================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-6067
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DIMENSIONAL INVESTMENT GROUP INC.
(EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)
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6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES)(ZIP CODE)
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CATHERINE L. NEWELL, ESQUIRE, PRESIDENT AND GENERAL COUNSEL
DIMENSIONAL INVESTMENT GROUP INC.,
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(NAME AND ADDRESS OF AGENT FOR SERVICE)
-----------------
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400
DATE OF FISCAL YEAR END: OCTOBER 31
DATE OF REPORTING PERIOD: 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
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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
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2017 (Unaudited)
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio II
DFA International Value Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
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/ /s/ Eduardo A. Repetto
David Butler Eduardo Repetto
CO-CHIEF EXECUTIVE CO-CHIEF EXECUTIVE
OFFICER AND HEAD OF OFFICER AND CO-CHIEF
GLOBAL FINANCIAL ADVISOR INVESTMENT OFFICER
SERVICES
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........... 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses....................... 2
Disclosure of Portfolio Holdings.................. 4
Schedules of Investments.......................... 5
U.S. Large Cap Value Portfolio II............. 5
DFA International Value Portfolio II.......... 5
Statements of Assets and Liabilities.............. 6
Statements of Operations.......................... 7
Statements of Changes in Net Assets............... 8
Financial Highlights.............................. 9
Notes to Financial Statements..................... 10
Section 19(a) Notice.............................. 16
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses....................... 17
Disclosure of Portfolio Holdings.................. 19
Summary Schedules of Portfolio Holdings........... 20
The U.S. Large Cap Value Series............... 20
The DFA International Value Series............ 23
Statements of Assets and Liabilities.............. 27
Statements of Operations.......................... 28
Statements of Changes in Net Assets............... 29
Financial Highlights.............................. 30
Notes to Financial Statements..................... 31
VOTING PROXIES ON FUND PORTFOLIO SECURITIES.......... 40
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS... 41
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
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*
--------- --------- ---------- --------
U.S. LARGE CAP VALUE PORTFOLIO II**
-----------------------------------
Actual Fund Return.................. $1,000.00 $1,152.40 0.14% $0.75
Hypothetical 5% Annual Return....... $1,000.00 $1,024.10 0.14% $0.70
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*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO II**
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,113.20 0.47% $2.46
Hypothetical 5% Annual Return.......... $1,000.00 $1,022.46 0.47% $2.36
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (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).
3
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).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
U.S. Large Cap Value Portfolio II..... 100.0%
DFA International Value Portfolio II.. 100.0%
4
SCHEDULES OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
U.S. LARGE CAP VALUE PORTFOLIO II
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $166,982,612
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$95,165,423)........................................... $166,982,612
============
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).
DFA INTERNATIONAL VALUE PORTFOLIO II
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $12,314,307
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $13,003,610)................................ $12,314,307
===========
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.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. LARGE CAP DFA INTERNATIONAL
VALUE PORTFOLIO II VALUE PORTFOLIO II
------------------ ------------------
ASSETS:
Investments in Affiliated Investment Company at Value.......................... $ 166,983 $ 12,314
Receivables:
Prepaid Expenses and Other Assets.............................................. 8 7
------------ ------------
Total Assets.............................................................. 166,991 12,321
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed......................................................... 267 --
Due to Advisor............................................................... 1 --
Accrued Expenses and Other Liabilities......................................... 13 10
------------ ------------
Total Liabilities......................................................... 281 10
------------ ------------
NET ASSETS..................................................................... $ 166,710 $ 12,311
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................................ 9,265,078 2,570,162
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE....................... $ 17.99 $ 4.79
============ ============
Investments in Affiliated Investment Company at Cost........................... $ 95,165 $ 13,004
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................ $ 86,823 $ 15,247
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... 309 19
Accumulated Net Realized Gain (Loss)........................................... 7,760 (2,257)
Net Unrealized Foreign Exchange Gain (Loss).................................... -- (8)
Net Unrealized Appreciation (Depreciation)..................................... 71,818 (690)
NET ASSETS..................................................................... $ 166,710 $ 12,311
============ ============
(1) NUMBER OF SHARES AUTHORIZED................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA
U.S. LARGE INTERNATIONAL
CAP VALUE VALUE
PORTFOLIO II* PORTFOLIO II*
------------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0 and $16, respectively)................... $ 1,878 $ 188
Income from Securities Lending.......................................................... 9 6
Expenses Allocated from Affiliated Investment Company................................... (93) (13)
------- ------
Total Investment Income................................................................ 1,794 181
------- ------
FUND EXPENSES
Investment Management Fees................................................................ 93 13
Accounting & Transfer Agent Fees.......................................................... 2 2
Filing Fees............................................................................... 10 9
Shareholders' Reports..................................................................... 6 3
Directors'/Trustees' Fees & Expenses...................................................... 1 --
Legal Fees................................................................................ 2 1
Other..................................................................................... 1 --
------- ------
Total Expenses......................................................................... 115 28
------- ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. (84) (12)
------- ------
Net Expenses........................................................................... 31 16
------- ------
NET INVESTMENT INCOME (LOSS).............................................................. 1,763 165
------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................ 7,630 597
Futures................................................................................. 103 9
Foreign Currency Transactions........................................................... -- (4)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................................. 13,424 642
Futures................................................................................. 6 (80)
Translation of Foreign Currency Denominated Amounts..................................... -- 1
------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... 21,163 1,165
------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $22,926 $1,330
======= ======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP VALUE DFA INTERNATIONAL VALUE
PORTFOLIO II PORTFOLIO II
-------------------- ---------------------
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)...................................... $ 1,763 $ 3,565 $ 165 $ 3,694
Net Realized Gain (Loss) on:
Investment Securities Sold*..................................... 7,630 6,535 597 (2,900)
Futures......................................................... 103 163 9 83
Foreign Currency Transactions................................... -- -- (4) 67
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... 13,424 (3,496) 642 (1,334)
Futures......................................................... 6 (27) (80) (25)
Translation of Foreign Currency Denominated Amounts............. -- -- 1 (9)
-------- -------- ------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................... 22,926 6,740 1,330 (424)
-------- -------- ------- ---------
Distributions From:
Net Investment Income............................................. (1,784) (3,716) (677) (3,722)
Net Long-Term Gains............................................... (4,824) -- -- (3,128)
-------- -------- ------- ---------
Total Distributions............................................ (6,608) (3,716) (677) (6,850)
-------- -------- ------- ---------
Capital Share Transactions (1):
Shares Issued..................................................... 10,128 12,608 115 10,487
Shares Issued in Lieu of Cash Distributions....................... 6,608 3,716 677 6,850
Shares Redeemed................................................... (17,515) (25,914) (1,195) (108,370)
-------- -------- ------- ---------
Net Increase (Decrease) from Capital Share Transactions........ (779) (9,590) (403) (91,033)
-------- -------- ------- ---------
Total Increase (Decrease) in Net Assets........................ 15,539 (6,566) 250 (98,307)
NET ASSETS
Beginning of Period............................................... 151,171 157,737 12,061 110,368
-------- -------- ------- ---------
End of Period..................................................... $166,710 $151,171 $12,311 $ 12,061
======== ======== ======= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................................... 572 816 25 2,421
Shares Issued in Lieu of Cash Distributions....................... 376 238 151 1,578
Shares Redeemed................................................... (992) (1,669) (253) (24,035)
-------- -------- ------- ---------
Net Increase (Decrease) from Shares Issued and Redeemed........ (44) (615) (77) (20,036)
======== ======== ======= =========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)................................................. $ 309 $ 330 $ 19 $ 531
----------
* Net of foreign capital gain taxes withheld of $ 0, $0, $ 0 and $0,
respectively.
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO II
-------------------------------------------------------------- -------------
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............... $ 16.24 $ 15.90 $ 16.04 $ 14.13 $ 10.62 $ 9.18 $ 4.56
-------- -------- -------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.18 0.37 0.35 0.28 0.24 0.21 0.06
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 2.28 0.36 (0.15) 1.91 3.51 1.43 0.44
-------- -------- -------- -------- -------- -------- -------
Total from Investment Operations................ 2.46 0.73 0.20 2.19 3.75 1.64 0.50
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.19) (0.39) (0.34) (0.28) (0.24) (0.20) (0.27)
Net Realized Gains............................... (0.52) -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------
Total Distributions............................. (0.71) (0.39) (0.34) (0.28) (0.24) (0.20) (0.27)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 17.99 $ 16.24 $ 15.90 $ 16.04 $ 14.13 $ 10.62 $ 4.79
=================================================== =========== ======== ======== ======== ======== ======== ===========
Total Return....................................... 15.24%(C) 4.68% 1.33% 15.59% 35.70% 18.14% 11.32%(C)
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $166,710 $151,171 $157,737 $174,103 $155,709 $115,791 $12,311
Ratio of Expenses to Average Net Assets (B)........ 0.14%(D) 0.15% 0.15% 0.16% 0.17% 0.17% 0.47%(D)
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor) (B).. 0.24%(D) 0.25% 0.18% 0.16% 0.17% 0.17% 0.67%(D)
Ratio of Net Investment Income to Average Net
Assets (B)........................................ 2.10%(D) 2.37% 2.16% 1.86% 1.93% 2.10% 2.75%(D)
----------------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO II
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period............... $ 4.87 $ 5.42 $ 5.99 $ 5.21 $ 5.55
------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.16 0.17 0.26 0.17 0.19
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... (0.17) (0.45) (0.30) 1.17 (0.06)
------- -------- -------- -------- -------
Total from Investment Operations................ (0.01) (0.28) (0.04) 1.34 0.13
-----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.16) (0.16) (0.26) (0.18) (0.19)
Net Realized Gains............................... (0.14) (0.11) (0.27) (0.38) (0.28)
------- -------- -------- -------- -------
Total Distributions............................. (0.30) (0.27) (0.53) (0.56) (0.47)
-----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 4.56 $ 4.87 $ 5.42 $ 5.99 $ 5.21
=================================================== ======== ======== ======== ======== ========
Total Return....................................... 0.22% (5.26)% (0.87)% 28.01% 3.27%
-----------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $12,061 $110,368 $110,059 $113,231 $94,269
Ratio of Expenses to Average Net Assets (B)........ 0.27% 0.27% 0.28% 0.29% 0.30%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor) (B).. 0.47% 0.32% 0.28% 0.29% 0.30%
Ratio of Net Investment Income to Average Net
Assets (B)........................................ 3.66% 3.26% 4.47% 3.08% 3.69%
-----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
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 offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fourteen portfolios, two
of which, U.S. Large Cap Value Portfolio II and DFA International Value
Portfolio II (the "Portfolios"), are presented in this report. The remaining
portfolios are presented in separate reports. The Portfolios are investment
companies, and accordingly, follow the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
U.S. Large Cap Value Portfolio II and DFA International Value Portfolio II
primarily invest their assets in The U.S. Large Cap Value Series and The DFA
International Value Series (the "Series"), respectively, each a corresponding
series of The DFA Investment Trust Company. At April 30, 2017, U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II owned 1% and less
than 1% of their respective Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolios.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
10
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 Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
is treated as a partnership for federal income tax purposes. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
During the six months ended April 30, 2017, the U.S. Large Cap Value
Portfolio II's and DFA International Value Portfolio II's investment management
fees were accrued daily and paid monthly to the Advisor based on effective
annual rates of 0.11% and 0.21%, respectively, of each Portfolio's average
daily net assets. Waived fees/expenses assumed during the six months ended
April 30, 2017 are reflected below (amounts in thousands).
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of each Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by a
Portfolio, including the proportionate share of the management fees a Portfolio
pays indirectly through its investment in other funds managed by the Advisor,
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 rates listed below as a percentage of the average net
assets of a class of a Portfolio on an annualized basis. The Fee Waiver
Agreement will remain in effect permanently, unless terminated by the Fund.
PREVIOUSLY
RECOVERY WAIVED FEES/
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE WAIVED FEES/
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY EXPENSES ASSUMED
-------------------------- ---------- ---------------- ----------------- ----------------
U.S. Large Cap Value Portfolio II....... 0.11% -- -- $84
DFA International Value Portfolio II.... 0.21% -- -- 12
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the 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
of the Portfolios are included in Other Expenses on the Statement of Operations.
11
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):
U.S. Large Cap Value Portfolio II................. $6
DFA International Value Portfolio II.............. 6
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2016, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
U.S. Large Cap Value Portfolio II....... -- $(22) $ 22
DFA International Value Portfolio II.... -- 75 (75)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
U.S. Large Cap Value Portfolio II
2015.................................... $3,593 -- -- $3,593
2016.................................... 3,716 -- -- 3,716
DFA International Value Portfolio II
2015.................................... 3,572 $2,119 -- 5,691
2016.................................... 3,723 3,127 -- 6,850
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
U.S. Large Cap Value Portfolio II....... $338 $4,824 -- $58,416 $63,578
DFA International Value Portfolio II*... 641 -- $(2,617) (1,606) (3,582)
* The use of capital losses may be restricted by Section 382 or tax rules in
the internal revenue code.
12
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2016, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through the indicated expiration dates (amounts
in thousands):
UNLIMITED TOTAL
--------- ------
U.S. Large Cap Value Portfolio II....... -- --
DFA International Value Portfolio II.... $2,617 $2,617
During the year ended October 31, 2016, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
U.S. Large Cap Value Portfolio II....... $1,864
DFA International Value Portfolio II.... --
At 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)
-------- ------------ ------------ --------------
U.S. Large Cap Value Portfolio II....... $95,178 $71,805 -- $71,805
DFA International Value Portfolio II.... 13,350 -- $(1,036) (1,036)
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 position and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 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
13
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 Portfolios under the lines of credit during
the six months ended April 30, 2017.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. OTHER:
At 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
------------ --------------
U.S. Large Cap Value Portfolio II....... 2 100%
DFA International Value Portfolio II.... 1 100%
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).
14
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.
I. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
15
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
-------------- ------------------ ------------------ -------------
U.S. Large Cap Value Portfolio II
December 15, 2016................. 91% 0% 9%
DFA International Value Portfolio II
December 15, 2016................. 83% 0% 17%
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.
16
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
17
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 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
----------
* 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.
18
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%
19
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%
Other Securities.............................. 742,504,228 3.0%
-------------- -----
Total Health Care................................. 3,003,566,513 12.1%
-------------- -----
20
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
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%
=============== ======
21
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.
22
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%
-------------- -----
23
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%
-------------- -----
24
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%
=============== ======
25
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.
26
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE THE DFA
CAP VALUE INTERNATIONAL
SERIES* VALUE SERIES*
-------------- -------------
ASSETS:
Investments at Value (including $1,404,990 and $975,662 of securities on loan,
respectively).................................................................................... $24,480,375 $11,025,504
Temporary Cash Investments at Value & Cost........................................................ 288,414 --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $920,913 and
$942,244)........................................................................................ 921,032 942,324
Segregated Cash for Futures Contracts............................................................. 7,160 4,695
Foreign Currencies at Value....................................................................... -- 13,627
Cash.............................................................................................. -- 114,845
Receivables:
Investment Securities Sold...................................................................... 22,846 --
Dividends, Interest and Tax Reclaims............................................................ 29,866 48,739
Securities Lending Income....................................................................... 190 1,144
Prepaid Expenses and Other Assets................................................................. 27 12
----------- -----------
Total Assets................................................................................. 25,749,910 12,150,890
----------- -----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................................ 920,816 942,176
Investment Securities Purchased................................................................. 104,940 --
Due to Advisor.................................................................................. 2,002 1,797
Futures Margin Variation........................................................................ 401 238
Accrued Expenses and Other Liabilities............................................................ 1,158 667
----------- -----------
Total Liabilities............................................................................ 1,029,317 944,878
----------- -----------
NET ASSETS........................................................................................ $24,720,593 $11,206,012
=========== ===========
Investments at Cost............................................................................... $16,752,543 $10,049,365
=========== ===========
Foreign Currencies at Cost........................................................................ $ -- $ 13,691
=========== ===========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP INTERNATIONAL
VALUE SERIES VALUE SERIES
------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1 and $14,368, respectively)#. $ 259,498 $ 162,876
Income from Securities Lending............................................. 1,279 5,087
---------- ----------
Total Investment Income................................................. 260,777 167,963
---------- ----------
EXPENSES
Investment Management Fees................................................. 11,654 10,383
Accounting & Transfer Agent Fees........................................... 536 244
Custodian Fees............................................................. 110 423
Shareholders' Reports...................................................... 19 9
Directors'/Trustees' Fees & Expenses....................................... 113 50
Professional Fees.......................................................... 170 94
Other...................................................................... 263 154
---------- ----------
Total Expenses.......................................................... 12,865 11,357
---------- ----------
Fees Paid Indirectly (Note C).............................................. -- (292)
---------- ----------
Net Expenses............................................................... 12,865 11,065
---------- ----------
NET INVESTMENT INCOME (LOSS)............................................... 247,912 156,898
---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................. 800,632 (11,728)
Futures.................................................................. 14,271 8,027
Foreign Currency Transactions............................................ -- (3,521)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................... 2,137,765 986,251
Futures.................................................................. 5,258 3,401
Translation of Foreign Currency Denominated Amounts...................... -- 1,063
---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS).................................... 2,957,926 983,493
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............. $3,205,838 $1,140,391
========== ==========
----------
**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.
28
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL
SERIES VALUE SERIES
------------------------ -----------------------
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)................................ $ 247,912 $ 464,438 $ 156,898 $ 332,006
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 800,632 567,193 (11,728) (261,808)
Futures................................................... 14,271 21,037 8,027 5,988
Foreign Currency Transactions............................. -- -- (3,521) 5,590
Forward Currency Contracts................................ -- -- -- 8
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 2,137,765 (57,128) 986,251 (32,753)
Futures................................................... 5,258 (3,872) 3,401 (852)
Translation of Foreign Currency Denominated Amounts....... -- -- 1,063 (908)
----------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 3,205,838 991,668 1,140,391 47,271
----------- ----------- ----------- ----------
Transactions in Interest:
Contributions............................................... 1,266,304 1,812,211 706,688 1,394,282
Withdrawals................................................. (668,117) (981,368) (370,607) (939,918)
----------- ----------- ----------- ----------
Net Increase (Decrease) from Transactions in Interest.... 598,187 830,843 336,081 454,364
----------- ----------- ----------- ----------
Total Increase (Decrease) in Net Assets.................. 3,804,025 1,822,511 1,476,472 501,635
NET ASSETS
Beginning of Period......................................... 20,916,568 19,094,057 9,729,540 9,227,905
----------- ----------- ----------- ----------
End of Period............................................... $24,720,593 $20,916,568 $11,206,012 $9,729,540
=========== =========== =========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
29
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%(C) 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%(D) 0.11% 0.11% 0.11% 0.11% 0.12%
Ratio of Net Investment Income to
Average Net Assets................. 2.13%(D) 2.39% 2.20% 1.90% 1.98% 2.15%
Portfolio Turnover Rate............. 9%(C) 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%(C) (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%(D) 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)........................ 0.22%(D) 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Net Investment Income to
Average Net Assets................. 3.02%(D) 3.72% 3.31% 4.50% 3.20% 3.75%
Portfolio Turnover Rate............. 8%(C) 17% 21% 17% 15% 14%
-------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
30
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 operational portfolios, two of which, The U.S. Large
Cap Value Series and The DFA International Value Series (the "Series"), are
presented in this report. The remaining portfolios are presented in separate
reports. The Series are investment companies, and accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 2:00 a.m. ET), which is fourteen hours before the close of
31
the NYSE (normally, 4:00 p.m. ET) and the time that the net asset value of the
International Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the time the
International Series prices its shares at the close of the NYSE, the
International Series will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). When the
International Series uses fair value pricing, the values assigned to
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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 Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign currency rates when determining the realized gain or loss upon the sale
or maturity of foreign currency denominated debt obligations pursuant to U.S.
Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
32
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, generally based on average net
assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series. For the 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 0.10% and 0.20% of average daily net
assets for The U.S. Large Cap Value Series and The DFA International Value
Series, respectively.
EARNED INCOME CREDIT:
In addition, 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
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and 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.
33
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
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, the Series made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series......... $2,909,117 $2,060,806
The DFA International Value Series...... 1,120,394 791,279
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............. 10,986,069 1,800,143 (818,384) 981,759
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each of the
Series' tax positions and has concluded that no additional provision for income
tax is required in any of the Series' financial statements. No Series is aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Series' federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
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.
34
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The International Series may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge an International Series' currency exposure with
respect to a foreign market will be based primarily on the Series' existing
exposure to a given foreign currency. Each contract is valued daily and the
change in value is recorded by the Series as an unrealized gain or loss, which
is presented in the Statements of Operations as the change in unrealized
appreciation or depreciation from translation of foreign-currency-denominated
amounts. When the contract is closed or offset with the same counterparty, the
Series records a realized gain or loss equal to the change in the value of the
contract when it was opened and the value at the time it was closed or offset.
This is presented in the Statements of Operations as a net realized gain or
loss on foreign currency transactions. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value of foreign
currency relative to the U.S. dollar.
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposit cash or pledge U.S. Government securities
to a broker, equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and
are recorded daily by the Series as unrealized gains or losses until the
contracts are closed. When the contracts are closed, the Series record a
realized gain or loss, which is presented in the Statements of Operations as a
net realized gain or loss on futures, equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
At April 30, 2017, the following Series had the following outstanding
futures contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
The U.S. Large Cap Value
Series................. S&P 500 Emini Index(R) 06/16/17 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
======== ====== ======
35
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 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 LIABILITY DERIVATIVES
--------------- ------------------------ ------------------------
Equity contracts Receivables: Futures Payables: Futures Margin
Margin Variation Variation
The following is a summary of 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
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Series' Statements of
Operations of realized and change in unrealized gains and losses from the
Series' derivative instrument holdings 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 through 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
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
36
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 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 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 Series under the lines of credit during the
period 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
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. In addition, The U.S.
Large Cap Value Series and The DFA International Value Series received non-cash
collateral consisting of short and/or long term U.S. government securities with
a market value of $530,878 and $92,262 (amounts in thousands), respectively.
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
37
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 Money Market
Series, an affiliated registered money market fund advised by the Advisor for
which the Advisor receives a management fee of 0.05% of the average daily net
assets of the Money Market Series. Such Series also may invest the cash
collateral received for the loaned securities in securities of the U.S.
government or its agencies, repurchase agreements collateralized by securities
of the U.S. government or its agencies, and affiliated and unaffiliated
registered and unregistered money market funds. For purposes of this paragraph,
agencies include both agency debentures and agency mortgage-backed securities.
In addition, each Series will be able to terminate the loan at any time and
will receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible to be taxed
at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2017
----------------------------------------------------
BETWEEN
OVERNIGHT AND 30 & 90
CONTINUOUS <30 DAYS 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
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. OTHER:
The Series and the Trust are subject to claims and suits that arise from
time to time in the ordinary course of business. Although management currently
believes that resolving claims against us, individually or in aggregate, will
not have a material adverse impact on our financial position, our results of
operations, or our cash flows, these matters are subject to inherent
uncertainties and management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee (the "Trustee") on behalf of the committee of
unsecured creditors of
38
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.
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.
39
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.
40
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2016 (the "Meeting"), the Board
of Directors of Dimensional Investment Group Inc. and the Board of Trustees of
The DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment management agreements (the "Management
Agreements") for each portfolio or series (collectively, the "Funds") and the
sub-advisory agreements for The DFA International Value Series. Dimensional
Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors to The DFA
International Value Series. (The investment management agreements and the
sub-advisory agreements are referred to as the "Management Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
global investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that after considering each Fund's investment strategies
and the expectations of its shareholder base, the performance of each Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
41
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.
42
DFA043017-009S
[LOGO] 00194747
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2017 (Unaudited)
Dimensional Investment Group Inc.
DFA International Value Portfolio III
U.S. Large Cap Value Portfolio III
Tax-Managed U.S. Marketwide Value Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
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/ /s/ Eduardo A. Repetto
David Butler Eduardo Repetto
CO-CHIEF EXECUTIVE CO-CHIEF EXECUTIVE
OFFICER AND HEAD OF OFFICER AND CO-CHIEF
GLOBAL FINANCIAL ADVISOR INVESTMENT OFFICER
SERVICES
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................ 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses............................ 2
Disclosure of Portfolio Holdings....................... 4
Schedules of Investments
DFA International Value Portfolio III.............. 5
U.S. Large Cap Value Portfolio III................. 5
Tax-Managed U.S. Marketwide Value Portfolio II..... 5
Statements of Assets and Liabilities................... 6
Statements of Operations............................... 7
Statements of Changes in Net Assets.................... 8
Financial Highlights................................... 9
Notes to Financial Statements.......................... 11
Section 19(a) Notice................................... 17
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses............................ 18
Disclosure of Portfolio Holdings....................... 20
Summary Schedules of Portfolio Holdings
The DFA International Value Series................. 21
The U.S. Large Cap Value Series.................... 25
The Tax-Managed U.S. Marketwide Value Series....... 28
Statements of Assets and Liabilities................... 31
Statements of Operations............................... 32
Statements of Changes in Net Assets.................... 33
Financial Highlights................................... 34
Notes to Financial Statements.......................... 35
VOTING PROXIES ON FUND PORTFOLIO SECURITIES............... 44
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS........ 45
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
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 III**
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,115.40 0.24% $1.26
Hypothetical 5% Annual Return........... $1,000.00 $1,023.60 0.24% $1.20
U.S. LARGE CAP VALUE PORTFOLIO III**
------------------------------------
Actual Fund Return...................... $1,000.00 $1,152.80 0.13% $0.69
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
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*
--------- --------- ---------- --------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II**
------------------------------------------------
Actual Fund Return............................... $1,000.00 $1,150.90 0.22% $1.17
Hypothetical 5% Annual Return.................... $1,000.00 $1,023.70 0.22% $1.10
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (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).
3
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).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
DFA International Value Portfolio III............. 100.0%
U.S. Large Cap Value Portfolio III................ 100.0%
Tax-Managed U.S. Marketwide Value Portfolio II.... 100.0%
4
SCHEDULES OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
DFA INTERNATIONAL VALUE PORTFOLIO III
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $2,301,589,114
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$2,088,080,232)........................................ $2,301,589,114
==============
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).
U.S. LARGE CAP VALUE PORTFOLIO III
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $3,432,287,421
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$2,130,913,597)........................................ $3,432,287,421
==============
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).
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series
of The DFA Investment Trust Company....................... $1,699,683,547
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$899,664,040).......................................... $1,699,683,547
==============
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.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED
DFA U.S.
INTERNATIONAL U.S. LARGE CAP MARKETWIDE
VALUE PORTFOLIO VALUE PORTFOLIO VALUE PORTFOLIO
III III II
--------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value............... $ 2,301,589 $ 3,432,287 $ 1,699,684
Receivables:
Fund Shares Sold.................................................. 768 2,491 308
Prepaid Expenses and Other Assets................................... 35 40 32
------------ ------------ ------------
Total Assets................................................... 2,302,392 3,434,818 1,700,024
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.............................................. 821 1,389 378
Due to Advisor.................................................... 19 28 --
Accrued Expenses and Other Liabilities.............................. 110 151 72
------------ ------------ ------------
Total Liabilities.............................................. 950 1,568 450
------------ ------------ ------------
NET ASSETS.......................................................... $ 2,301,442 $ 3,433,250 $ 1,699,574
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 151,334,860 134,199,306 63,342,354
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................................. $ 15.21 $ 25.58 $ 26.83
============ ============ ============
Investments in Affiliated Investment Company at Cost................ $ 2,088,080 $ 2,130,914 $ 899,664
------------ ------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 2,134,860 $ 1,986,228 $ 857,594
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 15,114 6,093 2,670
Accumulated Net Realized Gain (Loss)................................ (62,065) 139,556 39,290
Net Unrealized Foreign Exchange Gain (Loss)......................... 24 -- --
Net Unrealized Appreciation (Depreciation).......................... 213,509 1,301,373 800,020
------------ ------------ ------------
NET ASSETS.......................................................... $ 2,301,442 $ 3,433,250 $ 1,699,574
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 500,000,000 700,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
DFA U.S.
INTERNATIONAL U.S. LARGE MARKETWIDE
VALUE CAP VALUE VALUE
PORTFOLIO III* PORTFOLIO III* PORTFOLIO II*
-------------- -------------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $2,986, $0 and $1,
respectively)......................................................... $ 33,992 $ 37,009 $ 18,129
Income from Securities Lending......................................... 1,061 182 77
Expenses Allocated from Affiliated Investment Company.................. (2,319) (1,830) (1,732)
-------- -------- --------
Total Investment Income............................................... 32,734 35,361 16,474
-------- -------- --------
FUND EXPENSES
Investment Management Fees............................................. 2,285 1,824 1,643
Accounting & Transfer Agent Fees....................................... 16 21 10
Filing Fees............................................................ 35 32 27
Shareholders' Reports.................................................. 28 30 15
Directors'/Trustees' Fees & Expenses................................... 11 16 8
Audit Fees............................................................. 2 3 2
Legal Fees............................................................. 19 30 15
Other.................................................................. 6 9 4
-------- -------- --------
Total Expenses........................................................ 2,402 1,965 1,724
-------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (2,176) (1,658) (1,643)
-------- -------- --------
Net Expenses.......................................................... 226 307 81
-------- -------- --------
NET INVESTMENT INCOME (LOSS)........................................... 32,508 35,054 16,393
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.......................................... (3,892) 136,976 39,333
Futures............................................................... 1,695 2,026 21
Foreign Currency Transactions......................................... (744) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................ 212,699 288,470 172,132
Futures............................................................... 905 387 (1)
Translation of Foreign Currency Denominated Amounts................... 223 -- --
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 210,886 427,859 211,485
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $243,394 $462,913 $227,878
======== ======== ========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S.
DFA INTERNATIONAL VALUE U.S. LARGE CAP VALUE MARKETWIDE VALUE PORTFOLIO
PORTFOLIO III PORTFOLIO III II
---------------------- ---------------------- -------------------------
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)................. $ 32,508 $ 70,750 $ 35,054 $ 70,105 $ 16,393 $ 30,015
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (3,892) (59,118) 136,976 109,454 39,333 57,064
Futures.................................... 1,695 1,336 2,026 3,180 21 1,657
Foreign Currency Transactions.............. (744) 1,222 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 212,699 7,817 288,470 (39,567) 172,132 (44,591)
Futures.................................... 905 (291) 387 (543) (1) --
Translation of Foreign Currency
Denominated Amounts....................... 223 (180) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 243,394 21,536 462,913 142,629 227,878 44,145
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income........................ (26,031) (67,959) (32,850) (69,979) (16,087) (29,848)
Net Short-Term Gains......................... -- -- (313) -- -- --
Net Long-Term Gains.......................... -- (41,317) (107,951) (154,996) (56,923) (24,937)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions....................... (26,031) (109,276) (141,114) (224,975) (73,010) (54,785)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................ 138,848 618,846 255,135 476,073 62,269 198,695
Shares Issued in Lieu of Cash
Distributions............................... 19,986 83,203 109,169 176,803 72,605 54,499
Shares Redeemed.............................. (141,882) (473,759) (314,203) (512,335) (114,705) (205,186)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 16,952 228,290 50,101 140,541 20,169 48,008
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 234,315 140,550 371,900 58,195 175,037 37,368
NET ASSETS
Beginning of Period.......................... 2,067,127 1,926,577 3,061,350 3,003,155 1,524,537 1,487,169
---------- ---------- ---------- ---------- ---------- ----------
End of Period................................ $2,301,442 $2,067,127 $3,433,250 $3,061,350 $1,699,574 $1,524,537
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 9,541 48,005 10,153 21,878 2,362 8,756
Shares Issued in Lieu of Cash
Distributions............................... 1,378 6,331 4,372 7,967 2,774 2,305
Shares Redeemed.............................. (9,406) (35,998) (12,547) (23,247) (4,372) (8,905)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 1,513 18,338 1,978 6,598 764 2,156
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)....................................... $ 15,114 $ 8,637 $ 6,093 $ 3,889 $ 2,670 $ 2,364
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO III
----------------------------------------------------------------------------
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.... $ 13.80 $ 14.65 $ 16.26 $ 17.84 $ 14.69 $ 14.81
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.22 0.49 0.52 0.78 0.50 0.53
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 1.36 (0.56) (1.38) (0.88) 3.48 (0.12)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 1.58 (0.07) (0.86) (0.10) 3.98 0.41
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.17) (0.47) (0.49) (0.76) (0.51) (0.48)
Net Realized Gains..................... -- (0.31) (0.26) (0.72) (0.32) (0.05)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.17) (0.78) (0.75) (1.48) (0.83) (0.53)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 15.21 $ 13.80 $ 14.65 $ 16.26 $ 17.84 $ 14.69
======================================= =========== ========== ========== ========== ========== ==========
Total Return............................ 11.54%(C) (0.09)% (5.41)% (0.73)% 28.15% 3.14%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $2,301,442 $2,067,127 $1,926,577 $1,836,655 $1,725,850 $1,296,862
Ratio of Expenses to Average Net
Assets (B)............................. 0.24%(D) 0.24% 0.25% 0.24% 0.25% 0.26%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)......... 0.44%(D) 0.44% 0.30% 0.24% 0.25% 0.26%
Ratio of Net Investment Income to
Average Net Assets (B)................. 2.99%(D) 3.70% 3.29% 4.48% 3.15% 3.71%
-----------------------------------------------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III
-------------------------------------------------------------------------
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.... $ 23.15 $ 23.91 $ 25.30 $ 22.75 $ 17.11 $ 14.77
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.26 0.53 0.53 0.46 0.39 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 3.25 0.49 (0.26) 3.01 5.64 2.33
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 3.51 1.02 0.27 3.47 6.03 2.67
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.25) (0.54) (0.50) (0.44) (0.39) (0.33)
Net Realized Gains..................... (0.83) (1.24) (1.16) (0.48) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (1.08) (1.78) (1.66) (0.92) (0.39) (0.33)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 25.58 $ 23.15 $ 23.91 $ 25.30 $ 22.75 $ 17.11
======================================= =========== ========== ========== ========== ========== ==========
Total Return............................ 15.28%(C) 4.69% 1.34% 15.62% 35.65% 18.32%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $3,433,250 $3,061,350 $3,003,155 $2,992,619 $2,648,111 $2,076,447
Ratio of Expenses to Average Net
Assets (B)............................. 0.13%(D) 0.13% 0.13% 0.13% 0.13% 0.14%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)......... 0.23%(D) 0.23% 0.16% 0.13% 0.13% 0.14%
Ratio of Net Investment Income to
Average Net Assets (B)................. 2.11%(D) 2.38% 2.18% 1.89% 1.97% 2.13%
-------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
-----------------------------------------------------------------------
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.... $ 24.36 $ 24.61 $ 24.42 $ 21.53 $ 16.13 $ 13.88
---------- ---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.26 0.48 0.45 0.37 0.34 0.29
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 3.38 0.16 0.24 2.88 5.39 2.24
---------- ---------- ---------- ---------- ---------- --------
Total from Investment Operations..... 3.64 0.64 0.69 3.25 5.73 2.53
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.26) (0.48) (0.43) (0.36) (0.33) (0.28)
Net Realized Gains..................... (0.91) (0.41) (0.07) -- -- --
---------- ---------- ---------- ---------- ---------- --------
Total Distributions.................. (1.17) (0.89) (0.50) (0.36) (0.33) (0.28)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 26.83 $ 24.36 $ 24.61 $ 24.42 $ 21.53 $ 16.13
======================================= =========== ========== ========== ========== ========== ========
Total Return............................ 15.09%(C) 2.78% 2.88% 15.18% 35.90% 18.50%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $1,699,574 $1,524,537 $1,487,169 $1,480,557 $1,279,664 $960,801
Ratio of Expenses to Average Net
Assets (B)............................. 0.22%(D) 0.22% 0.22% 0.22% 0.23% 0.23%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)......... 0.42%(D) 0.42% 0.28% 0.22% 0.23% 0.23%
Ratio of Net Investment Income to
Average Net Assets (B)................. 1.99%(D) 2.04% 1.80% 1.60% 1.80% 1.97%
-----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
10
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 offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fourteen portfolios, three
of which, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio
III and Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolios"), are
presented in this report. The remaining operational portfolios are presented in
separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946,
"Financial Services-Investment Companies."
DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II primarily invest their
assets in The DFA International Value Series, The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series (the "Series"), respectively,
each a corresponding series of The DFA Investment Trust Company. At April 30,
2017, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II owned 21%, 14% and 27% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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.
11
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 Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
During the six months ended April 30, 2017, the DFA International Value
Portfolio III's, U.S. Large Cap Value Portfolio III's and Tax-Managed U.S.
Marketwide Value Portfolio II's investment management fees were accrued daily
and paid monthly to the Advisor based on an effective annual rate of 0.21%,
0.11%, and 0.20%, respectively, of each Portfolio's average daily net assets.
Waived fees/expenses assumed during the six months ended April 30, 2017, are
reflected below (amounts in thousands).
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of each Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by a
Portfolio, including the proportionate share of the management fees a Portfolio
pays indirectly through its investment in other funds managed by the Advisor,
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 rates listed below as a percentage of the average net
assets of a class of a Portfolio on an annualized basis. The Fee Waiver
Agreement will remain in effect permanently, unless terminated by the Fund.
PREVIOUSLY
RECOVERY WAIVED FEES/
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE WAIVED FEES/
AMOUNT EXPENSES ASSUMED RECOVERY EXPENSES ASSUMED
---------- ---------------- ----------------- ----------------
INSTITUTIONAL CLASS SHARES
--------------------------
DFA International Value Portfolio III... 0.21% -- -- $2,176
U.S. Large Cap Value Portfolio III...... 0.11% -- -- 1,658
Tax-Managed U.S. Marketwide Value
Portfolio II.......................... 0.20% -- -- 1,643
12
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
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):
DFA International Value Portfolio III............. $64
U.S. Large Cap Value Portfolio III................ 98
Tax-Managed U.S. Marketwide Value Portfolio II.... 46
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2016, primarily attributable to net foreign
currency gains/losses, gains on securities considered to be "passive foreign
investment companies", tax equalization, and realized foreign capital gains
tax, were reclassified to the following accounts. These reclassifications had
no effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
DFA International Value Portfolio III............. $2,065 $ 61 $(2,126)
U.S. Large Cap Value Portfolio III................ 6,796 (3,052) (3,744)
Tax-Managed U.S. Marketwide Value Portfolio II.... 2,707 (916) (1,791)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
DFA International Value Portfolio III
2015........................................... $60,439 $ 28,949 -- $ 89,388
2016........................................... 67,960 41,316 -- 109,276
U.S. Large Cap Value Portfolio III
2015........................................... 63,138 133,797 -- 196,935
2016........................................... 69,978 154,996 -- 224,974
Tax-Managed U.S. Marketwide Value Portfolio II
2015........................................... 26,163 3,972 -- 30,135
2016........................................... 29,848 24,937 -- 54,785
13
At October 31, 2016, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
DFA International Value Portfolio III............. $(2,065) -- $(2,065)
U.S. Large Cap Value Portfolio III................ (2,612) $(4,184) (6,796)
Tax-Managed U.S. Marketwide Value Portfolio II.... (916) (1,791) (2,707)
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
DFA International Value Portfolio III... $10,731 -- $(55,002) $ (15,179) $ (59,450)
U.S. Large Cap Value Portfolio III...... 4,348 $107,950 -- 1,013,072 1,125,370
Tax-Managed U.S. Marketwide Value
Portfolio II.......................... 2,433 56,923 -- 627,824 687,180
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolios after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2016, the
Portfolios did not have any capital loss carryforwards.
At 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 III... $2,094,392 $ 207,198 -- $ 207,198
U.S. Large Cap Value Portfolio III...... 2,131,060 1,301,227 -- 1,301,227
Tax-Managed U.S. Marketwide Value
Portfolio II.......................... 898,846 800,837 -- 800,837
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 any of the Portfolios' financial statements. The Portfolios are not
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
14
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 Portfolios under the lines of credit during
the six months ended April 30, 2017.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. OTHER:
At 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
------------ --------------
DFA International Value Portfolio III............. 5 98%
U.S. Large Cap Value Portfolio III................ 5 97%
Tax-Managed U.S. Marketwide Value Portfolio II.... 3 98%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee (the "Trustee") on behalf of the
committee of unsecured creditors of
15
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 and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits has advised management that it
does not believe that it is possible, at this early stage in the proceedings,
to predict with any reasonable certainty the probable outcome of the Lawsuits
or quantify the ultimate exposure to The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the respective net asset values of The U.S. Large
Cap Value Series and The Tax-Managed U.S. Marketwide Value Series will be made
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery the plaintiffs seek, the amount would be less than
1% of the respective net asset values of The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their respective net asset values. Therefore, at this time, those
investors buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the respective net asset values of The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series as incurred and in a manner similar to
any other expenses incurred by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series.
I. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
16
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 III
December 15, 2016........................... 98% 0% 17%
U.S. Large Cap Value Portfolio III
December 15, 2016........................... 98% 0% 11%
Tax-Managed U.S. Marketwide Value Portfolio II
December 15, 2016........................... 99% 0% 13%
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.
17
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 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
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
18
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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,150.70 0.21% $1.12
Hypothetical 5% Annual Return................ $1,000.00 $1,023.75 0.21% $1.05
----------
* 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.
19
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 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 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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Consumer Discretionary....................... 16.1%
Consumer Staples............................. 8.6%
Energy....................................... 11.9%
Financials................................... 22.3%
Health Care.................................. 11.4%
Industrials.................................. 11.8%
Information Technology....................... 12.0%
Materials.................................... 1.8%
Real Estate.................................. 0.1%
Telecommunication Services................... 4.0%
-----
100.0%
20
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%
-------------- -----
21
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%
-------------- -----
22
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%
=============== ======
23
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.
24
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%
Other Securities.............................. 742,504,228 3.0%
-------------- -----
Total Health Care................................. 3,003,566,513 12.1%
-------------- -----
25
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
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%
=============== ======
26
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.
27
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (96.7%)
Consumer Discretionary -- (15.6%)
* Charter Communications, Inc. Class A... 339,394 $ 117,145,233 1.9%
Comcast Corp. Class A.................. 7,221,594 283,014,269 4.5%
Ford Motor Co.......................... 2,823,574 32,386,394 0.5%
General Motors Co...................... 1,095,598 37,951,515 0.6%
Royal Caribbean Cruises, Ltd........... 322,500 34,378,500 0.6%
Time Warner, Inc....................... 1,534,860 152,365,552 2.5%
Twenty-First Century Fox, Inc. Class A. 1,287,383 39,316,677 0.6%
Other Securities....................... 308,323,877 4.9%
-------------- -----
Total Consumer Discretionary............... 1,004,882,017 16.1%
-------------- -----
Consumer Staples -- (8.3%)
Archer-Daniels-Midland Co.............. 813,476 37,216,527 0.6%
CVS Health Corp........................ 1,510,745 124,545,818 2.0%
Mondelez International, Inc. Class A... 2,081,099 93,711,888 1.5%
Wal-Mart Stores, Inc................... 1,054,519 79,278,738 1.3%
Walgreens Boots Alliance, Inc.......... 725,538 62,788,059 1.0%
Other Securities....................... 138,649,233 2.2%
-------------- -----
Total Consumer Staples..................... 536,190,263 8.6%
-------------- -----
Energy -- (11.5%)
Chevron Corp........................... 1,105,117 117,915,984 1.9%
ConocoPhillips......................... 1,489,306 71,352,650 1.2%
Exxon Mobil Corp....................... 2,790,357 227,832,649 3.7%
Marathon Petroleum Corp................ 903,936 46,046,500 0.8%
Phillips 66............................ 775,455 61,695,200 1.0%
Schlumberger, Ltd...................... 603,242 43,789,337 0.7%
Valero Energy Corp..................... 605,899 39,147,134 0.6%
Other Securities....................... 135,832,864 2.0%
-------------- -----
Total Energy............................... 743,612,318 11.9%
-------------- -----
Financials -- (21.6%)
American International Group, Inc...... 838,781 51,090,151 0.8%
Bank of America Corp................... 6,066,147 141,583,871 2.3%
Bank of New York Mellon Corp. (The).... 724,844 34,111,159 0.6%
Citigroup, Inc......................... 1,870,326 110,573,673 1.8%
CME Group, Inc......................... 381,507 44,327,298 0.7%
Goldman Sachs Group, Inc. (The)........ 209,155 46,808,889 0.8%
JPMorgan Chase & Co.................... 2,695,925 234,545,475 3.8%
MetLife, Inc........................... 949,912 49,214,941 0.8%
Morgan Stanley......................... 1,036,923 44,971,351 0.7%
Prudential Financial, Inc.............. 497,625 53,260,804 0.9%
Wells Fargo & Co....................... 2,237,608 120,472,815 1.9%
Other Securities....................... 464,490,432 7.2%
-------------- -----
Total Financials........................... 1,395,450,859 22.3%
-------------- -----
Health Care -- (11.0%)
Abbott Laboratories.................... 715,025 31,203,691 0.5%
# Aetna, Inc............................. 558,462 75,431,462 1.2%
Anthem, Inc............................ 504,640 89,770,410 1.4%
Danaher Corp........................... 376,391 31,364,662 0.5%
* Express Scripts Holding Co............. 493,239 30,255,280 0.5%
Humana, Inc............................ 236,814 52,567,972 0.9%
Medtronic P.L.C........................ 794,453 66,011,100 1.1%
28
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Pfizer, Inc................................................... 4,178,729 $ 141,742,488 2.3%
Thermo Fisher Scientific, Inc................................. 499,520 82,585,642 1.3%
Other Securities.............................................. 111,048,706 1.7%
-------------- ------
Total Health Care................................................... 711,981,413 11.4%
-------------- ------
Industrials -- (11.4%)
CSX Corp...................................................... 1,242,950 63,191,578 1.0%
General Electric Co........................................... 2,102,284 60,945,213 1.0%
Norfolk Southern Corp......................................... 545,229 64,058,955 1.0%
Southwest Airlines Co......................................... 645,761 36,304,683 0.6%
Union Pacific Corp............................................ 888,128 99,434,811 1.6%
Other Securities.............................................. 412,121,787 6.6%
-------------- ------
Total Industrials................................................... 736,057,027 11.8%
-------------- ------
Information Technology -- (11.6%)
Activision Blizzard, Inc...................................... 982,162 51,317,964 0.8%
Cisco Systems, Inc............................................ 4,601,656 156,778,420 2.5%
Intel Corp.................................................... 4,616,182 166,874,979 2.7%
QUALCOMM, Inc................................................. 1,059,256 56,924,417 0.9%
* Yahoo!, Inc................................................... 1,048,770 50,561,202 0.8%
Other Securities.............................................. 265,348,585 4.2%
-------------- ------
Total Information Technology........................................ 747,805,567 11.9%
-------------- ------
Materials -- (1.7%)
Other Securities.............................................. 112,703,115 1.8%
-------------- ------
Real Estate -- (0.1%)
Other Securities.............................................. 3,212,231 0.1%
-------------- ------
Telecommunication Services -- (3.9%)
AT&T, Inc..................................................... 5,605,081 222,129,360 3.6%
Other Securities.............................................. 30,794,349 0.4%
-------------- ------
Total Telecommunication Services.................................... 252,923,709 4.0%
-------------- ------
Utilities -- (0.0%)
Other Securities.............................................. 2,846,875 0.0%
-------------- ------
TOTAL COMMON STOCKS................................................. 6,247,665,394 99.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 167,859 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 6,247,833,253
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 7,711,887 7,711,887 0.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (3.2%)
(S)@ DFA Short Term Investment Fund................................ 17,856,512 206,653,418 3.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,653,284,037)........................................... $6,462,198,558 103.3%
============== ======
29
THE TAX-MANAGED U.S. MARKETWIDE 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...... $1,004,834,145 $ 47,872 -- $1,004,882,017
Consumer Staples............ 536,190,263 -- -- 536,190,263
Energy...................... 743,612,318 -- -- 743,612,318
Financials.................. 1,395,450,859 -- -- 1,395,450,859
Health Care................. 711,981,413 -- -- 711,981,413
Industrials................. 736,057,027 -- -- 736,057,027
Information Technology...... 747,805,567 -- -- 747,805,567
Materials................... 112,703,115 -- -- 112,703,115
Real Estate................. 3,212,231 -- -- 3,212,231
Telecommunication Services.. 252,923,709 -- -- 252,923,709
Utilities................... 2,846,875 -- -- 2,846,875
Rights/Warrants............... -- 167,859 -- 167,859
Temporary Cash Investments.... 7,711,887 -- -- 7,711,887
Securities Lending Collateral. -- 206,653,418 -- 206,653,418
-------------- ------------ -- --------------
TOTAL......................... $6,255,329,409 $206,869,149 -- $6,462,198,558
============== ============ == ==============
See accompanying Notes to Financial Statements.
30
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE TAX-
THE DFA THE U.S. LARGE MANAGED U.S.
INTERNATIONAL CAP VALUE MARKETWIDE
VALUE SERIES* SERIES* VALUE SERIES*
------------- -------------- -------------
ASSETS:
Investments at Value (including $975,662, $1,404,990 and $284,841 of
securities on loan).............................................................. $11,025,504 $24,480,375 $6,247,833
Temporary Cash Investments at Value & Cost........................................ -- 288,414 7,712
Collateral from Securities on Loan Invested in Affiliate at Value (including cost
of $942,244, $920,913 and $206,634).............................................. 942,324 921,032 206,653
Segregated Cash for Futures Contracts............................................. 4,695 7,160 --
Foreign Currencies at Value....................................................... 13,627 -- --
Cash.............................................................................. 114,845 -- 702
Receivables:
Investment Securities Sold...................................................... -- 22,846 516
Dividends, Interest and Tax Reclaims............................................ 48,739 29,866 7,058
Securities Lending Income....................................................... 1,144 190 49
----------- ----------- ----------
Prepaid Expenses and Other Assets................................................. 12 27 7
----------- ----------- ----------
Total Assets................................................................. 12,150,890 25,749,910 6,470,530
----------- ----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................ 942,176 920,816 206,606
Investment Securities Purchased................................................. -- 104,940 4,961
Due to Advisor.................................................................. 1,797 2,002 1,016
Futures Margin Variation........................................................ 238 401 --
Accrued Expenses and Other Liabilities............................................ 667 1,158 331
Total Liabilities............................................................ 944,878 1,029,317 212,914
----------- ----------- ----------
NET ASSETS........................................................................ $11,206,012 $24,720,593 $6,257,616
=========== =========== ==========
Investments at Cost............................................................... $10,049,365 $16,752,543 $3,438,938
=========== =========== ==========
Foreign Currencies at Cost........................................................ $ 13,691 $ -- $ --
=========== =========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
31
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE TAX-
THE DFA THE U.S. MANAGED U.S.
INTERNATIONAL LARGE CAP MARKETWIDE
VALUE SERIES VALUE SERIES VALUE SERIES
------------- ------------ ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $14,368, $1 and $3,
respectively)#.................................................. $ 162,876 $ 259,498 $ 66,461
Income from Securities Lending................................... 5,087 1,279 282
---------- ---------- --------
Total Investment Income....................................... 167,963 260,777 66,743
---------- ---------- --------
EXPENSES
Investment Management Fees....................................... 10,383 11,654 6,029
Accounting & Transfer Agent Fees................................. 244 536 139
Custodian Fees................................................... 423 110 31
Shareholders' Reports............................................ 9 19 5
Directors'/Trustees' Fees & Expenses............................. 50 113 30
Professional Fees................................................ 94 170 45
Other............................................................ 154 263 74
---------- ---------- --------
Total Expenses................................................ 11,357 12,865 6,353
---------- ---------- --------
Fees Paid Indirectly (Note C).................................... (292) -- --
---------- ---------- --------
Net Expenses..................................................... 11,065 12,865 6,353
---------- ---------- --------
NET INVESTMENT INCOME (LOSS)..................................... 156,898 247,912 60,390
---------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................... (11,728) 800,632 137,451
Futures........................................................ 8,027 14,271 77
Foreign Currency Transactions.................................. (3,521) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 986,251 2,137,765 633,729
Futures........................................................ 3,401 5,258 --
Translation of Foreign Currency Denominated Amounts............ 1,063 -- --
---------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).......................... 983,493 2,957,926 771,257
---------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.... $1,140,391 $3,205,838 $831,647
========== ========== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
32
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE DFA INTERNATIONAL THE U.S. LARGE CAP VALUE THE TAX-MANAGED U.S.
