------ -----
Industrials -- (27.7%)
Aggreko P.L.C..................... 1,332,278 15,313,810 0.7%
BBA Aviation P.L.C................ 5,667,084 22,861,121 1.1%
# Cobham P.L.C...................... 8,760,026 15,030,676 0.7%
G4S P.L.C......................... 4,049,674 15,990,244 0.8%
Hays P.L.C........................ 6,845,876 15,191,629 0.7%
Howden Joinery Group P.L.C........ 3,209,546 19,245,279 0.9%
IMI P.L.C......................... 1,390,031 23,021,328 1.1%
IWG P.L.C......................... 3,349,423 14,088,047 0.7%
Meggitt P.L.C..................... 4,129,202 24,727,993 1.2%
233
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Industrials -- (Continued)
Melrose Industries P.L.C............. 10,887,020 $ 33,327,310 1.6%
Rentokil Initial P.L.C............... 8,861,710 28,570,895 1.3%
Rotork P.L.C......................... 4,239,914 13,506,673 0.6%
Spirax-Sarco Engineering P.L.C....... 375,981 25,316,750 1.2%
Weir Group P.L.C. (The).............. 1,080,278 27,833,648 1.3%
WS Atkins P.L.C...................... 502,623 13,982,271 0.7%
Other Securities..................... 301,029,248 14.1%
-------------- ------
Total Industrials.......................... 609,036,922 28.7%
-------------- ------
Information Technology -- (8.8%)
Electrocomponents P.L.C.............. 2,396,207 16,105,456 0.8%
Halma P.L.C.......................... 1,951,180 26,611,092 1.3%
* Paysafe Group P.L.C.................. 2,424,051 14,248,550 0.7%
Playtech P.L.C....................... 1,158,736 14,390,929 0.7%
Rightmove P.L.C...................... 477,301 25,877,484 1.2%
Spectris P.L.C....................... 637,634 22,798,926 1.1%
Other Securities..................... 73,658,299 3.3%
-------------- ------
Total Information Technology............... 193,690,736 9.1%
-------------- ------
Materials -- (7.2%)
Centamin P.L.C....................... 6,065,603 13,897,201 0.7%
DS Smith P.L.C....................... 4,938,232 27,609,390 1.3%
RPC Group P.L.C...................... 2,047,901 21,512,987 1.0%
Other Securities..................... 96,573,608 4.5%
-------------- ------
Total Materials............................ 159,593,186 7.5%
-------------- ------
Real Estate -- (2.5%)
# Capital & Counties Properties P.L.C.. 3,827,320 15,651,992 0.7%
Other Securities..................... 39,757,281 1.9%
-------------- ------
Total Real Estate.......................... 55,409,273 2.6%
-------------- ------
Telecommunication Services -- (1.0%)
Other Securities..................... 22,023,468 1.0%
-------------- ------
Utilities -- (1.7%)
Pennon Group P.L.C................... 2,088,940 23,174,947 1.1%
Other Securities..................... 14,888,194 0.7%
-------------- ------
Total Utilities............................ 38,063,141 1.8%
-------------- ------
TOTAL COMMON STOCKS........................ 2,093,614,538 98.6%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other Securities..................... 18,495 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.2%)
Other Securities..................... 5,231,708 0.3%
-------------- ------
TOTAL INVESTMENT SECURITIES................ 2,098,864,741
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (4.7%)
(S)@ DFA Short Term Investment Fund....... 8,944,086 103,509,904 4.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,865,624,237).................. $2,202,374,645 103.8%
============== ======
234
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2017, 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...... -- $ 426,362,565 -- $ 426,362,565
Consumer Staples............ -- 112,929,942 -- 112,929,942
Energy...................... -- 100,692,503 -- 100,692,503
Financials.................. -- 299,415,187 -- 299,415,187
Health Care................. -- 76,397,615 -- 76,397,615
Industrials................. -- 609,036,922 -- 609,036,922
Information Technology...... -- 193,690,736 -- 193,690,736
Materials................... -- 159,593,186 -- 159,593,186
Real Estate................. -- 55,409,273 -- 55,409,273
Telecommunication Services.. -- 22,023,468 -- 22,023,468
Utilities................... -- 38,063,141 -- 38,063,141
Preferred Stocks.............. -- 18,495 -- 18,495
Rights/Warrants............... -- 5,231,708 -- 5,231,708
Securities Lending Collateral. -- 103,509,904 -- 103,509,904
-- -------------- -- --------------
TOTAL......................... -- $2,202,374,645 -- $2,202,374,645
== ============== == ==============
See accompanying Notes to Financial Statements.
235
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (87.6%)
AUSTRIA -- (2.9%)
ANDRITZ AG.................. 327,520 $ 18,097,813 0.4%
Other Securities............ 143,507,956 2.9%
------------ -----
TOTAL AUSTRIA................... 161,605,769 3.3%
------------ -----
BELGIUM -- (3.9%)
Ackermans & van Haaren NV... 134,383 21,994,102 0.5%
# Umicore SA.................. 412,343 24,158,003 0.5%
Other Securities............ 169,789,244 3.3%
------------ -----
TOTAL BELGIUM................... 215,941,349 4.3%
------------ -----
DENMARK -- (4.6%)
# GN Store Nord A.S........... 855,243 22,230,374 0.5%
Jyske Bank A.S.............. 404,159 21,612,779 0.4%
TDC A.S..................... 4,743,975 25,448,893 0.5%
Other Securities............ 186,226,928 3.7%
------------ -----
TOTAL DENMARK................... 255,518,974 5.1%
------------ -----
FINLAND -- (6.1%)
Elisa Oyj................... 734,075 24,963,650 0.5%
# Huhtamaki Oyj............... 467,536 18,122,853 0.4%
Metso Oyj................... 576,499 20,646,714 0.4%
Nokian Renkaat Oyj.......... 623,433 26,795,638 0.5%
Orion Oyj Class B........... 436,647 25,024,035 0.5%
# Outokumpu Oyj............... 3,022,031 28,938,913 0.6%
Other Securities............ 195,177,870 3.9%
------------ -----
TOTAL FINLAND................... 339,669,673 6.8%
------------ -----
FRANCE -- (12.2%)
# Edenred..................... 946,779 24,253,318 0.5%
Ipsen SA.................... 162,032 18,864,249 0.4%
Lagardere SCA............... 663,377 20,306,215 0.4%
Orpea....................... 182,255 18,615,617 0.4%
Rexel SA.................... 1,596,995 28,519,669 0.6%
Rubis SCA................... 203,675 20,691,708 0.4%
SEB SA...................... 120,657 19,429,843 0.4%
STMicroelectronics NV....... 1,780,023 28,575,890 0.6%
Teleperformance............. 336,308 42,290,345 0.9%
* Ubisoft Entertainment SA.... 521,852 24,721,360 0.5%
Other Securities............ 437,133,251 8.7%
------------ -----
TOTAL FRANCE.................... 683,401,465 13.8%
------------ -----
GERMANY -- (14.3%)
* Dialog Semiconductor P.L.C.. 382,079 17,877,837 0.4%
Freenet AG.................. 652,809 20,487,314 0.4%
# Hugo Boss AG................ 285,824 21,734,995 0.4%
# K+S AG...................... 990,931 23,641,923 0.5%
KION Group AG............... 258,832 17,534,672 0.4%
Lanxess AG.................. 484,758 35,002,637 0.7%
LEG Immobilien AG........... 306,750 26,353,575 0.5%
MTU Aero Engines AG......... 249,839 35,835,367 0.7%
Osram Licht AG.............. 343,036 22,979,780 0.5%
236
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
QIAGEN NV..................... 717,083 $ 21,481,790 0.4%
Rheinmetall AG................ 223,411 20,506,818 0.4%
Stada Arzneimittel AG......... 306,492 21,718,100 0.4%
Other Securities.............. 512,371,012 10.4%
------------ -----
TOTAL GERMANY..................... 797,525,820 16.1%
------------ -----
IRELAND -- (1.2%)
Kingspan Group P.L.C.......... 667,888 23,234,094 0.5%
Other Securities.............. 43,587,492 0.8%
------------ -----
TOTAL IRELAND..................... 66,821,586 1.3%
------------ -----
ISRAEL -- (2.1%)
Other Securities.............. 118,570,564 2.4%
------------ -----
ITALY -- (9.4%)
Banco BPM SpA................. 6,471,527 18,900,113 0.4%
# Mediaset SpA.................. 4,351,208 17,782,080 0.4%
Prysmian SpA.................. 1,026,230 29,615,643 0.6%
Recordati SpA................. 474,431 17,582,541 0.4%
# Unione di Banche Italiane SpA. 4,861,323 20,483,378 0.4%
Other Securities.............. 418,052,493 8.3%
------------ -----
TOTAL ITALY....................... 522,416,248 10.5%
------------ -----
NETHERLANDS -- (4.6%)
Aalberts Industries NV........ 645,848 25,608,846 0.5%
Boskalis Westminster.......... 522,771 19,228,989 0.4%
Other Securities.............. 212,724,011 4.3%
------------ -----
TOTAL NETHERLANDS................. 257,561,846 5.2%
------------ -----
NORWAY -- (2.2%)
Other Securities.............. 124,590,766 2.5%
------------ -----
PORTUGAL -- (0.9%)
Other Securities.............. 52,437,284 1.1%
------------ -----
SPAIN -- (5.2%)
Gamesa Corp. Tecnologica SA... 1,203,576 25,957,211 0.5%
Other Securities.............. 262,551,292 5.3%
------------ -----
TOTAL SPAIN....................... 288,508,503 5.8%
------------ -----
SWEDEN -- (7.2%)
Other Securities.............. 404,985,681 8.2%
------------ -----
SWITZERLAND -- (10.8%)
# ams AG........................ 372,640 23,973,214 0.5%
Flughafen Zuerich AG.......... 104,871 23,111,210 0.5%
Georg Fischer AG.............. 22,511 21,227,134 0.4%
Helvetia Holding AG........... 36,269 20,140,004 0.4%
Logitech International SA..... 708,858 23,690,881 0.5%
PSP Swiss Property AG......... 201,709 18,084,267 0.4%
Temenos Group AG.............. 318,043 27,528,471 0.6%
Other Securities.............. 445,434,838 8.9%
------------ -----
TOTAL SWITZERLAND................. 603,190,019 12.2%
------------ -----
237
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED STATES -- (0.0%)
Other Securities............... $ 1,271,788 0.0%
-------------- ------
TOTAL COMMON STOCKS.................. 4,894,017,335 98.6%
-------------- ------
PREFERRED STOCKS -- (0.7%)
GERMANY -- (0.7%)
Other Securities............... 40,608,644 0.8%
-------------- ------
TOTAL PREFERRED STOCKS............... 40,608,644 0.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
ITALY -- (0.0%)
Other Securities............... 41,792 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................ 41,792 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......... 4,934,667,771
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund. 56,722,188 656,445,884 13.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,328,293,736)............ $5,591,113,655 112.6%
============== ======
Summary of the Series' investments as of April 30, 2017, 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..................... -- $ 161,605,769 -- $ 161,605,769
Belgium..................... -- 215,941,349 -- 215,941,349
Denmark..................... -- 255,518,974 -- 255,518,974
Finland..................... -- 339,669,673 -- 339,669,673
France...................... -- 683,401,465 -- 683,401,465
Germany..................... -- 797,525,820 -- 797,525,820
Ireland..................... -- 66,821,586 -- 66,821,586
Israel...................... -- 118,570,564 -- 118,570,564
Italy....................... -- 522,416,248 -- 522,416,248
Netherlands................. -- 257,561,846 -- 257,561,846
Norway...................... -- 124,590,766 -- 124,590,766
Portugal.................... -- 52,437,284 -- 52,437,284
Spain....................... -- 288,508,503 -- 288,508,503
Sweden...................... -- 404,985,681 -- 404,985,681
Switzerland................. -- 603,190,019 -- 603,190,019
United States............... -- 1,271,788 -- 1,271,788
Preferred Stocks
Germany..................... -- 40,608,644 -- 40,608,644
Rights/Warrants
Italy....................... -- 41,792 -- 41,792
Securities Lending Collateral. -- 656,445,884 -- 656,445,884
-- -------------- -- --------------
TOTAL......................... -- $5,591,113,655 -- $5,591,113,655
== ============== == ==============
See accompanying Notes to Financial Statements.
238
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (85.0%)
Consumer Discretionary -- (8.4%)
#* Amaya, Inc............................. 529,592 $ 9,408,158 0.8%
# Cineplex, Inc.......................... 355,683 14,000,108 1.1%
Enercare, Inc.......................... 611,459 9,711,315 0.8%
Linamar Corp........................... 291,014 12,373,505 1.0%
Other Securities....................... 73,519,719 6.1%
------------ -----
Total Consumer Discretionary............... 119,012,805 9.8%
------------ -----
Consumer Staples -- (4.3%)
Cott Corp.............................. 701,676 9,231,970 0.8%
Maple Leaf Foods, Inc.................. 510,145 12,769,975 1.1%
Premium Brands Holdings Corp........... 156,662 9,805,649 0.8%
Other Securities....................... 28,883,609 2.3%
------------ -----
Total Consumer Staples..................... 60,691,203 5.0%
------------ -----
Energy -- (18.0%)
# Enbridge Income Fund Holdings, Inc..... 472,655 11,599,533 1.0%
Gibson Energy, Inc..................... 702,339 9,523,677 0.8%
* Parex Resources, Inc................... 855,191 10,619,016 0.9%
# Parkland Fuel Corp..................... 530,725 11,547,220 1.0%
* Precision Drilling Corp................ 1,924,403 7,655,037 0.6%
Veresen, Inc........................... 1,597,192 17,820,032 1.5%
# Whitecap Resources, Inc................ 2,075,112 14,684,870 1.2%
Other Securities....................... 171,811,938 14.1%
------------ -----
Total Energy............................... 255,261,323 21.1%
------------ -----
Financials -- (5.1%)
# Canadian Western Bank.................. 519,727 10,215,212 0.8%
# Genworth MI Canada, Inc................ 317,380 7,881,896 0.7%
Laurentian Bank of Canada.............. 221,646 9,066,857 0.7%
TMX Group, Ltd......................... 229,180 12,947,776 1.1%
Other Securities....................... 32,516,102 2.7%
------------ -----
Total Financials........................... 72,627,843 6.0%
------------ -----
Health Care -- (1.7%)
Other Securities....................... 24,592,836 2.0%
------------ -----
Industrials -- (10.5%)
Finning International, Inc............. 552,678 10,510,619 0.9%
MacDonald Dettwiler & Associates, Ltd.. 196,107 9,682,877 0.8%
New Flyer Industries, Inc.............. 254,471 9,479,397 0.8%
# Stantec, Inc........................... 641,429 16,460,392 1.4%
TFI International, Inc................. 524,953 11,429,327 0.9%
Toromont Industries, Ltd............... 426,913 15,186,913 1.3%
Other Securities....................... 75,850,527 6.2%
------------ -----
Total Industrials.......................... 148,600,052 12.3%
------------ -----
Information Technology -- (4.5%)
* Celestica, Inc......................... 698,843 9,957,508 0.8%
* Descartes Systems Group, Inc. (The).... 405,356 9,354,027 0.8%
DH Corp................................ 431,732 8,030,237 0.7%
Other Securities....................... 37,097,590 3.0%
------------ -----
Total Information Technology............... 64,439,362 5.3%
------------ -----
239
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Materials -- (24.9%)
# Alamos Gold, Inc. Class A.......... 1,807,660 $ 12,937,870 1.1%
* B2Gold Corp........................ 5,693,373 14,305,900 1.2%
Eldorado Gold Corp................. 4,259,785 15,571,830 1.3%
#* First Majestic Silver Corp......... 956,624 7,778,857 0.6%
HudBay Minerals, Inc............... 1,487,005 8,878,130 0.7%
* IAMGOLD Corp....................... 2,772,941 11,457,007 0.9%
#* Ivanhoe Mines, Ltd. Class A........ 2,184,189 7,664,382 0.6%
Methanex Corp...................... 188,866 8,679,216 0.7%
* New Gold, Inc...................... 2,843,983 8,062,865 0.7%
OceanaGold Corp.................... 3,690,660 12,031,381 1.0%
Pan American Silver Corp........... 990,673 16,612,216 1.4%
* Silver Standard Resources, Inc..... 763,090 7,870,999 0.7%
Stella-Jones, Inc.................. 242,305 7,675,373 0.6%
Tahoe Resources, Inc............... 990,247 8,023,246 0.7%
* Torex Gold Resources, Inc.......... 462,775 7,838,070 0.6%
West Fraser Timber Co., Ltd........ 315,210 14,164,303 1.2%
Other Securities................... 183,417,257 15.2%
-------------- ------
Total Materials.......................... 352,968,902 29.2%
-------------- ------
Real Estate -- (2.2%)
Colliers International Group, Inc.. 178,695 8,749,843 0.7%
FirstService Corp.................. 185,371 11,536,036 0.9%
Other Securities................... 10,424,590 0.9%
-------------- ------
Total Real Estate........................ 30,710,469 2.5%
-------------- ------
Utilities -- (5.4%)
Algonquin Power & Utilities Corp... 1,268,653 12,016,910 1.0%
Capital Power Corp................. 541,609 9,871,603 0.8%
# Northland Power, Inc............... 661,188 11,687,826 1.0%
# Superior Plus Corp................. 838,165 8,025,213 0.7%
TransAlta Corp..................... 1,535,471 7,862,673 0.6%
Other Securities................... 27,534,765 2.3%
-------------- ------
Total Utilities.......................... 76,998,990 6.4%
-------------- ------
TOTAL COMMON STOCKS...................... 1,205,903,785 99.6%
-------------- ------
TOTAL INVESTMENT SECURITIES.............. 1,205,903,785
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (15.0%)
(S)@ DFA Short Term Investment Fund..... 18,396,460 212,902,234 17.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,622,593,198)................ $1,418,806,019 117.2%
============== ======
240
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2017, 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...... $ 117,722,013 $ 1,290,792 -- $ 119,012,805
Consumer Staples............ 60,691,203 -- -- 60,691,203
Energy...................... 255,261,314 9 -- 255,261,323
Financials.................. 72,627,843 -- -- 72,627,843
Health Care................. 24,592,836 -- -- 24,592,836
Industrials................. 148,600,052 -- -- 148,600,052
Information Technology...... 64,439,362 -- -- 64,439,362
Materials................... 352,955,853 13,049 -- 352,968,902
Real Estate................. 30,710,469 -- -- 30,710,469
Utilities................... 76,998,990 -- -- 76,998,990
Securities Lending Collateral. -- 212,902,234 -- 212,902,234
-------------- ------------ -- --------------
TOTAL......................... $1,204,599,935 $214,206,084 -- $1,418,806,019
============== ============ == ==============
See accompanying Notes to Financial Statements.
241
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.6%)
BRAZIL -- (4.6%)
Ambev SA ADR........................................ 5,984,451 $ 34,290,904 0.6%
Other Securities.................................... 238,179,979 4.1%
------------ -----
TOTAL BRAZIL............................................ 272,470,883 4.7%
------------ -----
CHILE -- (1.3%)
Other Securities.................................... 79,091,303 1.4%
------------ -----
CHINA -- (16.5%)
* Alibaba Group Holding, Ltd. Sponsored ADR........... 599,851 69,282,791 1.2%
* Baidu, Inc. Sponsored ADR........................... 125,455 22,610,755 0.4%
Bank of China, Ltd. Class H......................... 63,274,181 30,606,519 0.5%
China Construction Bank Corp. Class H............... 70,499,590 57,221,928 1.0%
China Mobile, Ltd. Sponsored ADR.................... 918,178 48,957,251 0.9%
Industrial & Commercial Bank of China, Ltd. Class H. 68,306,185 44,526,454 0.8%
NetEase, Inc. ADR................................... 73,351 19,466,622 0.3%
Ping An Insurance Group Co. of China, Ltd. Class H.. 4,622,500 25,988,862 0.5%
Tencent Holdings, Ltd............................... 4,351,400 136,343,809 2.4%
Other Securities.................................... 519,944,703 8.9%
------------ -----
TOTAL CHINA............................................. 974,949,694 16.9%
------------ -----
COLOMBIA -- (0.4%)
Other Securities.................................... 24,607,143 0.4%
------------ -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 9,897,790 0.2%
------------ -----
EGYPT -- (0.1%)
Other Securities.................................... 7,802,832 0.1%
------------ -----
GREECE -- (0.2%)
Other Securities.................................... 13,702,003 0.2%
------------ -----
HUNGARY -- (0.4%)
Other Securities.................................... 23,024,874 0.4%
------------ -----
INDIA -- (11.6%)
HDFC Bank, Ltd...................................... 1,441,144 34,551,495 0.6%
Hindustan Unilever, Ltd............................. 1,148,145 16,667,187 0.3%
Housing Development Finance Corp., Ltd.............. 1,180,098 28,172,063 0.5%
Infosys, Ltd........................................ 1,886,232 27,012,159 0.5%
ITC, Ltd............................................ 4,896,443 21,126,769 0.4%
Reliance Industries, Ltd............................ 1,625,226 35,197,372 0.6%
Tata Consultancy Services, Ltd...................... 720,066 25,445,822 0.4%
Other Securities.................................... 496,918,898 8.6%
------------ -----
TOTAL INDIA............................................. 685,091,765 11.9%
------------ -----
INDONESIA -- (2.9%)
Bank Central Asia Tbk PT............................ 15,447,700 20,544,529 0.4%
Other Securities.................................... 147,297,854 2.5%
------------ -----
TOTAL INDONESIA......................................... 167,842,383 2.9%
------------ -----
242
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (3.2%)
Other Securities................................ $189,247,313 3.3%
------------ -----
MEXICO -- (4.6%)
America Movil S.A.B. de C.V. Series L........... 46,329,297 35,610,944 0.6%
Grupo Financiero Banorte S.A.B. de C.V. Class O. 4,609,848 26,603,306 0.4%
Grupo Mexico S.A.B. de C.V. Series B............ 6,058,822 17,704,721 0.3%
# Grupo Televisa S.A.B. Series CPO................ 3,436,374 16,675,091 0.3%
Other Securities................................ 173,002,403 3.1%
------------ -----
TOTAL MEXICO........................................ 269,596,465 4.7%
------------ -----
PERU -- (0.2%)
Other Securities................................ 14,261,752 0.3%
------------ -----
PHILIPPINES -- (1.5%)
Other Securities................................ 89,168,404 1.6%
------------ -----
POLAND -- (1.7%)
# Polski Koncern Naftowy Orlen SA................. 649,675 19,415,914 0.3%
Other Securities................................ 79,741,857 1.4%
------------ -----
TOTAL POLAND........................................ 99,157,771 1.7%
------------ -----
RUSSIA -- (1.8%)
Gazprom PJSC Sponsored ADR...................... 4,944,295 23,473,283 0.4%
Sberbank of Russia PJSC Sponsored ADR........... 1,818,206 21,676,319 0.4%
Other Securities................................ 60,893,307 1.0%
------------ -----
TOTAL RUSSIA........................................ 106,042,909 1.8%
------------ -----
SOUTH AFRICA -- (7.2%)
# AngloGold Ashanti, Ltd. Sponsored ADR........... 1,637,102 18,712,076 0.3%
Bid Corp., Ltd.................................. 778,465 16,491,818 0.3%
FirstRand, Ltd.................................. 4,730,180 17,647,443 0.3%
# MTN Group, Ltd.................................. 2,516,919 23,803,309 0.4%
Naspers, Ltd. Class N........................... 370,571 70,464,622 1.2%
# Sasol, Ltd. Sponsored ADR....................... 778,314 23,754,143 0.4%
Standard Bank Group, Ltd........................ 2,023,352 22,468,480 0.4%
# Steinhoff International Holdings NV............. 3,453,813 17,569,874 0.3%
Other Securities................................ 214,695,127 3.8%
------------ -----
TOTAL SOUTH AFRICA.................................. 425,606,892 7.4%
------------ -----
SOUTH KOREA -- (16.5%)
Hana Financial Group, Inc....................... 545,466 18,734,035 0.3%
Hyundai Motor Co................................ 181,576 22,965,170 0.4%
KB Financial Group, Inc......................... 441,762 19,418,701 0.3%
LG Electronics, Inc............................. 310,602 18,854,663 0.3%
NAVER Corp...................................... 37,790 26,559,711 0.5%
Samsung Electronics Co., Ltd.................... 101,911 199,789,105 3.5%
Samsung Electronics Co., Ltd. GDR............... 52,509 51,524,207 0.9%
Shinhan Financial Group Co., Ltd................ 399,454 16,677,763 0.3%
SK Hynix, Inc................................... 801,175 37,954,353 0.7%
Other Securities................................ 558,136,318 9.7%
------------ -----
TOTAL SOUTH KOREA................................... 970,614,026 16.9%
------------ -----
TAIWAN -- (14.9%)
Hon Hai Precision Industry Co., Ltd............. 17,267,653 56,519,814 1.0%
# Largan Precision Co., Ltd....................... 133,860 22,230,057 0.4%
243
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co., Ltd................ 25,317,808 $ 163,094,652 2.8%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR. 1,789,031 59,163,255 1.0%
Other Securities........................................... 574,947,338 10.0%
-------------- ------
TOTAL TAIWAN..................................................... 875,955,116 15.2%
-------------- ------
THAILAND -- (2.5%)
PTT PCL.................................................... 1,634,600 18,382,752 0.3%
Other Securities........................................... 130,514,871 2.3%
-------------- ------
TOTAL THAILAND................................................... 148,897,623 2.6%
-------------- ------
TURKEY -- (1.3%)
Other Securities........................................... 78,263,283 1.4%
-------------- ------
TOTAL COMMON STOCKS.............................................. 5,525,292,224 96.0%
-------------- ------
PREFERRED STOCKS -- (2.9%)
BRAZIL -- (2.8%)
Banco Bradesco SA.......................................... 2,489,914 26,208,795 0.5%
Itau Unibanco Holding SA................................... 4,317,027 53,397,546 0.9%
Vale SA.................................................... 2,522,202 20,867,039 0.4%
Other Securities........................................... 63,170,926 1.0%
-------------- ------
TOTAL BRAZIL..................................................... 163,644,306 2.8%
-------------- ------
CHILE -- (0.0%)
Other Securities........................................... 471,539 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities........................................... 5,806,583 0.1%
-------------- ------
INDIA -- (0.0%)
Other Securities........................................... 245,422 0.0%
-------------- ------
TOTAL PREFERRED STOCKS........................................... 170,167,850 2.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
TAIWAN -- (0.0%)
Other Securities........................................... 84,770 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities........................................... 37,666 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS............................................ 122,436 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES...................................... 5,695,582,510
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (3.5%)
(S)@ DFA Short Term Investment Fund............................. 17,835,440 206,409,543 3.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,377,646,228)........................................ $5,901,992,053 102.5%
============== ======
244
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2017, 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...................... $ 272,470,883 -- -- $ 272,470,883
