================================================================================
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 811-7436
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THE DFA INVESTMENT TRUST COMPANY
(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
The DFA Investment Trust Company,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
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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
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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)
DFA Investment Dimensions Group Inc.
Tax-Managed U.S. Marketwide Value Portfolio
Tax-Managed U.S. Equity Portfolio
Tax-Managed U.S. Targeted Value Portfolio
Tax-Managed U.S. Small Cap Portfolio
T.A. U.S. Core Equity 2 Portfolio
Tax-Managed DFA International Value Portfolio
T.A. World ex U.S. Core Equity Portfolio
The DFA Investment Trust Company
Tax-Managed U.S. Marketwide Value Series
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
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 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............................................. 4
Schedule of Investments/Summary Schedules of Portfolio Holdings
Tax-Managed U.S. Marketwide Value Portfolio.............................. 6
Tax-Managed U.S. Equity Portfolio........................................ 7
Tax-Managed U.S. Targeted Value Portfolio................................ 10
Tax-Managed U.S. Small Cap Portfolio..................................... 13
T.A. U.S. Core Equity 2 Portfolio........................................ 16
Tax-Managed DFA International Value Portfolio............................ 19
T.A. World ex U.S. Core Equity Portfolio................................. 23
Statements of Assets and Liabilities......................................... 29
Statements of Operations..................................................... 31
Statements of Changes in Net Assets.......................................... 33
Financial Highlights......................................................... 35
Notes to Financial Statements................................................ 39
Section 19(a) Notice......................................................... 54
THE DFA INVESTMENT TRUST COMPANY - THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Disclosure of Fund Expenses.................................................. 55
Disclosure of Portfolio Holdings............................................. 56
Summary Schedule of Portfolio Holdings....................................... 57
Statement of Assets and Liabilities.......................................... 60
Statement of Operations...................................................... 61
Statements of Changes in Net Assets.......................................... 62
Financial Highlights......................................................... 63
Notes to Financial Statements................................................ 64
VOTING PROXIES ON FUND PORTFOLIO SECURITIES..................................... 71
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS.............................. 72
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
N/A Does not apply to this Fund.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
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*
--------- --------- ---------- --------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,149.70 0.37% $1.97
Hypothetical 5% Annual Return................. $1,000.00 $1,022.96 0.37% $1.86
TAX-MANAGED U.S. EQUITY PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,139.10 0.22% $1.17
Hypothetical 5% Annual Return................. $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*
--------- --------- ---------- --------
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
-----------------------------------------
Actual Fund Return............................ $1,000.00 $1,172.00 0.44% $2.37
Hypothetical 5% Annual Return................. $1,000.00 $1,022.61 0.44% $2.21
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
------------------------------------
Actual Fund Return............................ $1,000.00 $1,177.00 0.52% $2.81
Hypothetical 5% Annual Return................. $1,000.00 $1,022.22 0.52% $2.61
T.A. U.S. CORE EQUITY 2 PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,150.30 0.23% $1.23
Hypothetical 5% Annual Return................. $1,000.00 $1,023.65 0.23% $1.15
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,114.50 0.52% $2.73
Hypothetical 5% Annual Return................. $1,000.00 $1,022.22 0.52% $2.61
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,115.00 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).
3
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
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
FEEDER FUND
AFFILIATED INVESTMENT COMPANY
-----------------------------
Tax-Managed U.S. Marketwide Value Portfolio... 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
TAX-MANAGED U.S. EQUITY PORTFOLIO
Consumer Discretionary....................... 13.5%
Consumer Staples............................. 8.8%
Energy....................................... 6.1%
Financials................................... 15.0%
Health Care.................................. 13.7%
Industrials.................................. 11.2%
Information Technology....................... 22.6%
Materials.................................... 3.4%
Real Estate.................................. 0.2%
Telecommunication Services................... 2.2%
Utilities.................................... 3.3%
-----
100.0%
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 14.1%
Consumer Staples............................. 3.8%
Energy....................................... 7.0%
Financials................................... 27.3%
Health Care.................................. 5.5%
Industrials.................................. 21.6%
Information Technology....................... 12.8%
Materials.................................... 6.5%
Real Estate.................................. 0.3%
Telecommunication Services................... 0.8%
Utilities.................................... 0.3%
-----
100.0%
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Consumer Discretionary....................... 15.7%
Consumer Staples............................. 4.3%
Energy....................................... 4.5%
Financials................................... 21.7%
Health Care.................................. 7.9%
Industrials.................................. 19.8%
Information Technology....................... 15.1%
Materials.................................... 5.7%
Real Estate.................................. 0.4%
Telecommunication Services................... 1.1%
Utilities.................................... 3.8%
-----
100.0%
4
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 15.2%
Consumer Staples............................. 6.9%
Energy....................................... 5.4%
Financials................................... 19.0%
Health Care.................................. 10.8%
Industrials.................................. 14.5%
Information Technology....................... 18.6%
Materials.................................... 4.7%
Real Estate.................................. 0.4%
Telecommunication Services................... 2.6%
Utilities.................................... 1.9%
-----
100.0%
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Consumer Discretionary....................... 13.6%
Consumer Staples............................. 2.1%
Energy....................................... 14.2%
Financials................................... 33.5%
Health Care.................................. 1.8%
Industrials.................................. 9.4%
Information Technology....................... 3.2%
Materials.................................... 14.6%
Real Estate.................................. 2.3%
Telecommunication Services................... 3.8%
Utilities.................................... 1.5%
-----
100.0%
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 15.1%
Consumer Staples............................. 7.4%
Energy....................................... 6.3%
Financials................................... 18.4%
Health Care.................................. 5.1%
Industrials.................................. 16.6%
Information Technology....................... 9.4%
Materials.................................... 12.8%
Real Estate.................................. 3.1%
Telecommunication Services................... 2.9%
Utilities.................................... 2.9%
-----
100.0%
5
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series of
The DFA Investment Trust Company............................. $4,557,932,547
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $2,549,038,572)..................................... $4,557,932,547
==============
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.
6
TAX-MANAGED U.S. EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (94.5%)
Consumer Discretionary -- (12.7%)
* Amazon.com, Inc................... 52,271 $ 48,350,152 1.6%
Comcast Corp. Class A............. 611,369 23,959,551 0.8%
Home Depot, Inc. (The)............ 157,438 24,576,072 0.8%
McDonald's Corp................... 107,190 14,999,097 0.5%
* Priceline Group, Inc. (The)....... 6,433 11,880,593 0.4%
Walt Disney Co. (The)............. 193,192 22,332,995 0.8%
Other Securities.................. 258,310,951 8.4%
------------ -----
Total Consumer Discretionary.......... 404,409,411 13.3%
------------ -----
Consumer Staples -- (8.3%)
Altria Group, Inc................. 250,577 17,986,417 0.6%
Coca-Cola Co. (The)............... 520,635 22,465,400 0.7%
PepsiCo, Inc...................... 184,269 20,873,992 0.7%
Philip Morris International, Inc.. 195,465 21,665,341 0.7%
Procter & Gamble Co. (The)........ 331,775 28,973,911 1.0%
Wal-Mart Stores, Inc.............. 198,027 14,887,670 0.5%
Other Securities.................. 136,750,584 4.5%
------------ -----
Total Consumer Staples................ 263,603,315 8.7%
------------ -----
Energy -- (5.8%)
Chevron Corp...................... 246,104 26,259,297 0.9%
Exxon Mobil Corp.................. 528,602 43,160,353 1.4%
Schlumberger, Ltd................. 179,668 13,042,100 0.4%
Other Securities.................. 101,168,215 3.3%
------------ -----
Total Energy.......................... 183,629,965 6.0%
------------ -----
Financials -- (14.2%)
Bank of America Corp.............. 1,297,638 30,286,871 1.0%
* Berkshire Hathaway, Inc. Class B.. 246,121 40,661,650 1.4%
Citigroup, Inc.................... 366,966 21,695,030 0.7%
JPMorgan Chase & Co............... 463,836 40,353,732 1.3%
Wells Fargo & Co.................. 618,169 33,282,219 1.1%
Other Securities.................. 284,349,853 9.4%
------------ -----
Total Financials...................... 450,629,355 14.9%
------------ -----
Health Care -- (12.9%)
AbbVie, Inc....................... 205,939 13,579,618 0.5%
Allergan P.L.C.................... 47,018 11,465,809 0.4%
Amgen, Inc........................ 92,185 15,055,654 0.5%
Bristol-Myers Squibb Co........... 207,633 11,637,830 0.4%
* Celgene Corp...................... 98,660 12,238,773 0.4%
Johnson & Johnson................. 349,199 43,115,601 1.4%
Medtronic P.L.C................... 174,527 14,501,448 0.5%
Merck & Co., Inc.................. 353,370 22,025,552 0.7%
Pfizer, Inc....................... 767,124 26,020,846 0.9%
UnitedHealth Group, Inc........... 123,733 21,638,427 0.7%
Other Securities.................. 217,958,998 7.1%
------------ -----
Total Health Care..................... 409,238,556 13.5%
------------ -----
Industrials -- (10.6%)
3M Co............................. 76,866 15,052,669 0.5%
Boeing Co. (The).................. 75,795 14,009,190 0.5%
General Electric Co............... 1,136,991 32,961,369 1.1%
7
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Honeywell International, Inc.................................. 91,785 $ 12,036,685 0.4%
Union Pacific Corp............................................ 105,247 11,783,454 0.4%
United Technologies Corp...................................... 99,010 11,781,200 0.4%
Other Securities.............................................. 239,362,038 7.8%
-------------- ------
Total Industrials................................................... 336,986,605 11.1%
-------------- ------
Information Technology -- (21.4%)
* Alphabet, Inc. Class A........................................ 38,439 35,537,624 1.2%
* Alphabet, Inc. Class C........................................ 40,254 36,468,514 1.2%
Apple, Inc.................................................... 680,095 97,695,647 3.2%
Broadcom, Ltd................................................. 51,636 11,401,745 0.4%
Cisco Systems, Inc............................................ 641,996 21,872,804 0.7%
* Facebook, Inc. Class A........................................ 305,279 45,868,170 1.5%
Intel Corp.................................................... 612,023 22,124,631 0.7%
International Business Machines Corp.......................... 116,135 18,615,279 0.6%
Mastercard, Inc. Class A...................................... 122,789 14,282,816 0.5%
Microsoft Corp................................................ 949,929 65,032,139 2.2%
Oracle Corp................................................... 397,281 17,861,754 0.6%
# Visa, Inc. Class A............................................ 238,591 21,764,271 0.7%
Other Securities.............................................. 269,889,775 8.9%
-------------- ------
Total Information Technology........................................ 678,415,169 22.4%
-------------- ------
Materials -- (3.2%)
Other Securities.............................................. 101,202,827 3.3%
-------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 5,453,095 0.2%
-------------- ------
Telecommunication Services -- (2.1%)
AT&T, Inc..................................................... 794,531 31,487,264 1.1%
Verizon Communications, Inc................................... 524,895 24,097,929 0.8%
Other Securities.............................................. 10,208,697 0.3%
-------------- ------
Total Telecommunication Services.................................... 65,793,890 2.2%
-------------- ------
Utilities -- (3.1%)
Other Securities.............................................. 99,385,182 3.3%
-------------- ------
TOTAL COMMON STOCKS................................................. 2,998,747,370 98.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 45,906 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 2,998,793,276
--------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 30,211,367 30,211,367 1.0%
-------------- ------
SECURITIES LENDING COLLATERAL -- (4.5%)
(S)@ DFA Short Term Investment Fund................................ 12,508,803 144,764,374 4.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,648,910,248)........................................... $3,173,769,017 104.7%
============== ======
8
TAX-MANAGED U.S. 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................. $ 404,402,233 $ 7,178 -- $ 404,409,411
Consumer Staples....................... 263,603,315 -- -- 263,603,315
Energy................................. 183,629,965 -- -- 183,629,965
Financials............................. 450,629,355 -- -- 450,629,355
Health Care............................ 409,238,556 -- -- 409,238,556
Industrials............................ 336,986,605 -- -- 336,986,605
Information Technology................. 678,415,169 -- -- 678,415,169
Materials.............................. 101,202,827 -- -- 101,202,827
Real Estate............................ 5,453,095 -- -- 5,453,095
Telecommunication Services............. 65,793,890 -- -- 65,793,890
Utilities.............................. 99,385,182 -- -- 99,385,182
Rights/Warrants......................... -- 45,906 -- 45,906
Temporary Cash Investments.............. 30,211,367 -- -- 30,211,367
Securities Lending Collateral........... -- 144,764,374 -- 144,764,374
Futures Contracts**..................... 174,511 -- -- 174,511
-------------- ------------ -- --------------
TOTAL................................... $3,029,126,070 $144,817,458 -- $3,173,943,528
============== ============ == ==============
**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.
9
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (88.1%)
Consumer Discretionary -- (12.4%)
# CalAtlantic Group, Inc............................ 385,075 $ 13,947,417 0.3%
# Kohl's Corp....................................... 403,912 15,764,685 0.4%
PulteGroup, Inc................................... 1,191,748 27,016,927 0.6%
Staples, Inc...................................... 1,561,291 15,253,813 0.4%
# Toll Brothers, Inc................................ 833,225 29,987,768 0.7%
# Wendy's Co. (The)................................. 1,242,950 18,321,083 0.4%
Other Securities.................................. 489,456,048 11.2%
-------------- -----
Total Consumer Discretionary.......................... 609,747,741 14.0%
-------------- -----
Consumer Staples -- (3.3%)
Fresh Del Monte Produce, Inc...................... 253,809 15,558,492 0.4%
#* Post Holdings, Inc................................ 241,453 20,327,928 0.5%
Other Securities.................................. 127,949,898 2.9%
-------------- -----
Total Consumer Staples................................ 163,836,318 3.8%
-------------- -----
Energy -- (6.2%)
# Helmerich & Payne, Inc............................ 299,637 18,169,988 0.4%
# HollyFrontier Corp................................ 666,222 18,747,487 0.4%
# Murphy Oil Corp................................... 644,276 16,867,146 0.4%
#* Transocean, Ltd................................... 1,338,971 14,768,850 0.4%
Other Securities.................................. 233,967,549 5.4%
-------------- -----
Total Energy.......................................... 302,521,020 7.0%
-------------- -----
Financials -- (24.0%)
Allied World Assurance Co. Holdings AG............ 454,224 24,114,752 0.6%
American Financial Group, Inc..................... 294,639 28,671,321 0.7%
Assurant, Inc..................................... 319,133 30,713,360 0.7%
Assured Guaranty, Ltd............................. 448,331 17,094,861 0.4%
Axis Capital Holdings, Ltd........................ 324,451 21,381,321 0.5%
CNO Financial Group, Inc.......................... 1,201,584 25,317,375 0.6%
# Legg Mason, Inc................................... 367,311 13,730,085 0.3%
Old Republic International Corp................... 794,513 16,430,529 0.4%
PacWest Bancorp................................... 281,878 13,921,954 0.3%
# People's United Financial, Inc.................... 1,234,646 21,569,266 0.5%
# Prosperity Bancshares, Inc........................ 202,126 13,582,867 0.3%
Reinsurance Group of America, Inc................. 203,201 25,408,253 0.6%
# RenaissanceRe Holdings, Ltd....................... 149,605 21,269,343 0.5%
Validus Holdings, Ltd............................. 273,291 15,107,526 0.4%
# WR Berkley Corp................................... 223,655 15,204,067 0.4%
# Zions Bancorporation.............................. 770,717 30,851,802 0.7%
Other Securities.................................. 844,595,389 19.3%
-------------- -----
Total Financials...................................... 1,178,964,071 27.2%
-------------- -----
Health Care -- (4.8%)
#* Molina Healthcare, Inc............................ 291,138 14,495,761 0.3%
Other Securities.................................. 221,723,291 5.1%
-------------- -----
Total Health Care..................................... 236,219,052 5.4%
-------------- -----
Industrials -- (19.0%)
* AECOM............................................. 585,075 20,015,416 0.5%
AGCO Corp......................................... 272,879 17,461,527 0.4%
AMERCO............................................ 64,113 24,007,754 0.6%
#* Genesee & Wyoming, Inc. Class A................... 209,015 14,162,856 0.3%
10
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Jacobs Engineering Group, Inc................................. 506,759 $ 27,831,204 0.6%
* JetBlue Airways Corp.......................................... 1,410,800 30,797,764 0.7%
#* Kirby Corp.................................................... 191,966 13,552,800 0.3%
Owens Corning................................................. 367,806 22,380,995 0.5%
* Quanta Services, Inc.......................................... 605,602 21,462,535 0.5%
Ryder System, Inc............................................. 233,530 15,859,022 0.4%
# Trinity Industries, Inc....................................... 637,050 17,136,645 0.4%
Other Securities.............................................. 706,715,981 16.2%
-------------- ------
Total Industrials................................................... 931,384,499 21.4%
-------------- ------
Information Technology -- (11.3%)
* Arrow Electronics, Inc........................................ 414,304 29,208,432 0.7%
Avnet, Inc.................................................... 456,091 17,646,161 0.4%
* CACI International, Inc. Class A.............................. 127,408 15,034,144 0.4%
Jabil Circuit, Inc............................................ 608,732 17,665,403 0.4%
Marvell Technology Group, Ltd................................. 938,136 14,090,803 0.3%
MKS Instruments, Inc.......................................... 172,747 13,517,453 0.3%
SYNNEX Corp................................................... 181,005 19,626,372 0.5%
#* Tech Data Corp................................................ 163,716 15,659,435 0.4%
Other Securities.............................................. 412,144,735 9.4%
-------------- ------
Total Information Technology........................................ 554,592,938 12.8%
-------------- ------
Materials -- (5.8%)
Reliance Steel & Aluminum Co.................................. 236,532 18,643,452 0.4%
Steel Dynamics, Inc........................................... 585,303 21,152,850 0.5%
Other Securities.............................................. 242,960,067 5.6%
-------------- ------
Total Materials..................................................... 282,756,369 6.5%
-------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 13,940,013 0.3%
-------------- ------
Telecommunication Services -- (0.7%)
Other Securities.............................................. 34,745,675 0.8%
-------------- ------
Utilities -- (0.3%)
Other Securities.............................................. 14,132,186 0.3%
-------------- ------
TOTAL COMMON STOCKS................................................. 4,322,839,882 99.5%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 4,322,839,882
--------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 22,664,542 22,664,542 0.5%
-------------- ------
SECURITIES LENDING COLLATERAL -- (11.4%)
(S)@ DFA Short Term Investment Fund................................ 48,558,611 561,968,800 13.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,145,616,131)........................................... $4,907,473,224 113.0%
============== ======
11
TAX-MANAGED 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................. $ 609,539,961 $ 207,780 -- $ 609,747,741
Consumer Staples....................... 163,836,318 -- -- 163,836,318
Energy................................. 302,521,020 -- -- 302,521,020
Financials............................. 1,178,964,071 -- -- 1,178,964,071
Health Care............................ 236,219,052 -- -- 236,219,052
Industrials............................ 931,384,499 -- -- 931,384,499
Information Technology................. 554,592,938 -- -- 554,592,938
Materials.............................. 282,756,369 -- -- 282,756,369
Real Estate............................ 13,940,013 -- -- 13,940,013
Telecommunication Services............. 34,745,675 -- -- 34,745,675
Utilities.............................. 14,132,186 -- -- 14,132,186
Temporary Cash Investments.............. 22,664,542 -- -- 22,664,542
Securities Lending Collateral........... -- 561,968,800 -- 561,968,800
-------------- ------------ -- --------------
TOTAL................................... $4,345,296,644 $562,176,580 -- $4,907,473,224
============== ============ == ==============
See accompanying Notes to Financial Statements.
12
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (83.0%)
Consumer Discretionary -- (13.0%)
#* Grand Canyon Education, Inc..... 78,329 $ 5,887,208 0.2%
# Papa John's International, Inc.. 84,897 6,711,957 0.3%
Thor Industries, Inc............ 67,583 6,500,133 0.2%
Other Securities................ 400,207,156 14.9%
------------ -----
Total Consumer Discretionary........ 419,306,454 15.6%
------------ -----
Consumer Staples -- (3.6%)
# National Beverage Corp.......... 81,150 7,189,078 0.3%
Other Securities................ 107,939,896 4.0%
------------ -----
Total Consumer Staples.............. 115,128,974 4.3%
------------ -----
Energy -- (3.8%)
# Patterson-UTI Energy, Inc....... 258,733 5,600,276 0.2%
Other Securities................ 116,091,776 4.3%
------------ -----
Total Energy........................ 121,692,052 4.5%
------------ -----
Financials -- (18.0%)
Aspen Insurance Holdings, Ltd... 107,094 5,606,371 0.2%
Associated Banc-Corp............ 252,334 6,283,117 0.2%
BancorpSouth, Inc............... 203,866 6,207,720 0.2%
Cathay General Bancorp.......... 196,272 7,468,150 0.3%
CNO Financial Group, Inc........ 336,171 7,083,123 0.3%
# First Horizon National Corp..... 360,615 6,617,285 0.3%
FNB Corp........................ 510,840 7,274,362 0.3%
Fulton Financial Corp........... 353,155 6,515,710 0.2%
Hancock Holding Co.............. 121,742 5,685,351 0.2%
# Home BancShares, Inc............ 237,604 6,047,022 0.2%
Hope Bancorp, Inc............... 309,896 5,674,196 0.2%
# Primerica, Inc.................. 81,641 6,841,516 0.3%
PrivateBancorp, Inc............. 127,334 7,356,085 0.3%
ProAssurance Corp............... 98,470 6,095,293 0.2%
# Sterling Bancorp................ 292,357 6,797,300 0.3%
TCF Financial Corp.............. 354,252 5,848,701 0.2%
UMB Financial Corp.............. 77,529 5,620,077 0.2%
# United Bankshares, Inc.......... 162,418 6,480,478 0.2%
Valley National Bancorp......... 555,117 6,528,176 0.2%
Washington Federal, Inc......... 213,015 7,178,605 0.3%
# Webster Financial Corp.......... 144,207 7,327,158 0.3%
Wintrust Financial Corp......... 82,462 5,843,257 0.2%
Other Securities................ 438,081,332 16.3%
------------ -----
Total Financials.................... 580,460,385 21.6%
------------ -----
Health Care -- (6.6%)
Cantel Medical Corp............. 83,217 6,192,177 0.2%
Hill-Rom Holdings, Inc.......... 87,296 6,603,069 0.3%
* Masimo Corp..................... 68,195 7,006,354 0.3%
* Prestige Brands Holdings, Inc... 110,081 6,319,750 0.2%
Other Securities................ 186,274,686 6.9%
------------ -----
Total Health Care................... 212,396,036 7.9%
------------ -----
Industrials -- (16.4%)
#* Dycom Industries, Inc........... 72,056 7,613,437 0.3%
EMCOR Group, Inc................ 92,777 6,099,160 0.2%
13
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
EnerSys....................................................... 68,976 $ 5,732,595 0.2%
#* Hawaiian Holdings, Inc........................................ 116,041 6,301,026 0.2%
Regal Beloit Corp............................................. 76,789 6,054,813 0.2%
Timken Co. (The).............................................. 121,901 5,881,723 0.2%
Other Securities.............................................. 491,285,601 18.4%
-------------- ------
Total Industrials................................................... 528,968,355 19.7%
-------------- ------
Information Technology -- (12.5%)
* Advanced Energy Industries, Inc............................... 84,224 6,215,731 0.2%
#* Cirrus Logic, Inc............................................. 125,945 8,104,561 0.3%
* Coherent, Inc................................................. 39,417 8,498,305 0.3%
Fair Isaac Corp............................................... 47,990 6,501,685 0.2%
MKS Instruments, Inc.......................................... 93,116 7,286,327 0.3%
# Monolithic Power Systems, Inc................................. 65,929 6,032,503 0.2%
SYNNEX Corp................................................... 51,712 5,607,132 0.2%
#* Tech Data Corp................................................ 67,291 6,436,384 0.2%
Other Securities.............................................. 348,254,376 13.1%
-------------- ------
Total Information Technology........................................ 402,937,004 15.0%
-------------- ------
Materials -- (4.7%)
Sensient Technologies Corp.................................... 73,966 6,050,419 0.2%
# United States Steel Corp...................................... 315,227 7,035,867 0.3%
Other Securities.............................................. 139,022,125 5.2%
-------------- ------
Total Materials..................................................... 152,108,411 5.7%
-------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 11,851,145 0.5%
-------------- ------
Telecommunication Services -- (0.9%)
Other Securities.............................................. 30,319,437 1.1%
-------------- ------
Utilities -- (3.1%)
New Jersey Resources Corp..................................... 145,601 5,875,000 0.2%
Southwest Gas Holdings, Inc................................... 70,456 5,901,395 0.2%
# WGL Holdings, Inc............................................. 82,214 6,779,366 0.3%
Other Securities.............................................. 83,022,627 3.1%
-------------- ------
Total Utilities..................................................... 101,578,388 3.8%
-------------- ------
TOTAL COMMON STOCKS................................................. 2,676,746,641 99.7%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 2,676,746,641
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 6,486,660 6,486,660 0.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (16.8%)
(S)@ DFA Short Term Investment Fund................................ 46,734,380 540,856,986 20.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,018,794,683)........................................... $3,224,090,287 120.1%
============== ======
14
TAX-MANAGED 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................. $ 419,183,495 $ 122,959 -- $ 419,306,454
Consumer Staples....................... 115,128,974 -- -- 115,128,974
Energy................................. 121,692,052 -- -- 121,692,052
Financials............................. 580,460,385 -- -- 580,460,385
Health Care............................ 212,396,036 -- -- 212,396,036
Industrials............................ 528,968,355 -- -- 528,968,355
Information Technology................. 402,937,004 -- -- 402,937,004
Materials.............................. 152,108,411 -- -- 152,108,411
Real Estate............................ 11,851,145 -- -- 11,851,145
Telecommunication Services............. 30,319,437 -- -- 30,319,437
Utilities.............................. 101,578,388 -- -- 101,578,388
Temporary Cash Investments.............. 6,486,660 -- -- 6,486,660
Securities Lending Collateral........... -- 540,856,986 -- 540,856,986
-------------- ------------ -- --------------
TOTAL................................... $2,683,110,342 $540,979,945 -- $3,224,090,287
============== ============ == ==============
See accompanying Notes to Financial Statements.
15
T.A. U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (89.6%)
Consumer Discretionary -- (13.6%)
* Amazon.com, Inc......................... 41,906 $ 38,762,631 0.5%
* Charter Communications, Inc. Class A.... 76,071 26,256,666 0.4%
Comcast Corp. Class A................... 2,060,356 80,745,352 1.1%
Ford Motor Co........................... 1,604,855 18,407,687 0.3%
General Motors Co....................... 614,834 21,297,850 0.3%
Lowe's Cos., Inc........................ 216,161 18,347,746 0.3%
Time Warner, Inc........................ 259,315 25,742,200 0.4%
Walt Disney Co. (The)................... 365,590 42,262,204 0.6%
Other Securities........................ 843,494,653 11.3%
-------------- -----
Total Consumer Discretionary................ 1,115,316,989 15.2%
-------------- -----
Consumer Staples -- (6.1%)
Coca-Cola Co. (The)..................... 484,883 20,922,701 0.3%
CVS Health Corp......................... 339,252 27,967,935 0.4%
Mondelez International, Inc. Class A.... 418,428 18,841,813 0.3%
Procter & Gamble Co. (The).............. 458,732 40,061,066 0.6%
Wal-Mart Stores, Inc.................... 646,740 48,621,913 0.7%
Walgreens Boots Alliance, Inc........... 285,393 24,697,910 0.3%
Other Securities........................ 320,929,916 4.2%
-------------- -----
Total Consumer Staples...................... 502,043,254 6.8%
-------------- -----
Energy -- (4.9%)
Chevron Corp............................ 426,870 45,547,029 0.6%
Exxon Mobil Corp........................ 943,449 77,032,611 1.1%
Schlumberger, Ltd....................... 268,580 19,496,222 0.3%
Other Securities........................ 257,119,792 3.4%
-------------- -----
Total Energy................................ 399,195,654 5.4%
-------------- -----
Financials -- (17.0%)
American Express Co..................... 259,492 20,564,741 0.3%
Bank of America Corp.................... 2,292,857 53,515,282 0.7%
* Berkshire Hathaway, Inc. Class B........ 159,711 26,385,854 0.4%
Citigroup, Inc.......................... 618,174 36,546,447 0.5%
Goldman Sachs Group, Inc. (The)......... 92,294 20,655,397 0.3%
JPMorgan Chase & Co..................... 1,040,250 90,501,750 1.2%
U.S. Bancorp............................ 445,407 22,840,471 0.3%
Wells Fargo & Co........................ 1,359,402 73,190,204 1.0%
Other Securities........................ 1,050,188,914 14.2%
-------------- -----
Total Financials............................ 1,394,389,060 18.9%
-------------- -----
Health Care -- (9.6%)
Abbott Laboratories..................... 436,158 19,033,935 0.3%
Amgen, Inc.............................. 109,613 17,901,995 0.3%
Johnson & Johnson....................... 426,273 52,631,927 0.7%
Medtronic P.L.C......................... 231,378 19,225,198 0.3%
Merck & Co., Inc........................ 600,469 37,427,233 0.5%
Pfizer, Inc............................. 1,584,515 53,746,749 0.7%
UnitedHealth Group, Inc................. 234,939 41,086,132 0.6%
Other Securities........................ 548,779,424 7.3%
-------------- -----
Total Health Care........................... 789,832,593 10.7%
-------------- -----
Industrials -- (13.0%)
FedEx Corp.............................. 96,271 18,262,609 0.3%
16
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
General Electric Co........................................... 1,383,002 $ 40,093,228 0.6%
Union Pacific Corp............................................ 237,535 26,594,419 0.4%
United Technologies Corp...................................... 294,265 35,014,592 0.5%
Other Securities.............................................. 945,366,530 12.7%
-------------- ------
Total Industrials................................................... 1,065,331,378 14.5%
-------------- ------
Information Technology -- (16.7%)
* Alphabet, Inc. Class A........................................ 34,523 31,917,204 0.4%
* Alphabet, Inc. Class C........................................ 36,168 32,766,761 0.5%
Apple, Inc.................................................... 1,125,427 161,667,589 2.2%
Cisco Systems, Inc............................................ 1,672,490 56,981,734 0.8%
* Facebook, Inc. Class A........................................ 197,065 29,609,016 0.4%
Intel Corp.................................................... 1,852,635 66,972,755 0.9%
* Micron Technology, Inc........................................ 649,261 17,965,052 0.3%
Microsoft Corp................................................ 1,187,445 81,292,485 1.1%
Oracle Corp................................................... 481,175 21,633,628 0.3%
QUALCOMM, Inc................................................. 467,869 25,143,280 0.4%
# Visa, Inc. Class A............................................ 285,324 26,027,255 0.4%
Other Securities.............................................. 815,061,932 10.9%
-------------- ------
Total Information Technology........................................ 1,367,038,691 18.6%
-------------- ------
Materials -- (4.2%)
Dow Chemical Co. (The)........................................ 290,047 18,214,952 0.3%
Other Securities.............................................. 328,999,939 4.4%
-------------- ------
Total Materials..................................................... 347,214,891 4.7%
-------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 29,740,484 0.4%
-------------- ------
Telecommunication Services -- (2.4%)
AT&T, Inc..................................................... 2,748,800 108,934,944 1.5%
Verizon Communications, Inc................................... 830,314 38,119,716 0.5%
Other Securities.............................................. 45,227,376 0.6%
-------------- ------
Total Telecommunication Services.................................... 192,282,036 2.6%
-------------- ------
Utilities -- (1.7%)
Other Securities.............................................. 138,067,723 1.9%
-------------- ------
TOTAL COMMON STOCKS................................................. 7,340,452,753 99.7%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 118,267 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 7,340,571,020
--------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund,
0.680%....................................................... 30,660,931 30,660,931 0.4%
-------------- ------
SECURITIES LENDING COLLATERAL -- (10.0%)
(S)@ DFA Short Term Investment Fund................................ 71,256,698 824,653,765 11.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,146,013,476)........................................... $8,195,885,716 111.3%
============== ======
17
T.A. 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................. $1,115,243,514 $ 73,475 -- $1,115,316,989
Consumer Staples....................... 502,043,254 -- -- 502,043,254
Energy................................. 399,195,654 -- -- 399,195,654
Financials............................. 1,394,389,060 -- -- 1,394,389,060
Health Care............................ 789,832,593 -- -- 789,832,593
Industrials............................ 1,065,331,378 -- -- 1,065,331,378
Information Technology................. 1,367,038,691 -- -- 1,367,038,691
Materials.............................. 347,214,891 -- -- 347,214,891
Real Estate............................ 29,740,484 -- -- 29,740,484
Telecommunication Services............. 192,282,036 -- -- 192,282,036
Utilities.............................. 138,067,723 -- -- 138,067,723
Rights/Warrants......................... -- 118,267 -- 118,267
Temporary Cash Investments.............. 30,660,931 -- -- 30,660,931
Securities Lending Collateral........... -- 824,653,765 -- 824,653,765
-------------- ------------ -- --------------
TOTAL................................... $7,371,040,209 $824,845,507 -- $8,195,885,716
============== ============ == ==============
See accompanying Notes to Financial Statements.
18
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (98.0%)
AUSTRALIA -- (6.4%)
Australia & New Zealand Banking Group,
Ltd.................................... 1,911,673 $ 46,795,802 1.4%
BHP Billiton, Ltd....................... 1,783,876 31,760,009 0.9%
# BHP Billiton, Ltd. Sponsored ADR........ 593,811 21,139,672 0.6%
Woodside Petroleum, Ltd................. 864,632 20,812,962 0.6%
Other Securities........................ 97,774,935 2.9%
------------ -----
TOTAL AUSTRALIA............................. 218,283,380 6.4%
------------ -----
AUSTRIA -- (0.1%)
Other Securities........................ 3,792,076 0.1%
------------ -----
BELGIUM -- (1.1%)
Other Securities........................ 36,120,019 1.1%
------------ -----
CANADA -- (8.0%)
Bank of Montreal........................ 550,366 38,993,431 1.1%
Manulife Financial Corp................. 827,157 14,506,530 0.4%
Suncor Energy, Inc...................... 1,023,634 32,080,193 0.9%
Other Securities........................ 187,024,525 5.5%
------------ -----
TOTAL CANADA................................ 272,604,679 7.9%
------------ -----
DENMARK -- (1.8%)
Vestas Wind Systems A.S................. 201,250 17,316,865 0.5%
Other Securities........................ 44,778,966 1.3%
------------ -----
TOTAL DENMARK............................... 62,095,831 1.8%
------------ -----
FINLAND -- (0.9%)
Other Securities........................ 32,423,369 0.9%
------------ -----
FRANCE -- (10.1%)
AXA SA.................................. 584,162 15,585,516 0.5%
BNP Paribas SA.......................... 733,922 51,798,147 1.5%
Cie de Saint-Gobain..................... 270,899 14,616,850 0.4%
Engie SA................................ 1,220,619 17,210,777 0.5%
Orange SA............................... 1,778,494 27,526,350 0.8%
Renault SA.............................. 253,272 23,617,898 0.7%
Societe Generale SA..................... 590,348 32,370,351 0.9%
Total SA................................ 1,648,530 84,624,314 2.5%
Other Securities........................ 78,269,664 2.2%
------------ -----
TOTAL FRANCE................................ 345,619,867 10.0%
------------ -----
GERMANY -- (7.4%)
Allianz SE.............................. 217,369 41,382,188 1.2%
Bayerische Motoren Werke AG............. 291,133 27,815,358 0.8%
Daimler AG.............................. 787,995 58,716,883 1.7%
Other Securities........................ 126,865,456 3.7%
------------ -----
TOTAL GERMANY............................... 254,779,885 7.4%
------------ -----
HONG KONG -- (2.7%)
CK Hutchison Holdings, Ltd.............. 1,836,848 22,937,244 0.7%
Other Securities........................ 70,570,019 2.0%
------------ -----
TOTAL HONG KONG............................. 93,507,263 2.7%
------------ -----
19
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (0.3%)
Other Securities........................ $ 10,885,290 0.3%
------------ -----
ISRAEL -- (0.4%)
Other Securities........................ 14,149,452 0.4%
------------ -----
ITALY -- (1.6%)
* UniCredit SpA........................... 1,284,976 20,922,604 0.6%
Other Securities........................ 32,665,971 1.0%
------------ -----
TOTAL ITALY................................. 53,588,575 1.6%
------------ -----
JAPAN -- (21.7%)
Hitachi, Ltd............................ 3,678,000 20,318,625 0.6%
Honda Motor Co., Ltd.................... 1,240,000 36,091,014 1.1%
Mitsubishi UFJ Financial Group, Inc..... 4,778,634 30,280,259 0.9%
Mizuho Financial Group, Inc............. 16,891,000 30,875,547 0.9%
Nissan Motor Co., Ltd................... 1,904,600 18,142,400 0.5%
Sumitomo Electric Industries, Ltd....... 887,900 14,501,133 0.4%
Sumitomo Mitsui Financial Group, Inc.... 900,727 33,444,546 1.0%
Toyota Motor Corp....................... 604,188 32,699,110 1.0%
Other Securities........................ 527,221,682 15.2%
------------ -----
TOTAL JAPAN................................. 743,574,316 21.6%
------------ -----
NETHERLANDS -- (3.0%)
ING Groep NV............................ 1,774,374 28,921,455 0.8%
Koninklijke DSM NV...................... 211,171 15,111,017 0.4%
Other Securities........................ 60,016,631 1.8%
------------ -----
TOTAL NETHERLANDS........................... 104,049,103 3.0%
------------ -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 4,017,647 0.1%
------------ -----
NORWAY -- (0.6%)
Other Securities........................ 21,268,802 0.6%
------------ -----
PORTUGAL -- (0.0%)
Other Securities........................ 1,309,353 0.0%
------------ -----
SINGAPORE -- (1.0%)
Other Securities........................ 32,474,513 1.0%
------------ -----
SPAIN -- (3.1%)
Banco Santander SA...................... 10,587,957 69,000,887 2.0%
Other Securities........................ 37,759,032 1.1%
------------ -----
TOTAL SPAIN................................. 106,759,919 3.1%
------------ -----
SWEDEN -- (2.7%)
Nordea Bank AB.......................... 2,293,526 28,207,647 0.8%
Other Securities........................ 62,935,451 1.9%
------------ -----
TOTAL SWEDEN................................ 91,143,098 2.7%
------------ -----
SWITZERLAND -- (7.7%)
Cie Financiere Richemont SA............. 336,422 28,110,911 0.8%
Novartis AG............................. 401,115 30,879,864 0.9%
Swatch Group AG (The)................... 39,176 15,673,085 0.4%
Swiss Re AG............................. 347,731 30,245,398 0.9%
20
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
UBS Group AG............................ 1,117,685 $ 19,079,817 0.5%
Zurich Insurance Group AG............... 123,852 34,274,586 1.0%
Other Securities........................ 104,366,161 3.1%
-------------- -----
TOTAL SWITZERLAND............................. 262,629,822 7.6%
-------------- -----
UNITED KINGDOM -- (17.3%)
* Anglo American P.L.C.................... 1,223,422 17,516,281 0.5%
BP P.L.C. Sponsored ADR................. 2,938,940 100,864,430 2.9%
* Glencore P.L.C.......................... 10,231,265 40,210,285 1.2%
HSBC Holdings P.L.C..................... 3,071,541 25,328,901 0.7%
HSBC Holdings P.L.C. Sponsored ADR...... 1,612,652 66,392,883 1.9%
Lloyds Banking Group P.L.C.............. 47,069,745 42,293,344 1.2%
Royal Dutch Shell P.L.C. Sponsored ADR,
Class A................................ 1,312,566 68,502,806 2.0%
# Royal Dutch Shell P.L.C. Sponsored ADR,
Class B................................ 1,146,218 62,033,318 1.8%
Vodafone Group P.L.C.................... 23,523,365 60,587,710 1.8%
Vodafone Group P.L.C. Sponsored ADR..... 653,411 17,112,824 0.5%
Other Securities........................ 93,913,226 2.8%
-------------- -----
TOTAL UNITED KINGDOM.......................... 594,756,008 17.3%
-------------- -----
TOTAL COMMON STOCKS........................... 3,359,832,267 97.6%
-------------- -----
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG........................... 155,108 24,622,884 0.7%
Other Securities........................ 7,191,864 0.2%
-------------- -----
TOTAL GERMANY................................. 31,814,748 0.9%
-------------- -----
TOTAL PREFERRED STOCKS........................ 31,814,748 0.9%
-------------- -----
TOTAL INVESTMENT SECURITIES................... 3,391,647,015
--------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (1.1%)
(S)@ DFA Short Term Investment Fund.......... 3,189,534 36,912,476 1.1%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,191,835,717)....................... $3,428,559,491 99.6%
============== =====
21
TAX-MANAGED DFA INTERNATIONAL 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.............................. $ 23,350,385 $ 194,932,995 -- $ 218,283,380
Austria................................ -- 3,792,076 -- 3,792,076
Belgium................................ -- 36,120,019 -- 36,120,019
Canada................................. 272,604,679 -- -- 272,604,679
Denmark................................ -- 62,095,831 -- 62,095,831
Finland................................ -- 32,423,369 -- 32,423,369
France................................. 9,862,727 335,757,140 -- 345,619,867
Germany................................ 27,582,666 227,197,219 -- 254,779,885
Hong Kong.............................. -- 93,507,263 -- 93,507,263
Ireland................................ 5,378,847 5,506,443 -- 10,885,290
Israel................................. 934,357 13,215,095 -- 14,149,452
Italy.................................. 3,645,636 49,942,939 -- 53,588,575
Japan.................................. 13,253,924 730,320,392 -- 743,574,316
Netherlands............................ 7,697,901 96,351,202 -- 104,049,103
New Zealand............................ -- 4,017,647 -- 4,017,647
Norway................................. 1,386,626 19,882,176 -- 21,268,802
Portugal............................... -- 1,309,353 -- 1,309,353
Singapore.............................. -- 32,474,513 -- 32,474,513
Spain.................................. 13,366 106,746,553 -- 106,759,919
Sweden................................. -- 91,143,098 -- 91,143,098
Switzerland............................ 13,564,225 249,065,597 -- 262,629,822
United Kingdom......................... 341,871,131 252,884,877 -- 594,756,008
Preferred Stocks
Germany................................ -- 31,814,748 -- 31,814,748
Securities Lending Collateral........... -- 36,912,476 -- 36,912,476
Futures Contracts**..................... 627,312 -- -- 627,312
------------ -------------- -- --------------
TOTAL................................... $721,773,782 $2,707,413,021 -- $3,429,186,803
============ ============== == ==============
**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
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (97.1%)
AUSTRALIA -- (4.5%)
Australia & New Zealand Banking Group,
Ltd..................................... 218,548 $ 5,349,832 0.2%
BHP Billiton, Ltd........................ 328,023 5,840,100 0.2%
Commonwealth Bank of Australia........... 63,713 4,161,345 0.2%
Macquarie Group, Ltd..................... 70,545 4,900,552 0.2%
National Australia Bank, Ltd............. 208,492 5,291,972 0.2%
Westpac Banking Corp..................... 208,931 5,477,075 0.2%
Other Securities......................... 99,670,988 3.4%
------------ ----
TOTAL AUSTRALIA............................... 130,691,864 4.6%
------------ ----
AUSTRIA -- (0.5%)
Other Securities......................... 13,816,316 0.5%
------------ ----
BELGIUM -- (1.1%)
Anheuser-Busch InBev SA/NV............... 41,726 4,705,455 0.2%
KBC Group NV............................. 56,694 4,097,098 0.2%
Other Securities......................... 22,583,531 0.7%
------------ ----
TOTAL BELGIUM................................. 31,386,084 1.1%
------------ ----
BRAZIL -- (1.4%)
Other Securities......................... 40,157,530 1.4%
------------ ----
CANADA -- (6.1%)
Royal Bank of Canada..................... 69,446 4,755,662 0.2%
Toronto-Dominion Bank (The).............. 92,478 4,351,388 0.2%
Other Securities......................... 166,956,170 5.8%
------------ ----
TOTAL CANADA.................................. 176,063,220 6.2%
------------ ----
CHILE -- (0.3%)
Other Securities......................... 8,923,034 0.3%
------------ ----
CHINA -- (6.1%)
China Construction Bank Corp. Class H.... 12,259,200 9,950,342 0.4%
Industrial & Commercial Bank of China,
Ltd. Class H............................ 10,068,460 6,563,283 0.3%
Tencent Holdings, Ltd.................... 150,500 4,715,665 0.2%
Other Securities......................... 154,499,639 5.3%
------------ ----
TOTAL CHINA................................... 175,728,929 6.2%
------------ ----
COLOMBIA -- (0.1%)
Other Securities......................... 2,236,281 0.1%
------------ ----
CZECH REPUBLIC -- (0.0%)
Other Securities......................... 803,084 0.0%
------------ ----
DENMARK -- (1.3%)
Other Securities......................... 37,630,643 1.3%
------------ ----
EGYPT -- (0.0%)
Other Securities......................... 161,687 0.0%
------------ ----
FINLAND -- (1.3%)
UPM-Kymmene Oyj.......................... 210,965 5,558,225 0.2%
Other Securities......................... 32,881,917 1.2%
------------ ----
TOTAL FINLAND................................. 38,440,142 1.4%
------------ ----
23
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
FRANCE -- (5.5%)
BNP Paribas SA................................ 91,698 $ 6,471,787 0.2%
Cie de Saint-Gobain........................... 82,244 4,437,625 0.2%
Cie Generale des Etablissements Michelin...... 36,347 4,754,226 0.2%
Orange SA..................................... 278,939 4,317,233 0.2%
Total SA...................................... 219,419 11,263,479 0.4%
Other Securities.............................. 125,931,815 4.3%
------------ -----
TOTAL FRANCE....................................... 157,176,165 5.5%
------------ -----
GERMANY -- (5.1%)
Allianz SE.................................... 26,834 5,108,592 0.2%
BASF SE....................................... 97,349 9,483,636 0.4%
Bayerische Motoren Werke AG................... 57,820 5,524,224 0.2%
Daimler AG.................................... 140,117 10,440,718 0.4%
Deutsche Telekom AG........................... 235,891 4,137,715 0.2%
Fresenius SE & Co. KGaA....................... 58,466 4,743,361 0.2%
Other Securities.............................. 107,478,230 3.6%
------------ -----
TOTAL GERMANY...................................... 146,916,476 5.2%
------------ -----
GREECE -- (0.1%)
Other Securities.............................. 2,195,265 0.1%
------------ -----
HONG KONG -- (2.2%)
AIA Group, Ltd................................ 729,000 5,045,726 0.2%
Other Securities.............................. 59,281,356 2.1%
------------ -----
TOTAL HONG KONG.................................... 64,327,082 2.3%
------------ -----
HUNGARY -- (0.1%)
Other Securities.............................. 2,465,146 0.1%
------------ -----
INDIA -- (2.9%)
Other Securities.............................. 81,993,865 2.9%
------------ -----
INDONESIA -- (0.7%)
Other Securities.............................. 18,580,572 0.7%
------------ -----
IRELAND -- (0.4%)
Other Securities.............................. 10,526,415 0.4%
------------ -----
ISRAEL -- (0.5%)
Other Securities.............................. 15,082,250 0.5%
------------ -----
ITALY -- (2.0%)
Other Securities.............................. 57,986,268 2.0%
------------ -----
JAPAN -- (16.9%)
Hitachi, Ltd.................................. 727,000 4,016,215 0.2%
Honda Motor Co., Ltd.......................... 146,500 4,263,979 0.2%
Sumitomo Mitsui Financial Group, Inc.......... 110,183 4,091,162 0.2%
Toyota Motor Corp............................. 191,273 10,351,839 0.4%
Toyota Motor Corp. Sponsored ADR.............. 41,028 4,436,768 0.2%
Other Securities.............................. 460,759,596 15.9%
------------ -----
TOTAL JAPAN........................................ 487,919,559 17.1%
------------ -----
MALAYSIA -- (0.7%)
Other Securities.............................. 19,867,267 0.7%
------------ -----
24
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MEXICO -- (0.9%)
Other Securities................... $ 27,200,503 1.0%
------------ ----
NETHERLANDS -- (2.1%)
Akzo Nobel NV...................... 49,804 4,355,962 0.2%
Koninklijke Ahold Delhaize NV...... 233,772 4,842,645 0.2%
Koninklijke DSM NV................. 65,323 4,674,397 0.2%
Other Securities................... 45,553,917 1.5%
------------ ----
TOTAL NETHERLANDS...................... 59,426,921 2.1%
------------ ----
NEW ZEALAND -- (0.4%)
Other Securities................... 10,482,000 0.4%
------------ ----
NORWAY -- (0.6%)
Other Securities................... 17,957,540 0.6%
------------ ----
PERU -- (0.0%)
Other Securities................... 553,288 0.0%
------------ ----
PHILIPPINES -- (0.3%)
Other Securities................... 8,960,343 0.3%
------------ ----
POLAND -- (0.4%)
Other Securities................... 11,327,880 0.4%
------------ ----
PORTUGAL -- (0.2%)
Other Securities................... 5,800,168 0.2%
------------ ----
RUSSIA -- (0.3%)
Other Securities................... 8,082,357 0.3%
------------ ----
SINGAPORE -- (0.8%)
Other Securities................... 24,147,859 0.8%
------------ ----
SOUTH AFRICA -- (1.8%)
Other Securities................... 51,167,643 1.8%
------------ ----
SOUTH KOREA -- (4.0%)
Samsung Electronics Co., Ltd....... 5,671 11,117,567 0.4%
Samsung Electronics Co., Ltd. GDR.. 8,033 7,882,343 0.3%
Other Securities................... 97,036,105 3.4%
------------ ----
TOTAL SOUTH KOREA...................... 116,036,015 4.1%
------------ ----
SPAIN -- (1.8%)
Banco Bilbao Vizcaya Argentaria SA. 503,967 4,037,593 0.2%
Banco Santander SA................. 899,796 5,863,900 0.2%
Other Securities................... 42,906,440 1.5%
------------ ----
TOTAL SPAIN............................ 52,807,933 1.9%
------------ ----
SWEDEN -- (2.2%)
Other Securities................... 63,987,893 2.2%
------------ ----
SWITZERLAND -- (4.9%)
ABB, Ltd........................... 219,337 5,374,689 0.2%
Nestle SA.......................... 261,736 20,159,027 0.7%
Novartis AG Sponsored ADR.......... 117,451 9,047,251 0.3%
Roche Holding AG................... 19,398 5,075,764 0.2%
25
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
* Syngenta AG............................. 10,331 $ 4,801,160 0.2%
Other Securities........................ 96,392,253 3.3%
-------------- -----
TOTAL SWITZERLAND........................... 140,850,144 4.9%
-------------- -----
TAIWAN -- (3.8%)
Other Securities........................ 108,860,670 3.8%
-------------- -----
THAILAND -- (0.6%)
Other Securities........................ 18,434,496 0.6%
-------------- -----
TURKEY -- (0.3%)
Other Securities........................ 9,406,898 0.3%
-------------- -----
UNITED KINGDOM -- (11.9%)
BP P.L.C. Sponsored ADR................. 480,156 16,478,957 0.6%
HSBC Holdings P.L.C. Sponsored ADR...... 191,029 7,864,664 0.3%
Rio Tinto P.L.C. Sponsored ADR.......... 113,958 4,537,808 0.2%
Royal Dutch Shell P.L.C. Class A........ 168,853 4,384,835 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR,
Class A................................ 171,159 8,932,775 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR,
Class B................................ 149,242 8,076,977 0.3%
Other Securities........................ 292,272,358 10.1%
-------------- -----
TOTAL UNITED KINGDOM........................ 342,548,374 12.0%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities........................ 502,287 0.0%
-------------- -----
TOTAL COMMON STOCKS......................... 2,799,616,356 98.3%
-------------- -----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.6%)
Other Securities........................ 15,863,128 0.6%
-------------- -----
CHILE -- (0.0%)
Other Securities........................ 74,088 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities........................ 428,091 0.0%
-------------- -----
GERMANY -- (0.3%)
Volkswagen AG........................... 28,562 4,534,123 0.2%
Other Securities........................ 5,354,528 0.1%
-------------- -----
TOTAL GERMANY............................... 9,888,651 0.3%
-------------- -----
INDIA -- (0.0%)
Other Securities........................ 40,550 0.0%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities........................ 1,587 0.0%
-------------- -----
TOTAL PREFERRED STOCKS...................... 26,296,095 0.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities........................ 4,074 0.0%
-------------- -----
ITALY -- (0.0%)
Other Securities........................ 3,493 0.0%
-------------- -----
26
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (0.0%)
Other Securities........................ $ 12,582 0.0%
-------------- ------
PHILIPPINES -- (0.0%)
Other Securities........................ 1,962 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities........................ 1,814 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities........................ 9,419 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities........................ 4,477 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities........................ 111,673 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS......................... 149,494 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES................... 2,826,061,945
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (2.0%)
(S)@ DFA Short Term Investment Fund.......... 4,865,722 56,311,005 2.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,385,579,035)....................... $2,882,372,950 101.2%
============== ======
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...... $ 2,181,675 $128,510,189 -- $130,691,864
Austria........ -- 13,816,316 -- 13,816,316
Belgium........ 1,091,492 30,294,592 -- 31,386,084
Brazil......... 40,157,530 -- -- 40,157,530
Canada......... 176,063,220 -- -- 176,063,220
Chile.......... 3,000,270 5,922,764 -- 8,923,034
China.......... 20,438,735 155,290,194 -- 175,728,929
Colombia....... 2,236,281 -- -- 2,236,281
Czech Republic. -- 803,084 -- 803,084
Denmark........ 805,318 36,825,325 -- 37,630,643
Egypt.......... -- 161,687 -- 161,687
Finland........ 21,375 38,418,767 -- 38,440,142
France......... 3,707,763 153,468,402 -- 157,176,165
Germany........ 7,810,251 139,106,225 -- 146,916,476
Greece......... -- 2,195,265 -- 2,195,265
Hong Kong...... 262,368 64,064,714 -- 64,327,082
Hungary........ -- 2,465,146 -- 2,465,146
India.......... 2,032,138 79,961,727 -- 81,993,865
Indonesia...... 397,686 18,182,886 -- 18,580,572
Ireland........ 2,501,613 8,024,802 -- 10,526,415
Israel......... 3,224,119 11,858,131 -- 15,082,250
Italy.......... 2,065,387 55,920,881 -- 57,986,268
27
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Japan............................. $ 13,124,072 $ 474,795,487 -- $ 487,919,559
Malaysia.......................... -- 19,867,267 -- 19,867,267
Mexico............................ 27,200,503 -- -- 27,200,503
Netherlands....................... 10,004,270 49,422,651 -- 59,426,921
New Zealand....................... 33,242 10,448,758 -- 10,482,000
Norway............................ 720,171 17,237,369 -- 17,957,540
Peru.............................. 553,288 -- -- 553,288
Philippines....................... 167,678 8,792,665 -- 8,960,343
Poland............................ -- 11,327,880 -- 11,327,880
Portugal.......................... -- 5,800,168 -- 5,800,168
Russia............................ 947,006 7,135,351 -- 8,082,357
Singapore......................... -- 24,147,859 -- 24,147,859
South Africa...................... 5,611,641 45,556,002 -- 51,167,643
South Korea....................... 5,794,947 110,241,068 -- 116,036,015
Spain............................. 4,203,625 48,604,308 -- 52,807,933
Sweden............................ 587,345 63,400,548 -- 63,987,893
Switzerland....................... 19,152,159 121,697,985 -- 140,850,144
Taiwan............................ 4,284,251 104,576,419 -- 108,860,670
Thailand.......................... 18,398,000 36,496 -- 18,434,496
Turkey............................ 80,124 9,326,774 -- 9,406,898
United Kingdom.................... 76,765,432 265,782,942 -- 342,548,374
United States..................... -- 502,287 -- 502,287
Preferred Stocks
Brazil............................ 15,863,128 -- -- 15,863,128
Chile............................. -- 74,088 -- 74,088
Colombia.......................... 428,091 -- -- 428,091
Germany........................... -- 9,888,651 -- 9,888,651
India............................. 862 39,688 -- 40,550
United Kingdom.................... -- 1,587 -- 1,587
Rights/Warrants
Brazil............................ -- 4,074 -- 4,074
Italy............................. -- 3,493 -- 3,493
Malaysia.......................... -- 12,582 -- 12,582
Philippines....................... -- 1,962 -- 1,962
South Korea....................... -- 1,814 -- 1,814
Taiwan............................ -- 9,419 -- 9,419
Thailand.......................... -- 4,477 -- 4,477
United Kingdom.................... -- 111,673 -- 111,673
Securities Lending Collateral...... -- 56,311,005 -- 56,311,005
------------ -------------- -- --------------
TOTAL.............................. $471,917,056 $2,410,455,894 -- $2,882,372,950
============ ============== == ==============
See accompanying Notes to Financial Statements.
28
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE TAX-MANAGED U.S. TARGETED TAX-MANAGED
VALUE U.S. EQUITY VALUE U.S. SMALL
PORTFOLIO PORTFOLIO* PORTFOLIO* CAP PORTFOLIO*
--------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Company at
Value................................................... $ 4,557,933 -- -- --
Investments at Value (including $0, $209,341,
$722,989 and $628,473 of securities on loan,
respectively)........................................... -- $ 2,998,793 $ 4,322,840 $ 2,676,747
Temporary Cash Investments at Value & Cost............... -- 30,211 22,665 6,487
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $0, $144,766, $561,872
and $540,763)........................................... -- 144,764 561,969 540,857
Segregated Cash for Futures Contracts.................... -- 1,025 -- --
Cash..................................................... -- 31 3,510 1,239
Receivables:
Investment Securities/Affiliated Investment
Company Sold.......................................... -- 1 9,496 2,333
Dividends, Interest and Tax Reclaims................... -- 2,662 1,126 693
Securities Lending Income.............................. -- 53 167 212
Fund Shares Sold....................................... 1,555 1,121 1,389 562
Prepaid Expenses and Other Assets........................ 38 35 54 39
-------------- -------------- -------------- --------------
Total Assets........................................ 4,559,526 3,178,696 4,923,216 3,229,169
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... -- 144,711 561,822 540,744
Investment Securities/Affiliated Investment
Company Purchased..................................... -- 1,860 17,561 2,715
Fund Shares Redeemed................................... 757 742 721 576
Due to Advisor......................................... 555 498 1,482 1,085
Futures Margin Variation............................... -- 57 -- --
Accrued Expenses and Other Liabilities................... 171 215 269 167
-------------- -------------- -------------- --------------
Total Liabilities................................... 1,483 148,083 581,855 545,287
-------------- -------------- -------------- --------------
NET ASSETS............................................... $ 4,558,043 $ 3,030,613 $ 4,341,361 $ 2,683,882
============== ============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).................. 158,688,952 117,064,148 121,840,140 64,762,221
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE.............................. $ 28.72 $ 25.89 $ 35.63 $ 41.44
============== ============== ============== ==============
Investments in Affiliated Investment Company at
Cost.................................................... $ 2,549,039 $ -- $ -- $ --
-------------- -------------- -------------- --------------
Investments at Cost...................................... $ -- $ 1,473,934 $ 2,561,079 $ 1,471,544
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 2,444,887 $ 1,718,616 $ 2,403,508 $ 1,403,165
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 6,526 3,182 1,451 688
Accumulated Net Realized Gain (Loss)..................... 97,736 (216,217) 174,544 74,732
Net Unrealized Appreciation (Depreciation)............... 2,008,894 1,525,032 1,761,858 1,205,297
-------------- -------------- -------------- --------------
NET ASSETS............................................... $ 4,558,043 $ 3,030,613 $ 4,341,361 $ 2,683,882
============== ============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 1,700,000,000 1,500,000,000
============== ============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
29
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED
DFA T.A. WORLD EX
T.A. U.S. CORE INTERNATIONAL U.S. CORE
EQUITY 2 VALUE EQUITY
PORTFOLIO* PORTFOLIO PORTFOLIO*
-------------- -------------- --------------
ASSETS:
Investments at Value (including $1,046,906, $35,755 and $81,870 of
securities on loan, respectively)........................................... $ 7,340,571 $ 3,391,647 $ 2,826,062
Temporary Cash Investments at Value & Cost................................... 30,661 -- --
Collateral from Securities on Loan Invested in Affiliate at Value (including
cost of $824,493, $36,907 and $56,304)...................................... 824,654 36,912 56,311
Segregated Cash for Futures Contracts........................................ -- 1,109 --
Foreign Currencies at Value.................................................. -- 7,063 3,794
Cash......................................................................... 778 26,736 8,303
Receivables:
Investment Securities Sold................................................. 87 -- 1,739
Dividends, Interest and Tax Reclaims....................................... 5,688 16,233 9,996
Securities Lending Income.................................................. 248 79 228
Fund Shares Sold........................................................... 3,300 1,370 2,127
Unrealized Gain on Foreign Currency Transactions............................. -- -- 2
Prepaid Expenses and Other Assets............................................ 95 62 38
-------------- -------------- --------------
Total Assets............................................................ 8,206,082 3,481,211 2,908,600
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................... 824,497 36,901 56,297
Investment Securities Purchased............................................ 11,198 -- 3,536
Fund Shares Redeemed....................................................... 1,678 898 635
Due to Advisor............................................................. 1,312 1,383 805
Futures Margin Variation................................................... -- 54 --
Unrealized Loss on Foreign Currency Transactions............................. -- -- 1
Accrued Expenses and Other Liabilities....................................... 344 246 226
-------------- -------------- --------------
Total Liabilities....................................................... 839,029 39,482 61,500
-------------- -------------- --------------
NET ASSETS................................................................... $ 7,367,053 $ 3,441,729 $ 2,847,100
============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)...................................... 450,607,045 233,029,190 274,276,111
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE....................................................................... $ 16.35 $ 14.77 $ 10.38
============== ============== ==============
Investments at Cost.......................................................... $ 4,290,859 $ 3,154,929 $ 2,329,275
============== ============== ==============
Foreign Currencies at Cost................................................... $ -- $ 7,117 $ 3,799
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.............................................................. $ 4,291,649 $ 3,276,505 $ 2,392,400
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).......................................................... 7,751 22,412 13,592
Accumulated Net Realized Gain (Loss)......................................... 17,780 (94,499) (55,688)
Net Unrealized Foreign Exchange Gain (Loss).................................. -- 15 7
Net Unrealized Appreciation (Depreciation)................................... 3,049,873 237,296 496,789
-------------- -------------- --------------
NET ASSETS................................................................... $ 7,367,053 $ 3,441,729 $ 2,847,100
============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED.............................................. 2,000,000,000 1,700,000,000 1,500,000,000
============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
30
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE TAX-MANAGED U.S. TARGETED TAX-MANAGED
VALUE U.S. EQUITY VALUE U.S. SMALL
PORTFOLIO* PORTFOLIO# PORTFOLIO# CAP PORTFOLIO#
--------------- ----------- ------------- --------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated
Investment Company:
Dividends (Net of Foreign Taxes Withheld of $2, $0, $0
and $0, respectively).................................. $ 48,332 -- -- --
Income from Securities Lending.......................... 205 -- -- --
Expenses Allocated from Affiliated Investment
Company................................................ (4,621) -- -- --
-------- -------- -------- --------
Total Net Investment Income Received from
Affiliated Investment Company....................... 43,916 -- -- --
-------- -------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $2, $8
and $4, respectively).................................. -- $ 27,338 $ 31,041 $ 17,829
Income from Securities Lending.......................... -- 357 956 1,070
-------- -------- -------- --------
Total Investment Income.............................. -- 27,695 31,997 18,899
-------- -------- -------- --------
FUND EXPENSES
Investment Management Fees.............................. 7,675 2,861 8,897 6,462
Accounting & Transfer Agent Fees........................ 24 81 123 77
Custodian Fees.......................................... -- 16 24 15
Filing Fees............................................. 32 29 45 30
Shareholders' Reports................................... 36 20 34 24
Directors'/Trustees' Fees & Expenses.................... 21 14 21 13
Professional Fees....................................... 4 21 31 19
Other................................................... 11 41 59 37
-------- -------- -------- --------
Total Expenses....................................... 7,803 3,083 9,234 6,677
-------- -------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)............................................... (4,386) 65 -- --
-------- -------- -------- --------
Net Expenses............................................ 3,417 3,148 9,234 6,677
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS)............................ 40,499 24,547 22,763 12,222
-------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.......................... 98,115 15,403 175,346 76,162
Futures............................................... 56 1,673 1,430 294
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................. 461,598 325,504 451,236 318,291
Futures............................................... 1 682 -- --
-------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................. 559,770 343,262 628,012 394,747
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................... $600,269 $367,809 $650,775 $406,969
======== ======== ======== ========
----------
* 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.