VALUE SERIES SERIES MARKETWIDE VALUE SERIES
----------------------- ------------------------ ----------------------
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).......... $ 156,898 $ 332,006 $ 247,912 $ 464,438 $ 60,390 $ 109,377
Net Realized Gain (Loss) on:
Investment Securities Sold*......... (11,728) (261,808) 800,632 567,193 137,451 194,648
Futures............................. 8,027 5,988 14,271 21,037 77 5,998
Foreign Currency
Transactions....................... (3,521) 5,590 -- -- -- --
Forward Currency Contracts.......... -- 8 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency................... 986,251 (32,753) 2,137,765 (57,128) 633,729 (153,025)
Futures............................. 3,401 (852) 5,258 (3,872) -- --
Translation of Foreign Currency
Denominated Amounts................ 1,063 (908) -- -- -- --
----------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................ 1,140,391 47,271 3,205,838 991,668 831,647 156,998
----------- ---------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions......................... 706,688 1,394,282 1,266,304 1,812,211 84,869 280,866
Withdrawals........................... (370,607) (939,918) (668,117) (981,368) (197,304) (247,872)
----------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest.......... 336,081 454,364 598,187 830,843 (112,435) 32,994
----------- ---------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets........................ 1,476,472 501,635 3,804,025 1,822,511 719,212 189,992
NET ASSETS
Beginning of Period................... 9,729,540 9,227,905 20,916,568 19,094,057 5,538,404 5,348,412
----------- ---------- ----------- ----------- ---------- ----------
End of Period......................... $11,206,012 $9,729,540 $24,720,593 $20,916,568 $6,257,616 $5,538,404
=========== ========== =========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
33
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
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%(C) (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%(D) 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................. 0.22%(D) 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Net Investment Income to Average Net
Assets........................................... 3.02%(D) 3.72% 3.31% 4.50% 3.20% 3.75%
Portfolio Turnover Rate........................... 8%(C) 17% 21% 17% 15% 14%
---------------------------------------------------------------------------------------------------------------------------------
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%(C) 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%(D) 0.11% 0.11% 0.11% 0.11% 0.12%
Ratio of Net Investment Income to Average
Net Assets.................................. 2.13%(D) 2.39% 2.20% 1.90% 1.98% 2.15%
Portfolio Turnover Rate...................... 9%(C) 15% 16% 15% 15% 10%
------------------------------------------------------------------------------------------------------------------------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2012
--------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Total Return......................................... 15.07%(C) 2.79% 2.93% 15.17% 35.92% 18.47%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $6,257,616 $5,538,404 $5,348,412 $5,143,977 $4,389,755 $3,306,476
Ratio of Expenses to Average Net Assets.............. 0.21%(C) 0.21% 0.21% 0.21% 0.21% 0.22%
Ratio of Net Investment Income to Average Net Assets. 2.00%(C) 2.05% 1.82% 1.61% 1.82% 1.99%
Portfolio Turnover Rate.............................. 5%(C) 9% 6% 2% 5% 10%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
34
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, three of which, The DFA International
Value Series, The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series (the "Series"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
The Series are investment companies, and accordingly, follow the accounting and
reporting guidance under Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each
35
day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset value of the International Series is computed. Due to
the time differences between the closings of the relevant foreign securities
exchanges and the time the International Series prices its shares at the close
of the NYSE, the International Series will fair value its foreign investments
when it is determined that the market quotations for the foreign investments
are either unreliable or not readily available. The fair value prices will
attempt to reflect the impact of the U.S. financial markets' perceptions and
trading activities on International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). When the
International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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 Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign currency rates when determining the realized gain or loss upon the sale
or maturity of foreign currency denominated debt obligations pursuant to U.S.
Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
36
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 the Series are
allocated using methods approved by the Board of Trustees, generally based on
average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series. For the 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 0.20%, 0.10%, and 0.20% of average daily
net assets for The DFA International Value Series, The U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series, respectively.
EARNED INCOME CREDIT:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of The DFA International Value Series' custody expenses. Custody
expense in the accompanying financial statements is presented before reduction
for credits. The impact of such credits is generally less than one basis point
of each Series' net assets. During the six months ended April 30, 2017,
expenses reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series. $292
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and 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.
37
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 DFA International Value Series........... $354
The U.S. Large Cap Value Series.............. 553
The Tax-Managed U.S. Marketwide Value Series. 161
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, the Series made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The DFA International Value Series........... $1,120,394 $ 791,279
The U.S. Large Cap Value Series.............. 2,909,117 2,060,806
The Tax-Managed U.S. Marketwide Value Series. 276,344 299,212
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 DFA International Value Series........... $10,991,609 $1,800,145 $(823,925) $ 976,220
The U.S. Large Cap Value Series.............. 17,961,870 8,223,481 (495,529) 7,727,952
The Tax-Managed U.S. Marketwide Value Series. 3,653,284 2,872,663 (63,748) 2,809,915
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 of the Series' financial statements. No Series is aware of any
tax positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
The Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
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
38
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The International Series may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge the International Series' currency exposure with
respect to a foreign market will be based primarily on the Series' existing
exposure to a given foreign currency. Each contract is valued daily and the
change in value is recorded by the Series as an unrealized gain or loss, which
is presented in the Statements of Operations as the change in unrealized
appreciation or depreciation from translation of foreign currency denominated
amounts. When the contract is closed or offset with the same counterparty, the
Series records a realized gain or loss equal to the change in the value of the
contract when it was opened and the value at the time it was closed or offset.
This is presented in the Statements of Operations as a net realized gain or
loss on foreign currency transactions. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value of foreign
currency relative to the U.S. dollar.
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposit cash or pledge U.S. Government securities
to a broker, equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and
are recorded daily by the Series as unrealized gains or losses until the
contracts are closed. When the contracts are closed, the Series record a
realized gain or loss, which is presented in the Statements of Operations as a
net realized gain or loss on futures, equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
At 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 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
======== ====== ======
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
======== ====== ======
39
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 DFA International Value Series. $ 87,112
The U.S. Large Cap Value Series.... 161,124
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
The following is a summary of 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 DFA International Value Series. $2,549 $2,549
The U.S. Large Cap Value Series.... 1,386 1,386
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Series' Statements of
Operations of realized and change in unrealized gains and losses from the
Series' derivative investment holdings for the six months ended April 30, 2017:
LOCATION OF GAIN (LOSS)
DERIVATIVE TYPE ON DERIVATIVES
--------------- ------------------------
Equity contracts Net Realized Gain (Loss)
on: Futures
Change in Unrealized
Appreciation
(Depreciation) of:
Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure through the six months ended April 30, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------- ---------
The DFA International Value Series............ $ 8,027 $ 8,027
The U.S. Large Cap Value Series............... 14,271 14,271
The Tax-Managed U.S. Marketwide Value Series*. 77 77
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------- ---------
The DFA International Value Series............ $ 3,401 $ 3,401
The U.S. Large Cap Value Series............... 5,258 5,258
* As of April 30, 2017, there were no futures contracts outstanding. During the
six months ended April 30, 2017, the Series had limited activity in futures
contracts.
40
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 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 Tax-Managed U.S. Marketwide Value
Series.............................. 1.27% $3,643 13 $2 $5,918
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2017, that the Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of April 30, 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 DFA International Value Series........... $ 69,722 $26,653 $ 3,611
The U.S. Large Cap Value Series.............. 265,085 95,910 24,946
The Tax-Managed U.S. Marketwide Value Series. 25,103 8,314 3,611
41
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. 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. In addition, The
DFA International Value Series, The U.S. Large Cap Value Series, and The
Tax-Managed U.S. Marketwide Value Series received non-cash collateral
consisting of short and/or long term U.S. government securities with a market
value of $92,262, $530,878 and $86,438 (amounts in thousands), respectively.
Loans of securities are expected at all times to be secured by collateral in an
amount (i) equal to at least 100% of the current market value of the loaned
securities with respect to securities of the U.S. government or its agencies,
(ii) generally equal to 102% of the current market value of the loaned
securities with respect to U.S. securities, and (iii) generally equal to 105%
of the current market value of the loaned securities with respect to foreign
securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Series could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in the Money
Market Series, an affiliated registered money market fund advised by the
Advisor for which the Advisor receives a management fee of 0.05% of the average
daily net assets of the Money Market Series. Such Series also may invest the
cash collateral received for the loaned securities in securities of the U.S.
government or its agencies, repurchase agreements collateralized by securities
of the U.S. government or its agencies, and affiliated and unaffiliated
registered and unregistered money market funds. For purposes of this paragraph,
agencies include both agency debentures and agency mortgage-backed securities.
In addition, each Series will be able to terminate the loan at any time and
will receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible to be taxed
at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of 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 DFA INTERNATIONAL VALUE SERIES
Common Stocks............................... $942,324,037 -- -- -- $942,324,037
THE U.S. LARGE CAP VALUE SERIES
Common Stocks, Rights/Warrants.............. 921,031,983 -- -- -- 921,031,983
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Common Stocks, Rights/Warrants.............. 206,653,418 -- -- -- 206,653,418
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
42
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. OTHER:
The Series and the Trust are subject to claims and suits that arise from
time to time in the ordinary course of business. Although management currently
believes that resolving claims against us, individually or in aggregate, will
not have a material adverse impact on our financial position, our results of
operations, or our cash flows, these matters are subject to inherent
uncertainties and management's view of these matters may change in the future.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named defendants in a multi-district litigation pending in the
United States District Court for the Southern District of New York (the
"Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee (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 and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits has advised management that it
does not believe that it is possible, at this early stage in the proceedings,
to predict with any reasonable certainty the probable outcome of the Lawsuits
or quantify the ultimate exposure to The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the respective net asset values of The U.S. Large
Cap Value Series and The Tax-Managed U.S. Marketwide Value Series will be made
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery the plaintiffs seek, the amount would be less than
1% of the respective net asset values of The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their respective net asset values. Therefore, at this time, those
investors buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the respective net asset values of The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series as incurred and in a manner similar to
any other expenses incurred by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide 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.
43
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.
44
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2016 (the "Meeting"), the Board
of Directors of Dimensional Investment Group Inc. and the Board of Trustees of
The DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment management agreements (the "Management
Agreements") for each portfolio or series (collectively, the "Funds") and the
sub-advisory agreements for The DFA International Value Series. Dimensional
Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors to The DFA
International Value Series. (The investment management agreements and the
sub-advisory agreements are referred to as the "Management Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
global investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that after considering each Fund's investment strategies
and the expectations of its shareholder base, the performance of each Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
45
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.
46
DFA043017-008S
[LOGO] 00194735
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2017 (Unaudited)
Dimensional Investment Group Inc.
LWAS/DFA U.S. High Book to Market Portfolio
LWAS/DFA Two-Year Fixed Income Portfolio
LWAS/DFA Two-Year Government Portfolio
DFA Investment Dimensions Group Inc.
LWAS/DFA International High Book to Market Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
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/ /s/ Eduardo A. Repetto
David Butler Eduardo Repetto
CO-CHIEF EXECUTIVE CO-CHIEF EXECUTIVE
OFFICER AND HEAD OF OFFICER AND CO-CHIEF
GLOBAL FINANCIAL ADVISOR INVESTMENT OFFICER
SERVICES
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES.................................................. 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses.............................................................. 2
Disclosure of Portfolio Holdings......................................................... 4
Schedules of Investments
LWAS/DFA U.S. High Book to Market Portfolio.......................................... 5
LWAS/DFA Two-Year Fixed Income Portfolio............................................. 6
LWAS/DFA Two-Year Government Portfolio............................................... 8
Statements of Assets and Liabilities..................................................... 9
Statements of Operations................................................................. 11
Statements of Changes in Net Assets...................................................... 12
Financial Highlights..................................................................... 13
Notes to Financial Statements............................................................ 15
Section 19(a) Notice..................................................................... 22
DFA INVESTMENT DIMENSIONS GROUP INC. - LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
Disclosure of Fund Expenses.............................................................. 23
Disclosure of Portfolio Holdings......................................................... 24
Schedule of Investments.................................................................. 25
Statement of Assets and Liabilities...................................................... 26
Statement of Operations.................................................................. 27
Statement of Changes in Net Assets....................................................... 28
Financial Highlights..................................................................... 29
Notes to Financial Statements............................................................ 30
Section 19(a) Notice..................................................................... 35
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses.............................................................. 36
Disclosure of Portfolio Holdings......................................................... 37
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series...................................................... 38
The DFA International Value Series................................................... 41
Statements of Assets and Liabilities..................................................... 45
Statements of Operations................................................................. 46
Statements of Changes in Net Assets...................................................... 47
Financial Highlights..................................................................... 48
Notes to Financial Statements............................................................ 49
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................................................. 58
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS.......................................... 59
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the
category headings have been calculated as a percentage of total investments. "Other Securities"
are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not
represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this
category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
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*
--------- --------- ---------- --------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,152.30 0.28% $1.49
Hypothetical 5% Annual Return................. $1,000.00 $1,023.41 0.28% $1.40
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,004.10 0.26% $1.29
Hypothetical 5% Annual Return................. $1,000.00 $1,023.51 0.26% $1.30
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*
--------- --------- ---------- --------
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,000.90 0.25% $1.24
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.55 0.25% $1.25
----------
* 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).
3
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).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The categories of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
FEEDER FUND
AFFILIATED INVESTMENT COMPANY
-----------------------------
LWAS/DFA U.S. High Book to
Market Portfolio............ 100.0%
FIXED INCOME PORTFOLIOS
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
Corporate.................................... 19.3%
Government................................... 6.6%
Foreign Corporate............................ 33.8%
Foreign Government........................... 30.9%
Supranational................................ 9.4%
-----
100.0%
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
Government................................... 100.0%
-----
100.0%
4
LWAS/DFA U.S. HIGH BOOK TO MARKET 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.................................. $56,333,846
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$23,510,690)........................................... $56,333,846
===========
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.
5
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (4.4%)
Federal Home Loan Bank
1.750%, 12/14/18............................. $ 700 $ 705,081
1.250%, 01/16/19............................. 350 349,615
1.375%, 03/18/19............................. 500 500,339
Federal National Mortgage Association
1.125%, 12/14/18............................. 2,000 1,994,622
----------
TOTAL AGENCY OBLIGATIONS......................... 3,549,657
----------
BONDS -- (91.7%)
African Development Bank
1.625%, 10/02/18............................. 700 702,281
# 1.000%, 11/02/18............................. 1,200 1,192,729
Apple, Inc.
1.550%, 02/08/19............................. 659 660,038
Australia & New Zealand Banking Group, Ltd.
2.000%, 11/16/18............................. 500 501,478
Bank Nederlandse Gemeenten NV
## 1.125%, 05/25/18............................. 500 498,602
1.375%, 01/28/19............................. 700 697,455
## 1.500%, 02/15/19............................. 250 249,513
1.500%, 02/15/19............................. 400 399,192
Bank of Montreal
1.400%, 09/11/17............................. 1,100 1,100,218
1.400%, 04/10/18............................. 1,000 999,569
1.350%, 08/28/18............................. 236 235,158
Bank of Nova Scotia (The)
2.050%, 10/30/18............................. 1,748 1,759,596
1.950%, 01/15/19............................. 500 501,582
Berkshire Hathaway Finance Corp.
1.450%, 03/07/18............................. 250 250,320
Caisse d'Amortissement de la Dette Sociale
## 1.500%, 01/28/19............................. 600 599,149
1.500%, 01/28/19............................. 750 748,221
Caisse des Depots et Consignations
1.500%, 11/13/18............................. 1,800 1,796,069
Chevron Corp.
1.790%, 11/16/18............................. 2,200 2,211,145
Cisco Systems, Inc.
2.125%, 03/01/19............................. 1,350 1,363,932
Coca-Cola Co. (The)
# 1.150%, 04/01/18............................. 700 698,911
Commonwealth Bank of Australia
1.900%, 09/18/17............................. 500 500,935
2.500%, 09/20/18............................. 750 758,779
1.750%, 11/02/18............................. 625 624,739
Cooperatieve Rabobank UA
1.700%, 03/19/18............................. 704 705,002
2.250%, 01/14/19............................. 1,450 1,460,201
Dexia Credit Local SA
2.250%, 01/30/19............................. 600 602,149
FACE
AMOUNT VALUE+
------ ------
(000)
Erste Abwicklungsanstalt
1.625%, 02/21/19............................. $1,000 $ 997,279
European Bank for Reconstruction & Development
1.625%, 11/15/18............................. 2,350 2,356,977
European Investment Bank
1.125%, 08/15/18............................. 1,250 1,246,127
1.625%, 12/18/18............................. 500 501,478
2.125%, 03/15/19............................. 467 471,991
Export Development Canada
1.500%, 10/03/18............................. 750 751,402
Exxon Mobil Corp.
1.439%, 03/01/18............................. 900 900,929
1.708%, 03/01/19............................. 1,275 1,278,084
FMS Wertmanagement AoeR
1.625%, 11/20/18............................. 600 601,791
General Electric Co.
5.625%, 05/01/18............................. 1,000 1,041,231
Japan Finance Organization for Municipalities
1.500%, 09/12/17............................. 1,609 1,607,455
Kommunalbanken A.S.
2.125%, 03/15/19............................. 2,300 2,322,321
Kommuninvest I Sverige AB
1.125%, 10/09/18............................. 500 497,860
Kreditanstalt fuer Wiederaufbau
1.000%, 09/07/18............................. 500 497,759
# 1.125%, 11/16/18............................. 950 945,984
1.500%, 02/06/19............................. 750 750,631
Microsoft Corp.
1.300%, 11/03/18............................. 1,875 1,873,279
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 500 498,841
## 1.250%, 09/10/18............................. 1,000 997,387
1.250%, 09/10/18............................. 500 498,694
National Australia Bank, Ltd.
2.300%, 07/25/18............................. 400 402,880
Nederlandse Waterschapsbank NV
## 1.500%, 01/23/19............................. 1,150 1,148,042
1.875%, 03/13/19............................. 500 502,253
Nordic Investment Bank
0.875%, 09/27/18............................. 1,000 993,157
NRW Bank
1.375%, 08/20/18............................. 1,200 1,197,906
Oesterreichische Kontrollbank AG
1.625%, 03/12/19............................. 1,600 1,602,266
Ontario, Province of Canada
2.000%, 09/27/18............................. 1,800 1,812,217
2.000%, 01/30/19............................. 500 503,510
Oracle Corp.
2.375%, 01/15/19............................. 1,025 1,038,791
Pfizer, Inc.
1.200%, 06/01/18............................. 1,822 1,818,983
6
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Royal Bank of Canada
1.500%, 01/16/18............................. $1,331 $1,331,409
1.625%, 04/15/19............................. 842 838,218
Sanofi
1.250%, 04/10/18............................. 1,500 1,498,948
Shell International Finance BV
1.625%, 11/10/18............................. 1,925 1,930,581
2.000%, 11/15/18............................. 400 402,193
State of North Rhine-Westphalia Germany
1.250%, 02/20/18............................. 800 798,372
Statoil ASA
3.125%, 08/17/17............................. 500 502,696
1.250%, 11/09/17............................. 1,000 999,679
1.150%, 05/15/18............................. 800 796,218
Svensk Exportkredit AB
1.250%, 04/12/19............................. 1,150 1,141,304
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 1,616 1,634,699
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 979 978,235
2.625%, 09/10/18............................. 1,250 1,266,537
Total Capital International SA
2.125%, 01/10/19............................. 300 302,469
Total Capital SA
2.125%, 08/10/18............................. 1,950 1,965,641
Toyota Motor Credit Corp.
1.200%, 04/06/18............................. 250 249,679
1.550%, 07/13/18............................. 750 750,280
2.100%, 01/17/19............................. 750 755,923
1.700%, 02/19/19............................. 500 500,632
FACE
AMOUNT VALUE+
------ ------
(000)
Westpac Banking Corp.
2.250%, 01/17/19............................. $ 2,334 $ 2,348,545
-----------
TOTAL BONDS........................................ 74,466,726
-----------
U.S. TREASURY OBLIGATIONS -- (2.1%)
U.S. Treasury Notes
1.375%, 12/31/18............................. 500 501,074
1.125%, 01/15/19............................. 1,000 998,203
0.875%, 04/15/19............................. 250 248,105
-----------
TOTAL U.S. TREASURY OBLIGATIONS.................... 1,747,382
-----------
TOTAL INVESTMENT SECURITIES........................ 79,763,765
-----------
SHARES
------
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S. Government
Money Market Fund, 0.680%................... 493,447 493,447
-----------
SECURITIES LENDING COLLATERAL -- (1.2%)
(S)@ DFA Short Term Investment Fund............... 85,749 992,373
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $81,316,154)............................... $81,249,585
===========
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
-------- ----------- ------- -----------
Agency Obligations................. -- $ 3,549,657 -- $ 3,549,657
Bonds.............................. -- 74,466,726 -- 74,466,726
U.S. Treasury Obligations.......... -- 1,747,382 -- 1,747,382
Temporary Cash Investments......... $493,447 -- -- 493,447
Securities Lending Collateral...... -- 992,373 -- 992,373
-------- ----------- -- -----------
TOTAL.............................. $493,447 $80,756,138 -- $81,249,585
======== =========== == ===========
See accompanying Notes to Financial Statements.
7
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
U.S. TREASURY OBLIGATIONS -- (99.5%)
U.S. Treasury Notes
1.250%, 12/15/18............................. $ 7,500 $ 7,502,640
1.375%, 12/31/18............................. 19,200 19,241,242
1.125%, 01/15/19............................. 6,500 6,488,319
1.250%, 01/31/19............................. 5,250 5,250,409
0.750%, 02/15/19............................. 5,000 4,955,665
2.750%, 02/15/19............................. 11,000 11,292,182
1.500%, 02/28/19............................. 29,400 29,529,772
1.000%, 03/15/19............................. 2,000 1,990,624
0.875%, 04/15/19............................. 23,300 23,123,433
------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 109,374,286
------------
TOTAL INVESTMENT SECURITIES...................... 109,374,286
------------
SHARES VALUE+
------ ------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government
Money Market Fund, 0.680%................... 531,837 $ 531,837
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $109,893,605)............................ $109,906,123
============
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
-------- ------------ ------- ------------
U.S. Treasury Obligations..... -- $109,374,286 -- $109,374,286
Temporary Cash Investments.... $531,837 -- -- 531,837
-------- ------------ -- ------------
TOTAL......................... $531,837 $109,374,286 -- $109,906,123
======== ============ == ============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (Affiliated Investment
Company) at Value....................................................................................... $ 56,334
Prepaid Expenses and Other Assets........................................................................ 12
------------
Total Assets........................................................................................ 56,346
------------
LIABILITIES:
Payables:
Accrued Expenses and Other Liabilities................................................................... 9
------------
Total Liabilities................................................................................... 9
------------
NET ASSETS............................................................................................... $ 56,337
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).................................................................. 2,984,325
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................................. $ 18.88
============
Investment in Affiliated Investment Company at Cost...................................................... $ 23,511
============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................................................................... $ 19,820
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................... 99
Accumulated Net Realized Gain (Loss)..................................................................... 3,595
Net Unrealized Appreciation (Depreciation)............................................................... 32,823
------------
NET ASSETS............................................................................................... $ 56,337
============
(1) NUMBER OF SHARES AUTHORIZED.......................................................................... 300,000,000
============
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
LWAS/DFA LWAS/DFA
TWO-YEAR TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
------------ ------------
ASSETS:
Investments at Value (including $971 and $0 of securities on loan, respectively).......... $ 79,764 $ 109,374
Temporary Cash Investments at Value & Cost................................................ 493 532
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $992
and $0).................................................................................. 992 --
Cash...................................................................................... 7 --
Receivables:
Dividends, Interest and Tax Reclaims.................................................... 372 318
Fund Shares Sold........................................................................ -- 186
Prepaid Expenses and Other Assets......................................................... 12 14
------------ ------------
Total Assets......................................................................... 81,640 110,424
------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................................ 992 --
Fund Shares Redeemed.................................................................... 3 14
Due to Advisor.......................................................................... 10 14
Accrued Expenses and Other Liabilities.................................................... 13 20
------------ ------------
Total Liabilities.................................................................... 1,018 48
------------ ------------
NET ASSETS................................................................................ $ 80,622 $ 110,376
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................... 8,071,505 11,208,816
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................. $ 9.99 $ 9.85
============ ============
Investments at Cost....................................................................... $ 79,831 $ 109,362
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................... $ 80,683 $ 110,736
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 89 110
Accumulated Net Realized Gain (Loss)...................................................... (83) (482)
Net Unrealized Appreciation (Depreciation)................................................ (67) 12
------------ ------------
NET ASSETS................................................................................ $ 80,622 $ 110,376
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................... 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
LWAS/DFA LWAS/DFA
U.S. HIGH TWO-YEAR LWAS/DFA
BOOK TO FIXED TWO-YEAR
MARKET INCOME GOVERNMENT
PORTFOLIO* PORTFOLIO# PORTFOLIO
---------- ---------- ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Company:
Dividends.............................................................. $ 637 -- --
Income from Securities Lending......................................... 3 -- --
Expenses Allocated from Affiliated Investment Company.................. (31) -- --
------ ----- -----
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 609 -- --
------ ----- -----
FUND INVESTMENT INCOME
Dividends.............................................................. -- $ 1 $ 1
Interest............................................................... -- 501 586
Income from Securities Lending......................................... -- 1 --
------ ----- -----
Total Investment Income............................................. -- 503 587
------ ----- -----
FUND EXPENSES
Investment Management Fees............................................. 31 60 83
Accounting & Transfer Agent Fees....................................... 2 4 5
Shareholder Servicing Fees............................................. 28 21 29
Custodian Fees......................................................... -- 2 1
Filing Fees............................................................ 9 9 9
Shareholders' Reports.................................................. 4 5 8
Directors'/Trustees' Fees & Expenses................................... -- -- 1
Professional Fees...................................................... 1 2 2
Other.................................................................. -- 1 1
------ ----- -----
Total Expenses...................................................... 75 104 139
------ ----- -----
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (28) -- --
------ ----- -----
Net Expenses........................................................... 47 104 139
------ ----- -----
NET INVESTMENT INCOME (LOSS)........................................... 562 399 448
------ ----- -----
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... 3,551 (66) (214)
Futures.............................................................. 35 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................ 3,953 (58) (145)
Futures.............................................................. (13) -- --
------ ----- -----
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 7,526 (124) (359)
------ ----- -----
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $8,088 $ 275 $ 89
====== ===== =====
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LWAS/DFA U.S. HIGH BOOK LWAS/DFA TWO-YEAR FIXED LWAS/DFA TWO-YEAR
TO MARKET PORTFOLIO INCOME PORTFOLIO GOVERNMENT PORTFOLIO
---------------------- ---------------------- --------------------
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)................. $ 562 $ 1,207 $ 399 $ 648 $ 448 $ 670
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 3,551 3,454 (66) (18) (214) (267)
Futures.................................... 35 59 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities...................... 3,953 (2,441) (58) 49 (145) 227
Futures.................................... (13) (9) -- -- -- --
------- ------- ------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 8,088 2,270 275 679 89 630
------- ------- ------- -------- -------- --------
Distributions From:
Net Investment Income........................ (527) (1,193) (410) (605) (440) (610)
Net Short-Term Gains......................... (40) -- -- (205) -- (352)
Net Long-Term Gains.......................... (3,325) (4,712) -- (5) -- --
------- ------- ------- -------- -------- --------
Total Distributions....................... (3,892) (5,905) (410) (815) (440) (962)
------- ------- ------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................ 234 1,005 3,418 3,649 4,860 5,405
Shares Issued in Lieu of Cash
Distributions............................... 3,892 5,905 410 815 440 962
Shares Redeemed.............................. (6,599) (8,182) (4,239) (14,939) (10,072) (24,184)
------- ------- ------- -------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... (2,473) (1,272) (411) (10,475) (4,772) (17,817)
------- ------- ------- -------- -------- --------
Total Increase (Decrease) in Net
Assets................................... 1,723 (4,907) (546) (10,611) (5,123) (18,149)
NET ASSETS
Beginning of Period.......................... 54,614 59,521 81,168 91,779 115,499 133,648
------- ------- ------- -------- -------- --------
End of Period................................ $56,337 $54,614 $80,622 $ 81,168 $110,376 $115,499
======= ======= ======= ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 12 59 342 365 493 548
Shares Issued in Lieu of Cash
Distributions............................... 211 351 41 82 45 98
Shares Redeemed.............................. (350) (482) (424) (1,494) (1,023) (2,451)
------- ------- ------- -------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... (127) (72) (41) (1,047) (485) (1,805)
======= ======= ======= ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)............................ $ 99 $ 64 $ 89 $ 100 $ 110 $ 102
----------
* Net of foreign capital gain taxes withheld of $ 0, $ 0, $ 0, $0, $ 0 and $ 0,
respectively.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
---------------------------------------------------------
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................... $ 17.55 $ 18.70 $ 20.16 $ 18.40 $ 13.84 $ 11.96
------- ------- ------- ------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................ 0.18 0.37 0.38 0.32 0.28 0.25
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 2.46 0.36 (0.23) 2.41 4.57 1.87
------- ------- ------- ------- ------- -------
Total from Investment
Operations............... 2.64 0.73 0.15 2.73 4.85 2.12
----------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.18) (0.37) (0.36) (0.29) (0.29) (0.24)
Net Realized Gains.......... (1.13) (1.51) (1.25) (0.68) -- --
------- ------- ------- ------- ------- -------
Total Distributions....... (1.31) (1.88) (1.61) (0.97) (0.29) (0.24)
----------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 18.88 $ 17.55 $ 18.70 $ 20.16 $ 18.40 $ 13.84
=========================== =========== ======== ======== ======== ======== ========
Total Return................. 15.23%(C) 4.49% 1.12% 15.38% 35.41% 18.01%
----------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $56,337 $54,614 $59,521 $68,214 $67,266 $60,916
Ratio of Expenses to
Average Net Assets (B)...... 0.28%(D) 0.33% 0.32% 0.34% 0.34% 0.34%
Ratio of Expenses to
Average Net Assets
(Excluding Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by
Advisor) (B)................ 0.38%(D) 0.43% 0.35% 0.34% 0.34% 0.34%
Ratio of Net Investment
Income to Average Net
Assets...................... 1.98%(D) 2.19% 1.99% 1.67% 1.77% 1.93%
----------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
LWAS/DFA TWO-YEAR FIXED INCOME 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.................................. $ 10.00 $ 10.02 $ 10.02 $ 10.02 $ 10.07 $ 10.10
------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.05 0.08 0.04 0.02 0.03 0.04
Net Gains (Losses) on Securities (Realized and Unrealized)........... (0.01) (0.01) 0.02 0.01 -- 0.03
------- ------- ------- ------- ------- -------
Total from Investment Operations................................... 0.04 0.07 0.06 0.03 0.03 0.07
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.05) (0.07) (0.04) (0.02) (0.03) (0.04)
Net Realized Gains................................................... -- (0.02) (0.02) (0.01) (0.05) (0.06)
------- ------- ------- ------- ------- -------
Total Distributions................................................ (0.05) (0.09) (0.06) (0.03) (0.08) (0.10)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period........................................ $ 9.99 $ 10.00 $ 10.02 $ 10.02 $ 10.02 $ 10.07
===================================================================== =========== ======== ======== ======== ======== ========
Total Return.......................................................... 0.41%(C) 0.74% 0.57% 0.31% 0.26% 0.75%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................................. $80,622 $81,168 $91,779 $98,961 $94,726 $89,326
Ratio of Expenses to Average Net Assets............................... 0.26%(D) 0.29% 0.29% 0.28% 0.29% 0.30%
Ratio of Net Investment Income to Average Net Assets.................. 1.00%(D) 0.75% 0.43% 0.20% 0.27% 0.40%
Portfolio Turnover Rate............................................... 69%(C) 93% 238% 122% 57% 102%
----------------------------------------------------------------------------------------------------------------------------------
LWAS/DFA TWO-YEAR GOVERNMENT 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.................................. $ 9.88 $ 9.90 $ 9.92 $ 9.91 $ 9.96
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.04 0.05 0.03 0.01 0.01
Net Gains (Losses) on Securities (Realized and Unrealized)........... (0.03) 0.01 0.01 0.03 0.02
-------- -------- -------- -------- --------
Total from Investment Operations................................... 0.01 0.06 0.04 0.04 0.03
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.04) (0.05) (0.03) (0.01) (0.01)
Net Realized Gains................................................... -- (0.03) (0.03) (0.02) (0.07)
-------- -------- -------- -------- --------
Total Distributions................................................ (0.04) (0.08) (0.06) (0.03) (0.08)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period........................................ $ 9.85 $ 9.88 $ 9.90 $ 9.92 $ 9.91
===================================================================== =========== ======== ======== ======== ========
Total Return.......................................................... 0.09%(C) 0.58% 0.38% 0.39% 0.26%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................................. $110,376 $115,499 $133,648 $145,231 $145,205
Ratio of Expenses to Average Net Assets............................... 0.25%(D) 0.28% 0.28% 0.27% 0.28%
Ratio of Net Investment Income to Average Net Assets.................. 0.81%(D) 0.55% 0.31% 0.12% 0.05%
Portfolio Turnover Rate............................................... 151%(C) 118% 262% 225% 160%
-----------------------------------------------------------------------------------------------------------------------------
---------
YEAR
ENDED
OCT. 31,
2012
--------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.................................. $ 9.98
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.02
Net Gains (Losses) on Securities (Realized and Unrealized)........... 0.04
--------
Total from Investment Operations................................... 0.06
--------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.03)
Net Realized Gains................................................... (0.05)
--------
Total Distributions................................................ (0.08)
--------------------------------------------------------------------------------
Net Asset Value, End of Period........................................ $ 9.96
===================================================================== ========
Total Return.......................................................... 0.50%
--------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................................. $145,273
Ratio of Expenses to Average Net Assets............................... 0.28%
Ratio of Net Investment Income to Average Net Assets.................. 0.19%
Portfolio Turnover Rate............................................... 111%
--------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
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, three of which, LWAS/DFA U.S. High Book to Market Portfolio,
LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA Two-Year Government
Portfolio (the "Portfolios"), are presented in this report. The remaining
operational portfolios are presented in separate reports. The Portfolios are
investment companies, and accordingly, follow the accounting and reporting
guidance under Financial Accounting Standards Board ("FASB") Accounting
Standards Certification ("ASC") Topic 946, "Financial Services-Investment
Companies."
LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") primarily
invests its assets in The U.S. Large Cap Value Series (the "Series"), a
corresponding series of The DFA Investment Trust Company. At April 30, 2017,
the Feeder Fund owned less than 1% of the Series. The financial statements of
the Series are included elsewhere in this report and should be read in
conjunction with the financial statements of the Feeder Fund.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by LWAS/DFA Two-Year Fixed Income Portfolio and
LWAS/DFA Two-Year Government Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of Directors
of the Fund. These valuations are generally categorized as Level 2 in the
hierarchy. Fair value pricing may also be used if events that have a
significant effect on the value of an investment (as determined in the
discretion of Dimensional Fund Advisors LP) occur before the net asset value of
the Portfolio is calculated. When fair value pricing is used, the prices of
securities used by the Portfolios may differ from the quoted or published
prices for the same securities on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
15
The Feeder Fund's investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments for the Portfolios (except for the Feeder Fund). The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the 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 of net investment
income and realized and unrealized gains/losses of investment securities, on a
daily basis, from its Series, which is treated as a partnership for federal
income tax purposes. Security transactions are accounted for as of the trade
date. Costs used in determining realized gains and losses on the sale of
investment securities are accounted for on the basis of identified cost.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities, utilizing the effective interest method. Expenses directly
attributable to a Portfolio are directly charged. Common expenses of the Fund
or the Portfolios are allocated using methods approved by the Board, generally
based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the 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:
LWAS/DFA U.S. High Book to Market Portfolio(1).............. 0.11%
LWAS/DFA Two-Year Fixed Income Portfolio.................... 0.15%
LWAS/DFA Two-Year Government Portfolio...................... 0.15%
(1) Effective as of July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Feeder Fund to
the extent necessary to limit the total management fees paid to the Advisor by
the Feeder Fund, including the proportionate share of the management fees the
Feeder Fund pays
16
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 0.11% of the average net
assets of a class of the Feeder Fund on an annualized basis. The Fee Waiver
Agreement for the Feeder Fund will remain in effect permanently, unless
terminated by the Fund.
For the six months ended April 30, 2017, approximately $28 (in thousands) of
the LWAS/DFA U.S. High Book to Market Portfolio's management fees were waived
pursuant to the Fee Waiver Agreement.
Prior to February 28, 2017, pursuant to a Client Service Agreement with LWI
Financial Inc. ("LWIF"), the Portfolios paid monthly Shareholder Servicing Fees
to LWIF at the following effective annual rates of their average daily net
assets:
SHAREHOLDER
SERVICING FEES
--------------
LWAS/DFA U.S. High Book to
Market Portfolio............ 0.15%
LWAS/DFA Two-Year Fixed
Income Portfolio............ 0.08%
LWAS/DFA Two-Year Government
Portfolio................... 0.08%
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the 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
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):
LWAS/DFA U.S. High Book to
Market Portfolio............ $3
LWAS/DFA Two-Year Fixed
Income Portfolio............ 4
LWAS/DFA Two-Year Government
Portfolio................... 7
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------ -----------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- -------
LWAS/DFA Two-Year Fixed
Income Portfolio............ $ 6,402 $ 7,150 $48,805 $48,723
LWAS/DFA Two-Year Government
Portfolio................... 167,942 172,967 -- --
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
17
the differences arise. Accordingly, the following permanent differences as of
October 31, 2016, primarily attributable to tax equalization, were reclassified
to the following accounts. These reclassifications had no effect on net assets
or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
LWAS/DFA U.S. High Book to
Market Portfolio............ $192 $(57) $(135)
LWAS/DFA Two-Year Fixed
Income Portfolio............ 11 (11) --
LWAS/DFA Two-Year Government
Portfolio................... 13 (13) --
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
LWAS/DFA U.S. High Book to Market Portfolio
2015........................................ $1,271 $4,067 -- $5,338
2016........................................ 1,193 4,712 -- 5,905
LWAS/DFA Two-Year Fixed Income Portfolio
2015........................................ 484 73 -- 557
2016........................................ 809 5 -- 814
LWAS/DFA Two-Year Government Portfolio
2015........................................ 836 -- -- 836
2016........................................ 962 -- -- 962
At October 31, 2016, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
LWAS/DFA U.S. High Book to
Market Portfolio............ $51 $141 $192
LWAS/DFA Two-Year Fixed
Income Portfolio............ 11 -- 11
LWAS/DFA Two-Year Government
Portfolio................... 13 -- 13
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
LWAS/DFA U.S. High Book to Market
Portfolio....................... $108 $3,325 -- $28,893 $32,326
LWAS/DFA Two-Year Fixed Income
Portfolio....................... 104 -- $ (18) (9) 77
LWAS/DFA Two-Year Government
Portfolio....................... 108 -- (269) 157 (4)
18
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2016, the
Portfolios had no capital loss carryforwards available to offset future
realized capital gains.
At 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)
-------- ------------ ------------ --------------
LWAS/DFA U.S. High Book to
Market Portfolio............ $ 23,520 $32,814 -- $32,814
LWAS/DFA Two-Year Fixed
Income Portfolio............ 81,316 35 $(102) (67)
LWAS/DFA Two-Year Government
Portfolio................... 109,894 51 (38) 13
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each of the
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in any of the Portfolio's financial statements. The
Portfolios are not aware of any tax positions for which it is more likely than
not that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months. The Portfolios' federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue
Service.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 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 Portfolios 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
19
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.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. OTHER:
At 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
------------ --------------
LWAS/DFA U.S. High Book to
Market Portfolio............ 2 92%
LWAS/DFA Two-Year Fixed
Income Portfolio............ 3 96%
LWAS/DFA Two-Year Government
Portfolio................... 3 97%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee (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
20
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.
J. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
21
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
-------------- ------------------ ------------------ -------------
LWAS/DFA U.S. High Book to Market Portfolio
December 15, 2016........................ 89% 0% 11%
LWAS/DFA Two-Year Fixed Income Portfolio
December 15, 2016........................ 87% 0% 13%
LWAS/DFA Two-Year Government Portfolio
December 15, 2016........................ 86% 0% 14%
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.
22
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2017
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO**
------------------------------------------------------
Actual Fund Return..................................... $1,000.00 $1,114.80 0.41% $2.15
Hypothetical 5% Annual Return.......................... $1,000.00 $1,022.76 0.41% $2.06
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (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).
23
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on 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 of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by country.
FEEDER FUND
AFFILIATED INVESTMENT COMPANY
-----------------------------
LWAS/DFA International High Book to Market Portfolio. 100.0%
24
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET 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.................................. $55,807,116
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$49,414,869)........................................... $55,807,116
===========
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.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company (Affiliated
Investment Company) at Value.................................................................... $ 55,807
Prepaid Expenses and Other Assets................................................................ 15
--------------
Total Assets................................................................................ 55,822
--------------
LIABILITIES:
Payables:
Fund Shares Redeemed........................................................................... 2
Accrued Expenses and Other Liabilities........................................................... 10
--------------
Total Liabilities........................................................................... 12
--------------
NET ASSETS....................................................................................... $ 55,810
==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................................................... 7,107,643
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......................................... $ 7.85
==============
Investment in Affiliated Investment Company at Cost.............................................. $ 49,415
==============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................................. $ 50,187
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... 368
Accumulated Net Realized Gain (Loss)............................................................. (1,142)
Net Unrealized Foreign Exchange Gain (Loss)...................................................... 5
Net Unrealized Appreciation (Depreciation)....................................................... 6,392
--------------
NET ASSETS....................................................................................... $ 55,810
==============
(1) NUMBER OF SHARES AUTHORIZED.................................................................. 1,000,000,000
==============
See accompanying Notes to Financial Statements.
26
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO*
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Company:
Dividends (Net of Foreign Taxes Withheld of $74).................................................. $ 848
Income from Securities Lending.................................................................... 26
Expenses Allocated from Affiliated Investment Company............................................. (58)
------
Total Investment Income........................................................................ 816
------
EXPENSES
Investment Management Fees........................................................................ 57
Accounting & Transfer Agent Fees.................................................................. 2
Shareholder Servicing Fees........................................................................ 34
Filing Fees....................................................................................... 9
Shareholders' Reports............................................................................. 4
Professional Fees................................................................................. 1
Other............................................................................................. 1
------
Total Expenses................................................................................. 108
------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C). (55)
------
Net Expenses...................................................................................... 53
------
NET INVESTMENT INCOME (LOSS)...................................................................... 763
------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:......................................................................
Investment Securities Sold**.................................................................... 148
Futures......................................................................................... 43
Foreign Currency Transactions................................................................... (19)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... 5,205
Futures......................................................................................... (11)
Translation of Foreign Currency Denominated Amounts............................................. 6
------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................... 5,372
------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................... $6,135
======
----------
* 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.
See accompanying Notes to Financial Statements.
27
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LWAS/DFA INTERNATIONAL
HIGH BOOK TO MARKET PORTFOLIO
----------------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2017 2016
----------- --------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 763 $ 1,822
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 148 (1,293)
Futures............................................................. 43 37
Foreign Currency Transactions....................................... (19) 33
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency.......................... 5,205 (990)
Futures............................................................. (11) (7)
Translation of Foreign Currency Denominated Amounts................. 6 (5)
------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 6,135 (403)
------- --------
Distributions From:
Net Investment Income................................................. (685) (1,752)
Net Long-Term Gains................................................... -- (2,241)
------- --------
Total Distributions................................................ (685) (3,993)
------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 555 4,830
Shares Issued in Lieu of Cash Distributions........................... 685 3,993
Shares Redeemed....................................................... (5,105) (10,274)
------- --------
Net Increase (Decrease) from Capital Share Transactions............ (3,865) (1,451)
------- --------
Total Increase (Decrease) in Net Assets............................ 1,585 (5,847)
NET ASSETS
Beginning of Period................................................... 54,225 60,072
------- --------
End of Period......................................................... $55,810 $ 54,225
======= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 75 692
Shares Issued in Lieu of Cash Distributions........................... 92 583
Shares Redeemed....................................................... (660) (1,469)
------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ (493) (194)
======= ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)..................... $ 368 $ 290
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
28
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
------------------------------------------------------------
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............................. $ 7.13 $ 7.71 $ 8.61 $ 9.50 $ 8.22 $ 8.68
------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.10 0.23 0.25 0.39 0.25 0.28
Net Gains (Losses) on Securities (Realized and Unrealized)...... 0.71 (0.29) (0.72) (0.47) 1.87 (0.10)
------- ------- ------- ------- ------- -------
Total from Investment Operations.............................. 0.81 (0.06) (0.47) (0.08) 2.12 0.18
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.09) (0.23) (0.24) (0.38) (0.27) (0.28)
Net Realized Gains.............................................. -- (0.29) (0.19) (0.43) (0.57) (0.36)
------- ------- ------- ------- ------- -------
Total Distributions........................................... (0.09) (0.52) (0.43) (0.81) (0.84) (0.64)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................................... $ 7.85 $ 7.13 $ 7.71 $ 8.61 $ 9.50 $ 8.22
================================================================ =========== ======== ======== ======== ======== ========
Total Return..................................................... 11.48%(C) (0.46)% (5.59)% (0.99)% 27.91% 2.89%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................ $55,810 $54,225 $60,072 $68,666 $77,901 $66,900
Ratio of Expenses to Average Net Assets (B)...................... 0.41%(D) 0.48% 0.47% 0.50% 0.49% 0.50%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (B)....................................... 0.61%(D) 0.68% 0.53% 0.50% 0.49% 0.50%
Ratio of Net Investment Income to Average Net Assets............. 2.79%(D) 3.42% 3.05% 4.28% 2.91% 3.49%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
29
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
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 offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of ninety-six operational
portfolios, one of which, LWAS/DFA International High Book to Market Portfolio
(the "Portfolio"), is presented in this report. The remaining operational
portfolios are presented in separate reports. The Portfolio is an investment
company, and accordingly, follows the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
The Portfolio primarily invests its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At April 30, 2017, the Portfolio owned less than 1% of the Series. The
financial statements of the Series are included elsewhere in this report and
should be read in conjunction with the financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
30
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 Directors is included in Accrued Expenses and Other Liabilities
on the Statement of Assets and Liabilities in the amount of $3 (in thousands).
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2017, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Portfolio recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Distributions received on
securities that represent a return of capital or capital gains are recorded as
a reduction of cost of investments or as a realized gain, respectively.
Expenses directly attributable to the Portfolio are directly charged. Common
expenses of the Fund or the Portfolios are allocated using methods approved by
the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
For the six months ended April 30, 2017, the Portfolio's investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.21% of the Portfolio's average daily net assets.
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of the Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by the
Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund, to
0.21% of the average net assets of a class of the Portfolio on an annualized
basis. The Fee Waiver Agreement for the Portfolio will remain in effect
permanently, unless terminated by the Fund.
For the six months ended April 30, 2017, approximately $55 (in thousands) of
the Portfolio's management fees were waived pursuant to the Fee Waiver
Agreement.
Prior to February 28, 2017, pursuant to a Client Service Agreement with LWI
Financial Inc. ("LWIF"), the Portfolio paid a monthly Shareholder Servicing Fee
to LWIF at an effective annual rate of 0.19% of its average daily net assets.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the 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.
31
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2016, primarily attributable to net foreign
currency gains (losses) and gains on securities considered to be "passive
foreign investment companies", tax equalization and foreign capital gains tax
were reclassified to the following accounts. These reclassifications had no
effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
LWAS/DFA International High Book to Market Portfolio........ $37 $29 $(66)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
LWAS/DFA International High Book to Market
Portfolio
2015....................................... $1,918 $1,481 -- $3,399
2016....................................... 1,752 2,241 -- 3,993
At October 31, 2016, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
LWAS/DFA International High Book to Market Portfolio. $37
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
LWAS/DFA International High Book to
Market Portfolio.................. $382 -- $(1,184) $750 $(52)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolio after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
32
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 had no capital loss carryforwards available to offset future realized
capital gains.
During the year ended October 31, 2016, the Portfolio did not utilize
capital loss carryforwards.
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)
-------- ------------ ------------ --------------
LWAS/DFA International High Book to Market Portfolio........ $49,635 $6,172 -- $6,172
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolio's
tax positions and has concluded that no additional provision for income tax is
required in the Portfolio's financial statements. The Portfolio is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Portfolio's federal tax returns for prior three fiscal years remain
subject to examination by the Internal Revenue Service.
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 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.
F. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
33
G. OTHER:
At April 30, 2017, two shareholders held approximately 95% 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.
H. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolio through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
34
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 fund paid distributions to
shareholders of record a portion of which is estimated to be in excess of the
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 the fund will not
be available until the end of the 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
-------------- ------------------ ------------------ -------------
LWAS/DFA International High Book to Market Portfolio
December 15, 2016................................. 79% 0% 21%
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.
35
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
----------
* 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.
36
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%
37
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%
Other Securities.............................. 742,504,228 3.0%
-------------- -----
Total Health Care................................. 3,003,566,513 12.1%
-------------- -----
38
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
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%
=============== ======
39
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.
40
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%
41
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (Continued)
Other Securities...................... $ 222,111,215 2.0%
---------------- -----
TOTAL HONG KONG........................... 303,234,661 2.7%
---------------- -----
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%
42
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
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%
---------------- ------
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%
================ ======
43
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.