Chile....................... 41,813,686 $ 37,277,617 -- 79,091,303
China....................... 258,393,582 716,556,112 -- 974,949,694
Colombia.................... 24,607,143 -- -- 24,607,143
Czech Republic.............. -- 9,897,790 -- 9,897,790
Egypt....................... 610,718 7,192,114 -- 7,802,832
Greece...................... -- 13,702,003 -- 13,702,003
Hungary..................... -- 23,024,874 -- 23,024,874
India....................... 31,017,907 654,073,858 -- 685,091,765
Indonesia................... 6,484,710 161,357,673 -- 167,842,383
Malaysia.................... -- 189,247,313 -- 189,247,313
Mexico...................... 269,596,465 -- -- 269,596,465
Peru........................ 14,261,752 -- -- 14,261,752
Philippines................. 2,096,191 87,072,213 -- 89,168,404
Poland...................... -- 99,157,771 -- 99,157,771
Russia...................... 4,533,588 101,509,321 -- 106,042,909
South Africa................ 51,053,298 374,553,594 -- 425,606,892
South Korea................. 28,753,005 941,861,021 -- 970,614,026
Taiwan...................... 69,665,168 806,289,948 -- 875,955,116
Thailand.................... 148,897,623 -- -- 148,897,623
Turkey...................... 646,083 77,617,200 -- 78,263,283
Preferred Stocks
Brazil...................... 163,644,306 -- -- 163,644,306
Chile....................... -- 471,539 -- 471,539
Colombia.................... 5,806,583 -- -- 5,806,583
India....................... -- 245,422 -- 245,422
Rights/Warrants
Taiwan...................... -- 84,770 -- 84,770
Thailand.................... -- 37,666 -- 37,666
Securities Lending Collateral. -- 206,409,543 -- 206,409,543
Futures Contracts**........... 1,408,077 -- -- 1,408,077
-------------- -------------- -- --------------
TOTAL......................... $1,395,760,768 $4,507,639,362 -- $5,903,400,130
============== ============== == ==============
**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.
245
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (90.4%)
BRAZIL -- (7.2%)
* BR Malls Participacoes SA............................... 5,957,732 $ 26,372,028 0.4%
Cia Hering.............................................. 1,553,736 10,779,057 0.2%
* Cia Siderurgica Nacional SA............................. 5,120,808 12,503,351 0.2%
Cyrela Brazil Realty SA Empreendimentos e Participacoes. 2,823,034 11,740,221 0.2%
EDP -- Energias do Brasil SA............................ 3,186,314 13,471,853 0.2%
Equatorial Energia SA................................... 2,114,158 38,292,700 0.6%
Estacio Participacoes SA................................ 3,477,890 19,536,800 0.3%
Fleury SA............................................... 731,906 12,110,617 0.2%
Localiza Rent a Car SA.................................. 1,572,075 23,427,214 0.4%
MRV Engenharia e Participacoes SA....................... 2,976,660 14,948,712 0.2%
Multiplan Empreendimentos Imobiliarios SA............... 624,699 13,324,340 0.2%
Qualicorp SA............................................ 2,351,105 16,740,434 0.3%
* Rumo SA................................................. 6,787,474 18,668,467 0.3%
Smiles SA............................................... 505,800 11,001,853 0.2%
Sul America SA.......................................... 3,005,954 15,900,808 0.2%
Totvs SA................................................ 1,272,826 11,148,081 0.2%
Transmissora Alianca de Energia Eletrica SA............. 1,918,518 13,908,130 0.2%
Other Securities........................................ 221,438,989 3.3%
-------------- -----
TOTAL BRAZIL................................................ 505,313,655 7.8%
-------------- -----
CHILE -- (1.6%)
Parque Arauco SA........................................ 7,008,665 18,285,264 0.3%
Other Securities........................................ 91,263,732 1.4%
-------------- -----
TOTAL CHILE................................................. 109,548,996 1.7%
-------------- -----
CHINA -- (15.1%)
Agile Group Holdings, Ltd............................... 13,027,500 11,643,733 0.2%
China Everbright, Ltd................................... 6,106,000 13,948,773 0.2%
China National Building Material Co., Ltd. Class H...... 19,622,000 13,043,664 0.2%
# GOME Electrical Appliances Holding, Ltd................. 84,442,000 11,500,726 0.2%
# Intime Retail Group Co., Ltd............................ 9,442,000 11,944,925 0.2%
Kingboard Chemical Holdings, Ltd........................ 4,301,921 15,493,603 0.3%
Minth Group, Ltd........................................ 3,963,000 14,706,962 0.2%
Shanghai Industrial Holdings, Ltd....................... 3,333,000 10,544,432 0.2%
Shenzhen International Holdings, Ltd.................... 7,292,722 12,242,025 0.2%
# Sihuan Pharmaceutical Holdings Group, Ltd............... 26,984,000 11,991,715 0.2%
# Sunac China Holdings, Ltd............................... 15,053,000 19,604,450 0.3%
* YY, Inc. ADR............................................ 220,940 10,819,432 0.2%
Other Securities........................................ 896,822,368 13.6%
-------------- -----
TOTAL CHINA................................................. 1,054,306,808 16.2%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities........................................ 12,135,744 0.2%
-------------- -----
GREECE -- (0.3%)
Other Securities........................................ 20,910,141 0.3%
-------------- -----
HONG KONG -- (0.0%)
Other Securities........................................ 456,686 0.0%
-------------- -----
HUNGARY -- (0.1%)
Other Securities........................................ 6,121,958 0.1%
-------------- -----
246
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
INDIA -- (14.1%)
* Crompton Greaves Consumer Electricals, Ltd.. 3,425,286 $ 11,715,861 0.2%
Federal Bank, Ltd........................... 8,408,191 14,100,583 0.2%
IIFL Holdings, Ltd.......................... 1,532,495 11,384,136 0.2%
TVS Motor Co., Ltd.......................... 1,601,124 12,289,647 0.2%
Other Securities............................ 934,753,407 14.3%
-------------- -----
TOTAL INDIA..................................... 984,243,634 15.1%
-------------- -----
INDONESIA -- (3.0%)
Other Securities............................ 213,658,046 3.3%
-------------- -----
MALAYSIA -- (3.7%)
Other Securities............................ 259,025,484 4.0%
-------------- -----
MEXICO -- (2.5%)
# Alsea S.A.B. de C.V......................... 5,357,900 19,054,802 0.3%
Banregio Grupo Financiero S.A.B. de C.V..... 1,983,160 11,451,083 0.2%
# Gentera S.A.B. de C.V....................... 7,327,998 12,320,215 0.2%
#* Industrias CH S.A.B. de C.V. Series B....... 2,193,173 11,778,318 0.2%
Other Securities............................ 122,994,739 1.8%
-------------- -----
TOTAL MEXICO.................................... 177,599,157 2.7%
-------------- -----
PHILIPPINES -- (1.4%)
Other Securities............................ 96,346,056 1.5%
-------------- -----
POLAND -- (1.6%)
* CD Projekt SA............................... 636,728 11,125,547 0.2%
Other Securities............................ 104,526,918 1.6%
-------------- -----
TOTAL POLAND.................................... 115,652,465 1.8%
-------------- -----
SOUTH AFRICA -- (6.7%)
AVI, Ltd.................................... 3,408,319 24,916,050 0.4%
Barloworld, Ltd............................. 2,216,736 19,968,651 0.3%
Clicks Group, Ltd........................... 2,723,654 27,373,356 0.4%
EOH Holdings, Ltd........................... 1,098,252 11,628,003 0.2%
Foschini Group, Ltd. (The).................. 1,886,464 22,523,749 0.4%
Imperial Holdings, Ltd...................... 1,074,427 13,588,858 0.2%
* Northam Platinum, Ltd....................... 3,612,389 13,415,603 0.2%
Sappi, Ltd.................................. 2,275,007 16,895,152 0.3%
# SPAR Group, Ltd. (The)...................... 1,162,708 15,671,335 0.2%
Telkom SA SOC, Ltd.......................... 1,921,390 10,753,072 0.2%
Other Securities............................ 293,163,410 4.4%
-------------- -----
TOTAL SOUTH AFRICA.............................. 469,897,239 7.2%
-------------- -----
SOUTH KOREA -- (12.7%)
Other Securities............................ 886,000,191 13.6%
-------------- -----
TAIWAN -- (15.5%)
Other Securities............................ 1,082,705,887 16.6%
-------------- -----
THAILAND -- (3.3%)
Other Securities............................ 230,761,783 3.6%
-------------- -----
TURKEY -- (1.4%)
Other Securities............................ 98,867,480 1.5%
-------------- -----
TOTAL COMMON STOCKS............................. 6,323,551,410 97.2%
-------------- -----
247
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
PREFERRED STOCKS -- (1.4%)
BRAZIL -- (1.3%)
Cia Energetica de Minas Gerais.. 5,514,829 $ 15,428,768 0.2%
Other Securities................ 79,111,913 1.2%
-------------- ------
TOTAL BRAZIL........................... 94,540,681 1.4%
-------------- ------
CHILE -- (0.1%)
Other Securities................ 4,064,551 0.1%
-------------- ------
COLOMBIA -- (0.0%)
Other Securities................ 2,384,477 0.0%
-------------- ------
INDIA -- (0.0%)
Other Securities................ 115,799 0.0%
-------------- ------
TOTAL PREFERRED STOCKS................. 101,105,508 1.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities................ 71,472 0.0%
-------------- ------
INDONESIA -- (0.0%)
Other Securities................ 17,448 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 343,860 0.0%
-------------- ------
PHILIPPINES -- (0.0%)
Other Securities................ 27,542 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 60,805 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................ 11,544 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 532,671 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 6,425,189,589
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (8.2%)
(S)@ DFA Short Term Investment Fund.. 49,493,179 572,784,566 8.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,281,544,083).............. $6,997,974,155 107.5%
============== ======
248
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2017, 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...................... $ 505,313,655 -- -- $ 505,313,655
Chile....................... 1,088,052 $ 108,460,944 -- 109,548,996
China....................... 55,673,829 998,632,979 -- 1,054,306,808
Colombia.................... 12,135,744 -- -- 12,135,744
Greece...................... -- 20,910,141 -- 20,910,141
Hong Kong................... -- 456,686 -- 456,686
Hungary..................... -- 6,121,958 -- 6,121,958
India....................... 97,036 984,146,598 -- 984,243,634
Indonesia................... 1,583,335 212,074,711 -- 213,658,046
Malaysia.................... 129,593 258,895,891 -- 259,025,484
Mexico...................... 177,599,157 -- -- 177,599,157
Philippines................. -- 96,346,056 -- 96,346,056
Poland...................... -- 115,652,465 -- 115,652,465
South Africa................ 6,931,188 462,966,051 -- 469,897,239
South Korea................. 4,773,434 881,226,757 -- 886,000,191
Taiwan...................... 87,165 1,082,618,722 -- 1,082,705,887
Thailand.................... 230,211,435 550,348 -- 230,761,783
Turkey...................... -- 98,867,480 -- 98,867,480
Preferred Stocks
Brazil...................... 94,540,681 -- -- 94,540,681
Chile....................... -- 4,064,551 -- 4,064,551
Colombia.................... 2,384,477 -- -- 2,384,477
India....................... 115,799 -- -- 115,799
Rights/Warrants
Brazil...................... -- 71,472 -- 71,472
Indonesia................... -- 17,448 -- 17,448
Malaysia.................... -- 343,860 -- 343,860
Philippines................. -- 27,542 -- 27,542
South Korea................. -- 60,805 -- 60,805
Taiwan...................... -- 11,544 -- 11,544
Securities Lending Collateral. -- 572,784,566 -- 572,784,566
Futures Contracts**........... 1,040,556 -- -- 1,040,556
-------------- -------------- -- --------------
TOTAL......................... $1,093,705,136 $5,905,309,575 -- $6,999,014,711
============== ============== == ==============
**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.
249
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE JAPANESE THE ASIA
THE U.S. LARGE THE DFA SMALL PACIFIC SMALL
CAP VALUE INTERNATIONAL COMPANY COMPANY
SERIES* VALUE SERIES* SERIES* SERIES*
-------------- ------------- ------------ -------------
ASSETS:
Investments at Value (including $1,404,990, $975,662,
$348,773 and $262,689 of securities on loan,
respectively).................................................... $24,480,375 $11,025,504 $3,342,999 $1,626,884
Temporary Cash Investments at Value & Cost........................ 288,414 -- -- --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $920,913, $942,244, $361,558 and
$229,488)........................................................ 921,032 942,324 361,553 229,531
Segregated Cash for Futures Contracts............................. 7,160 4,695 -- --
Foreign Currencies at Value....................................... -- 13,627 146 7,301
Cash.............................................................. -- 114,845 7,943 2,602
Receivables:
Investment Securities Sold...................................... 22,846 -- 764 3,333
Dividends, Interest and Tax Reclaims............................ 29,866 48,739 29,767 1,519
Securities Lending Income....................................... 190 1,144 708 405
Unrealized Gain on Foreign Currency Contracts..................... -- -- 2 --
Prepaid Expenses and Other Assets................................. 27 12 3 3
----------- ----------- ---------- ----------
Total Assets................................................. 25,749,910 12,150,890 3,743,885 1,871,578
----------- ----------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 920,816 942,176 361,462 229,460
Investment Securities Purchased................................. 104,940 -- 3,783 771
Due to Advisor.................................................. 2,002 1,797 271 135
Futures Margin Variation........................................ 401 238 -- --
Accrued Expenses and Other Liabilities............................ 1,158 667 212 108
----------- ----------- ---------- ----------
Total Liabilities............................................ 1,029,317 944,878 365,728 230,474
----------- ----------- ---------- ----------
NET ASSETS........................................................ $24,720,593 $11,206,012 $3,378,157 $1,641,104
=========== =========== ========== ==========
Investments at Cost............................................... $16,752,543 $10,049,365 $2,765,471 $1,649,392
=========== =========== ========== ==========
Foreign Currencies at Cost........................................ $ -- $ 13,691 $ 146 $ 7,320
=========== =========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
250
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE
THE UNITED CONTINENTAL THE CANADIAN THE EMERGING
KINGDOM SMALL SMALL SMALL MARKETS
COMPANY COMPANY COMPANY THE EMERGING SMALL CAP
SERIES SERIES* SERIES MARKETS SERIES* SERIES*
------------- ----------- ------------ --------------- ------------
ASSETS:
Investments at Value (including $99,512,
$617,598, $205,744, $290,124 and
$1,021,332 of securities on loan,
respectively).............................. $2,098,865 $4,934,668 $1,205,904 $5,695,583 $6,425,190
Collateral from Securities on Loan Invested
in Affiliate at Value (including cost of
$103,496, $656,453, $212,866, $206,382
and $572,651).............................. 103,510 656,446 212,902 206,410 572,785
Segregated Cash for Futures Contracts....... -- -- -- 1,793 2,100
Foreign Currencies at Value................. 1,478 7,704 596 39,902 53,172
Cash........................................ 10,808 14,285 11,540 23,327 29,178
Receivables:
Investment Securities Sold................ 1,036 1,682 2,703 4,095 2,576
Dividends, Interest and Tax Reclaims...... 12,907 14,940 733 5,490 8,957
Securities Lending Income................. 121 1,652 427 370 4,345
Futures Margin Variation.................. -- -- -- 54 62
Unrealized Gain on Foreign Currency
Contracts.................................. 11 2 -- 1 --
Prepaid Expenses and Other Assets........... 2 4 1 6 6
---------- ---------- ---------- ---------- ----------
Total Assets........................... 2,228,738 5,631,383 1,434,806 5,977,031 7,098,371
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......... 103,492 656,374 212,835 206,377 572,625
Investment Securities Purchased........... 2,265 10,387 10,993 12,910 17,328
Due to Advisor............................ 166 389 100 465 1,055
Unrealized Loss on Foreign Currency
Contracts.................................. 1 3 2 2 2
Accrued Expenses and Other Liabilities...... 118 264 45 432 329
---------- ---------- ---------- ---------- ----------
Total Liabilities...................... 106,042 667,417 223,975 220,186 591,339
---------- ---------- ---------- ---------- ----------
NET ASSETS.................................. $2,122,696 $4,963,966 $1,210,831 $5,756,845 $6,507,032
========== ========== ========== ========== ==========
Investments at Cost......................... $1,762,128 $3,671,841 $1,409,727 $4,171,265 $5,708,893
========== ========== ========== ========== ==========
Foreign Currencies at Cost.................. $ 1,468 $ 7,694 $ 594 $ 39,522 $ 53,051
========== ========== ========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
251
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE JAPANESE THE ASIA
THE U.S. THE DFA SMALL PACIFIC SMALL
LARGE CAP INTERNATIONAL COMPANY COMPANY
VALUE SERIES VALUE SERIES SERIES SERIES
------------ ------------- ------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1, $14,368,
$3,918 and $506, respectively)#.......................... $ 259,498 $ 162,876 $ 35,781 $22,117
Income from Securities Lending............................ 1,279 5,087 3,424 2,360
---------- ---------- -------- -------
Total Investment Income................................ 260,777 167,963 39,205 24,477
---------- ---------- -------- -------
EXPENSES
Investment Management Fees................................ 11,654 10,383 1,573 776
Accounting & Transfer Agent Fees.......................... 536 244 74 41
Custodian Fees............................................ 110 423 251 153
Shareholders' Reports..................................... 19 9 3 1
Directors'/Trustees' Fees & Expenses...................... 113 50 15 8
Professional Fees......................................... 170 94 27 14
Other..................................................... 263 154 52 27
---------- ---------- -------- -------
Total Expenses......................................... 12,865 11,357 1,995 1,020
---------- ---------- -------- -------
Fees Paid Indirectly (Note C)............................. -- (292) (18) (8)
---------- ---------- -------- -------
Net Expenses.............................................. 12,865 11,065 1,977 1,012
---------- ---------- -------- -------
NET INVESTMENT INCOME (LOSS).............................. 247,912 156,898 37,228 23,465
---------- ---------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................ 800,632 (11,728) 30,970 25,519
Futures................................................. 14,271 8,027 -- --
Foreign Currency Transactions........................... -- (3,521) (2,331) (461)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 2,137,765 986,251 153,107 28,041
Futures................................................. 5,258 3,401 -- --
Translation of Foreign Currency Denominated Amounts..... -- 1,063 682 (15)
---------- ---------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)................... 2,957,926 983,493 182,428 53,084
---------- ---------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................. $3,205,838 $1,140,391 $219,656 $76,549
========== ========== ======== =======
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
252
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE UNITED THE
KINGDOM CONTINENTAL THE CANADIAN THE EMERGING
SMALL SMALL SMALL THE EMERGING MARKETS
COMPANY COMPANY COMPANY MARKETS SMALL CAP
SERIES SERIES SERIES SERIES SERIES
---------- ----------- ------------ ------------ ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$29, $6,775, $1,680, $5,475 and $4,297,
respectively)#.................................. $ 35,116 $ 45,764 $ 9,568 $ 42,192 $ 39,086
Income from Securities Lending................... 507 6,784 2,352 2,082 21,556
-------- -------- ------- -------- --------
Total Investment Income....................... 35,623 52,548 11,920 44,274 60,642
-------- -------- ------- -------- --------
EXPENSES
Investment Management Fees....................... 912 2,159 527 2,589 5,770
Accounting & Transfer Agent Fees................. 44 104 24 124 138
Custodian Fees................................... 49 317 30 981 1,433
Shareholders' Reports............................ 2 4 1 4 5
Directors'/Trustees' Fees & Expenses............. 9 21 5 25 27
Professional Fees................................ 17 38 8 81 88
Other............................................ 31 76 14 81 93
-------- -------- ------- -------- --------
Total Expenses................................ 1,064 2,719 609 3,885 7,554
-------- -------- ------- -------- --------
Fees Paid Indirectly (Note C).................... (14) (36) (24) (66) (122)
-------- -------- ------- -------- --------
Net Expenses..................................... 1,050 2,683 585 3,819 7,432
-------- -------- ------- -------- --------
NET INVESTMENT INCOME (LOSS)..................... 34,573 49,865 11,335 40,455 53,210
-------- -------- ------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................... 19,709 54,963 158 (19,021) 16,948
Futures........................................ -- -- -- 2,422 3,170
Foreign Currency Transactions.................. (145) 360 100 111 758
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency...................................... 301,413 658,587 27,773 474,245 527,025
Futures........................................ -- -- -- 1,674 752
Translation of Foreign Currency Denominated
Amounts....................................... 424 56 8 (54) (67)
-------- -------- ------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).......... 321,401 713,966 28,039 459,377 548,586
-------- -------- ------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................... $355,974 $763,831 $39,374 $499,832 $601,796
======== ======== ======= ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
253
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP THE DFA INTERNATIONAL THE JAPANESE SMALL
VALUE SERIES VALUE SERIES COMPANY SERIES
------------------------ ----------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ----------- ----------- ---------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ 247,912 $ 464,438 $ 156,898 $ 332,006 $ 37,228 $ 54,226
Net Realized Gain (Loss) on:
Investment Securities Sold*......... 800,632 567,193 (11,728) (261,808) 30,970 122,152
Futures............................. 14,271 21,037 8,027 5,988 -- --
Foreign Currency
Transactions....................... -- -- (3,521) 5,590 (2,331) 2,170
Forward Currency Contracts.......... -- -- -- 8 -- (36)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency................... 2,137,765 (57,128) 986,251 (32,753) 153,107 214,787
Futures............................. 5,258 (3,872) 3,401 (852) -- --
Translation of Foreign Currency
Denominated Amounts................ -- -- 1,063 (908) 682 (688)
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................ 3,205,838 991,668 1,140,391 47,271 219,656 392,611
----------- ----------- ----------- ---------- ---------- ----------
Transactions in Interest:
Contributions......................... 1,266,304 1,812,211 706,688 1,394,282 120,920 224,138
Withdrawals........................... (668,117) (981,368) (370,607) (939,918) (95,013) (115,843)
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest.......... 598,187 830,843 336,081 454,364 25,907 108,295
----------- ----------- ----------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets........................ 3,804,025 1,822,511 1,476,472 501,635 245,563 500,906
NET ASSETS
Beginning of Period................... 20,916,568 19,094,057 9,729,540 9,227,905 3,132,594 2,631,688
----------- ----------- ----------- ---------- ---------- ----------
End of Period......................... $24,720,593 $20,916,568 $11,206,012 $9,729,540 $3,378,157 $3,132,594
=========== =========== =========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
254
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE ASIA PACIFIC SMALL THE UNITED KINGDOM SMALL THE CONTINENTAL SMALL
COMPANY SERIES COMPANY SERIES COMPANY SERIES
---------------------- ---------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ---------- ----------- ---------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 23,465 $ 55,379 $ 34,573 $ 79,465 $ 49,865 $ 98,312
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 25,519 (8,246) 19,709 71,244 54,963 122,507
Futures............................... -- -- -- -- -- 687
Foreign Currency Transactions......... (461) 309 (145) (1,277) 360 (394)
Forward Currency Contracts............ -- (18) -- -- -- (5)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 28,041 168,801 301,413 (469,059) 658,587 27,064
Futures............................... -- -- -- -- -- 19
Translation of Foreign Currency
Denominated Amounts.................. (15) 22 424 (215) 56 (32)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 76,549 216,247 355,974 (319,842) 763,831 248,158
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 48,524 137,711 90,326 112,811 101,189 441,553
Withdrawals............................. (39,705) (26,496) (7,069) (193,617) (48,979) (195,529)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 8,819 111,215 83,257 (80,806) 52,210 246,024
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 85,368 327,462 439,231 (400,648) 816,041 494,182
NET ASSETS
Beginning of Period..................... 1,555,736 1,228,274 1,683,465 2,084,113 4,147,925 3,653,743
---------- ---------- ---------- ---------- ---------- ----------
End of Period........................... $1,641,104 $1,555,736 $2,122,696 $1,683,465 $4,963,966 $4,147,925
========== ========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
255
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE CANADIAN SMALL THE EMERGING MARKETS THE EMERGING MARKETS
COMPANY SERIES SERIES SMALL CAP SERIES
-------------------- ---------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- -------- ----------- ---------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 11,335 $ 18,822 $ 40,455 $ 110,781 $ 53,210 $ 144,191
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 158 (24,152) (19,021) (106,229) 16,948 140,851
Futures............................... -- -- 2,422 5,752 3,170 4,055
Foreign Currency Transactions......... 100 229 111 975 758 457
Forward Currency Contracts............ -- -- -- (4) -- (116)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 27,773 135,836 474,245 512,891 527,025 400,224
Futures............................... -- -- 1,674 (266) 752 289
Translation of Foreign Currency
Denominated Amounts.................. 8 (6) (54) 207 (67) 586
---------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 39,374 130,729 499,832 524,107 601,796 690,537
---------- -------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 238,636 187,903 371,644 471,019 692,553 448,086
Withdrawals............................. (443) (8,500) (112,362) (400,950) (302,964) (521,283)
---------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 238,193 179,403 259,282 70,069 389,589 (73,197)
---------- -------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 277,567 310,132 759,114 594,176 991,385 617,340
NET ASSETS
Beginning of Period..................... 933,264 623,132 4,997,731 4,403,555 5,515,647 4,898,307
---------- -------- ---------- ---------- ---------- ----------
End of Period........................... $1,210,831 $933,264 $5,756,845 $4,997,731 $6,507,032 $5,515,647
========== ======== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $68,
respectively.
See accompanying Notes to Financial Statements.
256
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES
--------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------------
(UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------
Total Return.............................. 15.29%(D) 4.75% 1.32% 15.67% 35.68% 18.31%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $24,720,593 $20,916,568 $19,094,057 $18,376,682 $14,838,988 $10,589,152
Ratio of Expenses to Average Net Assets... 0.11%(E) 0.11% 0.11% 0.11% 0.11% 0.12%
Ratio of Net Investment Income to Average
Net Assets............................... 2.13%(E) 2.39% 2.20% 1.90% 1.98% 2.15%
Portfolio Turnover Rate................... 9%(D) 15% 16% 15% 15% 10%
---------------------------------------------------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES
------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
------------------------------------------------------------------------------
(UNAUDITED)
-------------------------------------------------------------------------------------------------------------------------
Total Return.............................. 11.53%(D) (0.10)% (5.35)% (0.72)% 28.18% 3.17%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $11,206,012 $9,729,540 $9,227,905 $9,343,666 $8,792,130 $7,238,249
Ratio of Expenses to Average Net Assets... 0.22%(E) 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.22%(E) 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Net Investment Income to Average
Net Assets............................... 3.02%(E) 3.72% 3.31% 4.50% 3.20% 3.75%
Portfolio Turnover Rate................... 8%(D) 17% 21% 17% 15% 14%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
257
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE JAPANESE SMALL COMPANY SERIES
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------
(UNAUDITED)
---------------------------------------------------------------------------------------------------------------------
Total Return.............................. 7.11%(D) 14.53% 9.04% 2.46% 30.62% 0.54%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $3,378,157 $3,132,594 $2,631,688 $2,505,409 $2,281,624 $1,686,731
Ratio of Expenses to Average Net Assets... 0.13%(E) 0.13% 0.13% 0.13% 0.14% 0.15%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.13%(E) 0.13% 0.13% 0.13% 0.14% 0.15%
Ratio of Net Investment Income to Average
Net Assets............................... 2.37%(E) 1.99% 1.69% 1.71% 1.87% 2.17%
Portfolio Turnover Rate................... 4%(D) 10% 6% 9% 16% 7%
---------------------------------------------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
----------------------------------------------------------------------------
(UNAUDITED)
-----------------------------------------------------------------------------------------------------------------------
Total Return.............................. 5.06%(D) 16.69% (11.83)% (3.46)% 10.97% 7.48%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $1,641,104 $1,555,736 $1,228,274 $1,453,786 $1,265,498 $1,003,860
Ratio of Expenses to Average Net Assets... 0.13%(E) 0.13% 0.13% 0.13% 0.15% 0.16%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.13%(E) 0.13% 0.13% 0.13% 0.15% 0.16%
Ratio of Net Investment Income to Average
Net Assets............................... 3.03%(E) 4.00% 4.17% 3.96% 4.64% 4.26%
Portfolio Turnover Rate................... 8%(D) 10% 7% 7% 9% 18%
-----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
258
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------
(UNAUDITED)
----------------------------------------------------------------------------------------------------------------------
Total Return.............................. 20.72%(D) (15.82)% 9.95% 1.22% 37.42% 23.41%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $2,122,696 $1,683,465 $2,084,113 $1,995,898 $1,988,287 $1,464,838
Ratio of Expenses to Average Net Assets... 0.12%(E) 0.12% 0.11% 0.11% 0.12% 0.13%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.12%(E) 0.12% 0.11% 0.11% 0.12% 0.13%
Ratio of Net Investment Income to Average
Net Assets............................... 3.79%(E) 4.36% 3.44% 2.98% 3.29% 3.37%
Portfolio Turnover Rate................... 3%(D) 15% 10% 8% 17% 6%
----------------------------------------------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------
(UNAUDITED)
----------------------------------------------------------------------------------------------------------------------
Total Return.............................. 18.38%(D) 6.10% 9.81% (2.25)% 43.67% 2.29%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $4,963,966 $4,147,925 $3,653,743 $3,152,277 $3,217,766 $2,245,179
Ratio of Expenses to Average Net Assets... 0.12%(E) 0.13% 0.13% 0.13% 0.14% 0.16%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.13%(E) 0.13% 0.13% 0.13% 0.14% 0.16%
Ratio of Net Investment Income to Average
Net Assets............................... 2.31%(E) 2.49% 2.44% 2.40% 2.67% 3.15%
Portfolio Turnover Rate................... 5%(D) 9% 14% 13% 13% 9%
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
259
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE CANADIAN SMALL COMPANY SERIES
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
-------------------------------------------------------------------
(UNAUDITED)
----------------------------------------------------------------------------------------------------------------------------
Total Return............................................ 5.00%(D) 20.77% (25.00)% (3.83)% 5.71% (2.51)%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $1,210,831 $933,264 $623,132 $849,429 $741,204 $689,086
Ratio of Expenses to Average Net Assets................. 0.11%(E) 0.12% 0.12% 0.12% 0.13% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly)....................................... 0.12%(E) 0.12% 0.12% 0.12% 0.13% 0.15%
Ratio of Net Investment Income to Average Net Assets.... 2.15%(E) 2.52% 2.73% 2.42% 2.99% 2.29%
Portfolio Turnover Rate................................. 4%(D) 8% 18% 5% 14% 22%
----------------------------------------------------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------
(UNAUDITED)
----------------------------------------------------------------------------------------------------------------------
Total Return.............................. 9.41%(D) 11.44% (14.86)% 1.74% 6.99% 4.55%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $5,756,845 $4,997,731 $4,403,555 $4,185,451 $3,766,160 $2,913,307
Ratio of Expenses to Average Net Assets... 0.15%(E) 0.15% 0.16% 0.15% 0.16% 0.20%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.15%(E) 0.15% 0.16% 0.15% 0.16% 0.20%
Ratio of Net Investment Income to Average
Net Assets............................... 1.56%(E) 2.45% 2.39% 2.51% 2.38% 2.55%
Portfolio Turnover Rate................... 1%(D) 5% 9% 5% 4% 5%
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
260
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SMALL CAP SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
---------------------------------------------------------------------------
(UNAUDITED)
----------------------------------------------------------------------------------------------------------------------
Total Return.............................. 10.08%(D) 14.45% (9.42)% 5.60% 9.41% 7.19%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $6,507,032 $5,515,647 $4,898,307 $4,921,438 $4,091,523 $2,953,350
Ratio of Expenses to Average Net Assets... 0.26%(E) 0.26% 0.26% 0.26% 0.29% 0.36%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.26%(E) 0.26% 0.27% 0.26% 0.29% 0.36%
Ratio of Net Investment Income to Average
Net Assets............................... 1.84%(E) 2.89% 2.62% 2.48% 2.37% 2.48%
Portfolio Turnover Rate................... 6%(D) 18% 18% 9% 11% 13%
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
261
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios are presented in separate reports. 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.
262
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.
For the six months ended April 30, 2017, 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 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.
263
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 Directors'/Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Trust; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of April 30, 2017, 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.
264
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2017, the Series'
investment management fees were accrued daily and paid monthly to the Advisor
based on the following effective annual rates of average daily net assets:
The U.S. Large Cap Value Series......... 0.10%
The DFA International Value Series...... 0.20%
The Japanese Small Company Series....... 0.10%
The Asia Pacific Small Company Series... 0.10%
The United Kingdom Small Company Series. 0.10%
The Continental Small Company Series.... 0.10%
The Canadian Small Company Series....... 0.10%
The Emerging Markets Series............. 0.10%
The Emerging Markets Small Cap Series... 0.20%
EARNED INCOME CREDIT:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of each Series' net assets.
During the six months ended April 30, 2017, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series...... $292
The Japanese Small Company Series....... 18
The Asia Pacific Small Company Series... 8
The United Kingdom Small Company Series. 14
The Continental Small Company Series.... 36
The Canadian Small Company Series....... 24
The Emerging Markets Series............. 66
The Emerging Markets Small Cap Series... 122
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the six months ended April 30, 2017, the total related amounts paid by the
Trust to the CCO were $42 (in thousands). The total related amounts paid by
each of the Series are included in Other Expenses on the Statement of
Operations.
D. DEFERRED COMPENSATION:
At April 30, 2017, 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......... $553
The DFA International Value Series...... 354
The Japanese Small Company Series....... 85
The Asia Pacific Small Company Series... 44
The United Kingdom Small Company Series. 56
The Continental Small Company Series.... 108
The Canadian Small Company Series....... 26
The Emerging Markets Series............. 138
The Emerging Markets Small Cap Series... 115
265
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, the Series' transactions related to
investment securities, other than short-term securities and U.S. government
securities (amounts in thousands), were as follows:
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series......... $2,909,117 $2,060,806
The DFA International Value Series...... 1,120,394 791,279
The Japanese Small Company Series....... 178,785 127,844
The Asia Pacific Small Company Series... 157,386 124,684
The United Kingdom Small Company Series. 148,543 48,625
The Continental Small Company Series.... 306,903 225,291
The Canadian Small Company Series....... 293,679 42,758
The Emerging Markets Series............. 361,319 67,294
The Emerging Markets Small Cap Series... 785,027 371,213
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2017, 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......... $17,961,870 $8,223,481 $(495,529) $7,727,952
The DFA International Value Series...... 10,991,609 1,800,145 (823,925) 976,220
The Japanese Small Company Series....... 3,127,029 812,799 (235,276) 577,523
The Asia Pacific Small Company Series... 1,878,880 349,009 (371,474) (22,465)
The United Kingdom Small Company Series. 1,865,624 524,507 (187,757) 336,750
The Continental Small Company Series.... 4,328,294 1,676,933 (414,113) 1,262,820
The Canadian Small Company Series....... 1,622,593 160,757 (364,544) (203,787)
The Emerging Markets Series............. 4,377,646 1,844,395 (320,049) 1,524,346
The Emerging Markets Small Cap Series... 6,281,544 1,505,625 (789,195) 716,430
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.
266
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 noted below 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 April 30, 2017, 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) 06/16/17 1,432 $170,444 $1,386 $7,160
-------- ------ ------
$170,444 $1,386 $7,160
======== ====== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ----------- ----------
The DFA International
Value Series........ MINI MSCI EAFE Index(R) 06/16/17 381 $ 34,743 $1,626 $2,995
The DFA International
Value Series........ S&P 500 Emini Index(R) 06/16/17 619 73,677 923 1,700
-------- ------ ------
$108,420 $2,549 $4,695
======== ====== ======
267
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ----------- ----------
The Emerging Markets
Series............. MINI MSCI EAFE Index(R) 06/16/17 559 $27,363 $1,208 $1,538
The Emerging Markets
Series............. S&P 500 Emini Index(R) 06/16/17 135 16,068 200 255
------- ------ ------
$43,431 $1,408 $1,793
======= ====== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ----------- ----------
The Emerging Markets
Small Cap Series... MINI MSCI EAFE Index(R) 06/16/17 650 $31,818 $ 901 $1,818
The Emerging Markets
Small Cap Series... S&P 500 Emini Index(R) 06/16/17 160 19,044 140 282
------- ------ ------
$50,862 $1,041 $2,100
======= ====== ======
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 April 30, 2017, 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 six months ended April 30, 2017 (amounts in
thousands):
FUTURES
--------
The U.S. Large Cap Value Series....... $161,124
The DFA International Value Series.... 87,112
The Emerging Markets Series........... 41,128
The Emerging Markets Small Cap Series. 39,989
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of April 30, 2017:
LOCATION ON THE
STATEMENTS OF ASSETS AND
LIABILITIES
------------------------
DERIVATIVE TYPE ASSET DERIVATIVES
--------------- ------------------------
Equity contracts Receivables: Futures
Margin Variation
268
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2017 (amounts in
thousands):
ASSET DERIVATIVES VALUE
-------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2017 CONTRACTS*
- -------------- ----------
The U.S. Large Cap Value Series....... $1,386 $1,386
The DFA International Value Series.... 2,549 2,549
The Emerging Markets Series........... 1,408 1,408
The Emerging Markets Small Cap Series. 1,041 1,041
* 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 six months ended April 30, 2017:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation
(Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------- ---------
The U.S. Large Cap Value Series....... $14,271 $14,271
The DFA International Value Series.... 8,027 8,027
The Emerging Markets Series........... 2,422 2,422
The Emerging Markets Small Cap Series. 3,170 3,170
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------- ---------
The U.S. Large Cap Value Series....... $ 5,258 $ 5,258
The DFA International Value Series.... 3,401 3,401
The Emerging Markets Series........... 1,674 1,674
The Emerging Markets Small Cap Series. 752 752
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 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. 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 28, 2018.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar
269
terms was in effect through January 6, 2017. 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 $700 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 5, 2018.
For the six months ended April 30, 2017, 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 Japanese Small Company Series....... 1.16% $25,222 1 $ 1 $25,222
The Asia Pacific Small Company Series... 1.30% 856 7 -- 4,883
The Emerging Markets Series............. 1.66% 7,009 4 1 7,564
The Emerging Markets Small Cap Series... 1.16% 31,663 5 5 35,873
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2017, that each Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of April 30, 2017.
Pursuant to an exemptive order issued by the SEC (the "Order''), the Series
may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
lnterfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not utilize the interfund lending program during the six
months ended April 30, 2017.
I. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2017, if any, were executed
by the Series pursuant to procedures adopted by the Board of Trustees of the
Trust to ensure compliance with Rule 17a-7 under the Investment Company Act of
1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common trustees and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the six months ended April 30, 2017, 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................... $265,085 $95,910 $24,946
The DFA International Value Series................ 69,722 26,653 3,611
The Japanese Small Company Series................. 10,372 5,027 1,664
The Asia Pacific Small Company Series............. 15,454 24,449 10,015
The Continental Small Company Series.............. 20,078 413 226
The Canadian Small Company Series................. 28,182 3,735 1,778
The Emerging Markets Series....................... 3,304 584 (32)
The Emerging Markets Small Cap Series............. 1,567 2,795 (93)
270
J. SECURITIES LENDING:
As of April 30, 2017, 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
VALUE
--------
The U.S. Large Cap Value Series......... $530,878
The DFA International Value Series...... 92,262
The Japanese Small Company Series....... 18,295
The Asia Pacific Small Company Series... 55,261
The United Kingdom Small Company Series. 1,828
The Continental Small Company Series.... 16,574
The Canadian Small Company Series....... 4,192
The Emerging Markets Series............. 100,946
The Emerging Markets Small Cap Series... 519,871
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.