31
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
DFA T.A. WORLD EX
T.A. U.S. CORE INTERNATIONAL U.S. CORE
EQUITY 2 VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $13, $4,467 and $3,038,
respectively)#...................................................... $ 61,814 $ 51,211 $ 30,388
Income from Securities Lending....................................... 1,456 430 1,170
-------- -------- --------
Total Investment Income........................................... 63,270 51,641 31,558
-------- -------- --------
FUND EXPENSES
Investment Management Fees........................................... 7,627 8,015 4,720
Accounting & Transfer Agent Fees..................................... 189 102 81
Custodian Fees....................................................... 42 138 265
Filing Fees.......................................................... 62 59 38
Shareholders' Reports................................................ 37 36 24
Directors'/Trustees' Fees & Expenses................................. 34 15 12
Professional Fees.................................................... 49 29 48
Other................................................................ 95 60 53
-------- -------- --------
Total Expenses.................................................... 8,135 8,454 5,241
-------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... -- -- (41)
Fees Paid Indirectly (Note C)........................................ -- (98) (34)
-------- -------- --------
Net Expenses......................................................... 8,135 8,356 5,166
-------- -------- --------
NET INVESTMENT INCOME (LOSS)......................................... 55,135 43,285 26,392
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................... 19,487 12,656 299
Futures............................................................ -- 1,501 --
Foreign Currency Transactions...................................... -- (1,277) (302)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 865,303 289,600 259,429
Futures............................................................ -- 1,427 --
Translation of Foreign Currency Denominated Amounts................ -- 397 174
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 884,790 304,304 259,600
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $939,925 $347,589 $285,992
======== ======== ========
----------
**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
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S. TAX-MANAGED TAX-MANAGED
MARKETWIDE U.S. EQUITY U.S. TARGETED
VALUE 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)............. $ 40,499 $ 73,162 $ 24,547 $ 47,494 $ 22,763 $ 42,145
Net Realized Gain (Loss) on:
Investment Securities Sold/Affiliated
Investment Company Sold*............... 98,115 137,584 15,403 88,808 175,346 126,974
Futures................................. 56 4,341 1,673 1,284 1,430 4,185
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/Affiliated
Investment Company..................... 461,598 (108,432) 325,504 (30,585) 451,236 (81,804)
Futures................................. 1 -- 682 (507) -- --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................ 600,269 106,655 367,809 106,494 650,775 91,500
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income.................... (39,603) (72,925) (25,773) (48,479) (21,898) (43,827)
Net Long-Term Gains...................... (101,284) -- -- -- (127,982) (128,578)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (140,887) (72,925) (25,773) (48,479) (149,880) (172,405)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................ 251,974 604,274 192,269 373,342 233,798 699,094
Shares Issued in Lieu of Cash
Distributions........................... 139,228 71,818 25,067 46,609 148,547 170,363
Shares Redeemed.......................... (305,016) (558,218) (165,198) (335,680) (315,181) (685,722)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions............ 86,186 117,874 52,138 84,271 67,164 183,735
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................ 545,568 151,604 394,174 142,286 568,059 102,830
NET ASSETS
Beginning of Period...................... 4,012,475 3,860,871 2,636,439 2,494,153 3,773,302 3,670,472
---------- ---------- ---------- ---------- ---------- ----------
End of Period............................ $4,558,043 $4,012,475 $3,030,613 $2,636,439 $4,341,361 $3,773,302
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................ 8,983 24,749 7,717 17,067 6,637 24,009
Shares Issued in Lieu of Cash
Distributions........................... 4,964 2,864 1,001 2,081 4,153 5,626
Shares Redeemed.......................... (10,868) (22,805) (6,633) (15,202) (8,868) (23,205)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed.............................. 3,079 4,808 2,085 3,946 1,922 6,430
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)........................ $ 6,526 $ 5,630 $ 3,182 $ 4,408 $ 1,451 $ 586
TAX-MANAGED
U.S. SMALL
CAP PORTFOLIO
----------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2017 2016
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............. $ 12,222 $ 22,649
Net Realized Gain (Loss) on:
Investment Securities Sold/Affiliated
Investment Company Sold*............... 76,162 54,458
Futures................................. 294 259
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/Affiliated
Investment Company..................... 318,291 9,515
Futures................................. -- --
---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................ 406,969 86,881
---------- ----------
Distributions From:
Net Investment Income.................... (12,081) (22,742)
Net Long-Term Gains...................... (54,088) (94,181)
---------- ----------
Total Distributions.................... (66,169) (116,923)
---------- ----------
Capital Share Transactions (1):
Shares Issued............................ 158,884 416,890
Shares Issued in Lieu of Cash
Distributions........................... 65,205 114,492
Shares Redeemed.......................... (177,701) (394,954)
---------- ----------
Net Increase (Decrease) from
Capital Share Transactions............ 46,388 136,428
---------- ----------
Total Increase (Decrease) in Net
Assets................................ 387,188 106,386
NET ASSETS
Beginning of Period...................... 2,296,694 2,190,308
---------- ----------
End of Period............................ $2,683,882 $2,296,694
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................ 3,921 12,370
Shares Issued in Lieu of Cash
Distributions........................... 1,582 3,318
Shares Redeemed.......................... (4,362) (11,643)
---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed.............................. 1,141 4,045
========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)........................ $ 688 $ 547
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
33
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
T.A. U.S. CORE EQUITY 2 TAX-MANAGED DFA T.A. WORLD EX U.S. CORE
PORTFOLIO INTERNATIONAL VALUE PORTFOLIO EQUITY PORTFOLIO
----------------------- ---------------------------- ----------------------
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)............ $ 55,135 $ 105,500 $ 43,285 $ 92,980 $ 26,392 $ 56,403
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 19,487 (4,863) 12,656 (82,213) 299 (25,607)
Futures............................... -- 5,040 1,501 2,620 -- --
Foreign Currency Transactions......... -- -- (1,277) 434 (302) 344
Forward Currency Contracts............ -- -- -- (20) -- 6
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 865,303 119,407 289,600 (19,773) 259,429 50,075
Futures............................... -- -- 1,427 (800) -- --
Translation of Foreign Currency
Denominated Amounts.................. -- -- 397 (301) 174 (113)
---------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 939,925 225,084 347,589 (7,073) 285,992 81,108
---------- ----------- ---------- ----------- ---------- ----------
Distributions From:
Net Investment Income................... (57,087) (104,283) (28,486) (92,814) (19,148) (56,154)
Net Long-Term Gains..................... (231) (166) -- -- -- --
---------- ----------- ---------- ----------- ---------- ----------
Total Distributions.................. (57,318) (104,449) (28,486) (92,814) (19,148) (56,154)
---------- ----------- ---------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................... 624,590 1,468,327 293,029 1,176,415 331,542 917,900
Shares Issued in Lieu of Cash
Distributions.......................... 56,921 103,804 28,213 91,799 19,055 55,965
Shares Redeemed......................... (416,337) (1,022,647) (203,641) (1,158,233) (177,689) (715,784)
---------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.......... 265,174 549,484 117,601 109,981 172,908 258,081
---------- ----------- ---------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 1,147,781 670,119 436,704 10,094 439,752 283,035
NET ASSETS
Beginning of Period..................... 6,219,272 5,549,153 3,005,025 2,994,931 2,407,348 2,124,313
---------- ----------- ---------- ----------- ---------- ----------
End of Period........................... $7,367,053 $ 6,219,272 $3,441,729 $ 3,005,025 $2,847,100 $2,407,348
========== =========== ========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 39,396 108,691 20,730 94,213 34,240 104,147
Shares Issued in Lieu of Cash
Distributions.......................... 3,559 7,436 1,994 7,334 1,985 6,257
Shares Redeemed......................... (26,354) (75,853) (14,481) (92,625) (18,507) (82,262)
---------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed.......... 16,601 40,274 8,243 8,922 17,718 28,142
========== =========== ========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)....................... $ 7,751 $ 9,703 $ 22,412 $ 7,613 $ 13,592 $ 6,348
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $1,
respectively.
See accompanying Notes to Financial Statements.
34
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE 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........................ $ 25.79 $ 25.60 $ 25.33 $ 22.35 $ 16.76 $ 14.42
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
-
Net Investment Income
(Loss) (A).................. 0.26 0.47 0.43 0.35 0.32 0.28
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 3.57 0.19 0.25 2.98 5.60 2.33
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 3.83 0.66 0.68 3.33 5.92 2.61
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income........ (0.25) (0.47) (0.41) (0.35) (0.33) (0.27)
Net Realized Gains........... (0.65) -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.90) (0.47) (0.41) (0.35) (0.33) (0.27)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 28.72 $ 25.79 $ 25.60 $ 25.33 $ 22.35 $ 16.76
=============================== =========== ========== ========== ========== ========== ==========
Total Return................... 14.97%(C) 2.66% 2.73% 14.98% 35.71% 18.34%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $4,558,043 $4,012,475 $3,860,871 $3,664,174 $3,110,436 $2,345,296
Ratio of Expenses to Average
Net Assets.................... 0.37%(B)(D) 0.37%(B) 0.37%(B) 0.37%(B) 0.37%(B) 0.38%(B)
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)......... 0.57%(B)(D) 0.57%(B) 0.43%(B) 0.37%(B) 0.37%(B) 0.38%(B)
Ratio of Net Investment Income
to Average Net Assets......... 1.85%(D) 1.90% 1.65% 1.45% 1.66% 1.83%
Portfolio Turnover Rate........ N/A N/A N/A N/A N/A N/A
-----------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED U.S. 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........................ $ 22.93 $ 22.46 $ 21.89 $ 19.20 $ 15.16 $ 13.48
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
-
Net Investment Income
(Loss) (A).................. 0.21 0.42 0.40 0.34 0.32 0.27
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 2.97 0.48 0.56 2.69 4.05 1.67
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 3.18 0.90 0.96 3.03 4.37 1.94
----------------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income........ (0.22) (0.43) (0.39) (0.34) (0.33) (0.26)
Net Realized Gains........... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.22) (0.43) (0.39) (0.34) (0.33) (0.26)
----------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 25.89 $ 22.93 $ 22.46 $ 21.89 $ 19.20 $ 15.16
=============================== =========== ========== ========== ========== ========== ==========
Total Return................... 13.91%(C) 4.05% 4.47% 15.89% 29.15% 14.57%
----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $3,030,613 $2,636,439 $2,494,153 $2,311,451 $1,991,461 $1,522,411
Ratio of Expenses to Average
Net Assets.................... 0.22%(D) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)......... 0.22%(D) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income
to Average Net Assets......... 1.72%(D) 1.87% 1.79% 1.66% 1.89% 1.87%
Portfolio Turnover Rate........ 1%(C) 4% 1% 2% 3% 7%
----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. TARGETED 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...... $ 31.47 $ 32.34 $ 33.34 $ 31.06 $ 22.89 $ 20.02
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.19 0.36 0.39 0.26 0.33 0.21
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 5.22 0.28 0.16 3.11 8.69 2.85
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 5.41 0.64 0.55 3.37 9.02 3.06
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.18) (0.37) (0.37) (0.27) (0.34) (0.19)
Net Realized Gains...................... (1.07) (1.14) (1.18) (0.82) (0.51) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (1.25) (1.51) (1.55) (1.09) (0.85) (0.19)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 35.63 $ 31.47 $ 32.34 $ 33.34 $ 31.06 $ 22.89
========================================== =========== ========== ========== ========== ========== ==========
Total Return.............................. 17.20%(C) 2.21% 1.89% 11.10% 40.60% 15.39%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $4,341,361 $3,773,302 $3,670,472 $3,572,307 $3,201,053 $2,378,567
Ratio of Expenses to Average Net
Assets................................... 0.44%(D) 0.44% 0.44% 0.43% 0.44% 0.44%
Ratio of Net Investment Income to Average
Net Assets............................... 1.07%(D) 1.17% 1.19% 0.80% 1.24% 0.98%
Portfolio Turnover Rate................... 9%(C) 20% 14% 7% 6% 12%
----------------------------------------------------------------------------------------------------------------------
TAX-MANAGED 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...... $ 36.10 $ 36.77 $ 36.99 $ 34.31 $ 24.93 $ 22.07
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.19 0.36 0.36 0.25 0.35 0.21
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 6.19 0.92 0.45 2.69 9.40 2.85
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 6.38 1.28 0.81 2.94 9.75 3.06
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.19) (0.37) (0.34) (0.26) (0.37) (0.20)
Net Realized Gains...................... (0.85) (1.58) (0.69) -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (1.04) (1.95) (1.03) (0.26) (0.37) (0.20)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 41.44 $ 36.10 $ 36.77 $ 36.99 $ 34.31 $ 24.93
========================================== =========== ========== ========== ========== ========== ==========
Total Return.............................. 17.70%(C) 3.75% 2.31% 8.58% 39.55% 13.95%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $2,683,882 $2,296,694 $2,190,308 $2,092,558 $1,872,935 $1,331,266
Ratio of Expenses to Average Net
Assets................................... 0.52%(D) 0.52% 0.52% 0.52% 0.52% 0.53%
Ratio of Net Investment Income to Average
Net Assets............................... 0.95%(D) 1.04% 0.96% 0.70% 1.20% 0.90%
Portfolio Turnover Rate................... 6%(C) 10% 8% 7% 7% 17%
---------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. U.S. CORE EQUITY 2 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............................. $ 14.33 $ 14.09 $ 14.21 $ 12.78 $ 9.75 $ 8.63 $ 13.37
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
-
Net Investment Income
(Loss) (A)....................... 0.12 0.25 0.24 0.20 0.19 0.16 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 2.03 0.24 0.05 1.55 3.04 1.11 1.33
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 2.15 0.49 0.29 1.75 3.23 1.27 1.52
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income............. (0.13) (0.25) (0.23) (0.20) (0.19) (0.15) (0.12)
Net Realized Gains................ -- -- (0.18) (0.12) (0.01) -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.13) (0.25) (0.41) (0.32) (0.20) (0.15) (0.12)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 16.35 $ 14.33 $ 14.09 $ 14.21 $ 12.78 $ 9.75 $ 14.77
=================================== =========== ========== ========== ========== ========== ========== ===========
Total Return........................ 15.03%(C) 3.55% 2.14% 13.88% 33.58% 14.82% 11.45%(C)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $7,367,053 $6,219,272 $5,549,153 $5,056,211 $4,103,753 $2,853,234 $3,441,729
Ratio of Expenses to Average Net
Assets............................. 0.23%(D) 0.24% 0.24% 0.24% 0.24% 0.24% 0.52%(D)
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor and Fees Paid
Indirectly)........................ 0.23%(D) 0.24% 0.24% 0.24% 0.24% 0.24% 0.53%(D)
Ratio of Net Investment Income to
Average Net Assets................. 1.59%(D) 1.82% 1.65% 1.51% 1.72% 1.71% 2.70%(D)
Portfolio Turnover Rate............. 1%(C) 7% 7% 7% 2% 6% 8%(C)
-------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013 2012
---------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................. $ 13.87 $ 15.17 $ 15.99 $ 12.91 $ 12.99
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
-
Net Investment Income
(Loss) (A)....................... 0.42 0.44 0.66 0.39 0.42
Net Gains (Losses) on Securities
(Realized and Unrealized)........ (0.50) (1.32) (0.83) 3.09 (0.10)
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... (0.08) (0.88) (0.17) 3.48 0.32
---------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income............. (0.42) (0.41) (0.65) (0.40) (0.40)
Net Realized Gains................ -- (0.01) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.42) (0.42) (0.65) (0.40) (0.40)
---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 13.37 $ 13.87 $ 15.17 $ 15.99 $ 12.91
=================================== ========== ========== ========== ========== ==========
Total Return........................ (0.30)% (5.93)% (1.29)% 27.39% 2.77%
---------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $3,005,025 $2,994,931 $2,977,257 $2,758,384 $1,971,388
Ratio of Expenses to Average Net
Assets............................. 0.53% 0.53% 0.53% 0.53% 0.55%
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor and Fees Paid
Indirectly)........................ 0.53% 0.53% 0.53% 0.53% 0.55%
Ratio of Net Investment Income to
Average Net Assets................. 3.32% 2.99% 4.13% 2.70% 3.32%
Portfolio Turnover Rate............. 18% 25% 13% 12% 18%
---------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. WORLD EX U.S. 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...... $ 9.38 $ 9.30 $ 9.94 $ 10.25 $ 8.56 $ 8.39
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......... 0.10 0.23 0.24 0.28 0.23 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.97 0.08 (0.65) (0.30) 1.70 0.16
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 1.07 0.31 (0.41) (0.02) 1.93 0.39
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................... (0.07) (0.23) (0.23) (0.27) (0.24) (0.22)
Net Realized Gains....................... -- -- -- (0.02) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.07) (0.23) (0.23) (0.29) (0.24) (0.22)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 10.38 $ 9.38 $ 9.30 $ 9.94 $ 10.25 $ 8.56
========================================= =========== ========== ========== ========== ========== ==========
Total Return.............................. 11.50%(C) 3.48% (4.15)% (0.25)% 22.88% 4.90%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $2,847,100 $2,407,348 $2,124,313 $1,995,500 $1,725,895 $1,240,607
Ratio of Expenses to Average Net Assets... 0.41%(D) 0.45% 0.45% 0.45% 0.46% 0.49%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid
Indirectly).............................. 0.41%(D) 0.45% 0.45% 0.45% 0.46% 0.49%
Ratio of Net Investment Income to Average
Net Assets............................... 2.07%(D) 2.57% 2.42% 2.71% 2.45% 2.77%
Portfolio Turnover Rate................... 2%(C) 7% 5% 8% 2% 3%
-----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
38
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, seven of which (the "Portfolios"), are included in this
section of the report. The remaining eighty-nine portfolios are presented in
separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946,
"Financial Services-Investment Companies."
Tax-Managed U.S. Marketwide Value Portfolio (the "Feeder Fund") primarily
invests its assets in The Tax-Managed U.S. Marketwide Value Series (the
"Series"), a corresponding series of The DFA Investment Trust Company. At
April 30, 2017, the Feeder Fund owned 73% of its Series.
The financial statements of the Series are included elsewhere in this report
and should be read in conjunction with the financial statements of the Feeder
Fund.
Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value
Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2
Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S.
Core Equity Portfolio each invests directly in securities.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S.
Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, and T.A. U.S.
Core Equity 2 Portfolio (the "Domestic Equity Portfolios") and Tax-Managed DFA
International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio (the
"International Equity Portfolios"), including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Domestic Equity Portfolios and the International Equity
Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
the Domestic Equity Portfolios and the International Equity Portfolios value
the securities within the range of the most recent quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is
39
primarily traded. Generally, securities issued by open-end management
investment companies are valued using their respective net asset values or
public offering prices, as appropriate, for purchase orders placed at the close
of the New York Stock Exchange (NYSE). These securities are generally
categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of Directors of
the Fund has determined that movements in relevant indices or other appropriate
market indicators, after the close of the Tokyo Stock Exchange or the London
Stock Exchange, demonstrate that market quotations may be unreliable. Fair
valuation of portfolio securities may occur on a daily basis. The fair value
pricing by the International Equity Portfolios utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the International Equity
Portfolios use fair value pricing, the values assigned to the foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
as Level 2 in the hierarchy.
Futures contracts held by the Portfolios are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy.
Tax-Managed U.S. Marketwide Value Portfolio's investment reflects its
proportionate interest in the net assets of the Series. These valuations are
classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings (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. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Equity Portfolios whose values are initially
expressed in foreign currencies are translated to U.S. dollars using the mean
between the most recent bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked-to-market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized.
40
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/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 and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Expenses directly attributable
to a Portfolio are directly charged. Common expenses of the Fund or the
Portfolios are allocated using methods approved by the Board, generally based
on average net assets.
The Feeder Fund recognizes its pro-rata share of net investment income and
realized and unrealized gains/losses of investment securities, on a daily
basis, from its Series, which is treated as a partnership for federal income
tax purposes.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is a deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
T.A. World ex U.S. Core Equity Portfolio is subject to a 15% tax on
short-term capital gains for investments in India. Such taxes are due upon sale
of individual securities. The capital gains taxes are recognized when the
capital gains are earned.
41
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:
INVESTMENT
MANAGEMENT FEES
- ---------------
Tax-Managed U.S. Marketwide Value Portfolio... 0.35%
Tax-Managed U.S. Equity Portfolio............. 0.20%
Tax-Managed U.S. Targeted Value Portfolio..... 0.42%
Tax-Managed U.S. Small Cap Portfolio.......... 0.50%
T.A. U.S. Core Equity 2 Portfolio............. 0.22%
Tax-Managed DFA International Value Portfolio. 0.50%
T.A. World ex U.S. Core Equity Portfolio (1).. 0.37%
(1) Effective February 28, 2017, the T.A. World ex U.S. Core Equity
Portfolio's investment management fee was reduced from 0.40% to 0.32%.
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees and in certain instances, assume certain expenses of the
Tax-Managed U.S. Equity Portfolio, T.A. U.S. Core Equity 2 Portfolio, and T.A.
World ex U.S. Core Equity Portfolio, as described in the notes below. The Fee
Waiver Agreement for the Portfolios below will remain in effect through
February 28, 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. Pursuant to a
Fee Waiver Agreement with the Feeder Fund, the Advisor has contractually agreed
to waive certain management fees paid by the Feeder Fund, as described in the
notes below. The Fee Waiver Agreement with the Feeder Fund will remain in
effect permanently, unless terminated by the Fund. For the six months ended
April 30, 2017, the Portfolios listed had expense limits based on a percentage
of average net assets on an annualized basis, and the Advisor recovered
previously waived fees and/or expenses assumed as listed below (amounts in
thousands). Previously waived fees subject to future recovery by the Advisor
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
listed, is not obligated to reimburse the Advisor for fees previously waived or
expenses previously assumed by the Advisor more than thirty-six months before
the date of recovery.
NET WAIVED FEES/
PREVIOUSLY EXPENSES ASSUMED
RECOVERY WAIVED FEES/ (RECOVERED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED PREVIOUSLY WAIVED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE FEES/EXPENSES
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY ASSUMED)
-------------------------- ---------- ---------------- ----------------- -----------------
Tax-Managed U.S. Marketwide
Value Portfolio (1).......... 0.35% -- -- $4,386
Tax-Managed U.S. Equity
Portfolio (2)................ 0.22% $74 $16 (65)
T.A. U.S. Core Equity 2
Portfolio (3)................ 0.30% -- -- --
T.A. World ex U.S. Core Equity
Portfolio (4)................ 0.39% -- 41 41
(1) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Feeder Fund to
the extent necessary to limit the total management fees paid to the Advisor by
the Feeder Fund, including the proportionate share of the management fees the
Feeder Fund pays indirectly through its investment in other funds managed by
the Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund (the
"Money Market
42
Series"), to the rate listed above as a percentage of the average net assets of
a class of the Feeder Fund on an annualized basis.
(2) The Advisor has contractually agreed to waive its management fee and
assume the ordinary operating expenses of a class of the Tax-Managed U.S.
Equity Portfolio (excluding the expenses that the Portfolio incurs indirectly
through investment in other investment companies) ("Portfolio Expenses") to the
extent necessary to reduce the expenses of a class of the Portfolio when its
total operating expenses exceed the rate listed above as a percentage of the
average net assets of a class of the Portfolio on an annualized basis (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of the Portfolio are less than the Expense Limitation Amount for a class
of the Portfolio, the Advisor retains the right to recover any fees previously
waived and/or any expenses previously assumed to the extent that such recovery
will not cause the annualized Portfolio Expenses for such class of shares of
the Portfolio to exceed the Expense Limitation Amount.
(3) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of the
T.A. U.S. Core Equity 2 Portfolio (excluding the expenses that the Portfolio
incurs indirectly through investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a class
of the Portfolio to the rate listed above as a percentage of the average net
assets of a class of the Portfolio on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of a class of the
Portfolio are less than the Expense Limitation Amount for such class of shares
of the Portfolio, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery will
not cause the annualized Portfolio Expenses for such class of shares of the
Portfolio to exceed the applicable Expense Limitation Amount.
(4) The Advisor has agreed to waive all or a portion of its management fee
and to assume the expenses of a class of the T.A. World ex U.S. Core Equity
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in the 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 the average net assets of a class of the Portfolio on an
annualized basis (the "Expense Limitation Amount"). Prior to January 1, 2017,
the Expense Limitation Amount was 0.60% 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 a class of the Portfolio, the Advisor retains the right to recover
any fees previously waived and/or expenses previously assumed to the extent
that such recovery will not cause the annualized Portfolio Expenses for such
class of shares of the Portfolio to exceed the Expense Limitation Amount.
EARNED INCOME CREDIT:
In addition, certain Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of each Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the six months ended April 30, 2017, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
Tax-Managed DFA International Value Portfolio. $98
T.A. World ex U.S. Core Equity Portfolio...... 34
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 to the
CCO by the Fund were $150 (in thousands). The total related amounts paid by
each of the Portfolios are included in Other Expenses on the Statement of
Operations.
43
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):
Tax-Managed U.S. Marketwide Value Portfolio... $116
Tax-Managed U.S. Equity Portfolio............. 117
Tax-Managed U.S. Targeted Value Portfolio..... 118
Tax-Managed U.S. Small Cap Portfolio.......... 69
T.A. U.S. Core Equity 2 Portfolio............. 133
Tax-Managed DFA International Value Portfolio. 100
T.A. World ex U.S. Core Equity Portfolio...... 55
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
and U.S. government securities (amounts in thousands):
PURCHASES SALES
--------- --------
Tax-Managed U.S. Equity Portfolio............. $ 76,026 $ 15,500
Tax-Managed U.S. Targeted Value Portfolio..... 444,477 394,845
Tax-Managed U.S. Small Cap Portfolio.......... 200,708 154,702
T.A. U.S. Core Equity 2 Portfolio............. 403,179 85,045
Tax-Managed DFA International Value Portfolio. 354,123 250,003
T.A. World ex U.S. Core Equity Portfolio...... 218,615 45,562
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2016, primarily attributable to net foreign
currency gains/losses, realized gains on securities considered to be "passive
foreign investment companies", non-deductible expenses, foreign capital gains
tax, tax equalization, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
Tax-Managed U.S. Marketwide Value Portfolio... $5,919 $(2,434) $(3,485)
Tax-Managed U.S. Equity Portfolio............. -- (170) 170
Tax-Managed U.S. Targeted Value Portfolio..... 6,572 (1,583) (4,989)
Tax-Managed U.S. Small Cap Portfolio.......... 2,896 (833) (2,063)
T.A. U.S. Core Equity 2 Portfolio............. 985 (2,214) 1,229
Tax-Managed DFA International Value Portfolio. 3,896 (3,089) (807)
T.A. World ex U.S. Core Equity Portfolio...... 2,159 (198) (1,961)
44
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2015 and October 31, 2016 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
Tax-Managed U.S. Marketwide Value Portfolio
2015........................................ $ 60,761 -- $ 60,761
2016........................................ 72,925 -- 72,925
Tax-Managed U.S. Equity Portfolio
2015........................................ 42,330 -- 42,330
2016........................................ 48,479 -- 48,479
Tax-Managed U.S. Targeted Value Portfolio
2015........................................ 40,821 $125,781 166,602
2016........................................ 43,823 128,582 172,405
Tax-Managed U.S. Small Cap Portfolio
2015........................................ 19,870 38,979 58,849
2016........................................ 22,739 94,184 116,923
T.A. U.S. Core Equity 2 Portfolio
2015........................................ 85,159 65,625 150,784
2016........................................ 104,283 166 104,449
Tax-Managed DFA International Value Portfolio
2015........................................ 85,981 2,411 88,392
2016........................................ 92,814 -- 92,814
T.A. World ex U.S. Core Equity Portfolio
2015........................................ 50,580 -- 50,580
2016........................................ 56,154 -- 56,154
At October 31, 2016, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
Tax-Managed U.S. Marketwide Value Portfolio... $(2,434) $(3,485) $(5,919)
Tax-Managed U.S. Equity Portfolio............. -- -- --
Tax-Managed U.S. Targeted Value Portfolio..... (1,582) (4,990) (6,572)
Tax-Managed U.S. Small Cap Portfolio.......... (832) (2,064) (2,896)
T.A. U.S. Core Equity 2 Portfolio............. (983) (2) (985)
Tax-Managed DFA International Value Portfolio. (3,896) -- (3,896)
T.A. World ex U.S. Core Equity Portfolio...... (2,159) -- (2,159)
45
At October 31, 2016, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
Tax-Managed U.S. Marketwide Value
Portfolio......................... $5,798 $101,284 -- $1,546,859 $1,653,941
Tax-Managed U.S. Equity Portfolio... 4,514 -- $(233,619) 1,199,305 970,200
Tax-Managed U.S. Targeted Value
Portfolio......................... 689 127,981 -- 1,308,391 1,437,061
Tax-Managed U.S. Small Cap
Portfolio......................... 608 54,087 -- 885,283 939,978
T.A. U.S. Core Equity 2 Portfolio... 9,817 230 -- 2,182,863 2,192,910
Tax-Managed DFA International Value
Portfolio......................... 7,935 -- (94,040) (67,685) (153,790)
T.A. World ex U.S. Core Equity
Portfolio......................... 7,652 -- (52,905) 233,156 187,903
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2016, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through the indicated expiration dates (amounts
in thousands):
EXPIRES ON OCTOBER 31,
---------------------------
2017 UNLIMITED TOTAL
-------- --------- --------
Tax-Managed U.S. Marketwide Value Portfolio... -- -- --
Tax-Managed U.S. Equity Portfolio............. $233,619 -- $233,619
Tax-Managed U.S. Targeted Value Portfolio..... -- -- --
Tax-Managed U.S. Small Cap Portfolio.......... -- -- --
T.A. U.S. Core Equity 2 Portfolio............. -- -- --
Tax-Managed DFA International Value Portfolio. -- $94,040 94,040
T.A. World ex U.S. Core Equity Portfolio...... -- 52,905 52,905
During the year ended October 31, 2016, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Tax-Managed U.S. Marketwide Value Portfolio. $37,141
Tax-Managed U.S. Equity Portfolio........... 89,351
46
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)
---------- ------------ ------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio... $2,549,474 $2,008,458 -- $2,008,458
Tax-Managed U.S. Equity Portfolio............. 1,648,959 1,566,586 $ (41,776) 1,524,810
Tax-Managed U.S. Targeted Value Portfolio..... 3,147,847 1,834,512 (74,886) 1,759,626
Tax-Managed U.S. Small Cap Portfolio.......... 2,020,518 1,262,661 (59,088) 1,203,573
T.A. U.S. Core Equity 2 Portfolio............. 5,147,721 3,120,310 (72,145) 3,048,165
Tax-Managed DFA International Value Portfolio. 3,206,209 496,190 (273,839) 222,351
T.A. World ex U.S. Core Equity Portfolio...... 2,389,618 717,661 (224,906) 492,755
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. FUTURES CONTRACTS: The Portfolios 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. Upon
entering into a futures contract, the Portfolios deposit cash or pledge U.S.
government securities to a broker, equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Portfolio as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Portfolio records a realized gain or loss, which is presented
in the Statements of Operations as a net realized gain or loss on futures,
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
47
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 Portfolios had the following outstanding futures
contracts (dollar amounts in thousands):
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
----------------------- ---------- --------- -------- ----------- ----------
Tax-Managed U.S. Equity
Portfolio............. S&P 500 Emini Index(R) 06/16/17 205 $24,400 $175 $1,025
------- ---- ------
$24,400 $175 $1,025
======= ==== ======
EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH
DESCRIPTION DATE CONTRACTS VALUE GAIN (LOSS) COLLATERAL
------------------------ ---------- --------- -------- ----------- ----------
Tax-Managed DFA
International Value
Portfolio........... MINI MSCI EAFE Index(R) 06/16/17 120 $10,943 $510 $ 902
Tax-Managed DFA
International Value
Portfolio........... S&P 500 Emini Index(R) 06/16/17 121 14,402 117 207
------- ---- ------
$25,345 $627 $1,109
======= ==== ======
3. FORWARD CURRENCY CONTRACTS: The T.A. World ex U.S. Core Equity
Portfolio may acquire and sell forward currency contracts to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies
(foreign exchange rate risk). The decision to hedge the T.A. World ex U.S. Core
Equity Portfolio's currency exposure with respect to a foreign market will be
based primarily on the Portfolio's existing exposure to a given foreign
currency. Each contract is valued daily and the change in value is recorded by
the T.A. World ex U.S. Core Equity Portfolio as an unrealized gain or loss,
which is presented in the Statements of Operations as the change in unrealized
appreciation or depreciation from translation of foreign currency denominated
amounts. When the contract is closed or offset with the same counterparty, the
T.A. World ex U.S. Core Equity Portfolio records a realized gain or loss equal
to the change in the value of the contract when it was opened and the value at
the time it was closed or offset. This is presented in the Statements of
Operations as a net realized gain or loss on foreign currency transactions. At
April 30, 2017, the T.A. World ex U.S. Core Equity Portfolio had no outstanding
forward currency contracts.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2017 (amounts in
thousands):
FUTURES
-------
Tax-Managed U.S. Equity Portfolio............. $21,033
Tax-Managed DFA International Value Portfolio. 25,937
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 LIABILITY DERIVATIVES
--------------- ------------------------
Equity contracts Payables: Futures Margin
Variation
48
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
AT EQUITY
APRIL 30, 2017 CONTRACTS
- -------------- ---------
Tax-Managed U.S. Equity Portfolio............. $175 $175
Tax-Managed DFA International Value Portfolio. 627 627
The following is a summary of the location on the Portfolios' Statements of
Operations of realized gains and losses from the Portfolios' derivative
instrument holdings through the 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 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
-----------------------
EQUITY
TOTAL CONTRACTS
------ ---------
Tax-Managed U.S. Marketwide Value Portfolio*.. $ 56 $ 56
Tax-Managed U.S. Equity Portfolio............. 1,673 1,673
Tax-Managed U.S. Targeted Value Portfolio*.... 1,430 1,430
Tax-Managed U.S. Small Cap Portfolio*......... 294 294
Tax-Managed DFA International Value Portfolio. 1,501 1,501
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------ ---------
Tax-Managed U.S. Marketwide Value Portfolio*.. $ 1 $ 1
Tax-Managed U.S. Equity Portfolio............. 682 682
Tax-Managed DFA International Value Portfolio. 1,427 1,427
* 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.
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
49
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
------------- ------------ ------------ -------- ---------------
Tax-Managed U.S. Targeted Value
Portfolio.............................. 1.41% $1,390 5 -- $1,985
Tax-Managed U.S. Small Cap Portfolio..... 1.41% 2,770 5 $ 1 3,398
T.A. World ex U.S. Core Equity Portfolio. 1.35% 865 4 -- 1,573
* 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 the 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.
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 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 Portfolios
under Rule 17a-7 were as follows (amounts in thousands):
REALIZED
GAIN
PORTFOLIO PURCHASES SALES (LOSS)
--------- --------- ------- --------
Tax-Managed U.S. Equity Portfolio............. $18,548 $ 1,792 $ 1,081
Tax-Managed U.S. Targeted Value Portfolio..... 30,882 81,259 16,526
Tax-Managed U.S. Small Cap Portfolio.......... 30,678 59,063 (1,357)
T.A. U.S. Core Equity 2 Portfolio............. 70,627 21,575 (5,887)
Tax-Managed DFA International Value Portfolio. 16,989 11,733 2,631
T.A. World ex U.S. Core Equity Portfolio...... 5,198 2,433 200
50
J. SECURITIES LENDING:
As of April 30, 2017, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolios received cash collateral. In
addition, the following Portfolios received non-cash collateral consisting of
short-and/or long-term U.S. government securities as follows (amounts in
thousands):
MARKET
VALUE
--------
Tax-Managed U.S. Equity Portfolio......... $ 71,243
Tax-Managed U.S. Targeted Value Portfolio. 189,585
Tax-Managed U.S. Small Cap Portfolio...... 110,179
T.A. U.S. Core Equity 2 Portfolio......... 259,006
T.A. World ex U.S. Core Equity Portfolio.. 34,789
Each Portfolio with securities on loan invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral in an amount (i) equal to at least
100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) generally equal to 102%
of the current market value of the loaned securities with respect to U.S.
securities, and (iii) generally equal to 105% of the current market value of
the loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolios' collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities. In the event of the bankruptcy of the borrower, a Portfolio
could experience delay in recovering the loaned securities or only recover cash
or a security of equivalent value.
Subject to their stated investment policies, the Portfolios with securities
on loan will generally invest the cash collateral received for the loaned
securities in The DFA Short Term Investment Fund (the "Money Market Series"),
an affiliated registered money market fund advised by the Advisor for which the
Advisor receives a management fee of 0.05% of the average daily net assets of
the Money Market Series. Such Portfolios also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, each Portfolio with securities on loan will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
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
TAX-MANAGED U.S. EQUITY PORTFOLIO
Common Stocks, Rights/Warrants........... $144,764,374 -- -- -- $144,764,374
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Common Stocks............................ 561,968,800 -- -- -- 561,968,800
51
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2017
--------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- -----------
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Common Stocks........................... 540,856,986 -- -- -- 540,856,986
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants.......... 824,653,765 -- -- -- 824,653,765
TAX-MANAGED DFA INTERNATIONAL VALUE
PORTFOLIO
Common Stocks........................... 36,912,476 -- -- -- 36,912,476
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Common Stocks, Rights/Warrants.......... 56,311,005 -- -- -- 56,311,005
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, the following number of shareholders held the following
approximate percentages of the Portfolios' outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -------------
Tax-Managed U.S. Marketwide Value Portfolio... 3 91%
Tax-Managed U.S. Equity Portfolio............. 3 88%
Tax-Managed U.S. Targeted Value Portfolio..... 3 95%
Tax-Managed U.S. Small Cap Portfolio.......... 3 93%
T.A. U.S. Core Equity 2 Portfolio............. 3 90%
Tax-Managed DFA International Value Portfolio. 3 94%
T.A. World ex U.S. Core Equity Portfolio...... 3 89%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The Tax-Managed U.S. Marketwide Value Series has been named as a defendant
in a multi-district litigation pending in the United States District Court for
the Southern District of New York (the "Court"), captioned IN RE TRIBUNE
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The Tax-Managed U.S. Marketwide Value Series, sold Tribune shares
back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee (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
52
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 Tax-Managed U.S. Marketwide Value Series in the
Lawsuits has advised management that it does not believe that it is possible,
at this early stage in the proceedings, to predict with any reasonable
certainty the probable outcome of the Lawsuits or quantify the ultimate
exposure to The Tax-Managed U.S. Marketwide Value Series arising from the
Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The Tax-Managed U.S. Marketwide Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The Tax-Managed U.S.
Marketwide Value Series at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be borne by The Tax-Managed U.S.
Marketwide Value Series as incurred and in a manner similar to any other
expenses incurred by The Tax-Managed U.S. Marketwide Value Series.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
53
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
INCOME PROPERTIES SOURCE
PORTFOLIO NAME ------------------ ------------------ -------------
Tax-Managed U.S. Marketwide Value Portfolio
December 15, 2016.......................... 88% 0% 12%
Tax-Managed U.S. Targeted Value Portfolio
December 15, 2016.......................... 86% 0% 14%
Tax-Managed U.S. Equity Portfolio
December 15, 2016.......................... 88% 0% 12%
Tax-Managed U.S. Small Cap Portfolio
December 15, 2016.......................... 84% 0% 16%
T.A. U.S. Core Equity 2 Portfolio
December 15, 2016.......................... 90% 0% 10%
Tax-Managed DFA International Value Portfolio
December 15, 2016.......................... 92% 0% 8%
T.A. World ex U.S. Core Equity Portfolio
December 15, 2016.......................... 81% 0% 19%
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.
54
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 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.
55
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 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%
56
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%
57
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%
============== ======
58
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.
59
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $284,841 of securities on loan)*............................... $6,247,833
Temporary Cash Investments at Value & Cost..................................................... 7,712
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $206,634). 206,653
Cash........................................................................................... 702
Receivables:
Investment Securities Sold................................................................... 516
Dividends and Interest....................................................................... 7,058
Securities Lending Income.................................................................... 49
Prepaid Expenses and Other Assets.............................................................. 7
----------
Total Assets.............................................................................. 6,470,530
----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 206,606
Investment Securities Purchased.............................................................. 4,961
Due to Advisor............................................................................... 1,016
Accrued Expenses and Other Liabilities......................................................... 331
----------
Total Liabilities......................................................................... 212,914
----------
NET ASSETS..................................................................................... $6,257,616
==========
Investments at Cost............................................................................ $3,438,938
==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
60
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $3)#.............. $ 66,461
Income from Securities Lending................................ 282
--------
Total Investment Income.................................... 66,743
--------
EXPENSES
Investment Management Fees.................................... 6,029
Accounting & Transfer Agent Fees.............................. 139
Custodian Fees................................................ 31
Shareholders' Reports......................................... 5
Directors'/Trustees' Fees & Expenses.......................... 30
Professional Fees............................................. 45
Other......................................................... 74
--------
Total Expenses............................................. 6,353
--------
Net Expenses.................................................. 6,353
--------
NET INVESTMENT INCOME (LOSS).................................. 60,390
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 137,451
Futures..................................................... 77
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................... 633,729
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 771,257
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $831,647
========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
61
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE TAX-MANAGED U.S.
MARKETWIDE VALUE SERIES
----------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2017 2016
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 60,390 $ 109,377
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 137,451 194,648
Futures............................................................. 77 5,998
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................... 633,729 (153,025)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 831,647 156,998
---------- ----------
Transactions in Interest:
Contributions......................................................... 84,869 280,866
Withdrawals........................................................... (197,304) (247,872)
---------- ----------
Net Increase (Decrease) from Transactions in Interest.............. (112,435) 32,994
---------- ----------
Total Increase (Decrease) in Net Assets............................ 719,212 189,992
NET ASSETS
Beginning of Period................................................... 5,538,404 5,348,412
---------- ----------
End of Period......................................................... $6,257,616 $5,538,404
========== ==========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
62
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
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%(D) 0.21% 0.21% 0.21% 0.21% 0.22%
Ratio of Net Investment Income to Average Net Assets. 2.00%(D) 2.05% 1.82% 1.61% 1.82% 1.99%
Portfolio Turnover Rate.............................. 5%(C) 9% 6% 2% 5% 10%
--------------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
63
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
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 Tax-Managed
U.S. Marketwide Value Series (the "Series"), is presented in this section of
the report. The remaining ten operational portfolios are presented in separate
reports. The Series is an investment company and, accordingly, follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities within the range of the most recent quoted bid and
asked prices. Price information on listed securities is taken from the exchange
where the security is primarily traded. Generally, securities issued by
open-end management investment companies are valued using their respective net
asset values or public offering prices, as appropriate, for purchase orders
placed at the close of the New York Stock Exchange (NYSE). These securities are
generally categorized as Level 1 in the hierarchy. Futures contracts held by
the Series are valued using the settlement price established each day on the
exchange on which they are traded. These valuations are generally categorized
as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
64
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. 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. 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 $161 (in thousands).
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Trust; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of April 30, 2017, none of the Trustees have requested
or received a distribution of proceeds of a deferred fee account.
3. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are accounted for on the basis of identified cost. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimates the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or its Series are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2017, the Series'
investment management fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.20% of average daily net assets of the
Series.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Directors (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the six months ended April 30, 2017, the total related amounts paid to the CCO
by the Trust were $42 (in thousands). The total related amounts paid by the
Series is included in Other Expenses on the Statement of Operations.
65
D. 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 Tax-Managed U.S. Marketwide Value Series...... $276,344 $299,212
There were no purchases or sales of long-term U.S. government securities.
E. FEDERAL INCOME TAXES:
The Series is treated as a partnership for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net
investment income and realized and unrealized gains and losses have been deemed
to have been "passed down" to its partners.
At 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 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.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Series' tax
positions and has concluded that no additional provision for income tax is
required in the Series' financial statements. The Series is not aware of any
tax positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
The Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
1. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the 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 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.
66
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series will be subject to equity price risk
when entering into stock index futures. Counterparty credit risk related to
exchange-traded futures is minimal because the exchange's clearinghouse, as
counterparty to all exchange-traded futures, guarantees the futures against
default.
The following is a summary of the location of derivatives on the Series'
Statements of Operations of realized and change in unrealized gains and losses
from the Series' derivative instrument holdings through the 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
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 Tax-Managed U.S. Marketwide Value Series*..... $77 $77
* 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.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 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.
67
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.
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.
H. 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 Directors of the
Trust to ensure compliance with Rule 17a-7 under the Investment Company Act of
1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the 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 Tax-Managed U.S. Marketwide Value Series. $25,103 $8,314 $3,611
I. SECURITIES LENDING:
As of April 30, 2017, the Series had securities on loan to brokers/dealers,
for which the Series received cash collateral. In addition, the Series received
non-cash collateral consisting of short and/or long term U.S. government
securities with a market value of $86,438 (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, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. The
Series also may invest the cash collateral received for the loaned securities
in securities of the U.S. government or its agencies, repurchase agreements
collateralized by securities of the U.S. government or its agencies, and
affiliated and unaffiliated registered and unregistered money
68
market funds. For purposes of this paragraph, agencies include both agency
debentures and agency mortgage-backed securities. In addition, the Series will
be able to terminate the loan at any time and will receive reasonable interest
on the loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of 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 TAX-MANAGED U.S. MARKETWIDE VALUE
SERIES
Common Stocks, Rights/Warrants....... $206,653,418 -- -- -- $206,653,418
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that contain a variety of representations and warranties that provide
general indemnification. The Trust's maximum exposure under these arrangements
is unknown as this would involve future claims that may be made against the
Trust and/or its affiliates that have not yet occurred. However, based on
experience, the Trust expects the risk of loss to be remote.
K. OTHER:
The Series is subject to claims and suits that arise from time to time in
the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The Tax-Managed U.S. Marketwide Value Series has been named as a defendant
in a multi-district litigation pending in the United States District Court for
the Southern District of New York (the "Court"), captioned IN RE TRIBUNE
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The Tax-Managed U.S. Marketwide Value Series, sold Tribune shares
back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee (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).
69
Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the
Lawsuits has advised management that it does not believe that it is possible,
at this early stage in the proceedings, to predict with any reasonable
certainty the probable outcome of the Lawsuits or quantify the ultimate
exposure to The Tax-Managed U.S. Marketwide Value Series arising from the
Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The Tax-Managed U.S. Marketwide Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The Tax-Managed U.S.
Marketwide Value Series at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be borne by The Tax-Managed U.S.
Marketwide Value Series as incurred and in a manner similar to any other
expenses incurred by The Tax-Managed U.S. Marketwide Value Series.
L. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
70
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.
71
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2016 (the "Meeting"), the Board
of Directors of DFA Investment Dimensions Group Inc. and the Board of Trustees
of The DFA Investment Trust Company (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.
72
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.
73
DFA043017-002S
[LOGO] 00194746
THE DFA SHORT TERM INVESTMENT FUND
SEMI-ANNUAL REPORT
SIX MONTHS ENDED APRIL 30, 2017
(UNAUDITED)
TABLE OF CONTENTS
SCHEDULE OF PORTFOLIO HOLDINGS............................................ 1
SCHEDULE OF INVESTMENTS................................................... 2
STATEMENT OF ASSETS AND LIABILITIES....................................... 8
STATEMENT OF OPERATIONS................................................... 9
STATEMENTS OF CHANGES IN NET ASSETS....................................... 10
FINANCIAL HIGHLIGHTS...................................................... 11
NOTES TO FINANCIAL STATEMENTS............................................. 12
SUPPLEMENTAL INFORMATION.................................................. 18
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT......................... 20
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Portfolio Holdings
April 30, 2017 (Unaudited)
The following table indicates the allocation of investments among the asset
classes in the Fund as of April 30, 2017:
PERCENT OF
SECURITY ALLOCATION INVESTMENTS
------------------- -----------
Commercial Paper................................................... 59.8%
Yankee Certificates of Deposit..................................... 14.4
Repurchase Agreements.............................................. 13.7
U.S. Government Agency Securities.................................. 6.5
U.S. Treasury Obligations.......................................... 4.4
Yankee Bonds....................................................... 0.9
Corporate Bonds.................................................... 0.3
-----
TOTAL INVESTMENTS.................................................. 100.0%
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments
April 30, 2017 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ------------
CORPORATE BONDS--0.3%
Apple, Inc................................. 1.05% 05/05/17 3,600,000 3,600,072
(r)Apple, Inc.............................. 1.10% 05/05/17 1,700,000 1,700,022
(r)Berkshire Hathaway Finance.............. 1.16% 08/14/17 10,020,000 10,025,261
(r)Berkshire Hathaway Finance.............. 1.45% 01/12/18 34,293,000 34,377,395
(r)Chevron Corp............................ 1.40% 11/09/17 13,220,000 13,245,501
(r)Toyota Motor Credit Corp................ 1.24% 05/16/17 4,780,000 4,780,569
----------- -----------
TOTAL CORPORATE BONDS (Cost $67,707,019)... 67,613,000 67,728,820
----------- -----------
YANKEE BONDS--0.9%
(r)Bank of Montreal........................ 1.27% 05/08/18 100,000,000 99,980,099
(y)International Bank For Reconstruction... 0.84% 07/07/17 100,000,000 99,843,700
(r)++National Australia Bank, Ltd.......... 1.43% 06/30/17 17,973,000 17,979,920
(r)Westpac Banking Corp.................... 1.42% 12/01/17 11,300,000 11,319,052
----------- -----------
TOTAL YANKEE BONDS (Cost $229,127,373)..... 229,273,000 229,122,771
----------- -----------
COMMERCIAL PAPER--59.8%
(y)++Apple, Inc............................ 0.76% 05/23/17 50,520,000 50,492,284
(y)++Apple, Inc............................ 0.84% 06/05/17 42,200,000 42,163,652
(y)++Apple, Inc............................ 0.88% 07/12/17 72,000,000 71,868,000
(y)Archer-Daniels-Midland.................. 0.84% 05/02/17 75,000,000 74,993,033
(y)++Archer-Daniels-Midland................ 0.88% 05/15/17 125,000,000 124,949,649
(r)++Australia & New Zealand Banking Group. 1.38% 05/03/17 100,000,000 100,006,600
(y)++Australia & New Zealand Banking Group. 1.05% 05/04/17 100,000,000 99,985,067
(y)++Australia & New Zealand Banking Group. 0.85% 05/15/17 140,250,000 140,189,930
(y)++Australia & New Zealand Banking Group. 1.13% 06/02/17 100,000,000 99,910,069
(y)++Australia & New Zealand Banking Group. 1.05% 07/10/17 13,500,000 13,473,173
(r)++Australia & New Zealand Banking Group. 1.59% 09/13/17 30,000,000 30,001,980
(y)++Bank Nederlandse Gemeent.............. 0.91% 06/01/17 110,000,000 109,896,215
(y)++Bank Nederlandse Gemeent.............. 0.91% 06/05/17 100,000,000 99,893,494
(y)++Bank Nederlandse Gemeent.............. 1.02% 06/14/17 225,000,000 224,697,437
(r)++Bank of Nova Scotia................... 1.45% 05/12/17 25,000,000 25,005,125
(r)++Bank of Nova Scotia................... 1.09% 10/17/17 50,000,000 49,974,000
(r)++Bank of Nova Scotia................... 1.30% 04/11/18 100,000,000 100,011,200
(y)Banque Et Caisse d'Epargne de l'Etat.... 1.18% 08/04/17 100,000,000 99,734,311
(y)Banque Et Caisse d'Epargne de l'Etat.... 1.31% 09/18/17 75,000,000 74,681,229
(y)++Caisse des Depots et Consignations.... 0.99% 06/08/17 100,000,000 99,892,944
(y)++Caisse des Depots et Consignations.... 1.05% 06/16/17 50,000,000 49,933,986
(y)++Caisse des Depots et Consignations.... 1.09% 06/22/17 200,000,000 199,696,888
(y)++Caisse des Depots et Consignations.... 1.10% 06/23/17 200,000,000 199,690,444
(y)++Colgate-Palmolive Co.................. 0.81% 05/08/17 16,000,000 15,996,516
(y)++Colgate-Palmolive Co.................. 0.81% 05/10/17 28,584,000 28,576,511
(y)++Colgate-Palmolive Co.................. 0.82% 05/11/17 60,000,000 59,982,949
(r)++Commonwealth Bank of Australia........ 1.53% 05/17/17 32,000,000 32,010,112
(r)++Commonwealth Bank of Australia........ 1.38% 08/04/17 50,000,000 50,040,650
(r)++Commonwealth Bank of Australia........ 1.08% 10/03/17 44,000,000 43,985,480
(r)++Commonwealth Bank of Australia........ 1.55% 10/12/17 100,000,000 100,187,400
(r)++Commonwealth Bank of Australia........ 1.51% 12/14/17 150,000,000 150,336,750
(r)++Commonwealth Bank of Australia........ 1.45% 02/02/18 100,000,000 100,227,300
(r)++Commonwealth Bank of Australia........ 1.40% 02/15/18 120,000,000 120,236,040
(r)++Commonwealth Bank of Australia........ 1.32% 03/02/18 100,000,000 100,130,900
(r)++Commonwealth Bank of Australia........ 1.31% 03/16/18 70,000,000 70,062,160
(r)++Commonwealth Bank of Australia........ 1.29% 03/23/18 75,000,000 75,042,525
(y)++CPPIB Capital, Inc.................... 0.85% 05/08/17 118,800,000 118,773,138
(y)++CPPIB Capital, Inc.................... 0.82% 05/11/17 50,000,000 49,985,249
(y)++CPPIB Capital, Inc.................... 0.83% 05/17/17 75,000,000 74,967,344
(y)++CPPIB Capital, Inc.................... 0.88% 05/23/17 100,000,000 99,942,153
(y)++CPPIB Capital, Inc.................... 0.85% 05/24/17 200,000,000 199,879,387
(y)++CPPIB Capital, Inc.................... 0.82% 06/14/17 100,000,000 99,886,678
(y)++CPPIB Capital, Inc.................... 0.97% 06/22/17 150,000,000 149,797,875
(y)++DBS Bank, Ltd......................... 1.01% 05/19/17 148,500,000 148,425,676
(y)++DBS Bank, Ltd......................... 1.13% 06/22/17 100,000,000 99,860,667
(y)++DBS Bank, Ltd......................... 1.10% 07/10/17 100,000,000 99,807,361
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ------------
COMMERCIAL PAPER--59.8% (CONTINUED)
(y)++Emerson Electric Co.............. 0.83% 05/08/17 50,000,000 49,988,695
(y)++Emerson Electric Co.............. 0.83% 05/11/17 50,000,000 49,985,249
(y)++Emerson Electric Co.............. 0.83% 05/26/17 75,000,000 74,951,117
(y)European Investment Bank........... 0.80% 05/15/17 98,500,000 98,454,881
(y)Export Development Canada.......... 0.96% 08/15/17 50,000,000 49,853,002
(y)Exxon Mobil Corp................... 0.79% 05/04/17 250,000,000 249,967,707
(y)Exxon Mobil Corp................... 0.80% 05/05/17 200,000,000 199,969,783
(y)Exxon Mobil Corp................... 0.80% 05/10/17 150,000,000 149,960,750
(y)Exxon Mobil Corp................... 0.71% 05/22/17 50,000,000 49,973,100
(r)GE Capital Treasury LLC............ 1.09% 12/04/17 75,000,000 75,014,400
(r)GE Capital Treasury LLC............ 1.10% 12/20/17 75,000,000 75,015,975
(y)General Electric Co................ 0.82% 05/02/17 200,000,000 199,982,087
(y)General Electric Co................ 0.83% 05/19/17 200,000,000 199,903,399
(y)Government of Canada............... 0.79% 06/06/17 150,000,000 149,868,537
(y)Grainger (WW), Inc................. 0.81% 05/08/17 20,000,000 19,995,478
(y)Grainger (WW), Inc................. 0.83% 05/22/17 21,297,000 21,285,187
(y)++Hydro-Quebec..................... 0.79% 05/08/17 32,000,000 31,992,764
(y)++Koch Resources LLC............... 0.88% 05/04/17 94,700,000 94,687,232
(y)++Koch Resources LLC............... 0.95% 05/30/17 42,900,000 42,867,854
(y)++Kreditanstalt Fur Wiederaufbau... 1.00% 06/01/17 70,700,000 70,637,034
(y)++Kreditanstalt Fur Wiederaufbau... 1.00% 06/13/17 200,000,000 199,748,022
(y)++Kreditanstalt Fur Wiederaufbau... 1.05% 06/29/17 85,833,000 85,679,264
(y)++Kreditanstalt Fur Wiederaufbau... 1.06% 07/10/17 130,500,000 130,217,645
(y)++Kreditanstalt Fur Wiederaufbau... 1.02% 07/20/17 50,000,000 49,874,232
(y)++Landesbank Hessen-Thuri.......... 0.93% 05/09/17 100,000,000 99,971,461
(y)++Landesbank Hessen-Thuri.......... 0.90% 05/24/17 200,000,000 199,864,366
(y)++Landesbank Hessen-Thuri.......... 0.93% 05/26/17 100,000,000 99,926,967
(y)++Landesbank Hessen-Thuri.......... 0.99% 06/05/17 100,000,000 99,900,461
(y)++Landesbank Hessen-Thuri.......... 1.07% 06/15/17 200,000,000 199,747,734
(y)++Landesbank Hessen-Thuri.......... 1.00% 07/06/17 100,000,000 99,815,042
(y)++L'Oreal USA, Inc................. 0.86% 05/04/17 40,000,000 39,994,607
(y)++L'Oreal USA, Inc................. 0.81% 05/05/17 20,000,000 19,996,850
(y)++L'Oreal USA, Inc................. 0.83% 05/08/17 22,000,000 21,995,026
(y)++Merck & Co., Inc................. 0.80% 05/05/17 150,000,000 149,977,250
(y)++Merck & Co., Inc................. 0.83% 05/12/17 100,000,000 99,969,317
(y)++National Australia Bank, Ltd..... 1.13% 07/06/17 100,000,000 99,817,533
(r)++National Australia Bank, Ltd..... 1.48% 08/04/17 50,000,000 50,070,050
(y)++National Australia Bank, Ltd..... 1.12% 08/16/17 100,000,000 99,678,556
(y)++National Australia Bank, Ltd..... 1.12% 09/01/17 85,000,000 84,677,808
(r)++National Australia Bank, Ltd..... 1.40% 12/06/17 50,000,000 50,086,800
(r)++National Australia Bank, Ltd..... 1.27% 02/08/18 200,000,000 200,225,399
(r)++National Australia Bank, Ltd..... 1.40% 02/16/18 100,000,000 100,119,300
(r)++National Australia Bank, Ltd..... 1.34% 03/06/18 100,000,000 100,070,400
(y)++Nederlandse Waterschaps.......... 0.88% 05/09/17 100,000,000 99,975,097
(y)++Nestle Capital Corp.............. 0.74% 05/25/17 50,000,000 49,969,700
(y)Nestle Finance International, Ltd.. 0.83% 05/15/17 100,000,000 99,962,458
(y)Nestle Finance International, Ltd.. 0.78% 05/23/17 50,000,000 49,972,049
(y)Nestle Finance International, Ltd.. 0.83% 06/07/17 50,000,000 49,954,167
(y)Nestle Finance International, Ltd.. 1.00% 07/03/17 100,000,000 99,842,333
(y)Nordea Bank Finland NY............. 1.00% 05/02/17 75,000,000 74,992,325
(y)++Nordea Bank Finland NY........... 0.88% 05/09/17 39,200,000 39,188,933
(y)++Novartis Finance Corp............ 0.84% 05/16/17 30,000,000 29,987,640
(y)++Novartis Finance Corp............ 0.87% 05/23/17 70,000,000 69,959,507
(y)++Novartis Finance Corp............ 0.85% 05/24/17 14,000,000 13,991,557
(y)++NRW.Bank......................... 0.99% 06/14/17 75,000,000 74,900,517
(y)++NRW.Bank......................... 1.07% 06/21/17 300,000,000 299,537,849
(y)++NRW.Bank......................... 1.13% 06/27/17 100,000,000 99,827,333
(y)++NRW.Bank......................... 1.10% 06/28/17 90,000,000 89,841,705
(y)++NRW.Bank......................... 1.13% 07/07/17 100,000,000 99,795,444
(y)++NRW.Bank......................... 1.09% 07/26/17 100,000,000 99,732,753
(y)Oesterreich Kontrollbank........... 0.97% 05/24/17 100,000,000 99,935,361
(y)++Oversea-Chinese Banking.......... 1.09% 05/22/17 177,350,000 177,244,535
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- -------------- --------------
COMMERCIAL PAPER--59.8% (CONTINUED)
(y)++Oversea-Chinese Banking.................. 1.15% 06/20/17 67,000,000 66,907,477
(y)PACCAR Financial Corp...................... 0.85% 05/17/17 14,720,000 14,713,358
(y)PACCAR Financial Corp...................... 0.84% 05/18/17 15,400,000 15,392,668
(y)PACCAR Financial Corp...................... 0.84% 05/19/17 20,000,000 19,989,990
(y)PACCAR Financial Corp...................... 0.85% 05/23/17 10,000,000 9,994,007
(y)++Pfizer, Inc.............................. 0.88% 06/07/17 41,200,000 41,162,462
(y)Province of Ontario........................ 0.86% 06/27/17 200,000,000 199,703,334
(y)++Province of Quebec....................... 0.88% 06/26/17 150,000,000 149,781,701
(y)++Province of Quebec....................... 0.94% 07/25/17 200,000,000 199,533,112
(y)++PSP Capital, Inc......................... 0.90% 05/15/17 50,000,000 49,980,568
(y)++PSP Capital, Inc......................... 0.89% 05/25/17 50,000,000 49,968,650
(y)++PSP Capital, Inc......................... 0.98% 06/08/17 95,000,000 94,907,169
(y)++PSP Capital, Inc......................... 0.81% 06/09/17 50,000,000 49,949,834
(y)++PSP Capital, Inc......................... 1.00% 06/15/17 100,000,000 99,884,000
(y)++PSP Capital, Inc......................... 0.95% 06/23/17 25,000,000 24,965,661
(y)++Qualcomm, Inc............................ 0.80% 05/10/17 31,250,000 31,241,500
(y)++Qualcomm, Inc............................ 0.88% 06/08/17 75,000,000 74,926,712
(y)++Roche Holdings, Inc...................... 0.86% 05/11/17 50,000,000 49,985,249
(y)++Roche Holdings, Inc...................... 0.83% 05/23/17 50,000,000 49,971,077
(y)++Roche Holdings, Inc...................... 0.85% 05/26/17 50,000,000 49,967,450
(y)Siemens Capital Co. LLC.................... 0.88% 05/01/17 100,000,000 99,993,292
(y)++Siemens Capital Co. LLC.................. 0.82% 05/15/17 100,000,000 99,961,136
(y)++Siemens Capital Co. LLC.................. 0.82% 05/16/17 50,000,000 49,979,400
(y)++Siemens Capital Co. LLC.................. 0.82% 05/22/17 150,000,000 149,916,800
(y)++Siemens Capital Co. LLC.................. 1.01% 06/22/17 100,000,000 99,865,250
(y)++Simon Property GRP, LP................... 0.92% 06/05/17 22,500,000 22,479,029
(y)++Skandinaviska Enskilda Banken AB......... 0.91% 05/18/17 200,000,000 199,899,665
(y)++Skandinaviska Enskilda Banken AB......... 0.90% 05/22/17 100,000,000 99,939,733
(y)++Skandinaviska Enskilda Banken AB......... 1.00% 06/15/17 200,000,000 199,757,866
(y)++Svenska Handelsbank, Inc................. 0.97% 05/08/17 65,000,000 64,983,569
(y)++Svenska Handelsbank, Inc................. 0.92% 05/16/17 100,000,000 99,954,100
(y)++Svenska Handelsbank, Inc................. 0.92% 05/22/17 100,000,000 99,938,400
(y)++Svenska Handelsbank, Inc................. 0.95% 05/31/17 100,000,000 99,914,475
(y)++Svenska Handelsbank, Inc................. 1.01% 06/13/17 50,000,000 49,939,561
(y)Swedbank................................... 0.91% 05/02/17 200,000,000 199,979,755
(y)Swedbank................................... 0.90% 05/03/17 150,000,000 149,981,021
(y)Swedbank................................... 0.93% 05/08/17 100,000,000 99,974,639
(y)Swedbank................................... 1.00% 06/15/17 200,000,000 199,753,066
(y)Swedbank................................... 0.93% 06/22/17 150,000,000 149,787,333
(y)Swedish Export Credit Corp................. 1.18% 08/08/17 100,000,000 99,721,200
(y)++Total Capital Canada, Ltd................ 0.95% 05/15/17 26,000,000 25,989,282
(y)++Total Capital Canada, Ltd................ 0.92% 05/17/17 200,000,000 199,907,427
(y)++Total Capital Canada, Ltd................ 1.03% 07/20/17 117,311,000 117,045,672
(y)Toyota Motor Credit Corp................... 1.03% 05/24/17 200,000,000 199,870,143
(y)Toyota Motor Credit Corp................... 1.02% 07/18/17 125,000,000 124,710,031
(r)Toyota Motor Credit Corp................... 1.19% 12/20/17 150,000,000 150,011,550
(y)United Overseas Bank....................... 0.97% 05/02/17 21,310,000 21,308,021
(y)++United Overseas Bank..................... 0.95% 05/05/17 100,000,000 99,983,667
(y)++United Overseas Bank..................... 1.16% 07/07/17 100,000,000 99,816,639
(y)Wal-Mart Stores, Inc....................... 0.81% 05/01/17 29,102,000 29,100,121
(y)++Wal-Mart Stores, Inc..................... 0.81% 05/03/17 70,697,000 70,689,370
(r)++Westpac Banking Corp..................... 1.40% 10/05/17 100,000,000 100,117,200
(r)++Westpac Banking Corp..................... 1.33% 11/02/17 75,000,000 75,114,225
(r)++Westpac Banking Corp..................... 1.40% 02/16/18 100,000,000 100,150,200
(r)++Westpac Banking Corp..................... 1.32% 03/01/18 100,000,000 100,093,200
(r)Westpac Banking Corp....................... 1.30% 03/02/18 80,000,000 80,061,120
(r)++Westpac Banking Corp..................... 1.31% 03/19/18 75,000,000 75,058,950
-------------- --------------
TOTAL COMMERCIAL PAPER (Cost $15,669,228,850). 15,681,824,000 15,671,343,202
-------------- --------------
YANKEE CERTIFICATES OF DEPOSIT--14.4%
(r)Bank of Montreal........................... 1.41% 05/02/17 25,000,000 25,001,500
(r)Bank of Montreal........................... 1.44% 05/09/17 120,000,000 120,018,960
(r)Bank of Montreal........................... 1.50% 06/07/17 40,000,000 40,023,240
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- -------------
YANKEE CERTIFICATES OF DEPOSIT--14.4% (CONTINUED)
(r)Bank of Montreal........................................ 1.42% 07/10/17 150,000,000 150,168,750
(r)Bank of Montreal........................................ 1.60% 07/25/17 100,000,000 100,129,500
(r)Bank of Montreal........................................ 1.53% 01/11/18 100,000,000 100,202,300
(r)Bank of Nova Scotia..................................... 1.52% 06/09/17 90,000,000 90,055,980
(r)Bank of Nova Scotia..................................... 1.60% 07/20/17 100,000,000 100,124,400
(r)Bank of Nova Scotia..................................... 1.58% 09/27/17 100,000,000 100,181,000
(r)Bank of Nova Scotia..................................... 1.58% 10/06/17 50,000,000 50,091,400
(r)Bank of Nova Scotia..................................... 1.43% 12/08/17 100,000,000 100,163,300
(r)Bank of Nova Scotia..................................... 1.31% 03/20/18 100,000,000 100,043,000
(r)Canadian Imp BK Comm NY................................. 1.42% 05/23/17 9,150,000 9,153,020
(r)Nordea Bank Finland NY.................................. 1.45% 05/26/17 100,000,000 100,038,800
(r)Nordea Bank Finland NY.................................. 1.50% 06/07/17 100,000,000 100,058,100
(r)Nordea Bank Finland NY.................................. 1.52% 06/13/17 20,000,000 20,013,500
(r)Nordea Bank Finland NY.................................. 1.51% 08/18/17 75,000,000 75,113,325
(r)Rabobank Nederland NY................................... 1.51% 05/22/17 50,000,000 50,018,950
(r)Rabobank Nederland NY................................... 1.49% 06/13/17 50,000,000 50,032,200
(r)Rabobank Nederland NY................................... 1.36% 07/10/17 100,000,000 100,064,800
(r)Rabobank Nederland NY................................... 1.53% 08/16/17 50,000,000 50,080,700
(r)Rabobank Nederland NY................................... 1.60% 09/18/17 50,000,000 50,093,950
(r)Rabobank Nederland NY................................... 1.33% 11/06/17 75,000,000 75,107,850
(r)Royal Bank of Canada NY................................. 1.56% 06/29/17 75,000,000 75,070,050
(r)Royal Bank of Canada NY................................. 1.62% 07/28/17 100,000,000 100,136,400
(r)Royal Bank of Canada NY................................. 1.56% 10/05/17 100,000,000 100,182,600
(r)Royal Bank of Canada NY................................. 1.40% 12/08/17 100,000,000 100,157,200
(r)Royal Bank of Canada NY................................. 1.45% 12/19/17 100,000,000 100,170,400
(r)Royal Bank of Canada NY................................. 1.51% 12/22/17 100,000,000 100,204,200
(r)Royal Bank of Canada NY................................. 1.33% 03/07/18 100,000,000 100,097,400
(r)Royal Bank of Canada NY................................. 1.31% 03/20/18 100,000,000 100,066,400
(r)Svenska Handelsbanken NY................................ 1.70% 08/01/17 100,000,000 100,165,600
(r)Svenska Handelsbanken NY................................ 1.38% 08/07/17 155,000,000 155,130,200
(r)Svenska Handelsbanken NY................................ 1.29% 08/09/17 50,000,000 50,044,350
(r)Toronto Dominion Bank NY................................ 1.45% 05/23/17 70,000,000 70,024,570
(r)Toronto Dominion Bank NY................................ 1.60% 07/12/17 100,000,000 100,115,800
(r)Toronto Dominion Bank NY................................ 1.55% 08/22/17 65,000,000 65,109,330
(r)Toronto Dominion Bank NY................................ 1.14% 10/10/17 40,000,000 39,999,880
(r)Toronto Dominion Bank NY................................ 1.34% 11/08/17 100,000,000 100,157,300
(r)Toronto Dominion Bank NY................................ 1.51% 11/20/17 150,000,000 150,276,900
(r)Toronto Dominion Bank NY................................ 1.32% 03/05/18 100,000,000 100,069,400
(r)Toronto Dominion Bank NY................................ 1.33% 03/13/18 100,000,000 100,070,200
(r)Toronto Dominion Bank NY................................ 1.25% 05/07/18 100,000,000 99,984,300
(r)Westpac Banking Corp.................................... 1.48% 01/05/18 100,000,000 100,201,100
------------- -------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost $3,759,149,397). 3,759,150,000 3,763,412,105
------------- -------------
U.S. GOVERNMENT AGENCY SECURITIES--6.5%
(y)Federal Home Loan Bank.................................. 0.54% 05/02/17 50,000,000 49,998,950
(y)Federal Home Loan Bank.................................. 0.75% 05/03/17 150,000,000 149,993,850
(y)Federal Home Loan Bank.................................. 0.54% 05/05/17 50,000,000 49,995,900
(y)Federal Home Loan Bank.................................. 0.76% 05/09/17 100,000,000 99,983,600
(y)Federal Home Loan Bank.................................. 0.74% 05/12/17 150,000,000 149,966,100
(y)Federal Home Loan Bank.................................. 0.73% 05/17/17 100,000,000 99,967,100
(y)Federal Home Loan Bank.................................. 0.56% 05/19/17 100,000,000 99,963,000
(y)Federal Home Loan Bank.................................. 0.56% 05/24/17 75,000,000 74,964,525
(y)Federal Home Loan Bank.................................. 0.56% 05/26/17 50,000,000 49,974,300
(y)Federal Home Loan Bank.................................. 0.80% 06/07/17 75,000,000 74,939,100
(y)Federal Home Loan Bank.................................. 0.79% 06/09/17 75,000,000 74,935,800
(y)Federal Home Loan Bank.................................. 0.79% 06/14/17 53,800,000 53,748,029
(y)Federal Home Loan Bank.................................. 0.78% 06/16/17 150,000,000 149,848,650
(y)Federal Home Loan Bank.................................. 0.78% 06/19/17 150,000,000 149,838,750
(y)Federal Home Loan Bank.................................. 0.78% 06/21/17 150,000,000 149,832,150
(y)Federal Home Loan Bank.................................. 0.85% 07/19/17 100,000,000 99,815,700
(y)Federal Home Loan Bank.................................. 0.86% 07/21/17 75,000,000 74,858,250
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (concluded)
April 30, 2017 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- --------------
U.S. GOVERNMENT AGENCY SECURITIES--6.5% (CONTINUED)
(y)Federal Home Loan Bank........................................................ 0.86% 07/26/17 50,000,000 49,899,650
------------- --------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost
$1,702,549,701)................................................................ 1,703,800,000 1,702,523,404
------------- --------------
REPURCHASE AGREEMENTS--13.7%
Bank of America Corp. (Purchased on 04/28/17, Proceeds at maturity
$150,010,125, collateralized by U.S. Treasury Security, 1.13%, 02/28/19,
market value $153,000,008)..................................................... 0.81% 05/01/17 150,000,000 150,000,000
Barclays Capital, Inc. (Purchased on 04/28/17, Proceeds at maturity
$800,054,000, collateralized by U.S. Treasury Securities, 0.00% - 8.13%,
08/10/17--05/15/26, market value $816,000,001)................................. 0.81% 05/01/17 800,000,000 800,000,000
Federal Reserve Bank NY (Purchased on 04/28/17, Proceeds at maturity
$325,020,313, collateralized by U.S. Treasury Security, 1.38, 06/30/23, market
value $325,020,328)............................................................ 0.75% 05/01/17 325,000,000 325,000,000
Goldman Sachs & Co. (Purchased on 04/28/17, Proceeds at maturity
$200,013,333, collateralized by U.S. Government Agency Backed Securities,
2.50%--6.00%, 04/20/29--04/20/47, market value $204,000,000)................... 0.80% 05/01/17 200,000,000 200,000,000
HSBC Securities (USA), Inc. (Purchased on 04/28/17, Proceeds at maturity
$200,013,167, collateralized by U.S. Treasury Securities, 0.00%--6.00%,
01/01/18--02/15/26, market value $202,459,154)................................. 0.79% 05/01/17 200,000,000 200,000,000
JPMorgan Securities (Purchased on 04/28/17, Proceeds at maturity
$400,027,333, collateralized by U.S. Government Agency Backed Securities,
0.00%--6.25%, 05/11/17--02/03/27, market value $408,004,329)................... 0.82% 05/01/17 400,000,000 400,000,000
Mizuho Securities USA, Inc. (Purchased on 04/28/17, Proceeds at maturity
$300,020,500, collateralized by U.S. Treasury Securities, 0.00%--4.00%,
06/23/17--04/01/47, market value $306,000,001)................................. 0.82% 05/01/17 300,000,000 300,000,000
Royal Bank of Canada (Purchased on 04/28/17, Proceeds at maturity
$600,040,000, collateralized by U.S. Treasury Securities, 0.13% - 4.00%,
02/28/18--04/20/47, market value $612,000,000)................................. 0.80% 05/01/17 600,000,000 600,000,000
Toronto Dominion Bank NY (Purchased on 04/28/17, Proceeds at maturity
$600,041,000, collateralized by U.S. Government Agency Backed Securities,
0.00%--5.25%, 05/17/17--03/12/27, market value $612,000,023)................... 0.82% 05/01/17 600,000,000 600,000,000
------------- --------------
TOTAL REPURCHASE AGREEMENTS (Cost $3,575,000,000)................................ 3,575,000,000 3,575,000,000
------------- --------------
U.S. TREASURY OBLIGATIONS--4.4%
(y)U.S. Treasury Bill............................................................ 0.59% 05/11/17 100,000,000 99,981,500
(y)U.S. Treasury Bill............................................................ 0.53% 05/18/17 200,000,000 199,936,400
(y)U.S. Treasury Bill............................................................ 0.67% 05/25/17 100,000,000 99,955,300
(y)U.S. Treasury Bill............................................................ 0.66% 06/01/17 100,000,000 99,941,600
(y)U.S. Treasury Bill............................................................ 0.52% 06/08/17 50,000,000 49,964,350
(y)U.S. Treasury Bill............................................................ 0.50% 06/15/17 100,000,000 99,917,800
(y)U.S. Treasury Bill............................................................ 0.50% 06/22/17 100,000,000 99,898,900
(y)U.S. Treasury Bill............................................................ 0.76% 07/06/17 100,000,000 99,864,300
(y)U.S. Treasury Bill............................................................ 0.80% 07/13/17 100,000,000 99,849,900
(y)U.S. Treasury Bill............................................................ 0.80% 07/27/17 200,000,000 199,619,400
------------- --------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,148,984,899)............................ 1,150,000,000 1,148,929,450
------------- --------------
TOTAL INVESTMENTS (Cost $26,151,747,239)--100.0%................................. 26,158,059,752
==============
AB--Aktiebolag (Swedish Stock Company)
LLC--Limited Liability Co.