44
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP INTERNATIONAL
VALUE SERIES* VALUE SERIES*
------------- -------------
ASSETS:
Investments at Value (including $1,404,990 and $975,662 of securities on loan, respectively)...... $24,480,375 $11,025,504
Temporary Cash Investments at Value & Cost........................................................ 288,414 --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $920,913 and
$942,244)........................................................................................ 921,032 942,324
Segregated Cash for Futures Contracts............................................................. 7,160 4,695
Foreign Currencies at Value....................................................................... -- 13,627
Cash.............................................................................................. -- 114,845
Receivables:
Investment Securities Sold...................................................................... 22,846 --
Dividends, Interest and Tax Reclaims............................................................ 29,866 48,739
Securities Lending Income....................................................................... 190 1,144
Prepaid Expenses and Other Assets................................................................. 27 12
----------- -----------
Total Assets................................................................................. 25,749,910 12,150,890
----------- -----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................................ 920,816 942,176
Investment Securities Purchased................................................................. 104,940 --
Due to Advisor.................................................................................. 2,002 1,797
Futures Margin Variation........................................................................ 401 238
Accrued Expenses and Other Liabilities............................................................ 1,158 667
----------- -----------
Total Liabilities............................................................................ 1,029,317 944,878
----------- -----------
NET ASSETS........................................................................................ $24,720,593 $11,206,012
=========== ===========
Investments at Cost............................................................................... $16,752,543 $10,049,365
=========== ===========
Foreign Currencies at Cost........................................................................ $ -- $ 13,691
=========== ===========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
45
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP INTERNATIONAL
VALUE SERIES VALUE SERIES
------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1 and
$14,368, respectively)#.................................. $ 259,498 $ 162,876
Income from Securities Lending............................. 1,279 5,087
---------- ----------
Total Investment Income................................ 260,777 167,963
---------- ----------
EXPENSES
Investment Management Fees................................. 11,654 10,383
Accounting & Transfer Agent Fees........................... 536 244
Custodian Fees............................................. 110 423
Shareholders' Reports...................................... 19 9
Directors'/Trustees' Fees & Expenses....................... 113 50
Professional Fees.......................................... 170 94
Other...................................................... 263 154
---------- ----------
Total Expenses......................................... 12,865 11,357
---------- ----------
Fees Paid Indirectly (Note C).............................. -- (292)
---------- ----------
Net Expenses............................................... 12,865 11,065
---------- ----------
NET INVESTMENT INCOME (LOSS)............................... 247,912 156,898
---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................. 800,632 (11,728)
Futures.................................................. 14,271 8,027
Foreign Currency Transactions............................ -- (3,521)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 2,137,765 986,251
Futures.................................................. 5,258 3,401
Translation of Foreign Currency Denominated Amounts...... -- 1,063
---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS).................... 2,957,926 983,493
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................. $3,205,838 $1,140,391
========== ==========
----------
**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.
46
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL
SERIES VALUE SERIES
------------------------ -----------------------
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)................................ $ 247,912 $ 464,438 $ 156,898 $ 332,006
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 800,632 567,193 (11,728) (261,808)
Futures................................................... 14,271 21,037 8,027 5,988
Foreign Currency Transactions............................. -- -- (3,521) 5,590
Forward Currency Contracts................................ -- -- -- 8
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 2,137,765 (57,128) 986,251 (32,753)
Futures................................................... 5,258 (3,872) 3,401 (852)
Translation of Foreign Currency Denominated Amounts....... -- -- 1,063 (908)
----------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 3,205,838 991,668 1,140,391 47,271
----------- ----------- ----------- ----------
Transactions in Interest:
Contributions............................................... 1,266,304 1,812,211 706,688 1,394,282
Withdrawals................................................. (668,117) (981,368) (370,607) (939,918)
----------- ----------- ----------- ----------
Net Increase (Decrease) from Transactions in Interest.... 598,187 830,843 336,081 454,364
----------- ----------- ----------- ----------
Total Increase (Decrease) in Net Assets.................. 3,804,025 1,822,511 1,476,472 501,635
NET ASSETS
Beginning of Period......................................... 20,916,568 19,094,057 9,729,540 9,227,905
----------- ----------- ----------- ----------
End of Period............................................... $24,720,593 $20,916,568 $11,206,012 $9,729,540
=========== =========== =========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
47
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES
------------------------------------------------------------------------------- ---------------
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)
Total Return............ 15.29%(C) 4.75% 1.32% 15.67% 35.68% 18.31% 11.53%(C)
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period
(thousands)............ $24,720,593 $20,916,568 $19,094,057 $18,376,682 $14,838,988 $10,589,152 $11,206,012
Ratio of Expenses to
Average Net
Assets................. 0.11%(D) 0.11% 0.11% 0.11% 0.11% 0.12% 0.22%(D)
Ratio of Expenses to
Average Net Assets
(Excluding Fees Paid
Indirectly)............ 0.11%(D) 0.11% 0.11% 0.11% 0.11% 0.12% 0.22%(D)
Ratio of Net Investment
Income to Average
Net Assets............. 2.13%(D) 2.39% 2.20% 1.90% 1.98% 2.15% 3.02%(D)
Portfolio Turnover
Rate................... 9%(C) 15% 16% 15% 15% 10% 8%(C)
--------------------------------------------------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------
Total Return............ (0.10)% (5.35)% (0.72)% 28.18% 3.17%
---------------------------------------------------------------------------------------
Net Assets, End of
Period
(thousands)............ $9,729,540 $9,227,905 $9,343,666 $8,792,130 $7,238,249
Ratio of Expenses to
Average Net
Assets................. 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Expenses to
Average Net Assets
(Excluding Fees Paid
Indirectly)............ 0.22% 0.22% 0.22% 0.22% 0.24%
Ratio of Net Investment
Income to Average
Net Assets............. 3.72% 3.31% 4.50% 3.20% 3.75%
Portfolio Turnover
Rate................... 17% 21% 17% 15% 14%
---------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
48
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, two of which, The U.S. Large Cap Value
Series and The DFA International Value Series (the "Series"), are presented in
this report. The remaining operational portfolios are presented in separate
reports. The Series are investment companies, and accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 2:00 a.m. ET), which is fourteen hours before the close of
49
the NYSE (normally, 4:00 p.m. ET) and the time that the net asset value of the
International Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the time the
International Series prices its shares at the close of the NYSE, the
International Series will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Series foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined
that the use of such prices will have a material impact on the net asset value
of the International Series. When the International Series uses fair value
pricing, the values assigned to the International Series foreign investments
may not be the quoted or published prices of the investments on their primary
markets or exchanges. These securities are generally categorized as Level 2 in
the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy. Over-the-counter derivative contracts, which include forward
currency contracts, do not require material subjectivity as pricing inputs are
observed from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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 Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such 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.
50
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 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
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 Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series.
For the 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 0.10% and 0.20% of average daily net assets for The U.S. Large Cap Value
Series and The DFA International Value Series, respectively.
EARNED INCOME CREDIT:
In addition, the Series entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of the Series' net assets.
During the six months ended April 30, 2017, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value
Series...................... $292
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Trust; however, such Officers and Directors (with the
exception of the Chief Compliance Officer ("CCO")) receive no compensation from
the Trust. For the 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.
51
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):
The U.S. Large Cap Value
Series.................... $553
The DFA International Value
Series.................... 354
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, the Series made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value
Series.................... $2,909,117 $2,060,806
The DFA International Value
Series.................... 1,120,394 791,279
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.................... 10,986,069 1,800,143 (818,384) 981,759
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
52
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposit cash or pledges U.S. Government securities
to a broker, equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and
are recorded daily by the Series. as unrealized gains or losses until the
contracts are closed. When the contracts are closed, the Series. record a
realized gain or loss, which is presented in the Statements of Operations as a
net realized gain or loss on futures, equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Series could lose more than
the initial margin requirements. The Series entering into stock index futures
are subject to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At April 30, 2017, the Series had the following outstanding futures
contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------- ---------- --------- -------- ----------- ----------
The U.S. Large Cap Value
Series................. S&P 500 Emini Index(R) 06/16/17 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
======== ====== ======
3. FORWARD CURRENCY CONTRACTS: The International Series may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge 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. 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.
53
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 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
--------------- ---------
Equity contracts Receivables: Futures Margin Variation
The following is a summary of 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
* 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 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 as of 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
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
54
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 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 Series under the lines of credit during the
period ended 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.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice. The Series did not utilize the interfund lending program
during the six months ended April 30, 2017.
I. 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 Trustees of
the Trust to ensure compliance with Rule 17a-7 under the Investment Company Act
of 1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the six months ended April 30, 2017, cross trades by the Series under
Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------- --------------------
The U.S. Large Cap Value Series......... $265,085 $95,910 $24,946
The DFA International Value Series...... 69,722 26,653 3,611
J. SECURITIES LENDING:
As of April 30, 2017, each Series had securities on loan to brokers/dealers,
for which each Series received cash collateral. Each Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. In addition, The U.S.
Large Cap Value Series and The DFA International Value Series received non-cash
collateral consisting of short and/or long term U.S. Government
55
securities with a market value of $530,878 and $92,262 (amounts in thousands),
respectively. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Series could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Such Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of 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
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. OTHER:
The 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
56
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.
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.
57
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.
58
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 Board of Trustees of The DFA Investment Trust
Company (together, the "Board") considered the continuation of the investment
management agreements (the "Management Agreements") for each portfolio or
series (collectively, the "Funds") and the sub-advisory agreements for The DFA
International Value Series. Dimensional Fund Advisors Ltd. and DFA Australia
Limited serve as sub-advisors to The DFA International Value Series. (The
investment management agreements and the sub-advisory agreements are referred
to as the "Management Agreements," and the Advisor and sub-advisors are
referred to as the "Advisor.").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
global investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that after considering each Fund's investment strategies
and the expectations of its shareholder base, the performance of each Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
59
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.
60
DFA043017-003S
[LOGO] 00194744
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2017 (Unaudited)
Dimensional Investment Group Inc.
Emerging Markets Portfolio II
[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/ /s/ Eduardo A. Repetto
David Butler Eduardo Repetto
CO-CHIEF EXECUTIVE CO-CHIEF EXECUTIVE
OFFICER AND HEAD OF OFFICER AND CO-CHIEF
GLOBAL FINANCIAL ADVISOR INVESTMENT OFFICER
SERVICES
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES......... 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses..................... 2
Disclosure of Portfolio Holdings................ 3
Schedule of Investments
Emerging Markets Portfolio II............... 4
Statement of Assets and Liabilities............. 5
Statement of Operations......................... 6
Statement of Changes in Net Assets.............. 7
Financial Highlights............................ 8
Notes to Financial Statements................... 9
Section 19(a) Notice............................ 14
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses..................... 15
Disclosure of Portfolio Holdings................ 16
Summary Schedule of Portfolio Holdings
The Emerging Markets Series................. 17
Statement of Assets and Liabilities............. 21
Statement of Operations......................... 22
Statement of Changes in Net Assets.............. 23
Financial Highlights............................ 24
Notes to Financial Statements................... 25
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........ 33
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS. 34
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULE OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
--------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issues of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2017
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
EMERGING MARKETS PORTFOLIO II**
-------------------------------
Actual Fund Return.............. $1,000.00 $1,092.90 0.34% $1.76
Hypothetical 5% Annual Return... $1,000.00 $1,023.11 0.34% $1.71
----------
* 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).
2
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).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
Emerging Markets Portfolio II. 100.0%
3
EMERGING MARKETS PORTFOLIO II
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $68,477,601
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $68,477,601
===========
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.
4
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING
MARKETS
PORTFOLIO II
------------
ASSETS:
Investment in Affiliated Investment Company at Value................................... $ 68,478
Fund Shares Sold....................................................................... 536
Prepaid Expenses and Other Assets...................................................... 8
------------
Total Assets...................................................................... 69,022
------------
LIABILITIES:
Payables:
Due to Advisor....................................................................... 8
Accrued Expenses and Other Liabilities................................................. 10
------------
Total Liabilities................................................................. 18
------------
NET ASSETS............................................................................. $ 69,004
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 2,755,682
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 25.04
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ (2,821)
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). (83)
Accumulated Net Realized Gain (Loss)................................................... (1,706)
Net Unrealized Foreign Exchange Gain (Loss)............................................ 2
Net Unrealized Appreciation (Depreciation)............................................. 73,612
------------
NET ASSETS............................................................................. $ 69,004
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000
============
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
EMERGING
MARKETS
PORTFOLIO II*
-------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $77)................................................ $ 589
Income from Securities Lending.................................................................. 30
Expenses Allocated from Affiliated Investment Company........................................... (56)
------
Total Net Investment Income Received from Affiliated Investment Companies...................... 563
------
FUND EXPENSES
Investment Management Fees........................................................................ 94
Accounting & Transfer Agent Fees.................................................................. 2
Filing Fees....................................................................................... 8
Shareholders' Reports............................................................................. 2
Legal Fees........................................................................................ 1
Other............................................................................................. 1
------
Total Expenses................................................................................. 108
------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C). (38)
------
Net Expenses................................................................................... 70
------
NET INVESTMENT INCOME (LOSS)...................................................................... 493
------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................................... 79
Futures......................................................................................... 28
Foreign Currency Transactions................................................................... (2)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... 6,410
Futures......................................................................................... (92)
Translation of Foreign Currency Denominated Amounts............................................. 1
------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................... 6,424
------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................... $6,917
======
----------
* 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.
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS
PORTFOLIO II
--------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2017 2016
----------- --------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................................................... $ 493 $ 1,764
Net Realized Gain (Loss) on:
Investment Securities Sold*........................................................ 79 (597)
Futures............................................................................ 28 97
Foreign Currency Transactions...................................................... (2) 16
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... 6,410 6,761
Futures............................................................................ (92) (3)
Translation of Foreign Currency Denominated Amounts................................ 1 4
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 6,917 8,042
-------- --------
Distributions From:
Net Investment Income................................................................ (1,837) (2,525)
-------- --------
Total Distributions............................................................... (1,837) (2,525)
-------- --------
Capital Share Transactions (1):
Shares Issued........................................................................ 9,090 11,413
Shares Issued in Lieu of Cash Distributions.......................................... 1,837 2,525
Shares Redeemed...................................................................... (30,333) (18,543)
-------- --------
Net Increase (Decrease) from Capital Share Transactions........................... (19,406) (4,605)
-------- --------
Total Increase (Decrease) in Net Assets........................................... (14,326) 912
NET ASSETS
Beginning of Period.................................................................. 83,330 82,418
-------- --------
End of Period........................................................................ $ 69,004 $ 83,330
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................................ 390 541
Shares Issued in Lieu of Cash Distributions.......................................... 84 127
Shares Redeemed...................................................................... (1,270) (896)
-------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........................... (796) (228)
======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME). $ (83) $ 1,261
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO II
-------------------------------------------------------------
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........................ $ 23.46 $ 21.80 $ 26.34 $ 26.65 $ 25.49 $ 25.14
------- ------- ------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.15 0.48 0.53 0.59 0.56 0.58
Net Gains (Losses) on Securities (Realized and Unrealized). 1.95 1.85 (4.45) (0.22) 1.16 0.44
------- ------- ------- -------- -------- --------
Total from Investment Operations......................... 2.10 2.33 (3.92) 0.37 1.72 1.02
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.52) (0.67) (0.62) (0.68) (0.56) (0.67)
------- ------- ------- -------- -------- --------
Total Distributions...................................... (0.52) (0.67) (0.62) (0.68) (0.56) (0.67)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 25.04 $ 23.46 $ 21.80 $ 26.34 $ 26.65 $ 25.49
=========================================================== =========== ======== ======== ======== ======== ========
Total Return................................................ 9.29%(C) 11.26% (15.02)% 1.53% 6.80% 4.37%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $69,004 $83,330 $82,418 $104,987 $112,140 $114,646
Ratio of Expenses to Average Net Assets (B)................. 0.34%(D) 0.34% 0.34% 0.34% 0.35% 0.38%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................. 0.44%(D) 0.44% 0.36% 0.34% 0.35% 0.38%
Ratio of Net Investment Income to Average Net Assets (B).... 1.31%(D) 2.25% 2.18% 2.29% 2.17% 2.33%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
8
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 offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fourteen portfolios, one
of which, Emerging Markets Portfolio II (the "Portfolio"), is presented in this
report. The remaining 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."
Emerging Markets Portfolio II primarily invests its assets in The Emerging
Markets Series (the "Series"), a corresponding Series of The DFA Investment
Trust Company. At April 30, 2017, Emerging Markets Portfolio II owned 1% of its
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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;
9
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 Portfolio recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to the Portfolio
are directly charged. Common expenses of the Fund or the Portfolio are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
For the 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
0.25% of average daily net assets for Emerging Markets Portfolio II. Waived
fees/expenses assumed during the six months ended April 30, 2017 are reflected
below (amounts in thousands).
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 DFA Short Term Investment Fund (the
"Money Market Series"), to the rate listed below as a percentage of the average
net assets of a class of the Portfolio on an annualized basis. The Fee Waiver
Agreement will remain in effect permanently, unless terminated by the Fund.
PREVIOUSLY
RECOVERY WAIVED FEES/
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE WAIVED FEES/
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY EXPENSES ASSUMED
-------------------------- ---------- ---------------- ----------------- ----------------
Emerging Markets Portfolio II. 0.25% -- -- $38
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 amount paid by the
Portfolio is included in Other Expenses on the Statement of Operations.
10
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):
Emerging Markets Portfolio II. $6
E. 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 net foreign
currency gains/losses, foreign capital gains tax and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
Emerging Markets Portfolio II. $(58,399) $75 $58,324
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
Emerging Markets Portfolio II
2015.......................... $2,459 -- -- $2,459
2016.......................... 2,525 -- -- 2,525
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
Emerging Markets Portfolio II. $1,752 -- $(1,778) $66,780 $66,754
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
11
enactment. As of October 31, 2016, the Emerging Markets Portfolio II had the
following capital loss carryforwards available to offset future realized
capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31,
----------------------
UNLIMITED TOTAL
---------------------- ------
Emerging Markets Portfolio II. $1,778 $1,778
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
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ --------------
Emerging Markets Portfolio II. $73,093 -- $73,093
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolio's
tax positions and has concluded that no additional provision for income tax is
required in the Portfolio's financial statements. The Portfolio is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Portfolio's federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 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.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
12
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. OTHER:
At April 30, 2017, one shareholder held 100% 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.
I. 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.
13
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 fund paid distributions to
shareholders of record a portion of which is estimated to be in excess of the
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 the fund will not
be available until the end of the 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
-------------- ------------------ ------------------ -------------
Emerging Markets Portfolio II
December 15, 2016.......... 71% 0% 29%
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.
14
THE DFA INVESTMENT TRUST COMPANY
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 TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/16 04/30/17 RATIO* PERIOD*
--------- --------- ---------- --------
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
----------
* 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.
15
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.
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%
16
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%
------------ ------
17
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%
18
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%
============== ======
19
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.
20
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE EMERGING
MARKETS SERIES
--------------
ASSETS:
Investments at Value (including $290,124 of securities on loan)*............................... $5,695,583
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $206,382). 206,410
Segregated Cash for Futures Contracts.......................................................... 1,793
Foreign Currencies at Value.................................................................... 39,902
Cash........................................................................................... 23,327
Receivables:
Investment Securities Sold................................................................... 4,095
Dividends, Interest and Tax Reclaims......................................................... 5,490
Securities Lending Income.................................................................... 370
Futures Margin Variation..................................................................... 54
Unrealized Gain on Foreign Currency Contracts.................................................. 1
Prepaid Expenses and Other Assets.............................................................. 6
----------
Total Assets.............................................................................. 5,977,031
----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 206,377
Investment Securities Purchased.............................................................. 12,910
Due to Advisor............................................................................... 465
Futures Margin Variation..................................................................... --
Unrealized Loss on Foreign Currency Contracts.................................................. 2
Accrued Expenses and Other Liabilities......................................................... 432
----------
Total Liabilities......................................................................... 220,186
----------
NET ASSETS..................................................................................... $5,756,845
==========
Investments at Cost............................................................................ $4,171,265
==========
Foreign Currencies at Cost..................................................................... $ 39,522
==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
21
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE EMERGING
MARKETS
SERIES
------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $5,475)#................................ $ 42,192
Income from Securities Lending...................................................... 2,082
--------
Total Investment Income......................................................... 44,274
--------
EXPENSES
Investment Management Fees.......................................................... 2,589
Accounting & Transfer Agent Fees.................................................... 124
Custodian Fees...................................................................... 981
Shareholders' Reports............................................................... 4
Directors'/Trustees' Fees & Expenses................................................ 25
Professional Fees................................................................... 81
Other............................................................................... 81
--------
Total Expenses.................................................................. 3,885
--------
Fees Paid Indirectly (Note C)....................................................... (66)
--------
Net Expenses........................................................................ 3,819
--------
NET INVESTMENT INCOME (LOSS)........................................................ 40,455
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold*....................................................... (19,021)
Futures........................................................................... 2,422
Foreign Currency Transactions..................................................... 111
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................................ 474,245
Futures........................................................................... 1,674
Translation of Foreign Currency Denominated Amounts............................... (54)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................................. 459,377
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $499,832
========
----------
# Portion of income is from investment in affiliated fund.
* Net of foreign capital gain taxes withheld of $0.
See accompanying Notes to Financial Statements.
22
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE EMERGING MARKETS
SERIES
----------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2017 2016
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 40,455 $ 110,781
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... (19,021) (106,229)
Futures............................................................. 2,422 5,752
Foreign Currency Transactions....................................... 111 975
Forward Currency Contracts.......................................... -- (4)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 474,245 512,891
Futures............................................................. 1,674 (266)
Translation of Foreign Currency Denominated Amounts................. (54) 207
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 499,832 524,107
---------- ----------
Transactions in Interest:
Contributions......................................................... 371,644 471,019
Withdrawals........................................................... (112,362) (400,950)
---------- ----------
Net Increase (Decrease) from Transactions in Interest.............. 259,282 70,069
---------- ----------
Total Increase (Decrease) in Net Assets............................ 759,114 594,176
NET ASSETS
Beginning of Period................................................... 4,997,731 4,403,555
---------- ----------
End of Period......................................................... $5,756,845 $4,997,731
========== ==========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
23
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SERIES
---------------------------------------------------------------
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)
------------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 9.39%(C) 11.44% (14.86)% 1.74% 6.99%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $5,756,845 $4,997,731 $4,403,555 $4,185,451 $3,766,160
Ratio of Expenses to Average Net Assets...................... 0.15%(D) 0.15% 0.16% 0.15% 0.16%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.15%(D) 0.15% 0.16% 0.15% 0.16%
Ratio of Net Investment Income to Average Net Assets......... 1.56%(D) 2.45% 2.39% 2.51% 2.38%
Portfolio Turnover Rate...................................... 1%(C) 5% 9% 5% 4%
------------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2012
-----------
-------------------------------------------------------------------------
Total Return................................................. 4.55%
-------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $2,913,307
Ratio of Expenses to Average Net Assets...................... 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.20%
Ratio of Net Investment Income to Average Net Assets......... 2.55%
Portfolio Turnover Rate...................................... 5%
-------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
24
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 operational portfolios, one of which, The Emerging
Markets Series (the "Series"), is presented in this report. The remaining
portfolios are presented in separate reports. The Series is an investment
company, and accordingly, follows the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series 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 Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The Series will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the
close of the NYSE (normally, 4:00 p.m. ET) and the time that the
25
net asset value of the Series is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time the
Series prices its shares at the close of the NYSE, the Series will fair value
its foreign investments when it is determined that the market quotations for
the foreign investments are either unreliable or not readily available. The
fair value prices will attempt to reflect the impact of the U.S. financial
markets' perceptions and trading activities on the Series' foreign investments
since the last closing prices of the foreign investments were calculated on
their primary foreign securities markets or exchanges. For these purposes, the
Board of Trustees of the Series has determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the Series utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the Series 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 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
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
Series.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Series does not isolate the effect of fluctuations in foreign currency
rates when determining the realized gain or loss upon the sale or maturity of
foreign currency denominated debt obligations pursuant to U.S. Federal income
tax regulations; such amounts are categorized as foreign exchange gain or loss
for income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the Series
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in 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
26
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 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
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or Series are
allocated using methods approved by the Board, generally based on average net
assets.
The Series may be subject to taxes imposed by countries in which it invests,
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Emerging Markets Series is subject to a 15% tax on short-term capital
gains for investments in India. Such taxes are due upon sale of individual
securities. The capital gains taxes are recognized when the capital gains are
earned.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2017, 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 for The Emerging
Markets Series.
EARNED INCOME CREDIT:
In addition, the Series has entered into arrangements with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of its custody expenses. Custody expense in the accompanying financial
statements is presented before reduction for credits. The impact of such
credits is generally less than one basis point of the Series' net assets.
During the six months ended April 30, 2017, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The Emerging Markets Series.................. $66
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and 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 amount paid by the
Series is included in Other Expenses on the Statement of Operations.
27
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 Emerging Markets Series............. $138
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, the Series made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
PURCHASES SALES
--------- -------
The Emerging Markets Series. $361,319 $67,294
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 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 its 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 TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
The Emerging Markets Series............. $4,377,646 $1,844,395 $(320,049) $1,524,346
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Series' tax
positions and has concluded that no additional provision for income tax is
required in the Series' financial statements. The Series is not aware of any
tax positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
The Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objective 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.
28
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The Series may acquire and sell forward
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge the Series' currency exposure with respect to a foreign market will be
based primarily on the Series' existing exposure to a given foreign currency.
Each contract is valued daily and the change in value is recorded by the Series
as an unrealized gain or loss, which is presented in the Statement of
Operations as the change in unrealized appreciation or depreciation from
translation of foreign-currency-denominated amounts. When the contract is
closed or offset with the same counterparty, the Series records a realized gain
or loss equal to the change in the value of the contract when it was opened and
the value at the time it was closed or offset. This is presented in the
Statement of Operations as a net realized gain or loss on foreign currency
transactions. Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts and
from unanticipated movements in the value of foreign currency relative to the
U.S. dollar.
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, does not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. Government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Series as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Series records a realized gain or loss, which is presented in the Statement 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. Entering into stock index futures subjects the
Series 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 Series had outstanding futures contracts as follows
(dollar amounts in thousands):
UNREALIZED
EXPIRATION NUMBER OF CONTRACT GAIN CASH
DESCRIPTION DATE CONTRACTS VALUE (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
======= ====== ======
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 Emerging Markets Series. $41,128
The following is a summary of the location of derivatives on the Series'
Statement 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
29
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 Emerging Markets Series............. $1,408 $1,408
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statement 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 Emerging Markets Series............. $2,422 $2,422
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------------
EQUITY
TOTAL CONTRACTS
------ ---------
The Emerging Markets Series........... $1,674 $1,674
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 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.
30
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 LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
The Emerging Markets Series. 1.66% $7,009 4 $1 $7,564
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2017, that the Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of April 30, 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):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ----- --------------------
The Emerging Markets Series....................... $3,304 $584 $(32)
J. SECURITIES LENDING:
As of April 30, 2017, the Series had securities on loan to brokers/dealers,
for which the Series received cash collateral. The Emerging Markets Series
received non-cash collateral consisting of short and/or long term U.S.
government securities with a market value of $100,946 (amount in thousands).
The Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Series could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in the 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
31
Series will be able to terminate the loan at any time and will receive
reasonable interest on the loan, as well as amounts equal to any dividends,
interest or other distributions on the loaned securities. However, dividend
income received from loaned securities may not be eligible to be taxed at
qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 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 EMERGING MARKETS SERIES
Common Stocks, Preferred Stocks. $206,409,543 -- -- -- $206,409,543
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
32
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.
33
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2016 (the "Meeting"), the Board
of Directors of Dimensional Investment Group Inc. and the Board of Trustees of
The DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment management agreements (the "Management
Agreements") for Emerging Markets Portfolio II and The Emerging Markets Series
(collectively, the "Funds") and the sub-advisory agreements for The Emerging
Markets Series. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve
as sub-advisors to The Emerging Markets Series. (The investment management
agreements and the sub-advisory agreements are referred to as the "Management
Agreements," and the Advisor and sub-advisors are referred to as the
"Advisor.").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
global investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that after considering each Fund's investment strategies
and the expectations of its shareholder base, the performance of each Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
34
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.
35
DFA043017-011S
[LOGO] 00194736
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2017 (Unaudited)
Dimensional Investment Group Inc.
Global Equity Portfolio
Global Allocation 60/40 Portfolio
Global Allocation 25/75 Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
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/ /s/ Eduardo A. Repetto
David Butler Eduardo Repetto
CO-CHIEF EXECUTIVE OFFICER AND CO-CHIEF EXECUTIVE OFFICER AND
HEAD OF GLOBAL FINANCIAL ADVISOR CO-CHIEF INVESTMENT OFFICER
SERVICES
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES......... 1
Disclosure of Fund Expenses..................... 2
Disclosure of Portfolio Holdings................ 4
Schedules of Investments
Global Equity Portfolio..................... 5
Global Allocation 60/40 Portfolio........... 6
Global Allocation 25/75 Portfolio........... 7
Statements of Assets and Liabilities............ 8
Statements of Operations........................ 9
Statements of Changes in Net Assets............. 10
Financial Highlights............................ 11
Notes to Financial Statements................... 15
Section 19(a) Notice............................ 25
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........ 26
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS. 27
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Footnotes
+ See Note B to Financial Statements.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
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*
--------- --------- ---------- --------
GLOBAL EQUITY PORTFOLIO**
-------------------------
Actual Fund Return
Class R2 Shares.............. $1,000.00 $1,133.30 0.55% $2.91
Institutional Class Shares... $1,000.00 $1,135.10 0.30% $1.59
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,022.07 0.55% $2.76
Institutional Class Shares... $1,000.00 $1,023.31 0.30% $1.51
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*
--------- --------- ---------- --------
GLOBAL ALLOCATION 60/40 PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,077.60 0.52% $2.68
Institutional Class Shares......... $1,000.00 $1,079.60 0.28% $1.44
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.22 0.52% $2.61
Institutional Class Shares......... $1,000.00 $1,023.41 0.28% $1.40
GLOBAL ALLOCATION 25/75 PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,032.70 0.50% $2.52
Institutional Class Shares......... $1,000.00 $1,034.30 0.25% $1.26
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.32 0.50% $2.51
Institutional Class Shares......... $1,000.00 $1,023.55 0.25% $1.25
----------
* 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 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).
3
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).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
AFFILIATED INVESTMENT COMPANIES
-------------------------------
Global Equity Portfolio........... 100.0%
Global Allocation 60/40 Portfolio. 100.0%
Global Allocation 25/75 Portfolio. 100.0%
4
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................................ 145,282,798 $2,827,203,253
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 105,608,151 1,357,064,736
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 46,320,117 943,540,785
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 21,203,018 425,756,610
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 4,421,376 153,112,248
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $3,994,031,630)........................................... 5,706,677,632
--------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 0.680%
(Cost $2,367,846).................................................. 2,367,846 2,367,846
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,996,399,476)........................................... $5,709,045,478
==============
Summary of the Global 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. $5,706,677,632 -- -- $5,706,677,632
Temporary Cash Investments...... 2,367,846 -- -- 2,367,846
-------------- -- -- --------------
TOTAL........................... $5,709,045,478 -- -- $5,709,045,478
============== == == ==============
See accompanying Notes to Financial Statements.
5
GLOBAL ALLOCATION 60/40 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.................................. 54,497,284 $1,060,517,151
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc.................................. 55,131,536 527,608,801
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................................. 39,445,906 506,879,888
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.................................. 17,317,370 352,754,825
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc.................................. 32,315,163 349,973,211
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc.................................. 16,345,986 175,555,891
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc.................................. 15,921,319 174,816,080
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................................. 7,893,596 158,503,402
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc.................................. 7,360,420 87,662,607
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc.................................. 8,667,554 87,542,299
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc.................................. 1,598,300 55,349,145
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $2,900,855,768)............................................. $3,537,163,300
==============
Summary of the Global 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. $3,537,163,300 -- -- $3,537,163,300
-------------- -- -- --------------
TOTAL........................... $3,537,163,300 -- -- $3,537,163,300
============== == == ==============
See accompanying Notes to Financial Statements.
6
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc...................................... 22,055,879 $238,865,171
Investment in Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc...................................... 23,928,241 238,564,560
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc...................................... 5,176,741 100,739,380
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc...................................... 7,340,906 87,430,187
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc...................................... 3,740,399 48,064,122
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc...................................... 1,646,475 33,538,692
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc...................................... 3,151,624 31,831,407
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc...................................... 749,553 15,051,022
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc...................................... 155,305 5,378,222
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $715,821,949)................................................... 799,462,763
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund, 0.680%
(Cost $554,007).......................................................... 554,007 554,007
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $716,375,956)................................................... $800,016,770
============
Summary of the Global 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. $799,462,763 -- -- $799,462,763
Temporary Cash Investments...... 554,007 -- -- 554,007
------------ -- -- ------------
TOTAL........................... $800,016,770 -- -- $800,016,770
============ == == ============
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
GLOBAL GLOBAL
GLOBAL EQUITY ALLOCATION ALLOCATION
PORTFOLIO 60/40 PORTFOLIO 25/75 PORTFOLIO
------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Companies at Value..................... $ 5,706,678 $ 3,537,163 $ 799,463
Temporary Cash Investments at Value & Cost.................................. 2,368 -- 554
Receivables:
Interest.................................................................. 2 1 --
Fund Shares Sold.......................................................... 5,617 4,966 848
Prepaid Expenses and Other Assets........................................... 71 65 35
------------ ------------ ------------
Total Assets........................................................... 5,714,736 3,542,195 800,900
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased................................. 2,283 -- 358
Fund Shares Redeemed...................................................... 8,340 2,326 225
Due to Advisor............................................................ 141 114 2
Line of Credit............................................................ -- 226 --
Accrued Expenses and Other Liabilities...................................... 244 142 36
------------ ------------ ------------
Total Liabilities...................................................... 11,008 2,808 621
------------ ------------ ------------
NET ASSETS.................................................................. $ 5,703,728 $ 3,539,387 $ 800,279
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Class R2 Shares -- based on net assets of $27,693; $6,601 and $884 and
shares outstanding of 1,324,981; 387,274 and 67,186, respectively.......... $ 20.90 $ 17.04 $ 13.16
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares -- based on net assets of $5,676,035; $3,532,786
and $799,395 and shares outstanding of 273,171,358; 208,433,307 and
60,578,571, respectively................................................... $ 20.78 $ 16.95 $ 13.20
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost...................... $ 3,994,032 $ 2,900,856 $ 715,822
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................. $ 4,118,197 $ 2,920,557 $ 722,218
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)......................................................... (240) 694 306
Accumulated Net Realized Gain (Loss)........................................ (126,875) (18,171) (5,886)
Net Unrealized Appreciation (Depreciation).................................. 1,712,646 636,307 83,641
------------ ------------ ------------
NET ASSETS.................................................................. $ 5,703,728 $ 3,539,387 $ 800,279
============ ============ ============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
GLOBAL GLOBAL
GLOBAL EQUITY ALLOCATION ALLOCATION
PORTFOLIO 60/40 PORTFOLIO 25/75 PORTFOLIO
------------- --------------- ---------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment Companies
Income Distributions............................................... $ 44,799 $ 34,851 $ 6,651
-------- -------- -------
Total Investment Income Received from Affiliated Investment
Companies........................................................ 44,799 34,851 6,651
-------- -------- -------
FUND INVESTMENT INCOME
Dividends............................................................ 7 5 1
FUND EXPENSES
Investment Management Fees........................................... 7,912 4,145 760
Accounting & Transfer Agent Fees..................................... 48 26 8
Custodian Fees....................................................... -- 1 1
Shareholder Servicing Fees - Class R2 Shares......................... 30 8 1
Filing Fees.......................................................... 61 48 26
Shareholders' Reports................................................ 76 44 11
Directors'/Trustees' Fees & Expenses................................. 25 16 4
Professional Fees.................................................... 16 11 4
Other................................................................ 11 8 3
-------- -------- -------
Total Expenses.................................................... 8,179 4,307 818
-------- -------- -------
Fees Waived, (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C).......................................
Institutional Class Shares......................................... (7,151) (3,568) (618)
Class R2 Shares.................................................... (33) (7) (1)
-------- -------- -------
Net Expenses......................................................... 995 732 199
-------- -------- -------
NET INVESTMENT INCOME (LOSS)......................................... 43,811 34,124 6,453
-------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment
Companies........................................................... 21,988 9,719 1,092
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares Sold........................ (902) (567) 501
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares............................. 592,661 209,365 17,824
-------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 613,747 218,517 19,417
-------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $657,558 $252,641 $25,870
======== ======== =======
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
GLOBAL ALLOCATION GLOBAL ALLOCATION
GLOBAL EQUITY PORTFOLIO 60/40 PORTFOLIO 25/75 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)..................... $ 43,811 $ 89,447 $ 34,124 $ 57,596 $ 6,453 $ 10,883
Capital Gain Distributions Received from
Affiliated Investment Companies................. 21,988 51,451 9,719 22,681 1,092 2,512
Net Realized Gain (Loss) on:
Investment Securities Sold/Affiliated
Investment Companies Shares Sold.............. (902) (13,593) (567) (18,760) 501 (922)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/Affiliated Investment
Companies Shares.............................. 592,661 46,736 209,365 57,880 17,824 8,968
---------- ---------- ---------- ---------- -------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 657,558 174,041 252,641 119,397 25,870 21,441
---------- ---------- ---------- ---------- -------- ---------
Distributions From:
Net Investment Income:
Class R2 Shares................................ (184) (928) (59) (109) (7) (9)
Institutional Class Shares..................... (43,777) (88,883) (34,491) (58,073) (6,689) (10,168)
Net Short-Term Gains:............................
Net Long-Term Gains:.............................
Class R2 Shares................................ -- -- (9) -- (3) --
Institutional Class Shares..................... -- -- (4,870) -- (2,544) (7)
---------- ---------- ---------- ---------- -------- ---------
Total Distributions........................... (43,961) (89,811) (39,429) (58,182) (9,243) (10,184)
---------- ---------- ---------- ---------- -------- ---------
Capital Share Transactions (1):
Shares Issued.................................... 732,922 1,237,609 566,828 976,894 130,860 177,650
Shares Issued in Lieu of Cash Distributions...... 43,637 89,070 38,842 57,170 9,210 10,153
Shares Redeemed.................................. (487,713) (991,702) (378,518) (955,941) (83,724) (184,254)
---------- ---------- ---------- ---------- -------- ---------
Net Increase (Decrease) from Capital
Share Transactions........................... 288,846 334,977 227,152 78,123 56,346 3,549
---------- ---------- ---------- ---------- -------- ---------
Total Increase (Decrease) in Net Assets....... 902,443 419,207 440,364 139,338 72,973 14,806
NET ASSETS
Beginning of Period.............................. 4,801,285 4,382,078 3,099,023 2,959,685 727,306 712,500
---------- ---------- ---------- ---------- -------- ---------
End of Period.................................... $5,703,728 $4,801,285 $3,539,387 $3,099,023 $800,279 $ 727,306
========== ========== ========== ========== ======== =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)........................................... $ (240) $ (90) $ 694 $ 1,120 $ 306 $ 549
----------
(1)See Note G in the Notes to the Financial Statements
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R2 SHARES
GLOBAL EQUITY 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.............................. $ 18.58 $ 18.32 $ 18.66 $ 17.44 $13.78 $12.67
------- ------- ------- ------- ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.14 0.34 0.31 0.28 0.27 0.24
Net Gains (Losses) on Securities (Realized and Unrealized)...... 2.33 0.26 (0.34) 1.24 3.67 1.10
------- ------- ------- ------- ------ ------
Total from Investment Operations............................... 2.47 0.60 (0.03) 1.52 3.94 1.34
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.15) (0.34) (0.31) (0.30) (0.28) (0.23)
Net Realized Gains.............................................. -- -- -- -- -- --
------- ------- ------- ------- ------ ------
Total Distributions............................................ (0.15) (0.34) (0.31) (0.30) (0.28) (0.23)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................................... $ 20.90 $ 18.58 $ 18.32 $ 18.66 $17.44 $13.78
================================================================== =========== ======== ======== ======== ======== ========
Total Return...................................................... 13.33%(C) 3.37% (0.16)% 8.73% 28.87% 10.78%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................. $27,693 $19,844 $50,269 $10,109 $5,517 $4,055
Ratio of Expenses to Average Net Assets (B)....................... 0.55%(D) 0.55% 0.57% 0.56% 0.57% 0.60%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)..................................................... 0.82%(D) 0.83% 0.86% 0.85% 0.87% 0.90%
Ratio of Net Investment Income to Average Net Assets.............. 1.43%(D) 1.89% 1.67% 1.54% 1.76% 1.85%
-------------------------------------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 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.............................. $15.99 $15.70 $16.01 $15.32 $ 13.40 $ 12.66
------ ------ ------ ------ ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.15 0.26 0.26 0.22 0.24 0.21
Net Gains (Losses) on Securities (Realized and Unrealized)...... 1.08 0.33 (0.31) 0.67 1.93 0.78
------ ------ ------ ------ ------- -------
Total from Investment Operations............................... 1.23 0.59 (0.05) 0.89 2.17 0.99
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.16) (0.30) (0.26) (0.20) (0.25) (0.25)
Net Realized Gains.............................................. (0.02) -- -- -- -- --
------ ------ ------ ------ ------- -------
Total Distributions............................................ (0.18) (0.30) (0.26) (0.20) (0.25) (0.25)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................................... $17.04 $15.99 $15.70 $16.01 $ 15.32 $ 13.40
================================================================== =========== ======== ======== ======== ======== ========
Total Return...................................................... 7.76%(C) 3.86% (0.27)% 5.85% 16.35% 8.05%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............................. $6,601 $5,793 $5,455 $3,259 $14,140 $11,403
Ratio of Expenses to Average Net Assets (B)....................... 0.52%(D) 0.53% 0.54% 0.54% 0.54% 0.56%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)..................................................... 0.74%(D) 0.75% 0.77% 0.77% 0.77% 0.79%
Ratio of Net Investment Income to Average Net Assets.............. 1.82%(D) 1.67% 1.61% 1.42% 1.71% 1.60%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R2 SHARES
GLOBAL ALLOCATION 25/75 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......... $12.89 $12.74 $12.93 $12.75 $12.16 $11.78
------ ------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.09 0.16 0.14 0.14 0.16 0.14
Net Gains (Losses) on Securities (Realized
and Unrealized)........................... 0.33 0.19 (0.08) 0.20 0.58 0.43
------ ------ ------ ------ ------ ------
Total from Investment Operations.......... 0.42 0.35 0.06 0.34 0.74 0.57
-------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.11) (0.20) (0.23) (0.13) (0.15) (0.18)
Net Realized Gains.......................... (0.04) -- (0.02) (0.03) -- (0.01)
------ ------ ------ ------ ------ ------
Total Distributions....................... (0.15) (0.20) (0.25) (0.16) (0.15) (0.19)
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............... $13.16 $12.89 $12.74 $12.93 $12.75 $12.16
============================================ =========== ======== ======== ======== ======== ========
Total Return................................. 3.27%(C) 2.78% 0.50% 2.69% 6.15% 4.86%
-------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........ $ 884 $ 848 $ 428 $ 183 $2,215 $2,449
Ratio of Expenses to Average Net Assets (B).. 0.50%(D) 0.50% 0.51% 0.52% 0.53% 0.59%
Ratio of Expenses to Average Net Assets
(Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered by
Advisor) (B)................................ 0.67%(D) 0.67% 0.68% 0.69% 0.70% 0.76%
Ratio of Net Investment Income to Average
Net Assets.................................. 1.46%(D) 1.22% 1.12% 1.09% 1.28% 1.14%
-------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INSTITUTIONAL CLASS SHARES
GLOBAL EQUITY 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...... $ 18.46 $ 18.17 $ 18.51 $ 17.30 $ 13.67 $ 12.58
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.16 0.36 0.35 0.34 0.31 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 2.33 0.29 (0.34) 1.21 3.63 1.09
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 2.49 0.65 0.01 1.55 3.94 1.36
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.17) (0.36) (0.35) (0.34) (0.31) (0.27)
Net Realized Gains...................... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.17) (0.36) (0.35) (0.34) (0.31) (0.27)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 20.78 $ 18.46 $ 18.17 $ 18.51 $ 17.30 $ 13.67
========================================== =========== ========== ========== ========== ========== ==========
Total Return.............................. 13.51%(C) 3.65% 0.07% 9.03% 29.19% 11.00%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $5,676,035 $4,781,441 $4,331,809 $3,822,287 $3,018,911 $2,143,950
Ratio of Expenses to Average Net
Assets (B)............................... 0.30%(D) 0.30% 0.31% 0.31% 0.31% 0.33%
Ratio of Expenses to Average Net Assets
(Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)........... 0.57%(D) 0.58% 0.60% 0.60% 0.61% 0.63%
Ratio of Net Investment Income to Average
Net Assets............................... 1.66%(D) 1.99% 1.90% 1.87% 2.02% 2.05%
----------------------------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 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...... $ 15.89 $ 15.57 $ 15.88 $ 15.24 $ 13.33 $ 12.59
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.17 0.30 0.31 0.27 0.27 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 1.09 0.33 (0.31) 0.65 1.92 0.75
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 1.26 0.63 -- 0.92 2.19 1.03
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.18) (0.31) (0.31) (0.28) (0.28) (0.29)
Net Realized Gains...................... (0.02) -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.20) (0.31) (0.31) (0.28) (0.28) (0.29)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 16.95 $ 15.89 $ 15.57 $ 15.88 $ 15.24 $ 13.33
========================================== =========== ========== ========== ========== ========== ==========
Total Return.............................. 7.96%(C) 4.09% --% 6.08% 16.65% 8.37%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $3,532,786 $3,093,230 $2,954,230 $2,616,515 $1,847,771 $1,363,322
Ratio of Expenses to Average Net
Assets (B)............................... 0.28%(D) 0.28% 0.29% 0.29% 0.29% 0.30%
Ratio of Expenses to Average Net Assets
(Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)........... 0.50%(D) 0.50% 0.52% 0.52% 0.52% 0.53%
Ratio of Net Investment Income to Average
Net Assets............................... 2.06%(D) 1.93% 1.93% 1.70% 1.93% 2.18%
---------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INSTITUTIONAL CLASS SHARES
GLOBAL ALLOCATION 25/75 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.... $ 12.92 $ 12.72 $ 12.89 $ 12.69 $ 12.11 $ 11.73
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.11 0.19 0.20 0.17 0.18 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.33 0.19 (0.10) 0.24 0.59 0.41
-------- -------- -------- -------- -------- --------
Total from Investment Operations..... 0.44 0.38 0.10 0.41 0.77 0.61
--------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.12) (0.18) (0.25) (0.18) (0.19) (0.22)
Net Realized Gains..................... (0.04) -- (0.02) (0.03) -- (0.01)
-------- -------- -------- -------- -------- --------
Total Distributions.................. (0.16) (0.18) (0.27) (0.21) (0.19) (0.23)
--------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 13.20 $ 12.92 $ 12.72 $ 12.89 $ 12.69 $ 12.11
======================================= =========== ======== ======== ======== ======== ========
Total Return............................ 3.43%(C) 3.04% 0.79% 3.30% 6.38% 5.22%
--------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $799,395 $726,458 $712,072 $673,375 $557,112 $417,679
Ratio of Expenses to Average Net Assets
(B).................................... 0.25%(D) 0.25% 0.26% 0.27% 0.27% 0.28%
Ratio of Expenses to Average Net Assets
(Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees
Recovered by Advisor) (B).............. 0.42%(D) 0.42% 0.43% 0.44% 0.44% 0.45%
Ratio of Net Investment Income to
Average Net Assets..................... 1.70%(D) 1.53% 1.58% 1.36% 1.47% 1.71%
--------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
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 offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fourteen portfolios,
three of which, Global Equity Portfolio, Global Allocation 60/40 Portfolio and
Global Allocation 25/75 Portfolio (each a "Global Fund" and collectively, the
"Global Funds"), are presented in this report. The remaining operational
portfolios are presented in separate reports.
The Global Funds are investment companies, and accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
The Global Funds achieve their investment objectives by primarily investing
in other portfolios within DFA Investment Dimensions Group Inc. ("IDG") and The
DFA Investment Trust Company ("ITC") (collectively, the "Master Funds").
PERCENTAGE
OWNERSHIP AT
FUND OF FUNDS MASTER FUNDS APRIL 30, 2017
------------- ------------ --------------
Global Equity Portfolio U.S. Core Equity 1 Portfolio (IDG) 5%
U.S. Core Equity 2 Portfolio (IDG) 14%
DFA Real Estate Securities Portfolio (IDG) 2%
International Core Equity Portfolio (IDG) 6%
Emerging Markets Core Equity Portfolio (IDG) 2%
Global Allocation 60/40 Portfolio U.S. Core Equity 1 Portfolio (IDG) 2%
U.S. Core Equity 2 Portfolio (IDG) 5%
DFA Real Estate Securities Portfolio (IDG) 1%
International Core Equity Portfolio (IDG) 2%
Emerging Markets Core Equity Portfolio (IDG) 1%
DFA Selectively Hedged Global Fixed Income Portfolio (IDG) 49%
DFA Five-Year Global Fixed Income Portfolio (IDG) 1%
DFA Inflation-Protected Securities Portfolio (IDG) 2%
DFA Short-Term Extended Quality Portfolio (IDG) 7%
DFA Intermediate-Term Extended Quality Portfolio (IDG) 11%
DFA World ex U.S. Government Fixed Income Portfolio (IDG) 10%
Global Allocation 25/75 Portfolio U.S. Core Equity 1 Portfolio (IDG) --*
U.S. Core Equity 2 Portfolio (IDG) --*
DFA Real Estate Securities Portfolio (IDG) --*
International Core Equity Portfolio (IDG) --*
Emerging Markets Core Equity Portfolio (IDG) --*
DFA Two-Year Global Fixed Income Portfolio (IDG) 5%
DFA Inflation-Protected Securities Portfolio (IDG) 2%
DFA Short-Term Extended Quality Portfolio (IDG) 5%
DFA World ex U.S. Government Fixed Income Portfolio (IDG) 4%
* Amounts designated as - are less than 1%.
15
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 Global Funds utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Global Funds'
own assumptions in determining the fair value of investments)
Master Fund shares held by the Global Funds are valued at their respective
daily net asset values as reported by their administrator, as these Master
Funds are treated as regulated investment companies. These securities are
generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Global Funds net assets by each
major security type is disclosed previously in this note. Valuation hierarchy
tables have been included at the end of the Schedule of Investments. The inputs
or methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the 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
Global Funds.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/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 affiliated
investment company shares are accounted for on the basis of identified
16
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received from the investment in affiliated
investment companies that represent a return of capital or capital gains are
recorded as a reduction of cost of investments or as a realized gain,
respectively. The Global Funds estimate the character of distributions received
that may be considered return of capital distributions. Interest income is
recorded on an accrual basis. Expenses directly attributable to a Global Fund
are directly charged. Common expenses of the Fund or Global Funds are allocated
using methods approved by the Board, generally based on average net assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of its Global Fund. Income, gains and losses, and common expenses
of each Global Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Global Funds. The Global Equity Portfolio's, Global Allocation
60/40 Portfolio's and Global Allocation 25/75 Portfolio's investment management
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.30%, 0.25%, and 0.20%, respectively, of average daily net
assets.
Pursuant to an Amended and Restated Fee Waiver Agreement (the "Fee Waiver
Agreement"), the Advisor has agreed to waive certain fees of the Global Funds,
as described below. The Fee Waiver Agreement for the Global Funds will remain
in effect through February 28, 2018, and may only be terminated by the Fund's
Board of Directors prior to that date. The Fee Waiver Agreement shall continue
in effect from year to year thereafter unless terminated by the Fund or the
Advisor.
Effective July 21, 2015, pursuant to the Fee Waiver Agreement, in order to
limit the total management fees received by the Advisor, the Advisor has agreed
to waive the management fee each Global Fund pays to the Advisor to the extent
necessary to limit the proportionate share of the total combined management fee
paid by a class of each Global Fund and management fees paid by each Global
Fund's Master Funds to the Advisor, except for fees paid indirectly through its
investment of securities lending cash collateral in The DFA Short Term
Investment Fund, on an annualized basis (the "Annualized Expense Ratio"), to
the expense limitations listed below based on a percentage of average net
assets on an annualized basis. The maximum amount waived under this waiver is
the full amount of a Global Fund's management fee to the Advisor.
At any time that the Annualized Expense Ratio of a class of a Global Fund is
less than the expense limitations listed below for such class of the Global
Fund, the Advisor retains the right to recover any fees previously waived to
the extent that such recovery will not cause the Annualized Expense Ratio of
such class of shares of the Global Fund to exceed the expense limitation listed
below. Previously waived fees subject to future recovery by the Advisor and the
net amount of waived fees/expenses assumed (recovered previously waived
fees/expenses assumed) during the six months ended April 30, 2017, are
reflected below (amounts in thousands). The Global Funds are not obligated to
reimburse the Advisor for fees waived by the Advisor more than thirty-six
months before the date of such reimbursement.