271
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2017
---------------------------------------------------------
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.......... $921,031,983 -- -- -- $921,031,983
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks........................... 942,324,037 -- -- -- 942,324,037
THE JAPANESE SMALL COMPANY SERIES
Common Stocks........................... 361,553,180 -- -- -- 361,553,180
THE ASIA PACIFIC SMALL COMPANY SERIES
Common Stocks........................... 229,531,178 -- -- -- 229,531,178
THE UNITED KINGDOM SMALL COMPANY SERIES
Common Stocks........................... 103,509,904 -- -- -- 103,509,904
THE CONTINENTAL SMALL COMPANY SERIES
Common Stocks, Preferred Stocks, Rights/
Warrants.............................. 656,445,884 -- -- -- 656,445,884
THE CANADIAN SMALL COMPANY SERIES
Common Stocks........................... 212,902,234 -- -- -- 212,902,234
THE EMERGING MARKETS SERIES
Common Stocks, Preferred Stocks......... 206,409,543 -- -- -- 206,409,543
THE EMERGING MARKETS SMALL CAP SERIES
Common Stocks, Rights/Warrants.......... 572,784,566 -- -- -- 572,784,566
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. OTHER:
The Series and the Trust are subject to claims and suits that arise from
time to time in the ordinary course of business. Although management currently
believes that resolving claims against us, individually or in aggregate, will
not have a material adverse impact on our financial position, our results of
operations, or our cash flows, these matters are subject to inherent
uncertainties and management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune 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 (the "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").
272
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 United States Court of
Appeals for the Second Circuit (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 Supreme Court of the United States to review the Second
Circuit's ruling, and that petition is pending. On January 6, 2017, the Court
granted the shareholder defendant's motion to dismiss the claims against them
in the Committee Action. The Trustee requested that the Court certify the
dismissal order for appeal to the Second Circuit, and the District Court
advised that it will certify the dismissal order for appeal after it rules on
the additional pending motions to dismiss (not involving the shareholder
defendants).
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 borne by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expenses 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.
273
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
DIMENSIONAL EMERGING MARKETS VALUE FUND
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,117.20 0.15% $0.79
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
----------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period.
274
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-Q filing must be made within 60 days
of the end of the quarter. Dimensional Emerging Markets Value Fund filed its
most recent Form N-Q with the SEC on March 30, 2017. 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....................... 9.8%
Consumer Staples............................. 3.7%
Energy....................................... 13.5%
Financials................................... 29.5%
Health Care.................................. 0.5%
Industrials.................................. 9.5%
Information Technology....................... 9.3%
Materials.................................... 16.6%
Real Estate.................................. 3.8%
Telecommunication Services................... 2.1%
Utilities.................................... 1.7%
-----
100.0%
275
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.3%)
BRAZIL -- (4.5%)
Banco do Brasil SA.................................. 10,075,902 $ 104,281,086 0.6%
#* Petroleo Brasileiro SA Sponsored ADR................ 13,222,607 119,135,689 0.7%
# Vale SA Sponsored ADR............................... 15,719,950 134,877,171 0.8%
Other Securities.................................... 480,811,721 2.5%
-------------- -----
TOTAL BRAZIL............................................ 839,105,667 4.6%
-------------- -----
CHILE -- (1.5%)
Other Securities.................................... 270,178,358 1.5%
-------------- -----
CHINA -- (15.6%)
Agricultural Bank of China, Ltd. Class H............ 193,470,000 89,187,746 0.5%
Bank of China, Ltd. Class H......................... 530,032,817 256,383,559 1.4%
China Construction Bank Corp. Class H............... 692,941,101 562,434,840 3.1%
# China Petroleum & Chemical Corp. ADR................ 1,186,244 96,524,658 0.5%
China Petroleum & Chemical Corp. Class H............ 113,079,575 91,826,660 0.5%
# China Unicom Hong Kong, Ltd. ADR.................... 7,214,458 93,643,665 0.5%
CNOOC, Ltd.......................................... 94,928,000 110,742,711 0.6%
Industrial & Commercial Bank of China, Ltd. Class H. 422,838,996 275,634,207 1.5%
Other Securities.................................... 1,327,183,029 7.4%
-------------- -----
TOTAL CHINA............................................. 2,903,561,075 16.0%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities.................................... 37,369,397 0.2%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 45,438,831 0.3%
-------------- -----
GREECE -- (0.0%)
Other Securities.................................... 5,026,537 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 657,362 0.0%
-------------- -----
HUNGARY -- (0.4%)
Other Securities.................................... 75,633,104 0.4%
-------------- -----
INDIA -- (13.2%)
Axis Bank, Ltd...................................... 10,438,329 82,548,856 0.5%
ICICI Bank, Ltd. Sponsored ADR...................... 15,273,207 130,891,384 0.7%
JSW Steel, Ltd...................................... 21,000,680 65,028,399 0.4%
Larsen & Toubro, Ltd................................ 2,848,876 77,425,164 0.4%
Reliance Industries, Ltd............................ 18,507,130 400,807,236 2.2%
Tata Motors, Ltd.................................... 14,885,959 106,304,729 0.6%
Other Securities.................................... 1,589,470,223 8.7%
-------------- -----
TOTAL INDIA............................................. 2,452,475,991 13.5%
-------------- -----
INDONESIA -- (2.8%)
Bank Mandiri Persero Tbk PT......................... 91,588,731 80,150,276 0.5%
Other Securities.................................... 445,358,921 2.4%
-------------- -----
TOTAL INDONESIA......................................... 525,509,197 2.9%
-------------- -----
276
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (3.2%)
Other Securities.................................... $ 597,862,018 3.3%
-------------- -----
MEXICO -- (4.5%)
* Cemex S.A.B. de C.V. Sponsored ADR.................. 12,864,884 118,614,231 0.7%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 1,385,477 124,748,349 0.7%
Grupo Financiero Banorte S.A.B. de C.V. Class O..... 20,219,961 116,688,839 0.7%
Grupo Mexico S.A.B. de C.V. Series B................ 37,181,013 108,648,094 0.6%
Other Securities.................................... 361,580,642 1.9%
-------------- -----
TOTAL MEXICO............................................ 830,280,155 4.6%
-------------- -----
PHILIPPINES -- (1.1%)
Other Securities.................................... 196,045,242 1.1%
-------------- -----
POLAND -- (1.7%)
Polski Koncern Naftowy Orlen SA..................... 2,865,816 85,646,571 0.5%
Other Securities.................................... 223,047,825 1.2%
-------------- -----
TOTAL POLAND............................................ 308,694,396 1.7%
-------------- -----
RUSSIA -- (1.9%)
Gazprom PJSC Sponsored ADR.......................... 46,263,845 219,639,871 1.2%
Lukoil PJSC Sponsored ADR........................... 1,526,223 75,756,583 0.4%
Other Securities.................................... 57,956,629 0.3%
-------------- -----
TOTAL RUSSIA............................................ 353,353,083 1.9%
-------------- -----
SOUTH AFRICA -- (6.6%)
MTN Group, Ltd...................................... 12,557,642 118,761,642 0.7%
# Sasol, Ltd.......................................... 4,145,981 127,052,974 0.7%
# Standard Bank Group, Ltd............................ 16,569,484 183,997,209 1.0%
# Steinhoff International Holdings NV................. 24,951,223 126,929,236 0.7%
Other Securities.................................... 673,803,118 3.7%
-------------- -----
TOTAL SOUTH AFRICA...................................... 1,230,544,179 6.8%
-------------- -----
SOUTH KOREA -- (15.9%)
Hana Financial Group, Inc........................... 3,032,933 104,166,099 0.6%
Hyundai Mobis Co., Ltd.............................. 577,165 112,559,026 0.6%
Hyundai Motor Co.................................... 1,860,186 235,270,558 1.3%
# KB Financial Group, Inc. ADR........................ 2,938,163 127,721,945 0.7%
Kia Motors Corp..................................... 3,369,529 103,144,562 0.6%
# LG Electronics, Inc................................. 1,692,217 102,723,685 0.6%
POSCO............................................... 567,616 134,004,439 0.8%
# POSCO Sponsored ADR................................. 1,500,406 88,553,962 0.5%
Shinhan Financial Group Co., Ltd.................... 3,333,356 139,172,276 0.8%
SK Innovation Co., Ltd.............................. 879,496 131,946,353 0.7%
Other Securities.................................... 1,666,798,598 9.0%
-------------- -----
TOTAL SOUTH KOREA....................................... 2,946,061,503 16.2%
-------------- -----
TAIWAN -- (15.8%)
# First Financial Holding Co., Ltd.................... 144,043,234 87,846,321 0.5%
# Fubon Financial Holding Co., Ltd.................... 85,935,471 134,525,353 0.8%
Hon Hai Precision Industry Co., Ltd................. 26,120,240 85,495,761 0.5%
# Innolux Corp........................................ 150,377,544 70,187,402 0.4%
# Mega Financial Holding Co., Ltd..................... 127,434,796 102,304,284 0.6%
# Pegatron Corp....................................... 25,738,998 75,803,396 0.4%
277
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (Continued)
# United Microelectronics Corp......... 214,984,681 $ 85,938,229 0.5%
Other Securities..................... 2,291,586,368 12.5%
--------------- ------
TOTAL TAIWAN............................... 2,933,687,114 16.2%
--------------- ------
THAILAND -- (2.9%)
PTT PCL.............................. 18,654,500 209,788,971 1.2%
Other Securities..................... 323,336,437 1.7%
--------------- ------
TOTAL THAILAND............................. 533,125,408 2.9%
--------------- ------
TURKEY -- (1.3%)
Other Securities..................... 247,680,274 1.4%
--------------- ------
TOTAL COMMON STOCKS........................ 17,332,288,891 95.5%
--------------- ------
PREFERRED STOCKS -- (3.1%)
BRAZIL -- (3.0%)
#* Petroleo Brasileiro SA Sponsored ADR. 17,415,408 152,036,512 0.8%
Vale SA.............................. 21,243,518 175,754,882 1.0%
# Vale SA Sponsored ADR................ 9,567,563 78,549,692 0.4%
Other Securities..................... 148,725,568 0.9%
--------------- ------
TOTAL BRAZIL............................... 555,066,654 3.1%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities..................... 16,006,778 0.1%
--------------- ------
INDIA -- (0.0%)
Other Securities..................... 3,115,353 0.0%
--------------- ------
TOTAL PREFERRED STOCKS..................... 574,188,785 3.2%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities..................... 66,557 0.0%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities..................... 666,601 0.0%
--------------- ------
PHILIPPINES -- (0.0%)
Other Securities..................... 10,735 0.0%
--------------- ------
TAIWAN -- (0.0%)
Other Securities..................... 559,297 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS...................... 1,303,190 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES................ 17,907,780,866
---------------
VALUE+
- ------
SECURITIES LENDING COLLATERAL -- (3.6%)
(S)@ DFA Short Term Investment Fund....... 58,485,898 676,857,303 3.7%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,425,494,539)................. $18,584,638,169 102.4%
=============== ======
278
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of April 30, 2017, 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...................... $ 839,105,667 -- -- $ 839,105,667
Chile....................... 76,990,845 $ 193,187,513 -- 270,178,358
China....................... 254,898,716 2,648,662,359 -- 2,903,561,075
Colombia.................... 37,369,397 -- -- 37,369,397
Czech Republic.............. -- 45,438,831 -- 45,438,831
Greece...................... -- 5,026,537 -- 5,026,537
Hong Kong................... -- 657,362 -- 657,362
Hungary..................... -- 75,633,104 -- 75,633,104
India....................... 159,688,869 2,292,787,122 -- 2,452,475,991
Indonesia................... 2,902,682 522,606,515 -- 525,509,197
Malaysia.................... 102,312 597,759,706 -- 597,862,018
Mexico...................... 830,280,155 -- -- 830,280,155
Philippines................. -- 196,045,242 -- 196,045,242
Poland...................... -- 308,694,396 -- 308,694,396
Russia...................... 35,825,591 317,527,492 -- 353,353,083
South Africa................ 123,948,223 1,106,595,956 -- 1,230,544,179
South Korea................. 331,918,753 2,614,142,750 -- 2,946,061,503
Taiwan...................... 38,315,239 2,895,371,875 -- 2,933,687,114
Thailand.................... 533,100,807 24,601 -- 533,125,408
Turkey...................... -- 247,680,274 -- 247,680,274
Preferred Stocks
Brazil...................... 555,066,654 -- -- 555,066,654
Colombia.................... 16,006,778 -- -- 16,006,778
India....................... -- 3,115,353 -- 3,115,353
Rights/Warrants
Brazil...................... -- 66,557 -- 66,557
Malaysia.................... -- 666,601 -- 666,601
Philippines................. -- 10,735 -- 10,735
Taiwan...................... -- 559,297 -- 559,297
Securities Lending Collateral. -- 676,857,303 -- 676,857,303
Futures Contracts**........... 2,820,931 -- -- 2,820,931
-------------- --------------- -- ---------------
TOTAL......................... $3,838,341,619 $14,749,117,481 -- $18,587,459,100
============== =============== == ===============
**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.
279
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $1,086,158 of securities on loan)*............................. $17,907,781
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $676,750). 676,857
Segregated Cash for Futures Contracts.......................................................... 6,240
Foreign Currencies at Value.................................................................... 180,229
Cash........................................................................................... 50,161
Receivables:
Investment Securities Sold................................................................... 53,695
Dividends, Interest and Tax Reclaims......................................................... 14,605
Securities Lending Income.................................................................... 2,578
Unrealized Gain on Foreign Currency Contracts.................................................. 1
Prepaid Expenses and Other Assets.............................................................. 18
-----------
Total Assets.............................................................................. 18,892,165
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 676,726
Investment Securities Purchased.............................................................. 56,652
Due to Advisor............................................................................... 1,482
Futures Margin Variation..................................................................... 169
Unrealized Loss on Foreign Currency Contracts.................................................. 2
Accrued Expenses and Other Liabilities......................................................... 1,475
-----------
Total Liabilities......................................................................... 736,506
-----------
NET ASSETS..................................................................................... $18,155,659
===========
Investments at Cost............................................................................ $16,748,744
===========
Foreign Currencies at Cost..................................................................... $ 180,333
===========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
280
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $16,643)#......... $ 137,131
Income from Securities Lending................................ 11,769
----------
Total Investment Income.................................... 148,900
----------
EXPENSES
Investment Management Fees.................................... 8,431
Accounting & Transfer Agent Fees.............................. 413
Custodian Fees................................................ 3,530
Shareholders' Reports......................................... 16
Directors'/Trustees' Fees & Expenses.......................... 81
Professional Fees............................................. 282
Other......................................................... 296
----------
Total Expenses............................................. 13,049
----------
Fees Paid Indirectly (Note C)................................. (160)
----------
Net Expenses.................................................. 12,889
----------
NET INVESTMENT INCOME (LOSS).................................. 136,011
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold*................................. (437,219)
Futures..................................................... 8,492
Foreign Currency Transactions............................... 3,631
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 2,196,324
Futures..................................................... 3,216
Translation of Foreign Currency Denominated Amounts......... (58)
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 1,774,386
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $1,910,397
==========
----------
* Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
281
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DIMENSIONAL EMERGING
MARKETS VALUE FUND
- ------------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2017 2016
- ----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 136,011 $ 407,052
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... (437,219) (88,448)
Futures............................................................. 8,492 11,480
Foreign Currency Transactions....................................... 3,631 3,764
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 2,196,324 1,983,912
Futures............................................................. 3,216 (395)
Translation of Foreign Currency Denominated Amounts................. (58) 48
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 1,910,397 2,317,413
----------- -----------
Transactions in Interest:
Contributions......................................................... 510,972 1,192,055
Withdrawals........................................................... (913,217) (1,950,019)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.............. (402,245) (757,964)
----------- -----------
Total Increase (Decrease) in Net Assets............................ 1,508,152 1,559,449
NET ASSETS
Beginning of Period................................................... 16,647,507 15,088,058
End of Period......................................................... $18,155,659 $16,647,507
=========== ===========
----------
* Net of foreign capital gain taxes withheld of $0 and $145, respectively.
See accompanying Notes to Financial Statements.
282
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
DIMENSIONAL EMERGING MARKETS VALUE FUND
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
----------------------------------------------------------------------------------
(UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------
Total Return............................ 11.72%(D) 15.80% (17.95)% (1.09)% 8.43% 1.10%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $18,155,659 $16,647,507 $15,088,058 $18,927,517 $19,427,286 $16,884,322
Ratio of Expenses to Average Net Assets. 0.15%(E) 0.16% 0.15% 0.15% 0.16% 0.20%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)....... 0.15%(E) 0.16% 0.15% 0.15% 0.16% 0.20%
Ratio of Net Investment Income to
Average Net Assets..................... 1.61%(E) 2.72% 2.54% 2.76% 2.32% 2.43%
Portfolio Turnover Rate................. 7%(D) 12% 14% 12% 6% 8%
---------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See page 1 for Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
283
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
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
284
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.
For the six months ended April 30, 2017, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Fund.
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 Directors'/ Trustees' Fees & Expenses. At April 30,
2017, 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 $561 (in thousands).
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Fund; and
(ii) five years following the effective date of the Trustee's
285
first deferral election. If a Trustee who elects to defer fees fails to
designate in the Notice a time or date as of which payment of the Trustee's
deferred fee account shall commence, payment of such amount shall commence as
of the first business day of January following the year in which the Trustee
ceases to be a member of the Board (unless the Trustee files an amended Notice
selecting a different distribution date). As of April 30, 2017, none of the
Trustees have requested or received a distribution of proceeds of a deferred
fee account.
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Fund estimates the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Expenses directly attributable
to the Fund are directly charged.
The Fund may be subject to taxes imposed by countries in which it invests,
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Fund's investments in Chile are subject to governmental taxes on
investment income. Such taxes are due when currencies are repatriated from the
country. The Fund accrues for taxes on income as the income is earned.
The Fund is subject to a 15% tax on short-term capital gains for investments
in India. Such taxes are due upon sale of individual securities. The capital
gains taxes are recognized when the capital gains are earned.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Fund. For the six months ended April 30, 2017, the Fund's
investment management fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.10% of average daily net assets.
EARNED INCOME CREDIT:
In addition, Fund has entered into an arrangement with its custodian whereby
net interest earned on uninvested cash balances was used to reduce a portion of
the Fund's custody expense. Custody expense in the accompanying financial
statements is presented before reduction for credits. The impact of such
credits is generally less than one basis point of the Fund's net assets. During
the six months ended April 30, 2017, expenses reduced were $160 (amount in
thousands).
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Fund; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For
the six months ended April 30, 2017, the total related amounts paid by the Fund
to the CCO were $8 (in thousands). The total related amounts paid by the Fund
are included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, the Fund's transactions related to
investment securities, other than short-term securities and U.S. government
securities (amounts in thousands), were as follows:
PURCHASES SALES
- ---------- ----------
Dimensional Emerging Markets Value Fund. $1,219,041 $1,527,058
286
There were no purchases or sales of long-term U.S. government securities.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund is treated
as a partnership for federal income tax purposes. Any net investment income and
realized and unrealized gains and losses have been deemed to have been "passed
down" to their respective partners.
At April 30, 2017, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
Dimensional Emerging Markets Value Fund. $17,425,495 $3,480,970 $(2,321,827) $1,159,143
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 pledges U.S. government securities to a broker, equal to
the minimum "initial margin" requirements of the exchange on which the contract
is traded. Subsequent payments are received from or paid to the broker each
day, based on the daily fluctuation in the market value of the contract. These
receipts or payments are known as "variation margin" and are recorded daily by
the 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.
287
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Fund could lose more than the
initial margin requirements. Entering into stock index futures subjects the
Fund to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
At April 30, 2017, the Fund had the following outstanding futures contracts
(dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ----------- ----------
Dimensional Emerging
Markets Value Fund. MINI MSCI EAFE Index(R) 06/16/17 650 $ 31,818 $1,478 $3,269
Dimensional Emerging
Markets Value Fund. S&P 500 Emini Index(R) 06/16/17 988 117,596 1,343 2,971
-------- ------ ------
$149,414 $2,821 $6,240
======== ====== ======
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 April 30, 2017, 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 six months ended April 30, 2017:
FUTURES
-------
Dimensional Emerging Markets Value Fund. $86,583
The following is a summary of the location of derivatives on the Fund's
Statements of Assets and Liabilities as of April 30, 2017:
LOCATION ON THE
STATEMENTS OF ASSETS AND
LIABILITIES
------------------------
DERIVATIVE TYPE ASSET DERIVATIVES
--------------- ------------------------
Equity contracts Receivables: Futures
Margin Variation
The following is a summary of the Fund's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2017 (amounts in
thousands):
ASSET DERIVATIVES VALUE
-------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2017 CONTRACTS*
-------------- ----------
Dimensional Emerging Markets Value Fund. $2,821.... $2,821
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
288
The following is a summary of the location on the Fund's Statements of
Operations of realized and change in unrealized gains and losses from the
Fund's derivative instrument holdings through the six months ended April 30,
2017:
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 six months ended April 30, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------ ---------
Dimensional Emerging Markets Value Fund. $8,492 $8,492
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------ ---------
Dimensional Emerging Markets Value Fund. $3,216 $3,216
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 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. 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 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. 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 $700 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 5, 2018.
For the six months ended April 30, 2017, borrowings by the Fund under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
Dimensional Emerging Markets Value
Fund............................. 1.28% $17,757 17 $10 $82,809
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2017, that the Fund's available line of
credit was utilized.
289
There were no outstanding borrowings by the Fund under the lines of credit
as of April 30, 2017.
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 six months
ended April 30, 2017.
H. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2017, if any, were executed
by the Fund 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 six months ended April 30, 2017, cross trades by the Fund under Rule
17a-7 were as follows (amounts in thousands):
REALIZED
PORTFOLIO PURCHASES SALES GAIN (LOSS)
--------- --------- ------- -----------
Dimensional Emerging Markets Value Fund. $909 $17,110 $6,557
I. SECURITIES LENDING:
As of April 30, 2017, 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 $518,098 (amount in thousands). The Fund invests the
cash collateral, as described below, and records a liability for the return of
the collateral, during the period the securities are on loan. Loans of
securities are expected at all times to be secured by collateral in an amount
(i) equal to at least 100% of the current market value of the loaned securities
with respect to securities of the U.S. government or its agencies,
(ii) generally equal to 102% of the current market value of the loaned
securities with respect to U.S. securities, and (iii) generally equal to 105%
of the current market value of the loaned securities with respect to foreign
securities. However, daily market fluctuations could cause the Fund's
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Fund or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Fund could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policy, the Fund will generally invest the
cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average
290
daily net assets of the Money Market Series. The Fund also may invest the cash
collateral received for the loaned securities in securities of the U.S.
government or its agencies, repurchase agreements collateralized by securities
of the U.S. government or its agencies, and affiliated and unaffiliated
registered and unregistered money market funds. For purposes of this paragraph,
agencies include both agency debentures and agency mortgage-backed securities.
In addition, the Fund will be able to terminate the loan at any time and will
receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible to be taxed
at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2017
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
DIMENSIONAL EMERGING MARKETS VALUE FUND
Common Stocks, Preferred Stocks. $676,857,303 -- -- -- $676,857,303
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.
291
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.
292
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2016 (the "Meeting"), the
Boards of Directors of DFA Investment Dimensions Group Inc. and Dimensional
Investment Group Inc., and the Boards of Trustees of The DFA Investment Trust
Company and Dimensional Emerging Markets Value Fund (together, the "Board")
considered the continuation of the investment management agreements for each
portfolio/series (collectively, the "Funds") and, if applicable, a Fund's
sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. or
DFA Australia Limited serves as a sub-advisor. (The investment management
agreements and the sub-advisory agreements are referred to as the "Management
Agreements," and the Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment global advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that after considering each Fund's investment strategies
and the expectations of its shareholder base, the performance of each Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
293
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund. The Board considered the profitability to the
Advisor of managing and servicing the Funds and the Advisor's unregistered
clients, such as collective trusts, group trusts and separate accounts. Upon
closely examining the Advisor's profitability, the Board concluded, among other
things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of management fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of management fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
294
DFA043017-001S
[LOGO] 00194739
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) The Registrant's schedule of investments is provided below.