LP--Limited Partnership
NY--New York Shares
See Notes to Financial Statements.
++ Rule 144A, Section 4(2), or other security which is restricted as to resale
to institutional investors. The Fund's Advisor has deemed this security to
be liquid based upon procedures approved by the Board of Directors/Trustees.
The aggregate value of these securities at April 30, 2017 was
$11,561,966,921 which represented 42.2% of the total investments of the Fund.
(r)The adjustable/variable rate shown is effective as of April 30, 2017.
(y)The rate shown is the effective yield.
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2017 (UNAUDITED)
ASSETS:
Investments, at value........................................... $22,583,059,752
Repurchase agreements, at value................................. 3,575,000,000
---------------
Total Investments........................................ 26,158,059,752
---------------
Cash............................................................ 1,229,826,084
Interest receivable............................................. 9,243,613
Prepaid expenses................................................ 24,405
---------------
Total Assets............................................. 27,397,153,854
---------------
LIABILITIES:
Distributions payable........................................... 21,455,885
Accrued expenses and other payables:
Investment Management Fees................................... 1,132,542
Director/Trustee Fees........................................ 401,333
Administration and Transfer Agent Fees....................... 8,112
Professional Fees............................................ 99,408
CCO Fees..................................................... 1,983
Other Expenses............................................... 125,147
---------------
Total Liabilities........................................ 23,224,410
---------------
Net Assets...................................................... $27,373,929,444
===============
NET ASSETS CONSIST OF:
Capital......................................................... $27,367,569,255
Undistributed Net Investment Loss............................... (17,773)
Accumulated Net Realized Gains from Investment Transactions..... 65,449
Net Unrealized Appreciation on Investments...................... 6,312,513
---------------
NET ASSETS...................................................... $27,373,929,444
===============
Shares of Beneficial Interest (Unlimited Number of Shares
Authorized, No Par value)..................................... 2,365,290,690
===============
Net Asset Value (Offering and Redemption Price Per Share)....... 11.5731/(a)/
===============
Investments at cost............................................. $26,151,747,239
/(a)/Per share amounts may not recalculate due to rounding of net assets and
shares outstanding.
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2017 (UNAUDITED)
INVESTMENT INCOME:
Interest........................................................ $103,232,438
------------
Total Investment Income...................................... 103,232,438
------------
EXPENSES:
Investment Management Fees...................................... 6,357,417
Administration and Transfer Agent Fees.......................... 877,101
Professional Fees............................................... 111,177
Director/Trustee Fees........................................... 65,912
CCO Fees........................................................ 12,121
Other Expenses.................................................. 256,071
------------
Total Expenses Before Fee Reductions......................... 7,679,799
------------
Fees Paid Indirectly............................................ (826,454)
------------
Net Expenses................................................. 6,853,345
------------
Net Investment Income........................................... 96,379,093
------------
REALIZED/UNREALIZED GAINS FROM INVESTMENTS
Net Realized Gains from Investment Transactions................. 66,018
Net Change in Unrealized Appreciation on Investments............ 1,420,906
------------
Net Realized and Unrealized Gains from Investments.............. 1,486,924
------------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS.................. $ 97,866,017
============
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX
MONTHS FOR THE YEAR
ENDED ENDED
APRIL 30, 2017 OCTOBER 31, 2016
---------------- -----------------
(UNAUDITED)
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net Investment Income................................... $ 96,379,093 $ 90,403,238
Net Realized Gains from Investment Transactions......... 66,018 22,440
Net Change in Unrealized Appreciation on Investments.... 1,420,906 4,830,003
---------------- -----------------
Change in net assets resulting from operations.......... 97,866,017 95,255,681
---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income................................... (96,361,003) (90,469,339)
Net Realized Gains...................................... (19,983) (116,140)
---------------- -----------------
Change in Net Assets from Distributions to Shareholders. (96,380,986) (90,585,479)
---------------- -----------------
CAPITAL TRANSACTIONS:
Proceeds from Shares Issued............................. 56,273,743,240 101,244,735,044
Dividends Reinvested.................................... 8,892 623
Cost of Shares Redeemed................................. (51,334,121,238) (102,047,247,025)
---------------- -----------------
Change in Net Assets from Capital Transactions.......... 4,939,630,894 (802,511,358)
---------------- -----------------
Change in Net Assets....................................... 4,941,115,925 (797,841,156)
NET ASSETS:
Beginning of Period........................................ 22,432,813,519 23,230,654,675
---------------- -----------------
End of Period.............................................. $ 27,373,929,444 $ 22,432,813,519
================ =================
Accumulated Net Investment Income (Loss)................... $ (17,773) $ (35,863)
================ =================
SHARES TRANSACTIONS:
Shares Issued........................................... 4,862,611,745 8,750,547,594
Reinvested.............................................. 768 54
Shares Redeemed......................................... (4,435,799,093) (8,819,887,986)
---------------- -----------------
Change in Shares........................................... 426,813,420 (69,340,338)
================ =================
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX-MONTHS YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
ENDED OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
APRIL 30, 2017 2016/(a)/ 2015 2014 2013 2012 +
-------------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
NET ASSET VALUE, BEGINNING
OF PERIOD.................. $ 11.5723 $ 11.5700 $ 11.57 $ 11.57 $ 11.57 $ 11.57
----------- ----------- ----------- ----------- ----------- -----------
INVESTMENT ACTIVITIES:
Net Investment Income..... 0.0432 0.0472 0.01 0.01 0.01 0.02
Net Realized and
Unrealized Gains on
Investments............. 0.0008 0.0024 --/(b)/ --/(b)/ --/(b)/ --/(b)/
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Activities.............. 0.0440 0.0496 0.01 0.01 0.01 0.02
----------- ----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income..... (0.0432) (0.0472) (0.01) (0.01) (0.01) (0.02)
Net Realized Gains........ --/(b)/ (0.0001) --/(b)/ --/(b)/ --/(b)/ --/(b)/
----------- ----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS.......... (0.0432) (0.0473) (0.01) (0.01) (0.01) (0.02)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of
Period..................... $ 11.5731 $ 11.5723 $ 11.57 $ 11.57 $ 11.57 $ 11.57
=========== =========== =========== =========== =========== ===========
Total Return................. 0.38%/(c)/ 0.43% 0.11% 0.08% 0.13% 0.21%
SUPPLEMENTAL DATA:
NET ASSETS, END OF PERIOD
(000'S).................... $27,373,929 $22,432,814 $23,230,655 $24,343,666 $19,492,456 $14,443,787
Ratios to Average Net Assets:
Net Investment Income/(d)/... 0.76% 0.41% 0.11% 0.08% 0.12% 0.21%
Gross Expenses/(d)/.......... 0.06% 0.06% 0.06% 0.06% 0.06% 0.06%
Net Expenses/(d)(e)/......... 0.05% 0.05% 0.06% 0.06% 0.06% 0.06%
+ As described in Note H, amounts have been adjusted for a 1-for-11.57 reverse
share split that occurred on May 7, 2012.
(a)As a result of the SEC's rules on money market reform, the financial
highlight values are now presented to 4 digits beginning in 2016.
(b)Amount less than $0.005.
(c)Not annualized.
(d)Annualized for periods less than one year.
(e)Ratio as disclosed reflects the impact of custody fee credits earned by the
fund on cash balances.
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements
April 30, 2017 (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
"1940 Act"). The Trust consists of eleven series one of which, The DFA Short
Term Investment Fund (the "Fund"), is included in this report. The remaining
series are presented in separate reports. The Fund is an investment company
and, accordingly, follows the accounting and reporting guidance under Financial
Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC")
Topic 946, "Financial Services - Investment Companies."
The investment objective of the Fund is to seek to provide a high level of
current income consistent with liquidity and the preservation of capital. As a
money market fund, the Fund will pursue its investment objective by investing
in U.S. dollar-denominated short-term debt securities that meet the strict
standards established by the Board of Trustees of the Trust (the "Board"),
which are in accordance with Rule 2a-7 under the 1940 Act.
The Board is responsible for establishing the Trust's policies and for
overseeing the management of the Trust. Under the Trust's organizational
documents, its officers and trustees are indemnified against certain
liabilities arising out of the performance of their duties to the Trust. In the
normal course of business, the Trust enters into contracts that contain a
variety of representations and warranties that provide general indemnification.
The Trust's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Trust and/or its affiliates
that have not yet occurred. However, based on prior experience, the Trust
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America ("U.S. GAAP").
Such policies are consistently followed by the Trust in preparation of its
financial statements. The preparation of financial statements in accordance
with U.S. GAAP requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates
and those differences could be material.
1. SECURITY VALUATION - The Fund utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 inputs are quoted prices in active markets for identical
- securities
. Level 2 other significant observable inputs (including quoted prices
- for similar securities, interest rates, prepayment
speeds, credit risk, etc.)
. Level 3 significant unobservable inputs (including the Fund's own
- assumptions in determining the fair value of
investments)
The securities held by the Fund are valued at market value or fair value in
accordance with procedures adopted by the Board. Debt securities are valued on
the basis of evaluated prices provided by one or more pricing services or other
reasonably reliable sources, including broker/dealers that typically handle the
purchase and sale of such securities.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board. These valuations are generally categorized as Level 2 in the
hierarchy.
Changes in valuation techniques may result in transfers in or out of an
assigned level within the disclosure hierarchy. The Fund determines transfers
between fair value hierarchy levels at the reporting period end. During the
six-months ended April 30, 2017, only securities classified as Level 2 in the
fair value hierarchy were held by the Fund.
A summary of the inputs used to value the Fund's investments is disclosed
previously in this Note. A valuation hierarchy table has been provided below.
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2017 (Unaudited)
For the six-months ended April 30, 2017, there were no transfers between Level
1 and Level 2, and no Level 3 investments were held by the Fund.
When determining the fair value of the Fund's investments, additional
consideration is given to those assets or liabilities that have experienced a
decrease in the volume or level of activity or have identified circumstances
that indicate that a transaction is not orderly.
The following table provides the fair value measurements of the Fund's
investments by level within the fair value hierarchy as of April 30, 2017:
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS INVESTMENTS INVESTMENTS
IN IN IN
SECURITIES SECURITIES SECURITIES
----------- --------------- -----------
THE DFA SHORT TERM INVESTMENT FUND
Corporate Bonds................... $ -- $ 67,728,820 $ --
Yankee Bonds...................... -- 229,122,771 --
Commercial Paper.................. -- 15,671,343,202 --
Yankee Certificates of Deposit.... -- 3,763,412,105 --
U.S. Government Agency Securities. -- 1,702,523,404 --
Repurchase Agreements............. -- 3,575,000,000 --
U.S. Treasury Obligations......... -- 1,148,929,450 --
---- --------------- ----
Total Investments............. $ -- $26,158,059,752 $ --
==== =============== ====
2. DEFERRED COMPENSATION PLAN - Each eligible trustee (each a "Trustee" and
collectively, the "Trustees") 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
Director/Trustee Fees.
Each Trustee has the option to receive the distribution of proceeds in one of
the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Trustee's
deferred compensation until a date specified by such Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Trustee ceases to be a member of the
Board; and (ii) five years following the effective date of the Trustee's first
deferral election. If a Trustee who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Trustee's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Trustee ceases to be a
member of the Board (unless the Trustee files an amended Notice selecting a
different distribution date). As of April 30, 2017, none of the Trustees have
requested or received a distribution of proceeds of a deferred fee account.
At April 30, 2017, the Fund's total liability of $476,867 for deferred
compensation to Trustees is included in the "Director/Trustee Fees" payable (a
line item which also includes Trustee fees/expenses, currently in a prepaid
state) on the Statement of Assets and Liabilities.
3. SECURITY TRANSACTIONS AND RELATED INCOME - 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 on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The Fund generally declares distributions from net investment
income on a daily basis and pays dividends monthly. Any capital gains are
distributed at least annually. The Fund does not expect to realize any
long-term capital gains and losses. The Fund may distribute such income
dividends and capital gains more frequently, if necessary, in order to reduce
or eliminate federal excise or income
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2017 (Unaudited)
taxes on the Fund. Interest income is recognized on an accrual basis and
includes amortization or accretion of premia or discount using the
straight-line method. Costs used in determining net realized gains and losses
on the sales of investment securities are those of the specific securities
sold, adjusted for the accretion or amortization of purchase discounts or
premia during the respective holding period.
4. ALLOCATIONS - The Trust bears all of its own fees, expenses, charges,
assessments, taxes, and other costs incurred in its operation, whether incurred
directly by the Trust or by Dimensional Fund Advisors LP, the Fund's investment
adviser (the "Advisor"), on its behalf. Expenses directly attributable to the
Fund are charged to the Fund. Expenses not directly attributable to the Fund
are allocated among the respective portfolios in the Trust on the basis of
their relative net assets.
C. FEDERAL INCOME TAXES
The Fund is classified as a regulated investment company for tax purposes. As a
regulated investment company, the Fund generally pays no U.S. federal income
tax on the income and gains that the Fund distributes to shareholders.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S federal income tax regulation, which may
differ from those amounts determined under U.S. GAAP. These book/tax
differences are either temporary (e.g., wash sale losses) or permanent (e.g.,
reclassification of certain gain/loss and distributions) in nature. To the
extent these differences are permanent, they are charged or credited to paid-in
capital, undistributed net investment income or accumulated net realized gains,
as appropriate, in the period that the differences arise. There were no
permanent differences as of April 30, 2017 attributable to distribution
redesignations.
As of April 30, 2017, the tax cost of securities and the breakdown of
unrealized appreciation and depreciation of securities for federal income tax
purposes are as follows:
Net Unrealized
Tax Cost of Unrealized Unrealized Appreciation /
Securities Appreciation Depreciation (Depreciation)
--------------- ------------ ------------ --------------
The DFA Short Term Investment Fund.... $26,151,760,636 $7,246,987 $(947,871) $6,299,116
The difference between book-basis and tax-basis unrealized
appreciation/depreciation is attributable to wash sale activity.
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold for
financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return.
For all open tax years and all major taxing jurisdictions, management of the
Fund has concluded that there are no significant uncertain tax positions that
would require recognition in the Fund's financial statements. The Fund is not
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each of the Fund's federal tax returns for the prior three
fiscal years remains subject to examination by the Internal Revenue Service.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2017 (Unaudited)
The tax character of distributions paid to shareholders during the year ended
October 31, 2016, was as follows:
Distributions Paid From
------------------------------------------
Total
Net Investment Long-Term Distributions
Income Capital Gains Paid
-------------- ------------- -------------
The DFA Short Term Investment Fund. $82,921,419 $2,002 $82,923,421
As of October 31, 2016, the components of distributable earnings (accumulated
losses) on a tax basis were as follows:
Undistributed
-------------------------------
Long- Total
Term Accumulated Unrealized Accumulated
Ordinary Capital Accumulated Distributions Capital And Appreciation Earnings
Income Gains Earnings Payable Other Losses (Depreciation) (Deficit)
----------- ------- ----------- ------------- ------------ -------------- -----------
The DFA Short Term Investment
Fund........................ $11,257,446 $985 $11,258,431 $(10,782,427) $-- $4,399,154 $4,875,158
D. FINANCIAL INSTRUMENTS
REPURCHASE AGREEMENTS - The Fund may engage in repurchase agreement
transactions with institutions that the Advisor has determined are
creditworthy. The Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral for certain
tri-party repurchase agreements is held at the counterparty's custodian in a
segregated account for the benefit of the Fund and the counterparty. The
counterparty will be required to maintain collateral with a value at least
equal, at all times, to the value of the repurchase obligation including
interest. A repurchase agreement transaction involves certain risks in the
event of default or insolvency of the counterparty. These risks include
possible delay or restrictions upon the Fund's ability to dispose of the
collateral and a possible decline in the value of the collateral during the
period while the Fund seeks to assert its rights.
Repurchase agreements ("RA") permit the Fund, under certain circumstances
including an event of default (such as bankruptcy or insolvency), to offset
payables and/or receivables under the RA with collateral held and/or posted to
the counterparty and create one single net payment due to or from the Fund.
However, bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against such a right of offset in the event of
the RA counterparty's bankruptcy or insolvency. Pursuant to the terms of the
RA, the Fund receives securities as collateral with a market value in excess of
the repurchase price to be received by the Fund upon the maturity of the
repurchase transaction. Upon a bankruptcy or insolvency of the RA counterparty,
the Fund would recognize a liability with respect to such excess collateral to
reflect the Fund's obligation under bankruptcy law to return the excess to the
counterparty.
E. RELATED PARTY TRANSACTIONS
INVESTMENT MANAGER - Dimensional Fund Advisors LP (the "Advisor" or "DFA")
serves as investment advisor to the Fund. Pursuant to an investment management
agreement with the Trust with respect to the Fund (the "Investment Management
Agreement"), the Advisor manages the investment and reinvestment of the Fund's
assets. DFA has served as the Fund's investment advisor since the Fund's
commencement of operations. Pursuant to the terms of the Investment Management
Agreement, the Advisor receives a management fee calculated daily and payable
monthly from the Fund at an annual rate of 0.05% of the average daily net
assets.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2017 (Unaudited)
FEES PAID TO OFFICERS AND 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. Amounts paid to the Trust's CCO are reflected
on the Statement of Operations as "CCO fees".
ADMINISTRATOR AND CUSTODIAN - Citi Fund Services Ohio, Inc. serves as the
Administrator, and Citibank, N.A. serves as the Custodian of the Fund. Pursuant
to the terms of the Master Services Agreement, the Administrator receives a fee
payable monthly from the Fund at an annual rate of 0.0065% of the average daily
net assets.
Expense offsets to custody fees that arise from credits on cash balances
maintained on deposit are reflected on the Statement of Operations, as
applicable, as "Fees paid indirectly." Custody fees are reported gross of such
credits.
At April 30, 2017, the following number of shareholders held the approximate
percentage of the stated Portfolio's outstanding shares:
Number of Approximate Percentage
Shareholders of Outstanding Shares
------------ ----------------------
The DFA Short Term Investment Fund.... 6 48%
F. INTEREST RATE AND CREDIT RISKS
The Fund invests primarily in money market instruments maturing in 397 days or
less and which are considered Eligible Securities (as defined in Rule 2a-7
under the 1940 Act). The ability of the issuers of the securities held by the
Fund to meet their obligations may be affected by economic developments in a
specific industry, state or region.
The Fund is subject to the risk that the Advisor's security selection and
expectations regarding interest rate trends will cause the yields of the Fund
to lag the performance of other mutual funds with similar investment objectives
or the performance of short-term debt instruments. The emphasis of the Fund on
quality and liquidity also could cause the Fund to underperform when compared
to other money market funds, particularly those that take greater maturity and
credit risks.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM
The Fund, together with other Dimensional-advised portfolios, has entered into
a $700 million unsecured line of credit with its custodian bank effective
January 6, 2017. A similar line of credit for $500 million was in effect
through January 7, 2017. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $700 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 to by the parties at the time of
borrowing. There is no commitment fee on the unused portion of the line of
credit. The agreement for the line of credit expires on January 5, 2018. There
were no borrowings by the Fund under this line of credit during the six-month
period ended 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 objective and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice. The Fund
had no interfund loans through the program during the period and there were no
outstanding loans as of April 30, 2017.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2017 (Unaudited)
H. REVERSE SHARE SPLIT
On May 7, 2012, upon approval of the Board and consent of the shareholders, the
Fund no longer sought to maintain a stable net asset value of $1.00 per share
and, instead, adopted a floating net asset value per share. To accomplish the
change from a stable net asset value fund to a floating net asset value fund,
on May 7, 2012, the Fund underwent a 1-for-11.57 reverse share split. The
effect of the reverse share split transaction was to divide the number of
outstanding shares of the Fund by the reverse split factor, with a
corresponding increase in the net asset value per share. This transaction did
not change the net assets of the Fund or the value of a shareholder's
investment. The historical share transactions presented in the Statements of
Changes in Net Assets and per share data presented in the Financial Highlights
have been adjusted retroactively to show the effect of the reverse share split.
Additionally, when the application of the reverse share split results in
fractional shares for beneficial shareholders, a portion of the cost of shares
redeemed, as presented in the Statements of Changes in Net Assets, will reflect
payments of fractional share balances on beneficial shareholder accounts.
I. MONEY MARKET REFORM
In July 2014 and September 2015, the Securities and Exchange Commission ("SEC")
finalized rules that altered and increased the regulations to which money
market funds, including the Fund, are subject. The SEC's new rules had varying
implementation dates, ranging from July 2015 to October 2016 and were intended
to give investors additional protection during rare periods of market stress,
when redemptions in some money market mutual funds may increase significantly.
The new rules replaced much of the current Rule 2a-7 and significantly
increased the data reporting requirements to the SEC. The new rules allowed
money market funds to suspend redemptions and allowed (and will, under certain
circumstances, require) money market funds to impose fees on redemptions in
times of market stress. Among other things, the new rules also removed
references to credit ratings of securities held by a money market fund, adopted
a uniform standard to define an "eligible security" as a security that has been
determined to present minimal credit risk, and require that money market funds
engage in ongoing monitoring of their portfolio securities and perform
portfolio stress testing for credit deterioration and changes in interest rates
rather than for a ratings downgrade. Effective October 3, 2016, the Fund has
been operating in compliance with all aspects of the amendments applicable to
it. The SEC's compliance deadline was October 14, 2016.
Certain government and U.S. Treasury money market funds are not subject to many
of the new structural changes. Further information regarding the money market
mutual fund regulatory changes may be found at the SEC's website, www.sec.gov.
J. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund
through the date these financials statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information
April 30, 2017 (Unaudited)
EXPENSE EXAMPLES
The following Expense Tables are shown so that you can understand the impact of
fees on your investment. All mutual funds have operating expenses. As a
shareholder of the Fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the Fund and
to compare these costs with those of other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of
the period and held for the entire period from November 1, 2016 to April 30,
2017.
Actual Expenses
---------------
The table below provides information about actual account values and actual
expenses. You may use the information below, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply divide
your account value by $1,000 (for example, an $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you
paid on your account during this period.
Annualized
Beginning Ending Expenses Paid Expense Ratio
Account Value Account Value During Period* During Period
11/1/16 4/30/17 11/1/16 - 4/30/17 11/1/16 - 4/30/17
------------- ------------- ----------------- -----------------
The DFA Short Term Investment Fund.... $1,000.00 $1,003.80 $0.25 0.05%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from November 1, 2016 to April 30, 2017, divided by the number of
days in the fiscal year.
Hypothetical Example for Comparison Purposes
--------------------------------------------
The table below provides information about hypothetical account values and
hypothetical expenses based on the Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not the Fund's actual
return. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare this 5% hypothetical example with the
5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
Annualized
Beginning Ending Expenses Paid Expense Ratio
Account Value Account Value During Period* During Period
11/1/16 4/30/17 11/1/16 - 4/30/17 11/1/16 - 4/30/17
------------- ------------- ----------------- -----------------
The DFA Short Term Investment Fund.... $1,000.00 $1,024.55 $0.25 0.05%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from November 1, 2016 to April 30, 2017, divided by the number of
days in the fiscal year.
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (continued)
April 30, 2017 (Unaudited)
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use in
voting proxies relating to securities held in the portfolios is available
(1) without charge, upon request, by calling collect: (512) 306-7400 (2) from
the Advisor's website at http://us.dimensional.com; and (3) on the SEC's
website at http://www.sec.gov. Information regarding how the Advisor votes
these proxies is available from the EDGAR database on the SEC's website at
http://www.sec.gov and from the Advisor's website at http://us.dimensional.com
and reflects the twelve-month period beginning July 1st and ending June 30th.
PORTFOLIO HOLDINGS INFORMATION
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the Trust or
the Fund, this would be for the fiscal quarters ending January 31 and July 31.
The Form N-Q filing must be made within 60 days of the end of the quarter. The
Trust filed its most recent Form N-Q with the SEC on Month Day, Year. The Forms
N-Q are available upon request, without charge, by calling collect:
(512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300
Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's
website at http://www.sec.gov, or they may be reviewed and copied at the SEC's
Public Reference Room in Washington, DC (call 1-800-732-0330 for the
information on the operation of the Public Reference Room).
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT
At the Board meeting held on December 14-15, 2016 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement (the "Management
Agreement") for the Fund.
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 Agreement. 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 Agreement. 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 the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund;
(ii) the performance of the Fund and the Advisor; (iii) the fees and expenses
borne by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; and (v) whether economies of scale are realized by
the Advisor with respect to the 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 the 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 the 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 the 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 the Fund, the Board analyzed the
Morningstar Reports, which compared the performance of the 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 the 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 Fund. The Board determined,
among other things, that after considering the Fund's investment strategies and
the expectations of its shareholder base, the performance of the Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by the 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 the 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 the 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 the Fund. The Board considered the profitability to the
Advisor of managing and servicing the Fund 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 the 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 the 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 the Fund was in
the best interests of the Fund and its shareholders.
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 that provided a summary schedule of portfolio holdings in a report
to stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF INVESTMENTS IS PROVIDED
The U.S. Large Cap Value Series
The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
The Tax-Managed U.S. Marketwide Value Series
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
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 JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
COMMON STOCKS -- (90.2%)
Consumer Discretionary -- (17.3%)
Adastria Co., Ltd. 194,640 $ 4,834,098 0.2%
Adventure, Inc. 1,400 124,157 0.0%
# Aeon Fantasy Co., Ltd. 49,332 1,297,100 0.0%
#* AGORA Hospitality Group Co., Ltd. 591,000 180,437 0.0%
Ahresty Corp. 137,600 1,375,598 0.1%
Aisan Industry Co., Ltd. 203,300 1,827,495 0.1%
#* Akebono Brake Industry Co., Ltd. 592,900 1,896,408 0.1%
#* Allied Architects, Inc. 11,600 470,269 0.0%
# Alpen Co., Ltd. 111,900 2,006,587 0.1%
# Alpha Corp. 32,400 584,769 0.0%
Alpine Electronics, Inc. 277,500 4,038,000 0.1%
Amiyaki Tei Co., Ltd. 25,900 971,322 0.0%
Amuse, Inc. 70,298 1,613,051 0.1%
* Anrakutei Co., Ltd. 2,200 90,006 0.0%
AOI TYO Holdings, Inc. 109,931 806,658 0.0%
AOKI Holdings, Inc. 268,400 3,315,368 0.1%
Aoyama Trading Co., Ltd. 304,000 10,861,408 0.3%
# Arata Corp. 40,900 1,105,420 0.0%
Arcland Sakamoto Co., Ltd. 176,200 2,179,632 0.1%
Arcland Service Holdings Co., Ltd. 43,700 1,205,391 0.0%
Asahi Broadcasting Corp. 35,100 239,759 0.0%
Asahi Co., Ltd. 105,600 1,351,394 0.0%
Asante, Inc. 24,700 375,551 0.0%
Asatsu-DK, Inc. 207,400 5,382,193 0.2%
Ashimori Industry Co., Ltd. 254,000 371,324 0.0%
# ASKUL Corp. 112,700 3,282,339 0.1%
# Asti Corp. 59,000 370,611 0.0%
# Atom Corp. 510,100 3,317,222 0.1%
Atsugi Co., Ltd. 961,000 1,154,916 0.0%
Autobacs Seven Co., Ltd. 455,700 6,897,444 0.2%
Avex Group Holdings, Inc. 225,400 3,315,004 0.1%
# Beenos, Inc. 5,900 75,365 0.0%
Belluna Co., Ltd. 291,800 2,675,624 0.1%
Best Denki Co., Ltd. 360,200 523,464 0.0%
Bic Camera, Inc. 546,600 5,440,171 0.2%
Bookoff Corp. 59,400 417,960 0.0%
# BRONCO BILLY Co., Ltd. 62,800 1,438,141 0.1%
Can Do Co., Ltd. 65,500 992,181 0.0%
Central Automotive Products, Ltd. 15,400 159,574 0.0%
Central Sports Co., Ltd. 33,800 1,003,561 0.0%
Ceres, Inc. 8,400 107,418 0.0%
CHIMNEY Co., Ltd. 27,800 703,461 0.0%
Chiyoda Co., Ltd. 102,100 2,547,315 0.1%
Chofu Seisakusho Co., Ltd. 127,700 3,055,153 0.1%
Chori Co., Ltd. 71,800 1,281,345 0.0%
Chuo Spring Co., Ltd. 196,000 585,694 0.0%
Clarion Co., Ltd. 677,000 2,687,866 0.1%
Cleanup Corp. 129,700 936,531 0.0%
Coco's Japan Co., Ltd. 12,000 216,813 0.0%
# Colowide Co., Ltd. 363,400 5,966,752 0.2%
Corona Corp. 86,700 886,737 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Consumer Discretionary -- (Continued)
# Create Restaurants Holdings, Inc. 271,300 $2,197,783 0.1%
D.A. Consortium Holdings, Inc. 118,700 1,511,589 0.1%
Daido Metal Co., Ltd. 195,500 1,744,447 0.1%
# Daidoh, Ltd. 139,800 545,610 0.0%
Daiichikosho Co., Ltd. 101,900 4,422,661 0.1%
# Daikoku Denki Co., Ltd. 51,800 746,263 0.0%
Daikyonishikawa Corp. 221,700 2,818,287 0.1%
Dainichi Co., Ltd. 49,300 315,195 0.0%
# Daisyo Corp. 47,200 681,815 0.0%
# DCM Holdings Co., Ltd. 530,600 4,619,536 0.1%
Descente, Ltd. 250,600 3,039,837 0.1%
Doshisha Co., Ltd. 148,200 2,996,443 0.1%
Doutor Nichires Holdings Co., Ltd. 195,386 4,143,280 0.1%
Dunlop Sports Co., Ltd. 76,600 711,772 0.0%
Dynic Corp. 174,000 299,602 0.0%
Eagle Industry Co., Ltd. 147,200 2,083,548 0.1%
# EDION Corp. 513,900 5,009,604 0.2%
# ES-Con Japan, Ltd. 209,400 733,201 0.0%
ESCRIT, Inc. 7,100 49,261 0.0%
Exedy Corp. 193,000 5,269,406 0.2%
# F-Tech, Inc. 49,000 589,330 0.0%
FCC Co., Ltd. 231,400 4,418,354 0.1%
# Fields Corp. 85,300 957,836 0.0%
Fine Sinter Co., Ltd. 9,800 175,278 0.0%
# First Juken Co., Ltd. 23,200 301,460 0.0%
FJ Next Co., Ltd. 73,700 628,968 0.0%
Foster Electric Co., Ltd. 155,800 2,601,375 0.1%
France Bed Holdings Co., Ltd. 139,600 1,173,542 0.0%
# FTGroup Co., Ltd. 74,000 517,444 0.0%
Fuji Co., Ltd. 111,400 2,759,032 0.1%
# Fuji Corp. 18,700 335,401 0.0%
Fuji Corp., Ltd. 149,600 979,770 0.0%
Fuji Kiko Co., Ltd. 137,400 740,033 0.0%
# Fuji Kyuko Co., Ltd. 256,000 2,343,381 0.1%
Fuji Oozx, Inc. 6,000 20,464 0.0%
Fujibo Holdings, Inc. 67,100 1,829,578 0.1%
Fujikura Rubber, Ltd. 107,000 651,048 0.0%
# Fujio Food System Co., Ltd. 10,700 267,807 0.0%
# Fujishoji Co., Ltd. 47,100 477,557 0.0%
# Fujita Kanko, Inc. 451,000 1,449,450 0.1%
FuKoKu Co., Ltd. 42,100 344,156 0.0%
# Funai Electric Co., Ltd. 121,700 908,811 0.0%
# Furukawa Battery Co., Ltd. (The) 89,000 574,339 0.0%
Furyu Corp. 24,600 312,165 0.0%
Futaba Industrial Co., Ltd. 344,700 2,880,975 0.1%
G-7 Holdings, Inc. 32,000 666,069 0.0%
G-Tekt Corp. 110,800 1,954,744 0.1%
Gakken Holdings Co., Ltd. 31,300 862,056 0.0%
Gakkyusha Co., Ltd. 31,200 440,959 0.0%
# Genki Sushi Co., Ltd. 18,700 364,266 0.0%
# Geo Holdings Corp. 223,300 2,466,624 0.1%
Gfoot Co., Ltd. 22,500 152,439 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
GLOBERIDE, Inc. 62,299 $1,079,312 0.0%
# Gokurakuyu Holdings Co., Ltd. 37,600 277,064 0.0%
Goldwin, Inc. 4,000 209,837 0.0%
# Golf Digest Online, Inc. 52,500 382,710 0.0%
* Gourmet Kineya Co., Ltd. 85,000 813,503 0.0%
GSI Creos Corp. 306,000 395,517 0.0%
Gunze, Ltd. 1,080,000 4,367,710 0.1%
H-One Co., Ltd. 113,200 1,650,143 0.1%
H2O Retailing Corp. 333,000 5,652,135 0.2%
Hagihara Industries, Inc. 35,500 844,952 0.0%
Hakuyosha Co., Ltd. 6,500 173,604 0.0%
Handsman Co., Ltd. 26,500 420,933 0.0%
Happinet Corp. 93,800 1,544,727 0.1%
Hard Off Corp. Co., Ltd. 57,900 551,495 0.0%
Haruyama Holdings, Inc. 47,900 416,649 0.0%
Heian Ceremony Service Co., Ltd. 6,700 56,186 0.0%
Heiwa Corp. 101,000 2,603,030 0.1%
HI-LEX Corp. 64,600 1,595,687 0.1%
Hiday Hidaka Corp. 117,656 2,484,732 0.1%
# Himaraya Co., Ltd. 35,900 264,376 0.0%
# Hiramatsu, Inc. 174,500 1,017,485 0.0%
# HIS Co., Ltd. 247,200 5,891,156 0.2%
Honeys Holdings Co., Ltd. 106,040 1,068,147 0.0%
Hoosiers Holdings 181,100 1,043,069 0.0%
Hotland Co., Ltd. 39,800 425,675 0.0%
# I K K, Inc. 48,800 332,288 0.0%
IBJ, Inc. 103,500 540,883 0.0%
Ichibanya Co., Ltd. 57,358 1,850,302 0.1%
Ichikoh Industries, Ltd. 286,000 1,491,045 0.1%
# IDOM, Inc. 420,500 2,205,913 0.1%
IJT Technology Holdings Co., Ltd. 124,680 705,466 0.0%
Imasen Electric Industrial 95,400 902,959 0.0%
Imperial Hotel, Ltd. 12,300 232,808 0.0%
# Intage Holdings, Inc. 99,700 1,868,659 0.1%
#* Izutsuya Co., Ltd. 61,699 248,533 0.0%
# Janome Sewing Machine Co., Ltd. 106,400 741,471 0.0%
Japan Wool Textile Co., Ltd. (The) 343,000 2,690,245 0.1%
# JINS, Inc. 84,100 4,525,887 0.1%
# Joban Kosan Co., Ltd. 35,399 555,228 0.0%
Jolly - Pasta Co., Ltd. 14,000 192,949 0.0%
Joshin Denki Co., Ltd. 208,000 2,215,309 0.1%
Joyful Honda Co., Ltd. 29,300 969,375 0.0%
# JP-Holdings, Inc. 374,800 1,022,678 0.0%
# JVC Kenwood Corp. 885,430 2,360,199 0.1%
# K's Holdings Corp. 110,600 2,127,557 0.1%
* Kadokawa Dwango 328,233 4,539,340 0.1%
#* Kappa Create Co., Ltd. 145,300 1,653,096 0.1%
Kasai Kogyo Co., Ltd. 143,900 1,786,901 0.1%
Kawai Musical Instruments Manufacturing Co., Ltd. 45,200 946,562 0.0%
Keihin Corp. 267,500 4,209,095 0.1%
# Keiyo Co., Ltd. 179,800 1,069,385 0.0%
# KFC Holdings Japan, Ltd. 90,600 1,581,753 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Ki-Star Real Estate Co., Ltd. 18,700 $ 273,399 0.0%
* Kintetsu Department Store Co., Ltd. 277,000 869,595 0.0%
# Kitamura Co., Ltd. 2,000 12,603 0.0%
* KNT-CT Holdings Co., Ltd. 697,000 882,106 0.0%
# Kohnan Shoji Co., Ltd. 188,500 3,637,540 0.1%
#* Kojima Co., Ltd. 176,000 465,696 0.0%
Komatsu Seiren Co., Ltd. 193,700 1,213,945 0.0%
# Komehyo Co., Ltd. 27,600 262,215 0.0%
Komeri Co., Ltd. 202,200 4,964,081 0.2%
# Konaka Co., Ltd. 120,060 641,868 0.0%
Koshidaka Holdings Co., Ltd. 56,300 1,389,339 0.1%
# Kourakuen Holdings Corp. 55,900 897,485 0.0%
KU Holdings Co., Ltd. 130,900 1,109,064 0.0%
# Kura Corp. 69,200 2,848,913 0.1%
Kurabo Industries, Ltd. 1,241,000 2,770,678 0.1%
KYB Corp. 1,157,000 5,714,928 0.2%
# Kyoritsu Maintenance Co., Ltd. 167,662 4,898,979 0.2%
#* Laox Co., Ltd. 190,100 911,222 0.0%
# LEC, Inc. 83,200 1,661,916 0.1%
# Lifull Co., Ltd. 353,100 2,478,155 0.1%
# Look, Inc. 228,000 419,532 0.0%
# Mamiya-Op Co., Ltd. 25,800 272,973 0.0%
Mars Engineering Corp. 50,500 1,040,829 0.0%
#* Maruzen CHI Holdings Co., Ltd. 55,400 173,969 0.0%
# Matsuya Co., Ltd. 188,500 1,592,277 0.1%
Matsuya Foods Co., Ltd. 52,900 1,999,781 0.1%
#* Meganesuper Co., Ltd. 336,900 199,588 0.0%
Meiko Network Japan Co., Ltd. 146,800 1,913,292 0.1%
# Meiwa Estate Co., Ltd. 65,400 421,331 0.0%
Mikuni Corp. 127,400 494,099 0.0%
# Misawa Homes Co., Ltd. 164,000 1,516,159 0.1%
Mitsuba Corp. 208,690 3,953,375 0.1%
Mitsui Home Co., Ltd. 165,000 998,348 0.0%
# Mizuno Corp. 594,000 3,071,190 0.1%
# Monogatari Corp. (The) 31,500 1,415,985 0.1%
# Morito Co., Ltd. 60,800 494,181 0.0%
Mr Max Corp. 102,200 427,015 0.0%
Murakami Corp. 15,500 299,505 0.0%
Musashi Seimitsu Industry Co., Ltd. 145,900 3,583,700 0.1%
Nafco Co., Ltd. 35,800 569,484 0.0%
Nagawa Co., Ltd. 21,600 752,473 0.0%
#* Naigai Co., Ltd. 544,000 268,424 0.0%
# Nakayamafuku Co., Ltd. 16,800 128,888 0.0%
# Nextage Co., Ltd. 18,700 240,940 0.0%
Nice Holdings, Inc. 444,000 617,802 0.0%
Nichirin Co., Ltd. 32,300 602,534 0.0%
Nihon Eslead Corp. 40,700 541,923 0.0%
Nihon House Holdings Co., Ltd. 233,300 990,202 0.0%
# Nihon Plast Co., Ltd. 51,200 628,893 0.0%
Nihon Tokushu Toryo Co., Ltd. 78,800 1,201,378 0.0%
Nippon Felt Co., Ltd. 58,200 265,361 0.0%
Nippon Piston Ring Co., Ltd. 48,600 1,040,417 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Nippon Seiki Co., Ltd. 244,400 $5,093,352 0.2%
# Nippon View Hotel Co., Ltd. 22,500 274,933 0.0%
Nishikawa Rubber Co., Ltd. 16,600 264,331 0.0%
Nishimatsuya Chain Co., Ltd. 270,000 2,864,706 0.1%
Nissan Shatai Co., Ltd. 255,200 2,402,898 0.1%
Nissan Tokyo Sales Holdings Co., Ltd. 208,000 867,573 0.0%
Nissei Build Kogyo Co., Ltd. 388,000 1,923,304 0.1%
Nissin Kogyo Co., Ltd. 230,200 3,958,473 0.1%
Nittan Valve Co., Ltd. 86,000 303,243 0.0%
Nojima Corp. 135,300 2,018,471 0.1%
Ohashi Technica, Inc. 37,600 465,239 0.0%
Ohsho Food Service Corp. 66,700 2,487,054 0.1%
* Oisix, Inc. 14,600 281,947 0.0%
Onward Holdings Co., Ltd. 736,000 5,469,337 0.2%
# Ootoya Holdings Co., Ltd. 20,000 365,792 0.0%
#* Open Door, Inc. 12,300 330,849 0.0%
OPT Holdings, Inc. 86,700 826,284 0.0%
# Otsuka Kagu, Ltd. 63,100 509,345 0.0%
Pacific Industrial Co., Ltd. 248,400 3,492,751 0.1%
# PAL GROUP Holdings Co., Ltd. 75,500 2,007,663 0.1%
PALTAC Corp. 214,634 6,335,454 0.2%
# PanaHome Corp. 507,200 5,635,007 0.2%
PAPYLESS Co., Ltd. 15,700 417,257 0.0%
Parco Co., Ltd. 123,400 1,283,735 0.0%
Paris Miki Holdings, Inc. 161,800 675,947 0.0%
# PC Depot Corp. 234,241 1,180,165 0.0%
# People Co., Ltd. 17,000 271,799 0.0%
# Pepper Food Service Co., Ltd. 23,200 409,542 0.0%
PIA Corp. 23,600 615,647 0.0%