PREVIOUSLY NET WAIVED FEES/
RECOVERY WAIVED FEES/ EXPENSES ASSUMED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED (RECOVERED PREVIOUSLY
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE WAIVED FEES/
AMOUNT EXPENSES ASSUMED RECOVERY EXPENSES ASSUMED)
- ---------- ---------------- ----------------- ---------------------
INSTITUTIONAL CLASS SHARES
--------------------------
Global Equity Portfolio........... 0.27% -- $37,240 $7,151
Global Allocation 60/40 Portfolio. 0.25% -- 19,423 3,568
Global Allocation 25/75 Portfolio. 0.22% -- 3,491 618
CLASS R2 SHARES
---------------
Global Equity Portfolio........... 0.27% -- 267 33
Global Allocation 60/40 Portfolio. 0.25% -- 45 7
Global Allocation 25/75 Portfolio. 0.22% -- 4 1
17
Prior to July 21, 2015, in order to limit the total administration and
management fees received by the Advisor, the Advisor had agreed to waive the
administration fee each Global Fund paid to the Advisor to the extent necessary
to limit the proportionate share of the total combined administration fee paid
by a class of each Global Fund and management fees paid by each Global Fund's
Master Funds to the Advisor to the expense limitations listed above. The
maximum amount waived under this waiver was the full amount of a Global Fund's
administration fee to the Advisor.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the 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
of the Global Funds 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):
Global Equity Portfolio........... $107
Global Allocation 60/40 Portfolio. 66
Global Allocation 25/75 Portfolio. 17
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2017, the Global Funds' transactions
related to Affiliated Investment Companies were as follows (amounts in
thousands):
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........ $2,372,851 $2,827,203 $152,876 $14,916 $22,147 $17,124
International Core Equity Portfolio. 1,154,053 1,357,065 81,665 11,411 10,546 --
U.S. Core Equity 1 Portfolio........ 790,973 943,541 47,291 444 8,063 3,742
Emerging Markets Core Equity
Portfolio......................... 362,802 425,757 27,881 1,087 1,815 --
DFA Real Estate Securities
Portfolio......................... 121,291 153,112 32,787 1,692 2,228 1,122
---------- ---------- -------- ------- ------- -------
Total............................... $4,801,970 $5,706,678 $342,500 $29,550 $44,799 $21,988
========== ========== ======== ======= ======= =======
GLOBAL ALLOCATION 60/40 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........ $ 917,724 $1,060,517 $ 42,617 $21,704 $ 8,470 $ 6,626
DFA Selectively Hedged Global
Fixed Income Portfolio............ 466,482 527,609 76,947 8,558 7,648 --
International Core Equity Portfolio. 445,010 506,880 13,557 1,428 3,995 --
U.S. Core Equity 1 Portfolio........ 305,721 352,755 6,506 9 3,083 1,449
DFA Short-Term Extended Quality
Portfolio......................... 311,500 349,973 43,943 3,683 2,990 1
DFA Intermediate-Term Extended
Quality Portfolio................. 155,823 175,556 25,876 3,298 2,448 263
18
GLOBAL ALLOCATION 60/40 PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2016 4/30/2017 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA Five-Year Global Fixed Income
Portfolio......................... $ 156,288 $ 174,816 $ 22,541 $ 1,696 $ 2,072 $ 593
Emerging Markets Core Equity
Portfolio......................... 139,778 158,503 5,592 131 675 --
DFA Inflation-Protected Securities
Portfolio......................... 78,338 87,663 11,419 1,126 764 190
DFA World ex U.S. Government
Fixed Income Portfolio............ 77,173 87,542 13,515 1,406 1,876 180
DFA Real Estate Securities
Portfolio......................... 45,885 55,349 9,177 9 830 417
---------- ---------- -------- ------- ------- ------
Total............................... $3,099,722 $3,537,163 $271,690 $43,048 $34,851 $9,719
========== ========== ======== ======= ======= ======
GLOBAL ALLOCATION 25/75 PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2016 4/30/2017 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA Short-Term Extended Quality
Portfolio......................... $ 217,869 $ 238,866 $ 24,687 $ 2,380 $ 2,063 --
DFA Two-Year Global Fixed Income
Portfolio......................... 218,121 238,565 22,423 1,576 1,436 --
U.S. Core Equity 2 Portfolio........ 89,772 100,739 6,743 7,556 812 $ 640
DFA Inflation-Protected Securities
Portfolio......................... 80,191 87,430 9,648 1,352 790 200
International Core Equity Portfolio. 43,705 48,064 1,343 1,771 391 --
U.S. Core Equity 1 Portfolio........ 30,014 33,539 1,138 1,546 299 142
DFA World ex U.S. Government
Fixed Income Portfolio............ 28,927 31,831 3,988 394 713 69
Emerging Markets Core Equity
Portfolio......................... 13,751 15,051 191 154 66 --
DFA Real Estate Securities
Portfolio......................... 4,544 5,378 810 -- 81 41
---------- ---------- -------- ------- ------- ------
Total............................... $ 726,894 $ 799,463 $ 70,971 $16,729 $ 6,651 $1,092
========== ========== ======== ======= ======= ======
F. FEDERAL INCOME TAXES:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2016, primarily attributable to passive foreign
investment companies, short term distributions received from underlying RICs,
return of capital, the utilization of accumulated earnings and profits
distributed to shareholders on redemptions of shares
19
as part of the dividends paid deduction for income tax purposes, were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
Global Equity Portfolio........... $1,084 $(1,084) --
Global Allocation 60/40 Portfolio. 664 (511) $(153)
Global Allocation 25/75 Portfolio. 223 (146) (77)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
Global Equity Portfolio
2015.............................. $78,790 -- $78,790
2016.............................. 89,811 -- 89,811
Global Allocation 60/40 Portfolio
2015.............................. 54,191 -- 54,191
2016.............................. 58,182 -- 58,182
Global Allocation 25/75 Portfolio
2015.............................. 12,062 $2,710 14,772
2016.............................. 10,177 7 10,184
At October 31, 2016, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
Global Equity Portfolio........... $(1,084) -- $(1,084)
Global Allocation 60/40 Portfolio. (612) $(52) (664)
Global Allocation 25/75 Portfolio. (180) (43) (223)
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
Global Equity Portfolio........... -- -- $(8,266) $980,291 $972,025
Global Allocation 60/40 Portfolio. $1,176 $4,879 -- 399,618 405,673
Global Allocation 25/75 Portfolio. 742 2,589 -- 58,339 61,670
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Global Funds after October 31, 2011 will not be
subject to expiration and will retain their character as either short-term or
long-term capital losses. In addition, such losses must be utilized prior to
the losses incurred in the years preceding
20
enactment. As of October 31, 2016, the Global Funds had the following capital
loss carryforwards available to offset future realized capital gains through
the indicated expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31,
----------------------
2018 2019 TOTAL
------ ---- ------
Global Equity Portfolio $7,701 $565 $8,266
Global Allocation 60/40 Portfolio -- -- --
Global Allocation 25/75 Portfolio -- -- --
During the year ended October 31, 2016, the Global Funds utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Global Equity Portfolio........... $51,460
Global Allocation 60/40 Portfolio. 9,873
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)
---------- ------------ ------------ --------------
Global Equity Portfolio........... $4,136,092 $1,572,953 -- $1,572,953
Global Allocation 60/40 Portfolio. 2,928,179 623,598 $(14,614) 608,984
Global Allocation 25/75 Portfolio. 723,854 77,987 (1,825) 76,162
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Global
Fund's tax positions and has concluded that no additional provision for income
tax is required in any Global Fund's financial statements. No Global Fund is
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each Global Fund's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2017 OCT. 31, 2016
------------------ -------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
--------- ------- ---------- -------
GLOBAL EQUITY PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 7,368 372 $ 10,106 572
Shares Issued in Lieu of Cash Distributions.......... 184 9 928 52
Shares Redeemed...................................... (2,479) (124) (41,925) (2,300)
--------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 5,073 257 $ (30,891) (1,676)
========= ======= ========== =======
Institutional Class Shares
Shares Issued........................................ $ 725,554 36,346 $1,227,503 69,158
Shares Issued in Lieu of Cash Distributions.......... 43,453 2,183 88,142 4,936
Shares Redeemed...................................... (485,234) (24,316) (949,777) (53,503)
--------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 283,773 14,213 $ 365,868 20,591
========= ======= ========== =======
21
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2017 OCT. 31, 2016
------------------ ------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
--------- ------- --------- -------
GLOBAL ALLOCATION 60/40 PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 660 40 $ 1,147 74
Shares Issued in Lieu of Cash Distributions.......... 68 4 109 7
Shares Redeemed...................................... (313) (19) (1,041) (66)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 415 25 $ 215 15
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 566,168 34,321 $ 975,747 63,046
Shares Issued in Lieu of Cash Distributions.......... 38,774 2,372 57,061 3,699
Shares Redeemed...................................... (378,205) (22,909) (954,900) (61,872)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 226,737 13,784 $ 77,908 4,873
========= ======= ========= =======
GLOBAL ALLOCATION 25/75 PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 48 3 $ 803 63
Shares Issued in Lieu of Cash Distributions.......... 10 1 9 1
Shares Redeemed...................................... (41) (3) (402) (32)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 17 1 $ 410 32
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 130,812 10,047 $ 176,847 13,920
Shares Issued in Lieu of Cash Distributions.......... 9,200 712 10,144 798
Shares Redeemed...................................... (83,683) (6,426) (183,852) (14,472)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 56,329 4,333 $ 3,139 246
========= ======= ========= =======
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 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.
22
For the six months ended April 30, 2017, borrowings by the Global Funds
under the lines of credit were as follows (amounts in thousands, except
percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
Global Equity Portfolio........... 1.40% $1,887 9 $1 $ 5,489
Global Allocation 60/40 Portfolio. 1.41% 2,128 22 2 16,698
Global Allocation 25/75 Portfolio. 1.49% 872 26 1 2,143
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2017, that each Global Fund's available
line of credit was utilized.
At April 30, 2017, Global Allocation 60/40 Portfolio had loans outstanding
in the amount of $226 (in thousands).
Pursuant to an exemptive order issued by the SEC (the "Order"), the Global
Funds may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice. The Global Funds did not utilize the interfund lending
program during the six months ended April 30, 2017.
I. SHAREHOLDER SERVICING FEES:
The Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the Global Funds' Class R2 Shares.
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
K. OTHER:
At April 30, 2017, the following number of shareholders held the following
approximate percentages of the Global Funds' outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
Global Equity Portfolio-Class R2 Shares...................... 4 93%
Global Equity Portfolio-Institutional Class Shares........... 3 77%
Global Allocation 60/40 Portfolio-Class R2 Shares............ 3 97%
Global Allocation 60/40 Portfolio-Institutional Class Shares. 4 84%
Global Allocation 25/75 Portfolio-Class R2 Shares............ 2 97%
Global Allocation 25/75 Portfolio-Institutional Class Shares. 4 91%
23
L. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Global
Funds through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
24
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
-------------- ------------------ ------------------ -------------
Global Equity Portfolio
December 15, 2016.............. 100% 0% 0%*
March 30, 2017................. 100% 0% 0%*
Global Allocation 60/40 Portfolio
December 15, 2016.............. 100% 0% 0%*
March 30, 2017................. 100% 0% 0%*
Global Allocation 25/75 Portfolio
December 15, 2016.............. 99% 0% 1%
March 30, 2017................. 100% 0% 0%*
* 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.
25
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.
26
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2016 (the "Meeting"), the Board
of Directors of Dimensional Investment Group Inc. (the "Board") considered the
continuation of the investment management agreements (the "Management
Agreements") for each portfolio (collectively, the "Funds").
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.
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
27
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.
28
DFA043017-025S
[LOGO] 00194742
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF
INVESTMENTS IS PROVIDED RELATIONSHIP TO SERIES OF THE REGISTRANT
------------------------------------ ----------------------------------------
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II, U.S. Large Cap Value
Portfolio III and LWAS/DFA U.S. High
Book to Market Portfolio
The DFA International Value Series Master fund for DFA International Value
Portfolio, DFA International Value
Portfolio II and DFA International
Value Portfolio III
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (96.2%)
Consumer Discretionary -- (12.0%)
Advance Auto Parts, Inc. 26,549 $ 3,773,675 0.1%
* Amazon.com, Inc. 142,958 132,234,720 1.8%
#* AutoNation, Inc. 22,861 960,162 0.0%
#* AutoZone, Inc. 10,324 7,146,170 0.1%
# Bed Bath & Beyond, Inc. 53,061 2,056,114 0.0%
# Best Buy Co., Inc. 97,400 5,046,294 0.1%
BorgWarner, Inc. 71,904 3,040,101 0.0%
* CarMax, Inc. 67,625 3,956,063 0.1%
Carnival Corp. 151,256 9,343,083 0.1%
CBS Corp. Class B 134,836 8,974,684 0.1%
* Charter Communications, Inc. Class A 77,649 26,801,329 0.4%
#* Chipotle Mexican Grill, Inc. 10,303 4,888,464 0.1%
Coach, Inc. 101,533 3,999,385 0.1%
Comcast Corp. Class A 1,708,313 66,948,786 0.9%
Darden Restaurants, Inc. 44,837 3,819,664 0.1%
Delphi Automotive P.L.C. 96,910 7,791,564 0.1%
#* Discovery Communications, Inc. Class A 55,667 1,602,096 0.0%
#* Discovery Communications, Inc. Class C 77,421 2,166,240 0.0%
* DISH Network Corp. Class A 81,184 5,231,497 0.1%
Dollar General Corp. 92,080 6,695,137 0.1%
* Dollar Tree, Inc. 85,166 7,049,190 0.1%
DR Horton, Inc. 123,941 4,076,419 0.1%
# Expedia, Inc. 43,248 5,783,123 0.1%
Foot Locker, Inc. 48,080 3,718,507 0.1%
Ford Motor Co. 1,408,981 16,161,012 0.2%
# Gap, Inc. (The) 79,788 2,090,446 0.0%
# Garmin, Ltd. 41,674 2,118,706 0.0%
General Motors Co. 492,040 17,044,266 0.2%
Genuine Parts Co. 53,358 4,910,003 0.1%
Goodyear Tire & Rubber Co. (The) 90,859 3,291,822 0.0%
# H&R Block, Inc. 75,479 1,871,124 0.0%
# Hanesbrands, Inc. 138,987 3,031,306 0.0%
# Harley-Davidson, Inc. 63,242 3,592,778 0.1%
Hasbro, Inc. 40,190 3,983,231 0.1%
Home Depot, Inc. (The) 439,705 68,637,951 0.9%
Interpublic Group of Cos., Inc. (The) 142,241 3,352,620 0.0%
# Kohl's Corp. 64,410 2,513,922 0.0%
# L Brands, Inc. 87,414 4,616,333 0.1%
# Leggett & Platt, Inc. 48,112 2,527,804 0.0%
# Lennar Corp. Class A 74,094 3,741,747 0.1%
* LKQ Corp. 112,161 3,503,910 0.0%
Lowe's Cos., Inc. 312,590 26,532,639 0.4%
# Macy's, Inc. 108,501 3,170,399 0.0%
Marriott International, Inc. Class A 113,529 10,719,408 0.1%
# Mattel, Inc. 123,795 2,775,484 0.0%
McDonald's Corp. 295,622 41,366,386 0.6%
#* Michael Kors Holdings, Ltd. 58,181 2,171,897 0.0%
* Mohawk Industries, Inc. 22,716 5,333,490 0.1%
* Netflix, Inc. 155,361 23,645,944 0.3%
Newell Brands, Inc. 174,533 8,332,205 0.1%
News Corp. Class A 139,480 1,774,186 0.0%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
News Corp. Class B 41,264 $ 536,432 0.0%
# NIKE, Inc. Class B 478,351 26,505,429 0.4%
# Nordstrom, Inc. 42,085 2,031,443 0.0%
* O'Reilly Automotive, Inc. 33,021 8,194,161 0.1%
# Omnicom Group, Inc. 85,058 6,984,963 0.1%
* Priceline Group, Inc. (The) 17,748 32,777,361 0.4%
PulteGroup, Inc. 102,341 2,320,070 0.0%
PVH Corp. 28,716 2,901,177 0.0%
# Ralph Lauren Corp. 20,524 1,656,697 0.0%
Ross Stores, Inc. 142,700 9,275,500 0.1%
Royal Caribbean Cruises, Ltd. 60,311 6,429,153 0.1%
# Scripps Networks Interactive, Inc. Class A 34,157 2,552,211 0.0%
# Signet Jewelers, Ltd. 25,460 1,676,286 0.0%
Staples, Inc. 234,920 2,295,168 0.0%
Starbucks Corp. 526,061 31,595,224 0.4%
Target Corp. 201,595 11,259,081 0.2%
TEGNA, Inc. 78,487 1,999,849 0.0%
# Tiffany & Co. 38,408 3,520,093 0.1%
Time Warner, Inc. 279,502 27,746,164 0.4%
TJX Cos., Inc. (The) 235,165 18,493,376 0.3%
Tractor Supply Co. 47,400 2,934,534 0.0%
#* TripAdvisor, Inc. 41,366 1,861,884 0.0%
Twenty-First Century Fox, Inc. Class A 379,138 11,578,875 0.2%
Twenty-First Century Fox, Inc. Class B 175,012 5,225,858 0.1%
* Ulta Salon Cosmetics & Fragrance, Inc. 21,027 5,917,839 0.1%
#* Under Armour, Inc. Class A 66,594 1,431,105 0.0%
#* Under Armour, Inc. Class C 67,224 1,304,818 0.0%
# VF Corp. 119,974 6,554,180 0.1%
Viacom, Inc. Class B 124,999 5,319,957 0.1%
Walt Disney Co. (The) 525,103 60,701,907 0.8%
Whirlpool Corp. 27,163 5,043,626 0.1%
# Wyndham Worldwide Corp. 37,964 3,618,349 0.1%
# Wynn Resorts, Ltd. 28,532 3,509,721 0.0%
Yum! Brands, Inc. 121,017 7,956,868 0.1%
------------ ---------------
Total Consumer Discretionary 923,622,845 12.4%
------------ ---------------
Consumer Staples -- (8.9%)
Altria Group, Inc. 700,050 50,249,589 0.7%
Archer-Daniels-Midland Co. 205,099 9,383,279 0.1%
# Brown-Forman Corp. Class B 62,959 2,979,220 0.0%
# Campbell Soup Co. 70,430 4,052,542 0.1%
Church & Dwight Co., Inc. 91,205 4,517,384 0.1%
Clorox Co. (The) 46,347 6,196,130 0.1%
Coca-Cola Co. (The) 1,394,785 60,184,973 0.8%
Colgate-Palmolive Co. 318,675 22,957,347 0.3%
Conagra Brands, Inc. 148,315 5,751,656 0.1%
Constellation Brands, Inc. Class A 62,339 10,755,971 0.1%
Costco Wholesale Corp. 158,439 28,126,091 0.4%
# Coty, Inc. Class A 167,717 2,993,748 0.0%
CVS Health Corp. 370,235 30,522,173 0.4%
Dr Pepper Snapple Group, Inc. 66,130 6,060,815 0.1%
Estee Lauder Cos., Inc. (The) Class A 79,985 6,969,893 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
General Mills, Inc. 209,360 $ 12,040,294 0.2%
Hershey Co. (The) 50,294 5,441,811 0.1%
# Hormel Foods Corp. 98,762 3,464,571 0.0%
JM Smucker Co. (The) 42,398 5,372,675 0.1%
# Kellogg Co. 90,952 6,457,592 0.1%
Kimberly-Clark Corp. 128,411 16,661,327 0.2%
Kraft Heinz Co. (The) 215,274 19,458,617 0.3%
Kroger Co. (The) 333,525 9,889,016 0.1%
# McCormick & Co., Inc. Non-Voting 40,806 4,076,519 0.1%
Mead Johnson Nutrition Co. 66,376 5,888,879 0.1%
Molson Coors Brewing Co. Class B 66,505 6,377,164 0.1%
Mondelez International, Inc. Class A 551,043 24,813,466 0.3%
* Monster Beverage Corp. 144,200 6,543,796 0.1%
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%
Reynolds American, Inc. 298,438 19,249,251 0.2%
Sysco Corp. 180,184 9,526,328 0.1%
Tyson Foods, Inc. Class A 103,781 6,668,967 0.1%
Wal-Mart Stores, Inc. 543,554 40,864,390 0.5%
Walgreens Boots Alliance, Inc. 307,801 26,637,099 0.3%
# Whole Foods Market, Inc. 116,115 4,223,103 0.1%
------------ ---------------
Total Consumer Staples 686,368,967 9.2%
------------ ---------------
Energy -- (6.1%)
Anadarko Petroleum Corp. 201,768 11,504,811 0.2%
# Apache Corp. 137,155 6,671,219 0.1%
Baker Hughes, Inc. 153,932 9,138,943 0.1%
# Cabot Oil & Gas Corp. 173,558 4,033,488 0.1%
#* Chesapeake Energy Corp. 271,826 1,429,805 0.0%
Chevron Corp. 683,331 72,911,418 1.0%
Cimarex Energy Co. 34,196 3,989,989 0.1%
* Concho Resources, Inc. 53,271 6,747,305 0.1%
ConocoPhillips 446,084 21,371,884 0.3%
Devon Energy Corp. 189,137 7,469,020 0.1%
EOG Resources, Inc. 208,212 19,259,610 0.3%
# EQT Corp. 62,466 3,631,773 0.0%
Exxon Mobil Corp. 1,496,719 122,207,106 1.6%
Halliburton Co. 312,927 14,357,091 0.2%
# Helmerich & Payne, Inc. 38,499 2,334,579 0.0%
# Hess Corp. 96,593 4,716,636 0.1%
Kinder Morgan, Inc. 693,003 14,296,652 0.2%
Marathon Oil Corp. 304,954 4,534,666 0.1%
Marathon Petroleum Corp. 190,508 9,704,478 0.1%
# Murphy Oil Corp. 59,112 1,547,552 0.0%
# National Oilwell Varco, Inc. 135,694 4,745,219 0.1%
* Newfield Exploration Co. 70,883 2,453,970 0.0%
Noble Energy, Inc. 164,306 5,312,013 0.1%
Occidental Petroleum Corp. 275,877 16,977,471 0.2%
ONEOK, Inc. 76,158 4,006,672 0.1%
Phillips 66 159,237 12,668,896 0.2%
Pioneer Natural Resources Co. 61,271 10,599,270 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
# Range Resources Corp. 67,645 $ 1,791,916 0.0%
Schlumberger, Ltd. 503,219 36,528,667 0.5%
* TechnipFMC P.L.C. 169,791 5,115,803 0.1%
# Tesoro Corp. 42,239 3,366,871 0.0%
#* Transocean, Ltd. 141,891 1,565,058 0.0%
Valero Energy Corp. 163,600 10,570,196 0.1%
Williams Cos., Inc. (The) 297,849 9,123,115 0.1%
------------ ---------------
Total Energy 466,683,162 6.3%
------------ ---------------
Financials -- (13.6%)
Affiliated Managers Group, Inc. 20,677 3,423,904 0.0%
Aflac, Inc. 144,898 10,849,962 0.1%
Allstate Corp. (The) 131,312 10,674,352 0.1%
American Express Co. 273,270 21,656,647 0.3%
American International Group, Inc. 335,901 20,459,730 0.3%
Ameriprise Financial, Inc. 55,392 7,081,867 0.1%
Aon P.L.C. 95,201 11,408,888 0.2%
# Arthur J Gallagher & Co. 64,858 3,619,725 0.1%
Assurant, Inc. 20,609 1,983,410 0.0%
Bank of America Corp. 3,618,650 84,459,291 1.1%
Bank of New York Mellon Corp. (The) 374,478 17,622,935 0.2%
BB&T Corp. 291,797 12,599,794 0.2%
* Berkshire Hathaway, Inc. Class B 685,565 113,262,194 1.5%
BlackRock, Inc. 43,924 16,891,853 0.2%
Capital One Financial Corp. 173,351 13,933,953 0.2%
CBOE Holdings, Inc. 33,104 2,728,101 0.0%
Charles Schwab Corp. (The) 438,500 17,035,725 0.2%
Chubb, Ltd. 168,128 23,075,568 0.3%
# Cincinnati Financial Corp. 54,358 3,918,668 0.1%
Citigroup, Inc. 1,000,110 59,126,503 0.8%
Citizens Financial Group, Inc. 182,365 6,694,619 0.1%
CME Group, Inc. 122,599 14,244,778 0.2%
Comerica, Inc. 62,804 4,440,243 0.1%
Discover Financial Services 139,059 8,703,703 0.1%
* E*TRADE Financial Corp. 100,010 3,455,346 0.0%
Fifth Third Bancorp 272,385 6,654,366 0.1%
Franklin Resources, Inc. 123,965 5,344,131 0.1%
Goldman Sachs Group, Inc. (The) 133,732 29,929,222 0.4%
Hartford Financial Services Group, Inc. (The) 134,884 6,522,990 0.1%
Huntington Bancshares, Inc. 389,228 5,005,472 0.1%
Intercontinental Exchange, Inc. 214,848 12,933,850 0.2%
Invesco, Ltd. 144,256 4,751,793 0.1%
JPMorgan Chase & Co. 1,289,330 112,171,710 1.5%
KeyCorp 384,753 7,017,895 0.1%
Leucadia National Corp. 115,863 2,941,762 0.0%
Lincoln National Corp. 81,873 5,397,887 0.1%
Loews Corp. 99,634 4,644,937 0.1%
M&T Bank Corp. 55,444 8,616,552 0.1%
Marsh & McLennan Cos., Inc. 185,895 13,780,396 0.2%
MetLife, Inc. 392,454 20,333,042 0.3%
# Moody's Corp. 59,739 7,068,318 0.1%
Morgan Stanley 518,678 22,495,065 0.3%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Financials -- (Continued)
Nasdaq, Inc. 42,194 $ 2,905,901 0.0%
Navient Corp. 102,332 1,555,446 0.0%
Northern Trust Corp. 77,258 6,953,220 0.1%
# People's United Financial, Inc. 124,920 2,182,352 0.0%
PNC Financial Services Group, Inc. (The) 175,482 21,013,969 0.3%
# Principal Financial Group, Inc. 95,798 6,239,324 0.1%
Progressive Corp. (The) 209,265 8,312,006 0.1%
Prudential Financial, Inc. 155,212 16,612,340 0.2%
Raymond James Financial, Inc. 46,632 3,475,017 0.0%
Regions Financial Corp. 432,339 5,944,661 0.1%
S&P Global, Inc. 93,020 12,482,354 0.2%
State Street Corp. 129,173 10,837,615 0.1%
SunTrust Banks, Inc. 178,121 10,119,054 0.1%
Synchrony Financial 277,826 7,723,563 0.1%
# T Rowe Price Group, Inc. 88,286 6,258,595 0.1%
Torchmark Corp. 39,680 3,043,853 0.0%
Travelers Cos., Inc. (The) 100,955 12,282,185 0.2%
U.S. Bancorp. 574,800 29,475,744 0.4%
Unum Group 83,206 3,854,934 0.1%
Wells Fargo & Co. 1,625,406 87,511,859 1.2%
Willis Towers Watson P.L.C. 46,375 6,150,252 0.1%
XL Group, Ltd. 94,993 3,975,457 0.1%
# Zions Bancorporation 72,942 2,919,868 0.0%
-------------- ---------------
Total Financials 1,040,790,716 14.0%
-------------- ---------------
Health Care -- (13.4%)
Abbott Laboratories 623,736 27,219,839 0.4%
AbbVie, Inc. 575,339 37,937,854 0.5%
Aetna, Inc. 119,740 16,173,282 0.2%
Agilent Technologies, Inc. 116,527 6,414,811 0.1%
* Alexion Pharmaceuticals, Inc. 81,372 10,397,714 0.1%
Allergan P.L.C. 121,002 29,507,548 0.4%
# AmerisourceBergen Corp. 59,593 4,889,606 0.1%
Amgen, Inc. 265,829 43,415,192 0.6%
Anthem, Inc. 95,430 16,976,043 0.2%
Baxter International, Inc. 175,431 9,767,998 0.1%
Becton Dickinson and Co. 76,821 14,363,222 0.2%
* Biogen, Inc. 77,932 21,135,938 0.3%
* Boston Scientific Corp. 491,672 12,970,307 0.2%
Bristol-Myers Squibb Co. 603,780 33,841,869 0.5%
Cardinal Health, Inc. 113,808 8,261,323 0.1%
* Celgene Corp. 280,813 34,834,853 0.5%
* Centene Corp. 62,151 4,624,034 0.1%
#* Cerner Corp. 105,306 6,818,564 0.1%
Cigna Corp. 92,785 14,508,790 0.2%
# Cooper Cos., Inc. (The) 17,899 3,585,707 0.0%
CR Bard, Inc. 25,832 7,942,823 0.1%
Danaher Corp. 220,136 18,343,933 0.2%
* DaVita, Inc. 55,589 3,836,197 0.1%
DENTSPLY SIRONA, Inc. 83,674 5,291,544 0.1%
* Edwards Lifesciences Corp. 76,536 8,393,703 0.1%
Eli Lilly & Co. 350,472 28,759,732 0.4%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Health Care -- (Continued)
#* Envision Healthcare Corp. 42,542 $ 2,383,628 0.0%
* Express Scripts Holding Co. 218,640 13,411,378 0.2%
Gilead Sciences, Inc. 471,797 32,341,684 0.4%
* HCA Holdings, Inc. 104,481 8,798,345 0.1%
#* Henry Schein, Inc. 28,880 5,019,344 0.1%
* Hologic, Inc. 100,638 4,543,806 0.1%
Humana, Inc. 53,900 11,964,722 0.2%
#* IDEXX Laboratories, Inc. 31,596 5,299,597 0.1%
#* Illumina, Inc. 52,753 9,751,920 0.1%
#* Incyte Corp. 61,064 7,589,034 0.1%
#* Intuitive Surgical, Inc. 13,256 11,080,293 0.1%
Johnson & Johnson 979,405 120,927,135 1.6%
* Laboratory Corp. of America Holdings 36,868 5,167,050 0.1%
* Mallinckrodt P.L.C. 36,788 1,726,093 0.0%
# McKesson Corp. 76,210 10,539,081 0.1%
Medtronic P.L.C. 494,110 41,055,600 0.6%
Merck & Co., Inc. 991,037 61,771,336 0.8%
* Mettler-Toledo International, Inc. 9,387 4,819,474 0.1%
* Mylan NV 166,555 6,220,829 0.1%
# Patterson Cos., Inc. 29,055 1,292,657 0.0%
PerkinElmer, Inc. 39,589 2,351,982 0.0%
# Perrigo Co. P.L.C. 51,727 3,824,694 0.1%
Pfizer, Inc. 2,148,377 72,872,948 1.0%
Quest Diagnostics, Inc. 50,112 5,287,317 0.1%
* Regeneron Pharmaceuticals, Inc. 27,448 10,663,274 0.1%
Stryker Corp. 111,426 15,195,164 0.2%
Thermo Fisher Scientific, Inc. 140,915 23,297,477 0.3%
UnitedHealth Group, Inc. 347,274 60,731,277 0.8%
Universal Health Services, Inc. Class B 31,914 3,853,935 0.1%
#* Varian Medical Systems, Inc. 33,306 3,022,186 0.0%
* Vertex Pharmaceuticals, Inc. 89,485 10,586,075 0.1%
* Waters Corp. 29,192 4,959,429 0.1%
Zimmer Biomet Holdings, Inc. 72,589 8,685,274 0.1%
Zoetis, Inc. 178,102 9,993,303 0.1%
-------------- ---------------
Total Health Care 1,031,239,767 13.9%
-------------- ---------------
Industrials -- (9.8%)
3M Co. 215,203 42,143,204 0.6%
# Acuity Brands, Inc. 15,940 2,807,034 0.0%
# Alaska Air Group, Inc. 44,697 3,803,268 0.1%
Allegion P.L.C. 34,567 2,718,349 0.0%
# American Airlines Group, Inc. 181,567 7,738,386 0.1%
# AMETEK, Inc. 82,215 4,702,698 0.1%
Arconic, Inc. 160,987 4,399,775 0.1%
Boeing Co. (The) 205,604 38,001,787 0.5%
Caterpillar, Inc. 211,697 21,648,135 0.3%
# CH Robinson Worldwide, Inc. 50,490 3,670,623 0.0%
# Cintas Corp. 31,173 3,817,757 0.1%
CSX Corp. 334,409 17,001,354 0.2%
Cummins, Inc. 55,732 8,412,188 0.1%
Deere & Co. 105,785 11,806,664 0.2%
Delta Air Lines, Inc. 262,888 11,945,631 0.2%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Dover Corp. 56,148 $ 4,428,954 0.1%
Eaton Corp. P.L.C. 161,819 12,239,989 0.2%
Emerson Electric Co. 232,842 14,035,716 0.2%
# Equifax, Inc. 43,571 5,895,592 0.1%
# Expeditors International of Washington, Inc. 64,438 3,614,327 0.0%
# Fastenal Co. 103,723 4,634,344 0.1%
FedEx Corp. 88,503 16,789,019 0.2%
# Flowserve Corp. 47,060 2,393,942 0.0%
# Fluor Corp. 49,752 2,553,273 0.0%
Fortive Corp. 109,190 6,907,359 0.1%
Fortune Brands Home & Security, Inc. 54,955 3,502,832 0.0%
General Dynamics Corp. 102,721 19,906,303 0.3%
General Electric Co. 3,149,283 91,297,714 1.2%
Honeywell International, Inc. 274,759 36,031,895 0.5%
Illinois Tool Works, Inc. 112,581 15,546,310 0.2%
Ingersoll-Rand P.L.C. 94,223 8,362,291 0.1%
Jacobs Engineering Group, Inc. 43,600 2,394,512 0.0%
JB Hunt Transport Services, Inc. 31,310 2,807,255 0.0%
Johnson Controls International P.L.C. 338,835 14,085,371 0.2%
Kansas City Southern 38,327 3,452,113 0.0%
L3 Technologies, Inc. 27,912 4,794,444 0.1%
Lockheed Martin Corp. 90,121 24,283,103 0.3%
Masco Corp. 116,806 4,324,158 0.1%
Nielsen Holdings P.L.C. 120,295 4,947,733 0.1%
Norfolk Southern Corp. 105,304 12,372,167 0.2%
Northrop Grumman Corp. 63,001 15,495,726 0.2%
# PACCAR, Inc. 127,355 8,498,399 0.1%
Parker-Hannifin Corp. 48,361 7,776,449 0.1%
Pentair P.L.C. 60,981 3,933,884 0.1%
* Quanta Services, Inc. 54,945 1,947,251 0.0%
Raytheon Co. 105,643 16,396,850 0.2%
Republic Services, Inc. 83,969 5,289,207 0.1%
Robert Half International, Inc. 47,022 2,165,363 0.0%
Rockwell Automation, Inc. 46,759 7,357,529 0.1%
Rockwell Collins, Inc. 58,582 6,097,800 0.1%
# Roper Technologies, Inc. 36,662 8,017,979 0.1%
Ryder System, Inc. 19,784 1,343,531 0.0%
Snap-on, Inc. 21,190 3,549,961 0.0%
Southwest Airlines Co. 222,081 12,485,394 0.2%
Stanley Black & Decker, Inc. 54,883 7,472,320 0.1%
#* Stericycle, Inc. 30,588 2,610,380 0.0%
Textron, Inc. 97,044 4,528,073 0.1%
# TransDigm Group, Inc. 18,013 4,444,348 0.1%
Union Pacific Corp. 293,746 32,887,802 0.4%
* United Continental Holdings, Inc. 102,756 7,214,499 0.1%
United Parcel Service, Inc. Class B 248,782 26,734,114 0.4%
* United Rentals, Inc. 30,622 3,358,009 0.0%
United Technologies Corp. 270,521 32,189,294 0.4%
* Verisk Analytics, Inc. 55,293 4,578,813 0.1%
Waste Management, Inc. 146,017 10,627,117 0.1%
# WW Grainger, Inc. 19,583 3,773,644 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
# Xylem, Inc. 65,799 $ 3,382,727 0.0%
------------ ---------------
Total Industrials 750,374,032 10.1%
------------ ---------------
Information Technology -- (21.6%)
Accenture P.L.C. Class A 224,743 27,261,326 0.4%
Activision Blizzard, Inc. 249,675 13,045,519 0.2%
* Adobe Systems, Inc. 178,917 23,928,360 0.3%
#* Advanced Micro Devices, Inc. 281,303 3,741,330 0.1%
* Akamai Technologies, Inc. 63,111 3,845,984 0.1%
# Alliance Data Systems Corp. 20,393 5,090,705 0.1%
* Alphabet, Inc. Class A 107,247 99,151,996 1.3%
* Alphabet, Inc. Class C 106,663 96,632,411 1.3%
# Amphenol Corp. Class A 110,981 8,025,036 0.1%
Analog Devices, Inc. 131,904 10,051,085 0.1%
Apple, Inc. 1,893,782 272,041,784 3.7%
Applied Materials, Inc. 389,714 15,826,286 0.2%
#* Autodesk, Inc. 71,247 6,417,217 0.1%
Automatic Data Processing, Inc. 162,035 16,931,037 0.2%
Broadcom, Ltd. 144,758 31,964,014 0.4%
CA, Inc. 114,426 3,756,606 0.1%
Cisco Systems, Inc. 1,807,627 61,585,852 0.8%
* Citrix Systems, Inc. 55,951 4,528,674 0.1%
#* Cognizant Technology Solutions Corp. Class A 218,885 13,183,444 0.2%
Corning, Inc. 334,657 9,654,854 0.1%
CSRA, Inc. 53,280 1,549,382 0.0%
* DXC Technology Co. 102,469 7,720,014 0.1%
* eBay, Inc. 364,911 12,191,677 0.2%
* Electronic Arts, Inc. 111,271 10,550,716 0.1%
* F5 Networks, Inc. 23,510 3,035,846 0.0%
* Facebook, Inc. Class A 850,117 127,730,079 1.7%
Fidelity National Information Services, Inc. 118,190 9,950,416 0.1%
* Fiserv, Inc. 77,688 9,255,748 0.1%
FLIR Systems, Inc. 49,994 1,836,280 0.0%
* Gartner, Inc. 32,495 3,707,355 0.0%
Global Payments, Inc. 55,605 4,546,265 0.1%
Harris Corp. 44,727 5,004,504 0.1%
Hewlett Packard Enterprise Co. 598,709 11,153,949 0.1%
HP, Inc. 611,240 11,503,537 0.2%
Intel Corp. 1,706,611 61,693,988 0.8%
# International Business Machines Corp. 309,819 49,660,888 0.7%
Intuit, Inc. 87,378 10,940,599 0.1%
Juniper Networks, Inc. 139,308 4,188,992 0.1%
KLA-Tencor Corp. 56,301 5,529,884 0.1%
# Lam Research Corp. 59,111 8,562,228 0.1%
Mastercard, Inc. Class A 340,078 39,557,873 0.5%
# Microchip Technology, Inc. 78,767 5,953,210 0.1%
* Micron Technology, Inc. 374,165 10,353,146 0.1%
Microsoft Corp. 2,789,316 190,956,573 2.6%
Motorola Solutions, Inc. 59,942 5,153,214 0.1%
NetApp, Inc. 98,856 3,939,412 0.1%
NVIDIA Corp. 212,604 22,174,597 0.3%
Oracle Corp. 1,081,815 48,638,402 0.7%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- -------------- ---------------
Information Technology -- (Continued)
Paychex, Inc. 115,897 $ 6,870,374 0.1%
* PayPal Holdings, Inc. 405,375 19,344,495 0.3%
#* Qorvo, Inc. 45,862 3,119,992 0.0%
QUALCOMM, Inc. 533,150 28,651,481 0.4%
* Red Hat, Inc. 63,893 5,627,695 0.1%
* salesforce.com, Inc. 236,391 20,357,993 0.3%
# Seagate Technology P.L.C. 105,642 4,450,697 0.1%
# Skyworks Solutions, Inc. 67,191 6,701,630 0.1%
# Symantec Corp. 224,396 7,097,645 0.1%
* Synopsys, Inc. 54,880 4,044,656 0.1%
TE Connectivity, Ltd. 128,246 9,922,393 0.1%
#* Teradata Corp. 48,439 1,413,450 0.0%
Texas Instruments, Inc. 360,828 28,570,361 0.4%
Total System Services, Inc. 59,067 3,385,130 0.0%
#* VeriSign, Inc. 32,091 2,853,532 0.0%
# Visa, Inc. Class A 670,668 61,178,335 0.8%
Western Digital Corp. 103,981 9,261,588 0.1%
# Western Union Co. (The) 171,963 3,415,185 0.0%
Xerox Corp. 303,917 2,185,163 0.0%
# Xilinx, Inc. 89,220 5,630,674 0.1%
* Yahoo!, Inc. 316,612 15,263,865 0.2%
-------------- ---------------
Total Information Technology 1,663,048,628 22.4%
-------------- ---------------
Materials -- (2.7%)
Air Products & Chemicals, Inc. 78,541 11,035,011 0.2%
Albemarle Corp. 40,941 4,458,884 0.1%
Avery Dennison Corp. 32,048 2,666,714 0.0%
# Ball Corp. 63,914 4,914,348 0.1%
# CF Industries Holdings, Inc. 83,572 2,234,715 0.0%
Dow Chemical Co. (The) 402,919 25,303,313 0.3%
Eastman Chemical Co. 52,319 4,172,440 0.1%
Ecolab, Inc. 94,769 12,233,730 0.2%
EI du Pont de Nemours & Co. 312,075 24,887,981 0.3%
# FMC Corp. 47,792 3,499,808 0.0%
#* Freeport-McMoRan, Inc. 480,194 6,122,474 0.1%
# International Flavors & Fragrances, Inc. 28,399 3,935,818 0.1%
International Paper Co. 147,498 7,960,467 0.1%
LyondellBasell Industries NV Class A 118,674 10,058,808 0.1%
Martin Marietta Materials, Inc. 22,773 5,014,387 0.1%
Monsanto Co. 158,156 18,442,571 0.2%
Mosaic Co. (The) 127,530 3,434,383 0.0%
Newmont Mining Corp. 191,698 6,481,310 0.1%
Nucor Corp. 114,810 7,041,297 0.1%
PPG Industries, Inc. 92,799 10,193,042 0.1%
# Praxair, Inc. 102,899 12,860,317 0.2%
Sealed Air Corp. 69,918 3,077,790 0.0%
Sherwin-Williams Co. (The) 29,282 9,800,100 0.1%
Vulcan Materials Co. 47,429 5,733,218 0.1%
WestRock Co. 90,706 4,858,213 0.1%
-------------- ---------------
Total Materials 210,421,139 2.8%
-------------- ---------------
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Real Estate -- (2.8%)
# Alexandria Real Estate Equities, Inc. 32,409 $ 3,646,337 0.0%
American Tower Corp. 154,134 19,411,636 0.3%
Apartment Investment & Management Co. Class A 56,220 2,459,063 0.0%
# AvalonBay Communities, Inc. 49,571 9,410,559 0.1%
Boston Properties, Inc. 55,422 7,016,425 0.1%
* CBRE Group, Inc. Class A 109,288 3,913,603 0.1%
Crown Castle International Corp. 130,139 12,311,149 0.2%
# Digital Realty Trust, Inc. 57,454 6,598,017 0.1%
Equinix, Inc. 28,039 11,711,890 0.2%
Equity Residential 132,287 8,543,094 0.1%
# Essex Property Trust, Inc. 23,882 5,838,433 0.1%
# Extra Space Storage, Inc. 46,087 3,480,951 0.0%
# Federal Realty Investment Trust 25,843 3,382,590 0.0%
# GGP, Inc. 213,032 4,603,622 0.1%
HCP, Inc. 167,788 5,260,154 0.1%
# Host Hotels & Resorts, Inc. 267,402 4,799,866 0.1%
# Iron Mountain, Inc. 87,337 3,035,834 0.0%
Kimco Realty Corp. 152,507 3,094,367 0.0%
# Macerich Co. (The) 42,957 2,681,806 0.0%
# Mid-America Apartment Communities, Inc. 40,773 4,045,089 0.1%
# Prologis, Inc. 190,338 10,356,291 0.1%
Public Storage 53,831 11,271,135 0.2%
# Realty Income Corp. 97,230 5,673,370 0.1%
Regency Centers Corp. 52,952 3,345,507 0.0%
Simon Property Group, Inc. 115,443 19,078,110 0.3%
# SL Green Realty Corp. 36,417 3,821,236 0.1%
UDR, Inc. 97,682 3,647,446 0.0%
# Ventas, Inc. 127,961 8,190,784 0.1%
Vornado Realty Trust 62,229 5,988,919 0.1%
Welltower, Inc. 130,680 9,335,779 0.1%
Weyerhaeuser Co. 271,075 9,181,310 0.1%
------------ ---------------
Total Real Estate 215,134,372 2.9%
------------ ---------------
Telecommunication Services -- (2.2%)
AT&T, Inc. 2,216,850 87,853,765 1.2%
# CenturyLink, Inc. 196,651 5,048,031 0.1%
* Level 3 Communications, Inc. 105,716 6,423,304 0.1%
Verizon Communications, Inc. 1,471,370 67,550,597 0.9%
------------ ---------------
Total Telecommunication Services 166,875,697 2.3%
------------ ---------------
Utilities -- (3.1%)
AES Corp. 235,535 2,663,901 0.0%
Alliant Energy Corp. 81,155 3,191,015 0.0%
# Ameren Corp. 87,479 4,784,226 0.1%
American Electric Power Co., Inc. 177,488 12,039,011 0.2%
American Water Works Co., Inc. 64,115 5,113,812 0.1%
CenterPoint Energy, Inc. 156,512 4,465,287 0.1%
CMS Energy Corp. 101,002 4,585,491 0.1%
# Consolidated Edison, Inc. 110,334 8,747,279 0.1%
# Dominion Resources, Inc. 226,723 17,555,162 0.2%
DTE Energy Co. 64,908 6,788,728 0.1%
Duke Energy Corp. 252,530 20,833,725 0.3%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Utilities -- (Continued)
Edison International 117,888 $ 9,427,503 0.1%
Entergy Corp. 64,506 4,919,228 0.1%
# Eversource Energy 114,734 6,815,200 0.1%
Exelon Corp. 333,152 11,537,054 0.2%
FirstEnergy Corp. 161,352 4,830,879 0.1%
NextEra Energy, Inc. 168,778 22,541,990 0.3%
NiSource, Inc. 115,574 2,802,669 0.0%
NRG Energy, Inc. 116,102 1,962,124 0.0%
PG&E Corp. 182,967 12,267,937 0.2%
Pinnacle West Capital Corp. 39,751 3,382,413 0.0%
PPL Corp. 245,355 9,350,479 0.1%
Public Service Enterprise Group, Inc. 183,523 8,084,188 0.1%
# SCANA Corp. 52,044 3,451,038 0.1%
Sempra Energy 90,112 10,184,458 0.1%
# Southern Co. (The) 357,728 17,814,854 0.2%
# WEC Energy Group, Inc. 113,901 6,893,289 0.1%
Xcel Energy, Inc. 182,899 8,239,600 0.1%
-------------- ---------------
Total Utilities 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%
============== ===============
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 Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (95.3%)
Consumer Discretionary -- (12.9%)
# Adient P.L.C. 69,537 $ 5,115,142 0.0%
# Autoliv, Inc. 271,493 27,200,884 0.1%
#* AutoNation, Inc. 296,816 12,466,272 0.1%
# Bed Bath & Beyond, Inc. 290,144 11,243,080 0.1%
# Best Buy Co., Inc. 1,711,779 88,687,270 0.4%
# BorgWarner, Inc. 1,060,592 44,841,830 0.2%
# CalAtlantic Group, Inc. 14,193 514,070 0.0%
# Carnival Corp. 1,129,125 69,746,051 0.3%
# CBS Corp. Class A 7,236 486,621 0.0%
* Charter Communications, Inc. Class A 956,927 330,292,923 1.3%
Comcast Corp. Class A 21,211,780 831,289,658 3.4%
DR Horton, Inc. 2,594,763 85,341,755 0.3%
Ford Motor Co. 15,336,087 175,904,918 0.7%
# Garmin, Ltd. 382,751 19,459,061 0.1%
General Motors Co. 5,741,467 198,884,417 0.8%
# Gentex Corp. 533,525 11,017,291 0.0%
# Goodyear Tire & Rubber Co. (The) 1,440,531 52,190,438 0.2%
#* Hyatt Hotels Corp. Class A 26,622 1,477,521 0.0%
# International Game Technology P.L.C. 36,716 815,095 0.0%
# Kohl's Corp. 1,327,251 51,802,607 0.2%
Lear Corp. 170,451 24,316,540 0.1%
# Lennar Corp. Class A 1,399,321 70,665,711 0.3%
Lennar Corp. Class B 7,512 320,086 0.0%
* Liberty Broadband Corp. Class A 23,806 2,140,874 0.0%
#* Liberty Broadband Corp. Class C 115,411 10,520,867 0.0%
* Liberty Interactive Corp., QVC Group Class A 2,560,996 54,241,895 0.2%
#* Liberty Media Corp.-Liberty Braves Class A 15,711 390,104 0.0%
#* Liberty Media Corp.-Liberty Braves Class C 31,424 770,516 0.0%
#* Liberty Media Corp.-Liberty Formula One Class A 39,281 1,332,019 0.0%
#* Liberty Media Corp.-Liberty Formula One Class C 78,562 2,751,241 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class A 157,126 5,986,501 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class C 314,252 11,938,433 0.1%
#* Liberty Ventures Series A 59,566 3,207,629 0.0%
* LKQ Corp. 357,972 11,183,045 0.0%
# Macy's, Inc. 1,470,252 42,960,763 0.2%
#* Madison Square Garden Co. (The) Class A 7,458 1,504,801 0.0%
MGM Resorts International 2,471,336 75,894,729 0.3%
* Mohawk Industries, Inc. 481,200 112,980,948 0.5%
Newell Brands, Inc. 256,366 12,238,913 0.1%
News Corp. Class A 291,885 3,712,777 0.0%
News Corp. Class B 31,823 413,699 0.0%
#* Norwegian Cruise Line Holdings, Ltd. 900,693 48,574,373 0.2%
# Penske Automotive Group, Inc. 168,357 8,032,312 0.0%
PulteGroup, Inc. 2,300,949 52,162,514 0.2%
PVH Corp. 366,094 36,986,477 0.2%
# Ralph Lauren Corp. 84,680 6,835,370 0.0%
Royal Caribbean Cruises, Ltd. 1,461,968 155,845,789 0.6%
# Signet Jewelers, Ltd. 35,969 2,368,199 0.0%
* Skechers U.S.A., Inc. Class A 13,762 347,491 0.0%
Staples, Inc. 2,175,724 21,256,823 0.1%
# TEGNA, Inc. 765,719 19,510,520 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Consumer Discretionary -- (Continued)
Time Warner, Inc. 3,804,556 $ 377,678,274 1.5%
# Toll Brothers, Inc. 338,804 12,193,556 0.1%
# Whirlpool Corp. 521,963 96,918,090 0.4%
-------------- ----
Total Consumer Discretionary 3,306,958,783 13.4%
-------------- ----
Consumer Staples -- (6.7%)
Archer-Daniels-Midland Co. 2,604,355 119,149,241 0.5%
Bunge, Ltd. 910,843 71,983,922 0.3%
CVS Health Corp. 3,989,908 328,928,016 1.3%
#* Edgewell Personal Care Co. 25,746 1,840,582 0.0%
Ingredion, Inc. 146,985 18,199,683 0.1%
# JM Smucker Co. (The) 867,672 109,951,396 0.5%
Kraft Heinz Co. (The) 1,052,555 95,140,446 0.4%
Molson Coors Brewing Co. Class B 473,017 45,357,600 0.2%
Mondelez International, Inc. Class A 3,943,573 177,579,092 0.7%
Pinnacle Foods, Inc. 489,872 28,486,057 0.1%
#* Post Holdings, Inc. 350,008 29,467,174 0.1%
Reynolds American, Inc. 112,655 7,266,247 0.0%
# Seaboard Corp. 13 55,042 0.0%
#* TreeHouse Foods, Inc. 102,056 8,940,106 0.1%
Tyson Foods, Inc. Class A 1,959,828 125,938,547 0.5%
Wal-Mart Stores, Inc. 5,609,449 421,718,376 1.7%
Walgreens Boots Alliance, Inc. 1,165,019 100,820,744 0.4%
# Whole Foods Market, Inc. 922,271 33,542,996 0.1%
-------------- ----
Total Consumer Staples 1,724,365,267 7.0%
-------------- ----
Energy -- (11.0%)
Anadarko Petroleum Corp. 969,947 55,306,378 0.2%
# Apache Corp. 253,665 12,338,266 0.1%
Baker Hughes, Inc. 1,045,521 62,072,582 0.3%
Chevron Corp. 3,705,888 395,418,250 1.6%