DIMENSIONAL EMERGING MARKETS VALUE FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (93.3%)
BRAZIL -- (4.5%)
Aliansce Shopping Centers SA 796,814 $ 3,783,175 0.0%
* B2W Cia Digital(BDFZQZ7) 62,281 257,636 0.0%
* B2W Cia Digital(B1LH3Y1) 193,900 817,373 0.0%
Banco Alfa de Investimento SA 55,600 84,783 0.0%
Banco do Brasil SA 10,075,902 104,281,086 0.6%
Banco Santander Brasil SA 309,289 2,671,888 0.0%
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros 3,478,784 20,835,111 0.1%
* Brasil Brokers Participacoes SA 1,311,600 673,558 0.0%
BrasilAgro - Co. Brasileira de Propriedades Agricolas 80,384 323,912 0.0%
BTG Pactual Group 311,833 1,826,368 0.0%
* Cia Siderurgica Nacional SA 3,185,998 7,779,173 0.1%
* Cosan Logistica SA 10,200 21,210 0.0%
Cosan SA Industria e Comercio 906,702 10,600,876 0.1%
Cyrela Brazil Realty SA Empreendimentos e Participacoes 3,653,917 15,195,635 0.1%
Direcional Engenharia SA 1,671,461 3,212,272 0.0%
Duratex SA 4,102,626 11,542,493 0.1%
Embraer SA 1,491,262 7,216,580 0.0%
Embraer SA ADR 718,303 13,791,418 0.1%
Estacio Participacoes SA 287,131 1,612,938 0.0%
* Eternit SA 495,402 201,342 0.0%
Even Construtora e Incorporadora SA 4,637,030 6,486,480 0.0%
Ez Tec Empreendimentos e Participacoes SA 1,203,537 7,704,940 0.0%
Fibria Celulose SA 1,760,576 16,307,536 0.1%
# Fibria Celulose SA Sponsored ADR 3,113,211 28,579,277 0.2%
GAEC Educacao SA 67,900 286,656 0.0%
# Gafisa SA ADR 169,012 1,923,354 0.0%
Gerdau SA 1,829,163 5,572,693 0.0%
# Gerdau SA Sponsored ADR 12,742,387 38,864,280 0.2%
Guararapes Confeccoes SA 60,000 1,692,034 0.0%
Helbor Empreendimentos SA 1,782,686 1,420,959 0.0%
Hypermarcas SA 471,782 4,468,035 0.0%
* International Meal Co. Alimentacao SA 333,500 643,033 0.0%
Iochpe Maxion SA 1,688,293 8,888,132 0.1%
JBS SA 12,439,175 40,248,366 0.2%
* JHSF Participacoes SA 1,170,474 892,408 0.0%
Kepler Weber SA 12,200 96,399 0.0%
Kroton Educacional SA 12,131,927 57,142,234 0.3%
* Magnesita Refratarios SA 643,250 5,502,194 0.0%
* Marisa Lojas SA 6,200 16,310 0.0%
* Mills Estruturas e Servicos de Engenharia SA 627,446 689,903 0.0%
MRV Engenharia e Participacoes SA 6,416,057 32,221,278 0.2%
Paranapanema SA 3,289,143 1,347,139 0.0%
* Petro Rio SA 7,600 104,109 0.0%
* Petroleo Brasileiro SA 6,091,883 27,560,826 0.2%
#* Petroleo Brasileiro SA Sponsored ADR 13,222,607 119,135,689 0.7%
Porto Seguro SA 613,581 5,551,912 0.0%
* Profarma Distribuidora de Produtos Farmaceuticos SA 33,800 118,735 0.0%
QGEP Participacoes SA 1,408,166 2,821,611 0.0%
Rodobens Negocios Imobiliarios SA 208,475 372,083 0.0%
* Rumo SA 2,036,465 5,601,153 0.0%
* Santos Brasil Participacoes SA 1,106,000 818,859 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
BRAZIL -- (Continued)
Sao Carlos Empreendimentos e Participacoes SA 56,800 $ 581,412 0.0%
SLC Agricola SA 941,091 5,811,308 0.0%
* Springs Global Participacoes SA 10,800 30,521 0.0%
Sul America SA 2,156,138 11,405,478 0.1%
Technos SA 39,400 55,859 0.0%
Tecnisa SA(B1N9YM0) 2,321,700 2,077,355 0.0%
* Tecnisa SA(BYQ1XZ0) 533,975 477,777 0.0%
TPI - Triunfo Participacoes e Investimentos SA 459,400 555,787 0.0%
Tupy SA 34,104 163,856 0.0%
* Usinas Siderurgicas de Minas Gerais SA 524,300 1,450,309 0.0%
Vale SA 5,590,234 48,381,005 0.3%
# Vale SA Sponsored ADR 15,719,950 134,877,171 0.8%
Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e
Identificacao SA 13,900 98,315 0.0%
Via Varejo SA(BGSHPP4) 824,559 3,093,996 0.0%
Via Varejo SA(B7VY430) 167,924 238,074 0.0%
------------ ---------------
TOTAL BRAZIL 839,105,667 4.6%
------------ ---------------
CHILE -- (1.5%)
Besalco SA 373,437 236,438 0.0%
CAP SA 827,617 8,643,146 0.1%
Cementos BIO BIO SA 665,307 907,579 0.0%
Cencosud SA 11,043,156 31,440,912 0.2%
Cencosud SA ADR 56,591 482,155 0.0%
* Cia Sud Americana de Vapores SA 73,319,581 2,855,048 0.0%
Cristalerias de Chile SA 264,624 2,671,945 0.0%
Embotelladora Andina SA Class A ADR 2,797 64,331 0.0%
* Empresa Nacional de Telecomunicaciones SA 105,838 1,268,435 0.0%
Empresas CMPC SA 17,265,339 40,116,977 0.2%
Empresas COPEC SA 2,884,318 32,167,494 0.2%
Empresas Hites SA 1,868,082 1,967,623 0.0%
* Empresas La Polar SA 3,788,140 266,668 0.0%
Enel Americas SA 10,922,839 2,169,292 0.0%
Enel Americas SA Sponsored ADR 3,841,992 38,074,141 0.2%
Enel Chile SA(BYMLZD6) 4,938,832 545,143 0.0%
Enel Chile SA(29278D105) 4,240,020 23,150,509 0.1%
Grupo Security SA 1,183,304 418,457 0.0%
Inversiones Aguas Metropolitanas SA 5,078,398 8,030,304 0.1%
# Itau CorpBanca(45033E105) 1,000 13,720 0.0%
Itau CorpBanca(BYT25P4) 606,187,352 5,525,518 0.0%
* Latam Airlines Group SA 2,156,062 27,189,733 0.2%
# Latam Airlines Group SA Sponsored ADR 1,200,157 15,205,989 0.1%
Masisa SA 44,310,659 2,873,779 0.0%
PAZ Corp. SA 2,189,657 2,444,714 0.0%
Ripley Corp. SA 12,474,248 9,047,820 0.1%
Salfacorp SA 2,945,496 3,398,522 0.0%
Sigdo Koppers SA 87,684 125,727 0.0%
Sociedad Matriz SAAM SA 53,032,417 5,202,390 0.0%
Socovesa SA 5,821,469 2,527,323 0.0%
Vina Concha y Toro SA 711,174 1,146,526 0.0%
------------ ---------------
TOTAL CHILE 270,178,358 1.5%
------------ ---------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
CHINA -- (15.6%)
361 Degrees International, Ltd. 6,846,000 $ 2,302,730 0.0%
# Agile Group Holdings, Ltd. 19,338,999 17,284,831 0.1%
Agricultural Bank of China, Ltd. Class H 193,470,000 89,187,746 0.5%
Air China, Ltd. Class H 2,930,000 2,590,569 0.0%
Ajisen China Holdings, Ltd. 818,000 361,431 0.0%
* Aluminum Corp. of China, Ltd. ADR 42,385 523,455 0.0%
AMVIG Holdings, Ltd. 5,381,100 1,797,108 0.0%
#* Angang Steel Co., Ltd. Class H 7,634,640 5,123,901 0.0%
# Anhui Conch Cement Co., Ltd. Class H 862,500 3,016,208 0.0%
#* Anton Oilfield Services Group 4,538,000 494,624 0.0%
* Anxin-China Holdings, Ltd. 6,152,000 57,104 0.0%
# Asia Cement China Holdings Corp. 6,621,000 2,144,478 0.0%
#* Asian Citrus Holdings, Ltd. 4,633,000 134,016 0.0%
AVIC International Holdings, Ltd. Class H 3,214,000 1,701,161 0.0%
Bank of China, Ltd. Class H 530,032,817 256,383,559 1.4%
Bank of Chongqing Co., Ltd. Class H 784,000 655,270 0.0%
Bank of Communications Co., Ltd. Class H 46,469,574 35,731,326 0.2%
Baoye Group Co., Ltd. Class H 2,841,120 2,096,665 0.0%
# BBMG Corp. Class H 13,302,000 7,112,499 0.1%
# Beijing Capital Land, Ltd. Class H 9,861,060 4,787,076 0.0%
# Beijing Enterprises Holdings, Ltd. 2,773,000 13,535,655 0.1%
# Beijing North Star Co., Ltd. Class H 2,986,000 1,154,324 0.0%
Belle International Holdings, Ltd. 3,180,000 2,442,240 0.0%
#* Boer Power Holdings, Ltd. 1,115,000 379,460 0.0%
Bosideng International Holdings, Ltd. 9,580,000 775,148 0.0%
BYD Electronic International Co., Ltd. 5,288,136 8,071,236 0.1%
# C C Land Holdings, Ltd. 26,659,429 6,814,951 0.1%
Carrianna Group Holdings Co., Ltd. 3,880,391 398,945 0.0%
CECEP COSTIN New Materials Group, Ltd. 132,000 3,818 0.0%
Central China Real Estate, Ltd. 8,352,350 2,049,134 0.0%
Century Sunshine Group Holdings, Ltd. 14,095,000 515,825 0.0%
#* CGN Meiya Power Holdings Co., Ltd. 7,682,000 1,133,804 0.0%
Changshouhua Food Co., Ltd. 91,000 46,332 0.0%
* Chigo Holding, Ltd. 35,856,000 525,065 0.0%
# China Aerospace International Holdings, Ltd. 24,570,000 3,376,126 0.0%
* China Agri-Industries Holdings, Ltd. 16,165,500 7,995,980 0.1%
China Aoyuan Property Group, Ltd. 13,493,000 4,127,088 0.0%
China BlueChemical, Ltd. Class H 9,370,878 2,696,312 0.0%
China Cinda Asset Management Co., Ltd. Class H 93,700,000 35,619,191 0.2%
China CITIC Bank Corp., Ltd. Class H 36,804,112 23,297,767 0.1%
#* China Coal Energy Co., Ltd. Class H 15,212,000 7,383,934 0.1%
China Communications Construction Co., Ltd. Class H 15,837,327 21,745,663 0.1%
China Communications Services Corp., Ltd. Class H 20,989,071 11,944,308 0.1%
China Construction Bank Corp. Class H 692,941,101 562,434,840 3.1%
China Dongxiang Group Co., Ltd. 10,038,000 1,909,047 0.0%
* China Environmental Technology and Bioenergy Holdings, Ltd. 690,000 15,410 0.0%
China Everbright Bank Co., Ltd. Class H 15,252,000 7,148,723 0.1%
China Everbright, Ltd. 6,037,869 13,793,133 0.1%
# China Evergrande Group 9,661,000 10,304,360 0.1%
* China Fiber Optic Network System Group, Ltd. 3,598,000 242,847 0.0%
China Financial Services Holdings, Ltd. 1,536,000 146,062 0.0%
* China Glass Holdings, Ltd. 7,524,000 842,327 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
CHINA -- (Continued)
# China Harmony New Energy Auto Holding, Ltd. 5,259,000 $ 1,965,318 0.0%
* China High Precision Automation Group, Ltd. 429,000 12,616 0.0%
# China Hongqiao Group, Ltd. 10,475,000 9,494,141 0.1%
#* China Huarong Asset Management Co., Ltd. Class H 10,876,000 4,632,989 0.0%
* China Huiyuan Juice Group, Ltd. 2,700,483 966,746 0.0%
# China International Marine Containers Group Co., Ltd. Class H 360,700 622,065 0.0%
* China ITS Holdings Co., Ltd. 5,486,147 528,803 0.0%
China Jinmao Holdings Group, Ltd. 43,730,580 14,144,671 0.1%
* China Longevity Group Co., Ltd. 1,152,649 38,084 0.0%
# China Merchants Land, Ltd. 9,686,000 1,791,318 0.0%
# China Merchants Port Holdings Co., Ltd. 7,319,333 20,912,526 0.1%
China Minsheng Banking Corp., Ltd. Class H 15,578,500 15,327,062 0.1%
# China National Building Material Co., Ltd. Class H 35,454,000 23,567,936 0.1%
China National Materials Co., Ltd. Class H 15,305,000 5,421,201 0.0%
* China New Town Development Co., Ltd. 11,705,522 578,813 0.0%
#* China Ocean Resources Co., Ltd. 992,968 872,632 0.0%
* China Oil & Gas Group, Ltd. 2,300,000 168,341 0.0%
# China Oilfield Services, Ltd. Class H 4,544,000 4,183,144 0.0%
* China Oriental Group Co., Ltd. 26,000 7,621 0.0%
* China Overseas Grand Oceans Group, Ltd. 4,848,000 2,483,153 0.0%
China Overseas Land & Investment, Ltd. 18,808,000 54,554,245 0.3%
# China Petroleum & Chemical Corp. ADR 1,186,244 96,524,658 0.5%
China Petroleum & Chemical Corp. Class H 113,079,575 91,826,660 0.5%
* China Properties Group, Ltd. 5,400,000 1,200,768 0.0%
China Railway Construction Corp., Ltd. Class H 9,342,014 13,046,130 0.1%
* China Rare Earth Holdings, Ltd. 10,588,600 760,842 0.0%
China Reinsurance Group Corp. Class H 4,741,000 1,090,280 0.0%
China Resources Cement Holdings, Ltd. 9,256,000 5,060,748 0.0%
China Resources Land, Ltd. 14,892,000 41,266,125 0.2%
China Sanjiang Fine Chemicals Co., Ltd. 1,337,000 428,809 0.0%
China SCE Property Holdings, Ltd. 11,433,000 4,332,742 0.0%
#* China Shanshui Cement Group, Ltd. 19,122,000 1,252,535 0.0%
China Shenhua Energy Co., Ltd. Class H 14,430,500 33,591,347 0.2%
China Shineway Pharmaceutical Group, Ltd. 141,000 170,514 0.0%
# China Silver Group, Ltd. 510,000 93,857 0.0%
# China Singyes Solar Technologies Holdings, Ltd. 5,351,200 2,501,117 0.0%
# China South City Holdings, Ltd. 13,814,000 2,697,516 0.0%
* China Starch Holdings, Ltd. 26,770,000 910,831 0.0%
* China Taifeng Beddings Holdings, Ltd. 640,000 16,662 0.0%
* China Taiping Insurance Holdings Co., Ltd. 320,000 796,725 0.0%
# China Travel International Investment Hong Kong, Ltd. 24,983,631 7,221,499 0.1%
# China Unicom Hong Kong, Ltd. ADR 7,214,458 93,643,665 0.5%
* China Vanadium Titano - Magnetite Mining Co., Ltd. 3,880,000 129,504 0.0%
China XLX Fertiliser, Ltd. 52,000 13,689 0.0%
#* China Yurun Food Group, Ltd. 6,534,000 982,373 0.0%
China ZhengTong Auto Services Holdings, Ltd. 10,641,000 5,843,278 0.0%
# China Zhongwang Holdings, Ltd. 17,808,954 8,073,268 0.1%
Chongqing Machinery & Electric Co., Ltd. Class H 12,958,000 1,680,598 0.0%
Chongqing Rural Commercial Bank Co., Ltd. Class H 20,425,000 14,027,528 0.1%
* Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 1,188,000 167,790 0.0%
Chu Kong Shipping Enterprise Group Co., Ltd. 80,000 20,441 0.0%
CIFI Holdings Group Co., Ltd. 7,158,000 2,584,246 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
CHINA -- (Continued)
# CIMC Enric Holdings, Ltd. 442,000 $ 257,595 0.0%
* CITIC Dameng Holdings, Ltd. 1,221,000 65,048 0.0%
* CITIC Resources Holdings, Ltd. 5,946,000 717,646 0.0%
CITIC, Ltd. 28,827,483 41,799,993 0.2%
Citychamp Watch & Jewellery Group, Ltd. 2,045,108 454,398 0.0%
Clear Media, Ltd. 138,000 150,759 0.0%
CNOOC, Ltd. 94,928,000 110,742,711 0.6%
# CNOOC, Ltd. Sponsored ADR 224,306 26,053,142 0.2%
Comba Telecom Systems Holdings, Ltd. 7,870,683 1,152,143 0.0%
* Comtec Solar Systems Group, Ltd. 4,588,000 191,629 0.0%
Concord New Energy Group, Ltd. 28,250,000 1,341,844 0.0%
#* Coolpad Group, Ltd. 5,720,600 529,525 0.0%
COSCO SHIPPING Energy Transportation Co., Ltd. Class H 1,618,000 883,492 0.0%
# COSCO SHIPPING International Hong Kong Co., Ltd. 5,650,000 2,424,654 0.0%
COSCO SHIPPING Ports, Ltd. 16,631,491 18,208,653 0.1%
* Coslight Technology International Group Co., Ltd. 452,000 231,129 0.0%
Country Garden Holdings Co., Ltd. 12,172,800 11,576,945 0.1%
# CPMC Holdings, Ltd. 831,000 460,317 0.0%
CRCC High-Tech Equipment Corp., Ltd. Class H 139,000 66,234 0.0%
* DaChan Food Asia, Ltd. 3,195,000 287,824 0.0%
Dah Chong Hong Holdings, Ltd. 6,143,000 2,652,301 0.0%
* Daphne International Holdings, Ltd. 2,812,000 277,595 0.0%
# Dongfang Electric Corp., Ltd. Class H 471,600 415,677 0.0%
Dongfeng Motor Group Co., Ltd. Class H 18,248,000 19,166,358 0.1%
* Dongyue Group, Ltd. 2,979,000 98,389 0.0%
#* Dynasty Fine Wines Group, Ltd. 9,228,600 320,341 0.0%
Embry Holdings, Ltd. 539,000 230,812 0.0%
EVA Precision Industrial Holdings, Ltd. 3,360,000 556,681 0.0%
* Evergreen International Holdings, Ltd. 1,609,000 155,975 0.0%
Fantasia Holdings Group Co., Ltd. 21,470,515 3,363,598 0.0%
Fosun International, Ltd. 11,433,183 17,292,260 0.1%
Fufeng Group, Ltd. 3,649,000 2,493,746 0.0%
Fullshare Holdings, Ltd. 3,850,000 1,247,308 0.0%
# Future Land Development Holdings, Ltd. 8,274,000 2,442,748 0.0%
#* GCL-Poly Energy Holdings, Ltd. 44,445,000 5,364,604 0.0%
Gemdale Properties & Investment Corp., Ltd. 3,708,000 257,045 0.0%
* Glorious Property Holdings, Ltd. 28,617,000 3,309,085 0.0%
Goldlion Holdings, Ltd. 1,904,000 810,266 0.0%
# Goldpac Group, Ltd. 705,000 267,106 0.0%
# GOME Electrical Appliances Holding, Ltd. 80,257,000 10,930,743 0.1%
#* Greenland Hong Kong Holdings, Ltd. 2,782,575 897,220 0.0%
#* Greentown China Holdings, Ltd. 7,875,091 7,565,593 0.1%
# Guangshen Railway Co., Ltd. Sponsored ADR 373,285 10,108,558 0.1%
Guangzhou R&F Properties Co., Ltd. Class H 11,882,714 20,000,584 0.1%
#* Guodian Technology & Environment Group Corp., Ltd. Class H 4,780,000 325,592 0.0%
* Hanergy Thin Film Power Group, Ltd. 14,642,000 71,646 0.0%
Harbin Bank Co., Ltd. Class H 202,000 59,679 0.0%
Harbin Electric Co., Ltd. Class H 6,619,474 4,045,651 0.0%
* Hengdeli Holdings, Ltd. 13,836,000 1,688,220 0.0%
* Hi Sun Technology China, Ltd. 720,000 121,052 0.0%
* Hidili Industry International Development, Ltd. 2,422,000 101,198 0.0%
# Hilong Holding, Ltd. 5,231,000 1,140,887 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
CHINA -- (Continued)
* HKC Holdings, Ltd. 871,155 $ 595,367 0.0%
# HNA Infrastructure Co., Ltd. Class H 1,504,000 1,258,062 0.0%
* Honghua Group, Ltd. 2,791,000 282,988 0.0%
Hopefluent Group Holdings, Ltd. 1,366,000 412,373 0.0%
Hopson Development Holdings, Ltd. 9,586,000 9,128,139 0.1%
#* Hua Han Health Industry Holdings, Ltd. 23,012,000 588,143 0.0%
Hua Hong Semiconductor, Ltd. 1,412,000 2,001,951 0.0%
Huaneng Renewables Corp., Ltd. Class H 27,686,000 9,664,396 0.1%
# Huishang Bank Corp., Ltd. Class H 751,000 354,898 0.0%
Hydoo International Holding, Ltd. 584,000 58,444 0.0%
Industrial & Commercial Bank of China, Ltd. Class H 422,838,996 275,634,207 1.5%
Inspur International, Ltd. 345,343 71,431 0.0%
Intime Retail Group Co., Ltd. 308,500 390,279 0.0%
# Jiangnan Group, Ltd. 6,330,000 813,146 0.0%
Jiangxi Copper Co., Ltd. Class H 7,111,000 11,077,285 0.1%
#* JinkoSolar Holding Co., Ltd. ADR 293,055 5,081,574 0.0%
# Joy City Property, Ltd. 1,754,000 274,793 0.0%
Ju Teng International Holdings, Ltd. 11,158,249 4,111,878 0.0%
K Wah International Holdings, Ltd. 364,000 230,982 0.0%
* Kai Yuan Holdings, Ltd. 41,600,000 453,766 0.0%
#* Kaisa Group Holdings, Ltd. 22,755,632 6,816,436 0.1%
Kangda International Environmental Co., Ltd. 731,000 169,890 0.0%
#* Kasen International Holdings, Ltd. 1,807,000 318,298 0.0%
Kingboard Chemical Holdings, Ltd. 7,766,845 27,972,716 0.2%
Kingboard Laminates Holdings, Ltd. 959,000 1,155,831 0.0%
Kunlun Energy Co., Ltd. 22,012,000 19,864,217 0.1%
KWG Property Holding, Ltd. 13,148,500 9,932,506 0.1%
#* Labixiaoxin Snacks Group, Ltd. 2,491,000 144,241 0.0%
Lai Fung Holdings, Ltd. 54,101,791 1,501,921 0.0%
Le Saunda Holdings, Ltd. 120,000 26,702 0.0%
Legend Holdings Corp. Class H 243,200 724,851 0.0%
Leoch International Technology, Ltd. 456,000 112,532 0.0%
* Lianhua Supermarket Holdings Co., Ltd. Class H 310,000 132,965 0.0%
# Logan Property Holdings Co., Ltd. 1,274,000 729,468 0.0%
Longfor Properties Co., Ltd. 6,004,000 10,388,886 0.1%
Lonking Holdings, Ltd. 22,876,000 6,398,995 0.0%
* Maanshan Iron & Steel Co., Ltd. Class H 1,522,000 513,633 0.0%
* Maoye International Holdings, Ltd. 14,296,000 1,524,984 0.0%
* MIE Holdings Corp. 7,152,000 679,377 0.0%
# MIN XIN Holdings, Ltd. 708,418 572,377 0.0%
* Mingfa Group International Co., Ltd. 608,000 23,450 0.0%
Minmetals Land, Ltd. 15,659,205 1,910,027 0.0%
* MMG, Ltd. 3,636,000 1,241,529 0.0%
# MOBI Development Co., Ltd. 379,000 62,305 0.0%
Modern Land China Co., Ltd. 1,454,000 237,469 0.0%
#* Munsun Capital Group, Ltd. 22,260,000 211,841 0.0%
Nature Home Holding Co., Ltd. 154,000 20,771 0.0%
* New World Department Store China, Ltd. 3,588,000 538,664 0.0%
Nine Dragons Paper Holdings, Ltd. 14,885,000 16,052,932 0.1%
* North Mining Shares Co., Ltd. 7,230,000 146,717 0.0%
NVC Lighting Holdings, Ltd. 996,000 112,541 0.0%
Overseas Chinese Town Asia Holdings, Ltd. 782,000 311,968 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
# Parkson Retail Group, Ltd. 10,672,000 $ 1,342,846 0.0%
People's Insurance Co. Group of China, Ltd. (The) Class H 28,934,000 11,923,151 0.1%
# PetroChina Co., Ltd. ADR 75,718 5,319,190 0.0%
PetroChina Co., Ltd. Class H 90,122,000 63,318,041 0.4%
* Phoenix New Media, Ltd. ADR 6,900 24,081 0.0%
#* Poly Property Group Co., Ltd. 19,626,488 8,041,368 0.1%
Powerlong Real Estate Holdings, Ltd. 13,452,000 6,345,375 0.0%
#* Prosperity International Holdings HK, Ltd. 17,080,000 267,418 0.0%
Qingling Motors Co., Ltd. Class H 9,404,000 3,105,661 0.0%
# Qinhuangdao Port Co., Ltd. Class H 624,000 188,451 0.0%
* Qunxing Paper Holdings Co., Ltd. 5,020,071 243,958 0.0%
* Real Gold Mining, Ltd. 3,137,500 106,085 0.0%
Real Nutriceutical Group, Ltd. 8,966,000 523,388 0.0%
Red Star Macalline Group Corp., Ltd. Class H 30,000 31,990 0.0%
#* Renhe Commercial Holdings Co., Ltd. 42,691,000 1,091,063 0.0%
#* REXLot Holdings, Ltd. 65,816,621 981,180 0.0%
#* Ronshine China Holdings, Ltd. 365,500 323,266 0.0%
#* Sany Heavy Equipment International Holdings Co., Ltd. 4,972,000 970,486 0.0%
* Scud Group, Ltd. 3,368,000 84,434 0.0%
# Seaspan Corp. 410,898 2,892,722 0.0%
#* Semiconductor Manufacturing International Corp. 13,269,698 16,762,948 0.1%
#* Semiconductor Manufacturing International Corp. ADR 1,226,271 7,713,245 0.1%
# Shandong Chenming Paper Holdings, Ltd. Class H 3,177,318 3,651,171 0.0%
#* Shanghai Electric Group Co., Ltd. Class H 6,248,000 2,944,542 0.0%
Shanghai Industrial Holdings, Ltd. 5,646,918 17,864,849 0.1%
# Shanghai Industrial Urban Development Group, Ltd. 8,794,000 1,896,560 0.0%
# Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 6,324,000 1,843,622 0.0%
Shanghai La Chapelle Fashion Co., Ltd. Class H 12,200 15,828 0.0%
Shanghai Prime Machinery Co., Ltd. Class H 7,632,000 1,469,746 0.0%
Shengjing Bank Co., Ltd. Class H 131,500 113,157 0.0%
Shenguan Holdings Group, Ltd. 3,610,000 264,237 0.0%
Shenzhen International Holdings, Ltd. 2,625,348 4,407,075 0.0%
Shenzhen Investment, Ltd. 32,690,796 14,814,598 0.1%
Shimao Property Holdings, Ltd. 15,874,035 25,478,204 0.2%
* Shougang Concord International Enterprises Co., Ltd. 25,488,208 808,308 0.0%
Shougang Fushan Resources Group, Ltd. 23,042,594 4,232,575 0.0%
Shui On Land, Ltd. 33,220,803 7,382,643 0.1%
#* Shunfeng International Clean Energy, Ltd. 9,924,000 611,407 0.0%
* Silver Grant International Industries, Ltd. 10,060,804 1,550,184 0.0%
#* Silverman Holdings, Ltd. 286,000 38,583 0.0%
* SIM Technology Group, Ltd. 8,253,000 402,835 0.0%
Sino-Ocean Group Holdings, Ltd. 31,533,602 15,382,605 0.1%
# Sinofert Holdings, Ltd. 7,620,000 1,017,408 0.0%
* Sinolink Worldwide Holdings, Ltd. 10,652,508 1,149,643 0.0%
SinoMedia Holding, Ltd. 110,000 24,284 0.0%
Sinopec Engineering Group Co., Ltd. Class H 280,000 273,603 0.0%
Sinopec Kantons Holdings, Ltd. 3,036,000 1,547,578 0.0%
#* Sinotrans Shipping, Ltd. 10,048,416 2,258,262 0.0%
# Sinotrans, Ltd. Class H 5,278,000 2,358,320 0.0%
# Sinotruk Hong Kong, Ltd. 8,542,335 5,932,621 0.0%
Skyworth Digital Holdings, Ltd. 18,801,083 10,909,218 0.1%
SOHO China, Ltd. 20,153,388 10,980,975 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
CHINA -- (Continued)
Springland International Holdings, Ltd. 1,385,000 $ 249,216 0.0%
#* SPT Energy Group, Inc. 2,484,000 184,751 0.0%
* SRE Group, Ltd. 21,316,285 514,717 0.0%
Sunac China Holdings, Ltd. 1,374,000 1,789,445 0.0%
#* Taung Gold International, Ltd. 7,700,000 73,165 0.0%
# TCC International Holdings, Ltd. 20,912,583 9,561,597 0.1%
* TCL Multimedia Technology Holdings, Ltd. 26,000 12,850 0.0%
Tenwow International Holdings, Ltd. 856,000 178,153 0.0%
* Tian An China Investment Co., Ltd. 5,896,000 4,763,551 0.0%
Tiangong International Co., Ltd. 16,495,944 1,631,034 0.0%
Tianjin Port Development Holdings, Ltd. 21,247,657 3,739,406 0.0%
Tianyi Summi Holdings, Ltd. 7,364,000 1,040,656 0.0%
Tomson Group, Ltd. 1,798,393 954,828 0.0%
Tonly Electronics Holdings, Ltd. 204,330 130,540 0.0%
Top Spring International Holdings, Ltd. 108,000 36,088 0.0%
TPV Technology, Ltd. 8,292,496 2,267,767 0.0%
# Trigiant Group, Ltd. 1,924,000 304,085 0.0%
* Trony Solar Holdings Co., Ltd. 8,775,000 133,120 0.0%
#* United Energy Group, Ltd. 466,000 17,941 0.0%
#* Universal Health International Group Holding, Ltd. 8,985,000 287,517 0.0%
#* V1 Group, Ltd. 6,864,000 211,486 0.0%
# Wasion Group Holdings, Ltd. 2,434,000 1,184,308 0.0%
Weichai Power Co., Ltd. Class H 876,000 1,419,429 0.0%
Weiqiao Textile Co. Class H 5,663,000 4,062,499 0.0%
Welling Holding, Ltd. 614,000 137,985 0.0%
* West China Cement, Ltd. 23,904,000 3,593,512 0.0%
* Wuzhou International Holdings, Ltd. 496,000 49,097 0.0%
Xiamen International Port Co., Ltd. Class H 10,498,000 2,088,248 0.0%
#* Xinchen China Power Holdings, Ltd. 3,167,000 512,139 0.0%
Xingda International Holdings, Ltd. 9,538,000 3,820,393 0.0%
Xingfa Aluminium Holdings, Ltd. 182,000 84,706 0.0%
Xinhua Winshare Publishing and Media Co., Ltd. Class H 2,154,000 1,911,582 0.0%
* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 2,692,000 328,094 0.0%
* Xiwang Special Steel Co., Ltd. 273,000 39,958 0.0%
* Yanchang Petroleum International, Ltd. 21,400,000 500,038 0.0%
Yanzhou Coal Mining Co., Ltd. Class H 8,042,000 6,951,971 0.1%
Yanzhou Coal Mining Co., Ltd. Sponsored ADR 10,382 89,171 0.0%
# Yingde Gases Group Co., Ltd. 43 33 0.0%
Yip's Chemical Holdings, Ltd. 800,000 359,643 0.0%
* Youyuan International Holdings, Ltd. 2,639,251 739,484 0.0%
* Yuanda China Holdings, Ltd. 1,702,000 41,453 0.0%
* YuanShengTai Dairy Farm, Ltd. 658,000 38,011 0.0%
Yuexiu Property Co., Ltd. 78,574,786 13,319,726 0.1%
Yuzhou Properties Co., Ltd. 13,781,960 6,283,557 0.0%
Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 424,600 264,503 0.0%
* Zhong An Real Estate, Ltd. 7,089,800 601,245 0.0%
Zhongsheng Group Holdings, Ltd. 391,000 551,258 0.0%
Zhuhai Holdings Investment Group, Ltd. 710,000 111,281 0.0%
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H 8,815,200 4,176,560 0.0%
-------------- ---------------
TOTAL CHINA 2,903,561,075 16.0%
-------------- ---------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
COLOMBIA -- (0.2%)
Almacenes Exito SA 954,147 $ 4,942,624 0.0%
Constructora Conconcreto SA 86,988 29,715 0.0%
Ecopetrol SA 2,498,142 1,154,818 0.0%
# Ecopetrol SA Sponsored ADR 530,625 4,849,913 0.0%
Grupo Argos SA 944,232 6,547,360 0.1%
Grupo de Inversiones Suramericana SA 1,373,892 18,166,009 0.1%
Grupo Nutresa SA 195,348 1,621,481 0.0%
Mineros SA 65,037 57,477 0.0%
----------- ---------------
TOTAL COLOMBIA 37,369,397 0.2%
----------- ---------------
CZECH REPUBLIC -- (0.2%)
CEZ A.S. 1,529,292 26,682,824 0.2%
Pegas Nonwovens SA 89,370 3,080,050 0.0%
# Unipetrol A.S. 1,384,607 15,675,957 0.1%
----------- ---------------
TOTAL CZECH REPUBLIC 45,438,831 0.3%
----------- ---------------
GREECE -- (0.0%)
* Alpha Bank AE 121,090 257,959 0.0%
Bank of Greece 26,513 332,315 0.0%