Piolax, Inc. 170,100 3,911,638 0.1%
#* Pioneer Corp. 1,938,300 3,498,608 0.1%
Plenus Co., Ltd. 133,800 2,801,344 0.1%
# Press Kogyo Co., Ltd. 597,300 2,898,662 0.1%
# Pressance Corp. 214,000 2,475,115 0.1%
Proto Corp. 64,100 839,784 0.0%
# Raccoon Co., Ltd. 30,400 139,530 0.0%
Regal Corp. 10,000 25,654 0.0%
Renaissance, Inc. 60,600 1,002,938 0.0%
#* Renown, Inc. 306,000 395,469 0.0%
# Resol Holdings Co., Ltd. 168,000 518,333 0.0%
# Resorttrust, Inc. 327,000 5,628,510 0.2%
Rhythm Watch Co., Ltd. 559,000 946,893 0.0%
Riberesute Corp. 36,900 295,985 0.0%
# Ride On Express Co., Ltd. 21,300 164,340 0.0%
# Right On Co., Ltd. 91,325 783,946 0.0%
Riken Corp. 54,100 2,367,701 0.1%
Ringer Hut Co., Ltd. 136,100 2,789,802 0.1%
Riso Kyoiku Co., Ltd. 211,700 1,499,079 0.1%
Round One Corp. 456,600 3,899,604 0.1%
Royal Holdings Co., Ltd. 186,600 3,658,001 0.1%
* Royal Hotel, Ltd. (The) 6,000 10,770 0.0%
# Sac's Bar Holdings, Inc. 109,550 1,221,959 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Consumer Discretionary -- (Continued)
Saizeriya Co., Ltd. 194,300 $5,456,546 0.2%
# Sakai Ovex Co., Ltd. 29,799 468,430 0.0%
San Holdings, Inc. 15,400 224,412 0.0%
#* Sanden Holdings Corp. 714,000 2,218,308 0.1%
# Sanei Architecture Planning Co., Ltd. 50,300 690,436 0.0%
Sangetsu Corp. 328,750 5,800,958 0.2%
# Sanko Marketing Foods Co., Ltd. 27,800 241,130 0.0%
Sankyo Seiko Co., Ltd. 183,400 633,018 0.0%
Sanoh Industrial Co., Ltd. 136,500 978,234 0.0%
# Sanrio Co., Ltd. 306,400 5,598,245 0.2%
Sanyei Corp. 500 16,133 0.0%
Sanyo Electric Railway Co., Ltd. 379,000 1,955,007 0.1%
Sanyo Housing Nagoya Co., Ltd. 56,500 512,505 0.0%
# Sanyo Shokai, Ltd. 694,000 1,022,599 0.0%
# Scroll Corp. 166,300 533,168 0.0%
# Seiko Holdings Corp. 979,407 4,079,804 0.1%
Seiren Co., Ltd. 306,800 4,556,564 0.1%
Senshukai Co., Ltd. 213,600 1,565,502 0.1%
# Septeni Holdings Co., Ltd. 609,000 2,124,769 0.1%
# SFP Dining Co., Ltd. 51,700 658,338 0.0%
# Shidax Corp. 111,200 421,066 0.0%
Shikibo, Ltd. 779,000 936,353 0.0%
Shimachu Co., Ltd. 297,200 6,872,431 0.2%
Shimojima Co., Ltd. 27,900 283,554 0.0%
# Shobunsha Publications, Inc. 258,500 1,707,479 0.1%
Shochiku Co., Ltd. 54,000 615,858 0.0%
Shoei Co., Ltd. 61,000 1,693,967 0.1%
* Showa Corp. 317,500 2,709,284 0.1%
SKY Perfect JSAT Holdings, Inc. 835,600 3,831,939 0.1%
# Snow Peak, Inc. 22,200 608,846 0.0%
SNT Corp. 92,800 588,741 0.0%
Soft99 Corp. 68,600 517,617 0.0%
# Sotoh Co., Ltd. 41,400 419,166 0.0%
SPK Corp. 19,800 453,713 0.0%
St Marc Holdings Co., Ltd. 101,400 3,088,908 0.1%
Starts Corp., Inc. 185,900 4,117,158 0.1%
Step Co., Ltd. 43,700 580,342 0.0%
# Studio Alice Co., Ltd. 57,700 1,222,130 0.0%
Suminoe Textile Co., Ltd. 323,000 718,959 0.0%
Sumitomo Riko Co., Ltd. 235,200 2,397,230 0.1%
# Sun Corp. 89,000 545,955 0.0%
Suncall Corp. 44,900 216,359 0.0%
T RAD Co., Ltd. 427,000 1,268,871 0.0%
T-Gaia Corp. 155,100 2,676,238 0.1%
Tachi-S Co., Ltd. 167,740 3,219,308 0.1%
# Tachikawa Corp. 52,400 424,660 0.0%
Taiho Kogyo Co., Ltd. 98,200 1,286,279 0.0%
#* Takata Corp. 168,000 604,096 0.0%
Take And Give Needs Co., Ltd. 54,070 447,175 0.0%
# Takihyo Co., Ltd. 104,000 420,693 0.0%
# Tama Home Co., Ltd. 95,900 544,678 0.0%
Tamron Co., Ltd. 128,500 2,403,525 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Consumer Discretionary -- (Continued)
# TASAKI & Co., Ltd. 88,900 $ 1,753,948 0.1%
TBK Co., Ltd. 118,500 531,653 0.0%
Tear Corp. 29,800 209,789 0.0%
# Tenpos Busters Co., Ltd. 23,200 395,983 0.0%
Tigers Polymer Corp. 50,600 329,082 0.0%
Toa Corp. 131,200 1,125,814 0.0%
# Toabo Corp. 54,799 270,609 0.0%
# Toei Animation Co., Ltd. 26,100 1,443,961 0.1%
Toei Co., Ltd. 449,000 3,889,358 0.1%
Tohokushinsha Film Corp. 30,600 191,804 0.0%
Tokai Rika Co., Ltd. 318,800 5,934,941 0.2%
# Token Corp. 47,550 3,764,049 0.1%
#* Tokyo Base Co., Ltd. 18,100 536,078 0.0%
Tokyo Dome Corp. 567,100 5,243,383 0.2%
# Tokyo Individualized Educational Institute, Inc. 116,600 1,357,834 0.1%
Tokyo Radiator Manufacturing Co., Ltd. 13,900 128,107 0.0%
Tokyotokeiba Co., Ltd. 936,000 2,167,714 0.1%
# Tokyu Recreation Co., Ltd. 83,000 598,264 0.0%
Tomy Co., Ltd. 440,593 4,386,735 0.1%
Topre Corp. 264,300 7,045,790 0.2%
# Toridoll Holdings Corp. 146,300 3,522,647 0.1%
# Torikizoku Co., Ltd. 43,700 970,681 0.0%
Tosho Co., Ltd. 51,200 2,199,686 0.1%
Tow Co., Ltd. 83,600 594,941 0.0%
Toyo Tire & Rubber Co., Ltd. 623,700 10,970,652 0.3%
TPR Co., Ltd. 131,000 4,419,599 0.1%
TS Tech Co., Ltd. 291,000 7,644,471 0.2%
TSI Holdings Co., Ltd. 439,895 2,937,883 0.1%
# Tsukada Global Holdings, Inc. 109,400 574,099 0.0%
Tsukamoto Corp. Co., Ltd. 190,000 197,717 0.0%
Tsutsumi Jewelry Co., Ltd. 50,900 934,744 0.0%
TV Asahi Holdings Corp. 81,200 1,502,510 0.1%
Tv Tokyo Holdings Corp. 86,300 1,886,674 0.1%
#* U-Shin, Ltd. 114,300 791,957 0.0%
# Umenohana Co., Ltd. 5,000 121,081 0.0%
Unipres Corp. 230,700 4,887,239 0.2%
United Arrows, Ltd. 157,600 4,883,018 0.2%
* Unitika, Ltd. 3,992,000 3,255,162 0.1%
Universal Entertainment Corp. 5,000 149,901 0.0%
ValueCommerce Co., Ltd. 87,000 448,060 0.0%
Vector, Inc. 166,500 2,306,881 0.1%
# VIA Holdings, Inc. 99,700 981,510 0.0%
# Village Vanguard Co., Ltd. 32,100 303,057 0.0%
VT Holdings Co., Ltd. 508,400 2,586,900 0.1%
Wacoal Holdings Corp. 676,000 8,569,570 0.3%
# WATAMI Co., Ltd. 141,100 1,689,906 0.1%
Watts Co., Ltd. 5,500 61,596 0.0%
Workman Co., Ltd. 2,200 64,381 0.0%
Wowow, Inc. 49,200 1,631,249 0.1%
Xebio Holdings Co., Ltd. 167,200 2,780,768 0.1%
Yachiyo Industry Co., Ltd. 27,900 335,472 0.0%
Yamato International, Inc. 13,900 51,835 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Consumer Discretionary -- (Continued)
# Yasunaga Corp. 39,500 $ 496,362 0.0%
Yellow Hat, Ltd. 92,700 2,130,959 0.1%
Yomiuri Land Co., Ltd. 243,000 922,129 0.0%
Yondoshi Holdings, Inc. 34,620 823,823 0.0%
Yorozu Corp. 113,300 1,734,114 0.1%
Yoshinoya Holdings Co., Ltd. 54,500 890,157 0.0%
# Yume No Machi Souzou Iinkai Co., Ltd. 89,900 888,107 0.0%
Yutaka Giken Co., Ltd. 3,100 67,294 0.0%
Zenrin Co., Ltd. 161,500 3,036,688 0.1%
#* ZIGExN Co., Ltd. 98,400 1,094,704 0.0%
# Zojirushi Corp. 232,300 3,156,552 0.1%
------------ ----
Total Consumer Discretionary 639,245,282 18.9%
------------ ----
Consumer Staples -- (7.4%)
# Aeon Hokkaido Corp. 273,900 1,476,866 0.0%
Ahjikan Co., Ltd. 2,500 33,229 0.0%
# Ain Holdings, Inc. 124,600 8,631,761 0.3%
Albis Co., Ltd. 15,900 524,472 0.0%
Arcs Co., Ltd. 247,700 5,305,637 0.2%
# Ariake Japan Co., Ltd. 122,300 7,747,923 0.2%
Artnature, Inc. 120,700 773,743 0.0%
Axial Retailing, Inc. 90,500 3,465,259 0.1%
Belc Co., Ltd. 65,300 2,904,253 0.1%
Bourbon Corp. 12,600 300,497 0.0%
# C'BON COSMETICS Co., Ltd. 4,200 91,019 0.0%
Cawachi, Ltd. 91,800 2,413,845 0.1%
Chubu Shiryo Co., Ltd. 119,300 1,411,361 0.0%
# Chuo Gyorui Co., Ltd. 93,000 230,322 0.0%
Ci:z Holdings Co., Ltd. 164,800 4,840,168 0.1%
Cocokara fine, Inc. 109,660 5,184,683 0.2%
Cota Co., Ltd. 20,350 221,272 0.0%
Create SD Holdings Co., Ltd. 164,400 3,861,574 0.1%
# Daikokutenbussan Co., Ltd. 38,300 1,829,706 0.1%
DyDo Group Holdings, Inc. 55,200 2,654,137 0.1%
# Earth Chemical Co., Ltd. 41,400 2,243,449 0.1%
Ebara Foods Industry, Inc. 3,600 66,820 0.0%
Eco's Co., Ltd. 30,500 316,634 0.0%
# Fancl Corp. 95,300 1,603,090 0.1%
Feed One Co., Ltd. 812,440 1,507,798 0.0%
* First Baking Co., Ltd. 183,000 201,761 0.0%
Fuji Oil Holdings, Inc. 362,600 8,507,936 0.3%
Fujicco Co., Ltd. 108,700 2,487,388 0.1%
# Genky Stores, Inc. 51,000 1,304,940 0.0%
HABA Laboratories, Inc. 7,000 251,137 0.0%
Hagoromo Foods Corp. 39,000 468,820 0.0%
Halows Co., Ltd. 26,500 557,826 0.0%
Havix Corp. 8,800 105,666 0.0%
* Hayashikane Sangyo Co., Ltd. 24,200 180,308 0.0%
Heiwado Co., Ltd. 182,000 3,902,260 0.1%
Hokkaido Coca-Cola Bottling Co., Ltd. 87,000 549,138 0.0%
Hokuto Corp. 154,600 2,900,904 0.1%
House Foods Group, Inc. 99,700 2,219,394 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Staples -- (Continued)
Ichimasa Kamaboko Co., Ltd. 5,800 $ 65,329 0.0%
Imuraya Group Co., Ltd. 3,700 54,561 0.0%
Inageya Co., Ltd. 177,800 2,550,513 0.1%
Itochu-Shokuhin Co., Ltd. 28,300 1,183,931 0.0%
# Ivy Cosmetics Corp. 2,400 176,372 0.0%
Iwatsuka Confectionery Co., Ltd. 2,200 83,848 0.0%
J-Oil Mills, Inc. 57,100 2,217,462 0.1%
Kadoya Sesame Mills, Inc. 700 35,366 0.0%
Kakiyasu Honten Co., Ltd. 39,300 676,531 0.0%
# Kameda Seika Co., Ltd. 72,000 3,273,755 0.1%
Kaneko Seeds Co., Ltd. 29,600 379,624 0.0%
Kato Sangyo Co., Ltd. 121,700 2,984,844 0.1%
# Kenko Mayonnaise Co., Ltd. 62,800 1,586,617 0.1%
Key Coffee, Inc. 109,700 2,170,637 0.1%
Kirindo Holdings Co., Ltd. 29,300 219,846 0.0%
Kobe Bussan Co., Ltd. 78,000 2,871,367 0.1%
Kotobuki Spirits Co., Ltd. 118,700 3,197,510 0.1%
Kusuri no Aoki Holdings Co., Ltd. 93,900 4,056,531 0.1%
# Kyokuyo Co., Ltd. 60,199 1,584,850 0.0%
Life Corp. 165,100 4,392,844 0.1%
Mandom Corp. 104,400 4,955,567 0.1%
Marudai Food Co., Ltd. 614,000 2,810,990 0.1%
Maruha Nichiro Corp. 244,307 6,987,673 0.2%
# Maxvalu Nishinihon Co., Ltd. 9,200 134,555 0.0%
Maxvalu Tokai Co., Ltd. 49,300 844,867 0.0%
Medical System Network Co., Ltd. 150,000 652,695 0.0%
Megmilk Snow Brand Co., Ltd. 205,100 6,120,947 0.2%
Meito Sangyo Co., Ltd. 52,200 700,344 0.0%
Milbon Co., Ltd. 73,076 3,534,204 0.1%
Ministop Co., Ltd. 95,600 1,827,306 0.1%
Mitsubishi Shokuhin Co., Ltd. 81,100 2,593,742 0.1%
Mitsui Sugar Co., Ltd. 112,770 2,780,279 0.1%
Miyoshi Oil & Fat Co., Ltd. 379,000 469,072 0.0%
Morinaga & Co., Ltd. 40,300 1,904,401 0.1%
Morinaga Milk Industry Co., Ltd. 1,164,000 9,201,550 0.3%
Morishita Jintan Co., Ltd. 2,000 10,774 0.0%
Morozoff, Ltd. 189,000 977,514 0.0%
Nagatanien Holdings Co., Ltd. 138,000 1,750,184 0.1%
Nakamuraya Co., Ltd. 18,400 774,287 0.0%
Natori Co., Ltd. 48,300 812,589 0.0%
Nichimo Co., Ltd. 170,000 268,384 0.0%
Nihon Chouzai Co., Ltd. 32,760 1,148,174 0.0%
Niitaka Co., Ltd. 2,060 33,722 0.0%
Nippon Beet Sugar Manufacturing Co., Ltd. 66,100 1,381,139 0.0%
Nippon Flour Mills Co., Ltd. 361,000 5,415,740 0.2%
Nippon Suisan Kaisha, Ltd. 1,570,900 7,583,609 0.2%
Nisshin Oillio Group, Ltd. (The) 812,000 4,805,285 0.1%
Nissin Sugar Co., Ltd. 69,500 1,167,401 0.0%
Nitto Fuji Flour Milling Co., Ltd. 6,400 223,190 0.0%
Noevir Holdings Co., Ltd. 68,100 2,807,564 0.1%
Oenon Holdings, Inc. 307,000 680,293 0.0%
# OIE Sangyo Co., Ltd. 20,900 209,541 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Consumer Staples -- (Continued)
Okuwa Co., Ltd. 162,000 $ 1,711,811 0.1%
Olympic Group Corp. 63,100 318,324 0.0%
# OUG Holdings, Inc. 34,000 79,323 0.0%
Prima Meat Packers, Ltd. 956,000 4,405,326 0.1%
Qol Co., Ltd. 93,600 1,277,467 0.0%
Retail Partners Co., Ltd. 18,800 189,409 0.0%
Riken Vitamin Co., Ltd. 74,100 2,799,704 0.1%
# Rock Field Co., Ltd. 132,000 2,106,695 0.1%
Rokko Butter Co., Ltd. 77,800 1,690,409 0.1%
# S Foods, Inc. 78,162 2,441,578 0.1%
S&B Foods, Inc. 1,399 74,047 0.0%
Sagami Rubber Industries Co., Ltd. 36,000 362,662 0.0%
Sakata Seed Corp. 142,600 4,496,641 0.1%
San-A Co., Ltd. 101,200 4,597,817 0.1%
Sapporo Holdings, Ltd. 255,700 7,154,674 0.2%
Shoei Foods Corp. 75,600 1,702,629 0.1%
Showa Sangyo Co., Ltd. 609,000 3,259,235 0.1%
Sogo Medical Co., Ltd. 55,800 2,197,560 0.1%
ST Corp. 81,200 1,292,626 0.0%
# Starzen Co., Ltd. 55,800 2,259,761 0.1%
Takara Holdings, Inc. 980,300 10,507,796 0.3%
Tobu Store Co., Ltd. 19,000 491,531 0.0%
Toho Co., Ltd. 44,100 1,089,705 0.0%
Tohto Suisan Co., Ltd. 17,299 281,025 0.0%
Torigoe Co., Ltd. (The) 82,000 596,277 0.0%
Toyo Sugar Refining Co., Ltd. 157,000 159,264 0.0%
# Transaction Co., Ltd. 49,900 421,768 0.0%
United Super Markets Holdings, Inc. 308,000 2,996,031 0.1%
Valor Holdings Co., Ltd. 220,500 5,270,989 0.2%
Warabeya Nichiyo Holdings Co., Ltd. 88,260 2,177,861 0.1%
Watahan & Co., Ltd. 29,800 475,768 0.0%
# YA-MAN, Ltd. 14,300 695,846 0.0%
# Yaizu Suisankagaku Industry Co., Ltd. 47,300 524,217 0.0%
# Yakuodo Co., Ltd. 59,700 1,628,814 0.1%
Yamatane Corp. 53,500 759,163 0.0%
# Yamaya Corp. 25,600 374,256 0.0%
Yamazawa Co., Ltd. 2,100 32,967 0.0%
Yaoko Co., Ltd. 132,100 5,122,554 0.2%
# Yokohama Reito Co., Ltd. 291,700 2,947,687 0.1%
Yomeishu Seizo Co., Ltd. 49,800 931,865 0.0%
Yuasa Funashoku Co., Ltd. 125,000 342,133 0.0%
Yutaka Foods Corp. 6,000 103,407 0.0%
------------ ---
Total Consumer Staples 274,955,538 8.1%
------------ ---
Energy -- (0.9%)
BP Castrol K.K. 57,400 889,860 0.0%
Cosmo Energy Holdings Co., Ltd. 363,000 5,749,745 0.2%
Fuji Kosan Co., Ltd. 33,100 145,798 0.0%
Fuji Oil Co., Ltd. 284,800 917,191 0.0%
Itochu Enex Co., Ltd. 302,200 2,519,300 0.1%
#* Japan Drilling Co., Ltd. 41,100 786,939 0.0%
Japan Oil Transportation Co., Ltd. 8,400 191,749 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Energy -- (Continued)
Japan Petroleum Exploration Co., Ltd. 190,600 $ 4,167,292 0.1%
Mitsuuroko Group Holdings Co., Ltd. 181,700 1,147,600 0.0%
Modec, Inc. 114,600 2,412,357 0.1%
Nippon Coke & Engineering Co., Ltd. 1,272,800 1,129,933 0.0%
Nippon Gas Co., Ltd. 206,100 5,922,769 0.2%
Sala Corp. 208,100 1,177,522 0.0%
San-Ai Oil Co., Ltd. 310,000 2,633,292 0.1%
Shinko Plantech Co., Ltd. 237,200 1,773,657 0.1%
Sinanen Holdings Co., Ltd. 52,000 1,039,214 0.0%
Toa Oil Co., Ltd. 415,000 502,495 0.0%
Toyo Kanetsu K.K. 568,000 1,452,007 0.1%
----------- ---
Total Energy 34,558,720 1.0%
----------- ---
Financials -- (7.9%)
77 Bank, Ltd. (The) 1,749,760 7,567,709 0.2%
# Accretive Co., Ltd. 57,800 185,689 0.0%
Advance Create Co., Ltd. 6,500 115,272 0.0%
Aichi Bank, Ltd. (The) 51,700 2,854,279 0.1%
Aizawa Securities Co., Ltd. 162,800 992,007 0.0%
Akita Bank, Ltd. (The) 1,079,400 3,431,338 0.1%
#* Anicom Holdings, Inc. 88,500 2,112,409 0.1%
Aomori Bank, Ltd. (The) 1,186,000 4,129,879 0.1%
Asax Co., Ltd. 1,700 24,057 0.0%
Awa Bank, Ltd. (The) 1,178,000 7,781,069 0.2%
# Bank of Iwate, Ltd. (The) 99,400 4,064,157 0.1%
Bank of Kochi, Ltd. (The) 301,000 342,976 0.0%
# Bank of Nagoya, Ltd. (The) 102,430 3,760,475 0.1%
Bank of Okinawa, Ltd. (The) 132,960 5,124,816 0.2%
Bank of Saga, Ltd. (The) 808,000 2,153,976 0.1%
Bank of the Ryukyus, Ltd. 227,380 3,135,478 0.1%
Bank of Toyama, Ltd. (The) 1,000 38,012 0.0%
Chiba Kogyo Bank, Ltd. (The) 259,600 1,496,439 0.1%
# Chukyo Bank, Ltd. (The) 70,000 1,462,994 0.0%
# Daisan Bank, Ltd. (The) 85,500 1,302,644 0.0%
Daishi Bank, Ltd. (The) 2,071,000 8,314,742 0.3%
Daito Bank, Ltd. (The) 873,000 1,300,538 0.0%
# DSB Co., Ltd. 55,800 313,442 0.0%
# eGuarantee, Inc. 39,200 858,273 0.0%
# Ehime Bank, Ltd. (The) 190,600 2,410,447 0.1%
Eighteenth Bank, Ltd. (The) 1,048,000 3,220,590 0.1%
FIDEA Holdings Co., Ltd. 918,900 1,725,238 0.1%
# Financial Products Group Co., Ltd. 445,500 3,869,517 0.1%
Fukui Bank, Ltd. (The) 1,317,000 3,237,878 0.1%
Fukushima Bank, Ltd. (The) 1,421,000 1,121,535 0.0%
Fuyo General Lease Co., Ltd. 98,800 4,612,387 0.1%
GCA Corp. 119,400 965,216 0.0%
GMO Click Holdings, Inc. 44,000 303,607 0.0%
Hokkoku Bank, Ltd. (The) 1,742,000 6,534,755 0.2%
Hokuetsu Bank, Ltd. (The) 130,000 3,186,943 0.1%
Hokuhoku Financial Group, Inc. 364,900 5,731,651 0.2%
Hyakugo Bank, Ltd. (The) 1,614,609 6,521,842 0.2%
Hyakujushi Bank, Ltd. (The) 1,584,000 5,248,294 0.2%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Financials -- (Continued)
IBJ Leasing Co., Ltd. 116,300 $2,529,425 0.1%
Ichiyoshi Securities Co., Ltd. 232,000 1,849,060 0.1%
IwaiCosmo Holdings, Inc. 106,900 1,025,481 0.0%
Iyo Bank, Ltd. (The) 419,200 2,977,643 0.1%
# J Trust Co., Ltd. 228,600 1,775,229 0.1%
Jaccs Co., Ltd. 568,000 2,437,593 0.1%
Jafco Co., Ltd. 218,500 7,782,983 0.2%
* Japan Asia Investment Co., Ltd. 69,100 247,330 0.0%
Japan Securities Finance Co., Ltd. 441,500 2,323,056 0.1%
Jimoto Holdings, Inc. 574,200 1,020,471 0.0%
Juroku Bank, Ltd. (The) 2,085,000 6,624,635 0.2%
kabu.com Securities Co., Ltd. 1,026,600 3,243,915 0.1%
Kansai Urban Banking Corp. 149,200 1,858,988 0.1%
Keiyo Bank, Ltd. (The) 1,576,000 6,864,903 0.2%
Kita-Nippon Bank, Ltd. (The) 49,506 1,428,867 0.0%
Kiyo Bank, Ltd. (The) 396,690 6,196,754 0.2%
# Kosei Securities Co., Ltd. (The) 289,000 420,215 0.0%
Kyokuto Securities Co., Ltd. 132,200 1,970,899 0.1%
Kyushu Financial Group, Inc. 240,420 1,499,046 0.1%
#* M&A Capital Partners Co., Ltd. 38,700 1,733,819 0.1%
# Marusan Securities Co., Ltd. 119,100 936,571 0.0%
# Matsui Securities Co., Ltd. 313,800 2,557,963 0.1%
# Michinoku Bank, Ltd. (The) 858,000 1,441,638 0.0%
Mie Bank, Ltd. (The) 52,300 1,090,511 0.0%
# Minato Bank, Ltd. (The) 108,400 2,056,539 0.1%
Mito Securities Co., Ltd. 338,500 893,604 0.0%
Miyazaki Bank, Ltd. (The) 931,000 2,860,394 0.1%
# Monex Group, Inc. 1,223,400 3,063,350 0.1%
# Money Partners Group Co., Ltd. 101,300 431,558 0.0%
Musashino Bank, Ltd. (The) 206,000 5,994,159 0.2%
# Nagano Bank, Ltd. (The) 51,799 925,130 0.0%
Nanto Bank, Ltd. (The) 121,600 4,601,585 0.1%
Nishi-Nippon Financial Holdings, Inc. 499,600 4,763,911 0.1%
North Pacific Bank, Ltd. 2,303,600 8,784,562 0.3%
# OAK Capital Corp. 286,000 433,889 0.0%
Ogaki Kyoritsu Bank, Ltd. (The) 1,920,000 5,605,980 0.2%
# Oita Bank, Ltd. (The) 1,014,900 3,927,745 0.1%
Okasan Securities Group, Inc. 779,000 4,542,393 0.1%
Pocket Card Co., Ltd. 49,300 303,886 0.0%
Ricoh Leasing Co., Ltd. 96,900 3,139,190 0.1%
San-In Godo Bank, Ltd. (The) 957,000 7,791,960 0.2%
# Sawada Holdings Co., Ltd. 142,000 1,278,329 0.0%
Senshu Ikeda Holdings, Inc. 1,424,200 6,005,613 0.2%
# Shiga Bank, Ltd. (The) 1,365,000 7,133,173 0.2%
Shikoku Bank, Ltd. (The) 1,210,000 3,485,415 0.1%
Shimane Bank, Ltd. (The) 16,600 200,922 0.0%
Shimizu Bank, Ltd. (The) 48,000 1,489,068 0.1%
#* Showa Holdings Co., Ltd. 93,300 139,712 0.0%
# Sparx Group Co., Ltd. 623,300 1,164,290 0.0%
Taiko Bank, Ltd. (The) 219,000 477,846 0.0%
Tochigi Bank, Ltd. (The) 705,000 3,367,085 0.1%
Toho Bank, Ltd. (The) 1,323,200 4,858,237 0.2%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Tohoku Bank, Ltd. (The) 588,000 $ 807,211 0.0%
Tokai Tokyo Financial Holdings, Inc. 1,190,900 6,028,686 0.2%
Tokyo TY Financial Group, Inc. 155,338 4,520,378 0.1%
Tomato Bank, Ltd. 49,500 699,339 0.0%
TOMONY Holdings, Inc. 913,950 4,857,503 0.2%
Tottori Bank, Ltd. (The) 36,000 569,267 0.0%
Towa Bank, Ltd. (The) 2,066,000 2,151,817 0.1%
Toyo Securities Co., Ltd. 419,000 1,005,233 0.0%
Tsukuba Bank, Ltd. 505,400 1,456,516 0.0%
# Yamagata Bank, Ltd. (The) 854,500 3,828,028 0.1%
Yamanashi Chuo Bank, Ltd. (The) 976,000 4,310,627 0.1%
------------ ---
Total Financials 293,343,695 8.7%
------------ ---
Health Care -- (4.6%)
As One Corp. 86,768 3,841,593 0.1%
# ASKA Pharmaceutical Co., Ltd. 131,300 1,928,819 0.1%
Biofermin Pharmaceutical Co., Ltd. 13,900 364,149 0.0%
BML, Inc. 136,600 2,981,553 0.1%
# CMIC Holdings Co., Ltd. 74,700 964,890 0.0%
Create Medic Co., Ltd. 28,000 243,648 0.0%
# Daiken Medical Co., Ltd. 103,300 753,807 0.0%
Daito Pharmaceutical Co., Ltd. 72,180 1,482,545 0.1%
Dvx, Inc. 18,600 227,871 0.0%
# Eiken Chemical Co., Ltd. 104,000 2,856,892 0.1%
EPS Holdings, Inc. 201,300 2,652,850 0.1%
Falco Holdings Co., Ltd. 46,700 640,837 0.0%
# FINDEX, Inc. 98,600 862,825 0.0%
Fuji Pharma Co., Ltd. 47,000 1,529,290 0.1%
Fukuda Denshi Co., Ltd. 4,300 259,663 0.0%
Fuso Pharmaceutical Industries, Ltd. 41,500 1,065,727 0.0%
Hogy Medical Co., Ltd. 74,900 4,810,498 0.2%
Iwaki & Co., Ltd. 154,000 409,234 0.0%
# Japan Lifeline Co., Ltd. 117,800 2,364,394 0.1%
Japan Medical Dynamic Marketing, Inc. 121,200 834,699 0.0%
Jeol, Ltd. 521,000 2,564,923 0.1%
JMS Co., Ltd. 162,000 480,897 0.0%
Kawasumi Laboratories, Inc. 69,100 439,316 0.0%
Kissei Pharmaceutical Co., Ltd. 163,700 4,271,746 0.1%
KYORIN Holdings, Inc. 279,400 5,853,222 0.2%
Linical Co., Ltd. 80,000 994,811 0.0%
Mani, Inc. 139,000 3,595,700 0.1%
#* Medical Data Vision Co., Ltd. 29,600 517,016 0.0%
Menicon Co., Ltd. 62,100 1,936,552 0.1%
Mochida Pharmaceutical Co., Ltd. 78,399 5,916,012 0.2%
# N Field Co., Ltd. 67,900 814,902 0.0%
Nagaileben Co., Ltd. 51,200 1,179,949 0.0%
Nakanishi, Inc. 117,700 4,631,354 0.1%
ND Software Co., Ltd. 5,200 46,918 0.0%
# Nichi-iko Pharmaceutical Co., Ltd. 264,250 4,102,170 0.1%
# NichiiGakkan Co., Ltd. 244,000 1,850,095 0.1%
Nihon Kohden Corp. 224,200 5,077,413 0.2%
Nikkiso Co., Ltd. 391,100 3,993,917 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Health Care -- (Continued)
Nippon Chemiphar Co., Ltd. 17,100 $ 788,540 0.0%
Nipro Corp. 767,500 11,645,622 0.4%
Nissui Pharmaceutical Co., Ltd. 70,900 888,661 0.0%
# Paramount Bed Holdings Co., Ltd. 114,200 4,793,701 0.1%
Rion Co., Ltd. 47,500 638,909 0.0%
Rohto Pharmaceutical Co., Ltd. 546,700 10,206,903 0.3%
Sawai Pharmaceutical Co., Ltd. 149,200 8,153,044 0.2%
# Seed Co., Ltd. 24,400 452,667 0.0%
* Shin Nippon Biomedical Laboratories, Ltd. 82,200 468,769 0.0%
Ship Healthcare Holdings, Inc. 279,700 7,527,226 0.2%
Shofu, Inc. 39,900 468,254 0.0%
Software Service, Inc. 18,000 817,259 0.0%
#* Sosei Group Corp. 98,000 10,078,919 0.3%
Taiko Pharmaceutical Co., Ltd. 51,400 854,214 0.0%
Techno Medica Co., Ltd. 26,400 469,251 0.0%
# Toho Holdings Co., Ltd. 321,000 6,978,885 0.2%
Tokai Corp. 60,100 2,218,988 0.1%
Torii Pharmaceutical Co., Ltd. 86,700 2,108,265 0.1%
# Towa Pharmaceutical Co., Ltd. 59,100 2,949,423 0.1%
# Tsukui Corp. 339,000 1,922,497 0.1%
Tsumura & Co. 359,800 11,660,144 0.4%
Uchiyama Holdings Co., Ltd. 24,200 95,731 0.0%
# Vital KSK Holdings, Inc. 219,500 1,935,117 0.1%
Wakamoto Pharmaceutical Co., Ltd. 107,000 267,794 0.0%
WIN-Partners Co., Ltd. 64,300 571,582 0.0%
ZERIA Pharmaceutical Co., Ltd. 147,299 2,213,668 0.1%
------------ ---
Total Health Care 170,516,730 5.1%
------------ ---
Industrials -- (25.8%)
NJS Co., Ltd. 32,900 405,729 0.0%
# A&A Material Corp. 127,000 137,905 0.0%
Abist Co., Ltd. 14,900 527,489 0.0%
Advan Co., Ltd. 167,700 1,749,253 0.1%
Advanex, Inc. 22,099 297,780 0.0%
Aeon Delight Co., Ltd. 123,400 3,765,483 0.1%
Aica Kogyo Co., Ltd. 314,300 8,958,192 0.3%
Aichi Corp. 202,700 1,497,580 0.1%
Aida Engineering, Ltd. 344,200 2,996,875 0.1%
AIT Corp. 34,900 319,408 0.0%
Ajis Co., Ltd. 24,200 461,039 0.0%
Alinco, Inc. 73,100 645,411 0.0%
Alps Logistics Co., Ltd. 98,600 672,665 0.0%
Altech Corp. 44,750 1,455,562 0.1%
Anest Iwata Corp. 190,800 1,677,958 0.1%
#* Arrk Corp. 422,400 386,227 0.0%
Asahi Diamond Industrial Co., Ltd. 328,200 2,519,309 0.1%
# Asahi Kogyosha Co., Ltd. 25,000 688,220 0.0%
Asanuma Corp. 383,000 1,116,914 0.0%
# Asukanet Co., Ltd. 57,100 1,054,048 0.0%
Asunaro Aoki Construction Co., Ltd. 142,800 1,051,010 0.0%
Bando Chemical Industries, Ltd. 231,000 2,116,608 0.1%
Bell System24 Holdings, Inc. 127,300 1,215,934 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Benefit One, Inc. 101,400 $ 3,098,963 0.1%
Br Holdings Corp. 96,400 339,079 0.0%
Bunka Shutter Co., Ltd. 346,100 2,659,345 0.1%
Canare Electric Co., Ltd. 4,200 82,935 0.0%
Career Design Center Co., Ltd. 28,800 315,267 0.0%
Central Glass Co., Ltd. 1,214,000 5,245,146 0.2%
Central Security Patrols Co., Ltd. 48,200 750,922 0.0%
Chilled & Frozen Logistics Holdings Co., Ltd. 22,000 287,859 0.0%
# Chiyoda Corp. 993,000 6,602,007 0.2%
Chiyoda Integre Co., Ltd. 74,300 1,635,710 0.1%
Chudenko Corp. 157,900 3,464,716 0.1%
Chugai Ro Co., Ltd. 373,000 726,489 0.0%
Chuo Warehouse Co., Ltd. 900 8,406 0.0%
CKD Corp. 341,900 4,281,520 0.1%
Comany, Inc. 3,700 48,852 0.0%
Cosel Co., Ltd. 120,800 1,539,111 0.1%
Creek & River Co., Ltd. 62,400 551,405 0.0%
CTI Engineering Co., Ltd. 72,300 708,004 0.0%
CTS Co., Ltd. 36,300 228,438 0.0%
Dai-Dan Co., Ltd. 162,000 1,585,477 0.1%
Daido Kogyo Co., Ltd. 214,000 543,424 0.0%
# Daihatsu Diesel Manufacturing Co., Ltd. 86,000 554,541 0.0%
Daihen Corp. 641,000 4,069,890 0.1%
Daiho Corp. 521,000 2,538,729 0.1%
Daiichi Jitsugyo Co., Ltd. 260,000 1,632,557 0.1%
* Daikokuya Holdings Co., Ltd. 347,500 212,046 0.0%
Daiseki Co., Ltd. 216,263 4,822,871 0.2%
# Daiseki Eco. Solution Co., Ltd. 31,959 374,747 0.0%
# Daisue Construction Co., Ltd. 41,100 350,925 0.0%
Daiwa Industries, Ltd. 173,000 1,704,622 0.1%
#* Danto Holdings Corp. 165,000 258,005 0.0%
Denyo Co., Ltd. 87,500 1,283,125 0.0%
DMG Mori Co., Ltd. 434,800 7,179,565 0.2%
DMW Corp. 4,800 82,191 0.0%
Duskin Co., Ltd. 224,100 5,027,017 0.2%
Ebara Jitsugyo Co., Ltd. 39,300 505,582 0.0%
EF-ON, Inc. 58,300 492,071 0.0%
Eidai Co., Ltd. 127,000 583,114 0.0%
en-japan, Inc. 144,300 3,207,482 0.1%
Endo Lighting Corp. 60,200 485,590 0.0%
#* Enshu, Ltd. 197,000 139,669 0.0%
Escrow Agent Japan Co., Ltd. 20,700 368,774 0.0%
F&M Co., Ltd. 19,400 195,969 0.0%
# Freund Corp. 60,800 728,256 0.0%
Fudo Tetra Corp. 1,066,900 1,753,981 0.1%
# Fuji Machine Manufacturing Co., Ltd. 119,900 1,522,671 0.1%
Fujikura, Ltd. 1,935,000 14,547,297 0.4%
# Fujisash Co., Ltd. 505,600 457,400 0.0%
Fujitec Co., Ltd. 436,800 5,176,579 0.2%
Fukuda Corp. 395,000 3,498,200 0.1%
Fukushima Industries Corp. 86,400 3,066,672 0.1%
# Fukuyama Transporting Co., Ltd. 774,400 4,708,117 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
FULLCAST Holdings Co., Ltd. 121,700 $ 1,205,469 0.0%
Funai Soken Holdings, Inc. 161,760 3,109,007 0.1%
# Furukawa Co., Ltd. 1,800,000 3,473,963 0.1%
Furukawa Electric Co., Ltd. 355,200 14,379,113 0.4%
Furusato Industries, Ltd. 55,600 822,282 0.0%
Futaba Corp. 211,300 3,795,421 0.1%
Gecoss Corp. 104,400 1,134,279 0.0%
Giken, Ltd. 40,100 932,008 0.0%
Glory, Ltd. 268,900 9,029,242 0.3%
GS Yuasa Corp. 2,130,000 9,868,679 0.3%
# Hamakyorex Co., Ltd. 93,600 1,963,285 0.1%
# Haneda Zenith Holdings Co., Ltd. 187,300 441,886 0.0%
Hanwa Co., Ltd. 1,221,000 8,657,367 0.3%
Hazama Ando Corp. 1,082,400 7,708,496 0.2%
# Helios Techno Holdings Co., Ltd. 65,800 362,435 0.0%
Hibiya Engineering, Ltd. 118,200 1,742,378 0.1%
Hirakawa Hewtech Corp. 48,100 558,503 0.0%
Hirano Tecseed Co., Ltd. 28,300 336,080 0.0%
# Hirata Corp. 36,100 2,847,513 0.1%
Hisaka Works, Ltd. 112,400 961,806 0.0%
Hitachi Transport System, Ltd. 278,000 5,908,386 0.2%
Hitachi Zosen Corp. 991,379 5,757,506 0.2%
Hito Communications, Inc. 42,100 651,330 0.0%
Hokuetsu Industries Co., Ltd. 107,600 940,163 0.0%
# Hokuriku Electrical Construction Co., Ltd. 31,200 242,331 0.0%
Hosokawa Micron Corp. 40,800 1,499,886 0.1%
# Howa Machinery, Ltd. 72,100 480,153 0.0%
# Ichiken Co., Ltd. 143,000 539,825 0.0%
Ichinen Holdings Co., Ltd. 115,500 1,228,376 0.0%
Idec Corp. 161,700 1,778,562 0.1%
Ihara Science Corp. 4,100 54,093 0.0%
Iino Kaiun Kaisha, Ltd. 541,400 2,235,558 0.1%
Inaba Denki Sangyo Co., Ltd. 138,700 5,043,919 0.2%
Inaba Seisakusho Co., Ltd. 49,700 607,589 0.0%
Inabata & Co., Ltd. 296,300 3,661,428 0.1%
Interworks, Inc. 6,800 66,968 0.0%
Inui Global Logistics Co., Ltd. 71,880 588,019 0.0%
Iseki & Co., Ltd. 1,110,000 2,281,973 0.1%
# Ishii Iron Works Co., Ltd. 11,000 161,603 0.0%
Itoki Corp. 215,800 1,367,721 0.1%
Iwasaki Electric Co., Ltd. 372,000 550,509 0.0%
Iwatani Corp. 1,140,000 6,721,880 0.2%
JAC Recruitment Co., Ltd. 93,100 1,427,871 0.1%
# Jalux, Inc. 39,500 909,039 0.0%
# Jamco Corp. 68,400 1,596,171 0.1%
Japan Foundation Engineering Co., Ltd. 147,400 458,633 0.0%
Japan Pulp & Paper Co., Ltd. 554,000 1,924,581 0.1%
Japan Steel Works, Ltd. (The) 398,400 6,396,004 0.2%
Japan Transcity Corp. 242,000 1,022,530 0.0%
JK Holdings Co., Ltd. 89,940 536,659 0.0%
Juki Corp. 185,800 2,135,044 0.1%
Kamei Corp. 148,700 1,638,607 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Kanaden Corp. 110,600 $1,071,361 0.0%
# Kanagawa Chuo Kotsu Co., Ltd. 192,000 1,229,945 0.0%
Kanamoto Co., Ltd. 171,600 4,652,619 0.1%
Kandenko Co., Ltd. 626,000 6,222,611 0.2%
Kanematsu Corp. 2,438,625 4,969,011 0.2%
Katakura Industries Co., Ltd. 137,300 1,685,139 0.1%
Kato Works Co., Ltd. 61,800 1,606,421 0.1%
KAWADA TECHNOLOGIES, Inc. 53,700 3,476,175 0.1%
Kawagishi Bridge Works Co., Ltd. 7,000 58,090 0.0%
Kawasaki Kinkai Kisen Kaisha, Ltd. 96,000 254,331 0.0%
#* Kawasaki Kisen Kaisha, Ltd. 3,035,000 7,980,002 0.2%
Keihin Co., Ltd. 249,000 344,076 0.0%
KFC, Ltd. 2,700 54,525 0.0%
#* KI Holdings Co., Ltd. 88,000 230,398 0.0%
Kimura Chemical Plants Co., Ltd. 39,900 114,626 0.0%
Kimura Unity Co., Ltd. 1,100 11,270 0.0%
King Jim Co., Ltd. 26,400 210,586 0.0%
#* Kinki Sharyo Co., Ltd. (The) 18,899 419,226 0.0%
Kintetsu World Express, Inc. 191,200 2,964,021 0.1%
Kitagawa Iron Works Co., Ltd. 49,600 957,991 0.0%
Kitano Construction Corp. 259,000 701,173 0.0%
# Kito Corp. 112,500 1,174,036 0.0%
Kitz Corp. 543,500 3,805,756 0.1%
Kobelco Eco-Solutions Co., Ltd. 103,000 429,558 0.0%
Koike Sanso Kogyo Co., Ltd. 145,000 377,277 0.0%
# Kokusai Co., Ltd. 41,700 316,301 0.0%
Kokuyo Co., Ltd. 525,125 6,819,432 0.2%
KOMAIHALTEC, Inc. 24,000 450,027 0.0%
Komatsu Wall Industry Co., Ltd. 40,000 733,657 0.0%
Komori Corp. 348,700 4,608,492 0.1%
Kondotec, Inc. 124,000 1,023,842 0.0%
Konoike Transport Co., Ltd. 140,200 1,905,796 0.1%
#* Kosaido Co., Ltd. 248,600 840,823 0.0%
KRS Corp. 38,100 860,960 0.0%
Kumagai Gumi Co., Ltd. 2,175,000 5,851,487 0.2%
Kuroda Electric Co., Ltd. 219,100 4,570,830 0.1%
Kyodo Printing Co., Ltd. 506,000 1,676,135 0.1%
Kyokuto Boeki Kaisha, Ltd. 92,000 203,037 0.0%
Kyokuto Kaihatsu Kogyo Co., Ltd. 185,700 3,065,164 0.1%
Kyoritsu Printing Co., Ltd. 128,200 395,713 0.0%
Kyowa Exeo Corp. 481,800 7,279,452 0.2%
Kyudenko Corp. 266,600 7,639,630 0.2%
Like Co., Ltd. 22,300 518,640 0.0%
# Link And Motivation, Inc. 251,400 1,513,862 0.1%
Lonseal Corp. 13,300 318,456 0.0%
Luckland Co., Ltd. 4,900 92,087 0.0%
Maeda Corp. 821,000 7,550,080 0.2%
Maeda Kosen Co., Ltd. 109,900 1,444,219 0.1%
Maeda Road Construction Co., Ltd. 387,000 7,136,084 0.2%
Maezawa Industries, Inc. 35,700 106,043 0.0%
Maezawa Kasei Industries Co., Ltd. 55,100 585,637 0.0%
Maezawa Kyuso Industries Co., Ltd. 50,900 711,809 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Makino Milling Machine Co., Ltd. 655,000 $5,835,279 0.2%
# Marubeni Construction Material Lease Co., Ltd. 75,000 148,687 0.0%
Marufuji Sheet Piling Co., Ltd. 58,000 134,741 0.0%
Maruka Machinery Co., Ltd. 32,200 526,485 0.0%
# Maruwa Unyu Kikan Co., Ltd. 34,300 803,420 0.0%
Maruyama Manufacturing Co., Inc. 23,000 368,140 0.0%
Maruzen Co., Ltd. 46,000 504,924 0.0%
Maruzen Showa Unyu Co., Ltd. 304,000 1,197,265 0.0%
Matsuda Sangyo Co., Ltd. 85,882 1,150,435 0.0%
Matsui Construction Co., Ltd. 135,300 1,163,741 0.0%
Max Co., Ltd. 191,000 2,794,287 0.1%
Meidensha Corp. 1,175,050 4,296,250 0.1%
Meiji Electric Industries Co., Ltd. 7,300 82,219 0.0%
Meiji Shipping Co., Ltd. 111,000 424,380 0.0%
# Meisei Industrial Co., Ltd. 251,000 1,427,391 0.1%
Meitec Corp. 181,300 7,836,377 0.2%
# Meiwa Corp. 158,000 586,980 0.0%
Mesco, Inc. 22,000 231,354 0.0%
METAWATER Co., Ltd. 69,400 1,810,856 0.1%
# Mie Kotsu Group Holdings, Inc. 205,500 691,414 0.0%
Mirait Holdings Corp. 374,085 3,888,027 0.1%
Mitani Corp. 68,200 2,126,972 0.1%
Mitsubishi Kakoki Kaisha, Ltd. 206,000 399,205 0.0%
Mitsubishi Nichiyu Forklift Co., Ltd. 194,000 1,186,240 0.0%
# Mitsubishi Pencil Co., Ltd. 100,300 5,560,703 0.2%
Mitsuboshi Belting, Ltd. 328,000 3,143,591 0.1%
Mitsui Engineering & Shipbuilding Co., Ltd. 5,109,000 7,842,876 0.2%
Mitsui Matsushima Co., Ltd. 84,700 1,080,063 0.0%
Mitsui-Soko Holdings Co., Ltd. 626,000 1,842,616 0.1%
# Mitsumura Printing Co., Ltd. 93,000 215,300 0.0%
# Miyaji Engineering Group, Inc. 332,175 639,777 0.0%
Morita Holdings Corp. 227,700 3,328,520 0.1%
# NAC Co., Ltd. 61,700 525,760 0.0%
# Nachi-Fujikoshi Corp. 1,045,000 5,572,154 0.2%
Nagase & Co., Ltd. 503,500 7,301,172 0.2%
Naigai Trans Line, Ltd. 12,300 123,651 0.0%
Nakabayashi Co., Ltd. 211,000 503,501 0.0%
Nakano Corp. 57,900 339,201 0.0%
Namura Shipbuilding Co., Ltd. 314,028 2,028,830 0.1%
Narasaki Sangyo Co., Ltd. 109,000 283,488 0.0%
NDS Co., Ltd. 24,100 618,496 0.0%
# NEC Capital Solutions, Ltd. 49,900 806,089 0.0%
Nichias Corp. 587,000 5,991,985 0.2%
Nichiban Co., Ltd. 141,000 1,097,701 0.0%
Nichiden Corp. 26,100 801,021 0.0%
Nichiha Corp. 178,680 5,605,138 0.2%
Nichireki Co., Ltd. 148,000 1,279,424 0.0%
Nihon Dengi Co., Ltd. 14,000 301,942 0.0%
Nihon Flush Co., Ltd. 23,000 278,718 0.0%
# Nihon Trim Co., Ltd. 30,700 1,026,150 0.0%
Nikkato Corp. 700 2,648 0.0%
Nikko Co., Ltd. 33,700 605,757 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Nikkon Holdings Co., Ltd. 356,800 $7,460,336 0.2%
Nippi, Inc. 30,000 226,807 0.0%
Nippo Corp. 227,000 4,373,414 0.1%
Nippon Air Conditioning Services Co., Ltd. 57,100 351,846 0.0%
Nippon Aqua Co., Ltd. 12,300 43,956 0.0%
# Nippon Carbon Co., Ltd. 665,000 1,872,462 0.1%
Nippon Densetsu Kogyo Co., Ltd. 227,300 4,492,874 0.1%
Nippon Dry-Chemical Co., Ltd. 300 6,437 0.0%
Nippon Filcon Co., Ltd. 70,900 379,123 0.0%
Nippon Hume Corp. 129,400 788,856 0.0%
Nippon Kanzai Co., Ltd. 88,700 1,453,544 0.1%
Nippon Koei Co., Ltd. 78,000 2,089,378 0.1%
Nippon Parking Development Co., Ltd. 1,224,400 1,582,036 0.1%
Nippon Rietec Co., Ltd. 8,300 86,640 0.0%
Nippon Road Co., Ltd. (The) 384,000 1,722,652 0.1%
# Nippon Seisen Co., Ltd. 100,000 610,839 0.0%
#* Nippon Sharyo, Ltd. 422,000 1,117,058 0.0%
#* Nippon Sheet Glass Co., Ltd. 584,800 4,549,800 0.1%
Nippon Steel & Sumikin Bussan Corp. 95,560 3,932,514 0.1%
Nippon Thompson Co., Ltd. 410,000 2,235,213 0.1%
# Nippon Tungsten Co., Ltd. 62,000 101,135 0.0%
Nishi-Nippon Railroad Co., Ltd. 1,850,000 7,825,634 0.2%
Nishimatsu Construction Co., Ltd. 1,794,000 9,125,318 0.3%
Nishio Rent All Co., Ltd. 95,400 2,885,182 0.1%
# Nissei ASB Machine Co., Ltd. 52,300 1,344,230 0.0%
Nissei Corp. 37,900 339,667 0.0%
Nissei Plastic Industrial Co., Ltd. 184,500 1,758,027 0.1%
# Nissha Printing Co., Ltd. 229,300 5,704,742 0.2%
Nisshinbo Holdings, Inc. 870,500 8,898,378 0.3%
Nissin Corp. 409,000 1,377,659 0.1%
Nissin Electric Co., Ltd. 323,300 3,821,728 0.1%
Nitta Corp. 105,000 2,967,947 0.1%
Nitto Boseki Co., Ltd. 934,000 4,719,559 0.1%
Nitto Kogyo Corp. 161,500 2,327,350 0.1%
Nitto Kohki Co., Ltd. 68,500 1,597,336 0.1%
Nitto Seiko Co., Ltd. 154,100 633,324 0.0%
# Nittoc Construction Co., Ltd. 161,600 649,718 0.0%
# Nittoku Engineering Co., Ltd. 81,900 1,847,881 0.1%
Noda Corp. 153,600 1,208,901 0.0%
Nomura Co., Ltd. 220,200 4,211,922 0.1%
Noritake Co., Ltd. 64,200 1,722,436 0.1%
# Noritz Corp. 172,400 3,352,841 0.1%
# NS Tool Co., Ltd. 18,700 269,134 0.0%
NS United Kaiun Kaisha, Ltd. 599,000 1,279,413 0.0%
NTN Corp. 821,000 4,184,836 0.1%
Obara Group, Inc. 79,200 3,617,549 0.1%
Obayashi Road Corp. 166,300 1,012,175 0.0%
# Odelic Co., Ltd. 21,400 750,416 0.0%
Ohba Co., Ltd. 9,600 44,353 0.0%
Ohmoto Gumi Co., Ltd. 2,000 14,181 0.0%
Oiles Corp. 151,350 2,750,433 0.1%
Okabe Co., Ltd. 242,100 2,169,815 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
# Okamoto Machine Tool Works, Ltd. 205,000 $ 294,519 0.0%
Okamura Corp. 381,900 3,381,499 0.1%
# OKK Corp. 425,000 442,610 0.0%
OKUMA Corp. 849,000 8,905,039 0.3%
Okumura Corp. 999,400 6,176,772 0.2%
Onoken Co., Ltd. 86,100 1,193,640 0.0%
Organo Corp. 228,000 1,045,523 0.0%
# OSG Corp. 452,700 9,326,305 0.3%
# OSJB Holdings Corp. 677,200 1,598,238 0.1%
# Outsourcing, Inc. 81,300 3,118,686 0.1%
Oyo Corp. 111,300 1,412,565 0.1%
Paraca, Inc. 17,700 339,625 0.0%
Parker Corp. 8,000 37,961 0.0%
# Pasco Corp. 137,000 440,016 0.0%
# Pasona Group, Inc. 126,800 942,410 0.0%
Pegasus Sewing Machine Manufacturing Co., Ltd. 108,000 833,697 0.0%
Penta-Ocean Construction Co., Ltd. 1,890,000 9,574,936 0.3%
Pilot Corp. 188,800 7,675,261 0.2%
Prestige International, Inc. 284,800 2,556,999 0.1%
# Pronexus, Inc. 126,400 1,583,401 0.1%
# PS Mitsubishi Construction Co., Ltd. 163,900 624,912 0.0%
Punch Industry Co., Ltd. 23,100 226,711 0.0%
Quick Co., Ltd. 48,100 540,035 0.0%
Raito Kogyo Co., Ltd. 313,100 3,112,166 0.1%
Rasa Corp. 4,000 28,391 0.0%
Relia, Inc. 254,000 2,510,855 0.1%
Rheon Automatic Machinery Co., Ltd. 110,500 1,058,707 0.0%
Rix Corp. 1,700 25,238 0.0%
Ryobi, Ltd. 820,200 3,608,649 0.1%
Sakai Heavy Industries, Ltd. 237,000 651,001 0.0%
# Sakai Moving Service Co., Ltd. 60,800 1,773,177 0.1%
Sanki Engineering Co., Ltd. 297,600 2,574,746 0.1%
Sanko Metal Industrial Co., Ltd. 13,600 366,698 0.0%
# Sankyo Tateyama, Inc. 166,200 2,431,945 0.1%
Sankyu, Inc. 1,540,000 9,780,372 0.3%
# Sanoyas Holdings Corp. 141,400 353,901 0.0%
Sansei Technologies, Inc. 30,200 269,282 0.0%
Sanwa Holdings Corp. 1,232,600 12,424,809 0.4%
Sanyo Denki Co., Ltd. 264,000 2,176,514 0.1%
Sanyo Engineering & Construction, Inc. 48,000 284,871 0.0%
Sanyo Industries, Ltd. 99,000 174,014 0.0%
Sanyo Trading Co., Ltd. 29,600 551,284 0.0%
# Sata Construction Co., Ltd. 85,399 326,445 0.0%
Sato Holdings Corp. 158,700 3,626,364 0.1%
Sato Shoji Corp. 66,800 517,747 0.0%
# SBS Holdings, Inc. 114,100 823,792 0.0%
# Secom Joshinetsu Co., Ltd. 32,900 999,015 0.0%
Seibu Electric Industry Co., Ltd. 19,900 412,098 0.0%
Seika Corp. 313,000 980,019 0.0%
Seikitokyu Kogyo Co., Ltd. 188,300 1,014,453 0.0%
Seino Holdings Co., Ltd. 258,600 2,995,075 0.1%
Sekisui Jushi Corp. 180,900 3,190,137 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Senko Group Holdings Co., Ltd. 564,500 $3,676,013 0.1%
Senshu Electric Co., Ltd. 35,800 646,029 0.0%
Shibusawa Warehouse Co., Ltd. (The) 267,000 820,765 0.0%
Shibuya Corp. 104,400 2,777,959 0.1%
# Shima Seiki Manufacturing, Ltd. 161,400 5,851,915 0.2%
Shin Nippon Air Technologies Co., Ltd. 86,280 1,138,407 0.0%
# Shin-Keisei Electric Railway Co., Ltd. 181,000 672,260 0.0%
Shinmaywa Industries, Ltd. 550,000 4,635,101 0.1%
Shinnihon Corp. 186,700 1,467,597 0.1%
Shinsho Corp. 31,100 698,519 0.0%
Shinwa Co., Ltd. 32,000 541,978 0.0%
#* Shoko Co., Ltd. 212,000 177,006 0.0%
Showa Aircraft Industry Co., Ltd. 15,837 171,900 0.0%
# SIGMAXYZ, Inc. 32,000 177,006 0.0%
Sinfonia Technology Co., Ltd. 684,000 1,915,264 0.1%
Sinko Industries, Ltd. 110,700 1,721,080 0.1%
Sintokogio, Ltd. 265,000 2,307,429 0.1%
Soda Nikka Co., Ltd. 86,100 396,189 0.0%
Sodick Co., Ltd. 285,400 2,782,304 0.1%
Space Co., Ltd. 66,220 834,573 0.0%
Srg Takamiya Co., Ltd. 118,600 560,063 0.0%
# Star Micronics Co., Ltd. 196,000 3,281,911 0.1%
# Subaru Enterprise Co., Ltd. 55,000 238,934 0.0%
Sugimoto & Co., Ltd. 32,500 449,570 0.0%
Sumitomo Densetsu Co., Ltd. 104,400 1,203,565 0.0%
Sumitomo Mitsui Construction Co., Ltd. 5,237,600 5,679,738 0.2%
Sumitomo Precision Products Co., Ltd. 189,000 615,378 0.0%
Sumitomo Warehouse Co., Ltd. (The) 819,000 4,969,898 0.2%
* SWCC Showa Holdings Co., Ltd. 1,562,000 1,148,401 0.0%
Tadano, Ltd. 591,700 7,644,050 0.2%
Taihei Dengyo Kaisha, Ltd. 194,000 1,926,091 0.1%
# Taiheiyo Kouhatsu, Inc. 407,000 361,792 0.0%
Taikisha, Ltd. 147,000 3,664,199 0.1%
Takamatsu Construction Group Co., Ltd. 80,000 1,911,822 0.1%
# Takano Co., Ltd. 49,400 442,321 0.0%
Takaoka Toko Co., Ltd. 62,220 944,015 0.0%
# Takara Printing Co., Ltd. 51,955 803,208 0.0%
Takara Standard Co., Ltd. 253,500 4,206,565 0.1%
Takasago Thermal Engineering Co., Ltd. 355,200 5,495,370 0.2%
Takashima & Co., Ltd. 225,000 395,687 0.0%
Takeei Corp. 129,400 1,147,355 0.0%
Takeuchi Manufacturing Co., Ltd. 208,300 3,704,184 0.1%
Takigami Steel Construction Co., Ltd. (The) 53,000 225,519 0.0%
Takisawa Machine Tool Co., Ltd. 368,000 544,812 0.0%
Takuma Co., Ltd. 438,000 4,548,920 0.1%
# Tanseisha Co., Ltd. 219,949 1,961,809 0.1%
Tatsuta Electric Wire and Cable Co., Ltd. 257,400 1,267,425 0.0%
TECHNO ASSOCIE Co., Ltd. 56,800 596,399 0.0%
Techno Ryowa, Ltd. 69,390 539,017 0.0%
TechnoPro Holdings, Inc. 154,000 6,022,397 0.2%
Teikoku Electric Manufacturing Co., Ltd. 97,400 935,332 0.0%
Teikoku Sen-I Co., Ltd. 103,100 1,631,361 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
# Tekken Corp. 669,000 $1,980,107 0.1%
Teraoka Seisakusho Co., Ltd. 53,600 187,576 0.0%
* Toa Corp. 110,300 2,028,859 0.1%
TOA ROAD Corp. 266,000 822,778 0.0%
Tobishima Corp. 1,153,700 1,737,231 0.1%
Tocalo Co., Ltd. 83,100 2,240,659 0.1%
Toda Corp. 1,230,000 7,592,976 0.2%
Toenec Corp. 215,000 1,137,530 0.0%
Togami Electric Manufacturing Co., Ltd. 36,000 185,791 0.0%
# TOKAI Holdings Corp. 528,400 4,068,445 0.1%
Tokai Lease Co., Ltd. 162,000 302,273 0.0%
Tokyo Energy & Systems, Inc. 139,000 1,169,365 0.0%
# Tokyo Keiki, Inc. 354,000 736,873 0.0%
* Tokyo Kikai Seisakusho, Ltd. 17,000 9,618 0.0%
Tokyo Sangyo Co., Ltd. 83,900 337,910 0.0%
Tokyu Construction Co., Ltd. 468,900 3,824,501 0.1%
Toli Corp. 261,000 869,529 0.0%
Tomoe Corp. 152,000 466,863 0.0%
# Tomoe Engineering Co., Ltd. 41,800 670,313 0.0%
Tonami Holdings Co., Ltd. 313,000 1,075,476 0.0%
Toppan Forms Co., Ltd. 298,500 3,012,099 0.1%
# Torishima Pump Manufacturing Co., Ltd. 117,100 1,091,325 0.0%
Toshiba Machine Co., Ltd. 698,000 2,900,191 0.1%
Toshiba Plant Systems & Services Corp. 262,650 4,273,204 0.1%
# Tosho Printing Co., Ltd. 236,000 1,064,988 0.0%
Totech Corp. 7,100 113,390 0.0%
# Totetsu Kogyo Co., Ltd. 168,700 4,876,790 0.2%
Toyo Construction Co., Ltd. 428,400 1,541,753 0.1%
# Toyo Denki Seizo K.K. 42,600 627,896 0.0%
#* Toyo Engineering Corp. 916,400 2,288,381 0.1%
Toyo Machinery & Metal Co., Ltd. 87,400 544,550 0.0%
Toyo Tanso Co., Ltd. 67,000 1,067,815 0.0%
# Toyo Wharf & Warehouse Co., Ltd. 340,000 530,898 0.0%
Trancom Co., Ltd. 42,300 2,121,735 0.1%
Trinity Industrial Corp. 19,000 108,372 0.0%
Trusco Nakayama Corp. 335,300 7,657,135 0.2%
Trust Tech, Inc. 48,900 852,592 0.0%
# Tsubaki Nakashima Co., Ltd. 28,500 500,966 0.0%
Tsubakimoto Chain Co. 864,700 7,601,352 0.2%
Tsubakimoto Kogyo Co., Ltd. 117,000 423,013 0.0%
#* Tsudakoma Corp. 294,000 456,359 0.0%
Tsugami Corp. 395,000 2,996,307 0.1%
Tsukishima Kikai Co., Ltd. 171,300 1,845,677 0.1%
Tsurumi Manufacturing Co., Ltd. 106,000 1,545,196 0.1%
TTK Co., Ltd. 62,000 279,516 0.0%
Uchida Yoko Co., Ltd. 59,400 1,361,686 0.1%
Ueki Corp. 348,000 781,500 0.0%
# Union Tool Co. 55,600 1,643,393 0.1%
Ushio, Inc. 655,900 8,241,490 0.3%
Utoc Corp. 98,700 381,501 0.0%
# Wakachiku Construction Co., Ltd. 1,052,000 1,377,322 0.1%
Wakita & Co., Ltd. 219,800 2,534,424 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
WDB Holdings Co., Ltd. 37,600 $ 518,692 0.0%
Weathernews, Inc. 33,700 1,131,110 0.0%
Will Group, Inc. 19,100 139,643 0.0%
World Holdings Co., Ltd. 43,300 819,364 0.0%
# Yahagi Construction Co., Ltd. 159,400 1,419,444 0.1%
YAMABIKO Corp. 216,428 2,578,810 0.1%
YAMADA Consulting Group Co., Ltd. 4,800 219,971 0.0%
Yamato Corp. 82,000 384,951 0.0%
Yamaura Corp. 16,200 93,672 0.0%
Yamazen Corp. 345,700 3,276,344 0.1%
Yasuda Logistics Corp. 94,300 615,996 0.0%
Yokogawa Bridge Holdings Corp. 199,000 2,456,458 0.1%
Yondenko Corp. 128,800 542,966 0.0%
Yuasa Trading Co., Ltd. 105,000 3,039,180 0.1%
Yuken Kogyo Co., Ltd. 196,000 386,756 0.0%
# Yumeshin Holdings Co., Ltd. 249,400 1,736,905 0.1%
Yurtec Corp. 249,000 1,554,385 0.1%
Yusen Logistics Co., Ltd. 109,500 1,042,359 0.0%
Yushin Precision Equipment Co., Ltd. 4,500 128,462 0.0%
Zaoh Co., Ltd. 1,000 13,208 0.0%
# Zenitaka Corp. (The) 115,000 413,471 0.0%
# Zuiko Corp. 21,500 744,321 0.0%
------------ ----
Total Industrials 956,291,807 28.3%
------------ ----
Information Technology -- (12.6%)
# A&D Co., Ltd. 113,900 450,715 0.0%
#* Access Co., Ltd. 52,300 381,191 0.0%
Ad-sol Nissin Corp. 13,700 152,778 0.0%
# Adtec Plasma Technology Co., Ltd. 25,900 377,338 0.0%
# Ai Holdings Corp. 247,200 6,079,108 0.2%
Aichi Tokei Denki Co., Ltd. 18,700 624,836 0.0%
Aiphone Co., Ltd. 71,900 1,123,159 0.0%
# Aisan Technology Co., Ltd. 12,800 407,983 0.0%
Alpha Systems, Inc. 33,260 573,330 0.0%
Amano Corp. 377,600 8,064,547 0.2%
Anritsu Corp. 873,500 7,064,834 0.2%
AOI Electronic Co., Ltd. 26,900 821,188 0.0%
* Apic Yamada Corp. 5,600 26,381 0.0%
Argo Graphics, Inc. 40,400 909,308 0.0%
* Arisawa Manufacturing Co., Ltd. 200,900 1,424,451 0.1%
ArtSpark Holdings, Inc. 33,800 381,984 0.0%
Asahi Net, Inc. 83,500 389,663 0.0%
# Ateam, Inc. 65,100 1,710,842 0.1%
Axell Corp. 44,900 295,312 0.0%
Azbil Corp. 190,300 6,407,376 0.2%
Broadband Tower, Inc. 234,500 503,019 0.0%
Broadleaf Co., Ltd. 266,000 1,726,316 0.1%
CAC Holdings Corp. 67,400 639,898 0.0%
Canon Electronics, Inc. 133,800 2,490,608 0.1%
# Capcom Co., Ltd. 294,600 6,354,455 0.2%
Chino Corp. 35,900 398,397 0.0%
Citizen Watch Co., Ltd. 1,523,200 10,105,630 0.3%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Information Technology -- (Continued)
* CMK Corp. 271,300 $1,784,835 0.1%
# COLOPL, Inc. 259,900 2,399,770 0.1%
Computer Engineering & Consulting, Ltd. 80,000 1,496,718 0.1%