#* Concho Resources, Inc. 331,678 42,010,335 0.2%
ConocoPhillips 3,218,408 154,193,927 0.6%
#* CONSOL Energy, Inc. 36,926 560,537 0.0%
#* Continental Resources, Inc. 194,483 8,248,024 0.0%
Devon Energy Corp. 22,228 877,784 0.0%
#* Diamondback Energy, Inc. 63,757 6,365,499 0.0%
Exxon Mobil Corp. 11,307,726 923,275,828 3.7%
# Helmerich & Payne, Inc. 613,995 37,232,657 0.2%
# Hess Corp. 918,391 44,845,032 0.2%
# HollyFrontier Corp. 645,042 18,151,482 0.1%
Kinder Morgan, Inc. 4,374,505 90,246,038 0.4%
# Marathon Oil Corp. 3,272,198 48,657,584 0.2%
Marathon Petroleum Corp. 2,313,489 117,849,130 0.5%
# Murphy Oil Corp. 309,108 8,092,447 0.0%
# Nabors Industries, Ltd. 247,778 2,562,024 0.0%
# National Oilwell Varco, Inc. 1,747,731 61,118,153 0.3%
# Noble Energy, Inc. 1,659,899 53,664,535 0.2%
# Occidental Petroleum Corp. 1,862,726 114,632,158 0.5%
#* PDC Energy, Inc. 10,876 600,681 0.0%
Phillips 66 1,370,001 108,997,280 0.4%
* QEP Resources, Inc. 861 10,168 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Energy -- (Continued)
# Range Resources Corp. 144,745 $ 3,834,295 0.0%
#* Rice Energy, Inc. 102,107 2,173,858 0.0%
* RSP Permian, Inc. 43,338 1,649,011 0.0%
Schlumberger, Ltd. 1,134,428 82,348,128 0.3%
#* Southwestern Energy Co. 672,113 5,047,569 0.0%
# Targa Resources Corp. 1,262,389 69,595,506 0.3%
* TechnipFMC P.L.C. 1,702,869 51,307,443 0.2%
# Tesoro Corp. 691,016 55,080,885 0.2%
#* Transocean, Ltd. 1,340,027 14,780,498 0.1%
Valero Energy Corp. 2,810,052 181,557,460 0.7%
#* Weatherford International P.L.C. 583,515 3,366,881 0.0%
-------------- ----
Total Energy 2,838,068,313 11.5%
-------------- ----
Financials -- (21.9%)
Aflac, Inc. 1,270,675 95,148,144 0.4%
* Alleghany Corp. 32,159 19,639,501 0.1%
Allied World Assurance Co. Holdings AG 274,410 14,568,427 0.1%
Allstate Corp. (The) 1,042,737 84,764,091 0.3%
# Ally Financial, Inc. 2,615,436 51,785,633 0.2%
American Financial Group, Inc. 427,555 41,605,377 0.2%
American International Group, Inc. 2,742,987 167,075,338 0.7%
* Arch Capital Group, Ltd. 161,968 15,706,037 0.1%
Assurant, Inc. 338,911 32,616,795 0.1%
Assured Guaranty, Ltd. 466,679 17,794,470 0.1%
# Axis Capital Holdings, Ltd. 459,271 30,265,959 0.1%
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%
# BB&T Corp. 1,865,843 80,567,101 0.3%
# BOK Financial Corp. 4,796 404,255 0.0%
Capital One Financial Corp. 2,042,506 164,176,632 0.7%
Chubb, Ltd. 493,858 67,782,010 0.3%
# CIT Group, Inc. 434,512 20,122,251 0.1%
Citigroup, Inc. 8,942,092 528,656,479 2.1%
Citizens Financial Group, Inc. 791,252 29,046,861 0.1%
# CNA Financial Corp. 411,635 18,630,600 0.1%
Comerica, Inc. 126,355 8,933,298 0.0%
Everest Re Group, Ltd. 220,574 55,520,681 0.2%
Fifth Third Bancorp 5,417,348 132,345,812 0.5%
First American Financial Corp. 8,092 351,274 0.0%
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%
# Huntington Bancshares, Inc. 4,311,699 55,448,449 0.2%
Invesco, Ltd. 513,904 16,927,998 0.1%
JPMorgan Chase & Co. 11,460,834 997,092,558 4.0%
KeyCorp 3,227,258 58,865,186 0.2%
# Legg Mason, Inc. 42,302 1,581,249 0.0%
Leucadia National Corp. 202,661 5,145,563 0.0%
Lincoln National Corp. 1,166,839 76,929,695 0.3%
Loews Corp. 1,687,230 78,658,663 0.3%
# M&T Bank Corp. 315,719 49,065,890 0.2%
MetLife, Inc. 2,044,246 105,912,385 0.4%
Morgan Stanley 3,862,094 167,499,017 0.7%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Financials -- (Continued)
Nasdaq, Inc. 123,997 $ 8,539,673 0.0%
Navient Corp. 764,605 11,621,996 0.0%
# New York Community Bancorp, Inc. 1,100,233 14,622,097 0.1%
Old Republic International Corp. 776,363 16,055,187 0.1%
PacWest Bancorp 272,599 13,463,665 0.1%
# People's United Financial, Inc. 304,743 5,323,860 0.0%
PNC Financial Services Group, Inc. (The) 1,341,871 160,689,052 0.7%
# Principal Financial Group, Inc. 1,639,822 106,801,607 0.4%
# Prosperity Bancshares, Inc. 53,330 3,583,776 0.0%
Prudential Financial, Inc. 1,100,603 117,797,539 0.5%
Regions Financial Corp. 5,417,883 74,495,891 0.3%
Reinsurance Group of America, Inc. 313,388 39,186,035 0.2%
# RenaissanceRe Holdings, Ltd. 112,265 15,960,715 0.1%
#* Santander Consumer USA Holdings, Inc. 283,070 3,606,312 0.0%
State Street Corp. 524,339 43,992,042 0.2%
SunTrust Banks, Inc. 1,256,570 71,385,742 0.3%
Synchrony Financial 159,750 4,441,050 0.0%
Travelers Cos., Inc. (The) 1,129,653 137,433,584 0.6%
Unum Group 1,204,396 55,799,667 0.2%
Validus Holdings, Ltd. 168,263 9,301,579 0.0%
Voya Financial, Inc. 145,438 5,436,472 0.0%
Wells Fargo & Co. 4,436,796 238,877,097 1.0%
# WR Berkley Corp. 214,424 14,576,543 0.1%
# XL Group, Ltd. 1,261,223 52,782,182 0.2%
# Zions Bancorporation 758,976 30,381,809 0.1%
-------------- ----
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%
# Allergan P.L.C. 496,938 121,183,301 0.5%
Anthem, Inc. 1,447,321 257,463,933 1.0%
Baxter International, Inc. 77,675 4,324,944 0.0%
* Bio-Rad Laboratories, Inc. Class A 6,194 1,351,903 0.0%
* Centene Corp. 937,965 69,784,596 0.3%
Cigna Corp. 320,341 50,091,722 0.2%
Danaher Corp. 2,154,324 179,519,819 0.7%
* DaVita, Inc. 702,786 48,499,262 0.2%
DENTSPLY SIRONA, Inc. 129,492 8,189,074 0.0%
#* Envision Healthcare Corp. 68,624 3,845,003 0.0%
* Express Scripts Holding Co. 2,740,464 168,100,062 0.7%
Humana, Inc. 708,361 157,241,975 0.6%
* Laboratory Corp. of America Holdings 705,340 98,853,401 0.4%
#* Mallinckrodt P.L.C. 487,783 22,886,778 0.1%
#* MEDNAX, Inc. 413,651 24,967,974 0.1%
Medtronic P.L.C. 4,179,517 347,276,068 1.4%
* Mylan NV 1,226,335 45,803,612 0.2%
PerkinElmer, Inc. 137,678 8,179,450 0.0%
# Perrigo Co. P.L.C. 26,425 1,953,865 0.0%
Pfizer, Inc. 16,341,666 554,309,311 2.3%
Quest Diagnostics, Inc. 953,902 100,646,200 0.4%
#* Quintiles IMS Holdings, Inc. 202,524 17,068,723 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Health Care -- (Continued)
# STERIS P.L.C. 144,438 $ 10,659,524 0.1%
#* Taro Pharmaceutical Industries, Ltd. 8,186 956,534 0.0%
Teleflex, Inc. 39,706 8,214,774 0.0%
Thermo Fisher Scientific, Inc. 1,050,474 173,674,866 0.7%
* United Therapeutics Corp. 42,439 5,334,582 0.0%
Universal Health Services, Inc. Class B 467,536 56,459,647 0.2%
* WellCare Health Plans, Inc. 101,722 15,605,172 0.1%
Zimmer Biomet Holdings, Inc. 147,465 17,644,187 0.1%
-------------- ----
Total Health Care 3,003,566,513 12.1%
-------------- ----
Industrials -- (9.0%)
#* AECOM 592,605 20,273,017 0.1%
# AGCO Corp. 408,303 26,127,309 0.1%
AMERCO 38,158 14,288,645 0.1%
# Arconic, Inc. 2,213,816 60,503,591 0.2%
Carlisle Cos., Inc. 206,891 20,976,679 0.1%
#* Colfax Corp. 86,315 3,493,168 0.0%
Copa Holdings SA Class A 25,708 2,992,925 0.0%
CSX Corp. 5,240,612 266,432,714 1.1%
Cummins, Inc. 300,301 45,327,433 0.2%
Delta Air Lines, Inc. 2,872,498 130,526,309 0.5%
Dover Corp. 830,218 65,487,596 0.3%
Eaton Corp. P.L.C. 1,664,721 125,919,497 0.5%
EMCOR Group, Inc. 17,959 1,180,625 0.0%
FedEx Corp. 658,668 124,949,320 0.5%
Fluor Corp. 876,459 44,979,876 0.2%
General Electric Co. 2,108,359 61,121,327 0.2%
#* Genesee & Wyoming, Inc. Class A 54,725 3,708,166 0.0%
Ingersoll-Rand P.L.C. 830,409 73,698,799 0.3%
Jacobs Engineering Group, Inc. 345,183 18,957,450 0.1%
* JetBlue Airways Corp. 1,929,288 42,116,357 0.2%
# Johnson Controls International P.L.C. 614,607 25,549,213 0.1%
Kansas City Southern 575,102 51,799,437 0.2%
L3 Technologies, Inc. 381,968 65,610,643 0.3%
Macquarie Infrastructure Corp. 232,644 18,930,242 0.1%
# ManpowerGroup, Inc. 402,894 40,684,236 0.2%
Norfolk Southern Corp. 1,571,094 184,587,834 0.7%
# Orbital ATK, Inc. 77,125 7,635,375 0.0%
Oshkosh Corp. 225,480 15,646,057 0.1%
Owens Corning 714,019 43,448,056 0.2%
PACCAR, Inc. 522,096 34,839,466 0.1%
# Pentair P.L.C. 1,008,228 65,040,788 0.3%
* Quanta Services, Inc. 217,435 7,705,896 0.0%
Republic Services, Inc. 2,082,943 131,204,580 0.5%
Rockwell Collins, Inc. 10,306 1,072,752 0.0%
Ryder System, Inc. 109,553 7,439,744 0.0%
Southwest Airlines Co. 1,489,840 83,758,805 0.3%
Spirit Aerosystems Holdings, Inc. Class A 31,638 1,808,428 0.0%
Stanley Black & Decker, Inc. 1,101,159 149,922,798 0.6%
#* Stericycle, Inc. 44,012 3,755,984 0.0%
* Teledyne Technologies, Inc. 578 77,932 0.0%
Textron, Inc. 1,848,856 86,267,621 0.4%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
# Trinity Industries, Inc. 7,385 $ 198,657 0.0%
* United Continental Holdings, Inc. 1,066,138 74,853,549 0.3%
* United Rentals, Inc. 198,537 21,771,567 0.1%
#* USG Corp. 171,791 5,205,267 0.0%
#* XPO Logistics, Inc. 543,052 26,821,338 0.1%
-------------- ---
Total Industrials 2,308,697,068 9.3%
-------------- ---
Information Technology -- (13.9%)
* Akamai Technologies, Inc. 44,939 2,738,583 0.0%
Amdocs, Ltd. 448,465 27,463,996 0.1%
#* ARRIS International P.L.C. 383,875 9,976,911 0.0%
* Arrow Electronics, Inc. 639,970 45,117,885 0.2%
Avnet, Inc. 757,412 29,304,270 0.1%
# Brocade Communications Systems, Inc. 1,391,533 17,491,570 0.1%
# CA, Inc. 2,950,360 96,860,319 0.4%
Cisco Systems, Inc. 19,508,609 664,658,309 2.7%
#* CommerceHub, Inc. Series C 83,520 1,329,638 0.0%
#* Conduent, Inc. 481,203 7,848,421 0.0%
Corning, Inc. 3,683,566 106,270,879 0.4%
* Dell Technologies, Inc. Class V 703,394 47,204,771 0.2%
Dolby Laboratories, Inc. Class A 11,316 596,693 0.0%
* DXC Technology Co. 1,074,893 80,982,439 0.3%
* EchoStar Corp. Class A 4,194 241,407 0.0%
Fidelity National Information Services, Inc. 1,455,335 122,524,654 0.5%
#* First Solar, Inc. 72,792 2,151,004 0.0%
* Flex, Ltd. 1,552,059 23,994,832 0.1%
FLIR Systems, Inc. 50,494 1,854,645 0.0%
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%
# Jabil Circuit, Inc. 715,309 20,758,267 0.1%
Juniper Networks, Inc. 2,470,788 74,296,595 0.3%
# Lam Research Corp. 1,022,498 148,108,835 0.6%
Leidos Holdings, Inc. 435,485 22,932,640 0.1%
Marvell Technology Group, Ltd. 566,260 8,505,225 0.0%
* Micron Technology, Inc. 5,266,057 145,711,797 0.6%
* Microsemi Corp. 57,304 2,689,850 0.0%
* Nuance Communications, Inc. 145,478 2,602,601 0.0%
NVIDIA Corp. 1,824,559 190,301,504 0.8%
* ON Semiconductor Corp. 550,404 7,804,729 0.0%
#* Qorvo, Inc. 225,094 15,313,145 0.1%
QUALCOMM, Inc. 2,686,624 144,379,174 0.6%
# SS&C Technologies Holdings, Inc. 122,197 4,489,518 0.0%
# Symantec Corp. 867,963 27,453,670 0.1%
SYNNEX Corp. 131,360 14,243,365 0.1%
* Synopsys, Inc. 83,602 6,161,467 0.0%
TE Connectivity, Ltd. 875,993 67,775,578 0.3%
Teradyne, Inc. 130,425 4,600,090 0.0%
Western Digital Corp. 1,143,378 101,840,678 0.4%
Xerox Corp. 6,063,653 43,597,665 0.2%
* Yahoo!, Inc. 882,945 42,566,778 0.2%
* Zillow Group, Inc. Class A 3,568 137,332 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- --------------- ---------------
Information Technology -- (Continued)
#* Zillow Group, Inc. Class C 18,297 $ 713,583 0.0%
--------------- ----
Total Information Technology 3,567,663,791 14.4%
--------------- ----
Materials -- (3.5%)
# Albemarle Corp. 492,856 53,676,947 0.2%
Alcoa Corp. 630,485 21,266,259 0.1%
Ashland Global Holdings, Inc. 370,241 45,724,764 0.2%
# CF Industries Holdings, Inc. 1,428,640 38,201,834 0.2%
Dow Chemical Co. (The) 822,454 51,650,111 0.2%
Eastman Chemical Co. 950,767 75,823,668 0.3%
#* Freeport-McMoRan, Inc. 2,987,379 38,089,082 0.1%
Huntsman Corp. 258,591 6,405,299 0.0%
* Ingevity Corp. 100,175 6,334,065 0.0%
International Paper Co. 271,173 14,635,207 0.1%
Martin Marietta Materials, Inc. 101,369 22,320,440 0.1%
Mosaic Co. (The) 1,617,958 43,571,609 0.2%
Newmont Mining Corp. 3,122,398 105,568,276 0.4%
Nucor Corp. 2,299,243 141,012,573 0.6%
Olin Corp. 820,030 26,347,564 0.1%
Reliance Steel & Aluminum Co. 409,494 32,276,317 0.1%
# Royal Gold, Inc. 12,274 867,526 0.0%
# Sonoco Products Co. 12,855 672,445 0.0%
Steel Dynamics, Inc. 1,275,442 46,094,474 0.2%
# United States Steel Corp. 288 6,428 0.0%
Vulcan Materials Co. 436,870 52,808,846 0.2%
# Westlake Chemical Corp. 332,042 20,669,615 0.1%
WestRock Co. 1,010,478 54,121,202 0.2%
--------------- ----
Total Materials 898,144,551 3.6%
--------------- ----
Real Estate -- (0.0%)
Jones Lang LaSalle, Inc. 73,941 8,492,863 0.0%
--------------- ----
Telecommunication Services -- (4.5%)
AT&T, Inc. 23,201,858 919,489,632 3.7%
# CenturyLink, Inc. 3,693,934 94,823,286 0.4%
# Frontier Communications Corp. 4,303,569 8,090,710 0.1%
* Level 3 Communications, Inc. 843,237 51,235,080 0.2%
#* Sprint Corp. 2,014,058 18,186,944 0.1%
#* T-Mobile US, Inc. 814,355 54,781,661 0.2%
* United States Cellular Corp. 109,777 4,301,063 0.0%
--------------- ----
Total Telecommunication Services 1,150,908,376 4.7%
--------------- ----
Utilities -- (0.2%)
#* Calpine Corp. 1,488,185 15,179,487 0.1%
# NRG Energy, Inc. 1,599,440 27,030,536 0.1%
--------------- ----
Total Utilities 42,210,023 0.2%
--------------- ----
TOTAL COMMON STOCKS 24,480,166,877 99.0%
--------------- ----
RIGHTS/WARRANTS -- (0.0%)
(degrees)#* Safeway Casa Ley Contingent Value Rights 196,076 198,998 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
----------- --------------- ---------------
(degrees)#* Safeway PDC, LLC Contingent Value Rights 196,076 $ 9,568 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS 208,566 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES 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%
=============== =====
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 Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (91.2%)
AUSTRALIA -- (6.0%)
# Alumina, Ltd. 312,287 $ 428,697 0.0%
Aurizon Holdings, Ltd. 2,957,356 11,404,009 0.1%
Australia & New Zealand Banking Group, Ltd. 5,694,220 139,388,687 1.3%
Bank of Queensland, Ltd. 796,768 7,128,778 0.1%
# Bendigo & Adelaide Bank, Ltd. 1,234,344 11,359,294 0.1%
BHP Billiton, Ltd. 6,202,634 110,431,283 1.0%
# BHP Billiton, Ltd. Sponsored ADR 1,703,682 60,651,079 0.5%
BlueScope Steel, Ltd. 2,247,686 19,637,892 0.2%
Boral, Ltd. 2,601,567 11,992,040 0.1%
Crown Resorts, Ltd. 365,827 3,420,604 0.0%
Fortescue Metals Group, Ltd. 8,082,342 32,035,583 0.3%
Incitec Pivot, Ltd. 4,609,977 13,060,771 0.1%
LendLease Group 415,380 4,986,908 0.1%
# National Australia Bank, Ltd. 94,926 2,409,425 0.0%
Newcrest Mining, Ltd. 3,230,328 51,825,223 0.5%
# Oil Search, Ltd. 32,378 174,710 0.0%
* Origin Energy, Ltd. 2,811,665 15,130,346 0.1%
QBE Insurance Group, Ltd. 3,206,606 30,808,331 0.3%
Rio Tinto, Ltd. 531,852 24,077,837 0.2%
* Santos, Ltd. 4,975,438 12,916,728 0.1%
South32, Ltd. 10,515,932 21,792,131 0.2%
South32, Ltd. ADR 354,708 3,667,681 0.0%
Star Entertainment Grp, Ltd. (The) 3,612,236 15,045,813 0.1%
Suncorp Group, Ltd. 2,744,708 28,294,208 0.3%
Tatts Group, Ltd. 1,279,473 4,116,093 0.0%
Treasury Wine Estates, Ltd. 862,095 7,740,198 0.1%
Wesfarmers, Ltd. 3,017 97,116 0.0%
Woodside Petroleum, Ltd. 2,846,042 68,508,412 0.6%
------------ ---
TOTAL AUSTRALIA 712,529,877 6.4%
------------ ---
AUSTRIA -- (0.1%)
Erste Group Bank AG 98,143 3,513,892 0.0%
OMV AG 147,907 6,812,760 0.1%
* Raiffeisen Bank International AG 44,884 1,023,185 0.0%
------------ ---
TOTAL AUSTRIA 11,349,837 0.1%
------------ ---
BELGIUM -- (1.0%)
Ageas 657,072 26,904,359 0.3%
Colruyt SA 36,988 1,900,669 0.0%
KBC Group NV 489,692 35,388,507 0.3%
# Proximus SADP 94,031 2,875,837 0.0%
Solvay SA 282,524 35,934,511 0.3%
# UCB SA 130,225 10,163,927 0.1%
Umicore SA 49,535 2,902,115 0.0%
------------ ---
TOTAL BELGIUM 116,069,925 1.0%
------------ ---
CANADA -- (7.2%)
AltaGas, Ltd. 534,262 11,972,510 0.1%
Bank of Montreal(063671101) 1,609,124 114,006,435 1.0%
# Bank of Montreal(2076009) 85,939 6,085,392 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
CANADA -- (Continued)
* BlackBerry, Ltd. 1,009,785 $ 9,431,712 0.1%
Cameco Corp.(13321L108) 546,688 5,242,738 0.0%
Cameco Corp.(2166160) 507,476 4,866,387 0.0%
Canadian Natural Resources, Ltd.(136385101) 393,841 12,551,713 0.1%
Canadian Natural Resources, Ltd.(2171573) 651,736 20,759,299 0.2%
Cenovus Energy, Inc. 1,331,857 13,291,933 0.1%
Crescent Point Energy Corp.(22576C101) 1,508,054 14,944,819 0.1%
# Crescent Point Energy Corp.(B67C8W8) 822,786 8,143,173 0.1%
* Detour Gold Corp. 33,074 417,953 0.0%
Eldorado Gold Corp. 219,659 802,973 0.0%
Element Fleet Management Corp. 278,876 2,449,524 0.0%
Empire Co., Ltd. Class A 798,335 12,299,172 0.1%
# Enbridge Income Fund Holdings, Inc. 302,258 7,417,782 0.1%
Encana Corp. 924,931 9,896,762 0.1%
Fairfax Financial Holdings, Ltd. 62,754 28,686,492 0.3%
Finning International, Inc. 317,192 6,032,236 0.1%
# First Quantum Minerals, Ltd. 1,443,025 13,753,161 0.1%
# Genworth MI Canada, Inc. 79,289 1,969,083 0.0%
Goldcorp, Inc.(380956409) 1,076,273 15,024,771 0.1%
Goldcorp, Inc.(2676302) 1,089,807 15,184,886 0.1%
* Husky Energy, Inc. 1,740,697 20,096,982 0.2%
Imperial Oil, Ltd.(2454241) 187,707 5,460,492 0.0%
Imperial Oil, Ltd.(453038408) 88,805 2,581,561 0.0%
Industrial Alliance Insurance & Financial Services, Inc. 495,231 20,893,266 0.2%
* Kinross Gold Corp. 5,789,196 20,144,816 0.2%
Lundin Mining Corp. 2,882,126 15,370,776 0.1%
Magna International, Inc. 603,926 25,225,989 0.2%
Manulife Financial Corp.(2492519) 3,005,038 52,701,813 0.5%
Manulife Financial Corp.(56501R106) 1,711,212 30,031,771 0.3%
Maple Leaf Foods, Inc. 65,321 1,635,119 0.0%
Potash Corp. of Saskatchewan, Inc. 768,694 12,975,555 0.1%
Silver Wheaton Corp. 282,461 5,640,746 0.1%
Sun Life Financial, Inc.(2566124) 1,110,140 39,207,245 0.3%
Sun Life Financial, Inc.(866796105) 277,638 9,806,174 0.1%
Suncor Energy, Inc.(B3NB1P2) 3,911,426 122,582,195 1.1%
Suncor Energy, Inc.(867224107) 948,067 29,731,381 0.3%
Teck Resources, Ltd. Class B(2879327) 1,355,792 28,127,929 0.3%
Teck Resources, Ltd. Class B(878742204) 1,454,060 30,157,204 0.3%
* Tourmaline Oil Corp. 1,195,366 23,486,111 0.2%
* Turquoise Hill Resources, Ltd.(900435108) 127,382 347,753 0.0%
* Turquoise Hill Resources, Ltd.(B7WJ1F5) 1,590,290 4,333,818 0.0%
Veresen, Inc. 51,006 569,079 0.0%
West Fraser Timber Co., Ltd. 11,349 509,980 0.0%
# Whitecap Resources, Inc. 902,184 6,384,453 0.1%
# WSP Global, Inc. 352,414 12,838,759 0.1%
Yamana Gold, Inc. 3,207,591 8,623,757 0.1%
------------ ---
TOTAL CANADA 864,695,630 7.7%
------------ ---
DENMARK -- (1.7%)
AP Moller - Maersk A.S. Class A 7,706 12,784,198 0.1%
AP Moller - Maersk A.S. Class B 16,058 27,700,596 0.3%
Carlsberg A.S. Class B 204,283 20,383,868 0.2%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
DENMARK -- (Continued)
Danske Bank A.S. 1,052,775 $ 38,277,348 0.3%
DSV A.S. 470,071 26,176,113 0.2%
# H Lundbeck A.S. 74,464 3,819,632 0.0%
ISS A.S. 489,834 20,318,427 0.2%
# Novozymes A.S. Class B 47,990 2,071,877 0.0%
Tryg A.S. 10,592 203,226 0.0%
Vestas Wind Systems A.S. 636,500 54,768,619 0.5%
-------------- ----
TOTAL DENMARK 206,503,904 1.8%
-------------- ----
FINLAND -- (0.8%)
# Fortum Oyj 1,121,163 16,301,992 0.2%
Neste Oyj 79,244 3,229,129 0.0%
Nokia Oyj 3,340,583 19,097,592 0.2%
# Stora Enso Oyj Class R 2,037,136 24,176,503 0.2%
Stora Enso Oyj Sponsored ADR 91,500 1,086,562 0.0%
UPM-Kymmene Oyj 1,353,907 35,670,942 0.3%
# UPM-Kymmene Oyj Sponsored ADR 69,300 1,843,380 0.0%
-------------- ----
TOTAL FINLAND 101,406,100 0.9%
-------------- ----
FRANCE -- (9.4%)
# AXA SA 2,945,233 78,579,188 0.7%
AXA SA Sponsored ADR 9,929 264,230 0.0%
# BNP Paribas SA 1,948,140 137,494,233 1.2%
* Bollore SA(BD3RTL2) 10,106 40,430 0.0%
Bollore SA(4572709) 1,500,814 6,106,705 0.1%
# Bouygues SA 709,374 29,817,734 0.3%
# Casino Guichard Perrachon SA 181,821 10,950,086 0.1%
Cie de Saint-Gobain 1,715,632 92,570,057 0.8%
Cie Generale des Etablissements Michelin 142,480 18,636,533 0.2%
# CNP Assurances 497,075 10,383,283 0.1%
Credit Agricole SA 1,019,955 15,170,639 0.1%
Electricite de France SA 859,998 7,179,054 0.1%
# Engie SA 4,083,126 57,572,240 0.5%
Natixis SA 2,277,633 15,850,472 0.1%
Orange SA 5,375,197 83,193,733 0.7%
#* Peugeot SA 2,095,168 43,926,468 0.4%
Renault SA 797,219 74,341,567 0.7%
# SCOR SE 349,012 13,805,852 0.1%
Societe Generale SA 1,935,625 106,135,467 0.9%
STMicroelectronics NV 1,809,335 29,046,455 0.3%
Total SA 5,191,725 266,507,837 2.4%
# Vivendi SA 1,322,728 26,236,580 0.2%
-------------- ----
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%
BASF SE 8,683 845,889 0.0%
Bayerische Motoren Werke AG 1,004,588 95,980,102 0.9%
#* Commerzbank AG 1,767,741 17,330,117 0.2%
Daimler AG 2,793,294 208,140,301 1.9%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
GERMANY -- (Continued)
* Deutsche Bank AG(5750355) 1,628,856 $ 29,288,145 0.3%
* Deutsche Bank AG(D18190898) 1,568,976 28,351,396 0.2%
Deutsche Lufthansa AG 1,148,027 19,806,025 0.2%
E.ON SE 2,750,306 21,439,694 0.2%
Evonik Industries AG 263,872 8,810,680 0.1%
# Fraport AG Frankfurt Airport Services Worldwide 106,349 8,366,845 0.1%
Fresenius Medical Care AG & Co. KGaA 247,312 21,953,699 0.2%
# Fresenius Medical Care AG & Co. KGaA ADR 16,919 751,880 0.0%
Hannover Rueck SE 31,333 3,758,837 0.0%
HeidelbergCement AG 361,351 33,452,943 0.3%
Lanxess AG 71,802 5,184,565 0.0%
Linde AG 157,109 28,230,669 0.2%
Metro AG 746,013 24,550,783 0.2%
Muenchener Rueckversicherungs-Gesellschaft AG 138,458 26,545,058 0.2%
Osram Licht AG 7,588 508,316 0.0%
* RWE AG 1,630,923 27,013,356 0.2%
* Talanx AG 175,108 6,312,216 0.1%
# Telefonica Deutschland Holding AG 1,462,519 7,091,361 0.1%
* Uniper SE 909,742 14,930,793 0.1%
Volkswagen AG 90,788 14,639,116 0.1%
------------ ---
TOTAL GERMANY 845,854,336 7.5%
------------ ---
HONG KONG -- (2.5%)
Bank of East Asia, Ltd. (The) 162,822 673,311 0.0%
# Cathay Pacific Airways, Ltd. 5,276,000 7,593,326 0.1%
CK Hutchison Holdings, Ltd. 6,496,484 81,123,446 0.7%
FIH Mobile, Ltd. 712,000 244,255 0.0%
Great Eagle Holdings, Ltd. 15,363 76,195 0.0%
Guoco Group, Ltd. 6,000 68,867 0.0%
Hang Lung Group, Ltd. 2,820,000 11,759,177 0.1%
Hang Lung Properties, Ltd. 4,709,000 12,338,417 0.1%
Henderson Land Development Co., Ltd. 485,042 3,070,537 0.0%
Hopewell Holdings, Ltd. 938,669 3,587,176 0.0%
Kerry Properties, Ltd. 2,556,000 9,555,101 0.1%
# MTR Corp., Ltd. 460,959 2,651,976 0.0%
New World Development Co., Ltd. 24,100,784 29,969,519 0.3%
NWS Holdings, Ltd. 2,143,617 4,025,602 0.0%
Orient Overseas International, Ltd. 22,500 120,115 0.0%
Shangri-La Asia, Ltd. 4,242,000 6,071,171 0.1%
Sino Land Co., Ltd. 6,268,592 10,608,040 0.1%
Sun Hung Kai Properties, Ltd. 2,980,920 44,669,080 0.4%
Swire Pacific, Ltd. Class A 2,098,000 20,230,678 0.2%
Swire Pacific, Ltd. Class B 1,205,000 2,044,127 0.0%
Wharf Holdings, Ltd. (The) 2,795,990 23,838,689 0.2%
Wheelock & Co., Ltd. 3,631,000 28,283,341 0.3%
Yue Yuen Industrial Holdings, Ltd. 160,000 632,515 0.0%
------------ ---
TOTAL HONG KONG 303,234,661 2.7%
------------ ---
IRELAND -- (0.2%)
* Bank of Ireland 41,793,155 10,520,890 0.1%
CRH P.L.C. 293,793 10,701,142 0.1%
CRH P.L.C. Sponsored ADR 198,709 7,217,111 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
IRELAND -- (Continued)
Paddy Power Betfair P.L.C. 6,217 $ 691,917 0.0%
------------ ---
TOTAL IRELAND 29,131,060 0.3%
------------ ---
ISRAEL -- (0.4%)
Azrieli Group, Ltd. 10,364 551,297 0.0%
Bank Hapoalim BM 3,323,482 20,726,262 0.2%
* Bank Leumi Le-Israel BM 3,744,510 17,511,804 0.2%
Israel Chemicals, Ltd. 11,324 48,799 0.0%
# Mizrahi Tefahot Bank, Ltd. 287,688 4,640,825 0.0%
------------ ---
TOTAL ISRAEL 43,478,987 0.4%
------------ ---
ITALY -- (1.5%)
Assicurazioni Generali SpA 420,057 6,653,708 0.1%
* Fiat Chrysler Automobiles NV(BRJFWP3) 3,189,372 36,226,480 0.3%
#* Fiat Chrysler Automobiles NV(N31738102) 1,059,600 12,047,652 0.1%
Intesa Sanpaolo SpA 2,643,383 7,716,296 0.1%
Mediobanca SpA 1,713,928 16,482,090 0.2%
* Telecom Italia SpA 11,562,658 10,262,922 0.1%
#* Telecom Italia SpA Sponsored ADR 1,847,002 16,438,318 0.1%
* UniCredit SpA 4,382,253 71,353,969 0.6%
------------ ---
TOTAL ITALY 177,181,435 1.6%
------------ ---
JAPAN -- (20.3%)
Aeon Co., Ltd. 2,178,400 32,285,833 0.3%
Aisin Seiki Co., Ltd. 415,000 20,325,519 0.2%
Alfresa Holdings Corp. 222,100 4,010,601 0.0%
Amada Holdings Co., Ltd. 575,500 6,842,306 0.1%
Aoyama Trading Co., Ltd. 41,900 1,497,016 0.0%
Asahi Glass Co., Ltd. 3,616,000 31,331,028 0.3%
Asahi Kasei Corp. 2,293,000 21,865,137 0.2%
Bank of Kyoto, Ltd. (The) 568,400 4,501,526 0.0%
Brother Industries, Ltd. 194,855 4,009,262 0.0%
Canon Marketing Japan, Inc. 153,100 3,226,525 0.0%
Chiba Bank, Ltd. (The) 1,064,000 7,127,782 0.1%
Chugoku Bank, Ltd. (The) 256,900 3,816,502 0.0%
Citizen Watch Co., Ltd. 689,600 4,575,133 0.0%
Coca-Cola Bottlers Japan, Inc. 262,457 7,825,784 0.1%
COMSYS Holdings Corp. 31,300 595,418 0.0%
Concordia Financial Group, Ltd. 2,373,100 10,915,779 0.1%
# Credit Saison Co., Ltd. 178,400 3,250,729 0.0%
Dai Nippon Printing Co., Ltd. 901,000 10,030,515 0.1%
Dai-ichi Life Holdings, Inc. 2,403,800 40,960,755 0.4%
Daicel Corp. 63,500 728,957 0.0%
Daido Steel Co., Ltd. 173,000 963,291 0.0%
Daiwa Securities Group, Inc. 771,000 4,690,280 0.0%
Denka Co., Ltd. 1,174,000 6,048,822 0.1%
Denso Corp. 275,000 11,868,350 0.1%
DIC Corp. 228,700 8,140,970 0.1%
Dowa Holdings Co., Ltd. 231,000 1,719,712 0.0%
Ebara Corp. 266,800 8,127,754 0.1%
Fuji Media Holdings, Inc. 42,100 601,961 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
JAPAN -- (Continued)
FUJIFILM Holdings Corp. 1,123,900 $ 41,713,126 0.4%
Fujitsu, Ltd. 1,022,000 6,379,649 0.1%
Fukuoka Financial Group, Inc. 1,238,000 5,647,606 0.1%
Furukawa Electric Co., Ltd. 42,968 1,739,419 0.0%
Glory, Ltd. 185,800 6,238,874 0.1%
Gunma Bank, Ltd. (The) 604,496 3,242,622 0.0%
H2O Retailing Corp. 198,900 3,376,005 0.0%
Hachijuni Bank, Ltd. (The) 622,531 3,676,263 0.0%
Hankyu Hanshin Holdings, Inc. 599,500 19,803,529 0.2%
Heiwa Corp. 64,700 1,667,486 0.0%
Hiroshima Bank, Ltd. (The) 762,000 3,289,482 0.0%
Hitachi Capital Corp. 103,300 2,529,360 0.0%
Hitachi Chemical Co., Ltd. 320,500 9,178,837 0.1%
Hitachi Construction Machinery Co., Ltd. 344,300 8,875,982 0.1%
Hitachi Metals, Ltd. 475,400 6,657,645 0.1%
Hitachi Transport System, Ltd. 105,000 2,231,585 0.0%
Hitachi, Ltd. 12,504,000 69,076,694 0.6%
Hokuhoku Financial Group, Inc. 191,900 3,014,261 0.0%
Honda Motor Co., Ltd. 4,256,100 123,876,586 1.1%
Honda Motor Co., Ltd. Sponsored ADR 26,040 757,764 0.0%
# House Foods Group, Inc. 75,600 1,682,910 0.0%
Ibiden Co., Ltd. 459,900 8,095,421 0.1%
Idemitsu Kosan Co., Ltd. 239,496 7,657,146 0.1%
* IHI Corp. 1,136,000 3,846,941 0.0%
Iida Group Holdings Co., Ltd. 501,200 7,981,988 0.1%
Inpex Corp. 2,451,200 23,488,440 0.2%
Isetan Mitsukoshi Holdings, Ltd. 594,700 6,498,401 0.1%
Isuzu Motors, Ltd. 112,300 1,526,390 0.0%
ITOCHU Corp. 2,322,400 32,861,892 0.3%
# Iyo Bank, Ltd. (The) 492,300 3,496,883 0.0%
J Front Retailing Co., Ltd. 977,000 14,083,436 0.1%
JFE Holdings, Inc. 1,698,700 28,974,035 0.3%
JGC Corp. 113,000 1,973,213 0.0%
JSR Corp. 401,500 7,337,646 0.1%
JTEKT Corp. 447,600 7,060,426 0.1%
JXTG Holdings, Inc. 5,190,733 23,420,753 0.2%
# K's Holdings Corp. 152,200 2,927,795 0.0%
Kamigumi Co., Ltd. 398,000 3,616,695 0.0%
Kaneka Corp. 1,156,542 9,119,137 0.1%
Kawasaki Heavy Industries, Ltd. 1,380,000 4,178,102 0.0%
#* Kawasaki Kisen Kaisha, Ltd. 3,012,000 7,919,527 0.1%
Kinden Corp. 187,800 2,841,238 0.0%
#* Kobe Steel, Ltd. 1,140,200 10,129,594 0.1%
Komatsu, Ltd. 586,300 15,666,831 0.1%
Konica Minolta, Inc. 1,999,600 17,701,700 0.2%
Kuraray Co., Ltd. 1,340,000 21,626,411 0.2%
Kurita Water Industries, Ltd. 7,500 193,671 0.0%
Kyocera Corp. 257,800 14,600,522 0.1%
Kyocera Corp. Sponsored ADR 25,197 1,434,465 0.0%
Kyushu Financial Group, Inc. 514,749 3,209,516 0.0%
LIXIL Group Corp. 487,800 12,191,488 0.1%
Marubeni Corp. 5,039,200 31,060,286 0.3%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
JAPAN -- (Continued)
Mazda Motor Corp. 2,631,600 $ 38,874,703 0.4%
Mebuki Financial Group, Inc. 1,177,020 4,618,432 0.0%
Medipal Holdings Corp. 384,300 6,367,074 0.1%
Mitsubishi Chemical Holdings Corp. 6,359,900 49,780,118 0.4%
Mitsubishi Corp. 1,213,800 26,193,898 0.2%
# Mitsubishi Gas Chemical Co., Inc. 570,500 12,199,086 0.1%
Mitsubishi Heavy Industries, Ltd. 7,800,000 31,253,558 0.3%
Mitsubishi Logistics Corp. 78,000 1,009,130 0.0%
Mitsubishi Materials Corp. 518,200 15,430,324 0.1%
# Mitsubishi Motors Corp. 687,400 4,402,481 0.0%
Mitsubishi UFJ Financial Group, Inc. 17,854,906 113,139,273 1.0%
Mitsubishi UFJ Financial Group, Inc. Sponsored ADR 4,781,372 30,313,898 0.3%
Mitsubishi UFJ Lease & Finance Co., Ltd. 1,425,100 7,447,383 0.1%
Mitsui & Co., Ltd. 1,071,500 15,130,217 0.1%
Mitsui & Co., Ltd. Sponsored ADR 11,723 3,318,664 0.0%
Mitsui Chemicals, Inc. 3,169,800 16,218,901 0.1%
Mitsui OSK Lines, Ltd. 4,123,000 12,623,003 0.1%
Mizuho Financial Group, Inc. 49,478,100 90,442,450 0.8%
# Mizuho Financial Group, Inc. ADR 205,757 757,186 0.0%
MS&AD Insurance Group Holdings, Inc. 818,353 26,681,639 0.2%
NEC Corp. 10,864,101 27,013,367 0.2%
NGK Spark Plug Co., Ltd. 16,000 346,998 0.0%
NH Foods, Ltd. 179,536 5,117,307 0.0%
NHK Spring Co., Ltd. 664,200 7,419,703 0.1%
# Nikon Corp. 746,700 10,659,450 0.1%
Nippo Corp. 185,000 3,564,236 0.0%
Nippon Electric Glass Co., Ltd. 551,000 3,417,488 0.0%
Nippon Express Co., Ltd. 3,529,238 19,373,670 0.2%
Nippon Paper Industries Co., Ltd. 373,800 7,067,039 0.1%
Nippon Shokubai Co., Ltd. 102,400 6,878,682 0.1%
Nippon Steel & Sumitomo Metal Corp. 2,142,693 48,254,559 0.4%
* Nippon Yusen K.K. 7,713,000 15,507,438 0.1%
Nissan Motor Co., Ltd. 6,443,700 61,379,912 0.6%
Nisshin Seifun Group, Inc. 42,800 657,609 0.0%
Nisshinbo Holdings, Inc. 305,000 3,117,754 0.0%
NOK Corp. 355,120 8,464,414 0.1%
Nomura Holdings, Inc. 347,400 2,087,745 0.0%
Nomura Real Estate Holdings, Inc. 422,800 7,151,336 0.1%
NSK, Ltd. 29,000 396,576 0.0%
NTN Corp. 1,625,000 8,283,019 0.1%
Obayashi Corp. 279,682 2,715,398 0.0%
Oji Holdings Corp. 3,833,000 18,551,720 0.2%
ORIX Corp. 1,690,300 25,832,388 0.2%
Otsuka Holdings Co., Ltd. 8,800 405,318 0.0%
Resona Holdings, Inc. 7,208,900 40,075,648 0.4%
Ricoh Co., Ltd. 3,215,400 26,801,673 0.2%
Rohm Co., Ltd. 84,700 5,948,304 0.1%
Sankyo Co., Ltd. 73,900 2,577,289 0.0%
SBI Holdings, Inc. 638,800 8,861,531 0.1%
Sega Sammy Holdings, Inc. 169,200 2,271,761 0.0%
Seino Holdings Co., Ltd. 413,700 4,791,425 0.0%
Sekisui Chemical Co., Ltd. 102,000 1,711,931 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
JAPAN -- (Continued)
Sekisui House, Ltd. 1,036,900 $ 17,224,779 0.2%
Shinsei Bank, Ltd. 3,134,000 5,851,346 0.1%
Shizuoka Bank, Ltd. (The) 851,000 7,182,984 0.1%
* Showa Denko K.K. 261,500 4,994,630 0.0%
Showa Shell Sekiyu K.K. 184,300 1,779,926 0.0%
Sojitz Corp. 2,218,300 5,639,547 0.1%
Sompo Holdings, Inc. 241,800 9,137,743 0.1%
Sony Corp. Sponsored ADR 47,846 1,651,644 0.0%
Sumitomo Chemical Co., Ltd. 7,305,000 41,225,786 0.4%
Sumitomo Corp. 899,400 12,018,981 0.1%
Sumitomo Electric Industries, Ltd. 2,838,500 46,358,223 0.4%
Sumitomo Forestry Co., Ltd. 516,000 7,900,570 0.1%
Sumitomo Heavy Industries, Ltd. 1,924,000 13,421,971 0.1%
Sumitomo Metal Mining Co., Ltd. 1,067,000 14,448,760 0.1%
Sumitomo Mitsui Financial Group, Inc. 2,854,200 105,978,196 1.0%
Sumitomo Mitsui Trust Holdings, Inc. 646,244 22,137,541 0.2%
Sumitomo Rubber Industries, Ltd. 659,000 11,861,118 0.1%
Suzuken Co., Ltd. 113,000 3,739,266 0.0%
T&D Holdings, Inc. 1,952,000 29,025,351 0.3%
Taiheiyo Cement Corp. 2,798,212 9,298,948 0.1%
Takashimaya Co., Ltd. 821,634 7,565,613 0.1%
TDK Corp. 420,200 26,033,714 0.2%
Teijin, Ltd. 771,690 14,951,784 0.1%
THK Co., Ltd. 236,800 6,107,795 0.1%
Tokai Rika Co., Ltd. 165,500 3,081,031 0.0%
Tokio Marine Holdings, Inc. 43,400 1,829,898 0.0%
Tokyo Broadcasting System Holdings, Inc. 49,400 876,884 0.0%
Tokyo Tatemono Co., Ltd. 395,800 5,407,440 0.1%
Tokyu Fudosan Holdings Corp. 1,737,700 9,490,118 0.1%
Toppan Printing Co., Ltd. 1,034,000 10,409,067 0.1%
Tosoh Corp. 2,121,000 19,934,428 0.2%
Toyo Seikan Group Holdings, Ltd. 441,249 7,400,163 0.1%
Toyoda Gosei Co., Ltd. 257,800 6,851,340 0.1%
Toyota Industries Corp. 198,500 9,888,144 0.1%
Toyota Motor Corp. 840,290 45,477,128 0.4%
Toyota Motor Corp. Sponsored ADR 34,873 3,771,166 0.0%
Toyota Tsusho Corp. 967,100 30,534,226 0.3%
TV Asahi Holdings Corp. 31,700 586,571 0.0%
Ube Industries, Ltd. 4,325,000 10,054,584 0.1%
Universal Entertainment Corp. 23,200 695,541 0.0%
# Yamada Denki Co., Ltd. 2,435,100 12,788,164 0.1%
Yamaguchi Financial Group, Inc. 320,148 3,547,072 0.0%
Yokohama Rubber Co., Ltd. (The) 410,200 8,054,482 0.1%
Zeon Corp. 65,000 740,083 0.0%
-------------- ----
TOTAL JAPAN 2,433,116,773 21.7%
-------------- ----
NETHERLANDS -- (2.9%)
Aegon NV 2,475,925 12,636,765 0.1%
# Akzo Nobel NV 32,651 2,855,725 0.0%
* ArcelorMittal(B03XPL1) 4,334,189 34,059,535 0.3%
#* ArcelorMittal(B295F26) 1,684,202 13,136,775 0.1%
Boskalis Westminster 134,823 4,959,169 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NETHERLANDS -- (Continued)
Coca-Cola European Partners P.L.C. 31,954 $ 1,209,164 0.0%
Gemalto NV 22,216 1,244,358 0.0%
ING Groep NV 6,261,830 102,064,860 0.9%
# ING Groep NV Sponsored ADR 1,202,410 19,575,235 0.2%
Koninklijke Ahold Delhaize NV 2,216,999 45,925,688 0.4%
# Koninklijke Ahold Delhaize NV Sponsored ADR 211,969 4,394,117 0.0%
Koninklijke DSM NV 645,650 46,201,554 0.4%
Koninklijke Philips NV(500472303) 168,204 5,789,582 0.1%
Koninklijke Philips NV(5986622) 844,705 29,169,751 0.3%
NN Group NV 726,265 24,079,099 0.2%
------------ ---
TOTAL NETHERLANDS 347,301,377 3.1%
------------ ---
NEW ZEALAND -- (0.1%)
Auckland International Airport, Ltd. 1,216,694 5,765,430 0.0%
Fletcher Building, Ltd. 1,318,068 7,734,902 0.1%
# Fonterra Co-operative Group, Ltd. 126,879 520,979 0.0%
------------ ---
TOTAL NEW ZEALAND 14,021,311 0.1%
------------ ---
NORWAY -- (0.6%)
# DNB ASA 1,669,831 26,059,905 0.2%
Norsk Hydro ASA 2,231,751 12,717,955 0.1%
Norsk Hydro ASA Sponsored ADR 59,900 337,836 0.0%
Statoil ASA 890,278 14,661,888 0.1%
# Statoil ASA Sponsored ADR 226,363 3,719,144 0.0%
Storebrand ASA 694,704 4,577,516 0.1%
# Subsea 7 SA 351,735 5,796,466 0.1%
Yara International ASA 245,876 9,142,894 0.1%
------------ ---
TOTAL NORWAY 77,013,604 0.7%
------------ ---
PORTUGAL -- (0.0%)
EDP Renovaveis SA 541,158 4,123,963 0.0%
------------ ---
SINGAPORE -- (1.0%)
CapitaLand, Ltd. 4,662,800 12,528,676 0.1%
# City Developments, Ltd. 1,500,000 11,575,122 0.1%
DBS Group Holdings, Ltd. 1,801,512 24,879,601 0.2%
Frasers Centrepoint, Ltd. 453,300 616,229 0.0%
Golden Agri-Resources, Ltd. 12,719,900 3,272,305 0.0%
Hutchison Port Holdings Trust 16,251,500 6,579,062 0.1%
# Keppel Corp., Ltd. 4,932,100 22,931,891 0.2%
Olam International, Ltd. 410,300 561,065 0.0%
# SembCorp Industries, Ltd. 2,374,800 5,145,507 0.0%
Singapore Airlines, Ltd. 2,535,900 18,577,399 0.2%
# United Industrial Corp., Ltd. 1,892,070 4,279,037 0.0%
UOL Group, Ltd. 1,015,674 5,260,631 0.1%
Wilmar International, Ltd. 89,900 228,352 0.0%
------------ ---
TOTAL SINGAPORE 116,434,877 1.0%
------------ ---
SPAIN -- (3.1%)
Acciona SA 6,116 504,574 0.0%
Banco de Sabadell SA 15,887,224 30,557,528 0.3%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SPAIN -- (Continued)
* Banco Popular Espanol SA 645,627 $ 451,764 0.0%
# Banco Santander SA 39,540,115 257,679,834 2.3%
# Banco Santander SA Sponsored ADR 784,463 5,114,699 0.1%
CaixaBank SA 4,124,925 18,728,978 0.2%
Iberdrola SA 1,855,534 13,338,996 0.1%
Mapfre SA 642,367 2,240,617 0.0%
Repsol SA 2,390,611 37,731,808 0.3%
------------ ---
TOTAL SPAIN 366,348,798 3.3%
------------ ---
SWEDEN -- (2.2%)
# Boliden AB 1,273,315 36,376,437 0.3%
Holmen AB Class A 2,781 118,480 0.0%
Holmen AB Class B 110,689 4,664,214 0.0%
# ICA Gruppen AB 8,133 277,548 0.0%
Millicom International Cellular SA 83,553 4,578,061 0.0%
Nordea Bank AB 5,922,770 72,843,038 0.7%
Skandinaviska Enskilda Banken AB Class A 1,904,509 21,931,064 0.2%
# Skandinaviska Enskilda Banken AB Class C 25,796 296,723 0.0%
#* SSAB AB Class A 363,480 1,581,307 0.0%
* SSAB AB Class B 939,494 3,333,197 0.0%
Svenska Cellulosa AB SCA Class A 62,923 2,093,890 0.0%
Svenska Cellulosa AB SCA Class B 823,332 27,258,298 0.2%
Svenska Handelsbanken AB Class A 494,915 7,021,823 0.1%
Svenska Handelsbanken AB Class B 3,434 48,375 0.0%
Tele2 AB Class B 614,314 6,182,259 0.1%
# Telefonaktiebolaget LM Ericsson Class A 28,098 179,434 0.0%
Telefonaktiebolaget LM Ericsson Class B 4,879,427 31,700,797 0.3%
Telefonaktiebolaget LM Ericsson Sponsored ADR 791,784 5,138,678 0.1%
# Telia Co AB 7,490,341 30,495,728 0.3%
# Trelleborg AB Class B 330,139 7,752,677 0.1%
------------ ---
TOTAL SWEDEN 263,872,028 2.4%
------------ ---
SWITZERLAND -- (7.4%)
ABB, Ltd. 1,547,032 37,908,859 0.4%
Adecco Group AG 640,328 47,577,528 0.4%
Baloise Holding AG 216,241 31,708,610 0.3%
Banque Cantonale Vaudoise 468 339,063 0.0%
Cie Financiere Richemont SA 1,058,106 88,413,728 0.8%
* Clariant AG 1,332,582 26,987,080 0.3%
#* Credit Suisse Group AG 941,654 14,361,131 0.1%
# Credit Suisse Group AG Sponsored ADR 1,052,790 16,065,575 0.2%
#* Dufry AG 106,992 17,531,364 0.2%
Flughafen Zuerich AG 10,906 2,403,437 0.0%
Helvetia Holding AG 2,332 1,294,949 0.0%
* Julius Baer Group, Ltd. 54,617 2,848,094 0.0%
* LafargeHolcim, Ltd.(7110753) 767,697 43,534,879 0.4%
* LafargeHolcim, Ltd.(BZ3DNX4) 375,078 21,284,740 0.2%
Novartis AG 1,799,547 138,538,243 1.2%
Novartis AG Sponsored ADR 316,821 24,404,722 0.2%
Swatch Group AG (The)(7184736) 172,781 13,404,153 0.1%
# Swatch Group AG (The)(7184725) 139,269 55,717,144 0.5%
* Swiss Life Holding AG 106,141 34,542,301 0.3%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
SWITZERLAND -- (Continued)
Swiss Re AG 1,028,159 $ 89,428,549 0.8%
* UBS Group AG(BRJL176) 3,507,610 59,877,836 0.5%
#* UBS Group AG(H42097107) 546,615 9,297,921 0.1%
Zurich Insurance Group AG 375,926 104,033,104 0.9%
--------------- ----
TOTAL SWITZERLAND 881,503,010 7.9%
--------------- ----
UNITED KINGDOM -- (15.7%)
* Anglo American P.L.C. 3,819,283 54,682,386 0.5%
Antofagasta P.L.C. 205,201 2,226,378 0.0%
Aviva P.L.C. 806,876 5,487,084 0.0%
Barclays P.L.C. 164,749 451,149 0.0%
# Barclays P.L.C. Sponsored ADR 4,808,211 51,976,761 0.5%
Barratt Developments P.L.C. 1,813,872 13,610,569 0.1%
BHP Billiton P.L.C. 767,576 11,701,844 0.1%
BHP Billiton P.L.C. ADR 268,993 8,266,155 0.1%
BP P.L.C. Sponsored ADR 9,857,735 338,317,465 3.0%
Carnival P.L.C. 103,349 6,369,647 0.1%
* 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%
J Sainsbury P.L.C. 8,005,262 28,542,405 0.3%
Kingfisher P.L.C. 7,427,275 32,857,824 0.3%
Lloyds Banking Group P.L.C. 95,091,730 85,442,299 0.8%
# Lloyds Banking Group P.L.C. ADR 1,479,223 5,413,956 0.0%
Pearson P.L.C. 813,680 6,711,786 0.1%
Pearson P.L.C. Sponsored ADR 1,237,005 10,143,441 0.1%
* Royal Bank of Scotland Group P.L.C. 2,796,353 9,600,388 0.1%
#* Royal Bank of Scotland Group P.L.C. Sponsored ADR 409,166 2,798,695 0.0%
Royal Dutch Shell P.L.C. Class A 2,296,200 59,628,687 0.5%
Royal Dutch Shell P.L.C. Class B 398,623 10,606,146 0.1%
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%
Royal Mail P.L.C. 769,489 4,012,573 0.0%
* Standard Chartered P.L.C. 3,984,128 37,233,249 0.3%
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%
WM Morrison Supermarkets P.L.C. 6,735,041 20,921,727 0.2%
--------------- ----
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%)
Bayerische Motoren Werke AG 54,968 4,520,419 0.1%
Porsche Automobil Holding SE 267,840 15,675,401 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
GERMANY -- (Continued)
Volkswagen AG 552,438 $ 87,697,713 0.8%
--------------- -----
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%
=============== =====
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 Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
OF NET
SHARES VALUE++ ASSETS**
--------- ------------ ----------
COMMON STOCKS -- (93.6%)
BRAZIL -- (4.6%)
Ambev SA 855,320 $ 4,920,572 0.1%
Ambev SA ADR 5,984,451 34,290,904 0.6%
Banco Bradesco SA 960,344 9,848,363 0.2%
Banco do Brasil SA 1,076,318 11,139,411 0.2%
Banco Santander Brasil SA 479,757 4,144,527 0.1%
BB Seguridade Participacoes SA 1,072,125 10,096,191 0.2%
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros 2,302,183 13,788,220 0.2%
Braskem SA Sponsored ADR 165,709 3,572,686 0.1%
BRF SA 577,166 7,235,373 0.1%
# BRF SA ADR 539,479 6,711,119 0.1%
BTG Pactual Group 73,441 430,137 0.0%
CCR SA 1,910,468 10,653,671 0.2%
* Centrais Eletricas Brasileiras SA 368,500 2,096,725 0.0%
#* Centrais Eletricas Brasileiras SA ADR 85,023 590,910 0.0%
#* Centrais Eletricas Brasileiras SA Sponsored ADR 100,200 554,106 0.0%
Cia de Saneamento Basico do Estado de Sao Paulo 424,900 3,918,282 0.1%
Cia de Saneamento Basico do Estado de Sao Paulo ADR 178,668 1,643,746 0.0%
* Cia Siderurgica Nacional SA Sponsored ADR 241,268 581,456 0.0%
Cielo SA 1,808,236 13,729,619 0.2%
* Cosan Logistica SA 152,336 316,762 0.0%
Cosan SA Industria e Comercio 209,443 2,448,742 0.0%
CPFL Energia SA 220,971 1,810,068 0.0%
CPFL Energia SA ADR 67,189 1,091,814 0.0%
Embraer SA ADR 247,176 4,745,779 0.1%
Engie Brasil Energia SA 250,101 2,679,049 0.1%
Fibria Celulose SA 22,600 209,335 0.0%
# Fibria Celulose SA Sponsored ADR 488,398 4,483,494 0.1%
Gerdau SA 195,832 596,618 0.0%
Gerdau SA Sponsored ADR 577,984 1,762,851 0.0%
Hypermarcas SA 561,762 5,320,195 0.1%
Itau Unibanco Holding SA 427,826 4,590,902 0.1%
JBS SA 2,413,848 7,810,280 0.1%
Klabin SA 996,400 4,959,947 0.1%
Kroton Educacional SA 2,220,459 10,458,519 0.2%
Lojas Americanas SA 302,984 1,305,846 0.0%
Lojas Renner SA 1,404,820 13,091,973 0.2%
M Dias Branco SA 120,300 1,846,921 0.0%
* Petroleo Brasileiro SA 2,305,200 10,429,159 0.2%
* Petroleo Brasileiro SA Sponsored ADR 772,593 6,961,063 0.1%
Raia Drogasil SA 381,000 8,096,423 0.1%
Tim Participacoes SA 1,162,813 3,758,750 0.1%
Tim Participacoes SA ADR 63,679 1,025,869 0.0%
Ultrapar Participacoes SA 394,184 8,745,432 0.2%
Ultrapar Participacoes SA Sponsored ADR 254,308 5,640,551 0.1%
Vale SA 398,300 3,447,110 0.1%
# Vale SA Sponsored ADR 1,209,916 10,381,079 0.2%
WEG SA 808,815 4,510,334 0.1%
------------ ---
TOTAL BRAZIL 272,470,883 4.7%
------------ ---
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
CHILE -- (1.3%)
AES Gener SA 2,528,093 $ 951,026 0.0%
Aguas Andinas SA Class A 4,491,454 2,544,188 0.0%
Banco de Chile 1,408,402 169,888 0.0%
Banco de Chile ADR 53,799 3,941,849 0.1%
Banco de Credito e Inversiones 71,160 3,977,001 0.1%
Banco Santander Chile ADR 258,123 6,099,446 0.1%
Cencosud SA 2,057,923 5,859,102 0.1%
Cencosud SA ADR 1,648 14,041 0.0%
Cia Cervecerias Unidas SA 109,017 1,403,778 0.0%
Cia Cervecerias Unidas SA Sponsored ADR 68,358 1,761,586 0.0%
Colbun SA 11,492,940 2,545,830 0.0%
Embotelladora Andina SA Class A ADR 11,268 259,164 0.0%
Embotelladora Andina SA Class B ADR 21,587 548,742 0.0%
* Empresa Nacional de Telecomunicaciones SA 48,896 586,003 0.0%
Empresas CMPC SA 2,386,070 5,544,167 0.1%
Empresas COPEC SA 441,781 4,926,984 0.1%
Enel Americas SA Sponsored ADR 853,477 8,457,958 0.2%
Enel Chile SA 610,581 3,333,772 0.1%
Enel Generacion Chile SA 136,135 104,310 0.0%
Enel Generacion Chile SA Sponsored ADR 150,605 3,460,903 0.1%
# Itau CorpBanca(45033E105) 30,902 423,975 0.0%
Itau CorpBanca(BYT25P4) 305,068,641 2,780,761 0.1%
* Latam Airlines Group SA 8,686 109,538 0.0%
Latam Airlines Group SA Sponsored ADR 634,556 8,039,825 0.1%
SACI Falabella 724,788 5,775,041 0.1%
Sociedad Quimica y Minera de Chile SA Sponsored ADR 153,936 5,472,425 0.1%
----------- ---
TOTAL CHILE 79,091,303 1.4%
----------- ---
CHINA -- (16.5%)