* Ellaktor SA 1,053,403 1,684,566 0.0%
* GEK Terna Holding Real Estate Construction SA 659,750 2,053,897 0.0%
* Intracom Holdings SA 1,511,057 690,653 0.0%
* Piraeus Bank SA 33,640 7,147 0.0%
----------- ---------------
TOTAL GREECE 5,026,537 0.0%
----------- ---------------
HONG KONG -- (0.0%)
Dan Form Holdings Co., Ltd. 766,480 246,350 0.0%
Samson Holding, Ltd. 5,248,452 411,012 0.0%
----------- ---------------
TOTAL HONG KONG 657,362 0.0%
----------- ---------------
HUNGARY -- (0.4%)
#* FHB Mortgage Bank P.L.C. 3,954 7,303 0.0%
MOL Hungarian Oil & Gas P.L.C. 298,177 22,431,077 0.1%
OTP Bank P.L.C. 1,881,177 52,891,827 0.3%
Richter Gedeon Nyrt 12,508 302,897 0.0%
----------- ---------------
TOTAL HUNGARY 75,633,104 0.4%
----------- ---------------
INDIA -- (13.2%)
Aarti Industries 62,175 847,674 0.0%
* Aban Offshore, Ltd. 315,580 1,100,230 0.0%
ACC, Ltd. 309,155 7,807,255 0.1%
Adani Enterprises, Ltd. 3,374,526 5,713,006 0.0%
Adani Ports & Special Economic Zone, Ltd. 1,443,638 7,327,337 0.1%
* Adani Power, Ltd. 13,046,142 6,717,075 0.1%
* Adani Transmissions, Ltd. 3,440,779 4,178,985 0.0%
* Aditya Birla Fashion and Retail, Ltd. 4,505,772 12,048,757 0.1%
Aditya Birla Nuvo, Ltd. 684,237 17,651,024 0.1%
Alembic, Ltd. 397,146 296,664 0.0%
* Allahabad Bank 1,291,820 1,655,914 0.0%
Allcargo Logistics, Ltd. 403,170 1,187,314 0.0%
* Alok Industries, Ltd. 3,666,836 173,644 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
Ambuja Cements, Ltd. 2,123,167 $ 8,085,982 0.1%
* Amtek Auto, Ltd. 1,425,705 869,725 0.0%
Anant Raj, Ltd. 657,518 630,310 0.0%
Andhra Bank 2,694,402 2,884,655 0.0%
Apar Industries, Ltd. 148,591 1,866,478 0.0%
Apollo Tyres, Ltd. 5,023,393 19,117,464 0.1%
* Arvind SmartSpaces, Ltd. 135,542 221,286 0.0%
Arvind, Ltd. 2,771,181 17,189,314 0.1%
Ashoka Buildcon, Ltd. 177,736 542,772 0.0%
Axis Bank, Ltd. 10,438,329 82,548,856 0.5%
Bajaj Electricals, Ltd. 36,939 202,049 0.0%
Bajaj Finance, Ltd. 5,159 102,165 0.0%
Bajaj Finserv, Ltd. 255,140 18,064,828 0.1%
Bajaj Holdings & Investment, Ltd. 410,081 13,462,063 0.1%
Balkrishna Industries, Ltd. 98,774 2,341,976 0.0%
* Ballarpur Industries, Ltd. 4,079,808 1,210,223 0.0%
Balmer Lawrie & Co., Ltd. 907,441 3,338,303 0.0%
Balrampur Chini Mills, Ltd. 2,088,771 5,285,174 0.0%
Banco Products India, Ltd. 10,176 36,064 0.0%
* Bank of Baroda 5,265,385 15,348,188 0.1%
* Bank of India 667,860 1,921,970 0.0%
* Bank Of Maharashtra 1,055,372 595,498 0.0%
BEML, Ltd. 52,357 1,139,634 0.0%
* BGR Energy Systems, Ltd. 169,812 431,871 0.0%
Bharat Electronics, Ltd. 298,820 851,803 0.0%
Bharat Heavy Electricals, Ltd. 7,393,546 20,216,118 0.1%
Bharti Airtel, Ltd. 10,646,011 58,670,737 0.3%
Biocon, Ltd. 514,066 8,872,216 0.1%
Birla Corp., Ltd. 172,475 2,069,668 0.0%
Bombay Dyeing & Manufacturing Co., Ltd. 1,308,130 1,759,782 0.0%
* Bombay Rayon Fashions, Ltd. 13,306 26,059 0.0%
Brigade Enterprises, Ltd. 165,153 628,391 0.0%
* Canara Bank 1,065,655 5,925,554 0.0%
Ceat, Ltd. 371,496 8,947,524 0.1%
* CG Power and Industrial Solutions, Ltd. 1,834,241 2,244,103 0.0%
Chambal Fertilizers and Chemicals, Ltd. 2,614,619 4,074,294 0.0%
Chennai Super Kings Cricket, Ltd. 5,080,767 33,322 0.0%
* Cigniti Technologies, Ltd. 2,011 10,089 0.0%
Cipla, Ltd. 22,485 194,381 0.0%
City Union Bank, Ltd. 1,462,358 3,746,232 0.0%
* Coffee Day Enterprises, Ltd. 3,599 13,986 0.0%
Container Corp. Of India, Ltd. 98,594 1,865,919 0.0%
Coromandel International, Ltd. 293,272 1,575,312 0.0%
* Corp. Bank 1,646,469 1,500,091 0.0%
Cox & Kings, Ltd. 1,236,012 4,361,334 0.0%
* Crompton Greaves Consumer Electricals, Ltd. 1,648,309 5,637,882 0.0%
Cyient, Ltd. 103,825 887,600 0.0%
Dalmia Bharat Sugar & Industries, Ltd. 14,037 38,667 0.0%
Dalmia Bharat, Ltd. 173,988 5,866,389 0.0%
* DB Realty, Ltd. 1,082,250 791,636 0.0%
* DCB Bank, Ltd. 2,724,516 7,782,749 0.1%
DCM Shriram, Ltd. 433,903 2,387,000 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
Deepak Fertilisers & Petrochemicals Corp., Ltd. 616,922 $ 2,569,510 0.0%
Deepak Nitrite, Ltd. 1,173 2,513 0.0%
Delta Corp., Ltd. 501,826 1,257,792 0.0%
* DEN Networks, Ltd. 377,359 559,913 0.0%
* Dena Bank 507,403 349,744 0.0%
Dewan Housing Finance Corp., Ltd. 1,678,948 11,168,882 0.1%
Dhampur Sugar Mills, Ltd. 23,525 86,171 0.0%
Dishman Pharmaceuticals & Chemicals, Ltd. 1,414,095 6,810,325 0.1%
DLF, Ltd. 5,290,161 15,275,802 0.1%
Dredging Corp. Of India, Ltd. 14,780 146,985 0.0%
Edelweiss Financial Services, Ltd. 2,585,583 6,752,568 0.1%
EID Parry India, Ltd. 1,148,473 5,365,595 0.0%
EIH, Ltd. 1,066,648 2,202,465 0.0%
Electrosteel Castings, Ltd. 894,946 506,029 0.0%
Engineers India, Ltd. 895,520 2,318,737 0.0%
* Eros International Media, Ltd. 452,229 1,523,211 0.0%
Escorts, Ltd. 819,864 6,982,103 0.1%
Essel Propack, Ltd. 840,755 3,348,373 0.0%
Eveready Industries India, Ltd. 131,474 632,986 0.0%
Exide Industries, Ltd. 950,752 3,404,193 0.0%
FDC, Ltd. 37,976 117,161 0.0%
Federal Bank, Ltd. 17,751,105 29,768,701 0.2%
Finolex Cables, Ltd. 707,065 5,753,044 0.0%
Finolex Industries, Ltd. 144,832 1,307,013 0.0%
* Firstsource Solutions, Ltd. 3,796,822 2,556,182 0.0%
* Fortis Healthcare, Ltd. 823,646 2,822,021 0.0%
Future Enterprises, Ltd. 1,592,191 779,187 0.0%
* Future Retail Ltd. 1,592,191 7,704,219 0.1%
GAIL India, Ltd. 5,086,147 33,426,654 0.2%
Gateway Distriparks, Ltd. 157,509 653,844 0.0%
Gati, Ltd. 626,607 1,318,005 0.0%
Genus Power Infrastructures, Ltd. 73,968 45,350 0.0%
GHCL, Ltd. 253,941 1,027,509 0.0%
GIC Housing Finance, Ltd. 98,306 765,615 0.0%
GOCL Corp., Ltd. 58,041 372,956 0.0%
Godfrey Phillips India, Ltd. 16,431 302,054 0.0%
Graphite India, Ltd. 725,730 1,398,633 0.0%
Grasim Industries, Ltd. 127,965 2,293,794 0.0%
Great Eastern Shipping Co., Ltd. (The) 1,065,979 7,280,449 0.1%
Gujarat Alkalies & Chemicals, Ltd. 455,551 3,311,945 0.0%
* Gujarat Ambuja Exports, Ltd. 15,060 30,783 0.0%
Gujarat Fluorochemicals, Ltd. 387,110 4,644,975 0.0%
Gujarat Mineral Development Corp., Ltd. 1,393,052 2,695,948 0.0%
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 777,222 3,641,988 0.0%
Gujarat State Fertilizers & Chemicals, Ltd. 2,186,080 4,380,492 0.0%
Gujarat State Petronet, Ltd. 2,752,937 7,744,013 0.1%
* Hathway Cable & Datacom, Ltd. 64,819 43,895 0.0%
HBL Power Systems, Ltd. 74,867 57,970 0.0%
* HCL Infosystems, Ltd. 462,162 407,621 0.0%
HCL Technologies, Ltd. 54,251 688,074 0.0%
* HEG, Ltd. 109,436 531,490 0.0%
* HeidelbergCement India, Ltd. 349,348 744,274 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
Hikal, Ltd. 88,470 $ 291,582 0.0%
* Himachal Futuristic Communications, Ltd. 8,908,642 2,131,157 0.0%
Himadri Speciality Chemical, Ltd. 19,970 17,371 0.0%
Himatsingka Seide, Ltd. 513,787 2,707,031 0.0%
Hindalco Industries, Ltd. 14,945,464 46,165,997 0.3%
Hinduja Global Solutions, Ltd. 62,937 543,048 0.0%
* Hindustan Construction Co., Ltd. 4,906,646 3,553,767 0.0%
Hindustan Media Ventures, Ltd. 11,103 50,002 0.0%
* Housing Development & Infrastructure, Ltd. 1,355,963 1,910,471 0.0%
HSIL, Ltd. 391,603 2,063,929 0.0%
HT Media, Ltd. 546,085 697,135 0.0%
Huhtamaki PPL, Ltd. 6,913 29,452 0.0%
ICICI Bank, Ltd. 3,121,987 13,433,210 0.1%
ICICI Bank, Ltd. Sponsored ADR 15,273,207 130,891,384 0.7%
* IDBI Bank, Ltd. 1,878,469 2,275,638 0.0%
Idea Cellular, Ltd. 12,739,396 16,981,088 0.1%
IDFC Bank, Ltd. 4,713,084 4,809,374 0.0%
* IDFC, Ltd. 6,072,777 5,834,606 0.0%
* IFCI, Ltd. 10,328,679 5,090,123 0.0%
IIFL Holdings, Ltd. 2,917,360 21,671,604 0.1%
IL&FS Transportation Networks, Ltd. 418,066 742,301 0.0%
India Cements, Ltd. (The) 3,131,850 10,537,432 0.1%
Indiabulls Housing Finance, Ltd. 2,248,436 35,532,313 0.2%
* Indiabulls Real Estate, Ltd. 1,486,063 3,449,049 0.0%
Indian Bank 1,269,293 6,292,059 0.1%
Indian Hotels Co., Ltd. 4,746,194 9,461,770 0.1%
INEOS Styrolution India, Ltd. 29,326 335,312 0.0%
Ingersoll-Rand India, Ltd. 3,470 48,394 0.0%
* Inox Leisure, Ltd. 16,260 75,323 0.0%
* Inox Wind, Ltd. 15,251 46,388 0.0%
* Intellect Design Arena, Ltd. 473,014 948,886 0.0%
* Ipca Laboratories, Ltd. 11,269 104,159 0.0%
J Kumar Infraprojects, Ltd. 53,829 240,754 0.0%
Jain Irrigation Systems, Ltd. 6,356,194 11,039,206 0.1%
* Jaiprakash Associates, Ltd. 17,658,065 3,777,840 0.0%
Jammu & Kashmir Bank, Ltd. (The) 3,264,142 4,100,155 0.0%
* Jaypee Infratech, Ltd. 6,993,111 1,633,363 0.0%
JB Chemicals & Pharmaceuticals, Ltd. 551,640 2,836,548 0.0%
JBF Industries, Ltd. 475,559 2,144,113 0.0%
Jindal Poly Films, Ltd. 324,821 2,288,317 0.0%
Jindal Saw, Ltd. 2,305,943 2,886,327 0.0%
* Jindal Stainless Hisar, Ltd. 66,174 141,015 0.0%
* Jindal Steel & Power, Ltd. 4,783,550 8,453,740 0.1%
* JITF Infralogistics, Ltd. 197,214 209,384 0.0%
JK Cement, Ltd. 262,783 4,043,016 0.0%
JK Lakshmi Cement, Ltd. 463,603 3,356,634 0.0%
JK Paper, Ltd. 51,986 86,371 0.0%
JK Tyre & Industries, Ltd. 1,335,698 3,446,140 0.0%
JM Financial, Ltd. 4,974,276 8,973,555 0.1%
JSW Energy, Ltd. 5,451,141 5,688,693 0.0%
* JSW Holdings, Ltd. 2,820 69,042 0.0%
JSW Steel, Ltd. 21,000,680 65,028,399 0.4%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Jubilant Life Sciences, Ltd. 993,088 $11,868,844 0.1%
Kalpataru Power Transmission, Ltd. 803,572 4,409,930 0.0%
* Kalyani Steels, Ltd. 12,658 73,381 0.0%
Karnataka Bank, Ltd. (The) 2,500,137 6,391,296 0.1%
Karur Vysya Bank, Ltd. (The) 1,891,790 3,494,316 0.0%
* Kaveri Seed Co., Ltd. 264,990 2,328,644 0.0%
KCP, Ltd. 37,400 75,672 0.0%
KEC International, Ltd. 1,661,326 5,681,825 0.0%
Kirloskar Brothers, Ltd. 7,852 34,470 0.0%
Kirloskar Oil Engines, Ltd. 296,633 1,799,995 0.0%
Kolte-Patil Developers, Ltd. 89,111 258,032 0.0%
KPIT Technologies, Ltd. 1,339,109 2,670,491 0.0%
KRBL, Ltd. 456,839 3,126,156 0.0%
L&T Finance Holdings, Ltd. 3,780,436 7,512,722 0.1%
Lakshmi Machine Works, Ltd. 5,679 411,137 0.0%
Lakshmi Vilas Bank, Ltd. (The) 355,564 1,031,848 0.0%
Larsen & Toubro, Ltd. 2,848,876 77,425,164 0.4%
LIC Housing Finance, Ltd. 1,015,620 10,574,547 0.1%
Magma Fincorp, Ltd. 80,848 146,352 0.0%
Maharashtra Seamless, Ltd. 102,979 559,697 0.0%
Mahindra & Mahindra Financial Services, Ltd. 933,133 4,877,060 0.0%
Mahindra & Mahindra, Ltd. 1,814,875 37,686,965 0.2%
* Mahindra CIE Automotive, Ltd. 29,954 113,035 0.0%
Mahindra Lifespace Developers, Ltd.() 46,725 321,039 0.0%
Mahindra Lifespace Developers, Ltd.(6238258) 186,903 1,286,686 0.0%
Manappuram Finance, Ltd. 2,877,053 4,179,725 0.0%
McLeod Russel India, Ltd. 810,840 2,393,362 0.0%
Meghmani Organics, Ltd. 113,264 71,296 0.0%
Mercator, Ltd. 177,557 136,850 0.0%
Merck, Ltd. 76,089 1,282,363 0.0%
MindTree, Ltd. 7,080 53,453 0.0%
MOIL, Ltd. 69,738 341,165 0.0%
Mphasis, Ltd. 523,975 4,374,948 0.0%
MRF, Ltd. 13,874 14,613,132 0.1%
Muthoot Finance, Ltd. 292,208 1,792,980 0.0%
* Nagarjuna Fertilizers & Chemicals, Ltd. 1,812,637 533,807 0.0%
National Aluminium Co., Ltd. 4,964,081 5,311,620 0.0%
Nava Bharat Ventures, Ltd. 190,437 441,782 0.0%
Navin Fluorine International, Ltd. 1,828 89,125 0.0%
* Navkar Corp., Ltd. 3,743 12,226 0.0%
NCC, Ltd. 6,858,879 10,183,901 0.1%
Nectar Lifesciences, Ltd. 268,595 157,056 0.0%
NIIT Technologies, Ltd. 684,716 4,886,038 0.0%
* NIIT, Ltd. 354,743 441,039 0.0%
Nilkamal, Ltd. 69,021 2,348,791 0.0%
NOCIL, Ltd. 63,951 105,160 0.0%
Oberoi Realty, Ltd. 684,678 4,221,423 0.0%
OCL India, Ltd. 105,395 1,665,435 0.0%
Omaxe, Ltd. 722,220 2,165,751 0.0%
OnMobile Global, Ltd. 309,728 404,372 0.0%
Orient Cement Ltd. 616,163 1,619,073 0.0%
Oriental Bank of Commerce 975,550 2,565,728 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
* Parsvnath Developers, Ltd. 395,976 $ 100,296 0.0%
PC Jeweller, Ltd. 610,145 4,000,636 0.0%
Persistent Systems, Ltd. 79,606 726,242 0.0%
Petronet LNG, Ltd. 2,703,774 17,847,497 0.1%
Phillips Carbon Black, Ltd. 7,518 49,912 0.0%
Piramal Enterprises, Ltd. 737,179 28,534,098 0.2%
* Polaris Consulting & Services, Ltd. 78,121 247,508 0.0%
Polyplex Corp., Ltd. 7,729 57,475 0.0%
Power Finance Corp., Ltd. 6,063,286 15,065,678 0.1%
Prabhat Dairy, Ltd. 18,509 34,506 0.0%
Praj Industries, Ltd. 1,246,219 1,674,804 0.0%
* Prakash Industries, Ltd. 100,349 141,529 0.0%
Prestige Estates Projects, Ltd. 287,997 1,056,269 0.0%
* Prime Focus, Ltd. 22,625 36,574 0.0%
PTC India Financial Services, Ltd. 3,474,984 2,502,063 0.0%
PTC India, Ltd. 4,144,962 6,126,995 0.0%
* Punjab National Bank 2,525,346 6,617,998 0.1%
Puravankara, Ltd. 460,912 476,572 0.0%
Radico Khaitan, Ltd. 657,505 1,251,987 0.0%
Rain Industries, Ltd. 2,231,677 3,903,862 0.0%
Rajesh Exports, Ltd. 17,376 166,105 0.0%
Ramco Cements, Ltd. (The) 425,729 4,558,952 0.0%
Ramkrishna Forgings, Ltd. 1,752 13,743 0.0%
Rashtriya Chemicals & Fertilizers, Ltd. 262,479 343,598 0.0%
Ratnamani Metals & Tubes, Ltd. 3,941 49,454 0.0%
Raymond, Ltd. 566,788 6,546,923 0.1%
Redington India, Ltd. 1,868,587 3,630,735 0.0%
Reliance Capital, Ltd. 1,766,396 18,232,373 0.1%
* Reliance Communications, Ltd. 16,993,662 9,080,494 0.1%
* Reliance Defence and Engineering, Ltd. 22,287 22,564 0.0%
Reliance Industries, Ltd. 18,507,130 400,807,236 2.2%
# Reliance Industries, Ltd. GDR 59,023 2,555,874 0.0%
* Reliance Power, Ltd. 9,323,446 7,080,894 0.1%
* Rolta India, Ltd. 1,725,026 1,624,705 0.0%
RSWM, Ltd. 2,943 20,367 0.0%
* Ruchi Soya Industries, Ltd. 2,008,134 791,373 0.0%
Rural Electrification Corp., Ltd. 8,896,705 27,937,326 0.2%
Sadbhav Engineering, Ltd. 3,116 16,185 0.0%
Sangam India, Ltd. 2,135 10,151 0.0%
Sanghvi Movers, Ltd. 45,111 185,198 0.0%
Shilpi Cable Technologies, Ltd. 70,347 130,636 0.0%
* Shipping Corp. of India, Ltd. 2,171,786 2,723,986 0.0%
Shriram City Union Finance, Ltd. 3,265 112,721 0.0%
Shriram Transport Finance Co., Ltd. 699,428 11,305,400 0.1%
Simplex Infrastructures, Ltd. 50,747 319,268 0.0%
Sintex Industries, Ltd. 7,846,946 13,830,809 0.1%
Siyaram Silk Mills, Ltd. 663 17,323 0.0%
Sobha, Ltd. 825,884 4,759,167 0.0%
Sonata Software, Ltd. 219,589 577,561 0.0%
South Indian Bank, Ltd. (The) 11,772,339 4,705,351 0.0%
SREI Infrastructure Finance, Ltd. 1,890,601 2,673,604 0.0%
SRF, Ltd. 303,826 8,381,005 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
INDIA -- (Continued)
State Bank of India 13,178,551 $ 59,215,518 0.3%
* Steel Authority of India, Ltd. 614,853 576,552 0.0%
Sterlite Technologies, Ltd. 2,710,854 6,165,104 0.0%
Sunteck Realty, Ltd. 46,678 324,999 0.0%
* Syndicate Bank 2,252,956 2,898,986 0.0%
TAKE Solutions, Ltd. 239,321 495,058 0.0%
Tamil Nadu Newsprint & Papers, Ltd. 323,617 1,489,167 0.0%
Tata Chemicals, Ltd. 1,763,982 17,983,985 0.1%
Tata Global Beverages, Ltd. 5,889,775 13,996,125 0.1%
Tata Motors, Ltd. 14,885,959 106,304,729 0.6%
Tata Motors, Ltd. Sponsored ADR 103,766 3,701,333 0.0%
Tata Steel, Ltd. 5,796,347 40,362,495 0.2%
Tech Mahindra, Ltd. 997,512 6,471,949 0.1%
Techno Electric & Engineering Co., Ltd. 51,231 314,852 0.0%
Tide Water Oil Co India, Ltd. 1,172 110,726 0.0%
Time Technoplast, Ltd. 1,093,465 1,935,150 0.0%
Titagarh Wagons, Ltd. 74,151 147,130 0.0%
Transport Corp. of India, Ltd. 53,738 202,561 0.0%
Trident, Ltd. 83,632 108,939 0.0%
Tube Investments of India, Ltd. 592,499 6,209,857 0.0%
* TV18 Broadcast, Ltd. 6,333,197 4,116,233 0.0%
* UCO Bank 3,123,377 2,018,809 0.0%
Uflex, Ltd. 490,316 2,843,015 0.0%
UFO Moviez India, Ltd. 3,427 24,684 0.0%
Unichem Laboratories, Ltd. 390,108 1,662,284 0.0%
* Union Bank of India 2,451,981 6,537,367 0.1%
* Unitech, Ltd. 25,373,120 2,245,370 0.0%
UPL, Ltd. 4,100,431 51,410,522 0.3%
VA Tech Wabag, Ltd. 35,046 366,350 0.0%
Vardhman Textiles, Ltd. 255,600 5,162,875 0.0%
Vedanta, Ltd.() 8,315,795 31,483,163 0.2%
Vedanta, Ltd.(6136040) 14,518,117 54,862,970 0.3%
Vedanta, Ltd. ADR 1,637,287 24,886,768 0.2%
* Videocon Industries, Ltd. 769,833 1,241,720 0.0%
* Vijaya Bank 2,612,664 3,352,283 0.0%
Welspun Corp., Ltd. 1,967,652 2,526,297 0.0%
* Welspun Enterprises, Ltd. 861,475 1,255,712 0.0%
Welspun India, Ltd. 1,213,054 1,805,093 0.0%
Wipro, Ltd. 2,475,767 19,070,307 0.1%
Wockhardt, Ltd. 276,374 3,083,703 0.0%
Yes Bank, Ltd. 500,648 12,734,531 0.1%
Zee Media Corp., Ltd. 62,079 36,661 0.0%
Zensar Technologies, Ltd. 164,214 2,205,133 0.0%
* Zuari Agro Chemicals, Ltd. 23,149 150,151 0.0%
-------------- ---------------
TOTAL INDIA 2,452,475,991 13.5%
-------------- ---------------
INDONESIA -- (2.8%)
Adaro Energy Tbk PT 293,227,500 38,992,879 0.2%
Adhi Karya Persero Tbk PT 15,199,800 2,572,637 0.0%
* Agung Podomoro Land Tbk PT 131,245,000 2,065,957 0.0%
* Alam Sutera Realty Tbk PT 219,592,100 5,719,371 0.0%
* Aneka Tambang Persero Tbk PT 137,992,777 7,188,010 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
INDONESIA -- (Continued)
Asahimas Flat Glass Tbk PT 4,905,700 $ 2,491,629 0.0%
Astra Agro Lestari Tbk PT 1,475,767 1,593,205 0.0%
Astra Graphia Tbk PT 436,900 62,155 0.0%
* Bakrie and Brothers Tbk PT 459,725,450 1,724,531 0.0%
* Bakrie Telecom Tbk PT 238,934,800 896,297 0.0%
Bank Bukopin Tbk 64,007,133 3,022,150 0.0%
Bank Danamon Indonesia Tbk PT 35,799,554 13,042,411 0.1%
Bank Mandiri Persero Tbk PT 91,588,731 80,150,276 0.5%
Bank Negara Indonesia Persero Tbk PT 102,370,741 48,882,360 0.3%
* Bank Pan Indonesia Tbk PT 132,362,501 9,078,797 0.1%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 35,476,100 5,340,827 0.0%
Bank Pembangunan Daerah Jawa Timur Tbk PT 11,045,900 566,842 0.0%
Bank Rakyat Indonesia Persero Tbk PT 373,800 361,053 0.0%
Bank Tabungan Negara Persero Tbk PT 79,335,127 13,659,313 0.1%
* Barito Pacific Tbk PT 13,833,400 3,267,121 0.0%
Bekasi Fajar Industrial Estate Tbk PT 35,110,400 778,397 0.0%
* Benakat Integra Tbk PT 142,047,100 1,149,528 0.0%
BISI International Tbk PT 13,630,400 1,898,418 0.0%
Blue Bird Tbk PT 51,500 15,137 0.0%
Bumi Serpong Damai Tbk PT 73,513,900 9,848,242 0.1%
Ciputra Development Tbk PT 169,606,478 16,265,413 0.1%
* Clipan Finance Indonesia Tbk PT 2,995,500 67,353 0.0%
* Darma Henwa Tbk PT 15,579,242 76,020 0.0%
* Eagle High Plantations Tbk PT 115,969,500 2,726,839 0.0%
Elnusa Tbk PT 60,294,100 1,706,043 0.0%
* Energi Mega Persada Tbk PT 170,916,278 641,071 0.0%
Erajaya Swasembada Tbk PT 24,615,200 1,347,101 0.0%
* Eureka Prima Jakarta Tbk PT 1,297,300 9,633 0.0%
* Ever Shine Textile Tbk PT 19,342,215 136,407 0.0%
* Gajah Tunggal Tbk PT 34,284,700 2,659,388 0.0%
* Garuda Indonesia Persero Tbk PT 45,240,181 1,248,091 0.0%
Global Mediacom Tbk PT 104,311,400 4,181,316 0.0%
* Hanson International Tbk PT 40,814,600 424,952 0.0%
* Harum Energy Tbk PT 15,446,200 2,974,539 0.0%
Hexindo Adiperkasa Tbk PT 721,744 238,165 0.0%
Holcim Indonesia Tbk PT 26,217,400 1,769,607 0.0%
Indah Kiat Pulp & Paper Corp. Tbk PT 39,580,500 6,169,147 0.1%
* Indika Energy Tbk PT 1,135,500 76,602 0.0%
Indo Tambangraya Megah Tbk PT 4,073,100 5,840,062 0.0%
* Indo-Rama Synthetics Tbk PT 41,500 2,430 0.0%
Indocement Tunggal Prakarsa Tbk PT 84,100 106,751 0.0%
Indofood Sukses Makmur Tbk PT 70,443,200 44,146,750 0.3%
Intiland Development Tbk PT 112,254,600 3,702,875 0.0%
Japfa Comfeed Indonesia Tbk PT 40,368,050 4,434,441 0.0%
Jaya Real Property Tbk PT 120,718,000 8,151,057 0.1%
* Kawasan Industri Jababeka Tbk PT 306,496,275 7,577,527 0.1%
* Krakatau Steel Persero Tbk PT 2,345,500 101,894 0.0%
* Lippo Cikarang Tbk PT 2,690,000 902,496 0.0%
Lippo Karawaci Tbk PT 312,423,249 18,504,393 0.1%
* Malindo Feedmill Tbk PT 331,200 30,301 0.0%
* Medco Energi Internasional Tbk PT 27,499,500 6,162,439 0.0%
Metrodata Electronics Tbk PT 1,539,436 75,663 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
INDONESIA -- (Continued)
Mitra Pinasthika Mustika Tbk PT 1,984,700 $ 133,996 0.0%
* MNC Investama Tbk PT 331,039,400 2,982,743 0.0%
* Modernland Realty Tbk PT 87,619,900 1,851,563 0.0%
* Multipolar Tbk PT 63,216,500 1,506,530 0.0%
* Nirvana Development Tbk PT 1,000,000 5,923 0.0%
* Nusantara Infrastructure Tbk PT 179,929,000 1,779,920 0.0%
Pabrik Kertas Tjiwi Kimia Tbk PT 929,000 88,712 0.0%
Pan Brothers Tbk PT 50,034,250 2,231,747 0.0%
* Panin Financial Tbk PT 204,627,100 3,587,929 0.0%
* Paninvest Tbk PT 30,871,000 1,970,540 0.0%
Pembangunan Perumahan Persero Tbk PT 4,976,400 1,186,430 0.0%
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 64,865,784 6,780,846 0.1%
Ramayana Lestari Sentosa Tbk PT 44,344,400 4,237,502 0.0%
Salim Ivomas Pratama Tbk PT 50,872,200 2,419,010 0.0%
Sampoerna Agro PT 12,001,241 1,908,808 0.0%
Selamat Sempurna Tbk PT 39,344,600 3,598,695 0.0%
Semen Baturaja Persero Tbk PT 13,925,300 3,682,169 0.0%
Semen Indonesia Persero Tbk PT 10,444,200 6,902,182 0.1%
* Sentul City Tbk PT 80,474,100 531,012 0.0%
* Sinar Mas Agro Resources & Technology Tbk PT 7,767,600 2,389,280 0.0%
Sri Rejeki Isman Tbk PT 153,095,600 3,466,183 0.0%
Surya Semesta Internusa Tbk PT 60,559,200 3,313,334 0.0%
Tambang Batubara Bukit Asam Persero Tbk PT 1,061,700 1,006,712 0.0%
* Tiga Pilar Sejahtera Food Tbk 32,951,122 5,466,835 0.0%
Timah Persero Tbk PT 64,189,760 4,543,488 0.0%
Tiphone Mobile Indonesia Tbk PT 7,827,700 604,366 0.0%
Trias Sentosa Tbk PT 336,500 7,829 0.0%
* Truba Alam Manunggal Engineering PT 129,244,500 145,447 0.0%
Tunas Baru Lampung Tbk PT 22,298,600 2,121,407 0.0%
Tunas Ridean Tbk PT 35,547,400 3,533,647 0.0%
* Ultrajaya Milk Industry & Trading Co. Tbk PT 7,822,300 2,465,871 0.0%
* Unggul Indah Cahaya Tbk PT 319,635 75,685 0.0%
United Tractors Tbk PT 21,427,200 43,202,003 0.3%
* Vale Indonesia Tbk PT 38,206,100 6,346,298 0.1%
* Visi Media Asia Tbk PT 5,185,700 154,646 0.0%
* XL Axiata Tbk PT 10,211,500 2,455,600 0.0%
------------ ---------------
TOTAL INDONESIA 525,509,197 2.9%
------------ ---------------
MALAYSIA -- (3.2%)
Affin Holdings Bhd 10,900,750 7,356,294 0.1%
# AirAsia Bhd 16,927,400 13,056,157 0.1%
* Alam Maritim Resources Bhd 2,817,000 194,446 0.0%
Alliance Financial Group Bhd 15,784,300 15,006,102 0.1%
Allianz Malaysia Bhd 28,800 76,196 0.0%
AMMB Holdings Bhd 24,884,862 31,405,464 0.2%
Ann Joo Resources Bhd 1,674,300 1,140,778 0.0%
APM Automotive Holdings Bhd 721,300 634,185 0.0%
Batu Kawan Bhd 2,081,750 9,103,709 0.1%
Benalec Holdings Bhd 6,856,000 836,378 0.0%
* Berjaya Assets BHD 355,600 84,374 0.0%
#* Berjaya Corp. Bhd 37,649,878 3,032,147 0.0%
* Berjaya Land Bhd 13,220,000 1,614,926 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
MALAYSIA -- (Continued)
BIMB Holdings Bhd 1,408,207 $ 1,421,128 0.0%
# Boustead Holdings Bhd 13,330,691 8,040,667 0.1%
Boustead Plantations Bhd 1,491,900 563,553 0.0%
#* Bumi Armada Bhd 25,619,100 4,653,906 0.0%
Can-One Bhd 401,400 302,281 0.0%
# CB Industrial Product Holding Bhd 1,722,100 816,994 0.0%
Chin Teck Plantations Bhd 309,100 563,412 0.0%
CIMB Group Holdings Bhd 25,339,326 33,485,444 0.2%
# Coastal Contracts Bhd 3,357,500 1,027,462 0.0%
# CSC Steel Holdings Bhd 2,012,556 912,893 0.0%
Cypark Resources Bhd 122,200 67,506 0.0%
* Daya Materials Bhd 10,420,400 214,949 0.0%
* Dayang Enterprise Holdings Bhd 1,935,700 547,493 0.0%
# DRB-Hicom Bhd 12,059,600 3,994,420 0.0%
# Eastern & Oriental Bhd 11,096,180 4,855,153 0.0%
#* Eco World Development Group Bhd 2,660,800 931,122 0.0%
# Evergreen Fibreboard Bhd 5,331,389 1,080,021 0.0%
FAR East Holdings Bhd 403,800 834,507 0.0%
# Felda Global Ventures Holdings Bhd 11,566,500 5,666,546 0.1%
# Gadang Holdings Bhd 696,500 205,400 0.0%
# Genting Bhd 20,604,400 46,667,091 0.3%
# Genting Malaysia Bhd 27,675,700 37,403,616 0.2%
Glomac Bhd 6,371,700 1,034,928 0.0%
Goldis Bhd 3,223,995 2,138,059 0.0%
GuocoLand Malaysia Bhd 2,797,700 831,056 0.0%
# HAP Seng Consolidated Bhd 5,443,782 11,115,748 0.1%
Hap Seng Plantations Holdings Bhd 3,563,200 2,125,200 0.0%
* Hengyuan Refining Co Bhd 91,300 80,071 0.0%
Hiap Teck Venture Bhd 1,476,900 107,120 0.0%
# Hong Leong Financial Group Bhd 2,819,234 10,950,437 0.1%
Hong Leong Industries Bhd 847,400 1,972,242 0.0%
Hua Yang Bhd 2,298,310 587,439 0.0%
Hume Industries Bhd 29,984 18,723 0.0%
I-Bhd 84,900 12,227 0.0%
IJM Corp. Bhd 46,647,018 37,605,309 0.2%
# Insas Bhd 6,223,000 1,323,903 0.0%
IOI Properties Group Bhd 3,944,125 1,880,596 0.0%
* Iris Corp. Bhd 21,834,300 1,028,978 0.0%
#* Iskandar Waterfront City Bhd 1,685,600 1,205,967 0.0%
* JAKS Resources Bhd 5,154,700 1,968,657 0.0%
# Jaya Tiasa Holdings Bhd 5,694,233 1,534,296 0.0%
JCY International Bhd 8,320,900 1,197,385 0.0%
Keck Seng Malaysia Bhd 2,504,000 2,883,652 0.0%
* Kenanga Investment Bank Bhd 2,020,487 293,156 0.0%
Kian JOO CAN Factory Bhd 4,747,780 3,280,506 0.0%
Kim Loong Resources Bhd 309,100 263,637 0.0%
Kimlun Corp. Bhd 845,419 465,523 0.0%
#* KNM Group Bhd 27,168,290 1,811,113 0.0%
Kretam Holdings Bhd 3,429,400 430,439 0.0%
#* KSL Holdings Bhd 9,123,451 2,563,164 0.0%
Kumpulan Fima Bhd 2,136,600 915,078 0.0%
Kumpulan Perangsang Selangor Bhd 2,571,500 882,769 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
MALAYSIA -- (Continued)
* Kwantas Corp. Bhd 288,400 $ 102,312 0.0%
Land & General Bhd 14,442,200 864,972 0.0%