Computer Institute of Japan, Ltd. 38,500 193,154 0.0%
Comture Corp. 20,100 680,540 0.0%
CONEXIO Corp. 114,700 1,756,528 0.1%
# COOKPAD, Inc. 287,400 2,286,649 0.1%
# Core Corp. 15,700 178,093 0.0%
# Cresco, Ltd. 28,500 749,673 0.0%
#* CROOZ, Inc. 43,100 1,326,257 0.1%
Cube System, Inc. 12,300 77,904 0.0%
# Cybernet Systems Co., Ltd. 48,200 312,107 0.0%
Cybozu, Inc. 36,200 146,402 0.0%
Dai-ichi Seiko Co., Ltd. 55,600 817,421 0.0%
Daishinku Corp. 40,999 499,217 0.0%
Daitron Co., Ltd. 23,500 239,198 0.0%
Daiwabo Holdings Co., Ltd. 1,186,000 4,171,054 0.1%
Denki Kogyo Co., Ltd. 313,000 1,530,232 0.1%
Densan System Co., Ltd. 12,600 190,557 0.0%
Designone Japan, Inc. 18,500 247,290 0.0%
* Dexerials Corp. 262,200 2,357,753 0.1%
Digital Arts, Inc. 58,800 1,633,221 0.1%
Digital Garage, Inc. 118,500 2,508,500 0.1%
# Dip Corp. 174,100 3,846,773 0.1%
DKK-Toa Corp. 38,200 196,113 0.0%
* Drecom Co., Ltd. 58,300 687,098 0.0%
DTS Corp. 123,600 3,244,945 0.1%
E-Guardian, Inc. 43,800 665,290 0.0%
Eizo Corp. 106,500 3,521,606 0.1%
Elecom Co., Ltd. 102,900 2,127,367 0.1%
Elematec Corp. 52,271 827,134 0.0%
EM Systems Co., Ltd. 44,900 733,956 0.0%
#* Enigmo, Inc. 69,600 1,219,765 0.0%
Enplas Corp. 59,300 1,620,578 0.1%
ESPEC Corp. 118,000 1,428,670 0.1%
Excel Co., Ltd. 49,300 648,393 0.0%
F@N Communications, Inc. 279,800 2,231,949 0.1%
# Faith, Inc. 27,910 298,060 0.0%
#* FDK Corp. 552,000 579,191 0.0%
# Ferrotec Holdings Corp. 187,500 2,231,389 0.1%
#* FFRI, Inc. 18,700 788,173 0.0%
FIRSTLOGIC, Inc. 600 12,925 0.0%
Fixstars Corp. 21,400 543,985 0.0%
#* Flight Holdings, Inc. 44,900 503,712 0.0%
Forval Corp. 4,700 26,619 0.0%
#* FueTrek Co., Ltd. 31,900 262,966 0.0%
Fuji Soft, Inc. 121,500 3,207,826 0.1%
Fujitsu Frontech, Ltd. 75,300 1,042,082 0.0%
# Fukui Computer Holdings, Inc. 38,900 1,021,521 0.0%
#* Full Speed, Inc. 34,700 328,413 0.0%
Furuno Electric Co., Ltd. 139,600 854,018 0.0%
Furuya Metal Co., Ltd. 11,800 228,428 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Information Technology -- (Continued)
Future Corp. 129,200 $ 1,003,607 0.0%
GL Sciences, Inc. 8,700 95,162 0.0%
# GMO Cloud K.K. 23,400 459,913 0.0%
# GMO internet, Inc. 432,400 5,132,560 0.2%
# GMO Payment Gateway, Inc. 98,500 4,418,517 0.1%
Gree, Inc. 672,200 5,390,155 0.2%
GungHo Online Entertainment, Inc. 146,300 328,235 0.0%
# Gurunavi, Inc. 172,800 3,466,804 0.1%
Hagiwara Electric Co., Ltd. 24,600 495,869 0.0%
Hakuto Co., Ltd. 84,500 902,014 0.0%
# Hearts United Group Co., Ltd. 84,800 1,070,444 0.0%
# Hibino Corp. 12,800 279,499 0.0%
Hioki EE Corp. 53,500 1,098,267 0.0%
# Hitachi Kokusai Electric, Inc. 332,500 7,457,224 0.2%
Hitachi Maxell, Ltd. 190,000 3,754,650 0.1%
Hochiki Corp. 140,000 1,804,749 0.1%
Hokuriku Electric Industry Co., Ltd. 482,000 575,486 0.0%
Honda Tsushin Kogyo Co., Ltd. 32,900 430,746 0.0%
Horiba, Ltd. 212,650 12,537,098 0.4%
Hosiden Corp. 362,000 3,987,935 0.1%
I-Net Corp. 60,590 692,273 0.0%
# I-O Data Device, Inc. 33,900 347,698 0.0%
Ibiden Co., Ltd. 620,978 10,930,807 0.3%
Icom, Inc. 52,500 1,200,979 0.0%
#* IGNIS, Ltd. 12,200 394,835 0.0%
# Ikegami Tsushinki Co., Ltd. 339,000 447,097 0.0%
# Imagica Robot Holdings, Inc. 87,500 542,440 0.0%
Ines Corp. 183,900 1,718,850 0.1%
Infocom Corp. 80,400 1,407,163 0.1%
# Infomart Corp. 496,000 2,977,935 0.1%
Information Development Co. 26,100 272,913 0.0%
Information Services International-Dentsu, Ltd. 75,900 1,666,899 0.1%
Innotech Corp. 105,000 609,269 0.0%
Inter Action Corp. 49,900 329,210 0.0%
Internet Initiative Japan, Inc. 192,400 3,519,478 0.1%
Iriso Electronics Co., Ltd. 55,300 3,499,440 0.1%
# Istyle, Inc. 183,900 1,487,424 0.1%
#* ITbook Co., Ltd. 71,300 333,380 0.0%
* Itfor, Inc. 131,700 744,556 0.0%
# ITmedia, Inc. 4,600 27,696 0.0%
* Itokuro, Inc. 13,700 473,643 0.0%
Iwatsu Electric Co., Ltd. 572,000 421,051 0.0%
Japan Asia Group, Ltd. 83,500 285,354 0.0%
Japan Aviation Electronics Industry, Ltd. 298,000 4,076,152 0.1%
#* Japan Display, Inc. 2,144,300 4,847,276 0.2%
# Japan Material Co., Ltd. 118,600 1,943,458 0.1%
Japan Radio Co., Ltd. 71,000 919,323 0.0%
Jastec Co., Ltd. 56,800 628,900 0.0%
# JBCC Holdings, Inc. 87,500 635,923 0.0%
#* JIG-SAW, Inc. 14,000 778,035 0.0%
Justsystems Corp. 198,400 2,381,441 0.1%
Kaga Electronics Co., Ltd. 106,700 1,974,400 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Information Technology -- (Continued)
Kanematsu Electronics, Ltd. 74,100 $1,991,866 0.1%
#* KLab, Inc. 191,400 1,395,215 0.1%
Koa Corp. 195,900 3,320,412 0.1%
Kyosan Electric Manufacturing Co., Ltd. 279,000 1,136,118 0.0%
Kyowa Electronics Instruments Co., Ltd. 135,100 566,183 0.0%
# LAC Co., Ltd. 87,300 945,696 0.0%
Lasertec Corp. 229,200 2,985,867 0.1%
* Livesense, Inc. 14,300 62,575 0.0%
Macnica Fuji Electronics Holdings, Inc. 195,650 2,778,410 0.1%
Mamezou Holdings Co., Ltd. 85,300 669,270 0.0%
MarkLines Co., Ltd. 1,300 36,770 0.0%
# Marubun Corp. 95,700 600,308 0.0%
Maruwa Co., Ltd. 56,800 2,028,452 0.1%
# Marvelous, Inc. 196,300 1,629,591 0.1%
MCJ Co., Ltd. 191,600 2,209,674 0.1%
# Media Do Co., Ltd. 32,500 812,923 0.0%
#* Megachips Corp. 1,700 44,813 0.0%
#* Meiko Electronics Co., Ltd. 121,800 942,638 0.0%
Melco Holdings, Inc. 75,500 2,137,252 0.1%
# Micronics Japan Co., Ltd. 191,600 1,665,065 0.1%
Mimaki Engineering Co., Ltd. 83,300 490,536 0.0%
Mimasu Semiconductor Industry Co., Ltd. 92,281 1,429,394 0.1%
Miraial Co., Ltd. 32,600 269,321 0.0%
Miroku Jyoho Service Co., Ltd. 109,700 2,079,193 0.1%
# Mitsubishi Research Institute, Inc. 36,500 1,057,502 0.0%
Mitsui High-Tec, Inc. 139,000 1,317,389 0.0%
Mobile Create Co., Ltd. 15,400 49,743 0.0%
# Mobile Factory, Inc. 13,000 306,342 0.0%
#* Morpho, Inc. 23,800 966,615 0.0%
# MTI, Ltd. 189,500 1,080,274 0.0%
# Mutoh Holdings Co., Ltd. 146,000 307,659 0.0%
#* Mynet, Inc. 16,500 475,381 0.0%
Nagano Keiki Co., Ltd. 16,700 106,659 0.0%
# Nakayo, Inc. 390,000 1,245,125 0.0%
NEC Networks & System Integration Corp. 136,600 2,855,564 0.1%
NET One Systems Co., Ltd. 525,900 4,798,478 0.2%
* New Japan Radio Co., Ltd. 96,000 450,568 0.0%
# Nexyz Group Corp. 48,000 644,275 0.0%
Nichicon Corp. 334,200 3,178,758 0.1%
Nihon Dempa Kogyo Co., Ltd. 102,700 742,965 0.0%
Nihon Unisys, Ltd. 351,175 4,923,498 0.2%
# Nippon Ceramic Co., Ltd. 62,200 1,321,220 0.1%
Nippon Chemi-Con Corp. 950,000 3,223,405 0.1%
Nippon Information Development Co., Ltd. 400 12,954 0.0%
# Nippon Kodoshi Corp. 26,400 228,236 0.0%
Nippon Signal Co., Ltd. 316,400 3,032,813 0.1%
Nippon Systemware Co., Ltd. 39,900 561,373 0.0%
Nohmi Bosai, Ltd. 145,900 2,025,650 0.1%
Noritsu Koki Co., Ltd. 117,500 903,525 0.0%
NS Solutions Corp. 192,200 4,211,305 0.1%
NSD Co., Ltd. 206,780 3,370,696 0.1%
# Nuflare Technology, Inc. 25,300 1,342,002 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Information Technology -- (Continued)
# Ohara, Inc. 47,600 $ 447,910 0.0%
Okaya Electric Industries Co., Ltd. 73,000 259,361 0.0%
Oki Electric Industry Co., Ltd. 493,000 7,366,897 0.2%
ONO Sokki Co., Ltd. 58,400 415,697 0.0%
# Optex Group Co., Ltd. 76,000 2,106,715 0.1%
#* Optim Corp. 23,800 584,385 0.0%
Origin Electric Co., Ltd. 173,000 488,545 0.0%
Osaki Electric Co., Ltd. 246,000 1,996,914 0.1%
Paltek Corp. 13,600 104,293 0.0%
PCA Corp. 2,500 33,112 0.0%
PCI Holdings, Inc. 11,700 261,872 0.0%
Poletowin Pitcrew Holdings, Inc. 81,100 1,019,396 0.0%
Rakus Co., Ltd. 21,300 374,298 0.0%
# Renesas Easton Co., Ltd. 37,900 196,898 0.0%
Riken Keiki Co., Ltd. 84,600 1,256,325 0.0%
Riso Kagaku Corp. 179,500 3,159,258 0.1%
Roland DG Corp. 69,500 2,080,117 0.1%
# Rorze Corp. 50,900 1,023,382 0.0%
# RS Technologies Co., Ltd. 8,000 466,159 0.0%
#* RVH, Inc. 70,200 426,732 0.0%
Ryoden Corp. 178,000 1,126,069 0.0%
Ryosan Co., Ltd. 191,900 6,278,739 0.2%
Ryoyo Electro Corp. 122,600 1,795,727 0.1%
# Sakura Internet, Inc. 79,100 597,421 0.0%
* Sanken Electric Co., Ltd. 698,000 3,210,049 0.1%
Sanshin Electronics Co., Ltd. 164,300 1,939,916 0.1%
Satori Electric Co., Ltd. 85,880 626,280 0.0%
# Saxa Holdings, Inc. 298,000 564,403 0.0%
# Scala, Inc. 84,900 615,560 0.0%
Shibaura Electronics Co., Ltd. 36,300 859,623 0.0%
Shibaura Mechatronics Corp. 200,000 491,243 0.0%
#* SHIFT, Inc. 21,600 236,657 0.0%
Shindengen Electric Manufacturing Co., Ltd. 450,000 2,088,637 0.1%
#* Shinkawa, Ltd. 94,400 663,650 0.0%
Shinko Electric Industries Co., Ltd. 470,400 3,365,018 0.1%
Shinko Shoji Co., Ltd. 127,300 1,490,008 0.1%
Shizuki Electric Co., Inc. 101,900 603,436 0.0%
# Siix Corp. 92,900 3,704,996 0.1%
SK-Electronics Co., Ltd. 24,800 263,582 0.0%
SMK Corp. 372,000 1,281,936 0.0%
# SMS Co., Ltd. 180,100 4,793,665 0.2%
# Softbank Technology Corp. 32,000 1,136,587 0.0%
# Softbrain Co., Ltd. 161,300 759,448 0.0%
Softcreate Holdings Corp. 28,900 371,106 0.0%
Soliton Systems K.K. 15,000 97,061 0.0%
# Sourcenext Corp. 70,200 334,264 0.0%
SRA Holdings 60,200 1,598,098 0.1%
# Sumida Corp. 112,849 1,347,733 0.1%
Sun-Wa Technos Corp. 41,700 455,811 0.0%
Suzuden Corp. 6,400 60,034 0.0%
Systena Corp. 116,600 2,004,025 0.1%
# Tabuchi Electric Co., Ltd. 154,600 456,484 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Information Technology -- (Continued)
Tachibana Eletech Co., Ltd. 85,260 $ 1,043,980 0.0%
Taiyo Yuden Co., Ltd. 678,700 8,284,441 0.3%
Takachiho Koheki Co., Ltd. 6,600 60,030 0.0%
TAKEBISHI Corp. 12,200 161,755 0.0%
Tamura Corp. 457,000 2,194,595 0.1%
Tazmo Co., Ltd. 26,100 405,542 0.0%
TDC Software Engineering, Inc. 23,200 267,391 0.0%
#* Teac Corp. 155,000 63,998 0.0%
TechMatrix Corp. 92,800 1,262,701 0.0%
# Tecnos Japan, Inc. 98,800 908,255 0.0%
Teikoku Tsushin Kogyo Co., Ltd. 198,000 330,362 0.0%
TIS, Inc. 505,101 12,731,466 0.4%
TKC Corp. 104,700 2,847,246 0.1%
Tokyo Electron Device, Ltd. 41,100 584,770 0.0%
Tokyo Seimitsu Co., Ltd. 240,800 7,468,816 0.2%
Tomen Devices Corp. 2,400 48,045 0.0%
Topcon Corp. 595,400 10,519,627 0.3%
Torex Semiconductor, Ltd. 29,800 466,407 0.0%
Tose Co., Ltd. 22,100 156,845 0.0%
* Toshiba TEC Corp. 806,000 4,221,507 0.1%
Toukei Computer Co., Ltd. 22,710 472,195 0.0%
Towa Corp. 131,400 2,230,206 0.1%
Toyo Corp. 141,000 1,371,226 0.1%
Transcosmos, Inc. 172,400 4,138,700 0.1%
# Tri Chemical Laboratories, Inc. 29,200 768,243 0.0%
UKC Holdings Corp. 86,600 1,578,634 0.1%
Ulvac, Inc. 252,600 11,859,057 0.4%
* Uniden Holdings Corp. 376,000 546,827 0.0%
UNIRITA, Inc. 4,900 77,254 0.0%
* UT Group Co., Ltd. 189,500 2,461,247 0.1%
# V Technology Co., Ltd. 26,300 4,035,752 0.1%
#* V-Cube, Inc. 73,300 381,177 0.0%
# VeriServe Corp. 11,700 328,604 0.0%
Vitec Holdings Co., Ltd. 45,100 534,836 0.0%
Voyage Group, Inc. 42,100 902,125 0.0%
Wellnet Corp. 86,200 1,226,303 0.0%
# Y A C Holdings Co., Ltd. 48,900 594,975 0.0%
# Yamaichi Electronics Co., Ltd. 146,000 1,899,970 0.1%
Yashima Denki Co., Ltd. 31,800 185,988 0.0%
# Yokowo Co., Ltd. 86,200 1,037,548 0.0%
Zappallas, Inc. 55,900 236,258 0.0%
Zuken, Inc. 83,000 992,442 0.0%
------------ ----
Total Information Technology 467,741,291 13.9%
------------ ----
Materials -- (10.8%)
Achilles Corp. 91,900 1,476,537 0.1%
ADEKA Corp. 544,000 8,029,869 0.2%
Agro-Kanesho Co., Ltd. 62,400 856,176 0.0%
Aichi Steel Corp. 65,400 2,556,980 0.1%
Alconix Corp. 59,000 1,036,109 0.0%
Arakawa Chemical Industries, Ltd. 89,500 1,582,574 0.1%
Araya Industrial Co., Ltd. 268,000 497,635 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
Asahi Holdings, Inc. 178,650 $ 3,332,225 0.1%
Asahi Printing Co., Ltd. 800 18,776 0.0%
Asahi Yukizai Corp. 412,000 857,637 0.0%
Asia Pile Holdings Corp. 68,000 370,069 0.0%
C Uyemura & Co., Ltd. 24,700 1,294,311 0.0%
Carlit Holdings Co., Ltd. 87,200 445,037 0.0%
Chuetsu Pulp & Paper Co., Ltd. 552,000 1,173,125 0.0%
* Chugai Mining Co., Ltd. 1,012,400 236,425 0.0%
Chugoku Marine Paints, Ltd. 347,000 2,566,337 0.1%
CI Takiron Corp. 295,000 1,496,638 0.1%
Dai Nippon Toryo Co., Ltd. 740,000 1,692,897 0.1%
Daido Steel Co., Ltd. 1,685,000 9,382,340 0.3%
Daiichi Kigenso Kagaku-Kogyo Co., Ltd. 97,000 934,797 0.0%
Daiken Corp. 84,200 1,596,045 0.1%
Daiki Aluminium Industry Co., Ltd. 160,000 757,978 0.0%
Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 408,000 2,786,705 0.1%
# Daio Paper Corp. 497,300 6,304,636 0.2%
Denka Co., Ltd. 1,949,000 10,041,869 0.3%
# DKS Co., Ltd. 247,000 1,001,467 0.0%
Dynapac Co., Ltd. 25,000 62,592 0.0%
FP Corp. 148,000 7,047,385 0.2%
Fuji Seal International, Inc. 264,200 6,284,433 0.2%
Fujikura Kasei Co., Ltd. 145,500 858,841 0.0%
Fujimi, Inc. 103,500 1,997,298 0.1%
Fujimori Kogyo Co., Ltd. 89,700 2,809,791 0.1%
# Fumakilla, Ltd. 94,000 646,576 0.0%
Fuso Chemical Co., Ltd. 82,200 2,568,710 0.1%
# Geostr Corp. 53,700 500,359 0.0%
Godo Steel, Ltd. 87,400 1,285,587 0.0%
Gun-Ei Chemical Industry Co., Ltd. 28,600 914,832 0.0%
Hakudo Co., Ltd. 10,200 150,900 0.0%
Harima Chemicals Group, Inc. 75,100 507,578 0.0%
# Hodogaya Chemical Co., Ltd. 37,000 1,146,828 0.0%
Hokkan Holdings, Ltd. 275,000 1,261,434 0.0%
Hokko Chemical Industry Co., Ltd. 104,000 445,932 0.0%
Hokuetsu Kishu Paper Co., Ltd. 857,799 5,981,650 0.2%
Honshu Chemical Industry Co., Ltd. 14,000 101,376 0.0%
#* Ihara Chemical Industry Co., Ltd. 199,100 1,803,036 0.1%
Ise Chemicals Corp. 81,000 341,455 0.0%
* Ishihara Sangyo Kaisha, Ltd. 191,150 1,871,681 0.1%
Ishizuka Glass Co., Ltd. 119,000 229,598 0.0%
JCU Corp. 63,400 1,892,682 0.1%
JSP Corp. 75,800 1,768,176 0.1%
Kanto Denka Kogyo Co., Ltd. 264,000 2,321,637 0.1%
Katakura & Co-op Agri Corp. 46,000 100,291 0.0%
# Kawakin Holdings Co., Ltd. 11,000 39,306 0.0%
KeePer Technical Laboratory Co., Ltd. 12,500 208,338 0.0%
Kimoto Co., Ltd. 228,000 445,729 0.0%
Koatsu Gas Kogyo Co., Ltd. 160,393 1,063,989 0.0%
# Kogi Corp. 55,000 111,570 0.0%
Kohsoku Corp. 60,200 594,711 0.0%
Konishi Co., Ltd. 193,600 2,472,214 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
Konoshima Chemical Co., Ltd. 28,500 $ 490,915 0.0%
Krosaki Harima Corp. 275,000 1,068,411 0.0%
# Kumiai Chemical Industry Co., Ltd. 174,400 1,006,357 0.0%
Kureha Corp. 87,650 3,884,956 0.1%
Kurimoto, Ltd. 61,500 1,213,004 0.0%
Kuriyama Holdings Corp. 19,000 282,721 0.0%
Kyoei Steel, Ltd. 117,900 1,906,305 0.1%
Kyowa Leather Cloth Co., Ltd. 47,700 378,504 0.0%
Lintec Corp. 286,700 6,321,358 0.2%
# MEC Co., Ltd. 109,500 1,175,058 0.0%
Mitani Sekisan Co., Ltd. 36,900 890,469 0.0%
* Mitsubishi Paper Mills, Ltd. 167,900 1,156,118 0.0%
Mitsubishi Steel Manufacturing Co., Ltd. 849,000 1,775,411 0.1%
Mitsui Mining & Smelting Co., Ltd. 3,627,000 12,238,033 0.4%
# MORESCO Corp. 41,300 691,392 0.0%
Mory Industries, Inc. 30,400 609,915 0.0%
Nakayama Steel Works, Ltd. 108,500 685,881 0.0%
Neturen Co., Ltd. 183,300 1,513,977 0.1%
#* New Japan Chemical Co., Ltd. 182,300 235,629 0.0%
Nicca Chemical Co., Ltd. 8,800 93,433 0.0%
Nichia Steel Works, Ltd. 164,900 384,779 0.0%
# Nihon Kagaku Sangyo Co., Ltd. 72,300 903,826 0.0%
# Nihon Nohyaku Co., Ltd. 272,900 1,751,198 0.1%
Nihon Parkerizing Co., Ltd. 581,400 7,463,132 0.2%
Nihon Yamamura Glass Co., Ltd. 503,000 844,552 0.0%
Nippon Carbide Industries Co., Inc. 434,000 638,113 0.0%
Nippon Chemical Industrial Co., Ltd. 477,000 975,965 0.0%
# Nippon Concrete Industries Co., Ltd. 253,600 795,747 0.0%
Nippon Denko Co., Ltd. 673,414 2,054,417 0.1%
Nippon Fine Chemical Co., Ltd. 81,000 684,906 0.0%
Nippon Kayaku Co., Ltd. 683,000 9,331,778 0.3%
# Nippon Kinzoku Co., Ltd. 29,300 373,754 0.0%
# Nippon Koshuha Steel Co., Ltd. 460,000 338,620 0.0%
Nippon Light Metal Holdings Co., Ltd. 3,065,900 6,850,076 0.2%
# Nippon Paper Industries Co., Ltd. 304,000 5,747,405 0.2%
Nippon Pillar Packing Co., Ltd. 116,800 1,637,436 0.1%
Nippon Soda Co., Ltd. 827,000 4,481,220 0.1%
# Nippon Valqua Industries, Ltd. 97,799 1,669,638 0.1%
Nippon Yakin Kogyo Co., Ltd. 831,300 1,498,583 0.1%
# Nisshin Steel Co., Ltd. 228,492 2,790,581 0.1%
# Nitta Gelatin, Inc. 77,400 511,754 0.0%
Nittetsu Mining Co., Ltd. 34,400 1,833,466 0.1%
# Nitto FC Co., Ltd. 89,300 721,937 0.0%
NOF Corp. 870,000 9,803,495 0.3%
Nozawa Corp. 13,300 135,527 0.0%
Okamoto Industries, Inc. 405,000 4,390,542 0.1%
Okura Industrial Co., Ltd. 284,000 1,344,674 0.0%
Osaka Organic Chemical Industry, Ltd. 80,700 932,571 0.0%
Osaka Soda Co., Ltd. 424,000 1,924,593 0.1%
Osaka Steel Co., Ltd. 83,300 1,576,691 0.1%
* Pacific Metals Co., Ltd. 941,000 3,056,507 0.1%
Pack Corp. (The) 80,200 2,260,748 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
#* Rasa Industries, Ltd. 480,000 $ 594,128 0.0%
Rengo Co., Ltd. 1,261,000 7,625,172 0.2%
# Riken Technos Corp. 212,600 1,018,993 0.0%
Sakai Chemical Industry Co., Ltd. 570,000 1,953,197 0.1%
Sakata INX Corp. 252,400 3,565,074 0.1%
Sanyo Chemical Industries, Ltd. 69,800 3,129,995 0.1%
Sanyo Special Steel Co., Ltd. 650,300 3,577,778 0.1%
# Seiko PMC Corp. 47,200 511,554 0.0%
Sekisui Plastics Co., Ltd. 134,000 978,645 0.0%
Shikoku Chemicals Corp. 225,000 2,574,947 0.1%
Shin-Etsu Polymer Co., Ltd. 258,500 1,952,380 0.1%
Shinagawa Refractories Co., Ltd. 304,000 823,532 0.0%
Shinko Wire Co., Ltd. 184,000 231,175 0.0%
* Showa Denko K.K. 730,399 13,950,565 0.4%
SK Kaken Co., Ltd. 1,000 95,197 0.0%
Soken Chemical & Engineering Co., Ltd. 5,900 76,529 0.0%
# Stella Chemifa Corp. 61,800 1,629,231 0.1%
Sumitomo Bakelite Co., Ltd. 1,163,000 7,473,658 0.2%
Sumitomo Osaka Cement Co., Ltd. 2,493,000 10,819,816 0.3%
Sumitomo Seika Chemicals Co., Ltd. 55,800 2,378,146 0.1%
T Hasegawa Co., Ltd. 134,800 2,617,609 0.1%
# T&K Toka Co., Ltd. 86,100 848,577 0.0%
Taisei Lamick Co., Ltd. 32,700 850,406 0.0%
Taiyo Holdings Co., Ltd. 104,900 4,689,659 0.1%
Takasago International Corp. 87,200 2,903,993 0.1%
* Tanaka Chemical Corp. 10,400 62,017 0.0%
Tayca Corp. 182,000 1,193,320 0.0%
Tenma Corp. 80,800 1,504,769 0.1%
Toagosei Co., Ltd. 658,000 7,730,302 0.2%
Toda Kogyo Corp. 253,000 594,822 0.0%
Toho Titanium Co., Ltd. 195,800 1,326,472 0.0%
Toho Zinc Co., Ltd. 800,000 3,536,916 0.1%
Tokai Carbon Co., Ltd. 1,289,000 5,643,496 0.2%
Tokushu Tokai Paper Co., Ltd. 57,258 2,112,113 0.1%
* Tokuyama Corp. 2,159,000 10,628,809 0.3%
Tokyo Ohka Kogyo Co., Ltd. 220,600 7,151,242 0.2%
# Tokyo Rope Manufacturing Co., Ltd. 84,800 1,297,777 0.0%
Tokyo Steel Manufacturing Co., Ltd. 652,000 4,858,120 0.2%
Tokyo Tekko Co., Ltd. 251,000 956,726 0.0%
# Tomoegawa Co., Ltd. 125,000 262,405 0.0%
Tomoku Co., Ltd. 339,000 1,046,981 0.0%
Topy Industries, Ltd. 114,200 3,110,981 0.1%
Toyo Ink SC Holdings Co., Ltd. 1,157,000 5,689,085 0.2%
Toyo Kohan Co., Ltd. 286,000 1,023,595 0.0%
Toyobo Co., Ltd. 5,688,000 10,061,433 0.3%
TYK Corp. 138,000 241,331 0.0%
# UACJ Corp. 1,486,415 3,943,951 0.1%
Ube Industries, Ltd. 3,982,000 9,257,192 0.3%
# W-Scope Corp. 148,900 2,008,699 0.1%
Wood One Co., Ltd. 169,000 441,048 0.0%
Yamato Kogyo Co., Ltd. 201,200 5,032,478 0.2%
Yodogawa Steel Works, Ltd. 144,700 3,748,134 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
Yotai Refractories Co., Ltd. 13,000 $ 44,471 0.0%
Yuki Gosei Kogyo Co., Ltd. 36,200 92,840 0.0%
Yushiro Chemical Industry Co., Ltd. 61,400 771,914 0.0%
Zeon Corp. 30,000 341,577 0.0%
------------ ----
Total Materials 402,072,759 11.9%
------------ ----
Real Estate -- (1.9%)
# AD Works Co., Ltd. 624,700 218,802 0.0%
Airport Facilities Co., Ltd. 132,770 695,912 0.0%
Anabuki Kosan, Inc. 2,200 53,894 0.0%
Aoyama Zaisan Networks Co., Ltd. 25,400 161,764 0.0%
# Apamanshop Holdings Co., Ltd. 43,800 283,266 0.0%
# Ardepro Co., Ltd. 872,800 1,071,893 0.0%
Arealink Co., Ltd. 16,800 229,726 0.0%
* Ascot Corp. 67,700 242,822 0.0%
CRE, Inc. 13,300 186,015 0.0%
Daibiru Corp. 303,600 2,801,639 0.1%
Daikyo, Inc. 1,904,000 3,965,174 0.1%
Dear Life Co., Ltd. 3,300 11,218 0.0%
Goldcrest Co., Ltd. 101,790 1,809,965 0.1%
Grandy House Corp. 45,800 166,175 0.0%
Heiwa Real Estate Co., Ltd. 236,600 3,773,480 0.1%
# Ichigo, Inc. 1,320,000 3,837,871 0.1%
# Investors Cloud Co., Ltd. 20,600 768,668 0.0%
* Japan Asset Marketing Co., Ltd. 1,124,500 1,353,125 0.1%
Japan Property Management Center Co., Ltd. 78,700 927,751 0.0%
Kabuki-Za Co., Ltd. 34,000 1,570,943 0.1%
Keihanshin Building Co., Ltd. 197,900 1,132,757 0.0%
# Kenedix, Inc. 1,399,200 6,455,461 0.2%
Land Business Co., Ltd. 34,000 86,980 0.0%
Leopalace21 Corp. 1,960,700 10,421,817 0.3%
Mugen Estate Co., Ltd. 73,300 544,084 0.0%
Nisshin Fudosan Co. 186,100 1,052,577 0.0%
Open House Co., Ltd. 179,100 4,393,261 0.1%
* Properst Co., Ltd. 26,600 45,367 0.0%
# Prospect Co., Ltd. 353,000 208,787 0.0%
# Raysum Co., Ltd. 83,000 761,173 0.0%
# SAMTY Co., Ltd. 76,900 764,203 0.0%
Sankyo Frontier Co., Ltd. 24,000 281,950 0.0%
# Shinoken Group Co., Ltd. 81,500 1,518,736 0.1%
Star Mica Co., Ltd. 31,800 641,933 0.0%
#* Striders Corp. 153,000 83,755 0.0%
Sumitomo Real Estate Sales Co., Ltd. 106,460 3,432,567 0.1%
Sun Frontier Fudousan Co., Ltd. 163,300 1,427,344 0.1%
# Takara Leben Co., Ltd. 552,800 2,598,721 0.1%
TOC Co., Ltd. 323,950 2,949,446 0.1%
# Tokyo Rakutenchi Co., Ltd. 207,000 971,536 0.0%
# Tokyo Theatres Co., Inc. 468,000 625,431 0.0%
Tosei Corp. 201,700 1,426,146 0.1%
# Unizo Holdings Co., Ltd. 96,000 2,449,448 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Real Estate -- (Continued)
Urbanet Corp. Co., Ltd. 91,400 $ 344,412 0.0%
-------------- -----
Total Real Estate 68,747,995 2.0%
-------------- -----
Telecommunication Services -- (0.1%)
#* Broadmedia Corp. 276,600 220,600 0.0%
# Freebit Co., Ltd. 64,400 531,654 0.0%
# Okinawa Cellular Telephone Co. 43,600 1,421,497 0.1%
#* Vision, Inc./Tokyo Japan 16,000 565,600 0.0%
# WirelessGate, Inc. 43,500 551,792 0.0%
-------------- -----
Total Telecommunication Services 3,291,143 0.1%
-------------- -----
Utilities -- (0.9%)
#* Eneres Co., Ltd. 110,300 513,048 0.0%
# eRex Co., Ltd. 190,600 2,284,839 0.1%
Hiroshima Gas Co., Ltd. 153,000 485,877 0.0%
# Hokkaido Electric Power Co., Inc. 1,189,200 8,632,838 0.3%
Hokkaido Gas Co., Ltd. 293,000 712,285 0.0%
# Hokuriku Electric Power Co. 577,100 5,333,933 0.2%
Hokuriku Gas Co., Ltd. 9,900 242,290 0.0%
K&O Energy Group, Inc. 81,400 1,263,364 0.0%
Okinawa Electric Power Co., Inc. (The) 214,834 5,241,388 0.2%
Saibu Gas Co., Ltd. 1,953,000 4,504,754 0.1%
Shizuoka Gas Co., Ltd. 318,200 2,162,337 0.1%
# Toell Co., Ltd. 21,700 176,786 0.0%
West Holdings Corp. 96,800 680,473 0.0%
-------------- -----
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%
============== =====
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
== ============== ====== ==============
THE ASIA PACIFIC SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
COMMON STOCKS -- (87.6%)
AUSTRALIA -- (43.7%)
* 3P Learning, Ltd. 35,996 $ 26,401 0.0%
* Acrux, Ltd. 660,428 136,080 0.0%
# Adacel Technologies, Ltd. 24,703 49,365 0.0%
Adelaide Brighton, Ltd. 3,668,074 16,262,304 1.0%
# Ainsworth Game Technology, Ltd. 809,731 1,127,513 0.1%
* Alkane Resources, Ltd. 1,510,492 283,132 0.0%
ALS, Ltd. 1,315,878 6,154,941 0.4%
# Altium, Ltd. 338,087 2,073,068 0.1%
* Altona Mining, Ltd. 1,108,169 120,109 0.0%
Alumina, Ltd. 2,795,546 3,837,633 0.2%
AMA Group, Ltd. 678,160 538,262 0.0%
Amaysim Australia, Ltd. 408,627 544,003 0.0%
Ansell, Ltd. 659,275 11,735,730 0.7%
* Antares Energy, Ltd. 199,346 1,994 0.0%
# AP Eagers, Ltd. 248,631 1,496,590 0.1%
# APN News & Media, Ltd. 2,156,742 4,019,534 0.3%
APN Outdoor Group, Ltd. 641,842 2,616,301 0.2%
APN Property Group, Ltd. 26,661 7,980 0.0%
# Appen, Ltd. 155,389 309,286 0.0%
# ARB Corp., Ltd. 484,352 5,616,215 0.3%
# Ardent Leisure Group 752,280 1,142,233 0.1%
#* Arrium, Ltd. 17,951,296 94 0.0%
# Asaleo Care, Ltd. 1,646,819 2,209,914 0.1%
* Atlas Iron, Ltd. 7,155,231 85,120 0.0%
AUB Group, Ltd. 267,271 2,419,364 0.2%
Ausdrill, Ltd. 1,723,145 1,761,083 0.1%
Austal, Ltd. 1,293,477 1,657,790 0.1%
#* Australian Agricultural Co., Ltd. 2,864,730 3,696,044 0.2%
Australian Finance Group, Ltd. 106,389 107,370 0.0%
Australian Pharmaceutical Industries, Ltd. 2,618,533 4,365,896 0.3%
Australian Vintage, Ltd. 4,105,188 1,320,935 0.1%
Auswide Bank, Ltd. 94,385 367,158 0.0%
# Automotive Holdings Group, Ltd. 1,878,681 5,242,441 0.3%
* Avanco Resources, Ltd. 2,444,368 200,876 0.0%
# Aveo Group 1,723,197 4,064,356 0.3%
# AVJennings, Ltd. 7,051,385 3,137,253 0.2%
#* AWE, Ltd. 3,834,269 1,303,463 0.1%
# Baby Bunting Group, Ltd. 121,851 166,433 0.0%
# Bapcor, Ltd. 1,023,028 4,000,613 0.2%
Beach Energy, Ltd. 13,769,668 7,560,414 0.5%
#* Beadell Resources, Ltd. 7,171,491 1,231,951 0.1%
# Bega Cheese, Ltd. 712,553 3,196,415 0.2%
# Bellamy's Australia, Ltd. 270,885 1,041,428 0.1%
#* Billabong International, Ltd. 756,968 631,637 0.0%
# Blackmores, Ltd. 81,784 6,522,044 0.4%
Blue Sky Alternative Investments, Ltd. 67,578 404,892 0.0%
BlueScope Steel, Ltd. 400,903 3,502,669 0.2%
* Boart Longyear, Ltd. 2,447,306 80,656 0.0%
* Boom Logistics, Ltd. 166,262 14,942 0.0%
Boral, Ltd. 1,004,846 4,631,883 0.3%
# Breville Group, Ltd. 825,559 6,613,366 0.4%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
Brickworks, Ltd. 228,958 $ 2,523,104 0.2%
BT Investment Management, Ltd. 766,605 6,848,022 0.4%
#* Buru Energy, Ltd. 316,943 40,202 0.0%
# Cabcharge Australia, Ltd. 863,423 1,700,178 0.1%
# Capilano Honey, Ltd. 9,665 108,790 0.0%
* Capitol Health, Ltd. 164,543 23,351 0.0%
Capral, Ltd. 58,499 7,436 0.0%
#* Cardno, Ltd. 1,615,947 1,610,150 0.1%
* Carnarvon Petroleum, Ltd. 5,095,141 332,006 0.0%
* Carnegie Clean Energy, Ltd. 1,015,131 50,879 0.0%
carsales.com, Ltd. 1,702,940 14,935,754 0.9%
# Cash Converters International, Ltd. 2,406,480 494,400 0.0%
Cedar Woods Properties, Ltd. 332,516 1,332,732 0.1%
Class, Ltd. 38,871 83,191 0.0%
Cleanaway Waste Management, Ltd. 10,470,362 9,942,536 0.6%
* Clinuvel Pharmaceuticals, Ltd. 37,623 191,562 0.0%
Codan, Ltd. 447,637 734,342 0.1%
# Collection House, Ltd. 2,175,227 2,198,429 0.1%
Collins Foods, Ltd. 491,010 1,927,029 0.1%
#* Cooper Energy, Ltd. 1,224,088 310,808 0.0%
# Corporate Travel Management, Ltd. 276,172 4,207,898 0.3%
Costa Group Holdings, Ltd. 882,082 2,895,475 0.2%
# Credit Corp. Group, Ltd. 240,717 3,277,079 0.2%
# CSG, Ltd. 1,003,475 360,671 0.0%
CSR, Ltd. 3,680,857 13,497,307 0.8%
* CuDeco, Ltd. 387,893 106,016 0.0%
Data#3, Ltd. 602,918 775,308 0.1%
# Decmil Group, Ltd. 867,988 508,968 0.0%
* Devine, Ltd. 224,413 74,003 0.0%
Dicker Data, Ltd. 90,017 164,378 0.0%
Donaco International, Ltd. 28,566 10,395 0.0%
Downer EDI, Ltd. 4,075,221 17,907,909 1.1%
DuluxGroup, Ltd. 3,101,823 15,705,453 1.0%
DWS, Ltd. 409,792 476,817 0.0%
Eclipx Group, Ltd. 429,545 1,239,471 0.1%
#* Elders, Ltd. 585,894 1,951,629 0.1%
* Electro Optic Systems Holdings, Ltd. 95,409 235,685 0.0%
* Emeco Holdings, Ltd. 1,193,646 76,021 0.0%
#* Energy Resources of Australia, Ltd. 1,487,868 669,569 0.0%
#* Energy World Corp., Ltd. 4,185,404 1,174,704 0.1%
* Enero Group, Ltd. 12,387 9,266 0.0%
EQT Holdings, Ltd. 23,504 308,574 0.0%
# ERM Power, Ltd. 886,277 806,341 0.1%
# Estia Health, Ltd. 760,112 1,742,037 0.1%
Euroz, Ltd. 101,762 86,025 0.0%
Event Hospitality and Entertainment, Ltd. 505,949 4,922,667 0.3%
Evolution Mining, Ltd. 5,025,776 8,735,334 0.5%
Fairfax Media, Ltd. 15,303,894 12,132,462 0.7%
#* FAR, Ltd. 5,225,378 320,772 0.0%
Finbar Group, Ltd. 154,390 93,605 0.0%
#* Fleetwood Corp., Ltd. 394,575 591,408 0.0%
# FlexiGroup, Ltd. 1,408,968 2,453,202 0.2%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
AUSTRALIA -- (Continued)
# Flight Centre Travel Group, Ltd. 183,277 $ 4,310,980 0.3%
# G8 Education, Ltd. 2,014,388 5,573,465 0.3%
# Gateway Lifestyle 771,590 1,230,793 0.1%
# GBST Holdings, Ltd. 80,346 175,062 0.0%
# Genworth Mortgage Insurance Australia, Ltd. 1,294,972 3,184,583 0.2%
Global Construction Services, Ltd. 4,832 2,072 0.0%
GR Engineering Services, Ltd. 55,230 61,844 0.0%
GrainCorp, Ltd. Class A 1,251,687 8,347,630 0.5%
Grange Resources, Ltd. 1,724,297 212,999 0.0%
# Greencross, Ltd. 319,066 1,623,449 0.1%
* Greenland Minerals & Energy, Ltd. 114,047 7,590 0.0%
# GUD Holdings, Ltd. 893,134 8,313,592 0.5%
GWA Group, Ltd. 2,030,007 4,740,861 0.3%
# Hansen Technologies, Ltd. 361,614 974,465 0.1%
Healthscope, Ltd. 1,336,318 2,206,981 0.1%
HFA Holdings, Ltd. 381,784 682,677 0.0%
* Highfield Resources, Ltd. 46,089 36,524 0.0%
#* Hills, Ltd. 1,277,876 186,479 0.0%
* Horizon Oil, Ltd. 4,073,887 176,900 0.0%
IDP Education, Ltd. 30,186 104,011 0.0%
Iluka Resources, Ltd. 2,032,058 12,769,532 0.8%
* Imdex, Ltd. 1,709,061 791,768 0.1%
# IMF Bentham, Ltd. 863,985 1,248,069 0.1%
# Independence Group NL 2,082,153 5,101,123 0.3%
#* Infigen Energy 4,051,095 2,883,119 0.2%
Infomedia, Ltd. 2,204,042 1,169,725 0.1%
Integrated Research, Ltd. 401,084 900,264 0.1%
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%
iSelect, Ltd. 254,932 379,405 0.0%
# iSentia Group, Ltd. 463,170 502,193 0.0%
IVE Group, Ltd. 33,461 58,568 0.0%
# Japara Healthcare, Ltd. 1,055,711 1,635,395 0.1%
# JB Hi-Fi, Ltd. 962,791 17,788,459 1.1%
* Jupiter Mines, Ltd. 381,117 152,447 0.0%
K&S Corp., Ltd. 268,400 307,206 0.0%
#* Karoon Gas Australia, Ltd. 869,250 960,482 0.1%
#* Kingsgate Consolidated, Ltd. 1,717,937 291,130 0.0%
* Kingsrose Mining, Ltd. 937,248 52,636 0.0%
Link Administration Holdings, Ltd. 284,805 1,646,270 0.1%
#* Lynas Corp., Ltd. 3,390,978 230,866 0.0%
MACA, Ltd. 721,299 895,998 0.1%
* Macmahon Holdings, Ltd. 6,881,875 798,496 0.1%
Macquarie Atlas Roads Group 606,435 2,423,159 0.2%
# Magellan Financial Group, Ltd. 493,135 8,692,337 0.5%
# Mantra Group, Ltd. 1,255,464 2,648,773 0.2%
MaxiTRANS Industries, Ltd. 915,613 468,600 0.0%
#* Mayne Pharma Group, Ltd. 6,571,574 6,608,037 0.4%
McMillan Shakespeare, Ltd. 450,123 4,553,105 0.3%
McPherson's, Ltd. 558,677 560,908 0.0%
* Medusa Mining, Ltd. 1,263,898 358,330 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
AUSTRALIA -- (Continued)
Melbourne IT, Ltd. 441,811 $ 711,699 0.0%
#* Mesoblast, Ltd. 307,194 724,404 0.0%
#* Metals X, Ltd. 1,642,001 904,850 0.1%
#* Metcash, Ltd. 5,204,963 8,379,582 0.5%
Michael Hill International, Ltd.(BD8D249) 1,490,263 1,353,566 0.1%
Michael Hill International, Ltd.(BD8D250) 47,518 43,065 0.0%
* Millennium Minerals, Ltd. 398,211 68,171 0.0%
* Mincor Resources NL 1,067,643 143,952 0.0%
Mineral Resources, Ltd. 1,168,088 9,342,036 0.6%
#* MMA Offshore, Ltd. 2,282,868 376,385 0.0%
MNF Group, Ltd. 37,494 124,601 0.0%
Monadelphous Group, Ltd. 813,595 7,606,753 0.5%
Monash IVF Group, Ltd. 365,770 545,118 0.0%
Money3 Corp., Ltd. 192,180 199,188 0.0%
* Morning Star Gold NL 332,749 25 0.0%
Mortgage Choice, Ltd. 719,356 1,228,346 0.1%
#* Mount Gibson Iron, Ltd. 4,758,288 1,280,669 0.1%
# Myer Holdings, Ltd. 5,669,367 4,710,605 0.3%
MYOB Group, Ltd. 984,992 2,593,650 0.2%
# MyState, Ltd. 269,026 946,820 0.1%
Navitas, Ltd. 1,606,445 5,516,479 0.3%
#* NetComm Wireless, Ltd. 36,441 37,006 0.0%
New Hope Corp., Ltd. 233,645 293,770 0.0%
#* NEXTDC, Ltd. 390,981 1,214,995 0.1%
nib holdings, Ltd. 2,772,247 12,451,528 0.8%
Nick Scali, Ltd. 185,039 996,890 0.1%
# Nine Entertainment Co. Holdings, Ltd. 1,091,073 1,004,656 0.1%
Northern Star Resources, Ltd. 4,806,957 15,628,853 1.0%
#* NRW Holdings, Ltd. 2,147,851 897,177 0.1%
Nufarm, Ltd. 1,407,770 10,699,413 0.7%
# OFX Group, Ltd. 646,647 694,605 0.0%
oOh!media, Ltd. 49,189 165,929 0.0%
#* Orocobre, Ltd. 892,424 2,104,275 0.1%
Orora, Ltd. 4,298,532 9,691,935 0.6%
# OrotonGroup, Ltd. 131,885 147,211 0.0%
OZ Minerals, Ltd. 2,198,276 11,672,477 0.7%
# Pacific Current Group, Ltd. 63,632 247,130 0.0%
Pacific Smiles Group, Ltd. 247,728 366,582 0.0%
Pact Group Holdings, Ltd. 629,597 3,322,797 0.2%
#* Paladin Energy, Ltd. 9,564,569 752,005 0.1%
* Panoramic Resources, Ltd. 1,865,498 389,565 0.0%
Peet, Ltd. 1,659,464 1,540,699 0.1%
#* Peninsula Energy, Ltd. 209,095 53,878 0.0%
# Perpetual, Ltd. 356,426 14,076,157 0.9%
#* Perseus Mining, Ltd. 3,800,711 839,465 0.1%
# Platinum Asset Management, Ltd. 675,440 2,353,110 0.1%
PMP, Ltd. 2,327,074 1,157,515 0.1%
Premier Investments, Ltd. 594,567 5,830,618 0.4%
* Prima Biomed, Ltd. 1,409,121 33,720 0.0%
Primary Health Care, Ltd. 3,326,526 8,434,735 0.5%
# Prime Media Group, Ltd. 2,031,951 457,135 0.0%
Pro Medicus, Ltd. 48,360 197,134 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
# Programmed Maintenance Services, Ltd. 1,818,274 $ 2,340,322 0.1%
# Qube Holdings, Ltd. 3,449,390 6,780,984 0.4%
# Quintis, Ltd. 2,130,129 1,915,020 0.1%
#* Ramelius Resources, Ltd. 2,806,418 848,879 0.1%
# RCG Corp., Ltd. 599,598 372,323 0.0%
RCR Tomlinson, Ltd. 1,055,209 2,240,931 0.1%
Reckon, Ltd. 385,431 449,834 0.0%
* Red 5, Ltd. 9,022 216 0.0%
Reece, Ltd. 228,772 6,993,538 0.4%
# Regis Healthcare, Ltd. 609,240 2,045,576 0.1%
Regis Resources, Ltd. 2,702,494 6,711,782 0.4%
# Reject Shop, Ltd. (The) 269,244 856,532 0.1%
# Resolute Mining, Ltd. 6,772,221 6,287,922 0.4%
# Retail Food Group, Ltd. 1,222,493 4,994,185 0.3%
Ridley Corp., Ltd. 1,421,393 1,522,166 0.1%
* RPMGlobal Holdings, Ltd. 30,702 13,785 0.0%
Ruralco Holdings, Ltd. 151,750 325,847 0.0%
RXP Services, Ltd. 132,638 84,386 0.0%
* Salmat, Ltd. 645,788 256,085 0.0%
Sandfire Resources NL 802,453 3,474,728 0.2%
* Saracen Mineral Holdings, Ltd. 6,350,203 4,482,517 0.3%
# SeaLink Travel Group, Ltd. 87,235 283,121 0.0%
# Select Harvests, Ltd. 547,489 2,228,613 0.1%
* Senetas Corp., Ltd. 131,335 9,828 0.0%
#* Senex Energy, Ltd. 6,525,453 1,556,298 0.1%
# Servcorp, Ltd. 325,416 1,435,264 0.1%
Service Stream, Ltd. 1,930,150 1,677,232 0.1%
# Seven Group Holdings, Ltd. 559,015 4,637,363 0.3%
Seven West Media, Ltd. 7,785,820 4,308,317 0.3%
SG Fleet Group, Ltd. 176,890 480,466 0.0%
Shine Corporate, Ltd. 15,573 6,193 0.0%
Shriro Holdings, Ltd. 66,087 66,449 0.0%
Sigma Pharmaceuticals, Ltd. 7,817,607 7,319,007 0.5%
#* Silex Systems, Ltd. 511,695 170,582 0.0%
# Silver Chef, Ltd. 121,311 707,290 0.0%
#* Silver Lake Resources, Ltd. 4,060,760 1,451,559 0.1%
Sims Metal Management, Ltd. 1,382,214 12,689,455 0.8%
* Sino Gas & Energy Holdings, Ltd. 240,068 16,657 0.0%
Sirtex Medical, Ltd. 413,240 4,798,744 0.3%
#* Slater & Gordon, Ltd. 2,016,208 138,864 0.0%
SmartGroup Corp., Ltd. 128,784 622,110 0.0%
# SMS Management & Technology, Ltd. 575,318 689,089 0.0%
Southern Cross Media Group, Ltd. 3,965,374 3,832,594 0.2%
Spark Infrastructure Group 11,913,246 22,214,185 1.4%
* Specialty Fashion Group, Ltd. 786,397 317,012 0.0%
# SpeedCast International, Ltd. 553,642 1,575,699 0.1%
# Spotless Group Holdings, Ltd. 4,177,679 3,375,340 0.2%
* St Barbara, Ltd. 3,864,261 7,920,594 0.5%
Steadfast Group, Ltd. 3,073,816 6,250,001 0.4%
* Strike Energy, Ltd. 1,576,787 93,533 0.0%
#* Sundance Energy Australia, Ltd. 5,832,497 435,488 0.0%
Sunland Group, Ltd. 740,896 958,437 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
AUSTRALIA -- (Continued)
# Super Retail Group, Ltd. 1,280,749 $ 9,045,457 0.6%
#* Syrah Resources, Ltd. 357,578 609,520 0.0%
Tabcorp Holdings, Ltd. 3,586,818 12,743,164 0.8%
# Tassal Group, Ltd. 1,154,941 3,855,850 0.2%
Technology One, Ltd. 1,772,760 7,242,155 0.4%
#* Ten Network Holdings, Ltd. 1,309,458 264,959 0.0%
Thorn Group, Ltd. 695,608 668,928 0.0%
* Tiger Resources, Ltd. 9,447,997 346,658 0.0%
# Tox Free Solutions, Ltd. 1,181,498 1,954,503 0.1%
Treasury Wine Estates, Ltd. 352,443 3,164,359 0.2%
* Tribune Resources, Ltd. 3,093 14,123 0.0%
#* Troy Resources, Ltd. 2,230,415 219,357 0.0%
# Villa World, Ltd. 425,556 739,237 0.1%
# Village Roadshow, Ltd. 831,506 2,258,580 0.1%
#* Virgin Australia Holdings, Ltd. 11,885,050 1,647,738 0.1%
# Virtus Health, Ltd. 350,446 1,527,935 0.1%
# Vita Group, Ltd. 233,830 397,961 0.0%
# Vocus Group, Ltd. 4,330,071 10,915,915 0.7%
* Watpac, Ltd. 760,701 417,963 0.0%
Webjet, Ltd. 626,046 5,329,852 0.3%
Webster, Ltd. 23,507 24,094 0.0%
#* Western Areas, Ltd. 2,274,784 3,775,356 0.2%
#* Westgold Resources, Ltd. 820,999 1,200,682 0.1%
#* Whitehaven Coal, Ltd. 4,143,411 8,475,472 0.5%
* WorleyParsons, Ltd. 757,956 6,402,360 0.4%
WPP AUNZ, Ltd. 2,447,007 2,134,115 0.1%
* Yowie Group, Ltd. 40,157 13,051 0.0%
------------ ----
TOTAL AUSTRALIA 811,404,694 49.4%
------------ ----
CHINA -- (0.1%)
# BEP International Holdings, Ltd. 27,870,000 1,395,168 0.1%
K Wah International Holdings, Ltd. 753,632 478,230 0.0%
------------ ----
TOTAL CHINA 1,873,398 0.1%
------------ ----
HONG KONG -- (25.7%)
#* 13 Holdings, Ltd. (The) 99,000 29,303 0.0%
Aeon Credit Service Asia Co., Ltd. 632,000 476,739 0.0%
Aeon Stores Hong Kong Co., Ltd. 248,000 227,062 0.0%
Agritrade Resources, Ltd. 3,065,000 562,983 0.0%
Alco Holdings, Ltd. 1,614,000 420,747 0.0%
Allan International Holdings 32,000 8,273 0.0%
Allied Group, Ltd. 663,200 4,357,644 0.3%
Allied Properties HK, Ltd. 12,007,857 2,839,185 0.2%
Alltronics Holdings, Ltd. 1,072,000 652,788 0.0%
* Anxian Yuan China Holdings, Ltd. 3,100,000 31,482 0.0%
* Apac Resources, Ltd. 31,747,350 484,866 0.0%
#* Applied Development Holdings, Ltd. 6,410,000 543,652 0.0%
APT Satellite Holdings, Ltd. 3,008,500 1,630,340 0.1%
Arts Optical International Hldgs, Ltd. 730,000 275,967 0.0%
Asia Financial Holdings, Ltd. 2,404,908 1,300,849 0.1%
* Asia Investment Finance Group, Ltd. 5,674,000 64,919 0.0%
* Asia Satellite Telecommunications Holdings, Ltd. 934,500 1,123,182 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
HONG KONG -- (Continued)
Asia Standard Hotel Group, Ltd. 34,311,654 $1,764,470 0.1%
Asia Standard International Group, Ltd. 13,316,917 3,285,700 0.2%
Associated International Hotels, Ltd. 952,000 2,857,661 0.2%
* Auto Italia Holdings 1,900,000 24,734 0.0%
* BeijingWest Industries International, Ltd. 1,043,600 211,595 0.0%
* Bisu Technology Group International, Ltd. 16,000 15,391 0.0%
Bonjour Holdings, Ltd. 13,988,600 709,840 0.1%
Bossini International Holdings, Ltd. 3,699,500 221,206 0.0%
# Bright Smart Securities & Commodities Group, Ltd. 5,254,000 1,550,470 0.1%
* Brightoil Petroleum Holdings, Ltd. 9,235,000 2,503,616 0.2%
#* Brockman Mining, Ltd. 22,810,814 419,908 0.0%
* Burwill Holdings, Ltd. 31,596,960 742,633 0.1%
Cafe de Coral Holdings, Ltd. 2,438,000 7,927,400 0.5%
* Cash Financial Services Group, Ltd. 3,438,000 136,812 0.0%
#* CCT Land Holdings, Ltd. 18,640,000 23,962 0.0%
Century City International Holdings, Ltd. 6,391,460 500,702 0.0%
#* CGN Mining Co., Ltd. 1,940,000 169,343 0.0%
* Champion Technology Holdings, Ltd. 17,285,089 255,311 0.0%
Chen Hsong Holdings 1,212,000 322,560 0.0%
Cheuk Nang Holdings, Ltd. 659,127 455,736 0.0%
Chevalier International Holdings, Ltd. 820,989 1,323,401 0.1%
* China Best Group Holding, Ltd. 2,980,000 61,347 0.0%
* China Billion Resources, Ltd. 2,438,000 9,716 0.0%
* China Chuanglian Education Group, Ltd. 4,664,000 80,340 0.0%
* China Display Optoelectronics Technology Holdings, Ltd. 4,288,000 738,707 0.1%
* China Energy Development Holdings, Ltd. 52,140,000 535,943 0.0%
* China Ever Grand Financial Leasing Group Co., Ltd. 810,000 8,016 0.0%
China Flavors & Fragrances Co., Ltd. 1,105,028 330,921 0.0%
* China Fortune Financial Group, Ltd. 4,320,000 138,729 0.0%
* China Healthcare Enterprise Group, Ltd. 7,756,000 96,662 0.0%
# China LNG Group, Ltd. 54,300,000 1,137,135 0.1%
* China Ludao Technology Co., Ltd. 580,000 111,821 0.0%
* China Medical & Healthcare Group, Ltd. 42,916,800 2,123,177 0.1%
China Metal International Holdings, Inc. 2,670,000 827,011 0.1%
# China Motor Bus Co., Ltd. 59,000 794,746 0.1%
* China National Culture Group, Ltd. 7,410,000 28,545 0.0%
#* China Soft Power Technology Holdings, Ltd. 4,998,000 147,145 0.0%
* China Solar Energy Holdings, Ltd. 1,669,500 7,244 0.0%
* China Star Entertainment, Ltd. 1,850,000 80,769 0.0%
#* China Strategic Holdings, Ltd. 61,981,250 1,185,487 0.1%
China Ting Group Holdings, Ltd. 2,565,151 153,295 0.0%
* China Wah Yan Healthcare, Ltd. 11,685,000 51,061 0.0%
# Chinese Estates Holdings, Ltd. 545,500 838,015 0.1%
* Chinlink International Holdings, Ltd.(BD5TLF4) 544,800 98,057 0.0%
* Chinlink International Holdings, Ltd.(BDFZDL2) 1,010,000 184,206 0.0%
Chinney Investments, Ltd. 1,144,000 433,951 0.0%
Chong Hing Bank, Ltd. 107,000 232,534 0.0%
Chow Sang Sang Holdings International, Ltd. 2,373,000 6,064,990 0.4%
CHTC Fong's Industries Co., Ltd. 42,000 10,644 0.0%
Chuang's China Investments, Ltd. 7,881,407 536,603 0.0%
Chuang's Consortium International, Ltd. 7,007,043 1,439,810 0.1%
CITIC Telecom International Holdings, Ltd. 12,426,125 3,831,491 0.2%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
HONG KONG -- (Continued)
CK Life Sciences International Holdings, Inc. 22,846,000 $ 1,936,600 0.1%
* CMMB Vision Holdings, Ltd. 7,384,000 384,652 0.0%
CNQC International Holdings, Ltd. 2,662,500 890,110 0.1%
CNT Group, Ltd. 8,303,264 619,546 0.0%
* Common Splendor International Health Industry Group, Ltd. 9,024,000 718,718 0.1%
* Continental Holdings, Ltd. 450,000 7,780 0.0%
Convenience Retail Asia, Ltd. 142,000 81,146 0.0%
* Convoy Global Holdings, Ltd. 45,144,000 1,177,075 0.1%
#* Cowell e Holdings, Inc. 1,993,000 636,778 0.0%
* CP Lotus Corp. 11,880,000 187,849 0.0%
* Crocodile Garments 2,085,000 281,309 0.0%
# Cross-Harbour Holdings, Ltd. (The) 889,956 1,338,455 0.1%
CSI Properties, Ltd. 38,526,383 2,029,330 0.1%
# CW Group Holdings, Ltd. 2,711,500 546,709 0.0%
Dah Sing Banking Group, Ltd. 3,948,316 7,933,548 0.5%
# Dah Sing Financial Holdings, Ltd. 1,500,544 11,375,430 0.7%
Dickson Concepts International, Ltd. 1,282,500 458,260 0.0%
* Ding He Mining Holdings, Ltd. 8,124,000 50,099 0.0%
* Dragonite International, Ltd. 56,000 13,069 0.0%
Dynamic Holdings, Ltd. 52,000 54,482 0.0%
Eagle Nice International Holdings, Ltd. 1,846,000 531,266 0.0%
EcoGreen International Group, Ltd. 1,634,640 359,277 0.0%
Emperor Capital Group, Ltd. 31,083,000 2,673,421 0.2%
Emperor Entertainment Hotel, Ltd. 4,530,000 1,088,286 0.1%
Emperor International Holdings, Ltd. 9,154,753 2,824,458 0.2%
* Emperor Watch & Jewellery, Ltd. 26,450,000 1,173,068 0.1%
#* Enerchina Holdings, Ltd. 13,042,500 369,885 0.0%
* ENM Holdings, Ltd. 14,680,000 1,056,935 0.1%
* EPI Holdings, Ltd. 1,950,001 113,768 0.0%
#* Esprit Holdings, Ltd. 14,828,050 11,504,335 0.7%
* eSun Holdings, Ltd. 4,444,000 530,706 0.0%
* Eternity Investment, Ltd. 830,000 22,061 0.0%
# Fairwood Holdings, Ltd. 719,100 2,786,295 0.2%
Far East Consortium International, Ltd. 9,468,288 4,514,045 0.3%
* Far East Holdings International, Ltd. 720,000 69,339 0.0%
FIH Mobile, Ltd. 15,539,000 5,330,718 0.3%
First Pacific Co., Ltd. 5,952,000 4,583,163 0.3%
First Shanghai Investments, Ltd. 5,368,000 737,153 0.1%
Fountain SET Holdings, Ltd. 5,730,000 758,001 0.1%
Four Seas Mercantile Holdings, Ltd. 610,000 277,057 0.0%
* Freeman FinTech Corp., Ltd. 8,440,000 536,499 0.0%
Fulum Group Holdings, Ltd. 76,000 8,980 0.0%
# Future Bright Holdings, Ltd. 3,288,000 346,094 0.0%
G-Resources Group, Ltd. 169,647,600 3,009,768 0.2%
#* GCL New Energy Holdings, Ltd. 27,622,000 1,453,747 0.1%
#* Genscript Biotech Corp. 2,396,000 1,064,088 0.1%
# Get Nice Financial Group, Ltd. 966,600 143,999 0.0%
# Get Nice Holdings, Ltd. 41,752,000 1,448,925 0.1%
Giordano International, Ltd. 11,262,000 6,045,393 0.4%
* Global Brands Group Holding, Ltd. 33,378,000 3,940,431 0.3%
Glorious Sun Enterprises, Ltd. 4,328,000 561,948 0.0%
Gold Peak Industries Holdings, Ltd. 3,029,642 288,328 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
HONG KONG -- (Continued)
Golden Resources Development International, Ltd. 3,330,500 $ 231,057 0.0%
#* Good Resources Holdings, Ltd. 9,720,000 499,537 0.0%
* Grande Holdings, Ltd. (The) 882,000 39,649 0.0%
Great Eagle Holdings, Ltd. 606,467 3,007,869 0.2%
Guangnan Holdings, Ltd. 2,363,600 345,935 0.0%
Guoco Group, Ltd. 2,000 22,956 0.0%
# Guotai Junan International Holdings, Ltd. 24,430,797 7,652,673 0.5%
# Haitong International Securities Group, Ltd. 13,596,015 7,363,461 0.5%
Hanison Construction Holdings, Ltd. 2,103,649 372,410 0.0%
* Hao Tian Development Group, Ltd. 16,639,200 791,749 0.1%
Harbour Centre Development, Ltd. 935,500 1,705,622 0.1%
* Henry Group Holdings, Ltd. 484,000 79,480 0.0%
High Fashion International, Ltd. 268,000 68,884 0.0%
HKBN, Ltd. 2,608,500 2,815,412 0.2%
* HKR International, Ltd. 5,957,536 3,215,250 0.2%
Hon Kwok Land Investment Co., Ltd. 388,800 207,789 0.0%
Hong Kong Aircraft Engineering Co., Ltd. 124,400 830,887 0.1%
* Hong Kong Building & Loan Agency, Ltd. (The) 1,200,000 43,135 0.0%
Hong Kong Ferry Holdings Co., Ltd. 855,300 989,252 0.1%
Hong Kong Shanghai Alliance Holdings, Ltd. 1,248,002 158,521 0.0%