#* 58.com, Inc. ADR 63,800 2,525,204 0.0%
# AAC Technologies Holdings, Inc. 634,000 9,293,800 0.2%
Agricultural Bank of China, Ltd. Class H 18,363,000 8,465,160 0.1%
Air China, Ltd. Class H 2,890,000 2,555,203 0.0%
* Alibaba Group Holding, Ltd. Sponsored ADR 599,851 69,282,791 1.2%
#* Alibaba Pictures Group, Ltd. 8,470,000 1,371,612 0.0%
* Aluminum Corp. of China, Ltd. ADR 107,180 1,323,673 0.0%
#* Aluminum Corp. of China, Ltd. Class H 650,000 319,463 0.0%
#* Angang Steel Co., Ltd. Class H 1,338,000 897,983 0.0%
# Anhui Conch Cement Co., Ltd. Class H 985,500 3,446,346 0.1%
Anta Sports Products, Ltd. 1,125,000 3,157,556 0.1%
AviChina Industry & Technology Co., Ltd. Class H 2,765,000 1,843,369 0.0%
BAIC Motor Corp., Ltd. Class H 740,500 712,556 0.0%
* 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%
Bank of Communications Co., Ltd. Class H 6,226,515 4,787,684 0.1%
# BBMG Corp. Class H 2,535,500 1,355,717 0.0%
Beijing Capital International Airport Co., Ltd. Class H 1,544,000 2,178,177 0.0%
Beijing Enterprises Holdings, Ltd. 478,972 2,337,973 0.0%
Beijing Enterprises Water Group, Ltd. 3,160,000 2,418,333 0.0%
Belle International Holdings, Ltd. 8,013,000 6,153,984 0.1%
# Brilliance China Automotive Holdings, Ltd. 2,194,000 3,675,391 0.1%
# Byd Co., Ltd. Class H 547,386 3,225,538 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
# Central China Securities Co., Ltd. Class H 23,000 $ 12,194 0.0%
CGN Power Co., Ltd. Class H 6,045,000 1,823,817 0.0%
China Cinda Asset Management Co., Ltd. Class H 19,332,000 7,348,881 0.1%
China CITIC Bank Corp., Ltd. Class H 7,411,928 4,691,904 0.1%
#* China Coal Energy Co., Ltd. Class H 3,038,777 1,475,028 0.0%
China Communications Construction Co., Ltd. Class H 3,529,000 4,845,543 0.1%
China Communications Services Corp., Ltd. Class H 2,194,000 1,248,546 0.0%
China Construction Bank Corp. Class H 70,499,590 57,221,928 1.0%
China Eastern Airlines Corp., Ltd. 2,200 57,530 0.0%
# China Eastern Airlines Corp., Ltd. Class H 1,734,000 908,500 0.0%
China Everbright Bank Co., Ltd. Class H 4,987,000 2,337,443 0.0%
China Everbright International, Ltd. 2,508,000 3,387,169 0.1%
# China Evergrande Group 10,542,000 11,244,029 0.2%
China Galaxy Securities Co., Ltd. Class H 3,168,000 2,887,254 0.1%
China Gas Holdings, Ltd. 1,810,000 2,837,634 0.1%
# China Hongqiao Group, Ltd. 2,662,000 2,412,735 0.0%
#* China Huarong Asset Management Co., Ltd. Class H 2,460,000 1,047,918 0.0%
China Huishan Dairy Holdings Co., Ltd. 2,888,000 155,941 0.0%
# China International Marine Containers Group Co., Ltd.
Class H 487,400 840,572 0.0%
# China Life Insurance Co., Ltd. ADR 849,036 12,896,857 0.2%
China Life Insurance Co., Ltd. Class H 111,000 337,691 0.0%
China Longyuan Power Group Corp., Ltd. Class H 3,255,000 2,502,520 0.0%
# China Medical System Holdings, Ltd. 530,000 914,780 0.0%
China Mengniu Dairy Co., Ltd. 2,016,000 3,894,806 0.1%
China Merchants Bank Co., Ltd. Class H 3,120,554 8,085,394 0.1%
China Merchants Port Holdings Co., Ltd. 1,560,099 4,457,457 0.1%
China Minsheng Banking Corp., Ltd. Class H 4,658,500 4,583,312 0.1%
China Mobile, Ltd. 172,500 1,836,542 0.0%
China Mobile, Ltd. Sponsored ADR 918,178 48,957,251 0.9%
# China Molybdenum Co., Ltd. Class H 1,638,966 498,945 0.0%
China Oilfield Services, Ltd. Class H 1,632,000 1,502,397 0.0%
China Overseas Land & Investment, Ltd. 3,654,000 10,598,746 0.2%
China Pacific Insurance Group Co., Ltd. Class H 1,547,400 5,708,955 0.1%
China Petroleum & Chemical Corp. ADR 132,615 10,790,858 0.2%
China Petroleum & Chemical Corp. Class H 11,600,800 9,420,470 0.2%
China Railway Construction Corp., Ltd. Class H 2,681,500 3,744,717 0.1%
China Railway Group, Ltd. Class H 3,186,000 2,694,601 0.0%
China Railway Signal & Communication Corp., Ltd. Class H 173,000 135,093 0.0%
China Reinsurance Group Corp. Class H 97,000 22,307 0.0%
* China Resources Beer Holdings Co., Ltd. 1,613,611 3,880,525 0.1%
# China Resources Gas Group, Ltd. 1,054,000 3,552,072 0.1%
China Resources Land, Ltd. 3,234,666 8,963,345 0.2%
China Resources Power Holdings Co., Ltd. 1,954,517 3,518,937 0.1%
China Shenhua Energy Co., Ltd. Class H 1,817,000 4,229,616 0.1%
China Southern Airlines Co., Ltd. Class H 2,638,000 1,753,581 0.0%
China Southern Airlines Co., Ltd. Sponsored ADR 14,306 466,948 0.0%
China State Construction International Holdings, Ltd. 1,706,000 3,091,406 0.1%
* China Taiping Insurance Holdings Co., Ltd. 1,654,506 4,119,331 0.1%
# China Telecom Corp., Ltd. ADR 56,720 2,780,414 0.1%
China Telecom Corp., Ltd. Class H 4,088,000 1,994,059 0.0%
China Unicom Hong Kong, Ltd. 8,168,000 10,569,587 0.2%
China Unicom Hong Kong, Ltd. ADR 589,865 7,656,448 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
China Vanke Co., Ltd. Class H 1,896,700 $ 4,806,241 0.1%
Chongqing Rural Commercial Bank Co., Ltd. Class H 4,350,000 2,987,503 0.1%
CITIC Securities Co., Ltd. Class H 2,295,500 4,811,516 0.1%
CITIC, Ltd. 5,497,000 7,970,677 0.1%
CNOOC, Ltd. 5,051,000 5,892,481 0.1%
CNOOC, Ltd. Sponsored ADR 127,716 14,834,213 0.3%
* COSCO SHIPPING Development Co., Ltd. Class H 2,657,000 575,981 0.0%
#* COSCO SHIPPING Holdings Co., Ltd. Class H 1,437,000 627,661 0.0%
COSCO SHIPPING Ports, Ltd. 1,157,160 1,266,893 0.0%
# Country Garden Holdings Co., Ltd. 9,884,686 9,400,833 0.2%
CRRC Corp., Ltd. Class H 3,040,000 2,962,415 0.1%
CSPC Pharmaceutical Group, Ltd. 4,882,000 6,771,410 0.1%
# CSSC Offshore and Marine Engineering Group Co., Ltd. Class H 190,000 378,533 0.0%
* Ctrip.com International, Ltd. ADR 225,680 11,399,097 0.2%
Dali Foods Group Co., Ltd. 240,500 141,948 0.0%
# Dalian Port PDA Co., Ltd. Class H 1,495,000 265,002 0.0%
# Datang International Power Generation Co., Ltd. Class H 3,068,000 914,029 0.0%
Dongfeng Motor Group Co., Ltd. Class H 3,274,000 3,438,769 0.1%
ENN Energy Holdings, Ltd. 786,000 4,260,814 0.1%
Fosun International, Ltd. 2,542,222 3,845,015 0.1%
# Fullshare Holdings, Ltd. 2,417,500 783,212 0.0%
Fuyao Glass Industry Group Co., Ltd. Class H 341,200 1,204,471 0.0%
# Geely Automobile Holdings, Ltd. 4,750,000 6,399,935 0.1%
GF Securities Co., Ltd. Class H 755,600 1,562,515 0.0%
# Great Wall Motor Co., Ltd. Class H 3,558,000 3,853,284 0.1%
Guangdong Investment, Ltd. 2,736,000 4,231,984 0.1%
Guangshen Railway Co., Ltd. Class H 172,000 93,249 0.0%
Guangshen Railway Co., Ltd. Sponsored ADR 27,717 750,576 0.0%
Guangzhou Automobile Group Co., Ltd. Class H 974,259 1,514,098 0.0%
# Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd.
Class H 98,000 280,087 0.0%
Guangzhou R&F Properties Co., Ltd. Class H 2,458,800 4,138,569 0.1%
Haier Electronics Group Co., Ltd. 1,403,000 3,253,298 0.1%
Haitong Securities Co., Ltd. Class H 2,196,800 3,622,463 0.1%
* Hanergy Thin Film Power Group, Ltd. 5,416,000 26,502 0.0%
Hengan International Group Co., Ltd. 853,000 6,374,136 0.1%
# Huadian Power International Corp., Ltd. Class H 1,738,000 732,188 0.0%
# Huaneng Power International, Inc. Class H 1,598,000 1,101,498 0.0%
# Huaneng Power International, Inc. Sponsored ADR 34,452 942,607 0.0%
Huatai Securities Co., Ltd. Class H 933,000 1,806,695 0.0%
# Huishang Bank Corp., Ltd. Class H 1,038,000 490,524 0.0%
Industrial & Commercial Bank of China, Ltd. Class H 68,306,185 44,526,454 0.8%
* JD.com, Inc. ADR 290,823 10,199,163 0.2%
Jiangsu Expressway Co., Ltd. Class H 1,356,000 2,000,912 0.0%
Jiangxi Copper Co., Ltd. Class H 1,501,000 2,338,209 0.0%
# Kunlun Energy Co., Ltd. 6,128,000 5,530,071 0.1%
Lenovo Group, Ltd. 9,467,278 6,052,842 0.1%
Longfor Properties Co., Ltd. 2,266,500 3,921,787 0.1%
Metallurgical Corp. of China, Ltd. Class H 2,232,000 824,826 0.0%
Minth Group, Ltd. 464,000 1,721,935 0.0%
NetEase, Inc. ADR 73,351 19,466,622 0.3%
New China Life Insurance Co., Ltd. Class H 540,400 2,669,261 0.0%
* New Oriental Education & Technology Group, Inc. Sponsored
ADR 76,805 4,956,995 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
CHINA -- (Continued)
Nine Dragons Paper Holdings, Ltd. 1,151,000 $ 1,241,312 0.0%
People's Insurance Co. Group of China, Ltd. (The) Class H 12,530,000 5,163,375 0.1%
PetroChina Co., Ltd. ADR 125,562 8,820,731 0.2%
PetroChina Co., Ltd. Class H 2,090,000 1,468,395 0.0%
PICC Property & Casualty Co., Ltd. Class H 5,836,132 9,381,649 0.2%
Ping An Insurance Group Co. of China, Ltd. Class H 4,622,500 25,988,862 0.5%
#* Semiconductor Manufacturing International Corp. 3,794,600 4,793,529 0.1%
* Semiconductor Manufacturing International Corp. ADR 15,278 96,099 0.0%
#* Shanghai Electric Group Co., Ltd. Class H 1,866,000 879,404 0.0%
# Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 292,500 1,102,709 0.0%
Shanghai Pharmaceuticals Holding Co., Ltd. Class H 618,200 1,635,101 0.0%
# Shengjing Bank Co., Ltd. Class H 244,500 210,395 0.0%
Shenzhou International Group Holdings, Ltd. 574,000 3,776,876 0.1%
Shimao Property Holdings, Ltd. 3,034,871 4,871,040 0.1%
Sino Biopharmaceutical, Ltd. 5,247,000 4,311,904 0.1%
Sinopec Engineering Group Co., Ltd. Class H 1,341,000 1,310,364 0.0%
#* Sinopec Oilfield Service Corp. Class H 1,818,000 317,378 0.0%
Sinopec Shanghai Petrochemical Co., Ltd. Class H 2,919,000 1,631,094 0.0%
# Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 7,418 415,232 0.0%
Sinopharm Group Co., Ltd. Class H 1,224,000 5,486,268 0.1%
Sun Art Retail Group, Ltd. 3,039,500 3,131,446 0.1%
# Sunac China Holdings, Ltd. 1,118,000 1,456,040 0.0%
Sunny Optical Technology Group Co., Ltd. 536,000 4,404,139 0.1%
#* TAL Education Group ADR 16,873 2,009,743 0.0%
Tencent Holdings, Ltd. 4,351,400 136,343,809 2.4%
# Tingyi Cayman Islands Holding Corp. 2,860,000 3,673,265 0.1%
Travelsky Technology, Ltd. Class H 725,000 1,908,217 0.0%
# Tsingtao Brewery Co., Ltd. Class H 256,000 1,151,090 0.0%
* Vipshop Holdings, Ltd. ADR 318,674 4,420,008 0.1%
# Want Want China Holdings, Ltd. 6,644,000 4,777,951 0.1%
# Weichai Power Co., Ltd. Class H 1,708,400 2,768,210 0.1%
# Xinjiang Goldwind Science & Technology Co., Ltd. Class H 346,600 504,584 0.0%
Yanzhou Coal Mining Co., Ltd. Class H 718,000 620,681 0.0%
# Yanzhou Coal Mining Co., Ltd. Sponsored ADR 85,431 733,767 0.0%
Zhejiang Expressway Co., Ltd. Class H 1,570,000 1,953,056 0.0%
Zhuzhou CRRC Times Electric Co., Ltd. Class H 447,000 2,297,911 0.0%
Zijin Mining Group Co., Ltd. Class H 4,427,000 1,571,091 0.0%
Zoomlion Heavy Industry Science and Technology Co., Ltd.
Class H 1,589,400 753,043 0.0%
ZTE Corp. Class H 601,485 1,158,606 0.0%
------------ ----
TOTAL CHINA 974,949,694 16.9%
------------ ----
COLOMBIA -- (0.4%)
Banco de Bogota SA 35,006 717,492 0.0%
Bancolombia SA 331,749 3,049,114 0.1%
Bancolombia SA Sponsored ADR 140,271 5,539,302 0.1%
Cementos Argos SA 458,153 1,853,168 0.0%
Corp. Financiera Colombiana SA 17,441 167,419 0.0%
Ecopetrol SA 2,862,362 1,323,186 0.0%
# Ecopetrol SA Sponsored ADR 220,479 2,015,178 0.0%
Empresa de Energia de Bogota SA ESP 1,425,504 893,968 0.0%
Grupo Argos SA 73,647 510,673 0.0%
Grupo Aval Acciones y Valores SA 112,983 901,604 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COLOMBIA -- (Continued)
Grupo de Inversiones Suramericana SA 262,614 $ 3,472,361 0.1%
Grupo Nutresa SA 210,697 1,748,885 0.0%
Interconexion Electrica SA ESP 609,290 2,414,793 0.1%
----------- ---
TOTAL COLOMBIA 24,607,143 0.4%
----------- ---
CZECH REPUBLIC -- (0.2%)
CEZ A.S. 323,343 5,641,633 0.1%
Komercni banka A.S. 64,277 2,491,804 0.1%
# O2 Czech Republic A.S. 54,410 641,683 0.0%
Pegas Nonwovens SA 4,849 167,116 0.0%
Philip Morris CR A.S. 712 390,403 0.0%
Unipetrol A.S. 49,918 565,151 0.0%
----------- ---
TOTAL CZECH REPUBLIC 9,897,790 0.2%
----------- ---
EGYPT -- (0.1%)
Commercial International Bank Egypt S.A.E. GDR(201712205) 142,858 610,718 0.0%
# Commercial International Bank Egypt S.A.E. GDR(566828901) 1,400,823 5,989,277 0.1%
* Egyptian Financial Group-Hermes Holding Co. GDR 13,986 36,393 0.0%
Global Telecom Holding S.A.E. GDR(BF8HVZ900) 640,757 1,143,938 0.0%
* Global Telecom Holding S.A.E. GDR(37953P202) 12,341 22,506 0.0%
----------- ---
TOTAL EGYPT 7,802,832 0.1%
----------- ---
GREECE -- (0.2%)
* Alpha Bank AE 105,217 224,145 0.0%
Athens Water Supply & Sewage Co. SA (The) 17,640 101,856 0.0%
* Eurobank Ergasias SA 331 267 0.0%
* FF Group 34,149 726,384 0.0%
* Hellenic Petroleum SA 112,224 646,431 0.0%
Hellenic Telecommunications Organization SA 340,319 3,305,174 0.1%
JUMBO SA 168,373 2,656,449 0.0%
Motor Oil Hellas Corinth Refineries SA 96,253 1,633,096 0.0%
* National Bank of Greece SA 128,189 39,914 0.0%
OPAP SA 278,698 2,761,798 0.1%
* Piraeus Bank SA 20,676 4,392 0.0%
* Titan Cement Co. SA 61,385 1,602,097 0.0%
----------- ---
TOTAL GREECE 13,702,003 0.2%
----------- ---
HUNGARY -- (0.4%)
MOL Hungarian Oil & Gas P.L.C. 106,307 7,997,198 0.1%
OTP Bank P.L.C. 362,066 10,179,974 0.2%
Richter Gedeon Nyrt 200,184 4,847,702 0.1%
----------- ---
TOTAL HUNGARY 23,024,874 0.4%
----------- ---
INDIA -- (11.6%)
ABB India, Ltd. 33,317 728,090 0.0%
ACC, Ltd. 64,891 1,638,727 0.0%
Adani Ports & Special Economic Zone, Ltd. 807,107 4,096,559 0.1%
* Aditya Birla Fashion and Retail, Ltd. 569,103 1,521,822 0.0%
Aditya Birla Nuvo, Ltd. 89,635 2,312,283 0.0%
Ambuja Cements, Ltd. 996,614 3,795,558 0.1%
Apollo Hospitals Enterprise, Ltd. 22,403 429,235 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Ashok Leyland, Ltd. 1,810,886 $ 2,415,895 0.0%
Asian Paints, Ltd. 474,671 8,285,064 0.1%
Aurobindo Pharma, Ltd. 625,132 5,904,709 0.1%
Axis Bank, Ltd. 2,033,467 16,081,154 0.3%
Bajaj Auto, Ltd. 155,378 6,934,009 0.1%
Bajaj Finance, Ltd. 382,190 7,568,627 0.1%
Bajaj Finserv, Ltd. 70,539 4,994,415 0.1%
Bajaj Holdings & Investment, Ltd. 54,452 1,787,540 0.0%
* Bank of Baroda 910,704 2,654,631 0.1%
Berger Paints India, Ltd. 331,080 1,343,965 0.0%
Bharat Electronics, Ltd. 532,878 1,518,998 0.0%
Bharat Forge, Ltd. 242,918 4,292,169 0.1%
Bharat Heavy Electricals, Ltd. 1,315,511 3,596,992 0.1%
Bharat Petroleum Corp., Ltd. 486,244 5,482,206 0.1%
Bharti Airtel, Ltd. 1,665,743 9,179,999 0.2%
Bharti Infratel, Ltd. 391,591 2,173,658 0.0%
Biocon, Ltd. 9,751 168,292 0.0%
Bosch, Ltd. 8,153 2,900,817 0.1%
Britannia Industries, Ltd. 26,712 1,507,931 0.0%
Cadila Healthcare, Ltd. 362,605 2,469,800 0.0%
Castrol India, Ltd. 38,740 264,019 0.0%
Cipla, Ltd. 561,301 4,852,398 0.1%
Coal India, Ltd. 547,750 2,356,732 0.0%
Colgate-Palmolive India, Ltd. 142,544 2,284,315 0.0%
Container Corp. Of India, Ltd. 68,913 1,304,191 0.0%
CRISIL, Ltd. 7,945 242,217 0.0%
Cummins India, Ltd. 94,559 1,469,504 0.0%
Dabur India, Ltd. 743,476 3,307,826 0.1%
DLF, Ltd. 401,113 1,158,249 0.0%
Dr Reddy's Laboratories, Ltd. 71,015 2,880,183 0.1%
# Dr Reddy's Laboratories, Ltd. ADR 148,465 6,064,795 0.1%
Eicher Motors, Ltd. 20,610 8,367,890 0.1%
Emami, Ltd. 90,332 1,483,117 0.0%
GAIL India, Ltd. 767,540 5,044,348 0.1%
GAIL India, Ltd. GDR 38,388 1,485,708 0.0%
GlaxoSmithKline Consumer Healthcare, Ltd. 14,937 1,190,412 0.0%
GlaxoSmithKline Pharmaceuticals, Ltd. 13,217 513,206 0.0%
Glenmark Pharmaceuticals, Ltd. 316,017 4,389,733 0.1%
Godrej Consumer Products, Ltd. 168,863 4,537,511 0.1%
Grasim Industries, Ltd. 31,500 564,643 0.0%
Havells India, Ltd. 407,089 3,064,298 0.1%
HCL Technologies, Ltd. 1,043,733 13,237,792 0.2%
HDFC Bank, Ltd. 1,441,144 34,551,495 0.6%
Hero MotoCorp, Ltd. 144,767 7,518,068 0.1%
Hindalco Industries, Ltd. 1,549,771 4,787,187 0.1%
Hindustan Petroleum Corp., Ltd. 370,174 3,084,674 0.1%
Hindustan Unilever, Ltd. 1,148,145 16,667,187 0.3%
Housing Development Finance Corp., Ltd. 1,180,098 28,172,063 0.5%
ICICI Bank, Ltd. 1,656,257 7,126,503 0.1%
ICICI Bank, Ltd. Sponsored ADR 1,043,395 8,941,895 0.2%
Idea Cellular, Ltd. 3,890,036 5,185,257 0.1%
IDFC Bank, Ltd. 601,656 613,948 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Indiabulls Housing Finance, Ltd. 684,373 $10,815,231 0.2%
Indian Oil Corp., Ltd. 1,284,042 8,805,044 0.2%
IndusInd Bank, Ltd. 371,479 8,369,589 0.2%
Infosys, Ltd. 1,886,232 27,012,159 0.5%
# Infosys, Ltd. Sponsored ADR 847,888 12,345,249 0.2%
ITC, Ltd. 4,896,443 21,126,769 0.4%
JSW Steel, Ltd. 3,656,090 11,321,047 0.2%
Kansai Nerolac Paints, Ltd. 4,919 30,099 0.0%
Kotak Mahindra Bank, Ltd. 547,089 7,669,847 0.1%
Larsen & Toubro, Ltd. 363,180 9,870,304 0.2%
LIC Housing Finance, Ltd. 847,563 8,824,752 0.2%
Lupin, Ltd. 355,461 7,380,950 0.1%
Mahindra & Mahindra, Ltd. 667,026 13,851,194 0.2%
Marico, Ltd. 748,884 3,658,864 0.1%
Maruti Suzuki India, Ltd. 138,331 13,990,801 0.2%
* MAX India, Ltd. 3,433 8,429 0.0%
Motherson Sumi Systems, Ltd. 542,274 3,349,772 0.1%
MRF, Ltd. 2,969 3,127,173 0.1%
Nestle India, Ltd. 37,106 3,857,953 0.1%
NHPC, Ltd. 2,160,088 1,070,401 0.0%
NTPC, Ltd. 1,520,790 3,888,018 0.1%
Oil & Natural Gas Corp., Ltd. 1,483,958 4,288,339 0.1%
Oil India, Ltd. 295,703 1,500,749 0.0%
Oracle Financial Services Software, Ltd. 27,493 1,521,407 0.0%
Petronet LNG, Ltd. 405,630 2,677,546 0.1%
Pidilite Industries, Ltd. 196,824 2,199,806 0.0%
Piramal Enterprises, Ltd. 114,581 4,435,104 0.1%
Power Finance Corp., Ltd. 1,604,279 3,986,213 0.1%
Power Grid Corp. of India, Ltd. 1,599,407 5,177,570 0.1%
Procter & Gamble Hygiene & Health Care, Ltd. 10,286 1,176,168 0.0%
* Punjab National Bank 374,878 982,417 0.0%
Rajesh Exports, Ltd. 19,490 186,314 0.0%
Reliance Industries, Ltd. 1,625,226 35,197,372 0.6%
Rural Electrification Corp., Ltd. 1,513,852 4,753,780 0.1%
Shree Cement, Ltd. 10,928 3,234,533 0.1%
Shriram Transport Finance Co., Ltd. 268,934 4,346,990 0.1%
Siemens, Ltd. 65,181 1,332,972 0.0%
State Bank of India 1,858,229 8,349,627 0.1%
* Steel Authority of India, Ltd. 113,362 106,300 0.0%
Sun Pharmaceutical Industries, Ltd. 1,256,320 12,549,027 0.2%
Sun TV Network, Ltd. 204,506 2,925,125 0.1%
Sundaram Finance, Ltd. 13,385 332,823 0.0%
Tata Consultancy Services, Ltd. 720,066 25,445,822 0.4%
Tata Motors, Ltd. 1,952,358 13,942,326 0.2%
Tata Motors, Ltd. Sponsored ADR 84,855 3,026,778 0.1%
Tata Power Co., Ltd. (The) 2,105,165 2,773,645 0.1%
Tata Steel, Ltd. 683,642 4,760,498 0.1%
Tech Mahindra, Ltd. 866,221 5,620,121 0.1%
Titan Co., Ltd. 329,228 2,399,217 0.0%
Torrent Pharmaceuticals, Ltd. 94,358 2,072,298 0.0%
Ultratech Cement, Ltd. 60,855 4,002,905 0.1%
United Breweries, Ltd. 96,720 1,155,919 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
* United Spirits, Ltd. 58,173 $ 1,703,147 0.0%
UPL, Ltd. 812,040 10,181,223 0.2%
Vedanta, Ltd.() 655,103 2,480,186 0.0%
Vedanta, Ltd.(6136040) 3,139,759 11,864,934 0.2%
Vedanta, Ltd. ADR 42,052 639,190 0.0%
Wipro, Ltd. 789,919 6,084,581 0.1%
Yes Bank, Ltd. 271,196 6,898,168 0.1%
Zee Entertainment Enterprises, Ltd. 719,876 5,912,471 0.1%
------------ ----
TOTAL INDIA 685,091,765 11.9%
------------ ----
INDONESIA -- (2.9%)
Adaro Energy Tbk PT 37,523,800 4,989,849 0.1%
AKR Corporindo Tbk PT 1,426,100 723,946 0.0%
Astra Agro Lestari Tbk PT 1,205,244 1,301,155 0.0%
Astra International Tbk PT 23,646,410 15,847,629 0.3%
Bank Central Asia Tbk PT 15,447,700 20,544,529 0.4%
Bank Danamon Indonesia Tbk PT 5,763,579 2,099,774 0.0%
Bank Mandiri Persero Tbk PT 12,171,717 10,651,599 0.2%
Bank Negara Indonesia Persero Tbk PT 14,471,622 6,910,246 0.1%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 2,839,900 427,539 0.0%
Bank Rakyat Indonesia Persero Tbk PT 15,742,100 15,205,298 0.3%
* Bayan Resources Tbk PT 79,500 40,558 0.0%
Bumi Serpong Damai Tbk PT 15,448,500 2,069,548 0.0%
Charoen Pokphand Indonesia Tbk PT 10,759,300 2,575,054 0.1%
Ciputra Development Tbk PT 9,154,946 877,968 0.0%
Gudang Garam Tbk PT 698,400 3,473,527 0.1%
Indocement Tunggal Prakarsa Tbk PT 2,000,200 2,538,934 0.1%
Indofood CBP Sukses Makmur Tbk PT 3,456,800 2,272,587 0.0%
Indofood Sukses Makmur Tbk PT 11,903,400 7,459,860 0.1%
* Indosat Tbk PT 1,720,800 926,109 0.0%
Jasa Marga Persero Tbk PT 3,871,113 1,346,947 0.0%
Kalbe Farma Tbk PT 32,614,300 3,872,817 0.1%
Matahari Department Store Tbk PT 2,461,400 2,689,595 0.1%
Mayora Indah Tbk PT 21,553,325 3,283,683 0.1%
Media Nusantara Citra Tbk PT 12,764,400 1,745,958 0.0%
Mitra Keluarga Karyasehat Tbk PT 1,129,200 215,020 0.0%
Pakuwon Jati Tbk PT 58,500,300 2,735,561 0.1%
Perusahaan Gas Negara Persero Tbk 13,675,600 2,486,953 0.0%
Semen Indonesia Persero Tbk PT 7,107,200 4,696,883 0.1%
* Sinar Mas Agro Resources & Technology Tbk PT 1,116,500 343,431 0.0%
Summarecon Agung Tbk PT 6,203,500 631,416 0.0%
Surya Citra Media Tbk PT 10,406,100 2,226,694 0.0%
Telekomunikasi Indonesia Persero Tbk PT 39,175,700 12,923,527 0.2%
Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 196,768 6,444,152 0.1%
Tower Bersama Infrastructure Tbk PT 1,738,800 762,843 0.0%
Unilever Indonesia Tbk PT 2,121,800 7,080,714 0.1%
United Tractors Tbk PT 5,132,496 10,348,254 0.2%
Waskita Karya Persero Tbk PT 6,283,179 1,124,988 0.0%
* XL Axiata Tbk PT 8,097,500 1,947,238 0.0%
------------ ----
TOTAL INDONESIA 167,842,383 2.9%
------------ ----
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
MALAYSIA -- (3.2%)
Affin Holdings Bhd 823,800 $ 555,936 0.0%
# AirAsia Bhd 1,790,800 1,381,250 0.0%
Alliance Financial Group Bhd 1,125,700 1,070,201 0.0%
AMMB Holdings Bhd 4,944,259 6,239,807 0.1%
Astro Malaysia Holdings Bhd 2,488,700 1,548,356 0.0%
# Axiata Group Bhd 3,946,521 4,678,245 0.1%
Batu Kawan Bhd 105,400 460,925 0.0%
BIMB Holdings Bhd 1,182,855 1,193,709 0.0%
Boustead Holdings Bhd 264,800 159,719 0.0%
British American Tobacco Malaysia Bhd 212,600 2,226,231 0.0%
CIMB Group Holdings Bhd 6,678,410 8,825,393 0.2%
Dialog Group Bhd 4,981,118 2,236,035 0.0%
# DiGi.Com Bhd 5,805,020 6,875,918 0.1%
Felda Global Ventures Holdings Bhd 379,100 185,725 0.0%
Gamuda Bhd 2,395,200 2,907,104 0.1%
# Genting Bhd 5,130,700 11,620,569 0.2%
Genting Malaysia Bhd 3,837,600 5,186,504 0.1%
Genting Plantations Bhd 325,000 854,100 0.0%
# HAP Seng Consolidated Bhd 1,066,700 2,178,112 0.0%
Hartalega Holdings Bhd 1,084,200 1,222,795 0.0%
Hong Leong Bank Bhd 1,040,166 3,303,956 0.1%
Hong Leong Financial Group Bhd 744,483 2,891,712 0.1%
IHH Healthcare Bhd 2,520,600 3,586,469 0.1%
IJM Corp. Bhd 6,757,862 5,447,969 0.1%
IOI Corp. Bhd 4,711,405 4,979,055 0.1%
# IOI Properties Group Bhd 3,052,429 1,455,427 0.0%
Kuala Lumpur Kepong Bhd 504,800 2,851,643 0.1%
Lafarge Malaysia Bhd 371,980 541,524 0.0%
Malayan Banking Bhd 6,090,245 13,433,519 0.2%
Malaysia Airports Holdings Bhd 1,492,441 2,610,605 0.1%
# Maxis Bhd 2,881,400 4,231,668 0.1%
MISC Bhd 1,812,598 3,051,711 0.1%
# MMC Corp. Bhd 1,978,300 1,152,875 0.0%
Oriental Holdings Bhd 8,500 13,267 0.0%
Petronas Chemicals Group Bhd 3,567,800 5,998,309 0.1%
Petronas Dagangan Bhd 367,500 2,036,116 0.0%
# Petronas Gas Bhd 890,500 3,786,202 0.1%
PPB Group Bhd 900,800 3,507,799 0.1%
Press Metal Bhd 1,366,100 921,161 0.0%
Public Bank Bhd 3,537,614 16,257,736 0.3%
QL Resources Bhd 303,900 332,632 0.0%
# RHB Bank Bhd 1,537,905 1,947,278 0.0%
# Sapura Energy Bhd 11,740,200 5,396,365 0.1%
Sime Darby Bhd 3,740,861 8,046,222 0.2%
# SP Setia Bhd Group 1,127,141 949,412 0.0%
Sunway Bhd 1,627,211 1,300,758 0.0%
Telekom Malaysia Bhd 1,435,664 2,135,566 0.0%
Tenaga Nasional Bhd 4,375,250 14,047,357 0.3%
Top Glove Corp. Bhd 908,900 956,582 0.0%
#* UMW Holdings Bhd 1,467,466 2,094,208 0.0%
United Plantations Bhd 49,700 320,370 0.0%
Westports Holdings Bhd 1,509,000 1,391,032 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
YTL Corp. Bhd 16,425,686 $ 5,559,264 0.1%
YTL Power International Bhd 3,177,547 1,104,910 0.0%
------------ ---
TOTAL MALAYSIA 189,247,313 3.3%
------------ ---
MEXICO -- (4.6%)
# Alfa S.A.B. de C.V. Class A 8,197,783 11,239,414 0.2%
America Movil S.A.B. de C.V. Series L 46,329,297 35,610,944 0.6%
America Movil S.A.B. de C.V. Series L ADR 22,528 346,706 0.0%
Arca Continental S.A.B. de C.V. 777,376 5,716,373 0.1%
* Cemex S.A.B. de C.V. 11,114,196 10,231,419 0.2%
* Cemex S.A.B. de C.V. Sponsored ADR 1,691,964 15,599,908 0.3%
Coca-Cola Femsa S.A.B. de C.V. Series L 466,386 3,392,867 0.1%
Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 33,045 2,402,702 0.0%
* Corp Interamericana de Entretenimiento S.A.B. de C.V.