* Landmarks Bhd 2,119,208 402,567 0.0%
# LBS Bina Group Bhd 3,985,500 1,918,151 0.0%
# Magnum Bhd 5,285,900 2,556,802 0.0%
Mah Sing Group Bhd 13,676,862 4,692,490 0.0%
Malayan Banking Bhd 2,031,123 4,480,137 0.0%
Malayan Flour Mills Bhd 3,117,950 1,298,237 0.0%
Malaysia Airports Holdings Bhd 4,595,854 8,039,152 0.1%
Malaysia Building Society Bhd 6,305,900 1,902,293 0.0%
* Malaysia Marine and Heavy Engineering Holdings Bhd 2,930,500 674,227 0.0%
#* Malaysian Bulk Carriers Bhd 4,604,925 900,333 0.0%
Malaysian Pacific Industries Bhd 848,675 2,341,044 0.0%
#* Malaysian Resources Corp. Bhd 14,806,800 5,173,924 0.0%
Malton Bhd 3,456,400 1,168,719 0.0%
# MBM Resources Bhd 2,696,103 1,590,844 0.0%
Media Prima Bhd 6,367,700 1,757,582 0.0%
Mega First Corp. Bhd 1,507,800 1,315,781 0.0%
MISC Bhd 16,155,404 27,199,429 0.2%
* MK Land Holdings Bhd 5,393,500 391,026 0.0%
# MKH Bhd 3,201,370 1,798,949 0.0%
MMC Corp. Bhd 14,388,080 8,384,807 0.1%
* MNRB Holdings Bhd 2,443,350 1,456,557 0.0%
* Mudajaya Group Bhd 4,318,700 1,193,497 0.0%
# Muhibbah Engineering M Bhd 3,993,100 2,658,065 0.0%
* Mulpha International Bhd 22,576,600 1,249,956 0.0%
* Naim Holdings Bhd 2,091,600 751,644 0.0%
Negri Sembilan Oil Palms Bhd 37,900 36,534 0.0%
# Oriental Holdings Bhd 3,572,279 5,575,644 0.0%
# OSK Holdings Bhd 7,655,071 2,768,191 0.0%
Pacific & Orient Bhd 334,330 99,328 0.0%
Panasonic Manufacturing Malaysia Bhd 334,980 2,620,006 0.0%
Pantech Group Holdings Bhd 4,364,109 663,105 0.0%
Paramount Corp. Bhd 1,660,525 696,082 0.0%
#* Parkson Holdings Bhd 7,750,928 1,133,412 0.0%
PPB Group Bhd 6,954,766 27,082,506 0.2%
Protasco Bhd 3,739,250 938,062 0.0%
# RHB Bank Bhd 13,339,100 16,889,814 0.1%
* Rimbunan Sawit Bhd 6,810,000 760,419 0.0%
Salcon Bhd 658,500 99,238 0.0%
# Sapura Energy Bhd 28,789,300 13,232,958 0.1%
# Sarawak Oil Palms Bhd 619,967 489,764 0.0%
* Scomi Energy Services Bhd 352,300 16,237 0.0%
* Scomi Group Bhd 21,734,600 849,101 0.0%
Selangor Dredging Bhd 1,352,800 285,636 0.0%
Selangor Properties Bhd 75,300 80,439 0.0%
Shangri-La Hotels Malaysia Bhd 636,600 747,390 0.0%
SHL Consolidated Bhd 331,800 215,541 0.0%
# SP Setia Bhd Group 5,447,612 4,588,624 0.0%
Star Media Group Bhd 1,607,100 869,846 0.0%
#* Sumatec Resources Bhd 2,855,100 49,297 0.0%
Sunway Bhd 12,446,559 9,949,517 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
# Supermax Corp. Bhd 6,246,700 $ 2,762,197 0.0%
Suria Capital Holdings Bhd 824,400 408,604 0.0%
Symphony Life Bhd 735,324 154,131 0.0%
# Ta Ann Holdings Bhd 2,330,026 2,006,684 0.0%
# TA Enterprise Bhd 20,764,700 3,130,897 0.0%
# TA Global Bhd 15,532,980 1,289,982 0.0%
* Talam Transform Bhd 620,250 7,166 0.0%
TAN Chong Motor Holdings Bhd 4,378,300 1,895,930 0.0%
# TDM Bhd 12,844,900 1,952,025 0.0%
* TH Plantations Bhd 900,500 250,767 0.0%
Thong Guan Industries Bhd 31,700 32,472 0.0%
Time dotCom Bhd 4,589,780 9,334,566 0.1%
Tiong NAM Logistics Holdings 1,290,900 540,413 0.0%
# Tropicana Corp. Bhd 8,252,589 1,871,703 0.0%
UEM Edgenta Bhd 1,368,200 1,013,642 0.0%
# UEM Sunrise Bhd 20,571,245 5,872,529 0.1%
#* UMW Holdings Bhd 982,200 1,401,689 0.0%
#* UMW Oil & Gas Corp. Bhd 3,344,400 523,351 0.0%
# Unisem M Bhd 7,206,400 5,525,169 0.0%
United Malacca Bhd 960,500 1,367,683 0.0%
United Plantations Bhd 150,500 970,133 0.0%
UOA Development Bhd 7,305,600 4,515,096 0.0%
#* Vivocom International Holdings Bhd 1,144,800 40,804 0.0%
# VS Industry Bhd 4,285,865 1,974,174 0.0%
Wah Seong Corp. Bhd 4,715,383 966,504 0.0%
# WCT Holdings Bhd 13,586,720 6,977,981 0.1%
Wing Tai Malaysia Bhd 2,781,650 735,997 0.0%
# WTK Holdings BHD 5,770,150 1,321,747 0.0%
#* YNH Property Bhd 6,942,625 2,446,302 0.0%
YTL Corp. Bhd 85,261,850 28,856,825 0.2%
* YTL Land & Development Bhd 2,897,200 410,569 0.0%
------------ ---------------
TOTAL MALAYSIA 597,862,018 3.3%
------------ ---------------
MEXICO -- (4.5%)
# Alfa S.A.B. de C.V. Class A 34,589,985 47,423,939 0.3%
# Alpek S.A.B. de C.V. 4,103,131 4,914,973 0.0%
#* Axtel S.A.B. de C.V. 10,194,141 2,225,624 0.0%
* Bio Pappel S.A.B. de C.V. 439,582 618,559 0.0%
* Cemex S.A.B. de C.V. Sponsored ADR 12,864,884 118,614,231 0.7%
# Coca-Cola Femsa S.A.B. de C.V. Series L 1,424,609 10,363,751 0.1%
# Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 139,424 10,137,519 0.1%
Consorcio ARA S.A.B. de C.V. Series * 9,308,776 3,105,356 0.0%
* Corp Interamericana de Entretenimiento S.A.B. de C.V. Class B 1,560,786 1,343,129 0.0%
# Corp. Actinver S.A.B. de C.V. 105,133 72,266 0.0%
# Credito Real S.A.B. de C.V. SOFOM ER 439,579 616,453 0.0%
Dine S.A.B. de C.V. 1,027,267 581,155 0.0%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 1,385,477 124,748,349 0.7%
* Genomma Lab Internacional S.A.B. de C.V. Class B 696,005 880,670 0.0%
#* Grupo Aeromexico S.A.B. de C.V. 1,208,057 2,409,665 0.0%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 251,522 25,879,098 0.1%
# Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 18,880 3,575,872 0.0%
Grupo Carso S.A.B. de C.V. Series A1 7,172,333 33,070,398 0.2%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MEXICO -- (Continued)
Grupo Cementos de Chihuahua S.A.B. de C.V. 2,687,568 $ 12,775,950 0.1%
# Grupo Comercial Chedraui S.A. de C.V. 2,678,591 5,533,547 0.0%
# Grupo Elektra S.A.B. de C.V. 271,422 9,126,579 0.1%
#* Grupo Famsa S.A.B. de C.V. Class A 2,831,479 1,323,595 0.0%
Grupo Financiero Banorte S.A.B. de C.V. Class O 20,219,961 116,688,839 0.7%
# Grupo Financiero Inbursa S.A.B. de C.V. Class O 14,772,311 24,875,221 0.1%
# Grupo Financiero Interacciones SA de C.V. Class O 708,084 3,311,119 0.0%
# Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 4,513,225 8,206,408 0.1%
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 1,632,369 14,870,882 0.1%
* Grupo Gigante S.A.B. de C.V. Series * 471,076 998,443 0.0%
# Grupo Herdez S.A.B. de C.V. Series * 818,512 1,816,138 0.0%
Grupo Industrial Maseca S.A.B. de C.V. Class B 2,749,400 3,394,898 0.0%
Grupo Industrial Saltillo S.A.B. de C.V. 1,338,007 2,690,193 0.0%
Grupo KUO S.A.B. de C.V. Series B 2,034,528 4,203,555 0.0%
Grupo Mexico S.A.B. de C.V. Series B 37,181,013 108,648,094 0.6%
* Grupo Pochteca S.A.B. de C.V. 67,810 25,935 0.0%
* Grupo Posadas S.A.B. de C.V. 355,113 863,955 0.0%
# Grupo Rotoplas S.A.B. de C.V. 17,266 22,333 0.0%
Grupo Sanborns S.A.B. de C.V. 1,261,695 1,446,322 0.0%
* Grupo Simec S.A.B. de C.V. Series B 1,118,852 4,160,351 0.0%
* Grupo Sports World S.A.B. de C.V. 293,561 267,437 0.0%
Industrias Bachoco S.A.B. de C.V. Series B 1,777,377 7,898,719 0.1%
Industrias Bachoco S.A.B. de C.V. Sponsored ADR 40,783 2,179,851 0.0%
#* Industrias CH S.A.B. de C.V. Series B 2,014,328 10,817,841 0.1%
Industrias Penoles S.A.B. de C.V. 197,678 4,832,415 0.0%
#* La Comer S.A.B. de C.V. 5,414,652 4,242,500 0.0%
Medica Sur S.A.B. de C.V. Series B 1,000 2,122 0.0%
Megacable Holdings S.A.B. de C.V. 31,794 120,537 0.0%
# Mexichem S.A.B. de C.V. 8,656,421 23,777,827 0.1%
#* Minera Frisco S.A.B. de C.V. Class A1 7,198,230 4,603,747 0.0%
Nemak S.A.B. de C.V. 336,244 353,654 0.0%
OHL Mexico S.A.B. de C.V. 9,638,808 11,766,102 0.1%
# Organizacion Cultiba S.A.B. de C.V. 170,021 165,006 0.0%
* Organizacion Soriana S.A.B. de C.V. Class B 14,707,352 33,719,038 0.2%
Qualitas Controladora S.A.B. de C.V. 1,569,014 2,562,064 0.0%
# TV Azteca S.A.B. de C.V. 9,523,719 1,649,238 0.0%
Vitro S.A.B. de C.V. Series A 1,503,590 5,758,693 0.0%
------------ ---------------
TOTAL MEXICO 830,280,155 4.6%
------------ ---------------
PHILIPPINES -- (1.1%)
A Soriano Corp. 6,260,400 776,539 0.0%
ACR Mining Corp. 105,455 7,084 0.0%
Alliance Global Group, Inc. 31,427,306 9,309,725 0.1%
Alsons Consolidated Resources, Inc. 20,894,000 589,538 0.0%
* Atlas Consolidated Mining & Development Corp. 5,351,500 563,312 0.0%
Ayala Corp. 17,990 311,928 0.0%
Bank of the Philippine Islands 234,470 491,693 0.0%
BDO Unibank, Inc. 14,252,999 34,222,880 0.2%
Belle Corp. 1,407,000 115,574 0.0%
Cebu Air, Inc. 2,264,040 4,893,997 0.0%
Cebu Holdings, Inc. 676,250 71,360 0.0%
Century Properties Group, Inc. 28,217,400 276,878 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
PHILIPPINES -- (Continued)
China Banking Corp. 516,071 $ 364,634 0.0%
Cosco Capital, Inc. 11,216,800 1,832,260 0.0%
DMCI Holdings, Inc. 1,587,600 408,534 0.0%
East West Banking Corp. 287,900 123,563 0.0%
EEI Corp. 1,150,300 232,593 0.0%
Emperador, Inc. 1,071,300 137,021 0.0%
* Empire East Land Holdings, Inc. 24,178,000 343,531 0.0%
Energy Development Corp. 5,155,600 622,396 0.0%
Filinvest Development Corp. 142,800 22,438 0.0%
Filinvest Land, Inc. 203,955,031 7,073,164 0.1%
First Philippine Holdings Corp. 4,572,760 6,636,082 0.0%
GT Capital Holdings, Inc. 34,490 870,098 0.0%
Integrated Micro-Electronics, Inc. 424,500 65,446 0.0%
JG Summit Holdings, Inc. 9,269,150 15,623,463 0.1%
Lopez Holdings Corp. 34,670,100 5,334,587 0.0%
LT Group, Inc. 16,065,600 5,133,010 0.0%
Megaworld Corp. 144,790,400 11,767,627 0.1%
Metropolitan Bank & Trust Co. 6,862,590 11,593,854 0.1%
Nickel Asia Corp. 1,704,000 212,922 0.0%
Pepsi-Cola Products Philippines, Inc. 709,000 52,505 0.0%
Petron Corp. 16,853,000 3,071,990 0.0%
Philex Mining Corp. 390,300 69,013 0.0%
Philippine National Bank 4,899,113 6,395,878 0.0%
* Philippine National Construction Corp. 398,900 7,337 0.0%
Philippine Savings Bank 1,216,333 2,176,933 0.0%
Phinma Corp. 793,898 181,239 0.0%
Phinma Energy Corp. 26,285,000 1,130,703 0.0%
Phoenix Petroleum Philippines, Inc. 979,900 166,702 0.0%
RFM Corp. 976,000 94,525 0.0%
Rizal Commercial Banking Corp. 4,683,248 5,114,158 0.0%
Robinsons Land Corp. 29,036,050 14,918,925 0.1%
Robinsons Retail Holdings, Inc. 370,900 589,529 0.0%
San Miguel Corp. 6,764,846 14,891,433 0.1%
San Miguel Pure Foods Co., Inc. 63,140 379,155 0.0%
Security Bank Corp. 1,805,854 7,704,608 0.1%
STI Education Systems Holdings, Inc. 4,512,000 96,617 0.0%
* Top Frontier Investment Holdings, Inc. 628,532 3,698,702 0.0%
Travellers International Hotel Group, Inc. 1,539,200 101,642 0.0%
Union Bank of the Philippines 4,413,349 7,048,280 0.0%
Vista Land & Lifescapes, Inc. 76,752,568 8,127,637 0.1%
------------ ---------------
TOTAL PHILIPPINES 196,045,242 1.1%
------------ ---------------
POLAND -- (1.7%)
Agora SA 578,734 2,418,464 0.0%
Asseco Poland SA 1,325,183 18,646,966 0.1%
#* Bank Millennium SA 3,964,529 7,071,261 0.0%
Ciech SA 205,820 4,116,503 0.0%
#* Enea SA 2,423,548 7,443,962 0.0%
Firma Oponiarska Debica SA 69,579 1,840,305 0.0%
* Getin Holding SA 2,977,249 1,012,797 0.0%
#* Getin Noble Bank SA 1,094,168 524,330 0.0%
Grupa Azoty SA 179,216 3,160,463 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
POLAND -- (Continued)
Grupa Kety SA 82,005 $ 9,003,291 0.1%
#* Grupa Lotos SA 1,590,829 24,782,553 0.1%
* Impexmetal SA 4,217,244 4,605,833 0.0%
Kernel Holding SA 423,053 7,533,796 0.1%
KGHM Polska Miedz SA 1,475,867 46,752,521 0.3%
LC Corp. SA 1,199,107 609,071 0.0%
* Lubelski Wegiel Bogdanka SA 10,880 203,563 0.0%
* mBank SA 3,511 391,825 0.0%
# Netia SA 4,447,293 5,044,508 0.0%
# Orbis SA 487,188 10,923,920 0.1%
* Pelion SA 10,134 139,436 0.0%
PGE Polska Grupa Energetyczna SA 14,006,233 41,602,097 0.2%
* PKP Cargo SA 21,847 359,761 0.0%
Polski Koncern Naftowy Orlen SA 2,865,816 85,646,571 0.5%
* Powszechna Kasa Oszczednosci Bank Polski SA 1,426,365 12,986,425 0.1%
* Tauron Polska Energia SA 10,676,446 9,055,383 0.1%
Trakcja SA 656,822 2,773,598 0.0%
* Vistula Group SA 54,605 45,193 0.0%
------------ ---------------
TOTAL POLAND 308,694,396 1.7%
------------ ---------------
RUSSIA -- (1.9%)
* AFI Development P.L.C. GDR 31,827 5,738 0.0%
Gazprom PJSC Sponsored ADR 46,263,845 219,639,871 1.2%
Lukoil PJSC Sponsored ADR(69343P105) 723,019 35,825,591 0.1%
Lukoil PJSC Sponsored ADR(BYZDW2900) 1,526,223 75,756,583 0.4%
Magnitogorsk Iron & Steel OJSC Sponsored GDR 1,194,886 9,200,572 0.1%
RusHydro PJSC ADR 8,480,943 12,924,728 0.1%
------------ ---------------
TOTAL RUSSIA 353,353,083 1.9%
------------ ---------------
SOUTH AFRICA -- (6.6%)
Adcorp Holdings, Ltd. 928,995 951,081 0.0%
Aeci, Ltd. 1,425,939 12,359,104 0.1%
African Oxygen, Ltd. 47,765 71,087 0.0%
* African Phoenix Investments, Ltd. 9,264,952 402,108 0.0%
African Rainbow Minerals, Ltd. 1,736,757 10,978,823 0.1%
Alexander Forbes Group Holdings, Ltd. 1,123,117 541,768 0.0%
Alviva Holdings, Ltd. 902,939 1,423,146 0.0%
* Anglo American Platinum, Ltd. 98,018 2,420,409 0.0%
# AngloGold Ashanti, Ltd. Sponsored ADR 1,593,046 18,208,516 0.1%
* ArcelorMittal South Africa, Ltd. 2,390,579 1,342,399 0.0%
* Aveng, Ltd. 7,597,247 3,241,882 0.0%
Barclays Africa Group, Ltd. 5,579,767 61,282,517 0.3%
Barloworld, Ltd. 4,842,776 43,624,367 0.3%
Blue Label Telecoms, Ltd. 2,410,396 3,059,318 0.0%
#* Brait SE 2,391,574 15,261,444 0.1%
Caxton and CTP Publishers and Printers, Ltd. 3,089,885 2,739,655 0.0%
Clover Industries, Ltd. 1,395,079 1,696,291 0.0%
* Consolidated Infrastructure Group, Ltd. 703,402 957,127 0.0%
DataTec, Ltd. 3,584,698 15,591,856 0.1%
# DRDGOLD, Ltd. 5,320,916 2,075,265 0.0%
* enX Group, Ltd. 409,879 505,738 0.0%
* Evraz Highveld Steel and Vanadium, Ltd. 120,337 226 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SOUTH AFRICA -- (Continued)
* eXtract Group, Ltd. 1,076,958 $ 9,691 0.0%
# Exxaro Resources, Ltd. 1,872,928 15,933,695 0.1%
# Gold Fields, Ltd. 2,664,475 8,732,845 0.1%
# Gold Fields, Ltd. Sponsored ADR 12,391,918 40,273,734 0.2%
#* Grindrod, Ltd. 7,514,882 6,759,990 0.0%
Group Five, Ltd. 1,685,503 1,969,006 0.0%
Harmony Gold Mining Co., Ltd. 1,605,176 3,475,810 0.0%
# Harmony Gold Mining Co., Ltd. Sponsored ADR 491,788 1,072,098 0.0%
Hudaco Industries, Ltd. 118,362 1,205,260 0.0%
Hulamin, Ltd. 1,922,782 996,673 0.0%
* Impala Platinum Holdings, Ltd. 6,689,573 21,465,534 0.1%
Imperial Holdings, Ltd. 1,898,907 24,016,502 0.1%
Investec, Ltd. 3,566,658 26,763,030 0.2%
Invicta Holdings, Ltd. 28,371 116,157 0.0%
KAP Industrial Holdings, Ltd. 310,624 217,622 0.0%
# Lewis Group, Ltd. 1,819,055 5,150,319 0.0%
Liberty Holdings, Ltd. 1,712,699 13,810,285 0.1%
Merafe Resources, Ltd. 23,636,862 2,933,116 0.0%
Metair Investments, Ltd. 1,369,279 2,345,009 0.0%
MMI Holdings, Ltd. 17,679,587 30,857,231 0.2%
Mpact, Ltd. 2,607,014 6,038,779 0.0%
MTN Group, Ltd. 12,557,642 118,761,642 0.7%
Murray & Roberts Holdings, Ltd. 6,671,046 6,993,680 0.1%
#* Nampak, Ltd. 2,918,175 3,908,389 0.0%
# Nedbank Group, Ltd. 3,003,198 50,633,434 0.3%
* Northam Platinum, Ltd. 427 1,586 0.0%
Omnia Holdings, Ltd. 573,458 6,834,828 0.0%
Peregrine Holdings, Ltd. 854,949 1,698,254 0.0%
* PPC, Ltd. 1,532,793 718,155 0.0%
Raubex Group, Ltd. 2,062,344 3,718,960 0.0%
RCL Foods, Ltd. 101,638 109,380 0.0%
Reunert, Ltd. 674,555 3,572,086 0.0%
#* Royal Bafokeng Platinum, Ltd. 460,976 1,217,804 0.0%
Sappi, Ltd. 7,508,496 55,761,227 0.3%
# Sasol, Ltd. 4,145,981 127,052,974 0.7%
# Sasol, Ltd. Sponsored ADR 1,735,363 52,963,279 0.3%
# Sibanye Gold, Ltd. Sponsored ADR 1,376,840 11,028,488 0.1%
# Standard Bank Group, Ltd. 16,569,484 183,997,209 1.0%
* Stefanutti Stocks Holdings, Ltd. 526,548 126,254 0.0%
# Steinhoff International Holdings NV 24,951,223 126,929,236 0.7%
* Super Group, Ltd. 4,217,794 11,603,894 0.1%
Telkom SA SOC, Ltd. 5,017,373 28,079,763 0.2%
Tongaat Hulett, Ltd. 1,351,747 12,203,685 0.1%
Trencor, Ltd. 1,507,605 4,539,086 0.0%
Wilson Bayly Holmes-Ovcon, Ltd. 487,561 5,214,373 0.0%
-------------- ---------------
TOTAL SOUTH AFRICA 1,230,544,179 6.8%
-------------- ---------------
SOUTH KOREA -- (15.9%)
#* Ace Technologies Corp. 162,428 563,369 0.0%
#* AJ Rent A Car Co., Ltd. 267,287 2,700,536 0.0%
#* Ajin Industrial Co., Ltd. 26,990 200,142 0.0%
#* Amotech Co., Ltd. 16,489 350,006 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SOUTH KOREA -- (Continued)
# Asia Cement Co., Ltd. 15,034 $ 1,071,776 0.0%
# ASIA Holdings Co., Ltd. 26,825 2,314,719 0.0%
# Asia Paper Manufacturing Co., Ltd. 66,653 1,170,747 0.0%
* Asiana Airlines, Inc. 418,211 1,654,348 0.0%
#* AUK Corp. 396,786 856,929 0.0%
# Austem Co., Ltd. 205,571 620,321 0.0%
# Avaco Co., Ltd. 64,150 351,260 0.0%
#* BH Co., Ltd. 19,986 385,977 0.0%
BNK Financial Group, Inc. 2,892,220 24,256,269 0.2%
Bookook Securities Co., Ltd. 28,655 471,953 0.0%
* Bubang Co., Ltd. 6,672 23,663 0.0%
BYC Co., Ltd. 752 245,867 0.0%
#* Capro Corp. 79,730 534,660 0.0%
* Chemtronics Co., Ltd. 2,758 16,691 0.0%
* China Great Star International, Ltd. 655,138 831,796 0.0%
Chinyang Holdings Corp. 83,580 240,905 0.0%
# Chokwang Paint, Ltd. 59,912 583,168 0.0%
# Chongkundang Holdings Corp. 2,961 178,250 0.0%
Chosun Refractories Co., Ltd. 9,716 752,201 0.0%
CJ Hellovision Co., Ltd. 189,253 1,567,715 0.0%
CJ O Shopping Co., Ltd. 3,953 663,411 0.0%
# CKD Bio Corp. 19,511 387,929 0.0%
#* Cosmochemical Co., Ltd. 115,498 553,698 0.0%
CS Wind Corp. 3,765 64,130 0.0%
# Dae Dong Industrial Co., Ltd. 152,561 880,407 0.0%
Dae Han Flour Mills Co., Ltd. 14,612 2,259,773 0.0%
# Dae Hyun Co., Ltd. 211,762 597,143 0.0%
# Dae Won Kang Up Co., Ltd. 255,039 1,051,166 0.0%
#* Dae Young Packaging Co., Ltd. 1,305,002 1,114,962 0.0%
# Dae-Il Corp. 71,782 646,062 0.0%
#* Daechang Co., Ltd. 526,706 508,434 0.0%
Daechang Forging Co., Ltd. 673 30,678 0.0%
Daeduck Electronics Co. 348,808 2,843,738 0.0%
# Daeduck GDS Co., Ltd. 300,804 3,960,589 0.0%
# Daegu Department Store 71,060 815,231 0.0%
# Daehan Steel Co., Ltd. 217,003 1,934,270 0.0%
# Daekyo Co., Ltd. 184,455 1,385,795 0.0%
Daelim Industrial Co., Ltd. 292,271 20,616,737 0.1%
Daesang Corp. 105,000 2,191,278 0.0%
# Daesang Holdings Co., Ltd. 166,690 1,424,079 0.0%
# Daesung Holdings Co., Ltd. 42,463 337,610 0.0%
Daewon San Up Co., Ltd. 33,636 204,729 0.0%
* Daewoo Engineering & Construction Co., Ltd. 729,810 4,679,885 0.0%
* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 491,004 724,920 0.0%
* Dahaam E-Tec Co., Ltd. 3,535 10,485 0.0%
# Daishin Securities Co., Ltd. 629,382 6,821,086 0.1%
# Daou Data Corp. 15,106 155,246 0.0%
# Daou Technology, Inc. 400,563 7,297,787 0.1%
#* Dasan Networks, Inc. 134,840 757,694 0.0%
* Dayou Plus Co., Ltd. 51,812 48,684 0.0%
DCM Corp. 5,497 62,025 0.0%
DGB Financial Group, Inc. 1,625,465 16,616,356 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# Display Tech Co., Ltd. 43,544 $ 156,298 0.0%
Dong Ah Tire & Rubber Co., Ltd. 101,101 2,212,259 0.0%
# Dong-Ah Geological Engineering Co., Ltd. 133,757 1,554,048 0.0%
Dong-Il Corp. 18,581 934,158 0.0%
# Dongbang Transport Logistics Co., Ltd. 302,271 499,995 0.0%
* DONGBU Co., Ltd. 496,039 312,463 0.0%
* Dongbu Securities Co., Ltd. 416,559 1,342,301 0.0%
# Dongil Industries Co., Ltd. 18,087 1,212,336 0.0%
#* Dongkook Industrial Co., Ltd. 430,132 1,046,520 0.0%
Dongkuk Industries Co., Ltd. 301,515 1,212,824 0.0%
Dongkuk Steel Mill Co., Ltd. 969,675 9,436,267 0.1%
DONGSUNG Corp. 139,024 725,246 0.0%
Dongwha Enterprise Co., Ltd. 488 13,913 0.0%
# Dongwha Pharm Co., Ltd. 56,231 454,295 0.0%
# Dongwon Development Co., Ltd. 171,940 691,982 0.0%
#* Dongwoo Co., Ltd. 14,971 61,180 0.0%
# Dongyang E&P, Inc. 35,199 423,466 0.0%
# Doosan Corp. 109,063 9,311,170 0.1%
#* Doosan Engine Co., Ltd. 112,890 375,809 0.0%
# Doosan Heavy Industries & Construction Co., Ltd. 502,984 10,262,472 0.1%
* Doosan Infracore Co., Ltd. 1,948,868 16,118,611 0.1%
# DRB Holding Co., Ltd. 125,082 1,191,665 0.0%
DY Corp. 260,920 1,597,072 0.0%
# e-LITECOM Co., Ltd. 87,616 739,595 0.0%
E-MART, Inc. 208,708 42,157,496 0.3%
# Eagon Industrial, Ltd. 74,065 663,376 0.0%
# Easy Bio, Inc. 84,313 467,936 0.0%
# Elentec Co., Ltd. 153,388 816,283 0.0%
# Eugene Corp. 666,799 3,446,198 0.0%
#* Eugene Investment & Securities Co., Ltd. 1,113,895 2,958,206 0.0%
Eusu Holdings Co., Ltd. 61,491 377,789 0.0%
# EVERDIGM Corp. 23,542 205,549 0.0%
#* FarmStory Co., Ltd. 386,019 513,563 0.0%
# Fine Technix Co., Ltd. 187,057 463,534 0.0%
Fursys, Inc. 28,479 790,820 0.0%
# Gaon Cable Co., Ltd. 26,323 555,865 0.0%
#* Global Display Co., Ltd. 32,534 98,495 0.0%
# GOLFZONNEWDIN Co., Ltd. 165,816 828,588 0.0%
#* GS Engineering & Construction Corp. 498,408 13,681,112 0.1%
#* GS Global Corp. 703,704 2,020,785 0.0%
GS Holdings Corp. 701,971 36,537,675 0.2%
# Gwangju Shinsegae Co., Ltd. 6,147 1,385,649 0.0%
* Halla Corp. 82,397 328,031 0.0%
# Halla Holdings Corp. 96,354 5,130,043 0.0%
Han Kuk Carbon Co., Ltd. 147,844 864,738 0.0%
Hana Financial Group, Inc. 3,032,933 104,166,099 0.6%
#* Hana Micron, Inc. 108,180 502,549 0.0%
# Handsome Co., Ltd. 128,861 3,550,587 0.0%
Hanil Cement Co., Ltd. 56,106 5,765,851 0.1%
#* Hanjin Heavy Industries & Construction Co., Ltd. 571,915 1,696,808 0.0%
* Hanjin Heavy Industries & Construction Holdings Co., Ltd. 186,144 840,899 0.0%
#* Hanjin Kal Corp. 388,211 6,899,612 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# Hanjin Transportation Co., Ltd. 131,754 $ 3,516,345 0.0%
# Hankuk Glass Industries, Inc. 17,640 406,421 0.0%
# Hankuk Paper Manufacturing Co., Ltd. 37,434 980,059 0.0%
HanmiGlobal Co., Ltd. 13,645 123,360 0.0%
# Hanshin Construction 30,939 499,016 0.0%
#* Hansol Holdings Co., Ltd. 593,005 3,302,873 0.0%
#* Hansol HomeDeco Co., Ltd. 1,003,813 1,462,850 0.0%
Hansol Paper Co., Ltd. 145,933 2,422,574 0.0%
Hanwha Chemical Corp. 1,512,674 33,396,021 0.2%
Hanwha Corp. 740,315 25,971,854 0.2%
#* Hanwha Galleria Timeworld Co., Ltd. 2,375 71,410 0.0%
Hanwha General Insurance Co., Ltd. 306,033 1,992,112 0.0%
* Hanwha Investment & Securities Co., Ltd. 915,980 2,057,737 0.0%
Hanwha Life Insurance Co., Ltd. 2,907,637 15,705,896 0.1%
#* Hanwha Techwin Co., Ltd. 38,768 1,770,385 0.0%
# Hanyang Securities Co., Ltd. 92,428 597,838 0.0%
Harim Holdings Co., Ltd. 145,163 510,468 0.0%
# Heung-A Shipping Co., Ltd. 1,840,719 2,774,931 0.0%
# Hitejinro Holdings Co., Ltd. 120,661 1,176,739 0.0%
# HMC Investment Securities Co., Ltd. 251,228 2,373,128 0.0%
# HS R&A Co., Ltd. 44,440 1,603,183 0.0%
Humax Co., Ltd. 211,718 2,213,289 0.0%
Huons Global Co., Ltd. 16,573 486,566 0.0%
# Huvis Corp. 93,994 625,056 0.0%
# Hwa Shin Co., Ltd. 225,769 1,217,356 0.0%
# Hwacheon Machine Tool Co., Ltd. 14,227 641,203 0.0%
Hwangkum Steel & Technology Co., Ltd. 47,571 355,134 0.0%
HwaSung Industrial Co., Ltd. 81,838 1,055,756 0.0%
Hy-Lok Corp. 30,955 609,008 0.0%
# Hyundai BNG Steel Co., Ltd. 153,741 1,712,695 0.0%
Hyundai Corp Holdings Inc. 7,142 99,404 0.0%
Hyundai Corp. 74,277 1,363,183 0.0%
Hyundai Department Store Co., Ltd. 189,535 18,000,724 0.1%
Hyundai Engineering & Construction Co., Ltd. 766,740 32,660,189 0.2%
# Hyundai Greenfood Co., Ltd. 197,422 2,772,365 0.0%
#* Hyundai Heavy Industries Co., Ltd. 442,172 64,116,689 0.4%
Hyundai Home Shopping Network Corp. 21,521 2,307,562 0.0%
Hyundai Hy Communications & Networks Co., Ltd. 332,588 1,142,426 0.0%
Hyundai Marine & Fire Insurance Co., Ltd. 147,996 4,766,204 0.0%
#* Hyundai Mipo Dockyard Co., Ltd. 107,076 8,702,754 0.1%
Hyundai Mobis Co., Ltd. 577,165 112,559,026 0.6%
Hyundai Motor Co. 1,860,186 235,270,558 1.3%
Hyundai Steel Co. 1,193,372 57,481,229 0.3%
# Hyundai Wia Corp. 216,602 12,348,114 0.1%
Ilji Technology Co., Ltd. 16,833 91,135 0.0%
#* Iljin Display Co., Ltd. 42,044 214,989 0.0%
# Iljin Electric Co., Ltd. 246,467 1,059,402 0.0%
# Iljin Holdings Co., Ltd. 8,540 35,214 0.0%
# Ilshin Spinning Co., Ltd. 18,721 1,940,727 0.0%
# Ilsung Pharmaceuticals Co., Ltd. 9,407 1,095,120 0.0%
iMarketKorea, Inc. 55,884 652,638 0.0%
Industrial Bank of Korea 2,341,087 25,673,700 0.2%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
* InnoWireless, Inc. 1,805 $ 18,708 0.0%
# Intergis Co., Ltd. 49,180 135,505 0.0%
Interpark Holdings Corp. 384,106 1,811,861 0.0%
INTOPS Co., Ltd. 179,814 1,927,298 0.0%
Inzi Controls Co., Ltd. 89,540 420,877 0.0%
# INZI Display Co., Ltd. 244,705 516,349 0.0%
# ISU Chemical Co., Ltd. 141,977 2,133,007 0.0%
# IsuPetasys Co., Ltd. 248,937 1,020,890 0.0%
# Jahwa Electronics Co., Ltd. 82,806 1,199,638 0.0%
# JB Financial Group Co., Ltd. 1,002,970 5,324,320 0.1%
# Kangnam Jevisco Co., Ltd. 37,860 1,263,812 0.0%
KB Capital Co., Ltd. 110,465 2,638,025 0.0%
# KB Financial Group, Inc. 843,489 37,077,592 0.2%
# KB Financial Group, Inc. ADR 2,938,163 127,721,945 0.7%
KB Insurance Co., Ltd. 494,937 14,216,350 0.1%
KC Green Holdings Co., Ltd. 22,570 139,356 0.0%
KCC Corp. 54,579 16,311,898 0.1%
* KEC Corp. 432,094 392,776 0.0%
# Keyang Electric Machinery Co., Ltd. 183,876 884,501 0.0%
# KG Chemical Corp. 71,748 863,620 0.0%
KG Eco Technology Service Co., Ltd. 290,681 840,353 0.0%
# KH Vatec Co., Ltd. 153,792 1,708,882 0.0%
Kia Motors Corp. 3,369,529 103,144,562 0.6%
KISCO Corp. 64,362 2,120,482 0.0%
# KISCO Holdings Co., Ltd. 12,088 680,684 0.0%
# Kishin Corp. 107,298 429,888 0.0%
KISWIRE, Ltd. 89,965 2,986,816 0.0%
#* KleanNara Co., Ltd. 92,415 434,091 0.0%
* KMH Co., Ltd. 40,064 285,807 0.0%