* Hong Kong Television Network, Ltd. 2,787,751 633,770 0.0%
* HongDa Financial Holding, Ltd. 2,970,000 110,796 0.0%
# Hongkong & Shanghai Hotels, Ltd. (The) 2,098,612 2,461,299 0.2%
Hongkong Chinese, Ltd. 5,038,000 944,803 0.1%
Hop Hing Group Holdings, Ltd. 10,176,000 345,930 0.0%
Hopewell Holdings, Ltd. 3,345,000 12,783,103 0.8%
#* Hsin Chong Group Holdings, Ltd. 13,109,658 589,891 0.0%
#* Huarong Investment Stock Corp., Ltd. 490,000 86,362 0.0%
Huisheng International Holdings, Ltd. 3,328,000 198,918 0.0%
Hung Hing Printing Group, Ltd. 2,628,000 526,677 0.0%
Hutchison Telecommunications Hong Kong Holdings, Ltd. 12,042,000 3,558,749 0.2%
* I-CABLE Communications, Ltd. 4,761,000 360,970 0.0%
# IGG, Inc. 7,821,000 11,867,174 0.7%
* Imagi International Holdings, Ltd. 2,142,300 233,734 0.0%
* International Standard Resources Holdings, Ltd. 15,485,250 165,056 0.0%
* iOne Holdings, Ltd. 14,160,000 509,118 0.0%
IPE Group, Ltd. 3,345,000 873,001 0.1%
* IRC, Ltd. 10,590,266 408,576 0.0%
IT, Ltd. 4,344,532 1,835,102 0.1%
ITC Corp., Ltd. 2,839,150 244,492 0.0%
ITC Properties Group, Ltd. 5,487,001 2,142,803 0.1%
* Jinhui Holdings Co., Ltd. 102,000 12,752 0.0%
Johnson Electric Holdings, Ltd. 2,290,250 7,042,909 0.4%
Kader Holdings Co., Ltd. 92,000 8,745 0.0%
Kam Hing International Holdings, Ltd. 1,830,000 119,829 0.0%
* Kantone Holdings, Ltd. 919,364 74,362 0.0%
Karrie International Holdings, Ltd. 1,478,000 212,580 0.0%
Keck Seng Investments 878,600 744,763 0.1%
Kerry Logistics Network, Ltd. 2,186,000 3,077,554 0.2%
Kingmaker Footwear Holdings, Ltd. 1,914,955 543,548 0.0%
Kingston Financial Group, Ltd. 1,151,000 397,591 0.0%
* Kong Sun Holdings, Ltd. 2,325,000 122,538 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
HONG KONG -- (Continued)
# Kowloon Development Co., Ltd. 2,541,000 $ 2,810,804 0.2%
#* KuangChi Science, Ltd. 2,401,000 955,973 0.1%
* Kwan On Holdings, Ltd. 2,110,000 511,946 0.0%
Kwoon Chung Bus Holdings, Ltd. 44,000 24,092 0.0%
L'Occitane International SA 742,000 1,560,779 0.1%
* L'sea Resources International Holdings, Ltd. 5,480,000 70,501 0.0%
Lai Sun Development Co., Ltd. 92,468,345 2,601,349 0.2%
Lai Sun Garment International, Ltd. 3,347,156 958,828 0.1%
Lam Soon Hong Kong, Ltd. 302,310 420,447 0.0%
#* Landing International Development, Ltd. 264,680,000 2,207,995 0.1%
Landsea Green Properties Co., Ltd. 948,000 80,397 0.0%
* LEAP Holdings Group, Ltd. 2,220,000 69,639 0.0%
Lifestyle International Holdings, Ltd. 2,021,000 2,883,521 0.2%
* Lifestyle Properties Development, Ltd. 68,000 45,291 0.0%
Lippo China Resources, Ltd. 20,922,000 671,948 0.1%
Lippo, Ltd. 1,161,700 716,091 0.1%
Lisi Group Holdings, Ltd. 10,142,000 834,934 0.1%
# Liu Chong Hing Investment, Ltd. 1,299,200 2,050,466 0.1%
# Luk Fook Holdings International, Ltd. 3,243,000 11,849,222 0.7%
Luks Group Vietnam Holdings Co., Ltd. 514,913 179,947 0.0%
Lung Kee Bermuda Holdings 1,609,875 755,138 0.1%
#* Macau Legend Development, Ltd. 17,322,000 3,157,816 0.2%
Magnificent Hotel Investment, Ltd. 13,170,000 319,838 0.0%
# Major Holdings, Ltd. 780,000 119,394 0.0%
* Man Sang International, Ltd. 132,000 7,813 0.0%
Man Wah Holdings, Ltd. 13,578,800 11,244,359 0.7%
#* Mason Financial Holdings, Ltd. 46,633,399 712,455 0.1%
# Master Glory Group, Ltd.(BYTP1T9) 41,810,592 1,095,148 0.1%
Master Glory Group, Ltd.(BYTP1T9) 394,860 10,356 0.0%
Matrix Holdings, Ltd. 1,067,414 421,461 0.0%
Melbourne Enterprises, Ltd. 39,500 916,740 0.1%
Melco International Development, Ltd. 5,011,000 10,287,907 0.6%
#* Midland Holdings, Ltd. 5,182,000 1,370,654 0.1%
#* Midland IC&I, Ltd. 25,910,000 153,061 0.0%
Ming Fai International Holdings, Ltd. 2,148,000 331,267 0.0%
Miramar Hotel & Investment 910,000 1,981,378 0.1%
Modern Dental Group, Ltd. 150,000 57,660 0.0%
* Mongolian Mining Corp. 9,438,000 297,489 0.0%
NagaCorp, Ltd. 11,214,000 6,226,130 0.4%
Nanyang Holdings, Ltd. 133,500 753,451 0.1%
National Electronic Hldgs 2,668,600 384,418 0.0%
* National United Resources Holdings, Ltd. 18,280,000 125,261 0.0%
* Neo-Neon Holdings, Ltd. 2,337,500 300,391 0.0%
* Neptune Group, Ltd. 1,105,000 61,035 0.0%
* NetMind Financial Holdings, Ltd. 133,296,000 770,299 0.1%
* New Century Group Hong Kong, Ltd. 13,351,464 240,049 0.0%
* NEW Concepts Holdings, Ltd. 608,000 273,519 0.0%
* New Times Energy Corp., Ltd. 5,238,600 225,551 0.0%
# Newocean Energy Holdings, Ltd. 8,052,000 2,430,259 0.2%
* Next Digital, Ltd. 4,295,183 193,162 0.0%
* Nine Express, Ltd. 11,388,000 467,801 0.0%
* O Luxe Holdings, Ltd. 11,362,500 1,227,711 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
HONG KONG -- (Continued)
On Time Logistics Holdings, Ltd. 498,000 $ 243,300 0.0%
# OP Financial Investments, Ltd. 828,000 304,046 0.0%
* Orange Sky Golden Harvest Entertainment Holdings, Ltd. 9,759,706 990,711 0.1%
Orient Overseas International, Ltd. 1,483,500 7,919,556 0.5%
# Oriental Watch Holdings 3,070,800 714,135 0.1%
* Pacific Andes International Holdings, Ltd. 19,435,067 68,462 0.0%
* Pacific Basin Shipping, Ltd. 30,220,000 5,924,990 0.4%
* Pacific Plywood Holdings, Ltd. 2,200,000 118,752 0.0%
# Pacific Textiles Holdings, Ltd. 6,707,000 7,440,789 0.5%
Pak Fah Yeow International, Ltd. 5,000 2,270 0.0%
Paliburg Holdings, Ltd. 3,104,830 1,096,941 0.1%
* Pan Asia Environmental Protection Group, Ltd. 214,000 26,118 0.0%
#* Paradise Entertainment, Ltd. 3,652,000 643,696 0.0%
* Pearl Oriental Oil, Ltd. 11,849,400 375,922 0.0%
* Pegasus Entertainment Holdings, Ltd. 664,000 19,255 0.0%
Pegasus International Holdings, Ltd. 226,000 35,446 0.0%
Perfect Shape Beauty Technology, Ltd. 1,172,000 123,482 0.0%
# Pico Far East Holdings, Ltd. 5,478,000 2,216,909 0.1%
Playmates Holdings, Ltd. 692,000 1,104,511 0.1%
Playmates Toys, Ltd. 6,208,000 1,107,763 0.1%
# Pokfulam Development Co. 234,000 538,000 0.0%
Polytec Asset Holdings, Ltd. 11,323,526 917,805 0.1%
Public Financial Holdings, Ltd. 3,102,000 1,435,226 0.1%
PuraPharm Corp., Ltd. 137,000 61,260 0.0%
* PYI Corp., Ltd. 24,147,973 522,452 0.0%
* Qianhai Health Holdings, Ltd. 157,499 1,495 0.0%
Raymond Industrial, Ltd. 30,400 4,373 0.0%
# Regal Hotels International Holdings, Ltd. 2,871,800 1,899,913 0.1%
* Regent Pacific Group, Ltd. 1,470,000 76,439 0.0%
# Regina Miracle International Holdings, Ltd. 1,028,000 803,482 0.1%
#* Rentian Technology Holdings, Ltd. 9,610,000 525,250 0.0%
Rivera Holdings, Ltd. 5,710,000 484,381 0.0%
* Runway Global Holdings Co., Ltd. 588,000 74,845 0.0%
SA SA International Holdings, Ltd. 11,234,688 4,807,479 0.3%
Safety Godown Co., Ltd. 400,000 973,875 0.1%
SAS Dragon Holdings, Ltd. 2,120,000 504,778 0.0%
# SEA Holdings, Ltd. 1,172,000 2,943,494 0.2%
* SEEC Media Group, Ltd. 6,100,000 86,936 0.0%
Shangri-La Asia, Ltd. 360,000 515,234 0.0%
# Shenwan Hongyuan HK, Ltd. 4,201,250 1,617,372 0.1%
* Shougang Concord Grand Group, Ltd. 1,158,000 36,468 0.0%
Shun Ho Property Investments, Ltd. 1,254,757 475,914 0.0%
* Shun Tak Holdings, Ltd. 13,985,419 5,103,420 0.3%
* Silver base Group Holdings, Ltd. 3,641,515 231,633 0.0%
* Sincere Watch Hong Kong, Ltd. 4,450,000 108,626 0.0%
Sing Tao News Corp., Ltd. 1,974,000 261,177 0.0%
#* Singamas Container Holdings, Ltd. 11,232,000 1,920,043 0.1%
SIS International Holdings 34,000 17,921 0.0%
SITC International Holdings Co., Ltd. 1,906,000 1,365,311 0.1%
Sitoy Group Holdings, Ltd. 1,409,000 287,813 0.0%
Sky Light Holdings, Ltd. 224,000 60,921 0.0%
#* Skyway Securities Group, Ltd. 12,270,000 646,082 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
HONG KONG -- (Continued)
SmarTone Telecommunications Holdings, Ltd. 3,918,031 $ 5,487,071 0.3%
* SOCAM Development, Ltd. 1,744,771 472,867 0.0%
* Solartech International Holdings, Ltd. 11,280,000 645,346 0.0%
* Solomon Systech International, Ltd. 10,100,000 486,626 0.0%
Soundwill Holdings, Ltd. 552,000 1,363,955 0.1%
* South China Assets Holdings, Ltd. 1,679,170 12,924 0.0%
* South China Financial Holdings, Ltd. 16,950,000 143,596 0.0%
* South China Holdings Co., Ltd. 17,774,503 734,220 0.1%
Stella International Holdings, Ltd. 1,749,000 3,039,819 0.2%
* Stelux Holdings International, Ltd. 3,011,400 216,683 0.0%
Strong Petrochemical Holdings, Ltd. 378,000 32,026 0.0%
* Success Universe Group, Ltd. 6,716,000 191,475 0.0%
Sun Hing Vision Group Holdings, Ltd. 358,000 130,400 0.0%
Sun Hung Kai & Co., Ltd. 4,771,429 3,548,630 0.2%
Sunwah Kingsway Capital Holdings, Ltd. 7,690,000 122,490 0.0%
# TAI Cheung Holdings, Ltd. 2,114,000 1,988,188 0.1%
Tai Sang Land Development, Ltd. 781,910 512,228 0.0%
* Tai United Holdings, Ltd. 110,000 17,805 0.0%
* Talent Property Group, Ltd. 14,355,000 234,211 0.0%
# Tan Chong International, Ltd. 1,176,000 364,469 0.0%
Tao Heung Holdings, Ltd. 1,166,000 319,185 0.0%
Television Broadcasts, Ltd. 2,183,300 8,392,612 0.5%
* Termbray Industries International Holdings, Ltd. 2,304,900 180,596 0.0%
Tern Properties Co., Ltd. 51,200 31,595 0.0%
# Texwinca Holdings, Ltd. 6,986,000 4,676,750 0.3%
Tian Teck Land, Ltd. 1,024,000 1,154,561 0.1%
TK Group Holdings, Ltd. 70,000 23,387 0.0%
* Tom Group, Ltd. 802,000 192,572 0.0%
# Town Health International Medical Group, Ltd. 2,672,000 422,374 0.0%
Tradelink Electronic Commerce, Ltd. 5,562,000 1,136,288 0.1%
# Transport International Holdings, Ltd. 1,298,941 4,039,588 0.3%
#* Trinity, Ltd. 8,046,000 579,189 0.0%
* Tristate Holdings, Ltd. 100,000 21,214 0.0%
* TSC Group Holdings, Ltd. 3,386,000 347,831 0.0%
# Tsui Wah Holdings, Ltd. 1,840,000 288,218 0.0%
* United Laboratories International Holdings, Ltd. (The) 5,776,000 3,621,601 0.2%
* Universal Technologies Holdings, Ltd. 7,410,000 252,336 0.0%
* Up Energy Development Group, Ltd. 3,929,000 12,224 0.0%
Upbest Group, Ltd. 72,000 10,442 0.0%
* Value Convergence Holdings, Ltd. 3,156,000 624,418 0.0%
Vanke Property Overseas, Ltd. 49,000 31,001 0.0%
Vantage International Holdings, Ltd. 3,160,000 466,260 0.0%
Varitronix International, Ltd. 2,769,293 1,313,370 0.1%
Vedan International Holdings, Ltd. 3,360,000 409,721 0.0%
Victory City International Holdings, Ltd. 24,573,660 852,659 0.1%
# Vitasoy International Holdings, Ltd. 5,537,000 10,929,571 0.7%
* VS International Group, Ltd. 488,000 21,331 0.0%
# VST Holdings, Ltd. 5,221,600 1,818,215 0.1%
VTech Holdings, Ltd. 854,500 10,821,392 0.7%
Wai Kee Holdings, Ltd. 7,640,738 3,716,184 0.2%
Wang On Group, Ltd. 5,160,000 46,443 0.0%
Win Hanverky Holdings, Ltd. 2,734,000 400,148 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
HONG KONG -- (Continued)
* Winfull Group Holdings, Ltd. 9,512,000 $ 232,414 0.0%
Wing On Co. International, Ltd. 759,000 2,541,954 0.2%
Wing Tai Properties, Ltd. 1,923,331 1,273,273 0.1%
Wonderful Sky Financial Group Holdings, Ltd. 832,000 226,519 0.0%
Wong's International Holdings, Ltd. 737,641 309,178 0.0%
Wong's Kong King International 322,000 36,197 0.0%
Xinyi Glass Holdings, Ltd. 17,658,000 15,647,317 1.0%
Yangtzekiang Garment, Ltd. 606,500 225,624 0.0%
* Yat Sing Holdings, Ltd. 190,000 98,672 0.0%
* Yau Lee Holdings, Ltd. 424,000 58,250 0.0%
Yeebo International Holdings, Ltd. 2,890,000 1,396,185 0.1%
YGM Trading, Ltd. 447,000 477,074 0.0%
* YT Realty Group, Ltd. 749,000 225,435 0.0%
Yugang International, Ltd. 90,818,000 1,995,664 0.1%
------------ ----
TOTAL HONG KONG 477,173,629 29.1%
------------ ----
NEW ZEALAND -- (6.8%)
#* a2 Milk Co., Ltd. 2,232,826 5,176,974 0.3%
Abano Healthcare Group, Ltd. 30,725 182,697 0.0%
Air New Zealand, Ltd. 3,693,701 6,463,723 0.4%
Arvida Group, Ltd. 66,892 59,280 0.0%
Briscoe Group, Ltd. 2,235 6,243 0.0%
Chorus, Ltd. 2,223,591 6,849,608 0.4%
Colonial Motor Co., Ltd. (The) 144,588 765,481 0.1%
Comvita, Ltd. 2,780 13,374 0.0%
Contact Energy, Ltd. 2,185,084 7,816,404 0.5%
EBOS Group, Ltd. 451,590 5,668,294 0.4%
Freightways, Ltd. 974,609 5,008,328 0.3%
Genesis Energy, Ltd. 968,338 1,418,535 0.1%
Hallenstein Glasson Holdings, Ltd. 242,445 536,069 0.0%
Heartland Bank, Ltd. 907,605 1,032,836 0.1%
Infratil, Ltd. 3,268,694 6,621,078 0.4%
Kathmandu Holdings, Ltd. 704,766 969,777 0.1%
# Mainfreight, Ltd. 539,049 8,177,745 0.5%
Methven, Ltd. 93,877 77,331 0.0%
Metlifecare, Ltd. 600,280 2,393,151 0.2%
Metro Performance Glass, Ltd. 49,156 46,601 0.0%
Millennium & Copthorne Hotels New Zealand, Ltd. 395,725 785,194 0.1%
New Zealand Oil & Gas, Ltd. 1,659,791 707,746 0.0%
New Zealand Refining Co., Ltd. (The) 616,799 989,424 0.1%
NZME, Ltd. 945,851 584,716 0.0%
NZX, Ltd. 952,265 699,759 0.0%
Opus International Consultants, Ltd. 12,925 9,225 0.0%
* Orion Health Group, Ltd. 4,001 3,846 0.0%
* Pacific Edge, Ltd. 442,720 179,637 0.0%
PGG Wrightson, Ltd. 999,976 385,197 0.0%
# Port of Tauranga, Ltd. 2,576,525 7,266,785 0.4%
Restaurant Brands New Zealand, Ltd. 593,355 2,166,943 0.1%
* Rubicon, Ltd. 1,442,620 222,136 0.0%
Ryman Healthcare, Ltd. 1,373,542 8,135,375 0.5%
Sanford, Ltd. 382,357 1,912,776 0.1%
Scales Corp., Ltd. 53,761 122,179 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
NEW ZEALAND -- (Continued)
Scott Technology, Ltd. 45,734 $ 95,435 0.0%
# Skellerup Holdings, Ltd. 563,985 584,705 0.0%
SKY Network Television, Ltd. 2,080,268 5,510,020 0.3%
SKYCITY Entertainment Group, Ltd. 5,292,424 15,824,989 1.0%
Steel & Tube Holdings, Ltd. 441,625 729,952 0.0%
Summerset Group Holdings, Ltd. 726,765 2,593,966 0.2%
Tilt Renewables, Ltd. 87,581 129,602 0.0%
Tourism Holdings, Ltd. 387,215 980,930 0.1%
Tower, Ltd. 887,040 742,671 0.0%
Trade Me Group, Ltd. 1,783,440 6,494,289 0.4%
Trustpower, Ltd. 142,383 469,445 0.0%
Vector, Ltd. 1,381,288 3,063,911 0.2%
Warehouse Group, Ltd. (The) 698,604 1,011,329 0.1%
* Xero, Ltd. 198,644 2,963,933 0.2%
# Z Energy, Ltd. 365,111 1,868,470 0.1%
------------ ---
TOTAL NEW ZEALAND 126,518,114 7.7%
------------ ---
SINGAPORE -- (11.3%)
* Abterra, Ltd. 531,800 131,871 0.0%
Accordia Golf Trust 3,087,100 1,645,765 0.1%
Amara Holdings, Ltd. 922,800 376,807 0.0%
Ascendas India Trust 1,466,300 1,208,338 0.1%
* ASL Marine Holdings, Ltd. 278,850 27,301 0.0%
Baker Technology, Ltd. 289,580 134,643 0.0%
#* Banyan Tree Holdings, Ltd. 1,022,900 392,282 0.0%
# Best World International, Ltd. 1,033,625 1,862,146 0.1%
Bonvests Holdings, Ltd. 950,000 903,768 0.1%
* Boustead Projects, Ltd. 497,612 304,549 0.0%
Boustead Singapore, Ltd. 1,827,636 1,164,286 0.1%
Breadtalk Group, Ltd. 894,200 863,868 0.1%
# Broadway Industrial Group, Ltd. 835,330 85,307 0.0%
# Bukit Sembawang Estates, Ltd. 641,803 2,747,623 0.2%
Bund Center Investment, Ltd. 659,825 379,857 0.0%
# Centurion Corp., Ltd. 825,900 257,290 0.0%
# China Aviation Oil Singapore Corp., Ltd. 2,336,199 2,707,198 0.2%
China Sunsine Chemical Holdings, Ltd. 67,200 38,544 0.0%
Chip Eng Seng Corp., Ltd. 3,445,300 1,821,914 0.1%
Chuan Hup Holdings, Ltd. 3,853,500 703,187 0.1%
CITIC Envirotech, Ltd. 202,800 113,710 0.0%
#* Cityneon Holdings, Ltd. 486,200 313,154 0.0%
Civmec, Ltd. 162,700 76,397 0.0%
#* COSCO Shipping International Singapore Co,. Ltd. 8,095,300 1,653,350 0.1%
* Creative Technology, Ltd. 272,200 194,939 0.0%
CSE Global, Ltd. 3,443,600 1,281,986 0.1%
#* CWT, Ltd. 1,799,000 2,952,338 0.2%
# Del Monte Pacific, Ltd. 2,363,364 567,759 0.0%
# Delfi, Ltd. 788,500 1,292,444 0.1%
* DMX Technologies Group, Ltd. 2,096,000 30,260 0.0%
Duty Free International, Ltd. 42,700 12,843 0.0%
* Dyna-Mac Holdings, Ltd. 2,007,300 215,349 0.0%
Elec & Eltek International Co., Ltd. 147,000 214,821 0.0%
EnGro Corp., Ltd. 354,000 239,034 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
SINGAPORE -- (Continued)
#* Ezion Holdings, Ltd. 12,591,378 $2,696,447 0.2%
#* Ezra Holdings, Ltd. 19,242,923 151,503 0.0%
* Falcon Energy Group, Ltd. 1,910,000 150,583 0.0%
Far East Orchard, Ltd. 1,074,985 1,255,550 0.1%
# First Resources, Ltd. 4,935,500 6,617,806 0.4%
* First Ship Lease Trust 160,900 11,862 0.0%
First Sponsor Group, Ltd. 440,661 419,309 0.0%
Food Empire Holdings, Ltd. 1,418,200 558,385 0.0%
Fragrance Group, Ltd. 6,077,000 727,739 0.1%
Frasers Centrepoint, Ltd. 516,700 702,416 0.0%
Fu Yu Corp., Ltd. 1,622,200 278,494 0.0%
#* Gallant Venture, Ltd. 4,992,500 491,696 0.0%
* Geo Energy Resources, Ltd. 1,750,000 406,465 0.0%
GK Goh Holdings, Ltd. 1,484,065 952,040 0.1%
GL, Ltd. 3,401,300 1,887,365 0.1%
Golden Agri-Resources, Ltd. 21,616,800 5,561,110 0.3%
GP Batteries International, Ltd. 235,000 138,538 0.0%
GP Industries, Ltd. 2,567,609 1,094,799 0.1%
GSH Corp., Ltd. 60,860 22,208 0.0%
GuocoLand, Ltd. 827,514 1,081,137 0.1%
#* Halcyon Agri Corp., Ltd. 1,695,148 757,421 0.1%
Hanwell Holdings, Ltd. 1,842,619 403,577 0.0%
Haw Par Corp., Ltd. 51,000 372,644 0.0%
# Health Management International, Ltd. 1,380,330 603,580 0.0%
Hi-P International, Ltd. 1,271,600 628,353 0.0%
Hiap Hoe, Ltd. 498,000 249,117 0.0%
Ho Bee Land, Ltd. 1,604,700 2,800,226 0.2%
Hong Fok Corp., Ltd. 3,551,394 2,062,788 0.1%
Hong Leong Asia, Ltd. 716,300 572,388 0.0%
# Hong Leong Finance, Ltd. 123,300 247,240 0.0%
Hotel Grand Central, Ltd. 1,461,261 1,495,202 0.1%
Hour Glass, Ltd. (The) 1,814,832 897,562 0.1%
Hutchison Port Holdings Trust 2,064,500 835,767 0.1%
Hwa Hong Corp., Ltd. 2,123,500 477,595 0.0%
# Hyflux, Ltd. 3,262,300 1,295,734 0.1%
Indofood Agri Resources, Ltd. 3,432,100 1,199,293 0.1%
* InnoTek, Ltd. 408,900 113,908 0.0%
* IPC Corp., Ltd. 225,970 80,311 0.0%
Isetan Singapore, Ltd. 119,000 331,373 0.0%
# Japfa, Ltd. 2,179,700 944,450 0.1%
k1 Ventures, Ltd. 1,005,220 517,913 0.0%
Keppel Infrastructure Trust 7,667,932 2,855,046 0.2%
# Keppel Telecommunications & Transportation, Ltd. 1,369,300 1,754,424 0.1%
Koh Brothers Group, Ltd. 1,432,000 312,223 0.0%
#* KrisEnergy, Ltd. 1,190,300 133,521 0.0%
KSH Holdings, Ltd. 124,700 77,205 0.0%
Lian Beng Group, Ltd. 2,253,500 968,641 0.1%
Low Keng Huat Singapore, Ltd. 889,800 416,314 0.0%
Lum Chang Holdings, Ltd. 1,094,030 276,319 0.0%
# M1, Ltd. 2,667,000 4,142,683 0.3%
# Mandarin Oriental International, Ltd. 264,900 378,545 0.0%
* Mermaid Maritime PCL 274,000 37,064 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
SINGAPORE -- (Continued)
Metro Holdings, Ltd. 2,725,692 $ 2,252,752 0.1%
Mewah International, Inc. 89,000 21,304 0.0%
Midas Holdings, Ltd. 8,558,700 1,378,115 0.1%
* Nam Cheong, Ltd. 7,506,340 91,125 0.0%
Nera Telecommunications, Ltd. 1,143,400 314,646 0.0%
New Toyo International Holdings, Ltd. 1,624,000 337,285 0.0%
#* Noble Group, Ltd. 75,184,800 7,684,816 0.5%
NSL, Ltd. 409,900 431,361 0.0%
Olam International, Ltd. 290,300 396,971 0.0%
OUE, Ltd. 1,996,500 2,928,348 0.2%
# Overseas Education, Ltd. 65,300 17,665 0.0%
# Oxley Holdings, Ltd. 1,882,900 767,647 0.1%
Pacc Offshore Services Holdings, Ltd. 516,900 122,185 0.0%
Pan-United Corp., Ltd. 1,948,600 1,025,591 0.1%
Penguin International, Ltd. 446,032 89,085 0.0%
Perennial Real Estate Holdings, Ltd. 97,800 61,961 0.0%
# Q&M Dental Group Singapore, Ltd. 2,188,300 1,126,994 0.1%
QAF, Ltd. 1,359,162 1,303,352 0.1%
* Raffles Education Corp., Ltd. 4,176,710 598,027 0.0%
# Raffles Medical Group, Ltd. 4,704,473 4,712,278 0.3%
RHT Health Trust 2,698,700 1,825,924 0.1%
* Rickmers Maritime 1,008,350 14,074 0.0%
# Riverstone Holdings, Ltd. 1,089,000 689,524 0.0%
Rotary Engineering, Ltd. 1,499,400 418,213 0.0%
#* Rowsley, Ltd. 1,998,900 122,821 0.0%
Roxy-Pacific Holdings, Ltd. 297,500 107,969 0.0%
San Teh, Ltd. 248,387 38,454 0.0%
SATS, Ltd. 2,695,900 9,830,591 0.6%
SBS Transit, Ltd. 926,200 1,788,764 0.1%
# SembCorp Industries, Ltd. 3,431,700 7,435,504 0.5%
# SembCorp Marine, Ltd. 3,524,400 4,102,789 0.3%
Sheng Siong Group, Ltd. 4,266,400 2,991,973 0.2%
# SHS Holdings, Ltd. 2,304,100 395,544 0.0%
SIA Engineering Co., Ltd. 250,100 669,310 0.0%
#* SIIC Environment Holdings, Ltd. 4,553,020 1,727,179 0.1%
# Sinarmas Land, Ltd. 6,897,100 2,245,202 0.1%
Sing Holdings, Ltd. 1,150,700 300,612 0.0%
Sing Investments & Finance, Ltd. 297,675 315,537 0.0%
# Singapore Post, Ltd. 10,740,900 10,598,792 0.7%
Singapore Reinsurance Corp., Ltd. 1,514,530 340,234 0.0%
Singapore Shipping Corp., Ltd. 1,640,700 323,516 0.0%
* Singapura Finance, Ltd. 348,124 271,591 0.0%
# Sino Grandness Food Industry Group, Ltd. 4,336,435 744,052 0.1%
Stamford Land Corp., Ltd. 3,188,100 1,224,019 0.1%
# StarHub, Ltd. 676,100 1,348,190 0.1%
Straco Corp., Ltd. 130,000 76,260 0.0%
Sunningdale Tech, Ltd. 793,060 963,611 0.1%
* SunVic Chemical Holdings, Ltd. 1,137,845 71,596 0.0%
#* Swiber Holdings, Ltd. 2,895,250 84,755 0.0%
* Tat Hong Holdings, Ltd. 2,662,560 761,525 0.1%
Tiong Woon Corp. Holding, Ltd. 228,100 44,508 0.0%
# Tuan Sing Holdings, Ltd. 4,167,162 972,449 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SINGAPORE -- (Continued)
UMS Holdings, Ltd. 2,656,700 $ 1,814,685 0.1%
United Engineers, Ltd. 3,272,728 6,739,184 0.4%
# United Industrial Corp., Ltd. 131,352 297,061 0.0%
United Overseas Insurance, Ltd. 181,850 687,987 0.0%
UOB-Kay Hian Holdings, Ltd. 1,955,133 1,974,089 0.1%
# UOL Group, Ltd. 2,062,964 10,685,015 0.7%
# UPP Holdings, Ltd. 3,076,900 638,667 0.0%
Valuetronics Holdings, Ltd. 1,659,500 967,568 0.1%
Venture Corp., Ltd. 1,994,100 17,403,323 1.1%
# Vibrant Group, Ltd. 1,974,019 544,925 0.0%
Vicom, Ltd. 119,500 490,828 0.0%
Wee Hur Holdings, Ltd. 2,670,400 458,896 0.0%
Wheelock Properties Singapore, Ltd. 1,916,900 2,556,958 0.2%
Wing Tai Holdings, Ltd. 3,573,667 4,831,419 0.3%
Yeo Hiap Seng, Ltd. 223,731 217,493 0.0%
YHI International, Ltd. 176,200 42,553 0.0%
* Yongnam Holdings, Ltd. 2,977,200 436,702 0.0%
#* Yuuzoo Corp., Ltd. 4,202,500 240,103 0.0%
Zhongmin Baihui Retail Group, Ltd. 26,900 20,982 0.0%
-------------- -----
TOTAL SINGAPORE 209,913,835 12.8%
-------------- -----
TOTAL COMMON STOCKS 1,626,883,670 99.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
* Centrebet International, Ltd. Claim Units Rights 81,336 -- 0.0%
* Centrebet International, Ltd. Litigation Rights 81,336 -- 0.0%
-------------- -----
TOTAL AUSTRALIA -- 0.0%
-------------- -----
HONG KONG -- (0.0%)
* Enviro Energy International Holdings, Ltd. Warrants 11/17/16 1,171,800 -- 0.0%
* International Standard Resources Holdings, Ltd. Warrants
5/10/18 3,097,050 -- 0.0%
-------------- -----
TOTAL HONG KONG -- 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%
============== =====
THE ASIA PACIFIC 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
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
========== ============== ====== ==============
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (95.1%)
Consumer Discretionary -- (19.4%)
4imprint Group P.L.C. 97,925 $ 2,258,198 0.1%
888 Holdings P.L.C. 1,003,090 3,627,527 0.2%
AA P.L.C. 3,212,873 10,875,947 0.5%
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%
Berkeley Group Holdings P.L.C. 262,704 11,080,188 0.5%
Bloomsbury Publishing P.L.C. 274,093 607,874 0.0%
Bovis Homes Group P.L.C. 921,633 10,989,509 0.5%
Card Factory P.L.C. 805,821 3,383,114 0.2%
#* Carpetright P.L.C. 95,402 278,352 0.0%
# Centaur Media P.L.C. 537,905 318,258 0.0%
Cineworld Group P.L.C. 1,228,419 11,200,458 0.5%
Connect Group P.L.C. 1,312,384 2,142,715 0.1%
Crest Nicholson Holdings P.L.C. 1,472,011 11,514,045 0.5%
Daily Mail & General Trust P.L.C. Class A 1,314,134 12,176,706 0.6%
Debenhams P.L.C. 6,786,832 4,501,126 0.2%
DFS Furniture P.L.C. 103,666 368,362 0.0%
Dignity P.L.C. 251,989 8,136,300 0.4%
Dixons Carphone P.L.C. 1,112,259 4,831,666 0.2%
Domino's Pizza Group P.L.C. 2,536,833 10,854,853 0.5%
Dunelm Group P.L.C. 384,367 3,020,968 0.1%
* EI Group P.L.C. 3,243,847 5,875,559 0.3%
Entertainment One, Ltd. 964,470 3,089,317 0.1%
Euromoney Institutional Investor P.L.C. 282,895 3,831,090 0.2%
* Findel P.L.C. 239,314 620,001 0.0%
Fuller Smith & Turner P.L.C. Class A 134,418 1,765,414 0.1%
* Future P.L.C. 52,125 117,422 0.0%
Games Workshop Group P.L.C. 100,305 1,266,663 0.1%
Greene King P.L.C. 1,786,209 17,382,557 0.8%
GVC Holdings P.L.C. 1,254,675 12,132,850 0.6%
Gym Group P.L.C. (The) 54,813 130,165 0.0%
Halfords Group P.L.C. 1,155,920 5,594,201 0.3%
Headlam Group P.L.C. 417,517 3,466,910 0.2%
Henry Boot P.L.C. 417,992 1,359,770 0.1%
Huntsworth P.L.C. 938,084 574,099 0.0%
Inchcape P.L.C. 2,190,976 24,237,663 1.1%
ITE Group P.L.C. 1,532,231 3,515,098 0.2%
# J D Wetherspoon P.L.C. 481,928 6,209,291 0.3%
* Jackpotjoy P.L.C. 11,913 87,677 0.0%
JD Sports Fashion P.L.C. 2,325,390 13,409,121 0.6%
* Jimmy Choo P.L.C. 298,644 734,895 0.0%
John Menzies P.L.C. 476,310 4,268,967 0.2%
Ladbrokes Coral Group P.L.C 5,357,119 9,081,732 0.4%
Laura Ashley Holdings P.L.C. 1,465,488 265,603 0.0%
Lookers P.L.C. 1,876,000 3,154,237 0.1%
Marston's P.L.C. 3,644,221 6,747,087 0.3%
McCarthy & Stone P.L.C. 773,298 1,844,850 0.1%
Millennium & Copthorne Hotels P.L.C. 1,000,376 5,836,593 0.3%
Mitchells & Butlers P.L.C. 1,157,232 3,976,678 0.2%
MJ Gleeson P.L.C. 189,171 1,645,245 0.1%
* Mothercare P.L.C. 639,352 1,038,608 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
N Brown Group P.L.C. 888,335 $ 2,744,629 0.1%
#* Ocado Group P.L.C. 2,584,145 8,400,638 0.4%
Pendragon P.L.C. 6,827,710 3,094,711 0.1%
# Pets at Home Group P.L.C. 1,313,073 3,190,476 0.2%
Photo-Me International P.L.C. 1,188,523 2,674,896 0.1%
* Punch Taverns P.L.C. 133,442 302,855 0.0%
Rank Group P.L.C. 695,741 1,927,821 0.1%
Redrow P.L.C. 1,386,677 10,358,918 0.5%
Restaurant Group P.L.C. (The) 1,177,060 5,330,230 0.3%
* Sportech P.L.C. 371,065 489,578 0.0%
#* Sports Direct International P.L.C. 940,960 3,736,576 0.2%
SSP Group P.L.C. 1,668,060 9,612,843 0.5%
STV Group P.L.C. 4,868 23,358 0.0%
SuperGroup P.L.C. 285,421 5,892,711 0.3%
Tarsus Group P.L.C. 207,820 793,768 0.0%
Ted Baker P.L.C. 153,478 5,550,956 0.3%
Thomas Cook Group P.L.C. 8,618,569 10,684,674 0.5%
Topps Tiles P.L.C. 925,429 1,243,284 0.1%
Trinity Mirror P.L.C. 1,714,822 2,439,268 0.1%
UBM P.L.C. 2,051,912 18,872,206 0.9%
Vitec Group P.L.C. (The) 159,712 1,763,232 0.1%
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%
------------ ----
Total Consumer Discretionary 426,362,565 20.1%
------------ ----
Consumer Staples -- (5.1%)
A.G. Barr P.L.C. 632,197 5,081,075 0.2%
Anglo-Eastern Plantations P.L.C. 104,452 995,365 0.1%
Booker Group P.L.C. 8,370,700 21,029,486 1.0%
Britvic P.L.C. 1,321,646 11,371,152 0.5%
Cranswick P.L.C. 269,159 9,348,177 0.4%
# Dairy Crest Group P.L.C. 814,795 6,058,310 0.3%
Devro P.L.C. 930,843 2,390,135 0.1%
Greencore Group P.L.C. 3,643,038 10,754,374 0.5%
Greggs P.L.C. 567,823 7,910,583 0.4%
Hilton Food Group P.L.C. 32,989 329,338 0.0%
McBride P.L.C. 1,019,991 2,549,647 0.1%
McColl's Retail Group P.L.C. 22,532 60,383 0.0%
* Premier Foods P.L.C. 4,724,268 2,620,050 0.1%
PZ Cussons P.L.C. 1,448,927 6,287,015 0.3%
* REA Holdings P.L.C. 50,639 232,346 0.0%
Stock Spirits Group P.L.C. 703,552 1,596,735 0.1%
Tate & Lyle P.L.C. 2,479,497 24,315,771 1.2%
------------ ----
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%
Anglo Pacific Group P.L.C. 778,136 1,178,408 0.1%
* Cairn Energy P.L.C. 3,678,960 9,253,827 0.4%
#* EnQuest P.L.C. 6,129,232 3,029,083 0.2%
#* Gulf Keystone Petroleum, Ltd. 118,761 170,897 0.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
Gulf Marine Services P.L.C. 108,329 $ 100,467 0.0%
Hunting P.L.C. 876,016 6,373,020 0.3%
James Fisher & Sons P.L.C. 266,068 5,531,321 0.3%
John Wood Group P.L.C. 1,951,303 19,181,450 0.9%
* Lamprell P.L.C. 1,137,514 1,561,563 0.1%
* Nostrum Oil & Gas P.L.C. 51,079 296,518 0.0%
* Ophir Energy P.L.C. 4,403,732 4,898,483 0.2%
Petrofac, Ltd. 1,280,913 13,499,563 0.6%
#* Premier Oil P.L.C. 3,029,094 2,439,853 0.1%
Soco International P.L.C. 1,169,249 2,216,244 0.1%
Stobart Group, Ltd. 1,059,003 3,067,263 0.2%
#* Tullow Oil P.L.C. 5,009,214 13,590,053 0.6%
------------ ---
Total Energy 100,692,503 4.8%
------------ ---
Financials -- (13.6%)
Aberdeen Asset Management P.L.C. 2,018,888 7,294,859 0.3%
* Aldermore Group P.L.C. 825,889 2,765,540 0.1%
Arrow Global Group P.L.C. 875,246 4,148,590 0.2%
Ashmore Group P.L.C. 1,963,444 8,849,772 0.4%
Beazley P.L.C. 2,787,563 15,881,056 0.7%
BGEO Group P.L.C. 216,614 10,081,090 0.5%
Brewin Dolphin Holdings P.L.C. 1,582,577 6,694,875 0.3%
Charles Stanley Group P.L.C. 122,025 497,692 0.0%
Charles Taylor P.L.C. 192,071 578,720 0.0%
Chesnara P.L.C. 674,757 3,342,782 0.2%
Close Brothers Group P.L.C. 794,193 17,400,275 0.8%
* CYBG P.L.C. 940,678 3,434,199 0.2%
esure Group P.L.C. 1,478,561 4,697,428 0.2%
Hansard Global P.L.C. 16,468 18,594 0.0%
Hastings Group Holdings P.L.C. 294,477 1,152,586 0.1%
# Henderson Group P.L.C. 5,628,395 16,835,060 0.8%
Hiscox, Ltd. 1,520,623 22,299,635 1.1%
IG Group Holdings P.L.C. 1,792,534 12,621,431 0.6%
Intermediate Capital Group P.L.C. 1,383,225 14,000,597 0.7%
International Personal Finance P.L.C. 1,088,952 2,265,000 0.1%
#* IP Group P.L.C. 1,804,430 3,268,322 0.2%
Jardine Lloyd Thompson Group P.L.C. 644,796 9,155,871 0.4%
JRP Group P.L.C. 1,668,330 2,684,586 0.1%
Jupiter Fund Management P.L.C. 2,227,194 13,699,960 0.6%
Lancashire Holdings, Ltd. 1,117,647 9,871,650 0.5%
Man Group P.L.C. 9,049,878 18,010,333 0.8%
NEX Group P.L.C. 1,643,215 13,117,142 0.6%
Novae Group P.L.C. 324,392 2,618,017 0.1%
# OneSavings Bank P.L.C. 606,777 3,447,783 0.2%
Paragon Group of Cos. P.L.C. (The) 1,287,460 7,800,397 0.4%
Phoenix Group Holdings 1,737,356 16,615,887 0.8%
Rathbone Brothers P.L.C. 222,308 6,776,626 0.3%
S&U P.L.C. 20,417 543,218 0.0%
Saga P.L.C. 5,099,450 13,842,156 0.7%
Sanne Group P.L.C. 30,430 256,387 0.0%
* Shawbrook Group P.L.C. 394,023 1,747,655 0.1%
TP ICAP P.L.C. 2,685,808 15,959,516 0.8%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Virgin Money Holdings UK P.L.C. 1,250,280 $ 5,139,358 0.2%
* Waterloo Investment Holdings, Ltd. 5,979 542 0.0%
------------ ----
Total Financials 299,415,187 14.1%
------------ ----
Health Care -- (3.5%)
* BTG P.L.C. 1,870,654 16,478,442 0.8%
* Cambian Group P.L.C. 474,059 965,075 0.0%
#* Circassia Pharmaceuticals P.L.C. 285,098 367,113 0.0%
Consort Medical P.L.C. 255,619 3,443,134 0.2%
Dechra Pharmaceuticals P.L.C. 432,053 9,467,733 0.4%
Genus P.L.C. 316,172 7,022,799 0.3%
Indivior P.L.C. 3,801,468 16,500,258 0.8%
Spire Healthcare Group P.L.C. 1,023,303 4,482,443 0.2%
UDG Healthcare P.L.C. 1,250,220 12,108,968 0.6%
* Vectura Group P.L.C. 3,042,441 5,561,650 0.3%
------------ ----
Total Health Care 76,397,615 3.6%
------------ ----
Industrials -- (27.7%)
Aggreko P.L.C. 1,332,278 15,313,810 0.7%
Air Partner P.L.C. 204,845 318,453 0.0%
Alumasc Group P.L.C. (The) 120,110 294,801 0.0%
Avon Rubber P.L.C. 105,903 1,438,624 0.1%
Balfour Beatty P.L.C. 3,549,781 13,410,255 0.6%
BBA Aviation P.L.C. 5,667,084 22,861,121 1.1%
Berendsen P.L.C. 823,219 8,938,034 0.4%
Bodycote P.L.C. 1,121,708 12,112,433 0.6%
Braemar Shipping Services P.L.C. 84,411 347,059 0.0%
Cape P.L.C. 703,491 2,191,152 0.1%
Capita P.L.C. 327,219 2,358,502 0.1%
# Carillion P.L.C. 2,653,376 7,642,729 0.4%
Carr's Group P.L.C. 343,111 631,949 0.0%
Castings P.L.C. 157,187 965,271 0.0%
Chemring Group P.L.C. 1,540,382 3,757,618 0.2%
# Clarkson P.L.C. 122,362 4,537,083 0.2%
# Cobham P.L.C. 8,760,026 15,030,676 0.7%
Communisis P.L.C. 1,064,129 729,431 0.0%
Costain Group P.L.C. 500,203 3,147,654 0.1%
De La Rue P.L.C. 620,139 5,482,199 0.3%
* Dialight P.L.C. 102,467 1,317,024 0.1%
Diploma P.L.C. 596,092 8,559,219 0.4%
Fenner P.L.C. 1,162,357 5,073,518 0.2%
* Firstgroup P.L.C. 6,980,218 12,347,933 0.6%
#* Flybe Group P.L.C. 616,871 320,607 0.0%
G4S P.L.C. 4,049,674 15,990,244 0.8%
Galliford Try P.L.C. 481,131 8,967,050 0.4%
Go-Ahead Group P.L.C. 226,040 5,122,451 0.2%
Goodwin P.L.C. 383 7,987 0.0%
Grafton Group P.L.C. 1,195,320 11,564,942 0.5%
Harvey Nash Group P.L.C. 46,693 44,632 0.0%
Hays P.L.C. 6,845,876 15,191,629 0.7%
Hogg Robinson Group P.L.C. 134,014 122,027 0.0%
HomeServe P.L.C. 1,369,369 11,881,060 0.6%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
Industrials -- (Continued)
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%
Interserve P.L.C. 841,666 2,516,152 0.1%
IWG P.L.C. 3,349,423 14,088,047 0.7%
John Laing Group P.L.C. 1,033,994 3,848,515 0.2%
Keller Group P.L.C. 416,907 5,003,773 0.2%
Kier Group P.L.C. 558,502 9,680,605 0.5%
Management Consulting Group P.L.C. 788,035 81,780 0.0%
Mears Group P.L.C. 559,010 3,768,559 0.2%
Meggitt P.L.C. 4,129,202 24,727,993 1.2%
Melrose Industries P.L.C. 10,887,020 33,327,310 1.6%
# Mitie Group P.L.C. 2,122,246 5,758,672 0.3%
Morgan Advanced Materials P.L.C. 1,527,336 6,603,468 0.3%
Morgan Sindall Group P.L.C. 191,927 2,636,492 0.1%
National Express Group P.L.C. 2,200,842 10,186,832 0.5%
Norcros P.L.C. 27,976 62,571 0.0%
Northgate P.L.C. 820,323 5,729,580 0.3%
Pagegroup P.L.C. 1,596,218 10,341,743 0.5%
PayPoint P.L.C. 260,966 3,434,589 0.2%
Polypipe Group P.L.C. 844,382 4,360,017 0.2%
Porvair P.L.C. 7,527 51,286 0.0%
QinetiQ Group P.L.C. 3,269,092 12,440,407 0.6%
Renewi P.L.C. 3,556,784 4,494,809 0.2%
* Renold P.L.C. 193,435 157,125 0.0%
Rentokil Initial P.L.C. 8,861,710 28,570,895 1.3%
Ricardo P.L.C. 271,798 3,086,216 0.1%
Robert Walters P.L.C. 381,498 2,244,263 0.1%
Rotork P.L.C. 4,239,914 13,506,673 0.6%
RPS Group P.L.C. 1,337,056 4,402,222 0.2%
Senior P.L.C. 2,337,741 6,494,823 0.3%
* Serco Group P.L.C. 3,356,146 5,022,369 0.2%
Severfield P.L.C. 1,262,597 1,439,855 0.1%
SIG P.L.C. 3,575,456 5,546,796 0.3%
Speedy Hire P.L.C. 2,851,634 2,036,009 0.1%
Spirax-Sarco Engineering P.L.C. 375,981 25,316,750 1.2%
St. Ives P.L.C. 654,912 448,111 0.0%
Stagecoach Group P.L.C. 2,117,596 5,585,523 0.3%
Sthree P.L.C. 411,722 1,731,283 0.1%
T Clarke P.L.C. 147,457 148,051 0.0%
Travis Perkins P.L.C. 177,453 3,700,948 0.2%
Trifast P.L.C. 455,452 1,329,684 0.1%
Tyman P.L.C. 298,427 1,275,872 0.1%
Ultra Electronics Holdings P.L.C. 403,850 10,931,121 0.5%
Vesuvius P.L.C. 1,414,171 9,722,624 0.5%
* Volex P.L.C. 307,047 165,025 0.0%
Volution Group P.L.C. 18,900 47,962 0.0%
Vp P.L.C. 160,962 1,753,504 0.1%
Weir Group P.L.C. (The) 1,080,278 27,833,648 1.3%
Wilmington P.L.C. 334,384 1,044,926 0.0%
Wincanton P.L.C. 634,383 2,270,912 0.1%
* Wizz Air Holdings P.L.C. 141,798 3,243,952 0.1%
WS Atkins P.L.C. 502,623 13,982,271 0.7%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
XP Power, Ltd. 74,988 $ 2,568,525 0.1%
------------ ----
Total Industrials 609,036,922 28.7%
------------ ----
Information Technology -- (8.8%)
Acal P.L.C. 293,479 976,842 0.0%
AVEVA Group P.L.C. 322,264 8,501,338 0.4%
Computacenter P.L.C. 415,521 4,413,603 0.2%
Electrocomponents P.L.C. 2,396,207 16,105,456 0.8%
Equiniti Group P.L.C. 307,238 879,593 0.0%
FDM Group Holdings P.L.C. 30,996 321,299 0.0%
Fidessa Group P.L.C. 212,967 6,523,686 0.3%
* Gocompare.Com Group P.L.C. 1,697,878 2,025,622 0.1%
Halma P.L.C. 1,951,180 26,611,092 1.3%
* Imagination Technologies Group P.L.C. 594,017 774,870 0.0%
Laird P.L.C. 2,647,753 5,141,727 0.2%
Moneysupermarket.com Group P.L.C. 2,724,454 12,204,928 0.6%
# NCC Group P.L.C. 700,295 1,290,053 0.1%
Oxford Instruments P.L.C. 272,186 3,488,377 0.2%
* 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%
Renishaw P.L.C. 180,256 7,973,239 0.4%
Rightmove P.L.C. 477,301 25,877,484 1.2%
RM P.L.C. 318,504 733,372 0.0%
SDL P.L.C. 395,868 3,086,906 0.1%
* Sepura P.L.C. 429,568 84,849 0.0%
Softcat P.L.C. 233,033 1,243,863 0.1%
Spectris P.L.C. 637,634 22,798,926 1.1%
Spirent Communications P.L.C. 3,173,024 4,818,362 0.2%
TT Electronics P.L.C. 834,407 2,227,066 0.1%
Xaar P.L.C. 370,936 1,804,888 0.1%
ZPG P.L.C. 1,073,767 5,143,816 0.2%
------------ ----
Total Information Technology 193,690,736 9.1%
------------ ----
Materials -- (7.2%)
Acacia Mining P.L.C. 900,534 4,615,796 0.2%
# Carclo P.L.C. 213,640 402,568 0.0%
Centamin P.L.C. 6,065,603 13,897,201 0.7%
Croda International P.L.C. 89,372 4,356,301 0.2%
DS Smith P.L.C. 4,938,232 27,609,390 1.3%
Elementis P.L.C. 2,652,783 10,451,484 0.5%
Essentra P.L.C. 1,468,954 10,296,919 0.5%
* Evraz P.L.C. 1,660,604 4,650,251 0.2%
Ferrexpo P.L.C. 433,035 886,258 0.1%
Gem Diamonds, Ltd. 654,276 744,253 0.0%
Hill & Smith Holdings P.L.C. 416,549 7,170,928 0.3%
# Hochschild Mining P.L.C. 1,480,894 4,871,842 0.2%
Ibstock P.L.C. 253,895 753,396 0.0%
* KAZ Minerals P.L.C. 1,307,816 8,529,737 0.4%
* Lonmin P.L.C. 1,647,895 2,347,911 0.1%
Low & Bonar P.L.C. 1,136,414 1,294,126 0.1%
Marshalls P.L.C. 1,111,593 5,537,600 0.3%
* Petra Diamonds, Ltd. 3,145,803 5,286,242 0.3%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Materials -- (Continued)
#* Petropavlovsk P.L.C. 13,841,290 $ 1,384,914 0.1%
RPC Group P.L.C. 2,047,901 21,512,987 1.0%
Synthomer P.L.C. 1,372,318 8,794,494 0.4%
Vedanta Resources P.L.C. 308,620 2,762,084 0.1%
Victrex P.L.C. 446,927 11,085,835 0.5%
Zotefoams P.L.C. 93,537 350,669 0.0%
-------------- ----
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%
CLS Holdings P.L.C. 26,453 664,547 0.0%
Countrywide P.L.C. 649,114 1,425,909 0.1%
Daejan Holdings P.L.C. 38,849 3,413,838 0.2%
Foxtons Group P.L.C. 928,678 1,231,338 0.1%
Grainger P.L.C. 2,332,492 7,545,424 0.4%
Harworth Group P.L.C. 30,680 41,324 0.0%
Helical P.L.C. 619,438 2,656,507 0.1%
LSL Property Services P.L.C. 328,694 876,037 0.0%
* Market Tech Holdings, Ltd. 28,137 68,044 0.0%
* Raven Russia, Ltd. 1,046,108 667,912 0.0%
Savills P.L.C. 734,682 8,839,183 0.4%
St. Modwen Properties P.L.C. 1,125,605 5,330,075 0.3%
U & I Group P.L.C. 696,333 1,714,302 0.1%
Unite Group P.L.C. (The) 630,269 5,282,841 0.2%
-------------- ----
Total Real Estate 55,409,273 2.6%
-------------- ----
Telecommunication Services -- (1.0%)
Inmarsat P.L.C. 1,124,420 11,891,737 0.5%
KCOM Group P.L.C. 3,197,302 3,661,446 0.2%
# TalkTalk Telecom Group P.L.C. 2,586,447 6,470,285 0.3%
-------------- ----
Total Telecommunication Services 22,023,468 1.0%
-------------- ----
Utilities -- (1.7%)
Drax Group P.L.C. 2,289,914 9,579,389 0.5%
Pennon Group P.L.C. 2,088,940 23,174,947 1.1%
Telecom Plus P.L.C. 326,650 5,308,805 0.2%
-------------- ----
Total Utilities 38,063,141 1.8%
-------------- ----
TOTAL COMMON STOCKS 2,093,614,538 98.6%
-------------- ----
PREFERRED STOCKS -- (0.0%)
McBride P.L.C 14,279,874 18,495 0.0%
RIGHTS/WARRANTS -- (0.2%)
* Cobham P.L.C. Rights 5/4/17 3,504,010 2,586,883 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
* Tullow Oil P.L.C. 4/24/17 2,555,721 $ 2,644,825 0.2%
TOTAL RIGHTS/WARRANTS 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%
============== =====
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
====== ============== ====== ==============
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (87.6%)
AUSTRIA -- (2.9%)
Agrana Beteiligungs AG 18,464 $ 1,942,199 0.0%
ANDRITZ AG 327,520 18,097,813 0.4%
Atrium European Real Estate, Ltd. 762,646 3,211,700 0.1%
# Austria Technologie & Systemtechnik AG 154,803 1,672,531 0.0%
BUWOG AG 365,525 9,871,390 0.2%
CA Immobilien Anlagen AG 385,928 8,451,603 0.2%
# DO & CO AG 29,227 1,972,527 0.0%
EVN AG 200,982 2,661,872 0.1%
* FACC AG 71,524 542,636 0.0%
Flughafen Wien AG 13,910 504,958 0.0%
# IMMOFINANZ AG 3,445,943 7,163,355 0.1%
Josef Manner & Co. AG 870 53,057 0.0%
Kapsch TrafficCom AG 31,720 1,554,586 0.0%
# Lenzing AG 51,632 9,625,769 0.2%
# Mayr Melnhof Karton AG 49,633 6,006,064 0.1%
# Oberbank AG 45,050 3,574,113 0.1%
# Oesterreichische Post AG 203,557 8,634,941 0.2%
Palfinger AG 82,234 3,356,063 0.1%
POLYTEC Holding AG 94,902 1,657,064 0.0%
Porr Ag 50,044 1,789,689 0.0%
* Raiffeisen Bank International AG 533,683 12,165,952 0.3%
RHI AG 147,894 4,306,070 0.1%
# Rosenbauer International AG 18,560 1,080,487 0.0%
S IMMO AG 330,386 4,318,133 0.1%
# Schoeller-Bleckmann Oilfield Equipment AG 63,374 4,424,363 0.1%
# Semperit AG Holding 68,546 1,829,125 0.0%
Strabag SE 105,005 4,294,324 0.1%
# Telekom Austria AG 532,703 3,738,489 0.1%
UBM Development AG 314 11,747 0.0%
UNIQA Insurance Group AG 644,919 5,381,619 0.1%
# Verbund AG 308,524 5,122,096 0.1%
Vienna Insurance Group AG Wiener Versicherung Gruppe 173,014 4,488,088 0.1%
Wienerberger AG 617,965 14,467,987 0.3%
Wolford AG 11,252 236,307 0.0%
Zumtobel Group AG 163,135 3,397,052 0.1%
------------ ---
TOTAL AUSTRIA 161,605,769 3.3%
------------ ---
BELGIUM -- (3.9%)
#* Ablynx NV 303,349 3,568,384 0.1%
Ackermans & van Haaren NV 134,383 21,994,102 0.5%
* AGFA-Gevaert NV 965,465 4,901,149 0.1%
Atenor 7,598 405,637 0.0%
Banque Nationale de Belgique 467 1,528,645 0.0%
Barco NV 65,535 6,455,871 0.1%
Bekaert SA 183,930 9,258,043 0.2%
bpost SA 451,800 10,828,708 0.2%
#* Celyad SA 21,765 696,345 0.0%
Cie d'Entreprises CFE 49,147 7,162,739 0.2%
#* Cie Immobiliere de Belgique SA 14,788 934,003 0.0%
Co.Br.Ha Societe Commerciale de Brasserie SA 111 351,159 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
BELGIUM -- (Continued)
D'ieteren SA 131,557 $ 6,418,667 0.1%
#* Dalenys 20,562 143,446 0.0%
# Deceuninck NV 358,205 1,085,559 0.0%
Econocom Group SA 343,333 5,521,039 0.1%
Elia System Operator SA 169,789 9,005,813 0.2%
Euronav NV 687,358 5,456,181 0.1%
EVS Broadcast Equipment SA 74,156 2,986,669 0.1%
# Exmar NV 174,456 1,120,447 0.0%
#* Fagron 232,463 3,068,049 0.1%
* Galapagos NV 180,217 15,788,542 0.3%
Gimv NV 31,452 1,919,226 0.0%
Ion Beam Applications 115,719 6,868,714 0.1%
Jensen-Group NV 13,482 645,197 0.0%
Kinepolis Group NV 94,699 5,467,931 0.1%
# Lotus Bakeries 1,454 3,657,511 0.1%
#* MDxHealth 180,487 1,041,644 0.0%
Melexis NV 113,838 9,489,990 0.2%
#* Nyrstar NV 745,541 4,219,964 0.1%
Ontex Group NV 350,745 11,702,636 0.2%
* Orange Belgium SA 167,280 3,489,361 0.1%
Picanol 28,800 2,807,189 0.1%
RealDolmen 8,137 227,045 0.0%
RealDolmen NV 120 2 0.0%
Recticel SA 218,046 1,816,126 0.0%
Resilux 5,092 858,479 0.0%
Roularta Media Group NV 10,263 303,536 0.0%
#* Sapec 1,288 235,632 0.0%
Sioen Industries NV 50,430 1,679,960 0.0%
Sipef SA 25,871 1,794,400 0.0%
* Telenet Group Holding NV 49,363 2,999,332 0.1%
# TER Beke SA 2,260 441,893 0.0%
* Tessenderlo Chemie NV 190,301 7,810,751 0.2%
#* ThromboGenics NV 159,152 541,860 0.0%
# Umicore SA 412,343 24,158,003 0.5%
# Van de Velde NV 35,498 1,949,871 0.1%
* Viohalco SA 583,796 1,135,899 0.0%
------------ ---
TOTAL BELGIUM 215,941,349 4.3%
------------ ---
DENMARK -- (4.6%)
ALK-Abello A.S. 33,035 5,153,659 0.1%
Alm Brand A.S. 524,498 4,299,082 0.1%
Ambu A.S. Class B 129,396 6,366,220 0.1%
Arkil Holding A.S. Class B 504 76,735 0.0%
#* Bang & Olufsen A.S. 238,410 3,563,331 0.1%
BankNordik P/F 1,753 29,515 0.0%
#* Bavarian Nordic A.S. 189,130 10,381,500 0.2%
Brodrene Hartmann A.S. 16,148 821,241 0.0%
# Columbus A.S. 90,694 186,180 0.0%
#* D/S Norden A.S. 175,318 3,504,029 0.1%
DFDS A.S. 175,917 10,489,276 0.2%
Djurslands Bank A.S. 8,970 325,226 0.0%
# FLSmidth & Co. A.S. 260,041 15,632,897 0.3%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
DENMARK -- (Continued)
Fluegger A.S. Class B 4,198 $ 228,816 0.0%
# GN Store Nord A.S. 855,243 22,230,374 0.5%
Gronlandsbanken AB 1,125 98,778 0.0%
* H+H International A.S. Class B 47,950 666,678 0.0%
Harboes Bryggeri A.S. Class B 16,516 319,934 0.0%
IC Group A.S. 40,541 977,503 0.0%
* Jeudan A.S. 5,970 601,330 0.0%
Jyske Bank A.S. 404,159 21,612,779 0.4%
Lan & Spar Bank 4,981 401,621 0.0%
Matas A.S. 180,232 2,784,586 0.1%
* NKT Holding A.S. 173,111 13,645,826 0.3%
# NNIT A.S. 22,254 626,866 0.0%
Nordjyske Bank A.S. 40,624 692,424 0.0%
Parken Sport & Entertainment A.S. 33,556 461,914 0.0%
Per Aarsleff Holding A.S. 113,913 2,921,897 0.1%
# Ringkjoebing Landbobank A.S. 24,344 5,870,778 0.1%
Roblon A.S. Class B 2,700 116,225 0.0%
Rockwool International A.S. Class A 116 20,378 0.0%
Rockwool International A.S. Class B 44,710 8,184,747 0.2%
Royal Unibrew A.S. 227,860 9,914,783 0.2%
RTX A.S. 42,670 1,290,750 0.0%
* Santa Fe Group A.S. 127,806 1,123,001 0.0%
Schouw & Co. AB 79,335 8,166,220 0.2%
SimCorp A.S. 229,640 14,387,341 0.3%
Solar A.S. Class B 32,550 1,886,910 0.0%
Spar Nord Bank A.S. 439,553 4,982,493 0.1%
Sydbank A.S. 440,970 16,040,094 0.3%
TDC A.S. 4,743,975 25,448,893 0.5%
# Tivoli A.S. 9,370 869,384 0.0%
* TK Development A.S. 608,784 1,034,901 0.0%
* Topdanmark A.S. 491,266 13,450,318 0.3%
Tryg A.S. 65,070 1,248,483 0.0%
United International Enterprises 10,218 1,951,437 0.1%
* Vestjysk Bank A.S. 53,413 116,871 0.0%
* William Demant Holding A.S. 365,410 8,363,396 0.2%
#* Zealand Pharma A.S. 109,206 1,951,354 0.0%
------------ ---
TOTAL DENMARK 255,518,974 5.1%
------------ ---
FINLAND -- (6.1%)
Afarak Group Oyj 27,338 30,643 0.0%
Ahlstrom-Munksjo Oyj 88,094 1,667,197 0.0%
Aktia Bank Oyj 117,307 1,154,800 0.0%