Class B 8,719 7,503 0.0%
# El Puerto de Liverpool S.A.B. de C.V. Class C1 197,143 1,519,107 0.0%
Fomento Economico Mexicano S.A.B. de C.V. 1,793,669 16,134,708 0.3%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 39,796 3,583,232 0.1%
# Gruma S.A.B. de C.V. Class B 541,859 7,226,130 0.1%
* Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 15,027 1,546,128 0.0%
* Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 462,611 4,767,103 0.1%
# Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 32,867 6,225,010 0.1%
# Grupo Bimbo S.A.B. de C.V. Series A 2,572,025 6,299,840 0.1%
# Grupo Carso S.A.B. de C.V. Series A1 932,489 4,299,547 0.1%
# Grupo Elektra S.A.B. de C.V. 97,041 3,263,009 0.1%
Grupo Financiero Banorte S.A.B. de C.V. Class O 4,609,848 26,603,306 0.4%
# Grupo Financiero Inbursa S.A.B. de C.V. Class O 3,781,424 6,367,572 0.1%
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 3,424,043 6,225,946 0.1%
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 64,027 583,286 0.0%
# Grupo Lala S.A.B. de C.V. 1,018,201 1,849,775 0.0%
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%
Grupo Televisa S.A.B. Sponsored ADR 148,075 3,598,222 0.1%
#* Impulsora del Desarrollo y El Empleo en America Latina
S.A.B. de C.V. 2,356,616 3,911,367 0.1%
Industrias Penoles S.A.B. de C.V. 277,953 6,794,809 0.1%
# Infraestructura Energetica Nova S.A.B. de C.V. 695,246 3,241,484 0.1%
# Kimberly-Clark de Mexico S.A.B. de C.V. Class A 2,348,560 5,012,690 0.1%
* La Comer S.A.B. de C.V. 562,585 440,798 0.0%
Megacable Holdings S.A.B. de C.V. 94,085 356,694 0.0%
Mexichem S.A.B. de C.V. 2,890,435 7,939,570 0.1%
# Nemak S.A.B. de C.V. 150,100 157,872 0.0%
* Organizacion Soriana S.A.B. de C.V. Class B 1,102,476 2,527,609 0.0%
Promotora y Operadora de Infraestructura S.A.B. de C.V. 404,964 4,305,791 0.1%
Wal-Mart de Mexico S.A.B. de C.V. 7,054,235 15,888,212 0.3%
------------ ---
TOTAL MEXICO 269,596,465 4.7%
------------ ---
PERU -- (0.2%)
Cementos Pacasmayo SAA ADR 11,959 127,665 0.0%
Cia de Minas Buenaventura SAA ADR 139,674 1,677,485 0.1%
Credicorp, Ltd. 78,885 12,121,469 0.2%
Grana y Montero SAA Sponsored ADR 99,446 335,133 0.0%
------------ ---
TOTAL PERU 14,261,752 0.3%
------------ ---
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
PHILIPPINES -- (1.5%)
Aboitiz Equity Ventures, Inc. 2,259,870 $ 3,475,829 0.1%
Aboitiz Power Corp. 2,462,500 2,095,400 0.0%
Alliance Global Group, Inc. 7,852,800 2,326,238 0.0%
Ayala Corp. 284,537 4,933,582 0.1%
Ayala Land, Inc. 9,207,218 6,506,495 0.1%
Bank of the Philippine Islands 1,128,563 2,366,640 0.0%
BDO Unibank, Inc. 3,010,192 7,227,773 0.1%
DMCI Holdings, Inc. 10,645,700 2,739,436 0.1%
* DoubleDragon Properties Corp. 297,600 309,824 0.0%
Emperador, Inc. 1,850,900 236,734 0.0%
Energy Development Corp. 24,538,700 2,962,370 0.1%
Globe Telecom, Inc. 60,840 2,527,926 0.1%
GT Capital Holdings, Inc. 138,545 3,495,149 0.1%
International Container Terminal Services, Inc. 1,287,400 2,291,875 0.0%
JG Summit Holdings, Inc. 2,061,890 3,475,385 0.1%
Jollibee Foods Corp. 695,840 2,923,666 0.1%
LT Group, Inc. 4,344,100 1,387,954 0.0%
Manila Electric Co. 348,700 1,953,849 0.0%
Megaworld Corp. 23,849,800 1,938,357 0.0%
Metro Pacific Investments Corp. 23,790,000 3,132,690 0.1%
Metropolitan Bank & Trust Co. 1,097,655 1,854,410 0.0%
Philippine National Bank 194,018 253,294 0.0%
PLDT, Inc. 100,220 3,557,136 0.1%
PLDT, Inc. Sponsored ADR 59,031 2,096,191 0.0%
Puregold Price Club, Inc. 1,510,400 1,260,693 0.0%
Robinsons Land Corp. 3,988,000 2,049,062 0.0%
Robinsons Retail Holdings, Inc. 373,260 593,280 0.0%
San Miguel Corp. 1,374,390 3,025,440 0.1%
Security Bank Corp. 174,300 743,644 0.0%
Semirara Mining & Power Corp. 529,000 1,576,890 0.0%
SM Investments Corp. 282,933 4,123,054 0.1%
SM Prime Holdings, Inc. 8,486,110 5,061,735 0.1%
* Top Frontier Investment Holdings, Inc. 42,789 251,799 0.0%
Universal Robina Corp. 1,282,840 4,414,604 0.1%
----------- ---
TOTAL PHILIPPINES 89,168,404 1.6%
----------- ---
POLAND -- (1.7%)
* Alior Bank SA 137,272 2,640,123 0.1%
* AmRest Holdings SE 344 32,589 0.0%
Bank Handlowy w Warszawie SA 44,679 862,637 0.0%
* Bank Millennium SA 1,092,800 1,949,153 0.0%
Bank Pekao SA 121,618 4,407,462 0.1%
Bank Zachodni WBK SA 50,450 4,629,667 0.1%
Budimex SA 505 35,793 0.0%
CCC SA 36,838 2,130,449 0.0%
* CD Projekt SA 4,416 77,161 0.0%
* Cyfrowy Polsat SA 393,451 2,461,743 0.0%
Grupa Azoty SA 83,448 1,471,596 0.0%
* Grupa Lotos SA 241,033 3,754,906 0.1%
# ING Bank Slaski SA 39,956 1,843,038 0.0%
* Jastrzebska Spolka Weglowa SA 59,382 1,198,521 0.0%
Kernel Holding SA 2,130 37,931 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
POLAND -- (Continued)
KGHM Polska Miedz SA 388,331 $ 12,301,551 0.2%
# LPP SA 1,669 2,986,113 0.1%
* mBank SA 26,866 2,998,224 0.1%
Orange Polska SA 1,116,971 1,332,119 0.0%
PGE Polska Grupa Energetyczna SA 2,683,831 7,971,665 0.1%
# Polski Koncern Naftowy Orlen SA 649,675 19,415,914 0.3%
Polskie Gornictwo Naftowe i Gazownictwo SA 2,283,734 3,893,992 0.1%
* Powszechna Kasa Oszczednosci Bank Polski SA 964,323 8,779,736 0.2%
# Powszechny Zaklad Ubezpieczen SA 808,411 8,919,710 0.2%
Synthos SA 889,961 1,236,013 0.0%
* Tauron Polska Energia SA 2,110,398 1,789,965 0.0%
------------ ---
TOTAL POLAND 99,157,771 1.7%
------------ ---
RUSSIA -- (1.8%)
Gazprom PJSC Sponsored ADR 4,944,295 23,473,283 0.4%
* Lenta, Ltd. GDR(BJ621Y903) 30,830 196,320 0.0%
* Lenta, Ltd. GDR(52634T200) 51,556 328,412 0.0%
Lukoil PJSC Sponsored ADR 257,005 12,756,865 0.2%
Magnitogorsk Iron & Steel OJSC Sponsored GDR 197,103 1,517,685 0.0%
* Mail.Ru Group, Ltd. GDR 9,346 246,267 0.0%
MegaFon PJSC GDR 139,778 1,495,703 0.0%
MMC Norilsk Nickel PJSC ADR 406,377 6,242,688 0.1%
Novatek PJSC GDR 61,847 7,487,656 0.1%
Novolipetsk Steel PJSC GDR 123,601 2,343,499 0.1%
PhosAgro PJSC GDR 76,363 1,126,329 0.0%
Rosneft Oil Co. PJSC GDR 833,683 4,612,599 0.1%
Rostelecom PJSC Sponsored ADR(B114RM901) 78,867 619,950 0.0%
Rostelecom PJSC Sponsored ADR(778529107) 4,362 34,460 0.0%
RusHydro PJSC ADR(BYZ5W4903) 1,329,772 2,026,537 0.0%
RusHydro PJSC ADR(782183404) 12,131 18,075 0.0%
Sberbank of Russia PJSC Sponsored ADR 1,818,206 21,676,319 0.4%
Severstal PJSC GDR 216,701 2,960,023 0.1%
Tatneft PJSC Sponsored ADR 251,232 9,833,368 0.2%
VEON, Ltd. 221,245 913,742 0.0%
VTB Bank PJSC GDR(B1W7FX909) 1,358,280 3,140,497 0.1%
VTB Bank PJSC GDR(46630Q202) 329,031 760,391 0.0%
* X5 Retail Group NV GDR 63,326 2,232,241 0.0%
------------ ---
TOTAL RUSSIA 106,042,909 1.8%
------------ ---
SOUTH AFRICA -- (7.2%)
* Anglo American Platinum, Ltd. 121,432 2,998,583 0.1%
# AngloGold Ashanti, Ltd. Sponsored ADR 1,637,102 18,712,076 0.3%
Aspen Pharmacare Holdings, Ltd. 447,818 9,288,372 0.2%
AVI, Ltd. 175,886 1,285,791 0.0%
# Barclays Africa Group, Ltd. 1,084,401 11,909,964 0.2%
Bid Corp., Ltd. 778,465 16,491,818 0.3%
Bidvest Group, Ltd. (The) 778,465 9,291,793 0.2%
#* Brait SE 290,763 1,855,457 0.0%
# Capitec Bank Holdings, Ltd. 88,443 5,049,847 0.1%
Discovery, Ltd. 741,415 7,422,957 0.1%
Distell Group, Ltd. 70,509 709,327 0.0%
Exxaro Resources, Ltd. 62,250 529,584 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH AFRICA -- (Continued)
FirstRand, Ltd. 4,730,180 $ 17,647,443 0.3%
Gold Fields, Ltd. Sponsored ADR 2,642,178 8,587,079 0.2%
* Impala Platinum Holdings, Ltd. 613,363 1,968,162 0.0%
Imperial Holdings, Ltd. 618,348 7,820,581 0.1%
Investec, Ltd. 841,341 6,313,146 0.1%
#* Kumba Iron Ore, Ltd. 130,411 1,695,414 0.0%
Liberty Holdings, Ltd. 431,434 3,478,852 0.1%
# Life Healthcare Group Holdings, Ltd. 3,416,803 7,354,539 0.1%
MMI Holdings, Ltd. 3,545,776 6,188,653 0.1%
Mondi, Ltd. 273,651 7,095,279 0.1%
Mr. Price Group, Ltd. 545,010 6,406,542 0.1%
# MTN Group, Ltd. 2,516,919 23,803,309 0.4%
Naspers, Ltd. Class N 370,571 70,464,622 1.2%
# Nedbank Group, Ltd. 627,858 10,585,585 0.2%
Netcare, Ltd. 2,630,152 5,219,031 0.1%
New Europe Property Investments P.L.C. 192,631 2,113,043 0.0%
# Pick n Pay Stores, Ltd. 473,477 2,249,597 0.0%
Pioneer Foods Group, Ltd. 239,873 2,958,712 0.1%
PSG Group, Ltd. 161,662 3,064,334 0.1%
Sanlam, Ltd. 2,999,830 15,930,549 0.3%
Sappi, Ltd. 1,154,900 8,576,770 0.1%
Sasol, Ltd. 130,693 4,005,068 0.1%
# Sasol, Ltd. Sponsored ADR 778,314 23,754,143 0.4%
Shoprite Holdings, Ltd. 951,195 14,922,430 0.3%
SPAR Group, Ltd. (The) 284,382 3,832,988 0.1%
Standard Bank Group, Ltd. 2,023,352 22,468,480 0.4%
# Steinhoff International Holdings NV 3,453,813 17,569,874 0.3%
Telkom SA SOC, Ltd. 734,366 4,109,884 0.1%
Tiger Brands, Ltd. 268,837 8,119,373 0.1%
Truworths International, Ltd. 973,557 6,303,938 0.1%
Vodacom Group, Ltd. 520,334 5,884,892 0.1%
Woolworths Holdings, Ltd. 1,765,305 9,569,011 0.2%
------------ ---
TOTAL SOUTH AFRICA 425,606,892 7.4%
------------ ---
SOUTH KOREA -- (16.5%)
Amorepacific Corp. 43,151 11,066,212 0.2%
AMOREPACIFIC Group 41,154 4,754,622 0.1%
BGF retail Co., Ltd. 27,563 2,653,538 0.1%
BNK Financial Group, Inc. 597,367 5,009,954 0.1%
#* Celltrion, Inc. 71,936 5,660,137 0.1%
Cheil Worldwide, Inc. 73,456 1,190,412 0.0%
# CJ CGV Co., Ltd. 18,162 1,363,915 0.0%
CJ CheilJedang Corp. 21,206 6,359,131 0.1%
CJ Corp. 34,729 5,704,851 0.1%
CJ E&M Corp. 31,220 2,208,053 0.1%
#* CJ Korea Express Corp. 8,317 1,215,695 0.0%
CJ O Shopping Co., Ltd. 2,962 497,097 0.0%
# Com2uSCorp 12,702 1,338,818 0.0%
Cosmax, Inc. 4,228 527,700 0.0%
Coway Co., Ltd. 75,554 6,662,230 0.1%
Cuckoo Electronics Co., Ltd. 2,015 231,023 0.0%
Daelim Industrial Co., Ltd. 49,686 3,504,841 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
* Daewoo Engineering & Construction Co., Ltd. 133,508 $ 856,116 0.0%
* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 165,407 244,208 0.0%
DGB Financial Group, Inc. 291,287 2,977,689 0.1%
Dongbu Insurance Co., Ltd. 135,206 8,073,824 0.2%
Dongkuk Steel Mill Co., Ltd. 50,693 493,312 0.0%
Dongsuh Cos., Inc. 23,739 643,072 0.0%
# Dongwon Systems Corp. 4,834 244,219 0.0%
Doosan Corp. 21,369 1,824,362 0.0%
Doosan Heavy Industries & Construction Co., Ltd. 102,105 2,083,266 0.0%
* Doosan Infracore Co., Ltd. 227,817 1,884,219 0.0%
E-MART, Inc. 35,665 7,204,069 0.1%
Grand Korea Leisure Co., Ltd. 38,572 735,276 0.0%
# Green Cross Corp. 4,303 619,597 0.0%
Green Cross Holdings Corp. 18,294 523,745 0.0%
#* GS Engineering & Construction Corp. 87,718 2,407,826 0.1%
GS Holdings Corp. 180,713 9,406,133 0.2%
GS Home Shopping, Inc. 4,088 730,559 0.0%
GS Retail Co., Ltd. 24,957 1,164,441 0.0%
Hana Financial Group, Inc. 545,466 18,734,035 0.3%
Hankook Tire Co., Ltd. 170,001 8,797,623 0.2%
#* Hanmi Pharm Co., Ltd. 7,664 2,076,716 0.0%
#* Hanmi Science Co., Ltd. 14,080 750,054 0.0%
Hanon Systems 260,091 1,932,603 0.0%
Hanssem Co., Ltd. 14,749 2,851,320 0.1%
Hanwha Chemical Corp. 222,590 4,914,225 0.1%
Hanwha Corp. 152,078 5,335,226 0.1%
Hanwha Life Insurance Co., Ltd. 427,196 2,307,543 0.1%
* Hanwha Techwin Co., Ltd. 54,195 2,474,876 0.1%
Hite Jinro Co., Ltd. 52,663 967,440 0.0%
# Hotel Shilla Co., Ltd. 38,111 1,699,985 0.0%
Hyosung Corp. 58,732 7,417,962 0.1%
Hyundai Department Store Co., Ltd. 35,263 3,349,036 0.1%
Hyundai Development Co-Engineering & Construction 105,341 4,134,586 0.1%
Hyundai Elevator Co., Ltd. 10,664 583,422 0.0%
Hyundai Engineering & Construction Co., Ltd. 140,523 5,985,742 0.1%
Hyundai Glovis Co., Ltd. 26,107 3,324,696 0.1%
Hyundai Greenfood Co., Ltd. 63,538 892,254 0.0%
* Hyundai Heavy Industries Co., Ltd. 71,848 10,418,244 0.2%
Hyundai Home Shopping Network Corp. 8,843 948,179 0.0%
Hyundai Marine & Fire Insurance Co., Ltd. 184,449 5,940,171 0.1%
#* Hyundai Mipo Dockyard Co., Ltd. 19,275 1,566,603 0.0%
Hyundai Mobis Co., Ltd. 74,326 14,495,096 0.3%
Hyundai Motor Co. 181,576 22,965,170 0.4%
* Hyundai Rotem Co., Ltd. 17,028 313,336 0.0%
Hyundai Steel Co. 184,545 8,888,991 0.2%
# Hyundai Wia Corp. 36,324 2,070,770 0.0%
Industrial Bank of Korea 468,370 5,136,413 0.1%
Innocean Worldwide, Inc. 3,114 174,631 0.0%
IS Dongseo Co., Ltd. 21,146 797,861 0.0%
# Jeil Pharmaceutical Co. 3,226 194,988 0.0%
Kakao Corp. 20,448 1,623,328 0.0%
Kangwon Land, Inc. 102,333 3,250,827 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
KB Financial Group, Inc. 441,762 $19,418,701 0.3%
# KB Financial Group, Inc. ADR 103,883 4,515,794 0.1%
KB Insurance Co., Ltd. 119,022 3,418,735 0.1%
KCC Corp. 10,050 3,003,620 0.1%
KEPCO Plant Service & Engineering Co., Ltd. 27,560 1,389,419 0.0%
Kia Motors Corp. 333,911 10,221,341 0.2%
# KIWOOM Securities Co., Ltd. 19,503 1,353,645 0.0%
Kolon Industries, Inc. 29,856 1,793,467 0.0%
#* Komipharm International Co., Ltd. 25,551 830,100 0.0%
Korea Aerospace Industries, Ltd. 98,940 5,545,518 0.1%
Korea Electric Power Corp. 220,479 8,788,349 0.2%
Korea Electric Power Corp. Sponsored ADR 102,772 2,035,913 0.0%
* Korea Gas Corp. 44,931 1,840,357 0.0%
Korea Investment Holdings Co., Ltd. 65,303 2,942,036 0.1%
Korea Kolmar Co., Ltd. 18,540 1,307,001 0.0%
Korea Petrochemical Ind Co., Ltd. 8,191 1,700,523 0.0%
Korea Zinc Co., Ltd. 12,225 4,569,557 0.1%
* Korean Air Lines Co., Ltd. 122,152 3,285,468 0.1%
Korean Reinsurance Co. 150,867 1,497,465 0.0%
KT Corp. Sponsored ADR 95,200 1,579,368 0.0%
KT&G Corp. 132,438 11,810,650 0.2%
# Kumho Petrochemical Co., Ltd. 30,488 2,037,096 0.0%
#* Kumho Tire Co., Inc. 212,069 1,499,325 0.0%
LG Chem, Ltd. 46,976 11,299,048 0.2%
LG Corp. 112,554 6,685,870 0.1%
LG Display Co., Ltd. 363,272 9,360,833 0.2%
# LG Display Co., Ltd. ADR 808,137 10,400,723 0.2%
LG Electronics, Inc. 310,602 18,854,663 0.3%
LG Household & Health Care, Ltd. 13,222 10,054,728 0.2%
LG Innotek Co., Ltd. 27,290 3,151,455 0.1%
LG International Corp. 23,266 664,079 0.0%
LG Uplus Corp. 539,707 6,857,760 0.1%
LIG Nex1 Co., Ltd. 7,167 508,002 0.0%
# Loen Entertainment, Inc. 7,273 561,542 0.0%
Lotte Chemical Corp. 37,059 11,124,930 0.2%
# Lotte Chilsung Beverage Co., Ltd. 980 1,445,406 0.0%
Lotte Confectionery Co., Ltd. 7,577 1,363,754 0.0%
LOTTE Himart Co., Ltd. 7,831 378,464 0.0%
Lotte Shopping Co., Ltd. 19,922 4,594,266 0.1%
LS Corp. 29,652 1,696,712 0.0%
LS Industrial Systems Co., Ltd. 25,409 1,133,700 0.0%
Macquarie Korea Infrastructure Fund 527,913 4,003,025 0.1%
# Mando Corp. 17,468 3,530,969 0.1%
# Medy-Tox, Inc. 5,775 2,537,856 0.1%
Meritz Financial Group, Inc. 59,617 665,057 0.0%
Meritz Fire & Marine Insurance Co., Ltd. 117,542 1,827,805 0.0%
Meritz Securities Co., Ltd. 557,853 2,022,845 0.0%
Mirae Asset Daewoo Co., Ltd. 456,755 3,574,453 0.1%
NAVER Corp. 37,790 26,559,711 0.5%
NCSoft Corp. 15,686 4,960,630 0.1%
Nexen Tire Corp. 99,808 1,196,918 0.0%
NH Investment & Securities Co., Ltd. 239,748 2,776,806 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
SOUTH KOREA -- (Continued)
# NongShim Co., Ltd. 4,477 $ 1,247,582 0.0%
# OCI Co., Ltd. 31,064 2,152,213 0.0%
Orion Corp. 4,950 2,937,719 0.1%
Ottogi Corp. 1,053 682,042 0.0%
* Pan Ocean Co., Ltd. 361,136 1,651,209 0.0%
# Paradise Co., Ltd. 62,375 771,954 0.0%
Poongsan Corp. 8,597 294,687 0.0%
POSCO 63,625 15,020,775 0.3%
# POSCO Sponsored ADR 109,096 6,438,846 0.1%
Posco Daewoo Corp. 85,173 1,794,677 0.0%
S-1 Corp. 23,983 2,056,392 0.0%
S-Oil Corp. 64,981 5,684,975 0.1%
Samsung C&T Corp. 71,551 7,753,247 0.1%
Samsung Card Co., Ltd. 51,038 1,789,555 0.0%
Samsung Electro-Mechanics Co., Ltd. 94,120 6,038,178 0.1%
Samsung Electronics Co., Ltd. 101,911 199,789,105 3.5%
Samsung Electronics Co., Ltd. GDR 52,509 51,524,207 0.9%
#* Samsung Engineering Co., Ltd. 116,876 1,250,742 0.0%
Samsung Fire & Marine Insurance Co., Ltd. 53,457 12,585,480 0.2%
* Samsung Heavy Industries Co., Ltd. 480,671 4,556,002 0.1%
Samsung Life Insurance Co., Ltd. 68,654 6,600,357 0.1%
Samsung SDI Co., Ltd. 101,566 12,261,381 0.2%
Samsung SDS Co., Ltd. 30,358 3,665,772 0.1%
Samsung Securities Co., Ltd. 112,487 3,415,403 0.1%
Samyang Corp. 2,396 202,664 0.0%
SFA Engineering Corp. 12,911 886,758 0.0%
Shinhan Financial Group Co., Ltd. 399,454 16,677,763 0.3%
Shinhan Financial Group Co., Ltd. ADR 86,082 3,594,784 0.1%
Shinsegae, Inc. 13,738 2,469,042 0.1%
SK Chemicals Co., Ltd. 30,297 1,676,425 0.0%
SK Holdings Co., Ltd. 62,844 13,385,927 0.2%
SK Hynix, Inc. 801,175 37,954,353 0.7%
SK Innovation Co., Ltd. 70,840 10,627,768 0.2%
# SK Materials Co., Ltd. 7,297 1,130,357 0.0%
SK Networks Co., Ltd. 204,355 1,437,248 0.0%
SK Telecom Co., Ltd. 22,141 4,673,646 0.1%
SK Telecom Co., Ltd. ADR 6,224 146,824 0.0%
SKC Co., Ltd. 33,367 839,555 0.0%
SPC Samlip Co., Ltd. 3,031 560,698 0.0%
# Ssangyong Cement Industrial Co., Ltd. 39,048 457,348 0.0%
* Ssangyong Information & Communication 9,886 18,977 0.0%
#* Taihan Electric Wire Co., Ltd. 154,853 233,838 0.0%
Tongyang Life Insurance Co., Ltd. 62,253 549,032 0.0%
Woori Bank 560,516 7,349,994 0.1%
# Woori Bank Sponsored ADR 1,026 40,753 0.0%
Young Poong Corp. 559 463,497 0.0%
Youngone Corp. 47,419 1,412,141 0.0%
# Yuhan Corp. 9,085 1,850,904 0.0%
#* Yungjin Pharmaceutical Co., Ltd. 60,994 457,658 0.0%
------------ ----
TOTAL SOUTH KOREA 970,614,026 16.9%
------------ ----
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (14.9%)
# Accton Technology Corp. 482,000 $ 1,093,378 0.0%
# Acer, Inc. 5,516,811 2,603,877 0.1%
# Advanced Semiconductor Engineering, Inc. 12,765,564 15,998,932 0.3%
# Advantech Co., Ltd. 414,254 3,348,736 0.1%
Airtac International Group 126,850 1,450,060 0.0%
# Asia Cement Corp. 4,339,758 4,284,778 0.1%
* Asia Pacific Telecom Co., Ltd. 1,633,000 526,108 0.0%
Asustek Computer, Inc. 1,031,180 10,130,703 0.2%
# AU Optronics Corp. 24,425,873 10,151,565 0.2%
# AU Optronics Corp. Sponsored ADR 326,626 1,319,569 0.0%
# Casetek Holdings, Ltd. 313,000 927,706 0.0%
# Catcher Technology Co., Ltd. 1,354,429 13,909,109 0.3%
Cathay Financial Holding Co., Ltd. 8,494,450 13,613,311 0.2%
# Chailease Holding Co., Ltd. 2,569,840 6,547,192 0.1%
Chang Hwa Commercial Bank, Ltd. 9,287,889 5,383,214 0.1%
Cheng Shin Rubber Industry Co., Ltd. 3,200,965 6,605,841 0.1%
Chicony Electronics Co., Ltd. 1,022,552 2,698,172 0.1%
China Airlines, Ltd. 8,737,536 2,706,727 0.1%
China Development Financial Holding Corp. 24,524,121 6,764,952 0.1%
China Life Insurance Co., Ltd. 6,140,344 5,717,337 0.1%
China Motor Corp. 992,000 902,544 0.0%
China Steel Corp. 15,093,932 12,096,485 0.2%
Chipbond Technology Corp. 1,082,000 1,613,645 0.0%
# Chroma ATE, Inc. 70,000 218,835 0.0%
# Chunghwa Precision Test Tech Co., Ltd. 20,000 778,121 0.0%
Chunghwa Telecom Co., Ltd. 1,608,000 5,439,323 0.1%
Chunghwa Telecom Co., Ltd. Sponsored ADR 266,144 9,006,313 0.2%
Compal Electronics, Inc. 10,160,541 6,801,737 0.1%
CTBC Financial Holding Co., Ltd. 19,645,175 12,267,731 0.2%
CTCI Corp. 1,187,000 2,078,353 0.0%
Delta Electronics, Inc. 2,385,486 13,427,282 0.2%
E.Sun Financial Holding Co., Ltd. 13,139,000 7,941,622 0.1%
# Eclat Textile Co., Ltd. 253,336 2,770,716 0.1%
Elite Material Co., Ltd. 300,000 1,196,556 0.0%
# Ennoconn Corp. 62,000 673,658 0.0%
Eternal Materials Co., Ltd. 1,356,350 1,451,324 0.0%
Eva Airways Corp. 6,367,740 3,130,543 0.1%
* Evergreen Marine Corp. Taiwan, Ltd. 3,219,261 1,419,672 0.0%
# Far Eastern International Bank 721,140 225,824 0.0%
Far Eastern New Century Corp. 6,875,085 5,784,679 0.1%
* Far EasTone Telecommunications Co., Ltd. 2,601,000 6,405,088 0.1%
Farglory Land Development Co., Ltd. 644,393 873,406 0.0%
# Feng TAY Enterprise Co., Ltd. 475,424 1,826,889 0.0%
First Financial Holding Co., Ltd. 18,055,124 11,011,112 0.2%
Formosa Chemicals & Fibre Corp. 3,220,518 9,903,048 0.2%
Formosa Petrochemical Corp. 1,393,000 4,869,126 0.1%
Formosa Plastics Corp. 3,720,153 11,178,506 0.2%
Formosa Taffeta Co., Ltd. 1,312,000 1,369,403 0.0%
Foxconn Technology Co., Ltd. 1,790,627 5,455,923 0.1%
Fubon Financial Holding Co., Ltd. 8,611,233 13,480,221 0.2%
# General Interface Solution Holding, Ltd. 131,000 730,395 0.0%
Giant Manufacturing Co., Ltd. 529,506 3,199,766 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
# Globalwafers Co., Ltd. 219,000 $ 1,563,584 0.0%
Gourmet Master Co., Ltd. 77,550 778,735 0.0%
# Highwealth Construction Corp. 2,120,190 3,574,056 0.1%
Hiwin Technologies Corp. 435,005 2,771,887 0.1%
Hon Hai Precision Industry Co., Ltd. 17,267,653 56,519,814 1.0%
# Hota Industrial Manufacturing Co., Ltd. 237,235 1,044,801 0.0%
Hotai Motor Co., Ltd. 362,000 4,171,940 0.1%
#* HTC Corp. 1,246,235 2,990,391 0.1%
Hua Nan Financial Holdings Co., Ltd. 13,331,007 7,464,908 0.1%
# Innolux Corp. 27,802,241 12,976,452 0.2%
Inventec Corp. 5,430,551 4,038,150 0.1%
Kenda Rubber Industrial Co., Ltd. 1,082,377 1,742,660 0.0%
# King Slide Works Co., Ltd. 81,000 1,246,704 0.0%
# King Yuan Electronics Co., Ltd. 1,471,000 1,327,914 0.0%
King's Town Bank Co., Ltd. 921,000 884,852 0.0%
Kinsus Interconnect Technology Corp. 683,000 1,775,318 0.0%
# Largan Precision Co., Ltd. 133,860 22,230,057 0.4%
LCY Chemical Corp. 782,123 1,124,234 0.0%
Lite-On Technology Corp. 4,896,410 8,541,068 0.2%
Makalot Industrial Co., Ltd. 230,356 969,688 0.0%
# MediaTek, Inc. 1,455,995 10,465,860 0.2%
# Mega Financial Holding Co., Ltd. 14,688,369 11,791,780 0.2%
#* Mercuries Life Insurance Co., Ltd. 325,753 166,813 0.0%
Merida Industry Co., Ltd. 317,287 1,702,699 0.0%
Micro-Star International Co., Ltd. 956,000 1,914,813 0.0%
Nan Ya Plastics Corp. 4,464,599 10,754,019 0.2%
# Nanya Technology Corp. 992,010 1,580,583 0.0%
Nien Made Enterprise Co., Ltd. 193,000 1,952,216 0.0%
# Novatek Microelectronics Corp. 1,205,000 4,630,618 0.1%
#* OBI Pharma, Inc. 81,000 761,284 0.0%
PChome Online, Inc. 114,006 973,695 0.0%
Pegatron Corp. 5,311,345 15,642,333 0.3%
* PharmaEssentia Corp. 99,000 493,492 0.0%
Phison Electronics Corp. 241,000 2,268,626 0.0%
Pou Chen Corp. 4,990,487 6,986,961 0.1%
* Powertech Technology, Inc. 2,158,819 6,772,701 0.1%
# Poya International Co., Ltd. 72,550 991,165 0.0%
President Chain Store Corp. 844,831 7,352,035 0.1%
Qisda Corp. 576,000 366,484 0.0%
Quanta Computer, Inc. 3,941,000 8,164,421 0.2%
* Realtek Semiconductor Corp. 599,950 2,028,881 0.0%
* Ruentex Development Co., Ltd. 1,242,709 1,516,480 0.0%
# Ruentex Industries, Ltd. 770,182 1,238,277 0.0%
ScinoPharm Taiwan, Ltd. 206,405 283,358 0.0%
#* Shin Kong Financial Holding Co., Ltd. 15,958,656 4,253,102 0.1%
# Silergy Corp. 55,000 994,566 0.0%
Siliconware Precision Industries Co., Ltd. 2,123,637 3,441,431 0.1%
Siliconware Precision Industries Co., Ltd. Sponsored ADR 21,813 176,031 0.0%
* Simplo Technology Co., Ltd. 690,000 2,307,984 0.0%
SinoPac Financial Holdings Co., Ltd. 18,850,895 5,759,837 0.1%
St Shine Optical Co., Ltd. 11,000 212,923 0.0%
Standard Foods Corp. 466,902 1,152,212 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
Synnex Technology International Corp. 2,259,343 $ 2,448,099 0.1%
Taichung Commercial Bank Co., Ltd. 159,669 51,844 0.0%
* TaiMed Biologics, Inc. 113,000 679,229 0.0%
Tainan Spinning Co., Ltd. 115,412 53,192 0.0%
Taishin Financial Holding Co., Ltd. 19,587,984 8,076,555 0.2%
Taiwan Business Bank 8,318,140 2,298,573 0.0%
Taiwan Cement Corp. 7,005,720 8,148,476 0.2%
Taiwan Cooperative Financial Holding Co., Ltd. 13,986,581 7,114,704 0.1%
# Taiwan FamilyMart Co., Ltd. 89,000 605,415 0.0%
Taiwan Fertilizer Co., Ltd. 1,415,000 1,912,869 0.0%
* Taiwan Glass Industry Corp. 1,859,375 949,484 0.0%
Taiwan High Speed Rail Corp. 1,592,000 1,232,238 0.0%
Taiwan Mobile Co., Ltd. 2,215,300 8,179,277 0.2%
# Taiwan Secom Co., Ltd. 362,670 1,058,979 0.0%
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%
#* Tatung Co., Ltd. 2,566,000 937,863 0.0%
Teco Electric and Machinery Co., Ltd. 3,410,000 3,377,039 0.1%
Tong Yang Industry Co., Ltd. 936,000 1,588,302 0.0%
* Transcend Information, Inc. 334,181 1,140,562 0.0%
Tripod Technology Corp. 753,870 2,130,509 0.0%
Tung Thih Electronic Co., Ltd. 44,000 301,474 0.0%
# Uni-President Enterprises Corp. 7,682,033 14,180,987 0.3%
# United Microelectronics Corp. 38,130,000 15,242,131 0.3%
# Vanguard International Semiconductor Corp. 1,699,000 3,240,299 0.1%
# Voltronic Power Technology Corp. 57,350 818,538 0.0%
Walsin Lihwa Corp. 5,308,000 2,379,165 0.1%
Wan Hai Lines, Ltd. 1,821,800 1,009,254 0.0%
# Win Semiconductors Corp. 742,034 3,304,676 0.1%
# Winbond Electronics Corp. 6,597,000 3,724,089 0.1%
Wintek Corp. 604,760 6,877 0.0%
Wistron Corp. 5,751,099 5,429,580 0.1%
# Wistron NeWeb Corp. 186,000 533,553 0.0%
WPG Holdings, Ltd. 3,035,869 3,848,410 0.1%
* Yageo Corp. 981,579 3,464,565 0.1%
Yuanta Financial Holding Co., Ltd. 18,588,806 7,947,979 0.1%
Yulon Motor Co., Ltd. 1,732,000 1,566,936 0.0%
Zhen Ding Technology Holding, Ltd. 1,099,700 2,571,481 0.1%
------------ ----
TOTAL TAIWAN 875,955,116 15.2%
------------ ----
THAILAND -- (2.5%)
Advanced Info Service PCL 1,440,700 7,288,884 0.1%
Airports of Thailand PCL 5,784,000 6,730,442 0.1%
Bangchak Corp. PCL 843,200 780,064 0.0%
Bangkok Bank PCL(6077019) 241,500 1,305,594 0.0%
Bangkok Bank PCL(6368360) 207,200 1,075,236 0.0%
Bangkok Dusit Medical Services PCL Class F 6,818,900 4,001,841 0.1%
Bangkok Expressway & Metro PCL 4,214,799 877,322 0.0%
Bangkok Life Assurance PCL 694,900 969,324 0.0%
Banpu PCL 3,487,850 1,936,014 0.0%
Berli Jucker PCL 2,257,500 2,839,007 0.1%
BTS Group Holdings PCL 3,733,900 917,553 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
THAILAND -- (Continued)
Bumrungrad Hospital PCL 402,600 $ 2,042,680 0.1%
Carabao Group PCL Class F 84,800 161,191 0.0%
Central Pattana PCL 1,779,300 3,086,383 0.1%
Central Plaza Hotel PCL 1,046,100 1,050,939 0.0%
CH Karnchang PCL 680,200 535,862 0.0%
Charoen Pokphand Foods PCL 4,951,800 3,829,449 0.1%
CP ALL PCL 4,313,700 7,607,277 0.1%
Delta Electronics Thailand PCL 656,900 1,747,176 0.0%
Electricity Generating PCL 319,300 2,030,818 0.1%
Energy Absolute PCL 1,783,800 1,392,385 0.0%
Global Power Synergy Co., Ltd. Class F 101,100 100,837 0.0%
Glow Energy PCL 826,500 1,959,324 0.0%
Home Product Center PCL 10,007,413 2,806,358 0.1%
Indorama Ventures PCL 3,391,500 3,603,285 0.1%
Intouch Holdings PCL 1,446,700 2,237,596 0.1%
IRPC PCL 18,273,700 2,958,448 0.1%
Kasikornbank PCL(6888794) 1,146,600 6,132,437 0.1%
Kasikornbank PCL(6364766) 210,900 1,127,971 0.0%
KCE Electronics PCL 431,000 1,327,016 0.0%
Kiatnakin Bank PCL 393,200 775,828 0.0%
Krung Thai Bank PCL 6,900,587 3,950,032 0.1%
Land & Houses PCL(6581941) 4,746,340 1,413,336 0.0%
Land & Houses PCL(6581930) 790,000 237,525 0.0%
Minor International PCL 2,391,770 2,575,699 0.1%
MK Restaurants Group PCL 421,700 746,722 0.0%
Muangthai Leasing PCL Class F 738,700 640,677 0.0%
Pruksa Holding PCL 2,958,300 1,924,306 0.0%
PTT Exploration & Production PCL(B1359J0) 2,414,655 6,788,818 0.1%
PTT Exploration & Production PCL(B1359L2) 65,409 183,898 0.0%
PTT Global Chemical PCL 2,436,872 5,283,764 0.1%
PTT PCL 1,634,600 18,382,752 0.3%
Ratchaburi Electricity Generating Holding PCL 824,700 1,192,108 0.0%
Robinson Department Store PCL 598,500 1,081,418 0.0%
Siam Cement PCL (The)(6609906) 166,400 2,578,502 0.1%
Siam Cement PCL (The)(6609928) 230,100 3,565,585 0.1%
Siam City Cement PCL 163,213 1,307,025 0.0%
Siam Commercial Bank PCL (The) 1,140,966 5,145,727 0.1%
Siam Global House PCL 1,167,492 550,162 0.0%
Star Petroleum Refining PCL 27,800 10,609 0.0%
Thai Oil PCL 1,455,200 3,281,457 0.1%
Thai Union Group PCL Class F 2,705,940 1,666,277 0.0%
Thanachart Capital PCL 1,044,400 1,426,652 0.0%
TMB Bank PCL 24,158,000 1,592,375 0.0%
Total Access Communication PCL(B1YWK08) 1,459,300 1,750,822 0.0%
Total Access Communication PCL(B231MK7) 423,600 508,222 0.0%
TPI Polene PCL 12,385,600 837,881 0.0%
True Corp. PCL 23,255,831 4,403,749 0.1%
TTW PCL 2,098,400 636,982 0.0%
------------ ---
TOTAL THAILAND 148,897,623 2.6%
------------ ---
TURKEY -- (1.3%)
Akbank TAS 2,209,103 5,912,795 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
TURKEY -- (Continued)
Anadolu Efes Biracilik Ve Malt Sanayii A.S. 282,261 $ 1,590,824 0.0%
Arcelik A.S. 540,990 3,606,744 0.1%
# Aselsan Elektronik Sanayi Ve Ticaret A.S. 333,342 1,832,733 0.0%
BIM Birlesik Magazalar A.S. 342,629 5,596,765 0.1%
Coca-Cola Icecek A.S. 124,347 1,264,766 0.0%
Enka Insaat ve Sanayi A.S. 599,638 921,482 0.0%
Eregli Demir ve Celik Fabrikalari TAS 2,461,933 4,509,780 0.1%
Ford Otomotiv Sanayi A.S. 126,138 1,401,979 0.0%
KOC Holding A.S. 753,593 3,541,729 0.1%
Petkim Petrokimya Holding A.S. 1,293,596 1,787,811 0.0%
TAV Havalimanlari Holding A.S. 341,666 1,423,039 0.0%
Tofas Turk Otomobil Fabrikasi A.S. 212,178 1,766,678 0.0%
Tupras Turkiye Petrol Rafinerileri A.S. 261,144 6,578,156 0.1%
* Turk Hava Yollari AO 1,503,706 2,564,579 0.1%
# Turk Telekomunikasyon A.S. 699,083 1,255,191 0.0%
* Turkcell Iletisim Hizmetleri A.S. 1,142,611 3,997,694 0.1%
* Turkcell Iletisim Hizmetleri A.S. ADR 73,838 646,083 0.0%
Turkiye Garanti Bankasi A.S. 3,265,633 8,815,422 0.2%
Turkiye Halk Bankasi A.S. 1,285,231 4,261,149 0.1%
# Turkiye Is Bankasi Class C 2,548,532 5,029,615 0.1%
Turkiye Sise ve Cam Fabrikalari A.S. 2,478,015 3,110,719 0.1%
# Turkiye Vakiflar Bankasi TAO Class D 1,445,842 2,469,848 0.0%
# Ulker Biskuvi Sanayi A.S. 244,375 1,388,114 0.0%
* Yapi ve Kredi Bankasi A.S. 2,464,502 2,989,588 0.1%
-------------- ----
TOTAL TURKEY 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%
Banco Bradesco SA ADR 610,872 6,444,700 0.1%
Braskem SA Class A 73,800 793,791 0.0%
* Centrais Eletricas Brasileiras SA Class B 303,700 2,191,122 0.0%
Cia Brasileira de Distribuicao 310,022 7,008,106 0.1%
Cia Energetica de Minas Gerais 58,900 164,784 0.0%
Gerdau SA 921,168 2,844,141 0.0%
Itau Unibanco Holding SA 4,317,027 53,397,546 0.9%
Lojas Americanas SA 1,021,714 5,420,728 0.1%
* Petroleo Brasileiro SA 2,825,761 12,437,070 0.2%
* Petroleo Brasileiro SA Sponsored ADR 1,440,006 12,571,252 0.2%
Suzano Papel e Celulose SA Class A 798,971 3,375,562 0.1%
Telefonica Brasil SA 465,063 6,928,948 0.1%
Vale SA 2,522,202 20,867,039 0.4%
# Vale SA Sponsored ADR 364,278 2,990,722 0.1%
-------------- ----
TOTAL BRAZIL 163,644,306 2.8%
-------------- ----
CHILE -- (0.0%)
Embotelladora Andina SA Class B 113,824 471,539 0.0%
-------------- ----
COLOMBIA -- (0.1%)
Banco Davivienda SA 209,529 2,207,817 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
COLOMBIA -- (Continued)
Bancolombia SA 30,330 $ 296,083 0.0%
Grupo Argos SA 28,838 187,222 0.0%
Grupo Aval Acciones y Valores SA 4,185,719 1,657,499 0.0%
Grupo de Inversiones Suramericana SA 113,896 1,457,962 0.0%
-------------- -----
TOTAL COLOMBIA 5,806,583 0.1%
-------------- -----
INDIA -- (0.0%)
Vedanta, Ltd. 26,204,120 245,422 0.0%
-------------- -----
TOTAL PREFERRED STOCKS 170,167,850 2.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
CHINA -- (0.0%)
* Bank of Comm Ass Ent Rights 5/31/17 12,453 -- 0.0%
-------------- -----
TAIWAN -- (0.0%)
* E.Sun Finianical Holding Co. Rights 5/2/17 786,955 84,770 0.0%
-------------- -----
THAILAND -- (0.0%)
* SCCC Rights 5/15/17 48,254 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%
============== =====
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 Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (96.7%)
Consumer Discretionary -- (15.6%)
* 1-800-Flowers.com, Inc. Class A 44,330 $ 476,547 0.0%
Aaron's, Inc. 4,830 173,590 0.0%
# Adient P.L.C. 22,979 1,690,335 0.0%
* Ascent Capital Group, Inc. Class A 8,450 108,244 0.0%
# Autoliv, Inc. 9,404 942,187 0.0%
#* AV Homes, Inc. 3,852 67,603 0.0%
* Ballantyne Strong, Inc. 9,030 56,889 0.0%
#* Barnes & Noble Education, Inc. 7,710 80,261 0.0%
# Barnes & Noble, Inc. 12,200 104,310 0.0%
Bassett Furniture Industries, Inc. 2,900 87,145 0.0%
# Beasley Broadcast Group, Inc. Class A 9,471 124,544 0.0%
* Beazer Homes USA, Inc. 4,326 53,686 0.0%
#* Belmond, Ltd. Class A 75,198 932,455 0.0%
# Best Buy Co., Inc. 197,800 10,248,018 0.2%
# Big 5 Sporting Goods Corp. 8,501 130,915 0.0%
#* Biglari Holdings, Inc. 8 3,413 0.0%
#* BJ's Restaurants, Inc. 25,971 1,171,292 0.0%
Bob Evans Farms, Inc. 32,778 2,187,604 0.1%
#* Build-A-Bear Workshop, Inc. 25,874 269,090 0.0%
* Cabela's, Inc. 53,051 2,896,585 0.1%
Caleres, Inc. 74,697 2,152,768 0.0%
# Callaway Golf Co. 38,543 456,735 0.0%
* Cambium Learning Group, Inc. 37,733 183,760 0.0%
Canterbury Park Holding Corp. 2,755 27,963 0.0%
# Carnival Corp. 489,649 30,245,619 0.5%
# Carriage Services, Inc. 20,916 572,053 0.0%
* Cavco Industries, Inc. 7,600 902,500 0.0%
CBS Corp. Class A 22,884 1,538,949 0.0%
* Charter Communications, Inc. Class A 339,394 117,145,233 1.9%
#* Christopher & Banks Corp. 56,231 69,164 0.0%
# Churchill Downs, Inc. 7,682 1,281,358 0.0%
Citi Trends, Inc. 3,415 64,168 0.0%
# Columbia Sportswear Co. 8,634 488,857 0.0%
Comcast Corp. Class A 7,221,594 283,014,269 4.5%
#* Conn's, Inc. 25,450 447,920 0.0%
# Core-Mark Holding Co., Inc. 96,236 3,370,185 0.1%
CSS Industries, Inc. 10,852 286,059 0.0%
CST Brands, Inc. 50,181 2,423,240 0.1%
Culp, Inc. 10,036 322,156 0.0%
#* Delta Apparel, Inc. 7,532 132,036 0.0%
* Destination Maternity Corp. 200 684 0.0%
# DeVry Education Group, Inc. 8,757 331,452 0.0%
# Dillard's, Inc. Class A 120,300 6,661,011 0.1%
* Discovery Communications, Inc. Class B 3,762 108,910 0.0%
#* Discovery Communications, Inc. Class C 3,762 105,261 0.0%
* Dixie Group, Inc. (The) 11,800 44,250 0.0%
#* Dorman Products, Inc. 12,311 1,023,660 0.0%
Dover Motorsports, Inc. 15,098 30,951 0.0%
DR Horton, Inc. 208,125 6,845,231 0.1%
# Educational Development Corp. 1,679 13,852 0.0%
#* Eldorado Resorts, Inc. 18,512 354,042 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Consumer Discretionary -- (Continued)
Escalade, Inc. 277 $ 3,698 0.0%
#* EW Scripps Co. (The) Class A 81,265 1,810,584 0.0%
Flanigan's Enterprises, Inc. 865 21,798 0.0%
Flexsteel Industries, Inc. 2,068 109,852 0.0%
Ford Motor Co. 2,823,574 32,386,394 0.5%
# Fred's, Inc. Class A 47,275 695,888 0.0%
* FTD Cos., Inc. 24,893 497,860 0.0%
#* G-III Apparel Group, Ltd. 22,788 540,076 0.0%
# GameStop Corp. Class A 104,752 2,376,823 0.1%
Gaming Partners International Corp. 500 4,980 0.0%
Gannett Co., Inc. 59,819 500,087 0.0%
General Motors Co. 1,095,598 37,951,515 0.6%
#* Genesco, Inc. 7,056 376,085 0.0%
Graham Holdings Co. Class B 5,780 3,477,826 0.1%
* Gray Television, Inc. 46,874 686,704 0.0%
# Group 1 Automotive, Inc. 57,936 3,994,687 0.1%
* Harte-Hanks, Inc. 8,749 11,899 0.0%
Haverty Furniture Cos., Inc. 33,479 825,257 0.0%
* Helen of Troy, Ltd. 61,653 5,795,382 0.1%
Hooker Furniture Corp. 14,814 643,668 0.0%
* Hyatt Hotels Corp. Class A 14,601 810,355 0.0%
#* Iconix Brand Group, Inc. 54,810 383,670 0.0%
International Speedway Corp. Class A 24,844 921,712 0.0%
* J Alexander's Holdings, Inc. 2,666 29,326 0.0%
#* JAKKS Pacific, Inc. 13,103 64,205 0.0%
#* JC Penney Co., Inc. 85,215 458,457 0.0%
# Johnson Outdoors, Inc. Class A 15,588 566,156 0.0%
# KB Home 30,800 634,480 0.0%
# Kohl's Corp. 14,353 560,198 0.0%
La-Z-Boy, Inc. 56,332 1,571,663 0.0%
* Lakeland Industries, Inc. 11,757 125,212 0.0%
#* Lands' End, Inc. 21,056 496,922 0.0%
Lennar Corp. Class A 224,100 11,317,050 0.2%
Lennar Corp. Class B 7,868 335,255 0.0%
* Liberty Broadband Corp. Class A 24,095 2,166,863 0.1%
* Liberty Broadband Corp. Class B 1,905 171,336 0.0%
#* Liberty Broadband Corp. Class C 67,601 6,162,507 0.1%
* Liberty Expedia Holdings, Inc. Class A 80,904 3,908,472 0.1%
#* Liberty Expedia Holdings, Inc. Class B 3,457 169,151 0.0%
* Liberty Interactive Corp., QVC Group Class A 815,470 17,271,655 0.3%
#* Liberty Interactive Corp., QVC Group Class B 35,706 761,966 0.0%
* Liberty Media Corp.-Liberty Braves Class A 9,638 239,312 0.0%
#* Liberty Media Corp.-Liberty Braves Class B 762 19,724 0.0%
* Liberty Media Corp.-Liberty Braves Class C 20,801 510,041 0.0%
#* Liberty Media Corp.-Liberty Formula One Class A 17,043 577,928 0.0%
#* Liberty Media Corp.-Liberty Formula One Class C 44,409 1,555,203 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class A 96,383 3,672,192 0.1%
* Liberty Media Corp.-Liberty SiriusXM Class B 7,622 297,029 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class C 208,010 7,902,300 0.1%
* Liberty TripAdvisor Holdings, Inc. Class A 76,802 1,128,989 0.0%
* Liberty TripAdvisor Holdings, Inc. Class B 3,570 51,587 0.0%
#* Liberty Ventures Series A 121,356 6,535,021 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Consumer Discretionary -- (Continued)
#* Liberty Ventures Series B 5,186 $ 283,259 0.0%
Lifetime Brands, Inc. 16,431 315,475 0.0%
# Lions Gate Entertainment Corp. Class A 4,691 122,763 0.0%
* Lions Gate Entertainment Corp. Class B 1 24 0.0%
# Lithia Motors, Inc. Class A 34,933 3,337,848 0.1%
* Luby's, Inc. 32,226 94,744 0.0%
#* M/I Homes, Inc. 37,930 1,030,179 0.0%
* Madison Square Garden Co. (The) Class A 9,852 1,987,838 0.0%
Marcus Corp. (The) 18,899 638,786 0.0%
* MarineMax, Inc. 29,164 593,487 0.0%
# Marriott Vacations Worldwide Corp. 2,531 278,866 0.0%
#* McClatchy Co. (The) Class A 6,060 65,327 0.0%
(degrees) Media General, Inc. 25,196 47,872 0.0%
# Meredith Corp. 32,676 1,913,180 0.0%
#* Meritage Homes Corp. 28,156 1,096,676 0.0%
MGM Resorts International 227,871 6,997,918 0.1%
#* Modine Manufacturing Co. 14,650 177,265 0.0%
* Mohawk Industries, Inc. 98,740 23,183,165 0.4%
* Monarch Casino & Resort, Inc. 1,103 32,505 0.0%
#* Motorcar Parts of America, Inc. 13,074 396,404 0.0%
# Movado Group, Inc. 21,998 514,753 0.0%
* MSG Networks, Inc. Class A 29,558 737,472 0.0%
#* Murphy USA, Inc. 30,778 2,141,225 0.0%
# NACCO Industries, Inc. Class A 6,832 578,329 0.0%
Newell Brands, Inc. 209,562 10,004,490 0.2%
News Corp. Class A 402,247 5,116,582 0.1%
News Corp. Class B 99,903 1,298,739 0.0%
Nexstar Media Group, Inc. 3,146 217,074 0.0%
Office Depot, Inc. 181,609 902,597 0.0%
* Overstock.com, Inc. 37,715 654,355 0.0%
# Penske Automotive Group, Inc. 43,845 2,091,845 0.0%
* Perry Ellis International, Inc. 19,169 393,348 0.0%
PulteGroup, Inc. 143,221 3,246,820 0.1%
PVH Corp. 31,964 3,229,323 0.1%
RCI Hospitality Holdings, Inc. 12,026 200,113 0.0%
#* Red Robin Gourmet Burgers, Inc. 31,175 1,831,531 0.0%
* Regis Corp. 49,623 541,387 0.0%
# Rent-A-Center, Inc. 76,435 817,090 0.0%
Rocky Brands, Inc. 8,729 123,952 0.0%
Royal Caribbean Cruises, Ltd. 322,500 34,378,500 0.6%
#* Ruby Tuesday, Inc. 17,500 44,625 0.0%
Saga Communications, Inc. Class A 8,693 445,516 0.0%
Salem Media Group, Inc. 10,922 83,553 0.0%
Scholastic Corp. 30,900 1,335,807 0.0%
#* Sequential Brands Group, Inc. 70 236 0.0%
* Shiloh Industries, Inc. 15,461 190,170 0.0%
Shoe Carnival, Inc. 32,650 828,330 0.0%
Spartan Motors, Inc. 16,820 138,765 0.0%
Speedway Motorsports, Inc. 16,132 291,183 0.0%