# Kolon Corp. 22,545 1,236,912 0.0%
Kolon Global Corp. 15,746 186,105 0.0%
# Kolon Industries, Inc. 237,409 14,261,295 0.1%
# Komelon Corp. 31,555 288,224 0.0%
* KONA I Co., Ltd. 2,101 17,902 0.0%
# Kook Soon Dang Brewery Co., Ltd. 112,565 637,529 0.0%
# Korea Alcohol Industrial Co., Ltd. 73,930 589,470 0.0%
# Korea Circuit Co., Ltd. 151,297 1,760,223 0.0%
Korea Electric Terminal Co., Ltd. 5,673 354,539 0.0%
Korea Export Packaging Industrial Co., Ltd. 5,290 80,879 0.0%
# Korea Flange Co., Ltd. 67,906 757,539 0.0%
Korea Investment Holdings Co., Ltd. 464,428 20,923,445 0.1%
#* Korea Line Corp. 76,110 1,612,718 0.0%
* Korean Air Lines Co., Ltd. 281,112 7,560,944 0.1%
# Korean Reinsurance Co. 968,873 9,616,770 0.1%
# Kortek Corp. 106,667 1,386,108 0.0%
# KPX Chemical Co., Ltd. 17,052 916,852 0.0%
KSS LINE, Ltd. 78,330 581,242 0.0%
#* KTB Investment & Securities Co., Ltd. 618,542 1,766,125 0.0%
KTCS Corp. 251,689 565,956 0.0%
Ktis Corp. 39,555 123,799 0.0%
Kukdo Chemical Co., Ltd. 58,563 2,470,430 0.0%
Kukdong Oil & Chemicals Co., Ltd. 26,930 87,189 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
#* Kumho Electric Co., Ltd. 44,161 $ 422,932 0.0%
Kumho Industrial Co., Ltd. 12,566 103,267 0.0%
Kumkang Kind Co., Ltd. 7,896 260,496 0.0%
# Kwangju Bank 185,215 1,918,995 0.0%
#* Kyeryong Construction Industrial Co., Ltd. 38,242 590,861 0.0%
Kyobo Securities Co., Ltd. 229,729 1,927,791 0.0%
# Kyung-In Synthetic Corp. 27,261 106,406 0.0%
# Kyungbang, Ltd. 141,679 1,829,533 0.0%
# Kyungchang Industrial Co., Ltd. 28,508 123,865 0.0%
# LEADCORP, Inc. (The) 144,741 909,265 0.0%
LF Corp. 226,717 4,968,483 0.0%
LG Corp. 922,482 54,796,762 0.3%
LG Display Co., Ltd. 1,493,377 38,481,502 0.2%
# LG Display Co., Ltd. ADR 4,048,932 52,109,755 0.3%
# LG Electronics, Inc. 1,692,217 102,723,685 0.6%
LG Hausys, Ltd. 42,196 3,706,080 0.0%
LG International Corp. 233,369 6,661,023 0.1%
LG Uplus Corp. 1,246,868 15,843,267 0.1%
# LMS Co., Ltd. 14,112 138,174 0.0%
# Lotte Chilsung Beverage Co., Ltd. 7,771 11,461,471 0.1%
# Lotte Confectionery Co., Ltd. 16,259 2,926,392 0.0%
LOTTE Fine Chemical Co., Ltd. 85,030 2,876,452 0.0%
Lotte Food Co., Ltd. 3,483 1,962,733 0.0%
LOTTE Himart Co., Ltd. 116,741 5,641,975 0.1%
Lotte Non-Life Insurance Co., Ltd. 342,288 812,205 0.0%
Lotte Shopping Co., Ltd. 123,317 28,438,446 0.2%
LS Corp. 166,539 9,529,501 0.1%
* Lumens Co., Ltd. 291,814 930,118 0.0%
MegaStudy Co., Ltd. 8,108 228,715 0.0%
MegaStudyEdu Co., Ltd. 2,475 92,187 0.0%
Meritz Financial Group, Inc. 61,217 682,905 0.0%
Meritz Fire & Marine Insurance Co., Ltd. 46,753 727,020 0.0%
Meritz Securities Co., Ltd. 1,053,135 3,818,799 0.0%
# Mi Chang Oil Industrial Co., Ltd. 5,785 441,175 0.0%
Mirae Asset Daewoo Co., Ltd. 2,883,733 22,567,406 0.1%
Mirae Asset Life Insurance Co., Ltd. 327,256 1,605,577 0.0%
# MK Electron Co., Ltd. 200,907 1,533,264 0.0%
#* MNTech Co., Ltd. 186,373 999,801 0.0%
Mobase Co., Ltd. 34,746 230,878 0.0%
# Moorim P&P Co., Ltd. 391,856 1,424,968 0.0%
#* Moorim Paper Co., Ltd. 210,130 504,090 0.0%
# Motonic Corp. 77,783 643,203 0.0%
Namyang Dairy Products Co., Ltd. 3,610 2,751,417 0.0%
#* Neowiz 44,731 459,650 0.0%
#* NEOWIZ HOLDINGS Corp. 76,012 1,038,786 0.0%
# Nexen Corp. 209,515 1,518,194 0.0%
NH Investment & Securities Co., Ltd. 2,203,266 25,518,639 0.2%
#* NHN Entertainment Corp. 71,373 3,898,086 0.0%
# Nong Shim Holdings Co., Ltd. 24,191 2,296,166 0.0%
NongShim Co., Ltd. 10,055 2,801,974 0.0%
NOROO Paint & Coatings Co., Ltd. 73,137 522,886 0.0%
# NPC 116,690 668,630 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# OCI Co., Ltd. 161,730 $ 11,205,172 0.1%
Opto Device Technology Co., Ltd. 26,621 214,150 0.0%
* Paik Kwang Industrial Co., Ltd. 23,328 57,044 0.0%
#* Pan Ocean Co., Ltd. 1,075,661 4,918,206 0.0%
Pang Rim Co., Ltd. 3,201 62,569 0.0%
#* PaperCorea, Inc. 340,867 153,008 0.0%
# Poongsan Corp. 350,209 12,004,428 0.1%
Poongsan Holdings Corp. 58,844 2,466,086 0.0%
POSCO 567,616 134,004,439 0.8%
# POSCO Sponsored ADR 1,500,406 88,553,962 0.5%
POSCO Coated & Color Steel Co., Ltd. 15,636 426,523 0.0%
Posco Daewoo Corp. 174,399 3,674,755 0.0%
#* Power Logics Co., Ltd. 285,879 1,324,250 0.0%
# Pyeong Hwa Automotive Co., Ltd. 181,903 2,173,189 0.0%
#* RFTech Co., Ltd. 107,861 629,828 0.0%
#* S&T Dynamics Co., Ltd. 373,066 2,940,655 0.0%
# S&T Holdings Co., Ltd. 111,053 1,531,382 0.0%
# S&T Motiv Co., Ltd. 36,666 1,449,757 0.0%
S-Energy Co., Ltd. 28,801 202,155 0.0%
# Sajo Industries Co., Ltd. 30,402 1,850,747 0.0%
Sam Young Electronics Co., Ltd. 167,169 1,907,826 0.0%
# Sambo Motors Co., Ltd. 14,459 79,032 0.0%
Samho Development Co., Ltd. 130,188 523,905 0.0%
# SAMHWA Paints Industrial Co., Ltd. 45,940 351,310 0.0%
# Samick Musical Instruments Co., Ltd. 292,604 558,703 0.0%
#* Samji Electronics Co., Ltd. 77,899 606,595 0.0%
#* Samjin LND Co., Ltd. 92,054 235,248 0.0%
Samkee Automotive Co., Ltd. 14,490 41,739 0.0%
Sammok S-Form Co., Ltd. 63,150 758,845 0.0%
#* SAMPYO Cement Co., Ltd. 78,703 261,362 0.0%
Samsung Card Co., Ltd. 220,240 7,722,317 0.1%
# Samsung Electro-Mechanics Co., Ltd. 649,685 41,679,914 0.3%
#* Samsung Heavy Industries Co., Ltd. 2,281,752 21,627,407 0.1%
Samsung Life Insurance Co., Ltd. 560,206 53,857,892 0.3%
Samsung SDI Co., Ltd. 445,592 53,793,329 0.3%
Samsung Securities Co., Ltd. 572,940 17,395,975 0.1%
Samyang Corp. 20,901 1,767,896 0.0%
Samyang Holdings Corp. 46,806 5,199,845 0.0%
Samyang Tongsang Co., Ltd. 19,413 936,581 0.0%
#* Samyoung Chemical Co., Ltd. 258,455 385,052 0.0%
# SAVEZONE I&C Corp. 88,237 403,997 0.0%
# SBS Media Holdings Co., Ltd. 480,804 1,208,056 0.0%
Seah Besteel Corp. 210,250 5,155,021 0.0%
# SeAH Holdings Corp. 12,963 1,560,708 0.0%
SeAH Steel Corp. 47,195 4,025,014 0.0%
Sebang Co., Ltd. 149,125 2,028,972 0.0%
Sebang Global Battery Co., Ltd. 76,911 2,534,276 0.0%
# Sejong Industrial Co., Ltd. 157,670 1,299,481 0.0%
Sejoong Co., Ltd. 74,223 275,532 0.0%
Seohee Construction Co., Ltd. 1,238,365 1,425,245 0.0%
Seoyon Co., Ltd. 108,978 966,918 0.0%
Sewon Precision Industry Co., Ltd. 3,019 50,375 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
#* SFA Semicon Co, Ltd. 56,493 $ 117,509 0.0%
#* SG Corp. 59,208 60,303 0.0%
#* SG&G Corp. 346,094 1,184,536 0.0%
Shinhan Financial Group Co., Ltd. 3,333,356 139,172,276 0.8%
# Shinhan Financial Group Co., Ltd. ADR 1,502,802 62,757,011 0.4%
# Shinsegae Information & Communication Co., Ltd. 13,644 897,485 0.0%
# Shinsegae, Inc. 107,142 19,255,954 0.1%
#* Shinsung Tongsang Co., Ltd. 992,618 1,028,727 0.0%
#* Shinwon Corp. 82,700 132,542 0.0%
Shinyoung Securities Co., Ltd. 40,963 1,795,958 0.0%
#* Signetics Corp. 784,046 936,397 0.0%
# Silla Co., Ltd. 64,953 833,619 0.0%
#* SIMMTECH HOLDINGS Co., Ltd. 3,959 11,537 0.0%
SIMPAC, Inc. 57,214 248,117 0.0%
Sindoh Co., Ltd. 57,089 2,633,948 0.0%
SJM Co., Ltd. 11,075 61,487 0.0%
# SK Chemicals Co., Ltd. 148,155 8,197,866 0.1%
# SK Gas, Ltd. 57,310 5,913,178 0.1%
SK Holdings Co., Ltd. 50,712 10,801,753 0.1%
SK Innovation Co., Ltd. 879,496 131,946,353 0.7%
SK Networks Co., Ltd. 1,515,644 10,659,669 0.1%
#* SK Securities Co., Ltd. 2,856,758 3,007,150 0.0%
# SKC Co., Ltd. 263,544 6,631,094 0.1%
SL Corp. 232,076 3,690,696 0.0%
# Ssangyong Cement Industrial Co., Ltd. 315,218 3,691,979 0.0%
#* Ssangyong Information & Communication 84,708 162,610 0.0%
# Sun Kwang Co., Ltd. 24,990 406,156 0.0%
# Sunchang Corp. 50,531 475,176 0.0%
# Sung Kwang Bend Co., Ltd. 148,842 1,378,794 0.0%
# Sungchang Enterprise Holdings, Ltd. 326,002 848,448 0.0%
Sungdo Engineering & Construction Co., Ltd. 76,750 434,896 0.0%
#* Sungshin Cement Co., Ltd. 288,419 1,766,616 0.0%
Sungwoo Hitech Co., Ltd. 522,187 3,399,714 0.0%
# Tae Kyung Industrial Co., Ltd. 120,772 512,332 0.0%
Taekwang Industrial Co., Ltd. 5,092 3,985,600 0.0%
#* Taewoong Co., Ltd. 86,885 2,002,534 0.0%
#* Taeyoung Engineering & Construction Co., Ltd. 608,502 3,377,468 0.0%
Tailim Packaging Co., Ltd. 26,989 72,887 0.0%
#* TBH Global Co., Ltd. 189,414 1,337,271 0.0%
* Thinkware Systems Corp. 55,627 576,456 0.0%
#* TK Chemical Corp. 655,365 1,108,577 0.0%
TK Corp. 97,006 771,976 0.0%
# Tong Yang Moolsan Co., Ltd. 435,710 701,263 0.0%
Tongyang Life Insurance Co., Ltd. 521,662 4,600,729 0.0%
# Top Engineering Co., Ltd. 104,589 668,681 0.0%
# Tovis Co., Ltd. 98,652 711,257 0.0%
# TS Corp. 74,315 1,665,070 0.0%
# Ubiquoss Holdings, Inc. 73,750 433,850 0.0%
#* Ubiquoss, Inc. 23,506 492,678 0.0%
UIL Co., Ltd. 25,593 269,720 0.0%
Uju Electronics Co., Ltd. 51,754 759,024 0.0%
Unid Co., Ltd. 69,683 2,936,380 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SOUTH KOREA -- (Continued)
# Uniquest Corp. 20,797 $ 126,980 0.0%
Visang Education, Inc. 25,961 336,419 0.0%
#* WillBes & Co. (The) 760,995 1,640,299 0.0%
# Wiscom Co., Ltd. 32,980 128,581 0.0%
#* Wonik Holdings Co., Ltd. 139,712 808,290 0.0%
* Woongjin Co., Ltd. 243,455 474,226 0.0%
* Wooree ETI Co., Ltd. 8,436 10,668 0.0%
Woori Bank 2,388,988 31,326,576 0.2%
Woori Bank Sponsored ADR 7,135 283,402 0.0%
Wooshin Systems Co., Ltd. 33,617 172,488 0.0%
# WooSung Feed Co., Ltd. 226,244 787,081 0.0%
# Y G-1 Co., Ltd. 85,796 814,093 0.0%
YESCO Co., Ltd. 32,554 1,053,996 0.0%
# Yoosung Enterprise Co., Ltd. 194,315 773,423 0.0%
# YooSung T&S Co., Ltd. 185,856 779,904 0.0%
Youlchon Chemical Co., Ltd. 148,075 1,730,799 0.0%
# Young Poong Corp. 3,849 3,191,413 0.0%
Young Poong Precision Corp. 126,084 980,344 0.0%
# Youngone Corp. 21,524 640,986 0.0%
Youngone Holdings Co., Ltd. 7,986 372,929 0.0%
#* Yuanta Securities Korea Co., Ltd. 476,080 1,416,061 0.0%
YuHwa Securities Co., Ltd. 28,274 376,131 0.0%
# Zeus Co., Ltd. 46,785 786,897 0.0%
* Zinus, Inc. 810 277,617 0.0%
-------------- ---------------
TOTAL SOUTH KOREA 2,946,061,503 16.2%
-------------- ---------------
TAIWAN -- (15.8%)
# Ability Enterprise Co., Ltd. 2,551,330 1,694,642 0.0%
# AcBel Polytech, Inc. 266,000 206,287 0.0%
# Acer, Inc. 33,748,109 15,928,753 0.1%
# ACES Electronic Co., Ltd. 1,289,000 1,067,154 0.0%
# Achem Technology Corp. 3,395,318 1,175,813 0.0%
#* Advanced Connectek, Inc. 1,938,000 697,116 0.0%
Advanced International Multitech Co., Ltd. 278,000 256,331 0.0%
Advanced Optoelectronic Technology, Inc. 47,000 44,660 0.0%
Advancetek Enterprise Co., Ltd. 20,000 13,264 0.0%
#* AGV Products Corp. 6,395,211 1,595,653 0.0%
# AimCore Technology Co., Ltd. 785,797 688,786 0.0%
# Alcor Micro Corp. 522,000 375,230 0.0%
# Allis Electric Co., Ltd. 1,250,000 430,580 0.0%
# Alpha Networks, Inc. 4,590,313 3,728,583 0.0%
# Altek Corp. 3,767,365 3,353,648 0.0%
# Ambassador Hotel (The) 1,217,000 941,962 0.0%
# AMPOC Far-East Co., Ltd. 1,402,000 1,317,167 0.0%
# AmTRAN Technology Co., Ltd. 10,964,956 7,969,756 0.1%
Apacer Technology, Inc. 249,210 324,078 0.0%
#* APCB, Inc. 2,232,000 2,299,725 0.0%
# Apex International Co., Ltd. 640,000 624,168 0.0%
Apex Science & Engineering 211,536 59,943 0.0%
# Arcadyan Technology Corp. 1,654,675 2,783,693 0.0%
Ardentec Corp. 5,512,058 4,525,358 0.0%
* Arima Communications Corp. 86,000 13,932 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
# Asia Cement Corp. 24,875,589 $24,560,441 0.2%
#* Asia Optical Co., Inc. 3,971,290 7,623,448 0.1%
* Asia Pacific Telecom Co., Ltd. 4,167,000 1,342,495 0.0%
# Asia Plastic Recycling Holding, Ltd. 1,691,585 829,441 0.0%
# Asia Polymer Corp. 5,163,607 3,173,128 0.0%
# Asia Vital Components Co., Ltd. 4,281,984 3,560,464 0.0%
Asustek Computer, Inc. 2,207,000 21,682,405 0.1%
# AU Optronics Corp. 65,843,812 27,365,152 0.2%
# AU Optronics Corp. Sponsored ADR 9,323,617 37,667,413 0.2%
Audix Corp. 1,396,332 1,942,977 0.0%
# Avermedia Technologies 2,505,000 859,059 0.0%
#* Avision, Inc. 1,540,555 365,576 0.0%
# AVY Precision Technology, Inc. 450,680 729,896 0.0%
# Bank of Kaohsiung Co., Ltd. 6,299,617 2,024,937 0.0%
# BenQ Materials Corp. 1,013,000 548,293 0.0%
# BES Engineering Corp. 20,381,443 4,222,570 0.0%
#* Biostar Microtech International Corp. 2,398,055 957,303 0.0%
# Bright Led Electronics Corp. 1,691,000 943,214 0.0%
#* C Sun Manufacturing, Ltd. 2,107,837 1,357,814 0.0%
#* Cameo Communications, Inc. 2,551,197 775,588 0.0%
# Capital Securities Corp. 26,851,447 8,887,840 0.1%
Career Technology MFG. Co., Ltd. 3,167,000 2,128,867 0.0%
#* Carnival Industrial Corp. 4,943,000 858,474 0.0%
# Casetek Holdings, Ltd. 1,424,000 4,220,619 0.0%
# Cathay Chemical Works 812,000 454,764 0.0%
Cathay Financial Holding Co., Ltd. 32,091,000 51,429,438 0.3%
Cathay Real Estate Development Co., Ltd. 9,847,694 6,611,720 0.1%
# Celxpert Energy Corp. 262,000 184,532 0.0%
# Central Reinsurance Co., Ltd. 1,626,016 773,632 0.0%
# ChainQui Construction Development Co., Ltd. 1,248,173 739,685 0.0%
#* Champion Building Materials Co., Ltd. 6,109,828 1,580,536 0.0%
# Chang Hwa Commercial Bank, Ltd. 89,712,937 51,997,174 0.3%
Chang Wah Electromaterials, Inc. 46,800 241,789 0.0%
Channel Well Technology Co., Ltd. 363,000 372,627 0.0%
# Charoen Pokphand Enterprise 2,528,825 4,761,442 0.0%
CHC Healthcare Group 72,000 101,480 0.0%
# Cheng Loong Corp. 13,801,659 6,538,050 0.1%
# Cheng Uei Precision Industry Co., Ltd. 6,662,635 9,353,029 0.1%
Chenming Mold Industry Corp. 148,000 106,245 0.0%
# Chia Chang Co., Ltd. 1,615,000 1,392,261 0.0%
# Chia Hsin Cement Corp. 6,869,191 2,454,484 0.0%
# Chien Kuo Construction Co., Ltd. 4,407,247 1,322,632 0.0%
# Chimei Materials Technology Corp. 2,619,000 1,317,829 0.0%
Chin-Poon Industrial Co., Ltd. 1,479,815 3,016,960 0.0%
China Airlines, Ltd. 47,644,353 14,759,340 0.1%
# China Bills Finance Corp. 950,000 466,021 0.0%
# China Chemical & Pharmaceutical Co., Ltd. 4,137,264 2,556,573 0.0%
China Development Financial Holding Corp. 148,508,734 40,965,970 0.2%
#* China Electric Manufacturing Corp. 3,962,200 1,016,794 0.0%
# China General Plastics Corp. 5,372,370 4,742,023 0.0%
China Glaze Co., Ltd. 1,827,799 732,395 0.0%
China Life Insurance Co., Ltd. 23,814,959 22,174,351 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
# China Man-Made Fiber Corp. 13,030,303 $ 3,416,908 0.0%
# China Metal Products 4,216,969 4,128,082 0.0%
# China Motor Corp. 6,397,749 5,820,814 0.1%
#* China Petrochemical Development Corp. 27,675,397 10,448,596 0.1%
# China Steel Corp. 70,536,320 56,528,776 0.3%
# China Steel Structure Co., Ltd. 1,435,219 1,005,725 0.0%
# China Synthetic Rubber Corp. 8,631,794 8,731,021 0.1%
# China Wire & Cable Co., Ltd. 1,580,600 1,296,947 0.0%
# Chinese Maritime Transport, Ltd. 1,309,270 1,239,526 0.0%
Chipbond Technology Corp. 5,296,000 7,898,210 0.1%
# ChipMOS TECHNOLOGIES, Inc. 1,181,229 1,040,296 0.0%
ChipMOS TECHNOLOGIES, Inc. ADR 37,146 647,826 0.0%
# Chong Hong Construction Co., Ltd. 121,000 282,125 0.0%
# Chun YU Works & Co., Ltd. 3,273,000 1,506,407 0.0%
# Chun Yuan Steel 6,542,287 2,613,450 0.0%
# Chung Hwa Pulp Corp. 6,040,353 2,011,420 0.0%
# Chung-Hsin Electric & Machinery Manufacturing Corp. 5,954,250 3,718,413 0.0%
* Chunghwa Picture Tubes, Ltd. 51,746,412 2,342,704 0.0%
# Clevo Co. 1,390,000 1,272,733 0.0%
#* CMC Magnetics Corp. 38,369,621 4,788,671 0.0%
# CoAsia Microelectronics Corp. 421,797 220,060 0.0%
# Coland Holdings, Ltd. 92,000 122,637 0.0%
# Collins Co., Ltd. 2,011,224 789,616 0.0%
# Compal Electronics, Inc. 72,346,332 48,430,566 0.3%
# Compeq Manufacturing Co., Ltd. 19,439,000 14,302,001 0.1%
# Concord Securities Co., Ltd. 1,769,000 400,749 0.0%
Continental Holdings Corp. 7,049,540 2,547,593 0.0%
# Coretronic Corp. 6,522,800 9,237,323 0.1%
# Coxon Precise Industrial Co., Ltd. 2,059,000 2,090,995 0.0%
Creative Sensor, Inc. 441,000 350,721 0.0%
# CSBC Corp. Taiwan 6,395,654 2,978,050 0.0%
CTBC Financial Holding Co., Ltd. 85,342,073 53,293,168 0.3%
Cyberlink Corp. 19,000 42,187 0.0%
# CyberTAN Technology, Inc. 497,000 324,282 0.0%
# D-Link Corp. 10,842,552 4,505,448 0.0%
# DA CIN Construction Co., Ltd. 2,461,579 1,578,469 0.0%
Da-Li Development Co., Ltd. 58,575 45,224 0.0%
#* Danen Technology Corp. 816,000 187,293 0.0%
# Darfon Electronics Corp. 4,456,950 3,855,693 0.0%
# Darwin Precisions Corp. 6,140,635 2,807,593 0.0%
# Delpha Construction Co., Ltd. 1,614,016 777,976 0.0%
Depo Auto Parts Ind Co., Ltd. 152,000 438,023 0.0%
Dimerco Express Corp. 68,000 52,074 0.0%
#* Dynamic Electronics Co., Ltd. 4,422,324 1,333,835 0.0%
# Dynapack International Technology Corp. 327,000 438,201 0.0%
E Ink Holdings, Inc. 8,353,000 8,520,440 0.1%
* E-Ton Solar Tech Co., Ltd. 3,546,443 1,073,415 0.0%
# E.Sun Financial Holding Co., Ltd. 82,512,960 49,873,408 0.3%
# Edimax Technology Co., Ltd. 3,102,902 1,090,222 0.0%
# Edison Opto Corp. 1,362,000 739,269 0.0%
# Edom Technology Co., Ltd. 515,046 271,452 0.0%
Elite Semiconductor Memory Technology, Inc. 576,000 797,945 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
TAIWAN -- (Continued)
# Elitegroup Computer Systems Co., Ltd. 5,658,395 $ 3,679,895 0.0%
Emerging Display Technologies Corp. 45,000 15,425 0.0%
ENG Electric Co., Ltd. 1,392,344 808,600 0.0%
# EnTie Commercial Bank Co., Ltd. 2,271,232 1,000,830 0.0%
#* Epistar Corp. 13,589,869 13,496,536 0.1%
Eson Precision Ind. Co., Ltd. 119,000 182,719 0.0%
Eternal Materials Co., Ltd. 1,679,292 1,796,879 0.0%
* Etron Technology, Inc. 643,000 259,933 0.0%
Eva Airways Corp. 16,178,548 7,953,787 0.1%
# Everest Textile Co., Ltd. 3,398,002 1,851,818 0.0%
Evergreen International Storage & Transport Corp. 9,327,000 4,231,318 0.0%
* Evergreen Marine Corp. Taiwan, Ltd. 21,417,607 9,445,015 0.1%
Everlight Chemical Industrial Corp. 186,950 121,423 0.0%
# Everlight Electronics Co., Ltd. 1,886,000 2,968,223 0.0%
# Excelsior Medical Co., Ltd. 1,372,726 2,053,839 0.0%
EZconn Corp. 35,000 64,680 0.0%
# Far Eastern Department Stores, Ltd. 8,795,445 4,649,360 0.0%
Far Eastern International Bank 29,351,994 9,191,553 0.1%
Far Eastern New Century Corp. 12,641,528 10,636,549 0.1%
#* Farglory F T Z Investment Holding Co., Ltd. 1,258,000 592,304 0.0%
Farglory Land Development Co., Ltd. 2,615,264 3,544,712 0.0%
# Federal Corp. 7,769,160 3,563,577 0.0%
Feedback Technology Corp. 34,000 65,325 0.0%
# Feng Hsin Steel Co., Ltd. 209,000 353,060 0.0%
* First Copper Technology Co., Ltd. 2,939,750 880,176 0.0%
# First Financial Holding Co., Ltd. 144,043,234 87,846,321 0.5%
# First Hotel 1,594,590 906,364 0.0%
#* First Insurance Co., Ltd. (The) 3,940,064 1,742,814 0.0%
#* First Steamship Co., Ltd. 5,797,173 1,509,608 0.0%
# FocalTech Systems Co., Ltd. 874,000 1,079,397 0.0%
# Formosa Advanced Technologies Co., Ltd. 2,188,000 2,058,381 0.0%
Formosa Oilseed Processing Co., Ltd. 243,977 400,331 0.0%
Formosa Taffeta Co., Ltd. 9,476,511 9,891,131 0.1%
# Formosan Rubber Group, Inc. 7,025,505 3,875,118 0.0%
# Formosan Union Chemical 3,064,034 2,055,785 0.0%
# Fortune Electric Co., Ltd. 443,000 254,568 0.0%
# Founding Construction & Development Co., Ltd. 3,466,418 1,815,045 0.0%
Foxconn Technology Co., Ltd. 8,126,142 24,759,824 0.2%
# Foxlink Image Technology Co., Ltd. 1,568,000 945,945 0.0%
#* Froch Enterprise Co., Ltd. 2,358,734 869,951 0.0%
# FSP Technology, Inc. 1,976,292 1,542,033 0.0%
# Fubon Financial Holding Co., Ltd. 85,935,471 134,525,353 0.8%
# Fulgent Sun International Holding Co., Ltd. 41,922 105,791 0.0%
# Fullerton Technology Co., Ltd. 1,517,200 1,226,789 0.0%
# Fulltech Fiber Glass Corp. 5,152,690 2,646,425 0.0%
# Fwusow Industry Co., Ltd. 2,813,980 1,524,851 0.0%
G Shank Enterprise Co., Ltd. 2,144,902 1,851,215 0.0%
# Gallant Precision Machining Co., Ltd. 858,000 698,382 0.0%
Gemtek Technology Corp. 5,236,962 5,879,066 0.1%
* Genesis Photonics, Inc. 3,437,810 431,164 0.0%
#* Genius Electronic Optical Co., Ltd. 801,000 9,358,678 0.1%
Getac Technology Corp. 3,959,065 5,131,138 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
# Giantplus Technology Co., Ltd. 3,199,100 $ 1,777,903 0.0%
# Gigabyte Technology Co., Ltd. 8,609,287 11,391,218 0.1%
#* Gigastorage Corp. 4,448,600 3,213,826 0.0%
#* Gintech Energy Corp. 8,128,044 4,681,860 0.0%
#* Global Brands Manufacture, Ltd. 4,540,951 1,843,231 0.0%
# Global Lighting Technologies, Inc. 807,000 1,442,966 0.0%
Global Mixed Mode Technology, Inc. 34,000 80,080 0.0%
# Globe Union Industrial Corp. 3,368,625 1,950,813 0.0%
Gloria Material Technology Corp. 6,874,116 4,472,165 0.0%
#* Gold Circuit Electronics, Ltd. 7,433,965 2,729,683 0.0%
# Goldsun Building Materials Co., Ltd. 19,649,261 5,356,277 0.1%
# Good Will Instrument Co., Ltd. 552,746 384,719 0.0%
Grand Ocean Retail Group, Ltd. 244,000 190,032 0.0%
Grand Pacific Petrochemical 14,804,000 9,681,078 0.1%
# Great China Metal Industry 902,000 779,279 0.0%
Great Wall Enterprise Co., Ltd. 6,865,597 6,635,304 0.1%
#* Green Energy Technology, Inc. 3,762,880 1,955,076 0.0%
#* GTM Holdings Corp. 1,918,000 1,111,712 0.0%
# Hannstar Board Corp. 4,712,635 2,692,222 0.0%
#* HannStar Display Corp. 40,927,435 10,996,357 0.1%
* HannsTouch Solution, Inc. 2,284,481 812,101 0.0%
#* Harvatek Corp. 2,874,553 966,709 0.0%
# Hey Song Corp. 2,920,500 3,213,609 0.0%
# Hiroca Holdings, Ltd. 390,000 1,264,649 0.0%
* HiTi Digital, Inc. 127,000 46,942 0.0%
# Hitron Technology, Inc. 1,925,885 1,421,986 0.0%
#* Ho Tung Chemical Corp. 11,315,474 3,381,750 0.0%
# Hocheng Corp. 4,312,300 1,307,425 0.0%
Hold-Key Electric Wire & Cable Co., Ltd. 118,124 32,098 0.0%
# Holy Stone Enterprise Co., Ltd. 3,202,650 4,413,452 0.0%
Hon Hai Precision Industry Co., Ltd. 26,120,240 85,495,761 0.5%
# Hong Pu Real Estate Development Co., Ltd. 3,669,655 2,979,032 0.0%
# Hong TAI Electric Industrial 3,336,000 1,038,568 0.0%
Hong YI Fiber Industry Co. 225,000 167,335 0.0%
#* Horizon Securities Co., Ltd. 5,860,000 1,338,139 0.0%
# Hsin Kuang Steel Co., Ltd. 3,124,124 2,358,242 0.0%
# Hsing TA Cement Co. 1,864,782 630,394 0.0%
#* HTC Corp. 6,559,000 15,738,583 0.1%
#* HUA ENG Wire & Cable Co., Ltd. 6,639,035 1,860,636 0.0%
Hua Nan Financial Holdings Co., Ltd. 59,307,965 33,210,430 0.2%
# Huaku Development Co., Ltd. 1,394,000 3,196,879 0.0%
# Huang Hsiang Construction Corp. 769,000 1,117,933 0.0%
# Hung Ching Development & Construction Co., Ltd. 1,906,468 1,334,624 0.0%
# Hung Sheng Construction, Ltd. 6,339,892 4,053,629 0.0%
# Huxen Corp. 275,281 386,064 0.0%
* Hwacom Systems, Inc. 333,000 135,633 0.0%
#* I-Chiun Precision Industry Co., Ltd. 2,708,000 824,506 0.0%
#* Ichia Technologies, Inc. 1,793,260 1,231,701 0.0%
Ideal Bike Corp. 80,271 29,789 0.0%
# Infortrend Technology, Inc. 1,042,000 576,310 0.0%
# Innolux Corp. 150,377,544 70,187,402 0.4%
Inpaq Technology Co., Ltd. 315,000 208,414 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
# Inventec Corp. 29,557,277 $21,978,751 0.1%
# ITE Technology, Inc. 1,861,479 2,175,909 0.0%
# Jarllytec Co., Ltd. 341,000 613,756 0.0%
Jentech Precision Industrial Co., Ltd. 72,000 166,946 0.0%
Jess-Link Products Co., Ltd. 1,183,000 1,192,658 0.0%
Jih Sun Financial Holdings Co., Ltd. 7,783,814 1,839,663 0.0%
# Jinli Group Holdings, Ltd. 799,200 992,486 0.0%
# K Laser Technology, Inc. 1,672,601 881,209 0.0%
# Kang Na Hsiung Enterprise Co., Ltd. 1,687,078 612,566 0.0%
# Kaulin Manufacturing Co., Ltd. 2,481,656 1,480,639 0.0%
# KEE TAI Properties Co., Ltd. 1,968,000 723,518 0.0%
# Kenmec Mechanical Engineering Co., Ltd. 1,915,000 641,113 0.0%
# Kindom Construction Corp. 5,392,000 3,400,504 0.0%
# King Yuan Electronics Co., Ltd. 15,312,805 13,823,314 0.1%
# King's Town Bank Co., Ltd. 11,404,012 10,956,422 0.1%
* King's Town Construction Co., Ltd. 169,380 134,200 0.0%
#* Kinko Optical Co., Ltd. 1,853,000 2,138,690 0.0%
# Kinpo Electronics 19,633,375 7,346,345 0.1%
# Kinsus Interconnect Technology Corp. 1,580,000 4,106,885 0.0%
# KS Terminals, Inc. 747,880 1,149,793 0.0%
#* Kung Sing Engineering Corp. 3,301,000 1,416,639 0.0%
# Kuo Toong International Co., Ltd. 1,048,160 708,159 0.0%
# Kuoyang Construction Co., Ltd. 7,213,840 3,298,031 0.0%
# Kwong Fong Industries Corp. 1,870,611 1,735,574 0.0%
# KYE Systems Corp. 4,319,909 1,305,841 0.0%
# L&K Engineering Co., Ltd. 2,064,000 2,359,460 0.0%
# LAN FA Textile 3,125,713 809,997 0.0%
LCY Chemical Corp. 1,219,000 1,752,206 0.0%
# Leader Electronics, Inc. 1,966,056 690,458 0.0%
# Lealea Enterprise Co., Ltd. 11,888,941 3,285,769 0.0%
# Ledtech Electronics Corp. 660,000 309,580 0.0%
# LEE CHI Enterprises Co., Ltd. 3,304,900 1,188,164 0.0%
Lelon Electronics Corp. 94,620 130,303 0.0%
# Leofoo Development Co., Ltd. 4,911,908 1,332,779 0.0%
* LES Enphants Co., Ltd. 877,000 319,770 0.0%
# Lextar Electronics Corp. 5,656,000 3,907,577 0.0%
#* Li Peng Enterprise Co., Ltd. 9,168,381 2,447,698 0.0%
# Lien Hwa Industrial Corp. 8,495,147 7,700,724 0.1%
# Lingsen Precision Industries, Ltd. 6,447,480 3,052,849 0.0%
# Lite-On Semiconductor Corp. 3,397,729 3,348,214 0.0%
Lite-On Technology Corp. 29,285,738 51,084,667 0.3%
Long Bon International Co., Ltd. 221,000 121,212 0.0%