Alandsbanken Abp Class B 21,354 319,886 0.0%
Alma Media Oyj 42,130 253,436 0.0%
Amer Sports Oyj 641,324 14,194,694 0.3%
Apetit Oyj 18,766 272,220 0.0%
Aspo Oyj 92,762 873,885 0.0%
Atria Oyj 48,299 573,775 0.0%
#* BasWare Oyj 43,305 1,675,208 0.0%
# Bittium Oyj 129,422 897,552 0.0%
# Cargotec Oyj Class B 235,592 14,037,638 0.3%
#* Caverion Corp. 539,066 4,406,887 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
FINLAND -- (Continued)
Citycon Oyj 2,246,894 $ 5,524,430 0.1%
Cramo Oyj 193,511 5,024,538 0.1%
Digia Oyj 48,912 138,439 0.0%
Elisa Oyj 734,075 24,963,650 0.5%
F-Secure Oyj 529,757 1,970,938 0.0%
Finnair Oyj 450,180 2,348,187 0.1%
Fiskars Oyj Abp 191,481 4,201,718 0.1%
* Glaston Oyj Abp 46,084 19,975 0.0%
HKScan Oyj Class A 172,657 646,000 0.0%
# Huhtamaki Oyj 467,536 18,122,853 0.4%
Ilkka-Yhtyma Oyj 61,503 201,559 0.0%
Kemira Oyj 683,826 8,747,538 0.2%
Kesko Oyj Class A 24,789 1,159,702 0.0%
Kesko Oyj Class B 345,206 16,167,645 0.3%
Konecranes Oyj 282,931 11,865,365 0.2%
Lassila & Tikanoja Oyj 180,625 3,504,566 0.1%
Lemminkainen Oyj 30,098 587,119 0.0%
# Metsa Board Oyj 1,336,761 9,482,967 0.2%
Metso Oyj 576,499 20,646,714 0.4%
Nokian Renkaat Oyj 623,433 26,795,638 0.5%
Olvi Oyj Class A 68,749 2,123,747 0.0%
Oriola Oyj Class A 6,054 26,081 0.0%
Oriola Oyj Class B 628,439 2,647,521 0.1%
Orion Oyj Class A 126,645 7,221,759 0.2%
Orion Oyj Class B 436,647 25,024,035 0.5%
# Outokumpu Oyj 3,022,031 28,938,913 0.6%
#* Outotec Oyj 1,238,541 9,190,217 0.2%
Pihlajalinna Oyj 14,766 271,725 0.0%
Ponsse Oy 49,070 1,241,134 0.0%
* Poyry Oyj 188,253 688,618 0.0%
* QT Group Oyj 55,899 424,574 0.0%
Raisio Oyj Class V 573,332 2,174,713 0.1%
Ramirent Oyj 378,668 3,600,609 0.1%
Rapala VMC Oyj 109,543 494,940 0.0%
# Revenio Group Oyj 26,982 1,076,976 0.0%
Sanoma Oyj 754,064 6,651,564 0.1%
Sponda Oyj 707,509 3,120,697 0.1%
SRV Group OYJ 23,502 123,483 0.0%
* Stockmann Oyj Abp Class A 42,474 360,341 0.0%
#* Stockmann Oyj Abp Class B 167,088 1,436,136 0.0%
# Technopolis Oyj 905,646 3,036,505 0.1%
Teleste Oyj 46,406 438,720 0.0%
Tieto Oyj 295,694 9,271,814 0.2%
Tikkurila Oyj 229,218 4,538,829 0.1%
Uponor Oyj 298,122 5,645,466 0.1%
Vaisala Oyj Class A 47,987 2,300,582 0.1%
Valmet Oyj 526,890 9,597,263 0.2%
Viking Line Abp 10,366 228,216 0.0%
YIT Oyj 669,695 5,297,133 0.1%
------------ ---
TOTAL FINLAND 339,669,673 6.8%
------------ ---
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
FRANCE -- (12.2%)
ABC Arbitrage 150,388 $ 1,063,934 0.0%
Actia Group 48,398 442,853 0.0%
* Air France-KLM 993,402 8,345,684 0.2%
Akka Technologies 51,478 2,405,437 0.1%
Albioma SA 100,378 1,930,506 0.0%
Altamir 117,862 1,978,783 0.0%
Alten SA 136,617 11,577,373 0.2%
Altran Technologies SA 771,932 12,952,097 0.3%
April SA 74,473 968,884 0.0%
#* Archos 138,714 175,140 0.0%
Arkema SA 164,514 17,419,234 0.4%
Assystem 62,634 2,288,356 0.1%
Aubay 29,713 902,303 0.0%
Axway Software SA 32,789 1,153,053 0.0%
Bastide le Confort Medical 8,920 293,599 0.0%
Beneteau SA 199,333 2,826,191 0.1%
* Bigben Interactive 7,330 49,989 0.0%
# BioMerieux 67,996 13,597,537 0.3%
Boiron SA 38,334 3,645,776 0.1%
Bonduelle SCA 74,889 2,596,207 0.1%
# Bourbon Corp. 97,879 1,103,543 0.0%
Burelle SA 2,499 3,131,166 0.1%
Casino Guichard Perrachon SA 3,794 228,492 0.0%
Catering International Services 14,124 282,289 0.0%
#* Cegedim SA 23,645 657,991 0.0%
#* CGG SA 97,011 694,144 0.0%
Chargeurs SA 95,815 2,390,720 0.1%
Cie des Alpes 40,086 1,021,487 0.0%
Cie Plastic Omnium SA 318,364 12,459,729 0.3%
* Coface SA 236,878 1,852,760 0.0%
Derichebourg SA 549,528 2,632,372 0.1%
Devoteam SA 27,976 1,883,784 0.0%
Dom Security 2,414 151,143 0.0%
# Edenred 946,779 24,253,318 0.5%
Electricite de Strasbourg SA 21,168 2,564,641 0.1%
Elior Group 430,454 10,739,377 0.2%
Elis SA 247,640 5,123,971 0.1%
* Eramet 28,909 1,391,193 0.0%
* Esso SA Francaise 15,115 644,687 0.0%
Euler Hermes Group 56,627 5,532,218 0.1%
Eurofins Scientific SE 15,139 7,456,360 0.2%
# Euronext NV 246,811 12,107,504 0.3%
* Europcar Groupe SA 62,070 757,062 0.0%
Eutelsat Communications SA 306,707 7,256,527 0.2%
Exel Industries Class A 10,330 984,714 0.0%
Faurecia 306,467 14,977,989 0.3%
# Fleury Michon SA 5,962 324,094 0.0%
# Gaumont SA 13,521 1,099,182 0.0%
Gaztransport Et Technigaz SA 97,951 3,656,145 0.1%
GEA 2,433 221,038 0.0%
Gevelot SA 3,466 643,706 0.0%
GL Events 48,589 1,191,467 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
FRANCE -- (Continued)
Groupe Crit 23,258 $ 1,952,796 0.0%
Groupe Eurotunnel SE 676,041 7,426,789 0.2%
* Groupe Fnac SA 63,334 4,449,427 0.1%
#* Groupe Gorge 22,858 527,316 0.0%
Groupe Open 28,097 791,799 0.0%
Guerbet 32,666 2,792,656 0.1%
Haulotte Group SA 74,466 1,103,233 0.0%
Havas SA 598,015 5,530,889 0.1%
* Herige SADCS 4,147 148,966 0.0%
#* HiPay Group SA 24,579 334,072 0.0%
* ID Logistics Group 7,524 1,140,496 0.0%
# Imerys SA 145,098 12,482,933 0.3%
# Ingenico Group SA 121,776 11,026,448 0.2%
Interparfums SA 54,443 1,867,862 0.0%
Ipsen SA 162,032 18,864,249 0.4%
IPSOS 168,064 5,390,498 0.1%
Jacquet Metal Service 70,664 1,896,738 0.0%
Kaufman & Broad SA 17,283 677,858 0.0%
# Korian SA 196,034 6,316,898 0.1%
Lagardere SCA 663,377 20,306,215 0.4%
Lanson-BCC 8,795 294,042 0.0%
Laurent-Perrier 12,372 952,660 0.0%
Le Noble Age 25,502 1,351,918 0.0%
Lectra 115,852 3,008,848 0.1%
Linedata Services 8,608 450,160 0.0%
LISI 94,248 3,696,333 0.1%
Maisons France Confort SA 15,743 942,906 0.0%
Manitou BF SA 49,563 1,565,793 0.0%
Manutan International 14,076 1,106,707 0.0%
Mersen SA 117,956 3,405,191 0.1%
#* METabolic EXplorer SA 151,621 397,991 0.0%
Metropole Television SA 293,607 6,683,770 0.1%
MGI Coutier 56,015 2,063,858 0.0%
Mr Bricolage 30,731 388,652 0.0%
#* Naturex 31,570 2,876,213 0.1%
Neopost SA 176,348 7,151,098 0.2%
* Nexans SA 188,998 10,506,747 0.2%
Nexity SA 171,171 9,306,363 0.2%
#* Nicox 76,283 829,465 0.0%
* NRJ Group 71,278 819,402 0.0%
# Oeneo SA 113,251 1,036,048 0.0%
#* Onxeo SA(B04P0G6) 187,818 538,112 0.0%
#* Onxeo SA(BPFJVR0) 48,958 140,646 0.0%
Orpea 182,255 18,615,617 0.4%
#* Parrot SA 44,015 424,239 0.0%
PCAS 10,780 152,210 0.0%
#* Pierre & Vacances SA 26,157 1,219,506 0.0%
Plastivaloire 1,917 337,895 0.0%
PSB Industries SA 8,161 443,000 0.0%
# Rallye SA 128,234 2,801,879 0.1%
Remy Cointreau SA 2,875 290,021 0.0%
Rexel SA 1,596,995 28,519,669 0.6%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
FRANCE -- (Continued)
# Robertet SA 3,063 $ 1,174,485 0.0%
Rothschild & Co. 24,177 750,129 0.0%
Rubis SCA 203,675 20,691,708 0.4%
Samse SA 8,068 1,223,892 0.0%
# Sartorius Stedim Biotech 101,854 6,832,160 0.1%
Savencia SA 33,142 2,925,119 0.1%
SEB SA 120,657 19,429,843 0.4%
Seche Environnement SA 11,799 383,769 0.0%
#* Sequana SA 289,137 469,105 0.0%
#* SES-imagotag SA 14,048 459,255 0.0%
* Societe des Bains de Mer et du Cercle des Etrangers a Monaco 60,258 2,027,135 0.0%
#* Societe Internationale de Plantations d'Heveas SA 7,523 426,039 0.0%
Societe Marseillaise du Tunnel Prado-Carenage SA 3,434 90,959 0.0%
# Societe pour l'Informatique Industrielle 39,566 818,895 0.0%
#* SOITEC 63,993 2,717,116 0.1%
#* Solocal Group 2,588,793 3,064,615 0.1%
Somfy SA 20,959 10,135,828 0.2%
Sopra Steria Group 74,501 11,169,888 0.2%
SPIE SA 289,948 8,035,961 0.2%
* Stallergenes Greer P.L.C. 12,201 456,704 0.0%
#* Ste Industrielle d'Aviation Latecoere SA 310,883 1,225,678 0.0%
Stef SA 28,166 2,530,392 0.1%
STMicroelectronics NV 1,780,023 28,575,890 0.6%
Sword Group 32,374 1,106,660 0.0%
Synergie SA 69,989 2,923,549 0.1%
Tarkett SA 87,423 4,107,595 0.1%
# Technicolor SA 1,482,868 7,529,615 0.2%
Teleperformance 336,308 42,290,345 0.9%
# Television Francaise 1 626,436 7,665,695 0.2%
Tessi SA 6,807 1,083,820 0.0%
# TFF Group 5,065 788,602 0.0%
# Thermador Groupe 13,789 1,387,979 0.0%
Total Gabon 1,515 258,834 0.0%
* Touax SA 5,568 68,582 0.0%
Trigano SA 46,958 4,964,972 0.1%
* Ubisoft Entertainment SA 521,852 24,721,360 0.5%
Union Financiere de France BQE SA 16,855 503,199 0.0%
#* Vallourec SA 1,427,206 9,129,026 0.2%
#* Valneva SE 243,681 729,861 0.0%
Vetoquinol SA 16,625 913,190 0.0%
Vicat SA 86,767 6,171,909 0.1%
VIEL & Cie SA 161,700 1,003,679 0.0%
Vilmorin & Cie SA 27,056 1,956,415 0.0%
#* Virbac SA 22,063 3,473,606 0.1%
Vranken-Pommery Monopole SA 18,262 439,329 0.0%
* Worldline SA 36,060 1,196,232 0.0%
------------ ----
TOTAL FRANCE 683,401,465 13.8%
------------ ----
GERMANY -- (14.3%)
Aareal Bank AG 409,233 16,459,686 0.3%
# Adler Modemaerkte AG 41,855 244,081 0.0%
#* ADLER Real Estate AG 111,691 1,752,796 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
GERMANY -- (Continued)
* ADVA Optical Networking SE 206,292 $ 2,267,290 0.1%
#* AIXTRON SE 396,410 2,173,361 0.1%
All for One Steeb AG 569 38,356 0.0%
# Allgeier SE 26,260 566,731 0.0%
Amadeus Fire AG 30,763 2,632,176 0.1%
* AS Creation Tapeten 7,109 239,862 0.0%
Atoss Software AG 193 14,399 0.0%
# Aurubis AG 180,566 12,618,937 0.3%
# Axel Springer SE 194,300 10,901,616 0.2%
Basler AG 4,488 451,746 0.0%
Bauer AG 33,835 595,052 0.0%
BayWa AG(5838057) 78,978 2,874,772 0.1%
BayWa AG(5838068) 124 4,451 0.0%
Bechtle AG 80,333 9,217,081 0.2%
# Bertrandt AG 27,357 2,857,146 0.1%
Bijou Brigitte AG 19,236 1,188,031 0.0%
#* Bilfinger SE 178,040 7,729,427 0.2%
# Biotest AG 60,306 1,841,667 0.0%
Borussia Dortmund GmbH & Co. KGaA 473,904 3,052,630 0.1%
# CANCOM SE 86,805 5,136,713 0.1%
Carl Zeiss Meditec AG 160,352 7,289,338 0.2%
CENIT AG 50,111 1,209,223 0.0%
CENTROTEC Sustainable AG 44,227 929,437 0.0%
Cewe Stiftung & Co. KGAA 31,218 2,842,555 0.1%
# Clere AG 21,096 357,463 0.0%
Comdirect Bank AG 182,514 1,903,010 0.0%
CompuGroup Medical SE 119,816 5,898,765 0.1%
* Constantin Medien AG 340,089 774,421 0.0%
CropEnergies AG 116,924 1,149,433 0.0%
CTS Eventim AG & Co. KGaA 216,083 8,316,991 0.2%
Data Modul AG 11,455 930,792 0.0%
# Delticom AG 28,981 540,152 0.0%
Deutsche Beteiligungs AG 56,822 2,162,030 0.1%
Deutsche EuroShop AG 220,384 8,947,264 0.2%
Deutsche Lufthansa AG 28,830 497,382 0.0%
Deutsche Pfandbriefbank AG 75,934 1,018,060 0.0%
Deutz AG 599,311 4,664,863 0.1%
* Dialog Semiconductor P.L.C. 382,079 17,877,837 0.4%
DIC Asset AG 265,874 2,728,460 0.1%
Diebold Nixdorf AG 3,583 273,749 0.0%
DMG Mori AG 122,188 6,658,035 0.1%
Dr Hoenle AG 25,078 962,964 0.0%
Draegerwerk AG & Co. KGaA 12,496 980,596 0.0%
# Drillisch AG 227,365 12,185,925 0.3%
# Duerr AG 133,802 13,333,422 0.3%
Eckert & Ziegler AG 18,549 512,462 0.0%
Elmos Semiconductor AG 53,988 1,434,841 0.0%
# ElringKlinger AG 167,277 3,339,316 0.1%
* Euromicron AG 32,612 253,037 0.0%
* Evotec AG 1,103,203 12,882,828 0.3%
# Fielmann AG 114,167 8,727,923 0.2%
* First Sensor AG 22,812 290,214 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
GERMANY -- (Continued)
Francotyp-Postalia Holding AG Class A 53,729 $ 310,174 0.0%
# Fraport AG Frankfurt Airport Services Worldwide 179,584 14,128,497 0.3%
Freenet AG 652,809 20,487,314 0.4%
Fuchs Petrolub SE 147,943 6,679,915 0.1%
Gerresheimer AG 198,146 15,544,249 0.3%
# Gerry Weber International AG 98,127 1,438,061 0.0%
Gesco AG 43,467 1,178,864 0.0%
# GFT Technologies SE 90,843 1,853,391 0.0%
Grammer AG 79,765 4,894,223 0.1%
# GRENKE AG 36,620 7,289,883 0.2%
* H&R GmbH & Co. KGaA 40,687 613,184 0.0%
Hamburger Hafen und Logistik AG 113,533 2,151,720 0.1%
#* Heidelberger Druckmaschinen AG 1,506,720 4,205,507 0.1%
Hella KGaA Hueck & Co. 126,852 6,279,366 0.1%
* Highlight Communications AG 94,846 558,038 0.0%
#* HolidayCheck Group AG 114,390 309,448 0.0%
Hornbach Baumarkt AG 23,376 763,817 0.0%
# Hugo Boss AG 285,824 21,734,995 0.4%
Indus Holding AG 129,827 8,678,420 0.2%
Isra Vision AG 18,038 2,642,693 0.1%
Jenoptik AG 262,122 7,053,059 0.1%
# K+S AG 990,931 23,641,923 0.5%
* Kampa AG 7,101 162 0.0%
KION Group AG 258,832 17,534,672 0.4%
* Kloeckner & Co. SE 555,392 6,135,584 0.1%
* Koenig & Bauer AG 69,890 4,836,543 0.1%
* Kontron AG 437,004 1,541,150 0.0%
# Krones AG 75,044 8,910,036 0.2%
KSB AG 3,466 1,661,116 0.0%
KWS Saat SE 15,970 5,679,946 0.1%
Lanxess AG 484,758 35,002,637 0.7%
LEG Immobilien AG 306,750 26,353,575 0.5%
Leifheit AG 15,425 1,192,495 0.0%
Leoni AG 159,356 8,657,241 0.2%
#* LPKF Laser & Electronics AG 76,947 804,419 0.0%
#* Manz AG 21,725 922,835 0.0%
* MasterFlex SE 19,347 152,200 0.0%
* Mediclin AG 88,966 557,694 0.0%
#* Medigene AG 56,083 701,425 0.0%
MLP AG 314,508 1,983,875 0.0%
MTU Aero Engines AG 249,839 35,835,367 0.7%
Nemetschek SE 107,874 7,398,544 0.2%
# Nexus AG 51,805 1,248,026 0.0%
#* Nordex SE 307,691 4,636,949 0.1%
Norma Group SE 202,672 10,867,187 0.2%
# OHB SE 34,003 818,492 0.0%
Osram Licht AG 343,036 22,979,780 0.5%
# paragon AG 7,316 464,644 0.0%
* Patrizia Immobilien AG 263,203 5,192,754 0.1%
#* Petro Welt Technologies AG 6,474 53,800 0.0%
Pfeiffer Vacuum Technology AG 52,225 6,780,418 0.1%
PNE Wind AG 367,537 1,024,743 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
GERMANY -- (Continued)
Progress-Werk Oberkirch AG 7,571 $ 398,477 0.0%
PSI AG Gesellschaft Fuer Produkte und Systeme der
Informationstechnologie 27,232 381,164 0.0%
Puma SE 10,528 4,109,014 0.1%
* PVA TePla AG 46,019 121,297 0.0%
QIAGEN NV 717,083 21,481,790 0.4%
# QSC AG 498,723 883,809 0.0%
# R Stahl AG 14,952 475,456 0.0%
# Rational AG 14,449 7,262,140 0.2%
Rheinmetall AG 223,411 20,506,818 0.4%
RHOEN-KLINIKUM AG 235,088 6,719,265 0.1%
# RIB Software SE 167,309 2,451,963 0.1%
# S&T AG 147,964 2,092,743 0.1%
SAF-Holland SA 277,084 4,783,528 0.1%
Salzgitter AG 212,972 7,289,935 0.2%
# Schaltbau Holding AG 27,311 1,068,160 0.0%
Schloss Wachenheim AG 7,479 133,677 0.0%
#* SGL Carbon SE 192,839 1,949,235 0.0%
SHW AG 25,624 899,193 0.0%
* Siltronic AG 50,049 3,597,949 0.1%
# Sixt Leasing SE 19,021 410,259 0.0%
# Sixt SE 80,910 4,477,028 0.1%
# SMA Solar Technology AG 59,062 1,528,247 0.0%
* SMT Scharf AG 18,103 260,225 0.0%
Softing AG 21,576 249,342 0.0%
Software AG 309,788 13,630,115 0.3%
#* Solarworld AG 13,177 49,371 0.0%
Stabilus SA 66,033 4,781,565 0.1%
Stada Arzneimittel AG 306,492 21,718,100 0.4%
# Stroeer SE & Co. KGaA 118,799 6,869,781 0.1%
Suedzucker AG 438,206 9,378,176 0.2%
* Suess MicroTec AG 105,674 1,188,578 0.0%
Surteco SE 26,628 666,877 0.0%
TAG Immobilien AG 798,736 11,372,198 0.2%
Takkt AG 163,454 3,884,554 0.1%
Technotrans AG 34,509 1,226,750 0.0%
* Tele Columbus AG 42,274 402,919 0.0%
TLG Immobilien AG 167,898 3,397,426 0.1%
#* Tom Tailor Holding SE 144,876 1,374,913 0.0%
# Traffic Systems SE 23,180 353,557 0.0%
* Uniper SE 312,671 5,131,593 0.1%
VERBIO Vereinigte BioEnergie AG 127,536 1,259,173 0.0%
#* Vossloh AG 68,437 4,591,741 0.1%
# VTG AG 80,128 2,643,100 0.1%
# Wacker Chemie AG 77,716 8,225,893 0.2%
Wacker Neuson SE 146,155 3,692,439 0.1%
Washtec AG 53,359 3,994,273 0.1%
XING AG 16,563 3,874,819 0.1%
Zeal Network SE 40,531 1,191,350 0.0%
------------ ----
TOTAL GERMANY 797,525,820 16.1%
------------ ----
IRELAND -- (1.2%)
C&C Group P.L.C.(B010DT8) 399,607 1,630,901 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
IRELAND -- (Continued)
C&C Group P.L.C.(B011Y09) 1,077,904 $ 4,447,569 0.1%
Datalex P.L.C. 66,450 275,263 0.0%
* FBD Holdings P.L.C. 125,728 1,129,899 0.0%
Glanbia P.L.C.(0066950) 700,613 13,786,549 0.3%
Glanbia P.L.C.(4058629) 86,883 1,698,057 0.0%
IFG Group P.L.C. 302,015 542,223 0.0%
* Independent News & Media P.L.C. 1,593,163 225,394 0.0%
Irish Continental Group P.L.C.(BLP5857) 416,504 2,402,032 0.1%
Irish Continental Group P.L.C.(BLP59W1) 234,200 1,330,252 0.0%
Kingspan Group P.L.C. 667,888 23,234,094 0.5%
Smurfit Kappa Group P.L.C. 601,045 16,119,353 0.3%
----------- ---
TOTAL IRELAND 66,821,586 1.3%
----------- ---
ISRAEL -- (2.1%)
* ADO Group, Ltd. 61,437 771,284 0.0%
#* Africa Israel Investments, Ltd. 1,160,746 143,562 0.0%
#* Africa Israel Properties, Ltd. 80,677 1,624,370 0.0%
Africa Israel Residences, Ltd. 594 12,752 0.0%
#* Airport City, Ltd. 321,669 4,256,163 0.1%
Albaad Massuot Yitzhak, Ltd. 515 8,853 0.0%
#* Allot Communications, Ltd. 136,197 678,651 0.0%
Alrov Properties and Lodgings, Ltd. 45,824 1,257,172 0.0%
Amot Investments, Ltd. 545,576 2,598,936 0.1%
Arad, Ltd. 1,053 11,831 0.0%
# Ashtrom Properties, Ltd. 23,018 105,776 0.0%
#* AudioCodes, Ltd. 165,181 1,082,184 0.0%
# Avgol Industries 1953, Ltd. 423,762 536,340 0.0%
#* Azorim-Investment Development & Construction Co., Ltd. 394,505 474,508 0.0%
Bayside Land Corp. 3,988 1,740,850 0.0%
# Big Shopping Centers, Ltd. 25,375 1,843,318 0.0%
#* BioLine RX, Ltd. 59,630 52,842 0.0%
# Blue Square Real Estate, Ltd. 27,238 1,280,373 0.0%
# Brack Capital Properties NV 20,866 1,981,364 0.1%
#* Cellcom Israel, Ltd. 307,696 3,029,790 0.1%
#* Ceragon Networks, Ltd. 227,281 764,691 0.0%
#* Clal Biotechnology Industries, Ltd. 174,162 182,253 0.0%
#* Clal Insurance Enterprises Holdings, Ltd. 122,749 1,997,476 0.1%
Cohen Development & Industrial Buildings, Ltd. 2,564 74,209 0.0%
#* Compugen, Ltd. 185,531 747,358 0.0%
# Delek Automotive Systems, Ltd. 204,232 1,790,662 0.0%
# Delta-Galil Industries, Ltd. 60,386 1,851,398 0.0%
# Direct Insurance Financial Investments, Ltd. 87,883 840,776 0.0%
# El Al Israel Airlines 1,621,784 1,268,768 0.0%
Electra Consumer Products 1970, Ltd. 37,706 784,444 0.0%
Electra, Ltd. 10,006 2,182,514 0.1%
Elron Electronic Industries, Ltd. 62,094 325,969 0.0%
# Energix-Renewable Energies, Ltd. 144,802 99,747 0.0%
* Equital, Ltd. 8,956 246,990 0.0%
#* Evogene, Ltd. 70,559 362,171 0.0%
First International Bank Of Israel, Ltd. 198,314 3,267,925 0.1%
FMS Enterprises Migun, Ltd. 15,090 531,383 0.0%
# Formula Systems 1985, Ltd. 54,587 2,148,852 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
ISRAEL -- (Continued)
# Fox Wizel, Ltd. 28,841 $ 657,669 0.0%
#* Gilat Satellite Networks, Ltd. 142,209 726,283 0.0%
#* Hadera Paper, Ltd. 11,506 531,101 0.0%
# Hamlet Israel-Canada, Ltd. 11,169 182,997 0.0%
# Harel Insurance Investments & Financial Services, Ltd. 608,228 3,237,394 0.1%
# Hilan, Ltd. 58,008 1,025,987 0.0%
# IDI Insurance Co., Ltd. 27,171 1,448,855 0.0%
#* Industrial Buildings Corp., Ltd. 475,849 651,209 0.0%
# Inrom Construction Industries, Ltd. 106,312 407,748 0.0%
#* Israel Discount Bank, Ltd. Class A 2,736,507 6,625,540 0.1%
# Israel Land Development Co., Ltd. (The) 22,310 193,071 0.0%
* Jerusalem Oil Exploration 49,856 2,898,623 0.1%
#* Kamada, Ltd. 160,188 1,152,145 0.0%
* Kenon Holdings, Ltd. 45,794 570,261 0.0%
Kerur Holdings, Ltd. 19,275 637,817 0.0%
Klil Industries, Ltd. 3,513 386,024 0.0%
Maabarot Products, Ltd. 21,999 425,586 0.0%
Magic Software Enterprises, Ltd. 101,949 806,371 0.0%
# Matrix IT, Ltd. 208,937 1,963,052 0.1%
# Maytronics, Ltd. 166,763 704,748 0.0%
#* Mazor Robotics, Ltd. 228,777 4,041,453 0.1%
# Meitav DS Investments, Ltd. 44,186 178,583 0.0%
Melisron, Ltd. 68,534 3,732,025 0.1%
Menora Mivtachim Holdings, Ltd. 129,602 1,497,861 0.0%
Migdal Insurance & Financial Holding, Ltd. 2,035,737 2,005,560 0.1%
# Mivtach Shamir Holdings, Ltd. 22,547 497,276 0.0%
#* Naphtha Israel Petroleum Corp., Ltd. 177,277 1,433,462 0.0%
# Neto ME Holdings, Ltd. 6,028 665,659 0.0%
#* Nova Measuring Instruments, Ltd. 150,491 2,991,383 0.1%
Oil Refineries, Ltd. 5,656,780 2,250,189 0.1%
#* Partner Communications Co., Ltd. 598,587 2,927,460 0.1%
# Paz Oil Co., Ltd. 28,566 4,666,204 0.1%
* Perion Network, Ltd. 16,455 29,597 0.0%
#* Phoenix Holdings, Ltd. (The) 318,405 1,394,886 0.0%
# Plasson Industries, Ltd. 13,484 458,093 0.0%
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. 34,290 1,638,542 0.0%
#* Redhill Biopharma, Ltd. 45,309 46,210 0.0%
# Scope Metals Group, Ltd. 24,032 677,643 0.0%
# Shapir Engineering and Industry, Ltd. 341,255 966,916 0.0%
# Shikun & Binui, Ltd. 1,140,334 2,993,686 0.1%
Shufersal, Ltd. 411,270 2,028,672 0.1%
#* Space Communication, Ltd. 17,611 123,620 0.0%
Strauss Group, Ltd. 157,448 2,772,060 0.1%
Summit Real Estate Holdings, Ltd. 123,536 919,421 0.0%
Tadiran Holdings, Ltd. 9,306 245,582 0.0%
#* Tower Semiconductor, Ltd. 393,078 8,582,274 0.2%
#* Union Bank of Israel 141,118 615,261 0.0%
------------ ---
TOTAL ISRAEL 118,570,564 2.4%
------------ ---
ITALY -- (9.4%)
A2A SpA 8,290,391 12,322,292 0.3%
ACEA SpA 302,509 4,352,750 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
ITALY -- (Continued)
#* Aedes SIIQ SpA 691,904 $ 293,437 0.0%
#* Aeffe SpA 167,738 253,248 0.0%
Amplifon SpA 515,448 6,584,414 0.1%
Anima Holding SpA 1,204,949 7,876,997 0.2%
Ansaldo STS SpA 572,443 7,682,076 0.2%
* Arnoldo Mondadori Editore SpA 773,433 1,535,673 0.0%
Ascopiave SpA 424,667 1,675,897 0.0%
# Astaldi SpA 288,057 1,889,434 0.0%
Autogrill SpA 728,145 8,281,147 0.2%
Azimut Holding SpA 623,078 12,154,210 0.2%
#* Banca Carige SpA 1,998,068 554,908 0.0%
# Banca Finnat Euramerica SpA 616,149 246,622 0.0%
Banca Generali SpA 284,313 8,169,964 0.2%
Banca IFIS SpA 147,336 6,355,556 0.1%
Banca Mediolanum SpA 1,262,985 9,660,322 0.2%
#* Banca Monte dei Paschi di Siena SpA 19,884 326,632 0.0%
Banca Popolare di Sondrio SCPA 2,322,862 8,654,325 0.2%
# Banca Profilo SpA 1,277,342 297,301 0.0%
Banco BPM SpA 6,471,527 18,900,113 0.4%
Banco di Desio e della Brianza SpA 224,677 613,469 0.0%
BasicNet SpA 170,033 664,643 0.0%
BE 320,070 374,649 0.0%
Biesse SpA 76,476 2,355,097 0.1%
# BPER Banca 2,548,728 13,943,231 0.3%
Brembo SpA 161,253 12,669,107 0.3%
Brunello Cucinelli SpA 129,781 3,400,750 0.1%
Buzzi Unicem SpA 409,864 10,532,005 0.2%
# Cairo Communication SpA 360,217 1,764,596 0.0%
* Caltagirone Editore SpA 6,277 5,555 0.0%
Cembre SpA 39,007 854,177 0.0%
Cementir Holding SpA 325,211 1,960,856 0.0%
Cerved Information Solutions SpA 884,639 9,444,587 0.2%
CIR-Compagnie Industriali Riunite SpA 2,065,487 3,322,156 0.1%
Credito Emiliano SpA 471,853 3,298,796 0.1%
# Credito Valtellinese SpA 617,221 2,231,034 0.1%
# d'Amico International Shipping SA 830,428 308,531 0.0%
Danieli & C Officine Meccaniche SpA 72,897 1,822,409 0.0%
Datalogic SpA 111,466 3,057,080 0.1%
# Davide Campari-Milano SpA 1,402,760 16,586,895 0.3%
De' Longhi SpA 274,771 8,376,802 0.2%
DeA Capital SpA 526,890 860,960 0.0%
DiaSorin SpA 116,636 8,742,397 0.2%
# Ei Towers SpA 88,940 5,133,150 0.1%
El.En. SpA 48,277 1,719,417 0.0%
Elica SpA 4,665 8,436 0.0%
Emak SpA 25,283 43,916 0.0%
* ePrice SpA 50,747 234,873 0.0%
ERG SpA 319,564 3,967,022 0.1%
Esprinet SpA 169,978 1,390,433 0.0%
#* Eurotech SpA 90,850 161,300 0.0%
Falck Renewables SpA 704,182 871,319 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
ITALY -- (Continued)
Fila SpA 14,013 $ 286,510 0.0%
* Fincantieri SpA 2,268,686 2,220,083 0.0%
FinecoBank Banca Fineco SpA 1,821,191 12,973,689 0.3%
FNM SpA 627,039 371,099 0.0%
# Geox SpA 453,868 1,226,626 0.0%
* Gruppo Editoriale L'Espresso SpA 650,069 597,173 0.0%
# Gruppo MutuiOnline SpA 111,216 1,462,141 0.0%
Hera SpA 3,352,671 9,588,803 0.2%
IMMSI SpA 1,202,186 508,317 0.0%
Industria Macchine Automatiche SpA 70,748 6,237,091 0.1%
Infrastrutture Wireless Italiane SpA 585,401 3,237,560 0.1%
#* Intek Group SpA 1,768,514 470,890 0.0%
Interpump Group SpA 425,898 11,294,608 0.2%
Iren SpA 2,952,554 6,221,490 0.1%
* Italgas SpA 2,069,346 9,355,299 0.2%
Italmobiliare SpA 45,336 2,540,734 0.1%
* Juventus Football Club SpA 2,220,681 2,048,430 0.0%
La Doria SpA 65,929 813,547 0.0%
# Maire Tecnimont SpA 643,190 2,555,490 0.1%
# MARR SpA 182,251 4,400,418 0.1%
# Mediaset SpA 4,351,208 17,782,080 0.4%
Moncler SpA 664,534 16,390,727 0.3%
# Nice SpA 71,162 269,341 0.0%
OVS SpA 319,730 2,128,317 0.0%
* Panariagroup Industrie Ceramiche SpA 13,433 89,001 0.0%
# Parmalat SpA 697,227 2,362,720 0.1%
# Piaggio & C SpA 961,442 1,992,434 0.0%
#* Prelios SpA 127,326 13,451 0.0%
# Prima Industrie SpA 15,358 428,842 0.0%
Prysmian SpA 1,026,230 29,615,643 0.6%
RAI Way SpA 116,012 609,153 0.0%
Recordati SpA 474,431 17,582,541 0.4%
# Reno de Medici SpA 840,050 317,197 0.0%
Reply SpA 23,664 4,144,932 0.1%
#* Retelit SpA 795,577 1,159,946 0.0%
Sabaf SpA 25,688 365,807 0.0%
# SAES Getters SpA 40,332 788,949 0.0%
#* Safilo Group SpA 176,776 1,276,181 0.0%
* Saipem SpA 31,769,130 13,674,671 0.3%
Salini Impregilo SpA 1,159,746 3,946,595 0.1%
# Salvatore Ferragamo SpA 262,482 8,405,270 0.2%
Saras SpA 2,361,850 4,934,345 0.1%
# SAVE SpA 91,740 2,176,693 0.0%
Servizi Italia SpA 34,833 163,432 0.0%
#* Snaitech SpA 386,714 579,449 0.0%
Societa Cattolica di Assicurazioni SCRL 852,357 7,576,011 0.2%
Societa Iniziative Autostradali e Servizi SpA 349,366 3,521,722 0.1%
#* Sogefi SpA 323,297 1,665,131 0.0%
SOL SpA 161,050 1,736,437 0.0%
Tamburi Investment Partners SpA 418,473 2,314,710 0.1%
#* Tiscali SpA 9,160,788 461,492 0.0%
# Tod's SpA 70,079 5,414,834 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
ITALY -- (Continued)
#* Trevi Finanziaria Industriale SpA 509,518 $ 506,142 0.0%
TXT e-solutions SpA 28,342 330,598 0.0%
# Unione di Banche Italiane SpA 4,861,323 20,483,378 0.4%
Unipol Gruppo Finanziario SpA 2,254,178 10,053,139 0.2%
UnipolSai Assicurazioni SpA 4,147,843 9,528,010 0.2%
Vittoria Assicurazioni SpA 131,286 1,760,788 0.0%
#* Yoox Net-A-Porter Group SpA 280,998 7,466,799 0.2%
Zignago Vetro SpA 145,632 1,202,376 0.0%
------------ ----
TOTAL ITALY 522,416,248 10.5%
------------ ----
NETHERLANDS -- (4.6%)
Aalberts Industries NV 645,848 25,608,846 0.5%
Accell Group 146,494 5,109,405 0.1%
#* AFC Ajax NV 18,134 180,351 0.0%
AMG Advanced Metallurgical Group NV 171,531 4,499,194 0.1%
Amsterdam Commodities NV 92,796 2,588,505 0.1%
APERAM SA 270,393 13,594,044 0.3%
# Arcadis NV 414,400 7,189,991 0.2%
# ASM International NV 290,828 17,505,079 0.4%
BE Semiconductor Industries NV 203,783 10,653,522 0.2%
Beter Bed Holding NV 97,492 1,592,978 0.0%
# BinckBank NV 375,073 1,864,100 0.0%
Boskalis Westminster 522,771 19,228,989 0.4%
Brunel International NV 118,473 2,015,220 0.0%
Corbion NV 334,113 10,368,973 0.2%
# Flow Traders 72,197 2,226,172 0.0%
#* Fugro NV 381,770 5,631,108 0.1%
Gemalto NV(B9MS8P5) 304,031 17,021,640 0.3%
Gemalto NV(B011JK4) 127,197 7,124,532 0.1%
#* Heijmans NV 126,289 973,139 0.0%
Hunter Douglas NV 14,301 1,154,167 0.0%
IMCD Group NV 95,271 5,131,789 0.1%
KAS Bank NV 80,799 959,936 0.0%
Kendrion NV 70,032 2,500,054 0.1%
Koninklijke BAM Groep NV 1,428,494 8,041,618 0.2%
Koninklijke Vopak NV 180,802 8,159,257 0.2%
Nederland Apparatenfabriek 27,865 1,165,725 0.0%
#* OCI NV 433,084 8,427,161 0.2%
#* Ordina NV 866,273 1,501,790 0.0%
PostNL NV 2,530,275 12,537,278 0.3%
Refresco Group NV 119,571 2,335,896 0.1%
SBM Offshore NV 1,047,830 17,262,169 0.4%
Sligro Food Group NV 140,022 5,694,806 0.1%
* Telegraaf Media Groep NV 170,034 1,148,238 0.0%
TKH Group NV 223,860 10,289,787 0.2%
* TomTom NV 791,907 8,051,490 0.2%
Van Lanschot NV 44,768 1,216,639 0.0%
# Wessanen 469,148 7,008,258 0.1%
------------ ----
TOTAL NETHERLANDS 257,561,846 5.2%
------------ ----
NORWAY -- (2.2%)
# ABG Sundal Collier Holding ASA 1,838,947 1,202,096 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
NORWAY -- (Continued)
AF Gruppen ASA 29,505 $ 525,723 0.0%
#* Akastor ASA 964,521 1,421,691 0.0%
Aker ASA Class A 53,284 2,023,334 0.0%
Aker BP ASA 57,747 977,719 0.0%
* Aker Solutions ASA 817,278 4,654,704 0.1%
American Shipping Co. ASA 214,376 679,287 0.0%
Arendals Fossekompani A.S. 90 27,190 0.0%
# Atea ASA 405,805 4,907,871 0.1%
Austevoll Seafood ASA 517,682 4,163,804 0.1%
Avance Gas Holding, Ltd. 311,387 879,550 0.0%
#* Axactor AB 5,455,611 1,572,365 0.0%
# Bakkafrost P/F 211,039 7,150,090 0.2%
#* Biotec Pharmacon ASA 139,685 130,635 0.0%
Bonheur ASA 140,320 1,221,747 0.0%
Borregaard ASA 514,398 5,778,967 0.1%
# BW LPG, Ltd. 452,895 1,992,566 0.0%
#* BW Offshore, Ltd. 863,791 2,218,434 0.1%
* Deep Sea Supply P.L.C. 254,547 36,409 0.0%
#* DNO ASA 3,249,546 2,736,231 0.1%
#* DOF ASA 1,559,222 167,134 0.0%
Ekornes ASA 111,584 1,753,274 0.0%
Entra ASA 130,695 1,499,242 0.0%
#* Fred Olsen Energy ASA 175,763 412,996 0.0%
# Frontline, Ltd. 309,491 2,058,592 0.0%
#* Funcom NV 835,906 224,882 0.0%
Grieg Seafood ASA 283,728 2,234,212 0.1%
#* Hexagon Composites ASA 437,202 1,387,488 0.0%
Hoegh LNG Holdings, Ltd. 264,481 2,706,444 0.1%
* Kongsberg Automotive ASA 2,171,519 1,587,532 0.0%
# Kongsberg Gruppen ASA 94,815 1,479,205 0.0%
* Kvaerner ASA 1,616,475 2,104,666 0.1%
#* NEL ASA 956,142 251,468 0.0%
#* Nordic Semiconductor ASA 703,953 2,811,528 0.1%
#* Norske Skogindustrier ASA 1,270,388 140,673 0.0%
#* Norwegian Air Shuttle ASA 154,653 4,392,649 0.1%
* Norwegian Finans Holding ASA 117,942 938,285 0.0%
Norwegian Property ASA 44,590 52,572 0.0%
# Ocean Yield ASA 245,342 1,840,848 0.0%
* Odfjell Drilling, Ltd. 124,884 261,257 0.0%
* Odfjell SE Class A 134,257 529,339 0.0%
Olav Thon Eiendomsselskap ASA 115,054 2,257,922 0.1%
Opera Software ASA 514,924 2,328,211 0.1%
#* Petroleum Geo-Services ASA 1,952,682 4,574,877 0.1%
#* PhotoCure ASA 65,557 282,730 0.0%
#* Prosafe SE 84,834 337,664 0.0%
# Protector Forsikring ASA 311,515 2,592,717 0.1%
#* Q-Free ASA 179,836 177,022 0.0%
#* REC Silicon ASA 14,281,005 1,782,869 0.0%
# Scatec Solar ASA 372,800 1,688,546 0.0%
#* Seadrill, Ltd. 463,580 315,125 0.0%
Selvaag Bolig ASA 147,132 608,543 0.0%
#* Sevan Marine ASA 124,800 210,456 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NORWAY -- (Continued)
#* Skandiabanken ASA 85,477 $ 764,336 0.0%
* Solon Eiendom ASA 3,712 9,623 0.0%
#* Solstad Offshore ASA 72,220 102,489 0.0%
#* Songa Offshore 176,473 613,294 0.0%
SpareBank 1 SMN 2,444 20,353 0.0%
SpareBank 1 SR-Bank ASA 273,852 2,159,915 0.1%
Stolt-Nielsen, Ltd. 138,650 2,143,182 0.1%
Storebrand ASA 107,455 708,038 0.0%
# TGS Nopec Geophysical Co. ASA 351,607 7,665,436 0.2%
Tomra Systems ASA 647,834 7,519,351 0.2%
Treasure ASA 300,823 550,605 0.0%
Veidekke ASA 427,078 5,686,831 0.1%
* Wallenius Wilhelmsen Logistics 306,364 1,551,771 0.0%
Wilh Wilhelmsen Holding ASA Class A 64,230 1,784,803 0.0%
# XXL ASA 280,430 3,019,358 0.1%
------------ ---
TOTAL NORWAY 124,590,766 2.5%
------------ ---
PORTUGAL -- (0.9%)
Altri SGPS SA 577,518 2,696,797 0.1%
* Banco Comercial Portugues SA Class R 67,212,193 15,016,017 0.3%
CTT-Correios de Portugal SA 692,539 3,952,823 0.1%
EDP Renovaveis SA 182,845 1,393,393 0.0%
Ibersol SGPS SA 24,481 385,919 0.0%
Mota-Engil SGPS SA 850,092 2,161,675 0.1%
Navigator Co. SA (The) 2,010,412 8,506,442 0.2%
NOS SGPS SA 1,118,059 6,404,243 0.1%
Novabase SGPS SA 65,729 228,032 0.0%
# REN - Redes Energeticas Nacionais SGPS SA 1,367,832 4,020,620 0.1%
Semapa-Sociedade de Investimento e Gestao 119,886 1,880,482 0.0%
Sonae Capital SGPS SA 413,607 383,321 0.0%
* Sonae SGPS SA 5,062,165 5,193,938 0.1%
Teixeira Duarte SA 710,639 213,582 0.0%
------------ ---
TOTAL PORTUGAL 52,437,284 1.1%
------------ ---
SPAIN -- (5.2%)
Acciona SA 159,524 13,160,824 0.3%
Acerinox SA 884,614 12,323,009 0.3%
# Adveo Group International SA 104,096 432,237 0.0%
Alantra Partners SA 20,438 256,279 0.0%
Almirall SA 323,958 5,848,982 0.1%
#* Amper SA 3,820,823 1,038,645 0.0%
Applus Services SA 559,895 7,018,484 0.1%
Atresmedia Corp. de Medios de Comunicacion SA 447,811 5,616,245 0.1%
Azkoyen SA 64,022 498,053 0.0%
#* Banco Popular Espanol SA 1,713,211 1,198,783 0.0%
* Baron de Ley 13,360 1,635,382 0.0%
# Bolsas y Mercados Espanoles SHMSF SA 410,153 14,677,792 0.3%
Cellnex Telecom SA 578,540 10,211,605 0.2%
Cia de Distribucion Integral Logista Holdings SA 202,858 4,843,415 0.1%
Cie Automotive SA 249,123 5,355,283 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SPAIN -- (Continued)
Clinica Baviera SA 3,698 $ 41,417 0.0%
Construcciones y Auxiliar de Ferrocarriles SA 91,240 3,667,849 0.1%
#* Deoleo SA 1,441,512 290,992 0.0%
# Distribuidora Internacional de Alimentacion SA 2,929,226 17,416,578 0.4%
#* Duro Felguera SA 489,623 585,987 0.0%
Ebro Foods SA 366,900 8,194,899 0.2%
* eDreams ODIGEO SA 287,020 990,490 0.0%
Elecnor SA 192,862 2,101,461 0.0%
Ence Energia y Celulosa SA 1,037,062 3,692,589 0.1%
* Ercros SA 793,700 2,361,879 0.1%
Euskaltel SA 270,250 2,742,587 0.1%
Faes Farma SA 1,444,899 5,184,920 0.1%
Fluidra SA 184,243 1,164,418 0.0%
#* Fomento de Construcciones y Contratas SA 82,808 766,888 0.0%
Gamesa Corp. Tecnologica SA 1,203,576 25,957,211 0.5%
Grupo Catalana Occidente SA 215,725 8,367,301 0.2%
* Grupo Empresarial San Jose SA 91,203 322,955 0.0%
#* Grupo Ezentis SA 1,075,120 801,909 0.0%
Iberpapel Gestion SA 40,965 1,343,752 0.0%
* Indra Sistemas SA 634,104 8,678,014 0.2%
Inmobiliaria Colonial SA 1,325,083 10,274,883 0.2%
Inmobiliaria del Sur SA 2,902 31,648 0.0%
# Laboratorios Farmaceuticos Rovi SA 68,607 1,136,564 0.0%
* Liberbank SA 2,210,127 2,951,680 0.1%
Mediaset Espana Comunicacion SA 965,451 13,300,588 0.3%
Melia Hotels International SA 459,423 6,812,482 0.1%
Miquel y Costas & Miquel SA 71,020 2,196,849 0.1%
* NH Hotel Group SA 1,249,728 6,463,756 0.1%
# Obrascon Huarte Lain SA 747,423 3,262,503 0.1%
Papeles y Cartones de Europa SA 286,581 2,150,989 0.0%
* Pharma Mar SA 1,043,839 4,001,539 0.1%
Prim SA 39,424 417,731 0.0%
#* Promotora de Informaciones SA Class A 284,300 1,012,896 0.0%
Prosegur Cia de Seguridad SA 1,400,764 9,144,422 0.2%
#* Quabit Inmobiliaria SA 312,740 668,513 0.0%
* Realia Business SA 755,842 801,003 0.0%
#* Sacyr SA 1,764,573 4,414,217 0.1%
Saeta Yield SA 169,421 1,672,816 0.0%
#* Solaria Energia y Medio Ambiente SA 276,000 305,113 0.0%
#* Talgo SA 429,686 2,578,940 0.1%
Tecnicas Reunidas SA 189,544 7,490,775 0.2%
# Tubacex SA 655,565 2,087,162 0.0%
#* Tubos Reunidos SA 546,112 644,739 0.0%
Vidrala SA 82,427 4,835,606 0.1%
# Viscofan SA 229,641 13,726,041 0.3%
#* Vocento SA 231,302 405,195 0.0%
Zardoya Otis SA 748,923 6,930,739 0.1%
------------ ---
TOTAL SPAIN 288,508,503 5.8%
------------ ---
SWEDEN -- (7.2%)
# AAK AB 121,469 8,693,787 0.2%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWEDEN -- (Continued)
Acando AB 483,962 $ 1,752,725 0.0%
* AddLife AB 77,913 1,480,658 0.0%
AddNode Group AB 22,737 194,823 0.0%
AddTech AB Class B 286,743 5,162,335 0.1%
AF AB Class B 305,024 6,427,748 0.1%
# Alimak Group AB 4,498 68,238 0.0%
#* Anoto Group AB 4,862,822 96,587 0.0%
* Arise AB 36,861 64,881 0.0%
# Atrium Ljungberg AB Class B 107,861 1,784,106 0.0%
Attendo AB 15,913 162,581 0.0%
# Avanza Bank Holding AB 113,673 4,562,278 0.1%
B&B Tools AB Class B 135,011 3,092,874 0.1%
* BE Group AB 1,335 9,164 0.0%
Beijer Alma AB 115,281 3,271,093 0.1%
#* Beijer Electronics AB 53,995 255,917 0.0%
Beijer Ref AB 71,389 1,800,186 0.0%
Betsson AB 526,477 4,497,071 0.1%
Bilia AB Class A 317,389 6,358,557 0.1%
BillerudKorsnas AB 76,671 1,228,294 0.0%
BioGaia AB Class B 87,071 3,508,759 0.1%
#* BioInvent International AB 515,778 140,424 0.0%
Biotage AB 305,541 1,742,884 0.0%
# Bjorn Borg AB 82,051 332,392 0.0%
Bonava AB 9,670 154,832 0.0%
Bonava AB Class B 206,417 3,337,471 0.1%
Bufab AB 14,054 168,408 0.0%
Bulten AB 85,567 1,218,023 0.0%
Bure Equity AB 316,106 3,908,669 0.1%
# Byggmax Group AB 346,266 2,334,846 0.1%
# Catena AB 59,559 877,224 0.0%
# Cavotec SA 16,457 49,754 0.0%
Clas Ohlson AB Class B 191,594 3,178,505 0.1%
Cloetta AB Class B 1,427,544 5,766,701 0.1%
* Collector AB 12,446 137,241 0.0%
Com Hem Holding AB 371,962 4,628,042 0.1%
Concentric AB 278,860 4,599,994 0.1%
# Concordia Maritime AB Class B 100,760 155,347 0.0%
Coor Service Management Holding AB 9,462 59,259 0.0%
Corem Property Group AB Class B 2,296 10,389 0.0%
Dedicare AB Class B 8,570 135,528 0.0%
Dios Fastigheter AB 457,418 2,344,512 0.1%
Doro AB 151,342 999,389 0.0%
Duni AB 206,724 2,927,108 0.1%
# Dustin Group AB 166,899 1,379,810 0.0%
East Capital Explorer AB 65,960 554,689 0.0%
# Elanders AB Class B 15,657 185,931 0.0%
Elekta AB Class B 293,263 3,061,746 0.1%
# Eltel AB 76,853 500,310 0.0%
Enea AB 63,008 599,295 0.0%
eWork Group AB 12,396 148,301 0.0%
Fabege AB 651,224 11,214,061 0.2%
# Fagerhult AB 64,568 2,665,543 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWEDEN -- (Continued)
# Fenix Outdoor International AG 9,962 $ 966,513 0.0%
#* Fingerprint Cards AB Class B 65,897 262,363 0.0%
Granges AB 420,141 4,362,676 0.1%
Gunnebo AB 171,567 943,026 0.0%
Haldex AB 218,762 2,934,034 0.1%
Heba Fastighets AB Class B 42,288 542,942 0.0%
Hemfosa Fastigheter AB 681,330 6,312,750 0.1%
Hexpol AB 659,586 7,327,759 0.2%
HIQ International AB 297,368 2,032,355 0.1%
HMS Networks AB 6,593 302,171 0.0%
# Hoist Finance AB 121,616 1,143,996 0.0%
Holmen AB Class B 264,932 11,163,707 0.2%
Hufvudstaden AB Class A 235,964 3,696,968 0.1%
# Indutrade AB 410,439 9,694,421 0.2%
# Intrum Justitia AB 389,858 15,486,805 0.3%
Inwido AB 241,301 3,465,027 0.1%
ITAB Shop Concept AB Class B 88,092 698,888 0.0%
# JM AB 392,486 13,809,109 0.3%
KappAhl AB 378,763 2,188,808 0.1%
#* Karo Pharma AB 212,845 837,903 0.0%
# Kindred Group P.L.C. 1,251,492 12,968,859 0.3%
# Klovern AB Class B 2,268,287 2,389,024 0.1%
KNOW IT AB 82,138 1,209,604 0.0%
# Kungsleden AB 1,024,206 5,734,276 0.1%
Lagercrantz Group AB Class B 290,867 3,173,520 0.1%
Lifco AB Class B 44,144 1,344,403 0.0%
Lindab International AB 407,193 3,719,628 0.1%
# Loomis AB Class B 362,523 13,162,701 0.3%
#* Medivir AB Class B 157,280 1,215,681 0.0%
# Mekonomen AB 149,584 2,965,394 0.1%
Modern Times Group MTG AB Class B 319,844 10,429,033 0.2%
# MQ Holding AB 190,110 720,694 0.0%
# Mycronic AB 464,036 4,582,344 0.1%
NCC AB Class B 511,468 13,588,290 0.3%
# Nederman Holding AB 4,621 136,188 0.0%
* Net Insight AB Class B 735,492 709,927 0.0%
NetEnt AB 953,177 7,352,327 0.2%
New Wave Group AB Class B 274,794 1,946,786 0.0%
Nobia AB 745,291 7,707,411 0.2%
Nobina AB 205,684 1,253,921 0.0%
# Nolato AB Class B 160,173 5,098,678 0.1%
# OEM International AB Class B 44,190 1,057,980 0.0%
Opus Group AB 1,178,318 937,924 0.0%
#* Orexo AB 6,681 20,730 0.0%
Oriflame Holding AG 227,203 9,312,080 0.2%
Pandox AB 44,731 751,259 0.0%
Peab AB 876,860 9,576,046 0.2%
Pricer AB Class B 811,833 935,041 0.0%
Proact IT Group AB 49,605 1,063,427 0.0%
Probi AB 14,468 725,452 0.0%
#* Qliro Group AB 633,392 900,541 0.0%
# Ratos AB Class B 1,328,043 6,228,349 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SWEDEN -- (Continued)
RaySearch Laboratories AB 110,526 $ 2,774,944 0.1%
# Recipharm AB Class B 142,808 1,974,551 0.0%
Rezidor Hotel Group AB 426,060 1,587,314 0.0%
Rottneros AB 323,465 303,161 0.0%
Saab AB Class B 31,972 1,584,269 0.0%
Sagax AB Class B 108,975 1,132,148 0.0%
#* SAS AB 738,160 1,216,673 0.0%
# Scandi Standard AB 215,392 1,294,023 0.0%
* Scandic Hotels Group AB 28,132 316,699 0.0%
Sectra AB Class B 58,461 1,071,746 0.0%
Semcon AB 100,425 724,009 0.0%
#* Sensys Gatso Group AB 1,035,356 123,797 0.0%
SkiStar AB 118,781 2,541,741 0.1%
#* SSAB AB Class A(BPRBWK4) 189,016 823,309 0.0%
* SSAB AB Class A(B17H0S8) 1,081,113 4,703,344 0.1%
#* SSAB AB Class B(BPRBWM6) 1,131,651 4,023,796 0.1%
* SSAB AB Class B(B17H3F6) 2,535,211 8,994,583 0.2%
# Sweco AB Class B 326,793 8,101,074 0.2%
Swedol AB Class B 73,157 250,266 0.0%
Systemair AB 56,341 1,000,991 0.0%
# Thule Group AB (The) 333,497 5,780,630 0.1%
VBG Group AB Class B 1,216 17,951 0.0%
# Victoria Park AB Class B 391,297 1,090,925 0.0%
Vitrolife AB 71,728 4,086,677 0.1%
# Wallenstam AB Class B 906,444 7,723,554 0.2%
# Wihlborgs Fastigheter AB 342,126 6,664,477 0.1%
------------ ---
TOTAL SWEDEN 404,985,681 8.2%
------------ ---
SWITZERLAND -- (10.8%)
Allreal Holding AG 62,208 10,703,356 0.2%
* Alpiq Holding AG 6,898 512,373 0.0%
ALSO Holding AG 23,641 2,972,428 0.1%
# ams AG 372,640 23,973,214 0.5%
APG SGA SA 7,581 3,626,207 0.1%
* Arbonia AG 189,337 3,521,100 0.1%
# Aryzta AG 368,607 11,967,134 0.2%
# Ascom Holding AG 210,467 3,976,969 0.1%
Autoneum Holding AG 16,300 4,817,139 0.1%
Bachem Holding AG Class B 23,344 2,783,318 0.1%
Baloise Holding AG 59,134 8,671,144 0.2%
Bank Coop AG 30,632 1,336,039 0.0%
Banque Cantonale de Geneve 8,078 1,258,132 0.0%
Banque Cantonale du Jura SA 4,442 260,158 0.0%
Banque Cantonale Vaudoise 11,753 8,514,963 0.2%
Belimo Holding AG 2,156 8,067,216 0.2%
Bell AG 4,955 2,128,694 0.0%
Bellevue Group AG 51,433 883,605 0.0%
# Berner Kantonalbank AG 23,094 4,390,507 0.1%
BFW Liegenschaften AG 620 28,354 0.0%
BKW AG 64,177 3,475,852 0.1%
Bobst Group SA 44,716 4,529,864 0.1%
Bossard Holding AG Class A 32,905 6,556,130 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWITZERLAND -- (Continued)
Bucher Industries AG 33,396 $10,766,876 0.2%
# Burckhardt Compression Holding AG 11,640 3,571,429 0.1%
Burkhalter Holding AG 20,988 3,164,011 0.1%
Calida Holding AG 25,084 994,394 0.0%
Carlo Gavazzi Holding AG 1,577 496,479 0.0%
Cembra Money Bank AG 131,985 11,259,966 0.2%
Cham Paper Holding AG 1,894 704,592 0.0%
* Cicor Technologies, Ltd. 6,925 268,323 0.0%
Cie Financiere Tradition SA 9,458 996,136 0.0%
Clariant AG 815,669 16,518,702 0.3%
Coltene Holding AG 20,595 1,759,154 0.0%
Conzzeta AG 6,400 6,326,467 0.1%
# Daetwyler Holding AG 37,940 6,421,208 0.1%
DKSH Holding AG 91,554 7,374,403 0.2%
dormakaba Holding AG 16,675 14,287,501 0.3%
Edmond de Rothschild Suisse SA 71 1,195,257 0.0%
# EFG International AG 420,368 2,670,897 0.1%
Emmi AG 12,810 9,353,191 0.2%
Energiedienst Holding AG 68,912 1,728,184 0.0%
#* Evolva Holding SA 1,077,319 595,827 0.0%
Feintool International Holding AG 7,642 971,503 0.0%
Flughafen Zuerich AG 104,871 23,111,210 0.5%
Forbo Holding AG 6,853 11,241,442 0.2%
GAM Holding AG 962,516 12,333,797 0.3%
Georg Fischer AG 22,511 21,227,134 0.4%
Gurit Holding AG 2,329 2,029,502 0.0%
Helvetia Holding AG 36,269 20,140,004 0.4%
# HOCHDORF Holding AG 5,428 1,664,205 0.0%
# Huber & Suhner AG 69,938 4,709,515 0.1%
Implenia AG 85,074 6,531,120 0.1%
Inficon Holding AG 9,382 4,926,916 0.1%
Interroll Holding AG 3,127 3,676,850 0.1%
Intershop Holding AG 8,065 3,884,757 0.1%
Jungfraubahn Holding AG 4,767 522,283 0.0%
Kardex AG 35,549 3,914,567 0.1%
Komax Holding AG 18,489 4,933,601 0.1%
Kudelski SA 195,049 3,383,339 0.1%
* Lastminute.com NV 6,959 100,067 0.0%
LEM Holding SA 3,773 3,856,604 0.1%
Liechtensteinische Landesbank AG 34,495 1,705,602 0.0%
Logitech International SA 708,858 23,690,881 0.5%
# Luzerner Kantonalbank AG 16,857 7,284,592 0.2%
# MCH Group AG 1,879 128,980 0.0%
Metall Zug AG Class B 888 3,489,750 0.1%
#* Meyer Burger Technology AG 2,370,456 1,953,873 0.0%
Mobilezone Holding AG 133,170 2,034,718 0.0%
Mobimo Holding AG 33,993 9,139,662 0.2%
# OC Oerlikon Corp. AG 929,429 11,166,384 0.2%
#* Orascom Development Holding AG 60,240 335,543 0.0%
# Orell Fuessli Holding AG 5,028 651,420 0.0%
Orior AG 29,509 2,263,489 0.1%
# Panalpina Welttransport Holding AG 63,044 8,338,868 0.2%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
SWITZERLAND -- (Continued)
# Phoenix Mecano AG 3,168 $ 1,682,654 0.0%
Plazza AG Class A 5,940 1,376,052 0.0%
PSP Swiss Property AG 201,709 18,084,267 0.4%
Rieter Holding AG 17,376 3,856,251 0.1%
Romande Energie Holding SA 2,625 3,400,785 0.1%
#* Schaffner Holding AG 2,950 835,897 0.0%
* Schmolz + Bickenbach AG 2,877,485 2,635,961 0.1%
Schweiter Technologies AG 4,581 5,505,586 0.1%
SFS Group AG 30,931 3,086,809 0.1%
Siegfried Holding AG 21,530 6,154,871 0.1%
St Galler Kantonalbank AG 11,780 5,115,571 0.1%
Sulzer AG 107,928 12,595,322 0.3%
Sunrise Communications Group AG 151,615 11,261,611 0.2%
Swiss Prime Site AG 139,414 12,086,296 0.2%
Swissquote Group Holding SA 45,894 1,264,321 0.0%
Tamedia AG 14,493 2,133,932 0.0%
Tecan Group AG 46,082 7,864,233 0.2%
Temenos Group AG 318,043 27,528,471 0.6%
Thurgauer Kantonalbank 659 61,795 0.0%
u-blox Holding AG 30,554 6,771,533 0.1%
Valiant Holding AG 89,304 10,251,067 0.2%
Valora Holding AG 15,777 5,414,476 0.1%
Vaudoise Assurances Holding SA 5,437 2,831,405 0.1%
Vetropack Holding AG 1,003 1,984,901 0.0%
* Von Roll Holding AG 250,484 279,528 0.0%
Vontobel Holding AG 136,975 8,076,113 0.2%
VP Bank AG 9,687 1,115,334 0.0%
VZ Holding AG 11,594 3,224,902 0.1%
Walliser Kantonalbank 16,716 1,399,597 0.0%
Walter Meier AG 22,913 1,022,311 0.0%
Ypsomed Holding AG 16,382 3,152,959 0.1%
# Zehnder Group AG 57,019 1,932,291 0.0%
# Zug Estates Holding AG Class B 645 1,134,431 0.0%
Zuger Kantonalbank AG 619 3,319,415 0.1%
-------------- -----
TOTAL SWITZERLAND 603,190,019 12.2%
-------------- -----
UNITED STATES -- (0.0%)
# Sapiens International Corp. NV 103,202 1,271,788 0.0%
-------------- -----
TOTAL COMMON STOCKS 4,894,017,335 98.6%
-------------- -----
PREFERRED STOCKS -- (0.7%)
GERMANY -- (0.7%)
Biotest AG 89,937 1,929,392 0.0%