Standard Motor Products, Inc. 37,342 1,898,094 0.0%
Staples, Inc. 426,509 4,166,993 0.1%
* Stoneridge, Inc. 19,361 379,669 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Consumer Discretionary -- (Continued)
# Strattec Security Corp. 5,224 $ 167,952 0.0%
Superior Industries International, Inc. 23,275 506,231 0.0%
Superior Uniform Group, Inc. 17,956 327,517 0.0%
* Tandy Leather Factory, Inc. 9,974 87,272 0.0%
TEGNA, Inc. 119,639 3,048,402 0.1%
Time Warner, Inc. 1,534,860 152,365,552 2.5%
Time, Inc. 191,857 2,916,226 0.1%
Toll Brothers, Inc. 179,799 6,470,966 0.1%
#* Tuesday Morning Corp. 60,500 196,625 0.0%
Twenty-First Century Fox, Inc. Class A 1,287,383 39,316,677 0.6%
Twenty-First Century Fox, Inc. Class B 550,972 16,452,024 0.3%
* UCP, Inc. Class A 7,837 89,734 0.0%
* Unifi, Inc. 41,401 1,162,126 0.0%
#* Universal Electronics, Inc. 3,206 222,176 0.0%
#* Vista Outdoor, Inc. 69,826 1,365,797 0.0%
* VOXX International Corp. 3,750 24,375 0.0%
Walt Disney Co. (The) 26,220 3,031,032 0.1%
# Wendy's Co. (The) 224,538 3,309,690 0.1%
* West Marine, Inc. 26,468 290,089 0.0%
# Whirlpool Corp. 30,049 5,579,498 0.1%
-------------- -----
Total Consumer Discretionary 1,004,882,017 16.1%
-------------- -----
Consumer Staples -- (8.3%)
# Alico, Inc. 960 28,752 0.0%
#* Alliance One International, Inc. 3,508 48,235 0.0%
Andersons, Inc. (The) 23,660 883,701 0.0%
Archer-Daniels-Midland Co. 813,476 37,216,527 0.6%
Bunge, Ltd. 121,368 9,591,713 0.2%
* CCA Industries, Inc. 8,323 26,842 0.0%
* Central Garden & Pet Co. 25,184 951,955 0.0%
* Central Garden & Pet Co. Class A 48,121 1,695,303 0.0%
Constellation Brands, Inc. Class B 12,615 2,178,926 0.1%
#* Craft Brew Alliance, Inc. 9,754 132,654 0.0%
CVS Health Corp. 1,510,745 124,545,818 2.0%
# Fresh Del Monte Produce, Inc. 39,437 2,417,488 0.1%
#* Hain Celestial Group, Inc. (The) 87,292 3,228,931 0.1%
Ingles Markets, Inc. Class A 11,437 534,108 0.0%
Ingredion, Inc. 62,117 7,691,327 0.1%
JM Smucker Co. (The) 108,204 13,711,611 0.2%
# John B. Sanfilippo & Son, Inc. 10,428 766,458 0.0%
Kraft Heinz Co. (The) 176,768 15,978,060 0.3%
* Landec Corp. 37,056 509,520 0.0%
Mannatech, Inc. 717 11,221 0.0%
Molson Coors Brewing Co. Class A 1,908 182,214 0.0%
Molson Coors Brewing Co. Class B 186,550 17,888,279 0.3%
Mondelez International, Inc. Class A 2,081,099 93,711,888 1.5%
Nutraceutical International Corp. 14,615 463,296 0.0%
Oil-Dri Corp. of America 5,047 205,362 0.0%
Omega Protein Corp. 25,852 520,918 0.0%
#* Post Holdings, Inc. 50,201 4,226,422 0.1%
Reynolds American, Inc. 188,277 12,143,866 0.2%
# Sanderson Farms, Inc. 16,100 1,864,058 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
# Seaboard Corp. 1,812 $ 7,672,026 0.1%
* Seneca Foods Corp. Class A 6,301 234,397 0.0%
* Seneca Foods Corp. Class B 300 12,150 0.0%
# Snyder's-Lance, Inc. 32,153 1,133,715 0.0%
SpartanNash Co. 34,281 1,261,541 0.0%
#* TreeHouse Foods, Inc. 24,190 2,119,044 0.0%
Tyson Foods, Inc. Class A 405,030 26,027,228 0.4%
# Universal Corp. 22,290 1,637,200 0.0%
Wal-Mart Stores, Inc. 1,054,519 79,278,738 1.3%
Walgreens Boots Alliance, Inc. 725,538 62,788,059 1.0%
# Weis Markets, Inc. 11,602 670,712 0.0%
------------ ---
Total Consumer Staples 536,190,263 8.6%
------------ ---
Energy -- (11.5%)
Adams Resources & Energy, Inc. 6,004 243,882 0.0%
# Alon USA Energy, Inc. 33,484 404,822 0.0%
Anadarko Petroleum Corp. 258,932 14,764,303 0.3%
# Apache Corp. 15,708 764,037 0.0%
Archrock, Inc. 69,200 816,560 0.0%
Baker Hughes, Inc. 127,976 7,597,935 0.1%
* Barnwell Industries, Inc. 7,870 15,032 0.0%
# Bristow Group, Inc. 37,360 499,503 0.0%
#* Callon Petroleum Co. 13,214 156,454 0.0%
Chevron Corp. 1,105,117 117,915,984 1.9%
#* Cloud Peak Energy, Inc. 33,115 111,598 0.0%
ConocoPhillips 1,489,306 71,352,650 1.2%
* Dawson Geophysical Co. 29,011 145,925 0.0%
Delek US Holdings, Inc. 52,256 1,257,802 0.0%
EOG Resources, Inc. 8,874 820,845 0.0%
* Era Group, Inc. 24,458 310,861 0.0%
* Exterran Corp. 34,600 947,002 0.0%
Exxon Mobil Corp. 2,790,357 227,832,649 3.7%
Green Plains, Inc. 26,534 610,282 0.0%
Gulf Island Fabrication, Inc. 15,018 149,429 0.0%
* Helix Energy Solutions Group, Inc. 103,010 630,421 0.0%
# Helmerich & Payne, Inc. 108,670 6,589,749 0.1%
# Hess Corp. 165,152 8,064,372 0.1%
# HollyFrontier Corp. 32,210 906,389 0.0%
#* Hornbeck Offshore Services, Inc. 6,900 23,529 0.0%
* International Seaways, Inc. 12 232 0.0%
Kinder Morgan, Inc. 549,603 11,338,310 0.2%
# Marathon Oil Corp. 467,019 6,944,573 0.1%
Marathon Petroleum Corp. 903,936 46,046,500 0.8%
* Matrix Service Co. 15,423 181,220 0.0%
# Murphy Oil Corp. 108,993 2,853,437 0.1%
# Nabors Industries, Ltd. 181,974 1,881,611 0.0%
# National Oilwell Varco, Inc. 213,118 7,452,736 0.1%
* Natural Gas Services Group, Inc. 15,026 411,712 0.0%
#* Newpark Resources, Inc. 97,395 745,072 0.0%
# Noble Energy, Inc. 133,794 4,325,560 0.1%
Occidental Petroleum Corp. 193,548 11,910,944 0.2%
* Parker Drilling Co. 103,773 171,225 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
# Patterson-UTI Energy, Inc. 152,325 $ 3,297,075 0.1%
#* PDC Energy, Inc. 24,103 1,331,209 0.0%
* PHI, Inc. Non-Voting 15,570 182,636 0.0%
* PHI, Inc. Voting 1,099 12,748 0.0%
Phillips 66 775,455 61,695,200 1.0%
* Pioneer Energy Services Corp. 74,262 226,499 0.0%
Pioneer Natural Resources Co. 88,400 15,292,316 0.3%
* QEP Resources, Inc. 33,043 390,238 0.0%
#* Renewable Energy Group, Inc. 2,882 30,117 0.0%
#* REX American Resources Corp. 4,050 383,454 0.0%
#* Rowan Cos. P.L.C. Class A 118,378 1,665,578 0.0%
Schlumberger, Ltd. 603,242 43,789,337 0.7%
* SEACOR Holdings, Inc. 20,471 1,344,126 0.0%
# SemGroup Corp. Class A 4,727 157,409 0.0%
# Ship Finance International, Ltd. 12,481 175,358 0.0%
#* Superior Energy Services, Inc. 75,686 914,287 0.0%
#* Tesco Corp. 3,745 24,530 0.0%
Tesoro Corp. 168,807 13,455,606 0.2%
#* Unit Corp. 52,140 1,120,489 0.0%
Valero Energy Corp. 605,899 39,147,134 0.6%
Western Refining, Inc. 47,810 1,648,967 0.0%
* Whiting Petroleum Corp. 16,007 132,858 0.0%
------------ ----
Total Energy 743,612,318 11.9%
------------ ----
Financials -- (21.6%)
# 1st Source Corp. 45,305 2,188,685 0.0%
Aflac, Inc. 168,611 12,625,592 0.2%
* Alleghany Corp. 3,115 1,902,330 0.0%
Allied World Assurance Co. Holdings AG 76,431 4,057,722 0.1%
Allstate Corp. (The) 211,174 17,166,334 0.3%
American Equity Investment Life Holding Co. 88,700 2,103,964 0.0%
American Financial Group, Inc. 173,596 16,892,627 0.3%
American International Group, Inc. 838,781 51,090,151 0.8%
American National Insurance Co. 23,302 2,724,470 0.1%
AmeriServ Financial, Inc. 33,075 133,954 0.0%
* Arch Capital Group, Ltd. 3,094 300,025 0.0%
Argo Group International Holdings, Ltd. 51,636 3,405,394 0.1%
Aspen Insurance Holdings, Ltd. 102,623 5,372,314 0.1%
# Associated Banc-Corp 31,434 782,707 0.0%
Assurant, Inc. 65,820 6,334,517 0.1%
Assured Guaranty, Ltd. 122,989 4,689,571 0.1%
* Asta Funding, Inc. 885 7,434 0.0%
Astoria Financial Corp. 19,344 394,424 0.0%
* Atlanticus Holdings Corp. 14,467 37,614 0.0%
Axis Capital Holdings, Ltd. 8,510 560,809 0.0%
Baldwin & Lyons, Inc. Class A 300 7,020 0.0%
Baldwin & Lyons, Inc. Class B 6,556 160,622 0.0%
* Bancorp, Inc. (The) 459 2,961 0.0%
# Bank Mutual Corp. 14,475 133,170 0.0%
Bank of America Corp. 6,066,147 141,583,871 2.3%
Bank of New York Mellon Corp. (The) 724,844 34,111,159 0.6%
BankFinancial Corp. 21,475 317,400 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Bar Harbor Bankshares 2,733 $ 84,149 0.0%
# BB&T Corp. 189,706 8,191,505 0.1%
BCB Bancorp, Inc. 1,059 16,732 0.0%
Berkshire Hills Bancorp, Inc. 30,747 1,153,012 0.0%
Capital City Bank Group, Inc. 15,389 317,167 0.0%
Capital One Financial Corp. 373,787 30,044,999 0.5%
* Cascade Bancorp 15,799 118,177 0.0%
Cathay General Bancorp 17,730 674,626 0.0%
CenterState Banks, Inc. 747 18,847 0.0%
Century Bancorp, Inc. Class A 495 31,210 0.0%
Chubb, Ltd. 143,188 19,652,553 0.3%
# Cincinnati Financial Corp. 12,284 885,554 0.0%
# CIT Group, Inc. 45,907 2,125,953 0.0%
Citigroup, Inc. 1,870,326 110,573,673 1.8%
Citizens Community Bancorp, Inc. 10,355 148,491 0.0%
CME Group, Inc. 381,507 44,327,298 0.7%
# CNA Financial Corp. 200,051 9,054,308 0.2%
CNO Financial Group, Inc. 301,264 6,347,632 0.1%
Codorus Valley Bancorp, Inc. 144 4,175 0.0%
Comerica, Inc. 16,431 1,161,672 0.0%
Community West Bancshares 400 4,060 0.0%
* Consumer Portfolio Services, Inc. 30,005 146,124 0.0%
#* Cowen Group, Inc. Class A 3,989 63,425 0.0%
Donegal Group, Inc. Class A 13,586 226,343 0.0%
* E*TRADE Financial Corp. 89,699 3,099,100 0.1%
Eastern Virginia Bankshares, Inc. 307 3,521 0.0%
EMC Insurance Group, Inc. 23,450 672,546 0.0%
Enterprise Financial Services Corp. 436 18,421 0.0%
ESSA Bancorp, Inc. 8,217 124,323 0.0%
Evans Bancorp, Inc. 1,681 63,878 0.0%
Everest Re Group, Ltd. 34,913 8,787,951 0.2%
Farmers Capital Bank Corp. 302 12,533 0.0%
FBL Financial Group, Inc. Class A 24,660 1,639,890 0.0%
Federal Agricultural Mortgage Corp. Class A 177 9,639 0.0%
Federal Agricultural Mortgage Corp. Class C 9,200 524,860 0.0%
Federated National Holding Co. 13,665 219,733 0.0%
Fidelity Southern Corp. 7,213 162,437 0.0%
Fifth Third Bancorp 127,045 3,103,709 0.1%
* First Acceptance Corp. 27,347 31,723 0.0%
First American Financial Corp. 61,982 2,690,639 0.1%
First Bancorp 16,138 484,786 0.0%
First Business Financial Services, Inc. 964 25,613 0.0%
First Citizens BancShares, Inc. Class A 8,627 3,002,714 0.1%
First Commonwealth Financial Corp. 30,547 394,362 0.0%
First Community Bancshares, Inc. 183 4,842 0.0%
First Defiance Financial Corp. 10,880 583,603 0.0%
First Financial Northwest, Inc. 25,371 397,817 0.0%
First Merchants Corp. 41,623 1,722,360 0.0%
First Midwest Bancorp, Inc. 7,168 162,785 0.0%
First South Bancorp, Inc. 2,278 29,568 0.0%
FNB Corp. 63,117 898,786 0.0%
* FNFV Group 15,438 211,501 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
* Genworth Financial, Inc. Class A 34,964 $ 141,255 0.0%
* Global Indemnity, Ltd. 8,282 335,835 0.0%
Goldman Sachs Group, Inc. (The) 209,155 46,808,889 0.8%
Great Southern Bancorp, Inc. 1,616 81,042 0.0%
Great Western Bancorp, Inc. 260 10,712 0.0%
Guaranty Federal Bancshares, Inc. 1,684 34,303 0.0%
* Hallmark Financial Services, Inc. 20,834 218,965 0.0%
Hanover Insurance Group, Inc. (The) 88,829 7,840,936 0.1%
Hartford Financial Services Group, Inc. (The) 320,787 15,513,259 0.3%
Heartland Financial USA, Inc. 465 22,320 0.0%
Hilltop Holdings, Inc. 26,171 727,816 0.0%
Hingham Institution for Savings 231 41,462 0.0%
* HMN Financial, Inc. 3,456 60,134 0.0%
Home Bancorp, Inc. 719 26,704 0.0%
HopFed Bancorp, Inc. 6,781 100,020 0.0%
# Horace Mann Educators Corp. 58,206 2,249,662 0.0%
Huntington Bancshares, Inc. 70,847 911,092 0.0%
Iberiabank Corp. 697 55,307 0.0%
Independence Holding Co. 13,333 252,660 0.0%
Infinity Property & Casualty Corp. 15,800 1,568,150 0.0%
International Bancshares Corp. 800 29,920 0.0%
Investment Technology Group, Inc. 23,677 471,409 0.0%
Investors Title Co. 1,169 208,339 0.0%
Janus Capital Group, Inc. 24,840 339,314 0.0%
JPMorgan Chase & Co. 2,695,925 234,545,475 3.8%
Kemper Corp. 46,361 1,824,305 0.0%
# Kentucky First Federal Bancorp 2,400 23,280 0.0%
KeyCorp 526,210 9,598,070 0.2%
# Lakeland Bancorp, Inc. 8,740 169,993 0.0%
Landmark Bancorp, Inc. 2,277 70,245 0.0%
# Legg Mason, Inc. 43,400 1,622,292 0.0%
Lincoln National Corp. 134,595 8,873,848 0.2%
Loews Corp. 243,798 11,365,863 0.2%
# M&T Bank Corp. 4,241 659,094 0.0%
Macatawa Bank Corp. 291 2,785 0.0%
Mackinac Financial Corp. 6,893 102,706 0.0%
# Maiden Holdings, Ltd. 5,792 71,531 0.0%
# MainSource Financial Group, Inc. 45,000 1,539,000 0.0%
#* Markel Corp. 101 97,930 0.0%
Marlin Business Services Corp. 14,241 362,433 0.0%
MB Financial, Inc. 19,678 836,512 0.0%
#* MBIA, Inc. 82,267 691,043 0.0%
MBT Financial Corp. 9,396 105,235 0.0%
Mercantile Bank Corp. 4,422 148,712 0.0%
MetLife, Inc. 949,912 49,214,941 0.8%
MidWestOne Financial Group, Inc. 346 12,006 0.0%
Morgan Stanley 1,036,923 44,971,351 0.7%
MutualFirst Financial, Inc. 2,300 75,785 0.0%
Nasdaq, Inc. 28,194 1,941,721 0.0%
# National Western Life Group, Inc. Class A 900 275,616 0.0%
Navigators Group, Inc. (The) 7,370 398,348 0.0%
New York Community Bancorp, Inc. 52,185 693,539 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
NewStar Financial, Inc. 41,166 $ 442,123 0.0%
# Northrim BanCorp, Inc. 5,734 183,488 0.0%
OFG Bancorp 30,191 353,235 0.0%
Old Republic International Corp. 172,923 3,576,048 0.1%
Oppenheimer Holdings, Inc. Class A 3,097 53,578 0.0%
PacWest Bancorp 1,076 53,144 0.0%
Park Sterling Corp. 992 12,202 0.0%
People's United Financial, Inc. 69,156 1,208,155 0.0%
Peoples Bancorp of North Carolina, Inc. 250 7,085 0.0%
# Peoples Bancorp, Inc. 15,923 533,102 0.0%
#* PHH Corp. 54,576 704,030 0.0%
Piper Jaffray Cos. 312 19,531 0.0%
PNC Financial Services Group, Inc. (The) 212,279 25,420,410 0.4%
Popular, Inc. 56,536 2,369,424 0.0%
Premier Financial Bancorp, Inc. 4,877 104,514 0.0%
# Principal Financial Group, Inc. 218,754 14,247,448 0.2%
Provident Financial Holdings, Inc. 544 10,461 0.0%
Provident Financial Services, Inc. 21,059 541,006 0.0%
Prudential Financial, Inc. 497,625 53,260,804 0.9%
Radian Group, Inc. 161,945 2,733,632 0.1%
Regions Financial Corp. 1,302,555 17,910,131 0.3%
Reinsurance Group of America, Inc. 153,566 19,201,893 0.3%
RenaissanceRe Holdings, Ltd. 12,667 1,800,867 0.0%
# Renasant Corp. 42,102 1,785,125 0.0%
#* Republic First Bancorp, Inc. 2,174 18,696 0.0%
Riverview Bancorp, Inc. 1,682 12,211 0.0%
Safety Insurance Group, Inc. 26,197 1,896,663 0.0%
Sandy Spring Bancorp, Inc. 9,125 394,656 0.0%
* Select Bancorp, Inc. 600 6,756 0.0%
# Selective Insurance Group, Inc. 45,200 2,386,560 0.1%
SI Financial Group, Inc. 5,661 84,632 0.0%
* Southern First Bancshares, Inc. 1,216 40,979 0.0%
Southwest Bancorp, Inc. 16,974 440,475 0.0%
State Auto Financial Corp. 15,100 405,737 0.0%
State Street Corp. 4,112 344,997 0.0%
# Sterling Bancorp 70,552 1,640,334 0.0%
Stewart Information Services Corp. 12,271 582,136 0.0%
SunTrust Banks, Inc. 255,532 14,516,773 0.2%
Synchrony Financial 544,549 15,138,462 0.3%
# Synovus Financial Corp. 22,796 952,873 0.0%
Timberland Bancorp, Inc. 2,500 55,425 0.0%
Tiptree, Inc. 37,071 261,351 0.0%
Torchmark Corp. 7,000 536,970 0.0%
Travelers Cos., Inc. (The) 155,898 18,966,551 0.3%
Trico Bancshares 854 30,283 0.0%
Trustmark Corp. 4,194 139,325 0.0%
Umpqua Holdings Corp. 34,932 617,248 0.0%
* Unico American Corp. 1,900 19,475 0.0%
Union Bankshares Corp. 37,042 1,268,318 0.0%
# United Bankshares, Inc. 12,121 483,628 0.0%
United Financial Bancorp, Inc. 9,193 158,763 0.0%
United Fire Group, Inc. 24,429 1,074,876 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
OF NET
SHARES VALUE+ ASSETS**
--------- -------------- ----------
Financials -- (Continued)
* United Security Bancshares 440 $ 3,674 0.0%
Unity Bancorp, Inc. 3,999 65,384 0.0%
Univest Corp. of Pennsylvania 156 4,727 0.0%
Unum Group 517,445 23,973,227 0.4%
Validus Holdings, Ltd. 8,958 495,198 0.0%
# Valley National Bancorp 768 9,032 0.0%
Voya Financial, Inc. 14,373 537,263 0.0%
# Washington Federal, Inc. 97,887 3,298,792 0.1%
Waterstone Financial, Inc. 1,426 27,094 0.0%
Wells Fargo & Co. 2,237,608 120,472,815 1.9%
WesBanco, Inc. 31,678 1,261,101 0.0%
Western New England Bancorp, Inc. 11,698 122,829 0.0%
Wintrust Financial Corp. 24,224 1,716,513 0.0%
WR Berkley Corp. 5,305 360,634 0.0%
# XL Group, Ltd. 240,766 10,076,057 0.2%
# Zions Bancorporation 53,325 2,134,600 0.0%
-------------- ----
Total Financials 1,395,450,859 22.3%
-------------- ----
Health Care -- (11.0%)
Abbott Laboratories 715,025 31,203,691 0.5%
# Aceto Corp. 31,686 502,223 0.0%
* Addus HomeCare Corp. 2,044 69,394 0.0%
# Aetna, Inc. 558,462 75,431,462 1.2%
#* Albany Molecular Research, Inc. 24,874 398,233 0.0%
* Alere, Inc. 45,800 2,251,986 0.1%
Allergan P.L.C. 123,871 30,207,182 0.5%
Analogic Corp. 2,988 214,688 0.0%
* AngioDynamics, Inc. 14,354 222,774 0.0%
#* Anika Therapeutics, Inc. 14,671 676,773 0.0%
Anthem, Inc. 504,640 89,770,410 1.4%
#* Aptevo Therapeutics, Inc. 4,339 8,678 0.0%
Baxter International, Inc. 27,380 1,524,518 0.0%
Cigna Corp. 42,954 6,716,717 0.1%
# CONMED Corp. 43,239 2,125,629 0.0%
# Cooper Cos., Inc. (The) 13,956 2,795,805 0.1%
* Cross Country Healthcare, Inc. 7,595 106,102 0.0%
* CryoLife, Inc. 17,502 317,661 0.0%
#* Cumberland Pharmaceuticals, Inc. 23,319 135,950 0.0%
* Cutera, Inc. 1,289 25,200 0.0%
Danaher Corp. 376,391 31,364,662 0.5%
Digirad Corp. 26,711 125,542 0.0%
#* Emergent BioSolutions, Inc. 8,678 259,559 0.0%
#* Envision Healthcare Corp. 30,743 1,722,530 0.0%
* Enzo Biochem, Inc. 41,397 364,294 0.0%
* Exactech, Inc. 3,390 100,514 0.0%
* Express Scripts Holding Co. 493,239 30,255,280 0.5%
Humana, Inc. 236,814 52,567,972 0.9%
#* Impax Laboratories, Inc. 4,700 66,035 0.0%
#* Integer Holdings Corp. 41,672 1,531,446 0.0%
# Invacare Corp. 7,330 107,751 0.0%
Kewaunee Scientific Corp. 1,631 37,921 0.0%
Kindred Healthcare, Inc. 22,803 218,909 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Health Care -- (Continued)
* LHC Group, Inc. 1,418 $ 76,714 0.0%
* LifePoint Health, Inc. 82,208 5,109,227 0.1%
* Magellan Health, Inc. 17,899 1,231,451 0.0%
Medtronic P.L.C. 794,453 66,011,100 1.1%
* Merit Medical Systems, Inc. 13,395 451,412 0.0%
* Micron Solutions, Inc. 1,200 4,728 0.0%
#* Molina Healthcare, Inc. 24,941 1,241,812 0.0%
* Mylan NV 19,873 742,257 0.0%
National HealthCare Corp. 6,484 482,539 0.0%
#* Natus Medical, Inc. 15,698 549,430 0.0%
* Nuvectra Corp. 13,890 113,620 0.0%
* Omnicell, Inc. 35,405 1,465,767 0.0%
PerkinElmer, Inc. 76,500 4,544,865 0.1%
Pfizer, Inc. 4,178,729 141,742,488 2.3%
* PharMerica Corp. 33,305 785,998 0.0%
#* Prestige Brands Holdings, Inc. 111,489 6,400,583 0.1%
Quest Diagnostics, Inc. 5,500 580,305 0.0%
* RTI Surgical, Inc. 73,086 295,998 0.0%
* SciClone Pharmaceuticals, Inc. 13,028 125,720 0.0%
* Select Medical Holdings Corp. 42,204 580,305 0.0%
* Surmodics, Inc. 5,593 127,800 0.0%
Teleflex, Inc. 37,223 7,701,066 0.1%
Thermo Fisher Scientific, Inc. 499,520 82,585,642 1.3%
#* Tivity Health, Inc. 11,581 389,122 0.0%
* Triple-S Management Corp. Class B 20,684 374,380 0.0%
UnitedHealth Group, Inc. 89,716 15,689,534 0.3%
* VCA, Inc. 69,140 6,331,150 0.1%
* WellCare Health Plans, Inc. 18,375 2,818,909 0.1%
------------ ----
Total Health Care 711,981,413 11.4%
------------ ----
Industrials -- (11.4%)
AAR Corp. 32,906 1,184,287 0.0%
ABM Industries, Inc. 64,500 2,785,755 0.1%
# Acme United Corp. 1,030 29,870 0.0%
# Actuant Corp. Class A 4,057 110,756 0.0%
#* AECOM 55,835 1,910,115 0.0%
* Aegion Corp. 42,549 970,968 0.0%
#* Aerovironment, Inc. 35,065 1,001,807 0.0%
AGCO Corp. 58,973 3,773,682 0.1%
* Air Transport Services Group, Inc. 6,308 116,004 0.0%
Alamo Group, Inc. 22,751 1,798,694 0.0%
Alaska Air Group, Inc. 105,252 8,955,893 0.2%
Albany International Corp. Class A 20,551 1,001,861 0.0%
AMERCO 29,431 11,020,732 0.2%
* Ameresco, Inc. Class A 981 6,327 0.0%
# American Railcar Industries, Inc. 20,003 839,126 0.0%
# Apogee Enterprises, Inc. 36,374 1,982,383 0.1%
ArcBest Corp. 12,135 320,971 0.0%
Arconic, Inc. 331,751 9,066,755 0.2%
Argan, Inc. 21 1,404 0.0%
Astec Industries, Inc. 22,925 1,452,299 0.0%
* Atlas Air Worldwide Holdings, Inc. 31,815 1,845,270 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Barnes Group, Inc. 36,400 $ 2,000,908 0.1%
Brady Corp. Class A 38,500 1,499,575 0.0%
Briggs & Stratton Corp. 41,033 1,025,415 0.0%
* CAI International, Inc. 17,082 352,231 0.0%
* Casella Waste Systems, Inc. Class A 5,201 78,275 0.0%
Caterpillar, Inc. 107,902 11,034,059 0.2%
* CBIZ, Inc. 38,149 600,847 0.0%
* CDI Corp. 26,779 218,249 0.0%
CECO Environmental Corp. 3,773 42,597 0.0%
# Celadon Group, Inc. 24,642 97,336 0.0%
Chicago Rivet & Machine Co. 700 29,001 0.0%
# CIRCOR International, Inc. 10,019 668,367 0.0%
Columbus McKinnon Corp. 17,542 458,372 0.0%
Comfort Systems USA, Inc. 44,560 1,635,352 0.0%
CompX International, Inc. 500 7,450 0.0%
# Covanta Holding Corp. 13,562 197,327 0.0%
* Covenant Transportation Group, Inc. Class A 7,080 132,608 0.0%
CRA International, Inc. 7,613 288,837 0.0%
CSX Corp. 1,242,950 63,191,578 1.0%
Cummins, Inc. 900 135,846 0.0%
Curtiss-Wright Corp. 46,353 4,332,151 0.1%
Delta Air Lines, Inc. 420,626 19,113,245 0.3%
* DigitalGlobe, Inc. 21,971 707,466 0.0%
DMC Global, Inc. 1,436 21,971 0.0%
# Douglas Dynamics, Inc. 30,234 964,465 0.0%
#* Ducommun, Inc. 12,645 371,637 0.0%
Eastern Co. (The) 10,193 281,836 0.0%
Eaton Corp. P.L.C. 242,913 18,373,939 0.3%
EMCOR Group, Inc. 50,540 3,322,500 0.1%
Encore Wire Corp. 19,966 882,497 0.0%
EnerSys 43,239 3,593,593 0.1%
* Engility Holdings, Inc. 7,988 226,460 0.0%
Ennis, Inc. 31,756 558,906 0.0%
ESCO Technologies, Inc. 17,601 1,035,819 0.0%
Espey Manufacturing & Electronics Corp. 1,671 38,884 0.0%
Essendant, Inc. 24,021 401,151 0.0%
#* Esterline Technologies Corp. 44,968 4,112,324 0.1%
Federal Signal Corp. 71,923 1,122,718 0.0%
FedEx Corp. 142,324 26,998,863 0.4%
Fortune Brands Home & Security, Inc. 123,726 7,886,295 0.1%
* Franklin Covey Co. 3,046 64,728 0.0%
# FreightCar America, Inc. 9,404 122,816 0.0%
* FTI Consulting, Inc. 25,736 890,208 0.0%
# GATX Corp. 65,445 3,920,156 0.1%
* Gencor Industries, Inc. 13,149 218,273 0.0%
General Electric Co. 2,102,284 60,945,213 1.0%
* Genesee & Wyoming, Inc. Class A 1,200 81,312 0.0%
* Gibraltar Industries, Inc. 24,203 949,968 0.0%
Gorman-Rupp Co. (The) 46,961 1,344,024 0.0%
* GP Strategies Corp. 18,583 503,599 0.0%
# Granite Construction, Inc. 27,179 1,432,605 0.0%
#* Great Lakes Dredge & Dock Corp. 69,820 317,681 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
# Greenbrier Cos., Inc. (The) 22,451 $ 975,496 0.0%
# Griffon Corp. 67,323 1,615,752 0.0%
#* Hawaiian Holdings, Inc. 9,193 499,180 0.0%
Heidrick & Struggles International, Inc. 18,234 392,031 0.0%
#* Herc Holdings, Inc. 18,560 843,923 0.0%
#* Hertz Global Holdings, Inc. 55,682 918,196 0.0%
#* Hill International, Inc. 27,154 109,974 0.0%
Hurco Cos., Inc. 7,910 229,390 0.0%
* Huron Consulting Group, Inc. 4,001 178,045 0.0%
# Hyster-Yale Materials Handling, Inc. 12,246 736,107 0.0%
* ICF International, Inc. 31,660 1,397,789 0.0%
Ingersoll-Rand P.L.C. 213,109 18,913,424 0.3%
* InnerWorkings, Inc. 96,587 1,022,856 0.0%
Insteel Industries, Inc. 17,578 611,890 0.0%
* JetBlue Airways Corp. 324,893 7,092,414 0.1%
Johnson Controls International P.L.C. 124,900 5,192,093 0.1%
Kadant, Inc. 5,786 359,600 0.0%
KAR Auction Services, Inc. 18,100 789,522 0.0%
# KBR, Inc. 3,600 50,580 0.0%
Kennametal, Inc. 1,000 41,580 0.0%
* Key Technology, Inc. 3,199 41,715 0.0%
Kimball International, Inc. Class B 31,258 555,455 0.0%
# Korn/Ferry International 33,148 1,073,995 0.0%
#* Kratos Defense & Security Solutions, Inc. 2,711 20,658 0.0%
L3 Technologies, Inc. 100,470 17,257,732 0.3%
* Lawson Products, Inc. 8,847 201,269 0.0%
LB Foster Co. Class A 6,682 94,884 0.0%
* LMI Aerospace, Inc. 13,807 191,503 0.0%
LS Starrett Co. (The) Class A 1,997 19,571 0.0%
LSI Industries, Inc. 27,715 251,375 0.0%
* Lydall, Inc. 14,605 765,302 0.0%
ManpowerGroup, Inc. 22,886 2,311,028 0.1%
Marten Transport, Ltd. 47,782 1,184,994 0.0%
Matson, Inc. 62,316 1,975,417 0.0%
Matthews International Corp. Class A 12,387 849,129 0.0%
McGrath RentCorp 17,552 610,985 0.0%
* Mercury Systems, Inc. 2,055 76,816 0.0%
Miller Industries, Inc. 20,099 510,515 0.0%
Mobile Mini, Inc. 54,461 1,563,031 0.0%
* Moog, Inc. Class A 35,339 2,426,022 0.1%
Mueller Industries, Inc. 30,912 990,420 0.0%
# Multi-Color Corp. 308 23,654 0.0%
* MYR Group, Inc. 19,582 827,535 0.0%
National Presto Industries, Inc. 571 59,584 0.0%
* Navigant Consulting, Inc. 12,297 294,759 0.0%
* NL Industries, Inc. 42,070 340,767 0.0%
# NN, Inc. 18,396 507,730 0.0%
Norfolk Southern Corp. 545,229 64,058,955 1.0%
* Northwest Pipe Co. 6,690 93,727 0.0%
* NOW, Inc. 62,737 1,067,156 0.0%
* On Assignment, Inc. 53,951 2,793,043 0.1%
# Orbital ATK, Inc. 56,610 5,604,390 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
Oshkosh Corp. 14,466 $ 1,003,796 0.0%
Owens Corning 149,300 9,084,905 0.2%
* PAM Transportation Services, Inc. 6,449 121,048 0.0%
# Pentair P.L.C. 117,934 7,607,922 0.1%
* Perma-Pipe International Holdings, Inc. 8,900 71,645 0.0%
Powell Industries, Inc. 7,529 259,675 0.0%
Quad/Graphics, Inc. 1,591 41,780 0.0%
# Quanex Building Products Corp. 21,431 437,192 0.0%
* Quanta Services, Inc. 168,307 5,964,800 0.1%
Raytheon Co. 44,355 6,884,340 0.1%
* RCM Technologies, Inc. 20,293 96,595 0.0%
Regal Beloit Corp. 16,070 1,267,120 0.0%
Republic Services, Inc. 429,755 27,070,267 0.5%
Resources Connection, Inc. 25,955 360,775 0.0%
* Roadrunner Transportation Systems, Inc. 879 5,907 0.0%
* RPX Corp. 13,600 174,624 0.0%
* Rush Enterprises, Inc. Class A 32,603 1,230,763 0.0%
* Rush Enterprises, Inc. Class B 18,522 641,602 0.0%
Ryder System, Inc. 89,844 6,101,306 0.1%
* Saia, Inc. 8,925 429,739 0.0%
* SIFCO Industries, Inc. 6,623 53,646 0.0%
SkyWest, Inc. 38,506 1,432,423 0.0%
Southwest Airlines Co. 645,761 36,304,683 0.6%
* Sparton Corp. 8,563 190,698 0.0%
* SPX FLOW, Inc. 12,803 462,700 0.0%
Standex International Corp. 22,341 2,098,937 0.1%
Stanley Black & Decker, Inc. 154,919 21,092,222 0.4%
Steelcase, Inc. Class A 55,469 945,746 0.0%
Supreme Industries, Inc. Class A 1,433 28,717 0.0%
#* Team, Inc. 6,674 179,531 0.0%
# Terex Corp. 27,578 964,678 0.0%
Tetra Tech, Inc. 45,222 1,987,507 0.1%
* Titan Machinery, Inc. 2,883 45,696 0.0%
#* TRC Cos., Inc. 23,870 417,725 0.0%
Trinity Industries, Inc. 183,814 4,944,597 0.1%
Triton International, Ltd. 24,053 736,262 0.0%
# Triumph Group, Inc. 57,456 1,505,347 0.0%
#* Tutor Perini Corp. 33,844 1,044,087 0.0%
* Twin Disc, Inc. 900 17,640 0.0%
* Ultralife Corp. 3,309 18,200 0.0%
UniFirst Corp. 18,705 2,603,736 0.1%
Union Pacific Corp. 888,128 99,434,811 1.6%
* United Continental Holdings, Inc. 92,477 6,492,810 0.1%
United Technologies Corp. 228,103 27,141,976 0.5%
Universal Forest Products, Inc. 31,800 3,030,222 0.1%
#* USA Truck, Inc. 12,805 85,922 0.0%
* Vectrus, Inc. 4,069 103,515 0.0%
* Veritiv Corp. 9,437 487,421 0.0%
Viad Corp. 23,193 1,048,324 0.0%
* Virco Manufacturing Corp. 12,601 57,335 0.0%
VSE Corp. 610 26,017 0.0%
Watts Water Technologies, Inc. Class A 1,534 95,415 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
# Werner Enterprises, Inc. 34,105 $ 931,067 0.0%
* Wesco Aircraft Holdings, Inc. 6,228 75,670 0.0%
* WESCO International, Inc. 11,687 712,323 0.0%
#* Willdan Group, Inc. 1,000 28,370 0.0%
* Willis Lease Finance Corp. 6,713 152,452 0.0%
#* XPO Logistics, Inc. 12,216 603,348 0.0%
------------ ----
Total Industrials 736,057,027 11.8%
------------ ----
Information Technology -- (11.6%)
Activision Blizzard, Inc. 982,162 51,317,964 0.8%
* Actua Corp. 1,184 16,576 0.0%
* Acxiom Corp. 7,769 224,524 0.0%
* Agilysys, Inc. 16,899 167,300 0.0%
* Alpha & Omega Semiconductor, Ltd. 20,661 341,940 0.0%
* ARRIS International P.L.C. 70,523 1,832,893 0.0%
* Arrow Electronics, Inc. 175,521 12,374,230 0.2%
AstroNova, Inc. 6,285 93,647 0.0%
Avnet, Inc. 139,400 5,393,386 0.1%
AVX Corp. 72,760 1,230,372 0.0%
* Aware, Inc. 14,326 68,765 0.0%
* Axcelis Technologies, Inc. 175 3,369 0.0%
* AXT, Inc. 16,521 111,517 0.0%
Bel Fuse, Inc. Class A 3,874 81,916 0.0%
Bel Fuse, Inc. Class B 11,837 286,455 0.0%
* Benchmark Electronics, Inc. 62,063 1,967,397 0.0%
# Black Box Corp. 18,611 184,249 0.0%
#* Blackhawk Network Holdings, Inc. 25,926 1,048,707 0.0%
* Blucora, Inc. 57,127 1,053,993 0.0%
Brocade Communications Systems, Inc. 461,513 5,801,218 0.1%
Brooks Automation, Inc. 50,847 1,284,395 0.0%
* BSQUARE Corp. 4,065 21,341 0.0%
* CACI International, Inc. Class A 24,830 2,929,940 0.1%
* Calix, Inc. 16,027 107,381 0.0%
Cisco Systems, Inc. 4,601,656 156,778,420 2.5%
Cohu, Inc. 28,915 541,578 0.0%
* CommerceHub, Inc. Series A 5,992 95,872 0.0%
* CommerceHub, Inc. Series C 20,893 332,617 0.0%
Comtech Telecommunications Corp. 15,569 218,122 0.0%
Concurrent Computer Corp. 11,740 58,113 0.0%
* Conduent, Inc. 177,926 2,901,973 0.1%
Convergys Corp. 197,364 4,442,664 0.1%
* CoreLogic, Inc. 96,545 4,126,333 0.1%
Corning, Inc. 785,955 22,674,802 0.4%
#* Cray, Inc. 12,866 230,301 0.0%
CSP, Inc. 2,414 26,337 0.0%
CTS Corp. 66,936 1,479,286 0.0%
#* CyberOptics Corp. 3,281 71,034 0.0%
# Cypress Semiconductor Corp. 52,022 728,828 0.0%
* Dell Technologies, Inc. Class V 38,133 2,559,106 0.1%
* Digi International, Inc. 25,438 315,431 0.0%
* Diodes, Inc. 4,709 110,144 0.0%
* DSP Group, Inc. 46,713 581,577 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
* DXC Technology Co. 228,936 $ 17,248,038 0.3%
* EchoStar Corp. Class A 23,551 1,355,596 0.0%
#* Edgewater Technology, Inc. 13,603 98,894 0.0%
* Electro Scientific Industries, Inc. 6,085 42,473 0.0%
#* Electronics for Imaging, Inc. 58,110 2,660,276 0.1%
Emcore Corp. 744 6,696 0.0%
#* EnerNOC, Inc. 6,397 36,143 0.0%
* Entegris, Inc. 300 7,440 0.0%
* ePlus, Inc. 17,490 1,246,162 0.0%
* Exar Corp. 51,341 667,946 0.0%
#* Fabrinet 4,055 140,587 0.0%
Fidelity National Information Services, Inc. 151,857 12,784,841 0.2%
#* Finisar Corp. 61,526 1,405,254 0.0%
#* First Solar, Inc. 28,266 835,260 0.0%
* FormFactor, Inc. 46,295 513,874 0.0%
* Frequency Electronics, Inc. 9,253 97,157 0.0%
#* GSI Technology, Inc. 3,363 27,005 0.0%
#* Harmonic, Inc. 22,962 133,180 0.0%
Hewlett Packard Enterprise Co. 1,070,310 19,939,875 0.3%
* IAC/InterActiveCorp 125,298 10,400,987 0.2%
* ID Systems, Inc. 3,917 25,735 0.0%
#* Inseego Corp. 10,953 23,439 0.0%
* Insight Enterprises, Inc. 42,100 1,772,410 0.0%
Intel Corp. 4,616,182 166,874,979 2.7%
#* IntriCon Corp. 2,835 25,232 0.0%
* Itron, Inc. 33,397 2,165,795 0.1%
IXYS Corp. 3,055 42,617 0.0%
Juniper Networks, Inc. 212,100 6,377,847 0.1%
* Key Tronic Corp. 17,623 138,693 0.0%
* Kimball Electronics, Inc. 23,443 404,392 0.0%
* Kulicke & Soffa Industries, Inc. 71,688 1,600,076 0.0%
#* KVH Industries, Inc. 19,858 158,864 0.0%
# Lam Research Corp. 11,111 1,609,428 0.0%
* Lattice Semiconductor Corp. 108,469 744,097 0.0%
* Limelight Networks, Inc. 10,944 34,364 0.0%
ManTech International Corp. Class A 2,048 72,704 0.0%
Marvell Technology Group, Ltd. 166,418 2,499,598 0.1%
* Maxwell Technologies, Inc. 2,521 15,378 0.0%
Methode Electronics, Inc. 79,272 3,531,568 0.1%
* Micron Technology, Inc. 758,908 20,998,984 0.4%
* Microsemi Corp. 7,940 372,704 0.0%
MKS Instruments, Inc. 61,200 4,788,900 0.1%
# MOCON, Inc. 700 20,895 0.0%
#* ModusLink Global Solutions, Inc. 12,901 21,803 0.0%
* NCI, Inc. Class A 686 10,187 0.0%
#* NETGEAR, Inc. 428 20,180 0.0%
* Optical Cable Corp. 10,793 32,379 0.0%
* PAR Technology Corp. 12,896 110,261 0.0%
Park Electrochemical Corp. 1,642 28,439 0.0%
PC Connection, Inc. 35,467 1,019,322 0.0%
PC-Tel, Inc. 22,216 171,952 0.0%
* PCM, Inc. 10,471 263,869 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
* Photronics, Inc. 79,712 $ 916,688 0.0%
* Plexus Corp. 10,626 552,446 0.0%
#* Qorvo, Inc. 24,909 1,694,559 0.0%
QUALCOMM, Inc. 1,059,256 56,924,417 0.9%
* Rambus, Inc. 1,069 13,384 0.0%
Reis, Inc. 13,511 254,007 0.0%
Richardson Electronics, Ltd. 15,464 92,475 0.0%
* Rogers Corp. 7,543 776,476 0.0%
* Rudolph Technologies, Inc. 16,097 394,376 0.0%
* Sanmina Corp. 39,846 1,484,263 0.0%
* ScanSource, Inc. 14,745 582,427 0.0%
* ShoreTel, Inc. 3,200 20,960 0.0%
* Sonus Networks, Inc. 6,622 50,857 0.0%
# SS&C Technologies Holdings, Inc. 51,586 1,895,270 0.0%
* StarTek, Inc. 22,913 208,050 0.0%
#* SunPower Corp. 18,322 127,155 0.0%
* Super Micro Computer, Inc. 5,886 143,618 0.0%
* Sykes Enterprises, Inc. 20,292 604,905 0.0%
SYNNEX Corp. 55,900 6,061,237 0.1%
* Synopsys, Inc. 4,200 309,540 0.0%
TE Connectivity, Ltd. 132,787 10,273,730 0.2%
#* Tech Data Corp. 81,325 7,778,736 0.1%
* Telenav, Inc. 9,865 85,826 0.0%
Teradyne, Inc. 26,789 944,848 0.0%
Tessco Technologies, Inc. 8,689 121,646 0.0%
TiVo Corp. 19,000 375,250 0.0%
* TTM Technologies, Inc. 55,241 924,182 0.0%
#* Veeco Instruments, Inc. 15,978 527,274 0.0%
#* Virtusa Corp. 30,064 931,383 0.0%
# Vishay Intertechnology, Inc. 151,731 2,480,802 0.1%
* Vishay Precision Group, Inc. 16,480 283,456 0.0%
Western Digital Corp. 215,907 19,230,836 0.3%
* Xcerra Corp. 20,165 197,617 0.0%
Xerox Corp. 889,633 6,396,461 0.1%
* XO Group, Inc. 6,284 110,284 0.0%
Xperi Corp. 48,635 1,634,136 0.0%
* Yahoo!, Inc. 1,048,770 50,561,202 0.8%
------------ ----
Total Information Technology 747,805,567 11.9%
------------ ----
Materials -- (1.7%)
# A Schulman, Inc. 30,360 960,894 0.0%
Alcoa Corp. 110,583 3,729,965 0.1%
# Allegheny Technologies, Inc. 22,777 417,958 0.0%
Ampco-Pittsburgh Corp. 4,007 58,302 0.0%
Ashland Global Holdings, Inc. 112,560 13,901,160 0.2%
# Bemis Co., Inc. 24,092 1,082,454 0.0%
Cabot Corp. 46,280 2,785,593 0.1%
#* Century Aluminum Co. 15,822 215,812 0.0%
* Clearwater Paper Corp. 16,822 817,549 0.0%
Commercial Metals Co. 85,208 1,588,277 0.0%
* Core Molding Technologies, Inc. 11,847 234,334 0.0%
Domtar Corp. 8,107 321,443 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
Dow Chemical Co. (The) 11,060 $ 694,568 0.0%
Friedman Industries, Inc. 10,726 66,501 0.0%
FutureFuel Corp. 6,104 94,368 0.0%
Graphic Packaging Holding Co. 154,000 2,091,320 0.0%
Greif, Inc. Class A 4,885 286,359 0.0%
Huntsman Corp. 50,242 1,244,494 0.0%
* Ingevity Corp. 28,551 1,805,280 0.0%
International Paper Co. 22,821 1,231,649 0.0%
Kaiser Aluminum Corp. 27,181 2,294,348 0.1%
KapStone Paper and Packaging Corp. 80,984 1,707,953 0.0%
* Kraton Corp. 5,435 177,779 0.0%
* Louisiana-Pacific Corp. 173,457 4,464,783 0.1%
Martin Marietta Materials, Inc. 23,633 5,203,750 0.1%
Materion Corp. 18,497 703,811 0.0%
Mercer International, Inc. 21,725 265,045 0.0%
Minerals Technologies, Inc. 34,280 2,697,836 0.1%
Mosaic Co. (The) 17,274 465,189 0.0%
# Myers Industries, Inc. 52,892 862,140 0.0%
Neenah Paper, Inc. 7,684 602,041 0.0%
Newmont Mining Corp. 141,468 4,783,033 0.1%
* Northern Technologies International Corp. 3,035 47,194 0.0%
Nucor Corp. 83,945 5,148,347 0.1%
# Olin Corp. 69,801 2,242,706 0.0%
Olympic Steel, Inc. 9,986 225,184 0.0%
PH Glatfelter Co. 50,600 1,088,406 0.0%
PolyOne Corp. 5,174 202,872 0.0%
Reliance Steel & Aluminum Co. 93,801 7,393,395 0.1%
Schnitzer Steel Industries, Inc. Class A 400 7,560 0.0%
Sensient Technologies Corp. 38,101 3,116,662 0.1%
Steel Dynamics, Inc. 94,919 3,430,373 0.1%
* Stillwater Mining Co. 55,630 1,000,227 0.0%
* SunCoke Energy, Inc. 62,210 570,466 0.0%
#* Synalloy Corp. 5,144 66,615 0.0%
Tredegar Corp. 27,973 479,737 0.0%
Tronox, Ltd. Class A 1,600 26,416 0.0%
#* Universal Stainless & Alloy Products, Inc. 6,269 113,155 0.0%
Vulcan Materials Co. 58,246 7,040,776 0.1%
# Westlake Chemical Corp. 158,152 9,844,962 0.2%
WestRock Co. 200,591 10,743,654 0.2%
Worthington Industries, Inc. 47,320 2,058,420 0.0%
------------ ---
Total Materials 112,703,115 1.8%
------------ ---
Real Estate -- (0.1%)
Alexander & Baldwin, Inc. 66,838 3,075,216 0.1%
Griffin Industrial Realty, Inc. 1,500 45,405 0.0%
Stratus Properties, Inc. 3,069 91,610 0.0%
------------ ---
Total Real Estate 3,212,231 0.1%
------------ ---
Telecommunication Services -- (3.9%)
AT&T, Inc. 5,605,081 222,129,360 3.6%
# ATN International, Inc. 84 5,812 0.0%
# CenturyLink, Inc. 512,432 13,154,130 0.2%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Telecommunication Services -- (Continued)
# Frontier Communications Corp. 696,949 $ 1,310,264 0.0%
* General Communication, Inc. Class A 2,840 106,330 0.0%
#* Iridium Communications, Inc. 14,800 156,880 0.0%
#* Lumos Networks Corp. 500 8,955 0.0%
#* ORBCOMM, Inc. 44,499 428,970 0.0%
Spok Holdings, Inc. 12,522 224,770 0.0%
#* Sprint Corp. 422,600 3,816,078 0.1%
* T-Mobile US, Inc. 113,786 7,654,384 0.1%
Telephone & Data Systems, Inc. 111,207 3,053,744 0.0%
* United States Cellular Corp. 7,591 297,415 0.0%
* Vonage Holdings Corp. 85,934 576,617 0.0%
-------------- -----
Total Telecommunication Services 252,923,709 4.0%
-------------- -----
Utilities -- (0.0%)
#* Calpine Corp. 62,921 641,794 0.0%
Consolidated Water Co., Ltd. 6,656 78,541 0.0%
NRG Energy, Inc. 55,469 937,426 0.0%
Ormat Technologies, Inc. 20,134 1,189,114 0.0%
-------------- -----
Total Utilities 2,846,875 0.0%
-------------- -----
TOTAL COMMON STOCKS 6,247,665,394 99.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
(degrees)#* Safeway Casa Ley Contingent Value Rights 157,807 160,158 0.0%
(degrees)#* Safeway PDC, LLC Contingent Value Rights 157,807 7,701 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 167,859 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 6,247,833,253
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market
Fund, 0.680% 7,711,887 7,711,887 0.1%
-------------- -----
SECURITIES LENDING COLLATERAL -- (3.2%)
(S)@ DFA Short Term Investment Fund 17,856,512 206,653,418 3.3%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $3,653,284,037) $6,462,198,558 103.3%
============== =====
THE TAX-MANAGED U.S. MARKETWIDE 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 $1,004,834,145 $ 47,872 -- $1,004,882,017
Consumer Staples 536,190,263 -- -- 536,190,263
Energy 743,612,318 -- -- 743,612,318
Financials 1,395,450,859 -- -- 1,395,450,859
Health Care 711,981,413 -- -- 711,981,413
Industrials 736,057,027 -- -- 736,057,027
Information Technology 747,805,567 -- -- 747,805,567
Materials 112,703,115 -- -- 112,703,115
Real Estate 3,212,231 -- -- 3,212,231
Telecommunication Services 252,923,709 -- -- 252,923,709
Utilities 2,846,875 -- -- 2,846,875
Rights/Warrants -- 167,859 -- 167,859
Temporary Cash Investments 7,711,887 -- -- 7,711,887
Securities Lending Collateral -- 206,653,418 -- 206,653,418
-------------- ------------ ------ --------------
TOTAL $6,255,329,409 $206,869,149 -- $6,462,198,558
============== ============ ====== ==============
(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 Investment Group Inc.
By: /s/ Eduardo A. Repetto
------------------------------------
Eduardo A. Repetto
Director, 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 Investment Group Inc.
Date: July 7, 2017
By: /s/ David P. Butler
------------------------------------
David P. Butler
Co-Principal Executive Officer
Dimensional Investment Group Inc.
Date: July 7, 2017
By: /s/ Gregory K. Hinkle
------------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Investment Group Inc.
Date: July 7, 2017