# Long Chen Paper Co., Ltd. 10,448,235 9,410,795 0.1%
# Longwell Co. 1,556,000 1,652,613 0.0%
# Lotes Co., Ltd. 749,000 2,890,075 0.0%
# Lucky Cement Corp. 3,294,000 1,051,835 0.0%
# LuxNet Corp. 382,000 436,057 0.0%
* Macronix International 50,810,913 22,633,922 0.1%
# Marketech International Corp. 1,965,000 2,677,012 0.0%
# Masterlink Securities Corp. 17,813,489 4,982,128 0.0%
#* Mayer Steel Pipe Corp. 2,379,456 1,055,846 0.0%
# Maywufa Co., Ltd. 252,070 117,369 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
TAIWAN -- (Continued)
# MediaTek, Inc. 1,577,000 $ 11,335,658 0.1%
# Mega Financial Holding Co., Ltd. 127,434,796 102,304,284 0.6%
# Meiloon Industrial Co. 1,319,084 925,955 0.0%
Mercuries & Associates Holding, Ltd. 2,473,333 1,975,513 0.0%
#* Mercuries Life Insurance Co., Ltd. 6,106,445 3,127,011 0.0%
MIN AIK Technology Co., Ltd. 1,227,000 1,261,349 0.0%
# Mitac Holdings Corp. 9,144,754 9,643,364 0.1%
* Mosel Vitelic, Inc. 1,531,506 200,537 0.0%
#* Motech Industries, Inc. 6,050,000 5,341,022 0.1%
Nan Ren Lake Leisure Amusement Co., Ltd. 1,652,000 440,575 0.0%
# Nan Ya Printed Circuit Board Corp. 3,428,000 3,003,384 0.0%
# Nantex Industry Co., Ltd. 1,703,134 1,317,911 0.0%
#* Neo Solar Power Corp. 5,692,056 2,649,586 0.0%
New Asia Construction & Development Corp. 1,810,304 430,481 0.0%
New Era Electronics Co., Ltd. 203,000 151,597 0.0%
#* Newmax Technology Co., Ltd. 131,000 201,165 0.0%
Nien Hsing Textile Co., Ltd. 4,407,721 3,898,461 0.0%
# Nishoku Technology, Inc. 318,000 864,579 0.0%
* O-TA Precision Industry Co., Ltd. 24,000 9,692 0.0%
* Ocean Plastics Co., Ltd. 194,000 158,215 0.0%
* Optimax Technology Corp. 499,597 69,159 0.0%
OptoTech Corp. 8,601,000 5,060,421 0.0%
* Orient Semiconductor Electronics, Ltd. 1,414,000 460,235 0.0%
Oriental Union Chemical Corp. 181,000 134,892 0.0%
# Pacific Construction Co. 2,487,452 907,837 0.0%
Pan Jit International, Inc. 5,163,837 2,949,189 0.0%
# Pan-International Industrial Corp. 5,339,444 4,975,988 0.0%
# Paragon Technologies Co., Ltd. 952,191 652,130 0.0%
# Pegatron Corp. 25,738,998 75,803,396 0.4%
#* Phihong Technology Co., Ltd. 3,918,882 1,880,402 0.0%
# Portwell, Inc. 939,000 1,206,290 0.0%
Pou Chen Corp. 14,189,550 19,866,162 0.1%
Powertech Industrial Co., Ltd. 124,000 82,697 0.0%
# President Securities Corp. 12,999,351 5,791,586 0.1%
* Prime Electronics & Satellitics, Inc. 406,000 126,134 0.0%
Prince Housing & Development Corp. 5,503,018 2,179,618 0.0%
# Promise Technology, Inc. 790,000 366,498 0.0%
# Qisda Corp. 29,421,171 18,719,421 0.1%
Qualipoly Chemical Corp. 179,756 201,942 0.0%
# Quanta Storage, Inc. 2,472,000 3,101,844 0.0%
#* Quintain Steel Co., Ltd. 4,769,684 1,508,267 0.0%
# Radiant Opto-Electronics Corp. 4,281,000 8,924,120 0.1%
#* Radium Life Tech Co., Ltd. 9,154,124 4,307,235 0.0%
Ralec Electronic Corp. 556,087 1,101,620 0.0%
# Rich Development Co., Ltd. 7,077,054 2,177,708 0.0%
#* Ritek Corp. 25,406,669 4,308,633 0.0%
#* Rotam Global Agrosciences, Ltd. 352,693 384,012 0.0%
* Ruentex Development Co., Ltd. 1,537,000 1,875,604 0.0%
Sampo Corp. 7,078,925 4,341,325 0.0%
San Far Property, Ltd. 71,000 27,851 0.0%
# Sanyang Motor Co., Ltd. 2,020,624 1,436,608 0.0%
# SDI Corp. 454,000 741,073 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
# Sesoda Corp. 1,580,346 $ 1,512,491 0.0%
Shan-Loong Transportation Co., Ltd. 66,000 74,367 0.0%
Sheng Yu Steel Co., Ltd. 1,935,000 2,176,892 0.0%
# ShenMao Technology, Inc. 1,143,000 1,181,981 0.0%
# Shih Her Technologies, Inc. 411,000 405,562 0.0%
* Shih Wei Navigation Co., Ltd. 3,061,288 1,013,643 0.0%
# Shihlin Electric & Engineering Corp. 4,487,000 6,016,266 0.1%
#* Shin Kong Financial Holding Co., Ltd. 135,466,430 36,102,821 0.2%
# Shin Zu Shing Co., Ltd. 995,000 2,757,556 0.0%
* Shining Building Business Co., Ltd. 245,900 86,381 0.0%
# Shinkong Insurance Co., Ltd. 3,577,412 3,009,182 0.0%
# Shinkong Synthetic Fibers Corp. 23,849,754 7,157,004 0.1%
#* Shuttle, Inc. 4,367,015 1,224,942 0.0%
Sigurd Microelectronics Corp. 6,398,047 5,679,517 0.1%
#* Silicon Integrated Systems Corp. 4,978,808 1,109,157 0.0%
# Silitech Technology Corp. 824,803 432,001 0.0%
Simplo Technology Co., Ltd. 317,000 1,060,335 0.0%
Sincere Navigation Corp. 5,160,740 3,584,906 0.0%
Sinher Technology, Inc. 74,000 132,159 0.0%
# Sino-American Silicon Products, Inc. 8,372,000 12,144,995 0.1%
# Sinon Corp. 5,951,877 3,096,075 0.0%
# SinoPac Financial Holdings Co., Ltd. 129,139,250 39,458,129 0.2%
# Sirtec International Co., Ltd. 154,000 235,331 0.0%
# Siward Crystal Technology Co., Ltd. 2,519,875 1,744,476 0.0%
Soft-World International Corp. 39,000 89,038 0.0%
* Solar Applied Materials Technology Co. 2,077,000 774,959 0.0%
#* Solartech Energy Corp. 4,226,165 1,799,953 0.0%
* Solytech Enterprise Corp. 53,000 8,722 0.0%
# Southeast Cement Co., Ltd. 3,220,700 1,728,140 0.0%
# Spirox Corp. 505,563 265,522 0.0%
# Stark Technology, Inc. 1,835,200 1,890,955 0.0%
* Sunko INK Co., Ltd. 52,000 26,708 0.0%
# Sunonwealth Electric Machine Industry Co., Ltd. 440,421 479,997 0.0%
# Sunplus Technology Co., Ltd. 8,499,620 3,390,665 0.0%
Sunrex Technology Corp. 1,682,273 1,055,505 0.0%
# Sunspring Metal Corp. 468,000 697,702 0.0%
# Supreme Electronics Co., Ltd. 4,556,441 3,600,482 0.0%
# Sweeten Real Estate Development Co., Ltd. 1,335,143 624,232 0.0%
Syncmold Enterprise Corp. 68,000 150,735 0.0%
Synnex Technology International Corp. 4,477,550 4,851,626 0.0%
Sysage Technology Co., Ltd. 101,797 99,307 0.0%
Systex Corp. 1,007,801 2,023,874 0.0%
# T-Mac Techvest PCB Co., Ltd. 1,603,000 692,739 0.0%
T3EX Global Holdings Corp. 235,499 168,459 0.0%
# TA Chen Stainless Pipe 9,012,228 4,951,506 0.0%
Ta Chong Securities Co., Ltd. 212,000 77,271 0.0%
#* Ta Ya Electric Wire & Cable 6,888,329 1,425,107 0.0%
# TA-I Technology Co., Ltd. 1,442,170 1,079,109 0.0%
# Tah Hsin Industrial Corp. 1,477,900 1,263,054 0.0%
TAI Roun Products Co., Ltd. 63,000 22,965 0.0%
Tai-Saw Technology Co., Ltd. 37,000 26,229 0.0%
# Taichung Commercial Bank Co., Ltd. 33,735,157 10,953,616 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
Taiflex Scientific Co., Ltd. 452,960 $ 556,428 0.0%
# Tainan Enterprises Co., Ltd. 1,047,183 924,537 0.0%
# Tainan Spinning Co., Ltd. 18,176,485 8,377,297 0.1%
# Tainergy Tech Co., Ltd. 2,022,000 860,766 0.0%
# Taishin Financial Holding Co., Ltd. 134,129,480 55,304,522 0.3%
#* Taisun Enterprise Co., Ltd. 1,776,410 876,961 0.0%
#* Taita Chemical Co., Ltd. 2,217,864 703,256 0.0%
# Taiwan Business Bank 59,157,335 16,347,100 0.1%
# Taiwan Cement Corp. 49,239,440 57,271,254 0.3%
Taiwan Chinsan Electronic Industrial Co., Ltd. 31,000 56,504 0.0%
# Taiwan Cogeneration Corp. 2,535,333 1,941,091 0.0%
Taiwan Cooperative Financial Holding Co., Ltd. 111,878,904 56,910,638 0.3%
Taiwan Fertilizer Co., Ltd. 4,830,000 6,529,441 0.1%
Taiwan Fire & Marine Insurance Co., Ltd. 1,235,000 775,290 0.0%
# Taiwan FU Hsing Industrial Co., Ltd. 562,000 788,214 0.0%
#* Taiwan Glass Industry Corp. 11,843,982 6,048,093 0.1%
Taiwan Hon Chuan Enterprise Co., Ltd. 245,932 509,079 0.0%
# Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,676,000 983,027 0.0%
# Taiwan Land Development Corp. 10,104,322 3,782,907 0.0%
Taiwan Line Tek Electronic 82,771 60,772 0.0%
# Taiwan Mask Corp. 3,154,250 1,734,767 0.0%
Taiwan Navigation Co., Ltd. 1,566,000 655,991 0.0%
# Taiwan PCB Techvest Co., Ltd. 3,774,946 4,036,530 0.0%
#* Taiwan Prosperity Chemical Corp. 903,000 661,919 0.0%
#* Taiwan Pulp & Paper Corp. 6,255,660 2,694,975 0.0%
# Taiwan Sakura Corp. 293,177 340,694 0.0%
Taiwan Semiconductor Co., Ltd. 129,000 170,051 0.0%
Taiwan Styrene Monomer 3,118,647 2,390,808 0.0%
# Taiwan Surface Mounting Technology Corp. 3,032,991 2,691,661 0.0%
# Taiwan TEA Corp. 8,595,092 4,656,751 0.0%
# Taiwan Union Technology Corp. 2,448,000 4,400,965 0.0%
# Taiyen Biotech Co., Ltd. 2,000,217 2,023,919 0.0%
#* Tatung Co., Ltd. 28,642,342 10,468,662 0.1%
Te Chang Construction Co., Ltd. 94,424 69,185 0.0%
Teco Electric and Machinery Co., Ltd. 28,092,725 27,821,182 0.2%
# Test Rite International Co., Ltd. 1,027,266 677,582 0.0%
* Tex-Ray Industrial Co., Ltd. 444,000 151,450 0.0%
# Thinking Electronic Industrial Co., Ltd. 549,000 1,187,867 0.0%
Ton Yi Industrial Corp. 2,918,600 1,411,913 0.0%
# Tong-Tai Machine & Tool Co., Ltd. 3,466,447 2,470,478 0.0%
Topco Scientific Co., Ltd. 257,999 844,056 0.0%
# Topoint Technology Co., Ltd. 2,365,288 2,095,566 0.0%
#* TPK Holding Co., Ltd. 2,613,000 9,335,087 0.1%
Tripod Technology Corp. 2,937,000 8,300,243 0.1%
Tsann Kuen Enterprise Co., Ltd. 134,000 132,368 0.0%
Tung Ho Steel Enterprise Corp. 12,857,274 10,375,013 0.1%
TXC Corp. 806,000 1,187,983 0.0%
# TYC Brother Industrial Co., Ltd. 517,723 533,310 0.0%
* Tycoons Group Enterprise 7,484,938 1,318,315 0.0%
# Tyntek Corp. 2,845,097 1,324,572 0.0%
U-Ming Marine Transport Corp. 878,000 887,966 0.0%
UDE Corp. 51,000 66,941 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
# Unimicron Technology Corp. 23,602,363 $14,533,896 0.1%
# Union Bank Of Taiwan 13,025,837 3,932,405 0.0%
# Unitech Computer Co., Ltd. 1,632,739 982,501 0.0%
# Unitech Printed Circuit Board Corp. 7,735,281 2,911,365 0.0%
# United Microelectronics Corp. 214,984,681 85,938,229 0.5%
# Unity Opto Technology Co., Ltd. 2,072,000 895,777 0.0%
Univacco Technology, Inc. 46,000 31,712 0.0%
# Universal Cement Corp. 5,829,693 5,036,708 0.0%
#* Unizyx Holding Corp. 4,265,000 2,239,092 0.0%
# UPC Technology Corp. 11,852,746 5,082,390 0.0%
# USI Corp. 7,217,691 3,621,249 0.0%
# Usun Technology Co., Ltd. 217,000 390,064 0.0%
# Ve Wong Corp. 1,616,806 1,277,814 0.0%
# Victory New Materials, Ltd. Co. 357,000 591,578 0.0%
Viking Tech Corp. 64,000 42,730 0.0%
#* Wafer Works Corp. 5,977,092 3,740,815 0.0%
Wah Hong Industrial Corp. 395,516 258,940 0.0%
Wah Lee Industrial Corp. 2,043,000 3,357,017 0.0%
# Walsin Lihwa Corp. 43,780,412 19,623,364 0.1%
# Walsin Technology Corp. 7,536,267 14,411,621 0.1%
# Walton Advanced Engineering, Inc. 4,670,853 2,217,894 0.0%
Wan Hai Lines, Ltd. 7,469,000 4,137,730 0.0%
# Waterland Financial Holdings Co., Ltd. 33,341,601 10,222,132 0.1%
Wei Mon Industry Co., Ltd. 3,885,691 21,740 0.0%
# Weikeng Industrial Co., Ltd. 2,145,072 1,229,633 0.0%
# Well Shin Technology Co., Ltd. 1,009,080 1,761,650 0.0%
#* Wha Yu Industrial Co., Ltd. 302,000 206,431 0.0%
# Winbond Electronics Corp. 51,513,885 29,080,236 0.2%
Winstek Semiconductor Co., Ltd. 31,000 26,173 0.0%
Wintek Corp. 20,783,484 236,347 0.0%
# Wisdom Marine Lines Co., Ltd. 2,305,284 2,483,549 0.0%
# Wistron Corp. 42,011,650 39,662,958 0.2%
WPG Holdings, Ltd. 5,619,092 7,123,025 0.1%
WT Microelectronics Co., Ltd. 6,744,751 9,676,245 0.1%
# WUS Printed Circuit Co., Ltd. 4,106,928 2,488,397 0.0%
# XinTec, Inc. 457,000 683,972 0.0%
# Yageo Corp. 5,458,590 19,266,547 0.1%
* Yang Ming Marine Transport Corp. 18,804,676 3,833,110 0.0%
# YC Co., Ltd. 5,461,978 2,397,552 0.0%
# YC INOX Co., Ltd. 4,764,833 3,887,013 0.0%
Yea Shin International Development Co., Ltd. 286,830 131,167 0.0%
# Yeong Guan Energy Technology Group Co., Ltd. 603,000 1,826,530 0.0%
# YFY, Inc. 20,003,847 7,089,657 0.1%
# Yi Jinn Industrial Co., Ltd. 2,878,142 987,199 0.0%
#* Yieh Phui Enterprise Co., Ltd. 17,825,384 7,289,638 0.1%
#* Young Fast Optoelectronics Co., Ltd. 1,696,000 685,040 0.0%
Young Optics, Inc. 98,000 125,394 0.0%
# Youngtek Electronics Corp. 890,047 1,329,316 0.0%
Yuanta Financial Holding Co., Ltd. 130,029,918 55,596,631 0.3%
# Yulon Motor Co., Ltd. 12,352,572 11,175,342 0.1%
# Yung Chi Paint & Varnish Manufacturing Co., Ltd. 230,687 627,007 0.0%
# Zenitron Corp. 3,054,000 1,872,454 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
TAIWAN -- (Continued)
Zhen Ding Technology Holding, Ltd. 2,434,000 $ 5,691,539 0.1%
# Zig Sheng Industrial Co., Ltd. 6,866,352 2,116,022 0.0%
# Zinwell Corp. 451,000 481,594 0.0%
# ZongTai Real Estate Development Co., Ltd. 708,844 474,184 0.0%
-------------- ---------------
TOTAL TAIWAN 2,933,687,114 16.2%
-------------- ---------------
THAILAND -- (2.9%)
AAPICO Hitech PCL(B013KZ2) 63,300 28,914 0.0%
AAPICO Hitech PCL(B013L48) 681,760 311,414 0.0%
AJ Plast PCL 1,441,800 596,061 0.0%
Amata Corp. PCL 2,978,590 1,481,114 0.0%
AP Thailand PCL 21,096,030 4,848,611 0.0%
Asia Aviation PCL 3,190,000 571,784 0.0%
Asia Plus Group Holdings PCL 5,164,800 522,602 0.0%
Bangchak Corp. PCL 8,628,100 7,982,053 0.1%
Bangkok Airways PCL 1,154,700 677,664 0.0%
Bangkok Bank PCL 1,838,300 9,539,603 0.1%
Bangkok Insurance PCL 212,828 2,171,965 0.0%
Bangkok Land PCL 127,751,296 6,906,474 0.1%
Bangkok Ranch PCL 203,100 37,285 0.0%
Banpu PCL 19,467,950 10,806,147 0.1%
Cal-Comp Electronics Thailand PCL Class F 31,673,514 2,600,543 0.0%
Charoen Pokphand Foods PCL 17,180,500 13,286,452 0.1%
Charoong Thai Wire & Cable PCL Class F 1,255,800 377,575 0.0%
Eastern Water Resources Development and Management PCL Class F 1,351,100 457,007 0.0%
* G J Steel PCL 27,256,975 252,161 0.0%
Golden Land Property Development PCL 269,000 54,827 0.0%
Hana Microelectronics PCL 4,034,100 4,956,613 0.0%
ICC International PCL 2,663,700 2,887,793 0.0%
IRPC PCL 105,496,300 17,079,482 0.1%
Jasmine International PCL 2,160,700 537,208 0.0%
Kang Yong Electric PCL 8,200 128,488 0.0%
Kasikornbank PCL 642,000 3,433,651 0.0%
KGI Securities Thailand PCL 10,808,900 1,187,448 0.0%
Khon Kaen Sugar Industry PCL 5,763,954 899,837 0.0%
Kiatnakin Bank PCL 3,579,800 7,063,352 0.1%
Krung Thai Bank PCL 54,151,600 30,997,447 0.2%
Laguna Resorts & Hotels PCL 1,022,500 812,916 0.0%
Lanna Resources PCL 846,100 313,099 0.0%
LH Financial Group PCL 9,007,546 458,320 0.0%
LPN Development PCL 1,795,500 607,324 0.0%
MBK PCL 194,900 84,519 0.0%
* MCOT PCL 1,028,300 398,358 0.0%
Millcon Steel PCL 2,482,900 117,721 0.0%
MK Real Estate Development PCL 2,855,400 338,454 0.0%
Nation Multimedia Group PCL 2,644,800 72,638 0.0%
* Polyplex Thailand PCL 3,516,725 1,494,532 0.0%
* Precious Shipping PCL 7,910,150 2,161,056 0.0%
Property Perfect PCL 36,884,900 981,038 0.0%
Pruksa Holding PCL 60,000 39,029 0.0%
PTT Exploration & Production PCL 20,787,100 58,443,061 0.3%
PTT Global Chemical PCL 16,210,841 35,149,265 0.2%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
THAILAND -- (Continued)
PTT PCL 18,654,500 $209,788,971 1.2%
Quality Houses PCL 28,488,597 2,108,436 0.0%
* Regional Container Lines PCL 5,520,300 1,037,350 0.0%
Rojana Industrial Park PCL 2,622,473 451,105 0.0%
Saha Pathana Inter-Holding PCL 2,801,300 3,360,912 0.0%
Saha Pathanapibul PCL 1,594,833 2,201,598 0.0%
Saha-Union PCL 2,685,500 3,066,703 0.0%
* Sahaviriya Steel Industries PCL 90,527,440 24,601 0.0%
Sansiri PCL 101,824,666 6,181,896 0.0%
SC Asset Corp PCL 33,223,653 3,380,956 0.0%
Siam Future Development PCL 6,903,546 1,237,409 0.0%
Siamgas & Petrochemicals PCL 6,682,400 2,472,816 0.0%
Somboon Advance Technology PCL 3,269,800 1,503,030 0.0%
Sri Ayudhya Capital PCL 85,100 79,958 0.0%
Sri Trang Agro-Industry PCL 6,352,700 3,305,828 0.0%
Srithai Superware PCL 19,628,100 1,168,947 0.0%
Star Petroleum Refining PCL 32,400 12,364 0.0%
STP & I PCL 892,700 250,338 0.0%
* Tata Steel Thailand PCL 48,610,300 1,363,168 0.0%
* Thai Airways International PCL 12,615,111 6,236,438 0.1%
Thai Oil PCL 8,361,100 18,854,172 0.1%
Thai Rayon PCL 58,700 80,184 0.0%
Thai Stanley Electric PCL 43,100 255,435 0.0%
Thai Stanley Electric PCL Class F 174,600 1,034,779 0.0%
Thai Wacoal PCL 85,000 113,038 0.0%
Thaicom PCL 2,607,400 1,371,919 0.0%
Thanachart Capital PCL 7,913,000 10,809,172 0.1%
Thitikorn PCL 1,429,500 446,331 0.0%
Thoresen Thai Agencies PCL 9,334,478 2,469,224 0.0%
Tisco Financial Group PCL 1,455,200 3,207,835 0.0%
TMB Bank PCL 43,676,800 2,878,956 0.0%
TPI Polene PCL 66,626,840 4,507,280 0.0%
Univentures PCL 96,200 19,329 0.0%
Vinythai PCL 6,229,617 3,692,025 0.0%
------------ ---------------
TOTAL THAILAND 533,125,408 2.9%
------------ ---------------
TURKEY -- (1.3%)
Adana Cimento Sanayii TAS Class A 484,964 951,597 0.0%
Akbank TAS 11,761,150 31,479,413 0.2%
#* Akenerji Elektrik Uretim A.S. 3,818,763 967,538 0.0%
# Alarko Holding A.S. 1,215,219 1,945,953 0.0%
# Albaraka Turk Katilim Bankasi A.S. 3,428,318 1,196,382 0.0%
Anadolu Anonim Turk Sigorta Sirketi 4,147,632 2,920,586 0.0%
#* Anadolu Cam Sanayii A.S. 3,460,015 3,523,595 0.0%
#* Bagfas Bandirma Gubre Fabrikalari A.S. 152,054 460,481 0.0%
Baticim Bati Anadolu Cimento Sanayii A.S. 470,159 872,499 0.0%
Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 881,837 2,467,729 0.0%
* Boyner Perakende Ve Tekstil Yatirimlari A.S. 32,411 436,375 0.0%
#* Dogan Sirketler Grubu Holding A.S. 16,723,595 3,481,410 0.0%
# Eczacibasi Yatirim Holding Ortakligi A.S. 402,709 1,170,813 0.0%
EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve
Ticaret A.S. 1,908,942 2,278,541 0.0%
Enka Insaat ve Sanayi A.S. 1 1 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
TURKEY -- (Continued)
# Global Yatirim Holding A.S. 2,120,952 $ 1,755,907 0.0%
#* Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 58,943 38,169 0.0%
# GSD Holding AS 4,848,029 819,391 0.0%
#* Ihlas Holding A.S. 12,231,874 1,514,239 0.0%
#* Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S. 1,550,008 834,150 0.0%
* Is Finansal Kiralama A.S. 2,751,325 890,329 0.0%
Is Yatirim Menkul Degerler A.S. Class A 515,160 182,715 0.0%
#* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 1,827,392 797,093 0.0%
#* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 3,279,916 1,218,144 0.0%
#* Koza Anadolu Metal Madencilik Isletmeleri A.S. 1,500,350 867,622 0.0%
#* Metro Ticari ve Mali Yatirimlar Holding A.S. 3,616,994 1,221,750 0.0%
* NET Holding A.S. 13,395 9,617 0.0%
# Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 702,352 518,179 0.0%
#* Pegasus Hava Tasimaciligi A.S. 325,850 1,462,218 0.0%
Pinar Entegre Et ve Un Sanayi A.S. 256,138 750,543 0.0%
Pinar SUT Mamulleri Sanayii A.S. 77,164 332,322 0.0%
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 1,453,569 1,551,194 0.0%
#* Sekerbank TAS 6,274,311 2,119,636 0.0%
Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 2,436,128 2,483,314 0.0%
Tekfen Holding A.S. 63,960 164,851 0.0%
Trakya Cam Sanayii A.S. 6,177,837 5,982,764 0.1%
# Turcas Petrol A.S. 195,565 112,240 0.0%
#* Turk Hava Yollari AO 7,114,583 12,133,964 0.1%
# Turkiye Garanti Bankasi A.S. 14,090,688 38,037,146 0.2%
# Turkiye Halk Bankasi A.S. 6,898,361 22,871,331 0.2%
# Turkiye Is Bankasi Class C 23,276,283 45,936,535 0.3%
Turkiye Sinai Kalkinma Bankasi A.S. 10,010,378 4,252,078 0.0%
Turkiye Sise ve Cam Fabrikalari A.S. 13,109,716 16,456,978 0.1%
# Turkiye Vakiflar Bankasi TAO Class D 9,665,839 16,511,592 0.1%
* Vestel Elektronik Sanayi ve Ticaret A.S. 50,010 102,533 0.0%
#* Yapi ve Kredi Bankasi A.S. 9,337,265 11,326,662 0.1%
#* Zorlu Enerji Elektrik Uretim A.S. 833,803 272,155 0.0%
--------------- ---------------
TOTAL TURKEY 247,680,274 1.4%
--------------- ---------------
TOTAL COMMON STOCKS 17,332,288,891 95.5%
--------------- ---------------
PREFERRED STOCKS -- (3.1%)
BRAZIL -- (3.0%)
Banco ABC Brasil SA 1,533,423 8,609,063 0.1%
Banco do Estado do Rio Grande do Sul SA Class B 1,900,868 8,510,053 0.1%
* Banco Pan SA 1,793,392 1,062,232 0.0%
Banco Pine SA 427,430 491,523 0.0%
Cia Brasileira de Distribuicao 1,592,059 35,988,795 0.2%
Cia Ferro Ligas da Bahia - FERBASA 972,034 3,304,374 0.0%
Eucatex SA Industria e Comercio 353,288 385,116 0.0%
Marcopolo SA 4,407,645 3,332,760 0.0%
* Petroleo Brasileiro SA 9,164,125 40,334,218 0.2%
#* Petroleo Brasileiro SA Sponsored ADR 17,415,408 152,036,512 0.8%
* Randon SA Implementos e Participacoes 2,784,800 4,123,615 0.0%
Suzano Papel e Celulose SA Class A 7,764,266 32,803,140 0.2%
Unipar Carbocloro SA Class B 925,874 2,266,517 0.0%
* Usinas Siderurgicas de Minas Gerais SA Class A 5,598,668 7,514,162 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- --------------- ---------------
BRAZIL -- (Continued)
Vale SA 21,243,518 $ 175,754,882 1.0%
# Vale SA Sponsored ADR 9,567,563 78,549,692 0.4%
--------------- ---------------
TOTAL BRAZIL 555,066,654 3.1%
--------------- ---------------
COLOMBIA -- (0.1%)
Avianca Holdings SA 1,098,369 993,087 0.0%
Grupo Argos SA 257,330 1,670,633 0.0%
Grupo de Inversiones Suramericana SA 1,042,360 13,343,058 0.1%
--------------- ---------------
TOTAL COLOMBIA 16,006,778 0.1%
--------------- ---------------
INDIA -- (0.0%)
Vedanta, Ltd. 332,631,799 3,115,353 0.0%
--------------- ---------------
TOTAL PREFERRED STOCKS 574,188,785 3.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
* Iochpe Maxion SA Warrants 6/3/19 35,327 66,557 0.0%
--------------- ---------------
CHINA -- (0.0%)
* Bank of Comm Ass Ent Rights 5/31/17 92,939 -- 0.0%
--------------- ---------------
INDONESIA -- (0.0%)
* Sentul City Rights 4/13/17 48,284,460 -- 0.0%
--------------- ---------------
MALAYSIA -- (0.0%)
* Land & General Bhd Rights 5/2/17 23,107,520 266,154 0.0%
* MKH Bhd Rights 5/19/17 320,136 400,447 0.0%
--------------- ---------------
TOTAL MALAYSIA 666,601 0.0%
--------------- ---------------
PHILIPPINES -- (0.0%)
* China Banking Corp. Rights 5/5/17 124,730 10,735 0.0%
--------------- ---------------
POLAND -- (0.0%)
* Hawe SA Rights 952,876 -- 0.0%
--------------- ---------------
TAIWAN -- (0.0%)
* E.Sun Finianical Holding Co. Rights 5/2/17 4,942,080 532,357 0.0%
* First Steamship Rights 5/8/17 3,251,191 26,940 0.0%
--------------- ---------------
TOTAL TAIWAN 559,297 0.0%
--------------- ---------------
TOTAL RIGHTS/WARRANTS 1,303,190 0.0%
--------------- ---------------
TOTAL INVESTMENT SECURITIES 17,907,780,866
---------------
VALUE+
---------------
SECURITIES LENDING COLLATERAL -- (3.6%)
(S)@ DFA Short Term Investment Fund 58,485,898 676,857,303 3.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%) (Cost $17,425,494,539) $18,584,638,169 102.4%
=============== ===============
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of April 30, 2017, 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 $ 839,105,667 -- -- $ 839,105,667
Chile 76,990,845 $ 193,187,513 -- 270,178,358
China 254,898,716 2,648,662,359 -- 2,903,561,075
Colombia 37,369,397 -- -- 37,369,397
Czech Republic -- 45,438,831 -- 45,438,831
Greece -- 5,026,537 -- 5,026,537
Hong Kong -- 657,362 -- 657,362
Hungary -- 75,633,104 -- 75,633,104
India 159,688,869 2,292,787,122 -- 2,452,475,991
Indonesia 2,902,682 522,606,515 -- 525,509,197
Malaysia 102,312 597,759,706 -- 597,862,018
Mexico 830,280,155 -- -- 830,280,155
Philippines -- 196,045,242 -- 196,045,242
Poland -- 308,694,396 -- 308,694,396
Russia 35,825,591 317,527,492 -- 353,353,083
South Africa 123,948,223 1,106,595,956 -- 1,230,544,179
South Korea 331,918,753 2,614,142,750 -- 2,946,061,503
Taiwan 38,315,239 2,895,371,875 -- 2,933,687,114
Thailand 533,100,807 24,601 -- 533,125,408
Turkey -- 247,680,274 -- 247,680,274
Preferred Stocks
Brazil 555,066,654 -- -- 555,066,654
Colombia 16,006,778 -- -- 16,006,778
India -- 3,115,353 -- 3,115,353
Rights/Warrants
Brazil -- 66,557 -- 66,557
Malaysia -- 666,601 -- 666,601
Philippines -- 10,735 -- 10,735
Taiwan -- 559,297 -- 559,297
Securities Lending Collateral -- 676,857,303 -- 676,857,303
Futures Contracts** 2,820,931 -- -- 2,820,931
-------------- --------------- ------- ---------------
TOTAL $3,838,341,619 $14,749,117,481 -- $18,587,459,100
============== =============== ======= ===============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
(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 Co-Principal Executive
Officers 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 Co-Principal
Executive Officers and the Principal Financial Officer, recognizes
that any set of controls and procedures, no matter how well designed
and operated, can provide only reasonable assurance of achieving the
desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second
fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Emerging Markets Value Fund
By: /s/ Eduardo A. Repetto
----------------------------------------
Eduardo A. Repetto
Trustee, Co-Chief Executive Officer
and Co-Chief Investment Officer
Date: July 7, 2017
By: /s/ David P. Butler
----------------------------------------
David P. Butler
Co-Chief Executive Officer
Date: July 7, 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/ Eduardo A. Repetto
----------------------------------------
Eduardo A. Repetto
Co-Principal Executive Officer
Dimensional Emerging Markets Value Fund
Date: July 7, 2017
By: /s/ David P. Butler
----------------------------------------
David P. Butler
Co-Principal Executive Officer
Dimensional Emerging Markets Value Fund
Date: July 7, 2017
By: /s/ Gregory K. Hinkle
----------------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Emerging Markets Value Fund
Date: July 7, 2017