Draegerwerk AG & Co. KGaA 33,986 3,719,739 0.1%
# Fuchs Petrolub SE 212,417 10,956,309 0.2%
Jungheinrich AG 245,511 8,548,736 0.2%
# Sartorius AG 117,258 10,735,201 0.2%
Sixt SE 65,621 2,931,702 0.1%
STO SE & Co. KGaA 8,021 921,295 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
GERMANY -- (Continued)
Villeroy & Boch AG 41,209 $ 866,270 0.0%
-------------- -----
TOTAL GERMANY 40,608,644 0.8%
-------------- -----
TOTAL PREFERRED STOCKS 40,608,644 0.8%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
* Intercell AG Rights 5/16/13 254,689 -- 0.0%
-------------- -----
FRANCE -- (0.0%)
* Maurel et prom Rights 12/31/00 844,597 -- 0.0%
-------------- -----
ITALY -- (0.0%)
#* d'Amico International Shipping SA Rights 5/18/17 830,428 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%
============== =====
THE CONTINENTAL 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
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
====== ============== ====== ==============
THE CANADIAN SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (85.0%)
Consumer Discretionary -- (8.4%)
Aimia, Inc. 884,417 $ 5,921,813 0.5%
#* Amaya, Inc. 529,592 9,408,158 0.8%
# AutoCanada, Inc. 184,038 3,165,607 0.3%
# BMTC Group, Inc. 17,481 162,894 0.0%
* BRP, Inc. 224,151 5,298,965 0.4%
Cara Operations, Ltd. 44,000 821,948 0.1%
# Cineplex, Inc. 355,683 14,000,108 1.1%
Cogeco Communications, Inc. 97,656 5,588,008 0.5%
Cogeco, Inc. 39,968 2,000,962 0.2%
Corus Entertainment, Inc. Class B 740,938 7,273,411 0.6%
DHX Media, Ltd.(BRF12N3) 363,010 1,529,107 0.1%
DHX Media, Ltd.(BRF12P5) 396,625 1,635,837 0.1%
Dorel Industries, Inc. Class B 180,980 4,348,664 0.4%
Enercare, Inc. 611,459 9,711,315 0.8%
# Gamehost, Inc. 52,673 399,374 0.0%
* Glacier Media, Inc. 171,625 81,723 0.0%
goeasy, Ltd. 32,033 745,532 0.1%
* Great Canadian Gaming Corp. 348,738 6,225,959 0.5%
# Hudson's Bay Co. 365,311 3,339,864 0.3%
* Indigo Books & Music, Inc. 2,402 28,154 0.0%
* Jackpotjoy P.L.C. 174,484 1,284,157 0.1%
Leon's Furniture, Ltd. 139,375 1,732,679 0.1%
Linamar Corp. 291,014 12,373,505 1.0%
Martinrea International, Inc. 520,956 3,976,676 0.3%
# MTY Food Group, Inc. 97,063 3,333,441 0.3%
# Pizza Pizza Royalty Corp. 159,012 2,069,992 0.2%
Reitmans Canada, Ltd. Class A 260,312 1,045,024 0.1%
#* Sears Canada, Inc. 50,217 51,503 0.0%
Sleep Country Canada Holdings, Inc. 97,100 2,511,704 0.2%
#* Spin Master Corp. 59,300 1,703,781 0.1%
Torstar Corp. Class B 393,289 498,436 0.0%
* TVA Group, Inc. Class B 7,000 17,025 0.0%
# Uni-Select, Inc. 222,970 5,908,080 0.5%
#* Yellow Pages, Ltd. 147,535 812,764 0.1%
Zenith Capital Corp. 111,820 6,635 0.0%
------------ ---
Total Consumer Discretionary 119,012,805 9.8%
------------ ---
Consumer Staples -- (4.3%)
AGT Food & Ingredients, Inc. 125,802 2,905,782 0.2%
Andrew Peller, Ltd. Class A 65,300 522,381 0.0%
Clearwater Seafoods, Inc. 90,557 701,874 0.1%
#* Colabor Group, Inc. 68,300 50,035 0.0%
Corby Spirit and Wine, Ltd. 71,267 1,161,636 0.1%
Cott Corp.(2228952) 701,676 9,231,970 0.8%
Cott Corp.(22163N106) 96,682 1,273,302 0.1%
High Liner Foods, Inc. 87,391 1,209,985 0.1%
Jean Coutu Group PJC, Inc. (The) Class A 416,976 6,824,104 0.6%
Lassonde Industries, Inc. Class A 2,600 454,783 0.0%
# Liquor Stores N.A., Ltd. 181,111 1,334,733 0.1%
Maple Leaf Foods, Inc. 510,145 12,769,975 1.1%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Consumer Staples -- (Continued)
* Neptune Technologies & Bioressources, Inc. 22,102 $ 21,858 0.0%
North West Co., Inc. (The) 300,936 7,098,743 0.6%
Premium Brands Holdings Corp. 156,662 9,805,649 0.8%
# Rogers Sugar, Inc. 559,523 2,549,528 0.2%
#* SunOpta, Inc. 377,650 2,774,865 0.2%
----------- ---
Total Consumer Staples 60,691,203 5.0%
----------- ---
Energy -- (18.0%)
* Advantage Oil & Gas, Ltd. 1,118,875 7,040,868 0.6%
#* Africa Oil Corp. 853,599 1,325,688 0.1%
AKITA Drilling, Ltd. Class A 40,600 258,760 0.0%
#* Athabasca Oil Corp. 2,807,297 2,838,042 0.2%
#* Baytex Energy Corp. 1,311,306 3,967,396 0.3%
#* Bellatrix Exploration, Ltd. 1,626,593 1,215,432 0.1%
Birchcliff Energy, Ltd. 1,092,635 5,611,056 0.5%
#* BlackPearl Resources, Inc. 1,472,701 1,305,423 0.1%
Bonavista Energy Corp. 1,393,041 2,928,851 0.2%
# Bonterra Energy Corp. 175,395 2,487,563 0.2%
#* Calfrac Well Services, Ltd. 860,615 2,187,710 0.2%
#* Canacol Energy, Ltd. 823,542 2,461,485 0.2%
Canadian Energy Services & Technology Corp. 782,242 3,696,173 0.3%
* Canyon Services Group, Inc. 510,766 2,368,520 0.2%
# Cardinal Energy, Ltd. 251,560 1,183,118 0.1%
#* Cequence Energy, Ltd. 863,916 155,056 0.0%
#* Chinook Energy, Inc. 496,199 125,408 0.0%
* Corridor Resources, Inc. 1,246 402 0.0%
* Crew Energy, Inc. 983,376 2,960,826 0.2%
#* Delphi Energy Corp. 979,039 961,073 0.1%
#* Denison Mines Corp. 3,011,382 1,544,242 0.1%
# Enbridge Income Fund Holdings, Inc. 472,655 11,599,533 1.0%
Enerflex, Ltd. 541,758 7,635,928 0.6%
#* Energy Fuels, Inc. 378,396 659,743 0.1%
Enerplus Corp. 511,959 3,694,221 0.3%
Ensign Energy Services, Inc. 801,627 4,457,235 0.4%
#* Epsilon Energy, Ltd. 312,073 715,570 0.1%
* Essential Energy Services Trust 929,741 415,473 0.0%
* Fission Uranium Corp. 1,045,500 474,862 0.0%
# Freehold Royalties, Ltd. 564,872 5,611,270 0.5%
* GASFRAC Energy Services, Inc. 91,560 9 0.0%
* Gear Energy, Ltd. 291,000 181,202 0.0%
Gibson Energy, Inc. 702,339 9,523,677 0.8%
* Gran Tierra Energy, Inc. 2,753,450 6,938,843 0.6%
# Granite Oil Corp. 212,708 804,053 0.1%
#* Kelt Exploration, Ltd. 933,040 4,593,259 0.4%
#* Laramide Resources, Ltd. 22,000 8,219 0.0%
#* MEG Energy Corp. 1,362,856 6,170,067 0.5%
Mullen Group, Ltd. 601,981 6,601,704 0.5%
#* Newalta Corp. 594,698 893,103 0.1%
North American Energy Partners, Inc. 145,834 696,559 0.1%
# Northern Blizzard Resources, Inc. 201,200 498,191 0.0%
* NuVista Energy, Ltd. 1,079,026 4,861,368 0.4%
#* Painted Pony Petroleum, Ltd. 609,461 2,232,376 0.2%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
#* Paramount Resources, Ltd. Class A 323,242 $ 4,125,033 0.3%
* Parex Resources, Inc. 855,191 10,619,016 0.9%
# Parkland Fuel Corp. 530,725 11,547,220 1.0%
Pason Systems, Inc. 356,252 5,290,083 0.4%
#* Pengrowth Energy Corp. 3,100,994 2,975,937 0.2%
#* Penn West Petroleum, Ltd. 3,762,726 5,650,773 0.5%
* Perpetual Energy, Inc. 41,575 49,035 0.0%
* Petrus Resources, Ltd. 19,582 32,850 0.0%
Peyto Exploration & Development Corp. 32,200 585,948 0.0%
#* PHX Energy Services Corp. 241,574 564,537 0.0%
#* Pine Cliff Energy, Ltd. 476,200 258,150 0.0%
* Precision Drilling Corp. 1,924,403 7,655,037 0.6%
#* Pulse Seismic, Inc. 279,839 526,857 0.0%
* Questerre Energy Corp. Class A 764,460 392,016 0.0%
* Raging River Exploration, Inc. 1,094,651 6,391,245 0.5%
#* RMP Energy, Inc. 982,111 589,964 0.1%
#* Savanna Energy Services Corp. 520,779 721,052 0.1%
# Secure Energy Services, Inc. 983,536 6,405,359 0.5%
ShawCor, Ltd. 269,381 6,758,946 0.6%
#* Spartan Energy Corp. 2,422,043 4,045,462 0.3%
* Strad Energy Services, Ltd. 39,947 40,677 0.0%
# Surge Energy, Inc. 1,968,637 3,663,117 0.3%
#* Tamarack Valley Energy, Ltd. 615,983 1,173,258 0.1%
# TORC Oil & Gas, Ltd. 1,005,112 4,373,734 0.4%
Total Energy Services, Inc. 181,978 1,813,048 0.2%
#* TransGlobe Energy Corp. 448,945 657,771 0.1%
#* Trican Well Service, Ltd. 991,038 2,722,532 0.2%
* Trilogy Energy Corp. 387,642 1,260,855 0.1%
* Trinidad Drilling, Ltd. 1,523,484 2,388,378 0.2%
Veresen, Inc. 1,597,192 17,820,032 1.5%
#* Western Energy Services Corp. 521,097 771,119 0.1%
# Whitecap Resources, Inc. 2,075,112 14,684,870 1.2%
* Xtreme Drilling Corp. 232,519 398,589 0.0%
* Yangarra Resources, Ltd. 325,700 603,656 0.1%
# ZCL Composites, Inc. 168,027 1,815,610 0.2%
------------ ----
Total Energy 255,261,323 21.1%
------------ ----
Financials -- (5.1%)
# AGF Management, Ltd. Class B 457,869 2,287,584 0.2%
# Alaris Royalty Corp. 185,916 2,965,013 0.2%
# Callidus Capital Corp. 86,620 1,089,532 0.1%
* Canaccord Genuity Group, Inc. 728,178 2,715,231 0.2%
# Canadian Western Bank 519,727 10,215,212 0.8%
# Chesswood Group, Ltd. 67,242 677,814 0.1%
Clairvest Group, Inc. 1,900 48,020 0.0%
# Clarke, Inc. 17,242 138,941 0.0%
E-L Financial Corp., Ltd. 3,378 2,021,776 0.2%
# Echelon Financial Holdings, Inc. 14,650 133,509 0.0%
ECN Capital Corp. 1,412,506 3,849,326 0.3%
# Equitable Group, Inc. 68,106 1,820,584 0.1%
* Equity Financial Holdings, Inc. 800 4,571 0.0%
Fiera Capital Corp. 224,637 2,343,380 0.2%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
# Firm Capital Mortgage Investment Corp. 103,718 $ 990,793 0.1%
# First National Financial Corp. 92,437 1,558,167 0.1%
# Genworth MI Canada, Inc. 317,380 7,881,896 0.7%
Gluskin Sheff + Associates, Inc. 200,196 2,490,259 0.2%
* GMP Capital, Inc. 294,287 735,152 0.1%
Guardian Capital Group, Ltd. Class A 35,497 704,453 0.1%
# Home Capital Group, Inc. 350,158 2,062,394 0.2%
* Kingsway Financial Services, Inc. 13,070 73,152 0.0%
Laurentian Bank of Canada 221,646 9,066,857 0.7%
# Sprott, Inc. 1,434,588 2,469,712 0.2%
#* Street Capital Group, Inc. 120,227 114,498 0.0%
# Timbercreek Financial Corp. 186,000 1,222,241 0.1%
TMX Group, Ltd. 229,180 12,947,776 1.1%
----------- ---
Total Financials 72,627,843 6.0%
----------- ---
Health Care -- (1.7%)
# Concordia International Corp.(BDD7WR9) 47,100 58,657 0.0%
Concordia International Corp.(20653P102) 65,542 82,583 0.0%
* CRH Medical Corp. 445,496 2,620,661 0.2%
# Extendicare, Inc. 582,271 4,261,300 0.4%
* Knight Therapeutics, Inc. 689,925 5,362,517 0.4%
# Medical Facilities Corp. 190,169 2,266,620 0.2%
#* Merus Labs International, Inc. 452,145 351,103 0.0%
* Novelion Therapeutics, Inc. 43,802 446,026 0.0%
# Sienna Senior Living, Inc. 295,115 3,714,205 0.3%
* Theratechnologies, Inc. 382,901 1,854,127 0.2%
* Valeant Pharmaceuticals International, Inc. 385,779 3,575,037 0.3%
----------- ---
Total Health Care 24,592,836 2.0%
----------- ---
Industrials -- (10.5%)
Aecon Group, Inc. 408,101 4,840,229 0.4%
# Ag Growth International, Inc. 92,771 3,767,112 0.3%
* Air Canada 371,000 3,530,486 0.3%
Algoma Central Corp. 31,090 282,874 0.0%
* ATS Automation Tooling Systems, Inc. 522,530 4,983,950 0.4%
# Badger Daylighting, Ltd. 225,381 5,362,716 0.4%
* Ballard Power Systems, Inc. 32,234 105,554 0.0%
# Bird Construction, Inc. 215,433 1,504,030 0.1%
# Black Diamond Group, Ltd. 293,541 832,207 0.1%
# CanWel Building Materials Group, Ltd. 195,322 847,080 0.1%
# Cargojet, Inc. 17,649 559,834 0.1%
# Cervus Equipment Corp. 37,897 341,755 0.0%
* DIRTT Environmental Solutions 276,668 1,341,740 0.1%
# Exchange Income Corp. 113,984 2,926,735 0.2%
Exco Technologies, Ltd. 160,315 1,329,450 0.1%
Finning International, Inc. 552,678 10,510,619 0.9%
* GDI Integrated Facility Services, Inc. 700 8,666 0.0%
* Heroux-Devtek, Inc. 163,554 1,442,577 0.1%
* HNZ Group, Inc. 23,088 231,548 0.0%
# Horizon North Logistics, Inc. 757,844 938,249 0.1%
#* IBI Group, Inc. 52,500 271,529 0.0%
# K-Bro Linen, Inc. 36,853 1,065,053 0.1%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
Logistec Corp. Class B 300 $ 8,132 0.0%
#* Lumenpulse, Inc. 11,600 179,135 0.0%
MacDonald Dettwiler & Associates, Ltd. 196,107 9,682,877 0.8%
Magellan Aerospace Corp. 87,376 1,312,192 0.1%
# Morneau Shepell, Inc. 288,411 4,257,340 0.4%
#* NAPEC, Inc. 53,200 44,819 0.0%
New Flyer Industries, Inc. 254,471 9,479,397 0.8%
Richelieu Hardware, Ltd. 275,155 6,123,738 0.5%
Rocky Mountain Dealerships, Inc. 94,455 671,194 0.1%
Russel Metals, Inc. 364,455 6,989,804 0.6%
Savaria Corp. 48,100 502,124 0.0%
# Stantec, Inc.(2854238) 641,429 16,460,392 1.4%
Stantec, Inc.(85472N109) 3,715 95,104 0.0%
# Stuart Olson, Inc. 119,359 470,423 0.0%
# Student Transportation, Inc. 518,910 3,082,935 0.3%
TFI International, Inc. 524,953 11,429,327 0.9%
Toromont Industries, Ltd. 426,913 15,186,913 1.3%
Transcontinental, Inc. Class A 404,976 7,224,033 0.6%
Wajax Corp. 126,038 2,255,674 0.2%
WestJet Airlines, Ltd. 6,379 105,518 0.0%
#* Westport Fuel Systems, Inc. 17,150 23,243 0.0%
Westshore Terminals Investment Corp. 342,649 5,991,745 0.5%
------------ ----
Total Industrials 148,600,052 12.3%
------------ ----
Information Technology -- (4.5%)
* 5N Plus, Inc. 359,429 513,451 0.0%
# Absolute Software Corp. 234,888 1,328,402 0.1%
#* Avigilon Corp. 248,994 2,936,745 0.2%
Calian Group, Ltd. 27,355 544,074 0.1%
* Celestica, Inc.(2263362) 698,843 9,957,508 0.8%
* Celestica, Inc.(15101Q108) 36,408 518,814 0.1%
# Computer Modelling Group, Ltd. 438,752 3,471,317 0.3%
* Descartes Systems Group, Inc. (The) 405,356 9,354,027 0.8%
DH Corp. 431,732 8,030,237 0.7%
Enghouse Systems, Ltd. 113,857 4,992,009 0.4%
Evertz Technologies, Ltd. 159,053 1,969,156 0.2%
#* EXFO, Inc. 58,187 268,119 0.0%
* Halogen Software, Inc. 3,200 29,233 0.0%
* Kinaxis, Inc. 92,672 5,556,722 0.5%
# Mediagrif Interactive Technologies, Inc. 16,170 183,016 0.0%
* Mitel Networks Corp. 548,724 3,879,114 0.3%
* Points International, Ltd.(2556879) 36,359 324,156 0.0%
* Points International, Ltd.(730843208) 3,323 29,541 0.0%
Pure Technologies, Ltd. 133,445 440,890 0.0%
# Sandvine Corp. 1,088,669 2,536,147 0.2%
#* Sierra Wireless, Inc.(2418968) 180,247 4,560,808 0.4%
* Sierra Wireless, Inc.(826516106) 10,722 271,267 0.0%
#* Solium Capital, Inc. 108,306 633,944 0.1%
#* UrtheCast Corp. 423,414 496,291 0.0%
Vecima Networks, Inc. 6,059 48,049 0.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Information Technology -- (Continued)
Wi-LAN, Inc. 780,333 $ 1,566,325 0.1%
----------- ---
Total Information Technology 64,439,362 5.3%
----------- ---
Materials -- (24.9%)
Acadian Timber Corp. 54,938 727,248 0.1%
# AirBoss of America Corp. 96,462 876,253 0.1%
#* Alacer Gold Corp. 1,660,148 2,626,951 0.2%
# Alamos Gold, Inc. Class A 1,807,660 12,937,870 1.1%
#* Almaden Minerals, Ltd. Class B 38,344 56,180 0.0%
# Altius Minerals Corp. 182,600 1,614,580 0.1%
* Americas Silver Corp. 120,008 351,660 0.0%
#* Amerigo Resources, Ltd. 212,000 96,289 0.0%
* Argonaut Gold, Inc. 923,902 1,489,018 0.1%
#* Asanko Gold, Inc. 800,944 1,942,145 0.2%
* AuRico Metals, Inc. 769,483 625,711 0.1%
* B2Gold Corp. 5,693,373 14,305,900 1.2%
* Banro Corp. 184,289 22,276 0.0%
Caledonia Mining Corp. P.L.C. 2,700 3,600 0.0%
# Canam Group, Inc. 266,196 2,373,250 0.2%
* Canfor Corp. 483,970 7,268,148 0.6%
Canfor Pulp Products, Inc. 208,715 1,808,797 0.1%
* Capstone Mining Corp. 3,258,255 2,530,127 0.2%
Cascades, Inc. 482,793 5,814,525 0.5%
Centerra Gold, Inc. 1,347,235 6,957,993 0.6%
#* China Gold International Resources Corp., Ltd. 1,522,561 2,264,239 0.2%
#* Continental Gold, Inc. 818,900 1,847,707 0.2%
#* Copper Mountain Mining Corp. 909,230 599,470 0.0%
* Detour Gold Corp. 230,900 2,917,860 0.2%
Dominion Diamond Corp.(B95LX89) 554,107 6,734,285 0.6%
Dominion Diamond Corp.(257287102) 20,700 251,712 0.0%
#* Dundee Precious Metals, Inc. 993,622 1,987,171 0.2%
#* Eastern Platinum, Ltd. 141,236 31,557 0.0%
#* Eastmain Resources, Inc. 104,500 36,746 0.0%
* EcoSynthetix, Inc. 1,500 2,681 0.0%
Eldorado Gold Corp. 4,259,785 15,571,830 1.3%
* Endeavour Mining Corp. 382,538 6,310,939 0.5%
* Endeavour Silver Corp. 43,561 133,391 0.0%
#* Exeter Resource Corp. 4,111 6,836 0.0%
#* First Majestic Silver Corp. 956,624 7,778,857 0.6%
* Fortress Paper, Ltd. Class A 16,706 94,236 0.0%
* Fortuna Silver Mines, Inc. 876,406 4,025,542 0.3%
#* Golden Star Resources, Ltd. 2,138,727 1,535,440 0.1%
#* Great Panther Silver, Ltd. 760,101 952,180 0.1%
* Guyana Goldfields, Inc. 893,244 4,430,066 0.4%
HudBay Minerals, Inc. 1,487,005 8,878,130 0.7%
* IAMGOLD Corp. 2,772,941 11,457,007 0.9%
#* Imperial Metals Corp. 272,960 1,213,778 0.1%
* Interfor Corp. 454,208 6,708,057 0.6%
* International Tower Hill Mines, Ltd. 13,001 6,572 0.0%
Intertape Polymer Group, Inc. 377,577 6,666,134 0.6%
#* Ivanhoe Mines, Ltd. Class A 2,184,189 7,664,382 0.6%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
* Kirkland Lake Gold, Ltd. 953,173 $ 6,598,648 0.5%
* Klondex Mines, Ltd. 871,669 3,116,182 0.3%
Labrador Iron Ore Royalty Corp. 394,356 5,122,107 0.4%
Lucara Diamond Corp. 1,407,865 3,248,800 0.3%
* Lundin Gold, Inc. 23,100 99,842 0.0%
Lundin Mining Corp. 1,179,505 6,290,463 0.5%
* Lydian International, Ltd. 91,514 22,794 0.0%
* Major Drilling Group International, Inc. 572,212 3,173,250 0.3%
Mandalay Resources Corp. 1,371,135 572,541 0.0%
Methanex Corp.(59151K108) 92,958 4,266,772 0.4%
Methanex Corp.(2654416) 188,866 8,679,216 0.7%
#* Midas Gold Corp. 293,884 167,928 0.0%
* Nautilus Minerals, Inc. 227,078 42,420 0.0%
Nevsun Resources, Ltd. 1,817,570 4,034,458 0.3%
* New Gold, Inc. 2,843,983 8,062,865 0.7%
Norbord, Inc. 235,880 7,302,510 0.6%
#* Northern Dynasty Minerals, Ltd. 148,624 236,265 0.0%
OceanaGold Corp. 3,690,660 12,031,381 1.0%
* Orbite Technologies, Inc. 73,500 12,653 0.0%
# Osisko Gold Royalties, Ltd. 656,728 6,995,215 0.6%
Pan American Silver Corp. 990,673 16,612,216 1.4%
* Pilot Gold, Inc. 222,861 80,815 0.0%
* Platinum Group Metals, Ltd. 105,831 127,147 0.0%
#* PolyMet Mining Corp. 613,665 436,068 0.0%
#* Premier Gold Mines, Ltd. 171,500 346,757 0.0%
#* Pretium Resources, Inc.(B57Q8S9) 114,400 1,133,901 0.1%
#* Pretium Resources, Inc.(74139C102) 325,217 3,222,900 0.3%
#* Primero Mining Corp. 1,071,138 502,200 0.0%
#* RB Energy, Inc. 396,013 396 0.0%
* Richmont Mines, Inc. 333,171 2,518,827 0.2%
#* Royal Nickel Corp. 385,500 63,542 0.0%
#* Sabina Gold & Silver Corp. 1,487,821 1,874,695 0.2%
#* Sandstorm Gold, Ltd. 895,672 3,103,570 0.3%
#* Seabridge Gold, Inc. 111,235 1,147,349 0.1%
* SEMAFO, Inc. 1,661,946 3,822,945 0.3%
#* Sherritt International Corp. 2,357,661 1,554,445 0.1%
* Silver Standard Resources, Inc. 763,090 7,870,999 0.7%
#* Sprott Resource Holdings, Inc. 597,898 81,031 0.0%
Stella-Jones, Inc. 242,305 7,675,373 0.6%
#* Stornoway Diamond Corp. 1,382,297 830,360 0.1%
Tahoe Resources, Inc. 990,247 8,023,246 0.7%
#* Tanzanian Royalty Exploration Corp. 298,950 148,922 0.0%
* Taseko Mines, Ltd. 1,234,191 1,383,328 0.1%
* Tembec, Inc. 420,376 911,551 0.1%
#* Teranga Gold Corp. 2,420,069 1,170,101 0.1%
#* Timmins Gold Corp. 1,765,357 685,425 0.1%
#* TMAC Resources, Inc. 43,213 492,895 0.0%
* Torex Gold Resources, Inc. 462,775 7,838,070 0.6%
#* Trevali Mining Corp. 2,609,716 2,294,172 0.2%
#* Wesdome Gold Mines, Ltd. 402,664 999,986 0.1%
West Fraser Timber Co., Ltd. 315,210 14,164,303 1.2%
Western Forest Products, Inc. 2,434,109 3,833,804 0.3%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
Materials -- (Continued)
Winpak, Ltd. 153,235 $ 6,549,013 0.5%
Yamana Gold, Inc. 2,550,417 6,856,914 0.6%
-------------- ----
Total Materials 352,968,902 29.2%
-------------- ----
Real Estate -- (2.2%)
# Altus Group, Ltd. 226,414 5,108,642 0.4%
Brookfield Real Estate Services, Inc. 25,569 303,258 0.0%
Colliers International Group, Inc. 178,695 8,749,843 0.7%
* DREAM Unlimited Corp. Class A 148,500 717,996 0.1%
FirstService Corp.(BYL7ZF7) 185,371 11,536,036 0.9%
FirstService Corp.(33767E103) 1,234 76,668 0.0%
Genesis Land Development Corp. 76,842 180,136 0.0%
Information Services Corp. 7,374 100,693 0.0%
#* Mainstreet Equity Corp. 28,649 774,229 0.1%
Mainstreet Health Investments, Inc. 35,700 347,361 0.0%
Melcor Developments, Ltd. 51,140 613,658 0.1%
Morguard Corp. 8,368 1,183,063 0.1%
Tricon Capital Group, Inc. 129,500 1,018,886 0.1%
-------------- ----
Total Real Estate 30,710,469 2.5%
-------------- ----
Utilities -- (5.4%)
Algonquin Power & Utilities Corp. 1,268,653 12,016,910 1.0%
Alterra Power Corp. 144,342 501,214 0.0%
Boralex, Inc. Class A 347,291 5,314,757 0.4%
Capital Power Corp. 541,609 9,871,603 0.8%
Innergex Renewable Energy, Inc. 536,627 5,480,078 0.5%
Just Energy Group, Inc. 727,176 4,442,803 0.4%
* Maxim Power Corp. 92,234 185,813 0.0%
# Northland Power, Inc. 661,188 11,687,826 1.0%
Polaris Infrastructure, Inc. 49,700 499,530 0.0%
# Superior Plus Corp. 838,165 8,025,213 0.7%
TransAlta Corp. 1,535,471 7,862,673 0.6%
# TransAlta Renewables, Inc. 588,846 6,725,108 0.6%
# Valener, Inc. 273,976 4,385,462 0.4%
-------------- ----
Total Utilities 76,998,990 6.4%
-------------- ----
TOTAL COMMON STOCKS 1,205,903,785 99.6%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
* QLT, Inc. Warrants 11/23/17 219,010 -- 0.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
* QLT, Inc. Warrants 11/23/17 Class A 219,010 -- 0.0%
TOTAL RIGHTS/WARRANTS -- 0.0%
-------------- ------
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%
============== ======
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
============== ============ ====== ==============
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 EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2017
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (90.4%)
BRAZIL -- (7.2%)
AES Tiete Energia SA(BZ8W2J5) 879 $ 737 0.0%
AES Tiete Energia SA(BZ8W2L7) 1,884,997 8,011,408 0.1%
Aliansce Shopping Centers SA 1,034,195 4,910,231 0.1%
Alupar Investimento SA 971,770 5,771,133 0.1%
Arezzo Industria e Comercio SA 457,135 4,853,562 0.1%
* B2W Cia Digital(B1LH3Y1) 1,191,925 5,024,484 0.1%
* B2W Cia Digital(BDFZQZ7) 382,848 1,583,716 0.0%
* BR Malls Participacoes SA 5,957,732 26,372,028 0.4%
* BR Properties SA 120,100 357,192 0.0%
* Brasil Brokers Participacoes SA 1,971,711 1,012,551 0.0%
BrasilAgro - Co. Brasileira de Propriedades Agricolas 158,500 638,684 0.0%
Cia de Locacao das Americas 11,000 31,190 0.0%
Cia de Saneamento de Minas Gerais-COPASA 859,792 9,751,741 0.2%
Cia Energetica de Minas Gerais 106,474 310,964 0.0%
Cia Hering 1,553,736 10,779,057 0.2%
Cia Paranaense de Energia 144,900 1,065,962 0.0%
# Cia Paranaense de Energia Sponsored ADR 127,664 1,170,679 0.0%
* Cia Siderurgica Nacional SA 5,120,808 12,503,351 0.2%
Construtora Tenda SA 168,054 466,986 0.0%
* Cosan Logistica SA 132,800 276,139 0.0%
CVC Brasil Operadora e Agencia de Viagens SA 312,586 3,048,995 0.1%
Cyrela Brazil Realty SA Empreendimentos e Participacoes 2,823,034 11,740,221 0.2%
Cyrela Commercial Properties SA Empreendimentos e
Participacoes 41,900 147,189 0.0%
Dimed SA Distribuidora da Medicamentos 1,100 201,005 0.0%
Direcional Engenharia SA 993,209 1,908,784 0.0%
Duratex SA 3,493,133 9,827,721 0.2%
EcoRodovias Infraestrutura e Logistica SA 2,475,007 7,360,963 0.1%
EDP - Energias do Brasil SA 3,186,314 13,471,853 0.2%
Embraer SA 887,827 4,296,411 0.1%
Embraer SA ADR 497,890 9,559,488 0.2%
Equatorial Energia SA 2,114,158 38,292,700 0.6%
Estacio Participacoes SA 3,477,890 19,536,800 0.3%
* Eternit SA 1,383,778 562,396 0.0%
Even Construtora e Incorporadora SA 2,718,788 3,803,160 0.1%
Ez Tec Empreendimentos e Participacoes SA 624,146 3,995,732 0.1%
Fibria Celulose SA 19,200 177,842 0.0%
Fleury SA 731,906 12,110,617 0.2%
FPC Par Corretora de Seguros SA 111,600 664,526 0.0%
Fras-Le SA 82,875 119,062 0.0%
GAEC Educacao SA 278,900 1,177,442 0.0%
Gafisa SA 168,055 963,096 0.0%
# Gafisa SA ADR 73,263 833,733 0.0%
#* Gol Linhas Aereas Inteligentes SA ADR 47,920 1,505,650 0.0%
Grendene SA 945,017 7,339,100 0.1%
Guararapes Confeccoes SA 83,800 2,363,207 0.0%
Helbor Empreendimentos SA 1,656,428 1,320,320 0.0%
Iguatemi Empresa de Shopping Centers SA 737,537 7,707,535 0.1%
* International Meal Co. Alimentacao SA 677,895 1,307,074 0.0%
Iochpe Maxion SA 1,122,952 5,911,856 0.1%
* JHSF Participacoes SA 680,347 518,719 0.0%
* Joao Fortes Engenharia SA 66,552 35,645 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
BRAZIL -- (Continued)
* JSL SA 675,500 $ 1,498,250 0.0%
Kepler Weber SA 135,346 1,069,447 0.0%
Light SA 706,107 4,860,805 0.1%
Linx SA 763,536 4,260,242 0.1%
Localiza Rent a Car SA 1,572,075 23,427,214 0.4%
* LPS Brasil Consultoria de Imoveis SA 290,879 421,557 0.0%
M Dias Branco SA 549,900 8,442,409 0.1%
Magazine Luiza SA 2,100 147,401 0.0%
* Magnesita Refratarios SA 406,091 3,473,596 0.1%
Mahle-Metal Leve SA 475,976 3,030,663 0.0%
Marcopolo SA 45,200 29,905 0.0%
* Marfrig Global Foods SA 3,262,029 7,420,126 0.1%
* Marisa Lojas SA 557,320 1,466,146 0.0%
* Mills Estruturas e Servicos de Engenharia SA 966,926 1,063,175 0.0%
Minerva SA 1,171,069 3,726,405 0.1%
MRV Engenharia e Participacoes SA 2,976,660 14,948,712 0.2%
Multiplan Empreendimentos Imobiliarios SA 624,699 13,324,340 0.2%
Multiplus SA 503,884 6,203,994 0.1%
Natura Cosmeticos SA 233,518 2,225,522 0.0%
Odontoprev SA 2,874,296 10,368,674 0.2%
Paranapanema SA 1,614,056 661,071 0.0%
* Petro Rio SA 15,000 205,479 0.0%
Porto Seguro SA 358,043 3,239,708 0.1%
Portobello SA 428,500 390,153 0.0%
* Profarma Distribuidora de Produtos Farmaceuticos SA 43,168 151,643 0.0%
* Prumo Logistica SA 271,478 772,340 0.0%
QGEP Participacoes SA 845,794 1,694,759 0.0%
Qualicorp SA 2,351,105 16,740,434 0.3%
* Restoque Comercio e Confeccoes de Roupas SA 862,054 1,249,334 0.0%
Rodobens Negocios Imobiliarios SA 136,138 242,977 0.0%
* Rumo SA 6,787,474 18,668,467 0.3%
* Santos Brasil Participacoes SA 2,470,740 1,829,284 0.0%
Sao Carlos Empreendimentos e Participacoes SA 63,159 646,504 0.0%
Sao Martinho SA 1,694,786 9,504,321 0.1%
Ser Educacional SA 242,300 1,870,276 0.0%
SLC Agricola SA 574,213 3,545,809 0.1%
Smiles SA 505,800 11,001,853 0.2%
Sonae Sierra Brasil SA 262,846 1,796,169 0.0%
* Springs Global Participacoes SA 18,200 51,434 0.0%
Sul America SA 3,005,954 15,900,808 0.2%
T4F Entretenimento SA 72,300 143,277 0.0%
Technos SA 221,800 314,456 0.0%
Tecnisa SA(B1N9YM0) 1,306,552 1,169,045 0.0%
* Tecnisa SA(BYQ1XZ0) 281,237 251,639 0.0%
* Tegma Gestao Logistica SA 11,700 48,067 0.0%
Totvs SA 1,272,826 11,148,081 0.2%
TPI - Triunfo Participacoes e Investimentos SA 329,501 398,634 0.0%
Transmissora Alianca de Energia Eletrica SA 1,918,518 13,908,130 0.2%
Tupy SA 124,100 596,249 0.0%
* Usinas Siderurgicas de Minas Gerais SA 42,600 117,839 0.0%
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao SA 691,887 4,893,705 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
BRAZIL -- (Continued)
Via Varejo SA(BGSHPP4) 1,002,219 $ 3,760,630 0.1%
Via Varejo SA(B7VY430) 205,862 291,860 0.0%
------------ ---
TOTAL BRAZIL 505,313,655 7.8%
------------ ---
CHILE -- (1.6%)
AES Gener SA 1,743,082 655,718 0.0%
Aguas Andinas SA Class A 559,878 317,143 0.0%
Banmedica SA 1,772,240 3,982,647 0.1%
Besalco SA 2,437,005 1,542,969 0.0%
CAP SA 902,305 9,423,144 0.1%
Cementos BIO BIO SA 352,724 481,169 0.0%
* Cia Sud Americana de Vapores SA 92,625,052 3,606,798 0.1%
Clinica LAS Condes SA 349 18,835 0.0%
Cristalerias de Chile SA 130,323 1,315,889 0.0%
Embotelladora Andina SA Class B ADR 42,803 1,088,052 0.0%
* Empresa Nacional de Telecomunicaciones SA 798,910 9,574,686 0.2%
* Empresas AquaChile SA 1,297,844 805,130 0.0%
Empresas Hites SA 1,123,113 1,182,958 0.0%
* Empresas La Polar SA 9,338,251 657,370 0.0%
Engie Energia Chile SA 5,488,931 10,198,903 0.2%
Enjoy SA 1,143,197 79,655 0.0%
Forus SA 811,301 3,257,219 0.1%
Grupo Security SA 2,947,245 1,042,247 0.0%
Inversiones Aguas Metropolitanas SA 3,961,273 6,263,831 0.1%
Inversiones La Construccion SA 273,583 3,689,539 0.1%
Masisa SA 16,263,125 1,054,749 0.0%
Multiexport Foods SA 3,856,325 1,675,830 0.0%
Parque Arauco SA 7,008,665 18,285,264 0.3%
PAZ Corp. SA 1,298,993 1,450,303 0.0%
Ripley Corp. SA 9,264,270 6,719,559 0.1%
Salfacorp SA 2,536,777 2,926,941 0.0%
Sigdo Koppers SA 787,777 1,129,566 0.0%
Sociedad Matriz SAAM SA 35,318,203 3,464,655 0.1%
Socovesa SA 2,895,998 1,257,264 0.0%
Sonda SA 2,403,460 4,098,442 0.1%
Vina Concha y Toro SA 5,149,937 8,302,521 0.1%
------------ ---
TOTAL CHILE 109,548,996 1.7%
------------ ---
CHINA -- (15.1%)
* 21Vianet Group, Inc. ADR 392,158 2,121,575 0.0%
361 Degrees International, Ltd. 5,552,000 1,867,479 0.0%
* 3SBio, Inc. 2,535,000 3,380,772 0.1%
#* 500.com, Ltd. Class A ADR 133,502 1,736,861 0.0%
#* 51job, Inc. ADR 70,751 2,900,083 0.1%
* A8 New Media Group, Ltd. 1,612,000 111,782 0.0%
Agile Group Holdings, Ltd. 13,027,500 11,643,733 0.2%
Ajisen China Holdings, Ltd. 4,156,000 1,836,318 0.0%
AMVIG Holdings, Ltd. 2,508,000 837,588 0.0%
Anhui Expressway Co., Ltd. Class H 2,770,000 2,193,340 0.0%
#* Anton Oilfield Services Group 10,586,000 1,153,833 0.0%
* Anxin-China Holdings, Ltd. 16,347,000 151,736 0.0%
* Art Group Holdings, Ltd. 320,000 30,444 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
# Asia Cement China Holdings Corp. 2,769,000 $ 896,852 0.0%
#* Asian Citrus Holdings, Ltd. 2,314,000 66,936 0.0%
# Ausnutria Dairy Corp., Ltd. 63,000 25,247 0.0%
#* AVIC International Holding HK, Ltd. 16,786,000 948,356 0.0%
AVIC International Holdings, Ltd. Class H 1,960,000 1,037,422 0.0%
# AviChina Industry & Technology Co., Ltd. Class H 7,176,000 4,784,092 0.1%
BAIOO Family Interactive, Ltd. 2,618,000 275,323 0.0%
Bank of Chongqing Co., Ltd. Class H 2,259,500 1,888,498 0.0%
Bank of Zhengzhou Co., Ltd. Class H 14,000 8,960 0.0%
* Baofeng Modern International Holdings Co., Ltd. 234,000 26,173 0.0%
#* Baoxin Auto Group, Ltd. 1,292,992 597,722 0.0%
Baoye Group Co., Ltd. Class H 1,758,000 1,297,354 0.0%
Beijing Capital International Airport Co., Ltd. Class H 676,000 953,658 0.0%
Beijing Capital Land, Ltd. Class H 8,706,500 4,226,592 0.1%
#* Beijing Enterprises Environment Group, Ltd. 114,000 20,933 0.0%
#* Beijing Enterprises Medical & Health Group, Ltd. 15,060,000 1,121,981 0.0%
Beijing Jingneng Clean Energy Co., Ltd. Class H 10,226,000 3,099,457 0.1%
# Beijing North Star Co., Ltd. Class H 6,368,000 2,461,733 0.1%
#* Beijing Properties Holdings, Ltd. 6,310,000 328,364 0.0%
Beijing Urban Construction Design & Development Group Co.,
Ltd. Class H 1,651,000 1,005,293 0.0%
Best Pacific International Holdings, Ltd. 1,874,000 1,645,596 0.0%
Besunyen Holdings Co., Ltd. 1,155,000 86,086 0.0%
Billion Industrial Holdings, Ltd. 64,000 44,746 0.0%
#* Biostime International Holdings, Ltd. 1,486,500 4,819,173 0.1%
#* Bitauto Holdings, Ltd. ADR 184,229 5,401,594 0.1%
# Bloomage Biotechnology Corp., Ltd. 1,077,500 1,827,244 0.0%
#* Boer Power Holdings, Ltd. 2,893,000 984,554 0.0%
Bosideng International Holdings, Ltd. 20,196,000 1,634,122 0.0%
#* Boyaa Interactive International, Ltd. 2,020,000 1,026,674 0.0%
* Brilliant Circle Holdings International, Ltd. 250,000 42,384 0.0%
# BYD Electronic International Co., Ltd. 4,498,315 6,865,739 0.1%
C C Land Holdings, Ltd. 14,555,015 3,720,699 0.1%
#* C.banner International Holdings, Ltd. 3,315,000 1,243,756 0.0%
Cabbeen Fashion, Ltd. 1,419,000 486,447 0.0%
# Canvest Environmental Protection Group Co., Ltd. 4,729,000 2,698,067 0.1%
#* Capital Environment Holdings, Ltd. 4,004,000 116,865 0.0%
#* CAR, Inc. 4,736,000 4,465,768 0.1%
Carrianna Group Holdings Co., Ltd. 1,855,257 190,740 0.0%
CECEP COSTIN New Materials Group, Ltd. 4,494,000 129,995 0.0%
Central China Real Estate, Ltd. 5,511,626 1,352,201 0.0%
# Central China Securities Co., Ltd. Class H 6,685,000 3,544,284 0.1%
Century Sunshine Group Holdings, Ltd. 12,725,000 465,688 0.0%
#* CGN Meiya Power Holdings Co., Ltd. 7,694,000 1,135,576 0.0%
Changshouhua Food Co., Ltd. 1,773,000 902,708 0.0%
* Changyou.com, Ltd. ADR 66,905 2,184,448 0.0%
Chaowei Power Holdings, Ltd. 4,397,000 2,800,411 0.1%
* Cheetah Mobile, Inc. ADR 205,689 2,167,962 0.0%
* Chigo Holding, Ltd. 20,666,000 302,627 0.0%
# China Aerospace International Holdings, Ltd. 17,454,500 2,398,396 0.0%
* China Agri-Industries Holdings, Ltd. 14,885,800 7,362,999 0.1%
# China All Access Holdings, Ltd. 5,636,000 1,592,824 0.0%
China Aluminum Cans Holdings, Ltd. 432,000 72,777 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
* China Animal Healthcare, Ltd. 3,671,000 $ 460,152 0.0%
# China Animation Characters Co., Ltd. 2,575,000 1,079,587 0.0%
China Aoyuan Property Group, Ltd. 8,711,000 2,664,424 0.1%
China BlueChemical, Ltd. Class H 11,684,000 3,361,874 0.1%
* China Chengtong Development Group, Ltd. 536,000 33,370 0.0%
* China City Infrastructure Group, Ltd. 1,220,000 89,478 0.0%
* China City Railway Transportation Technology Holdings Co.,
Ltd. 940,000 183,466 0.0%
China Communications Services Corp., Ltd. Class H 12,984,000 7,388,841 0.1%
* China Datang Corp. Renewable Power Co., Ltd. Class H 14,673,000 1,488,920 0.0%
* China Daye Non-Ferrous Metals Mining, Ltd. 4,610,000 67,519 0.0%
# China Dongxiang Group Co., Ltd. 22,139,985 4,210,626 0.1%
#* China Dynamics Holdings, Ltd. 9,490,000 302,430 0.0%
# China Electronics Corp. Holdings Co., Ltd. 3,084,000 578,140 0.0%
China Electronics Optics Valley Union Holding Co., Ltd. 4,896,000 458,903 0.0%
* China Energine International Holdings, Ltd. 4,206,000 426,359 0.0%
China Everbright, Ltd. 6,106,000 13,948,773 0.2%
* China Fiber Optic Network System Group, Ltd. 9,639,999 650,652 0.0%
China Financial Services Holdings, Ltd. 7,014,000 666,980 0.0%
* China Fire Safety Enterprise Group, Ltd. 1,575,000 78,868 0.0%
China Foods, Ltd. 7,410,000 2,854,189 0.1%
China Fordoo Holdings, Ltd. 776,000 776,917 0.0%
* China Glass Holdings, Ltd. 4,632,000 518,562 0.0%
* China Grand Pharmaceutical and Healthcare Holdings, Ltd.
Class A 1,020,000 279,153 0.0%
China Greenfresh Group Co., Ltd. 1,201,000 518,516 0.0%
# China Greenland Broad Greenstate Group Co., Ltd. 5,344,000 1,134,397 0.0%
#* China Hanking Holdings, Ltd. 3,659,000 587,595 0.0%
# China Harmony New Energy Auto Holding, Ltd. 5,579,000 2,084,904 0.0%
* China High Precision Automation Group, Ltd. 1,289,000 37,908 0.0%
# China High Speed Transmission Equipment Group Co., Ltd. 2,210,000 2,146,737 0.0%
* China Huiyuan Juice Group, Ltd. 4,929,500 1,764,713 0.0%
* China International Capital Corp., Ltd. Class H 2,022,400 2,988,261 0.1%
* China ITS Holdings Co., Ltd. 3,835,412 369,690 0.0%
China Jinmao Holdings Group, Ltd. 27,318,300 8,836,114 0.1%
China Lesso Group Holdings, Ltd. 7,387,000 5,881,301 0.1%
China Lilang, Ltd. 3,347,000 2,105,522 0.0%
* China Longevity Group Co., Ltd. 1,076,350 35,563 0.0%
#* China LotSynergy Holdings, Ltd. 27,340,000 822,128 0.0%
China Machinery Engineering Corp. Class H 6,490,000 4,862,594 0.1%
# China Maple Leaf Educational Systems, Ltd. 3,824,000 3,339,810 0.1%
# China Medical System Holdings, Ltd. 5,350,500 9,234,962 0.2%
China Meidong Auto Holdings, Ltd. 572,000 117,621 0.0%
China Merchants Land, Ltd. 9,922,000 1,834,963 0.0%
China National Building Material Co., Ltd. Class H 19,622,000 13,043,664 0.2%
China National Materials Co., Ltd. Class H 8,021,000 2,841,127 0.1%
* China New Town Development Co., Ltd. 11,720,648 579,561 0.0%
# China NT Pharma Group Co., Ltd. 4,739,000 1,040,367 0.0%
#* China Ocean Resources Co., Ltd. 537,630 472,476 0.0%
* China Oceanwide Holdings, Ltd. 2,198,000 217,520 0.0%
* China Oil & Gas Group, Ltd. 32,738,000 2,396,151 0.0%
* China Outfitters Holdings, Ltd. 24,000 833 0.0%
* China Overseas Grand Oceans Group, Ltd. 7,390,500 3,785,425 0.1%
# China Overseas Property Holdings, Ltd. 6,715,000 1,172,228 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
* China Packaging Holdings Development, Ltd. 4,540,000 $1,329,595 0.0%
# China Pioneer Pharma Holdings, Ltd. 2,285,000 852,370 0.0%
China Power International Development, Ltd. 20,304,000 7,563,816 0.1%
# China Power New Energy Development Co., Ltd. 3,760,499 2,298,890 0.0%
* China Properties Group, Ltd. 2,640,000 587,042 0.0%
#* China Rare Earth Holdings, Ltd. 8,648,799 621,458 0.0%
China Resources Cement Holdings, Ltd. 12,528,000 6,849,724 0.1%
#* China Resources Phoenix Healthcare Holdings Co., Ltd. 3,464,000 4,444,702 0.1%
* China Ruifeng Renewable Energy Holdings, Ltd. 5,192,000 500,232 0.0%
China Sanjiang Fine Chemicals Co., Ltd. 3,773,000 1,210,093 0.0%
China SCE Property Holdings, Ltd. 10,431,200 3,953,091 0.1%
#* China Shanshui Cement Group, Ltd. 11,268,000 738,080 0.0%
#* China Shengmu Organic Milk, Ltd. 6,816,000 1,427,648 0.0%
China Shineway Pharmaceutical Group, Ltd. 2,378,200 2,876,003 0.1%
# China Silver Group, Ltd. 6,436,000 1,184,444 0.0%
# China Singyes Solar Technologies Holdings, Ltd. 4,032,040 1,884,550 0.0%
# China South City Holdings, Ltd. 21,742,000 4,245,649 0.1%
* China Starch Holdings, Ltd. 6,705,000 228,133 0.0%
China Sunshine Paper Holdings Co., Ltd. 421,000 81,109 0.0%
China Suntien Green Energy Corp., Ltd. Class H 10,975,000 2,339,037 0.0%
* China Taifeng Beddings Holdings, Ltd. 1,336,000 34,781 0.0%
# China Tian Lun Gas Holdings, Ltd. 1,095,000 641,489 0.0%
# China Traditional Chinese Medicine Holdings Co., Ltd. 12,590,000 7,371,125 0.1%
# China Travel International Investment Hong Kong, Ltd. 15,263,900 4,412,018 0.1%
* China Vanadium Titano - Magnetite Mining Co., Ltd. 3,680,000 122,828 0.0%
China Vast Industrial Urban Development Co., Ltd. 225,000 83,293 0.0%
China Water Affairs Group, Ltd. 6,844,000 4,573,174 0.1%
#* China Water Industry Group, Ltd. 6,624,000 1,497,818 0.0%
* China Wood Optimization Holding, Ltd. 1,980,000 559,463 0.0%
China XLX Fertiliser, Ltd. 114,000 30,010 0.0%
#* China Yurun Food Group, Ltd. 10,561,000 1,587,823 0.0%
# China ZhengTong Auto Services Holdings, Ltd. 6,284,000 3,450,725 0.1%
# China Zhongwang Holdings, Ltd. 9,611,200 4,357,010 0.1%
#* Chinasoft International, Ltd. 15,102,000 9,069,265 0.2%
* Chinese People Holdings Co., Ltd. 1,855,709 24,087 0.0%
Chongqing Machinery & Electric Co., Ltd. Class H 7,968,000 1,033,416 0.0%
* Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 2,662,000 375,974 0.0%
Chu Kong Shipping Enterprise Group Co., Ltd. 144,000 36,794 0.0%
CIFI Holdings Group Co., Ltd. 19,426,000 7,013,350 0.1%
# CIMC Enric Holdings, Ltd. 5,278,000 3,075,993 0.1%
* CITIC Dameng Holdings, Ltd. 4,868,000 259,340 0.0%
#* CITIC Resources Holdings, Ltd. 17,098,600 2,063,696 0.0%
# Citychamp Watch & Jewellery Group, Ltd. 11,676,000 2,594,267 0.1%
Clear Media, Ltd. 347,000 379,082 0.0%
* Coastal Greenland, Ltd. 5,286,000 161,141 0.0%
#* Cogobuy Group 3,644,000 5,240,011 0.1%
# Colour Life Services Group Co., Ltd. 1,642,000 969,459 0.0%
Comba Telecom Systems Holdings, Ltd. 10,317,338 1,510,295 0.0%
* Comtec Solar Systems Group, Ltd. 4,958,000 207,083 0.0%
Concord New Energy Group, Ltd. 30,744,964 1,460,352 0.0%
Consun Pharmaceutical Group, Ltd. 2,282,000 1,544,590 0.0%
#* Coolpad Group, Ltd. 21,444,800 1,985,030 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
# COSCO SHIPPING Energy Transportation Co., Ltd. Class H 7,192,000 $ 3,927,118 0.1%
# COSCO SHIPPING International Hong Kong Co., Ltd. 3,007,000 1,290,431 0.0%
COSCO SHIPPING Ports, Ltd. 5,305,172 5,808,261 0.1%
* Coslight Technology International Group Co., Ltd. 866,000 442,827 0.0%
# Cosmo Lady China Holdings Co., Ltd. 3,712,000 1,101,619 0.0%
CP Pokphand Co., Ltd. 41,806,594 3,594,974 0.1%
CPMC Holdings, Ltd. 2,810,000 1,556,549 0.0%
CRCC High-Tech Equipment Corp., Ltd. Class H 1,855,000 883,917 0.0%
# CT Environmental Group, Ltd. 14,380,000 2,678,991 0.1%
* Da Ming International Holdings, Ltd. 862,000 342,103 0.0%
* DaChan Food Asia, Ltd. 1,523,955 137,287 0.0%
Dah Chong Hong Holdings, Ltd. 5,784,000 2,497,300 0.1%
# Dalian Port PDA Co., Ltd. Class H 2,640,400 468,034 0.0%
* Daphne International Holdings, Ltd. 7,022,000 693,197 0.0%
Dawnrays Pharmaceutical Holdings, Ltd. 3,074,943 1,801,000 0.0%
#* DBA Telecommunication Asia Holdings, Ltd. 2,108,000 17,778 0.0%
#* Differ Group Holding Co., Ltd. 6,460,000 588,929 0.0%
#* Digital China Holdings, Ltd. 6,937,800 5,705,846 0.1%
# Dongfang Electric Corp., Ltd. Class H 1,700,000 1,498,411 0.0%
Dongjiang Environmental Co., Ltd. Class H 529,975 877,001 0.0%
* Dongyue Group, Ltd. 7,432,000 245,461 0.0%
Dragon Crown Group Holdings, Ltd. 62,000 12,054 0.0%
# Dynagreen Environmental Protection Group Co., Ltd. Class H 2,678,000 1,533,840 0.0%
#* Dynasty Fine Wines Group, Ltd. 1,614,000 56,025 0.0%
#* eHi Car Services, Ltd. Sponsored ADR 95,331 964,750 0.0%
Embry Holdings, Ltd. 473,000 202,549 0.0%
Essex Bio-technology, Ltd. 40,000 22,019 0.0%
EVA Precision Industrial Holdings, Ltd. 5,978,435 990,500 0.0%
* EverChina International Holdings Co., Ltd. 13,120,000 409,761 0.0%
* Evergreen International Holdings, Ltd. 1,208,000 117,102 0.0%
* Extrawell Pharmaceutical Holdings, Ltd. 1,337,921 40,055 0.0%
Fantasia Holdings Group Co., Ltd. 13,662,000 2,140,306 0.0%
Far East Horizon, Ltd. 10,622,000 9,771,029 0.2%
# Feiyu Technology International Co., Ltd. 1,636,500 243,777 0.0%
First Tractor Co., Ltd. Class H 965,176 520,341 0.0%
* Forgame Holdings, Ltd. 107,100 136,379 0.0%
Freetech Road Recycling Technology Holdings, Ltd. 2,164,000 211,302 0.0%
Fu Shou Yuan International Group, Ltd. 5,805,000 3,707,360 0.1%
# Fufeng Group, Ltd. 7,458,600 5,097,246 0.1%
#* Fuguiniao Co., Ltd. Class H 2,430,200 454,588 0.0%
# Future Land Development Holdings, Ltd. 11,872,000 3,504,991 0.1%
#* GCL-Poly Energy Holdings, Ltd. 81,674,000 9,858,221 0.2%
Gemdale Properties & Investment Corp., Ltd. 7,214,000 500,086 0.0%
* Glorious Property Holdings, Ltd. 18,035,501 2,085,508 0.0%
Goldbond Group Holdings, Ltd. 210,000 6,205 0.0%
# Golden Eagle Retail Group, Ltd. 3,432,000 5,226,702 0.1%
Golden Throat Holdings Group Co., Ltd. 721,500 235,514 0.0%
Goldlion Holdings, Ltd. 1,705,962 725,989 0.0%
# Goldpac Group, Ltd. 2,261,000 856,633 0.0%
# GOME Electrical Appliances Holding, Ltd. 84,442,000 11,500,726 0.2%
Good Friend International Holdings, Inc. 398,667 110,550 0.0%
# Goodbaby International Holdings, Ltd. 6,226,000 2,808,017 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
Greatview Aseptic Packaging Co., Ltd. 6,825,000 $ 3,533,557 0.1%
#* Greenland Hong Kong Holdings, Ltd. 6,801,000 2,192,930 0.0%
#* Greentown China Holdings, Ltd. 5,689,148 5,465,559 0.1%
* Guangdong Land Holdings, Ltd. 4,600,800 1,034,783 0.0%
Guangdong Yueyun Transportation Co., Ltd. Class H 1,103,000 796,635 0.0%
Guangzhou R&F Properties Co., Ltd. Class H 1,736,400 2,922,650 0.1%
* Guodian Technology & Environment Group Corp., Ltd. Class H 4,696,000 319,870 0.0%
Guolian Securities Co., Ltd. Class H 1,090,500 589,781 0.0%
# Guorui Properties, Ltd. 1,087,000 322,579 0.0%
* Haichang Ocean Park Holdings, Ltd. 5,153,000 1,105,822 0.0%
Haitian International Holdings, Ltd. 4,300,000 10,529,980 0.2%
* Hanergy Thin Film Power Group, Ltd. 17,084,000 83,595 0.0%
Harbin Bank Co., Ltd. Class H 791,000 233,695 0.0%
Harbin Electric Co., Ltd. Class H 4,455,413 2,723,033 0.1%
# Harmonicare Medical Holdings, Ltd. 1,411,000 743,075 0.0%
#* HC International, Inc. 424,000 374,884 0.0%
Henderson Investment, Ltd. 1,326,000 114,150 0.0%
* Hengdeli Holdings, Ltd. 17,269,399 2,107,152 0.0%
* Hengshi Mining Investments, Ltd. 1,085,000 298,256 0.0%
* Hi Sun Technology China, Ltd. 9,624,000 1,618,063 0.0%
* Hidili Industry International Development, Ltd. 1,329,339 55,543 0.0%
# Hilong Holding, Ltd. 4,847,000 1,057,136 0.0%
* HKC Holdings, Ltd. 870,577 594,972 0.0%
#* HNA Holding Group Co., Ltd. 17,430,000 615,708 0.0%
HNA Infrastructure Co., Ltd. Class H 616,000 515,270 0.0%
* Honghua Group, Ltd. 14,879,000 1,508,628 0.0%
Honworld Group, Ltd. 774,000 414,596 0.0%
Hopefluent Group Holdings, Ltd. 1,397,670 421,934 0.0%
Hopewell Highway Infrastructure, Ltd. 4,163,000 2,406,142 0.0%
Hopson Development Holdings, Ltd. 4,514,000 4,298,396 0.1%
# HOSA International, Ltd. 4,668,000 1,469,419 0.0%
#* Hua Han Health Industry Holdings, Ltd. 25,871,698 661,232 0.0%
Hua Hong Semiconductor, Ltd. 1,850,000 2,622,953 0.1%
# Huadian Fuxin Energy Corp., Ltd. Class H 16,248,000 3,756,037 0.1%
* Huajun Holdings, Ltd. 112,000 8,491 0.0%
Huaneng Renewables Corp., Ltd. Class H 25,108,000 8,764,489 0.1%
Huazhang Technology Holding, Ltd. 388,000 120,717 0.0%
#* Huiyin Smart Community Co., Ltd. 2,206,000 167,254 0.0%
Hydoo International Holding, Ltd. 1,884,000 188,543 0.0%
#* IMAX China Holding, Inc. 652,600 3,068,859 0.1%
# Inner Mongolia Yitai Coal Co., Ltd. Class H 105,000 97,684 0.0%
Inspur International, Ltd. 2,286,000 472,839 0.0%
# Intime Retail Group Co., Ltd. 9,442,000 11,944,925 0.2%
* InvesTech Holdings, Ltd. 1,417,000 86,524 0.0%
# Jiangnan Group, Ltd. 10,334,000 1,327,497 0.0%
* Jinchuan Group International Resources Co., Ltd. 1,941,000 221,620 0.0%
#* JinkoSolar Holding Co., Ltd. ADR 129,908 2,252,605 0.0%
# Joy City Property, Ltd. 12,094,000 1,894,722 0.0%
Ju Teng International Holdings, Ltd. 5,448,000 2,007,619 0.0%
K Wah International Holdings, Ltd. 3,817,000 2,422,142 0.1%
* Kai Yuan Holdings, Ltd. 13,400,000 146,165 0.0%
#* Kaisa Group Holdings, Ltd. 9,828,000 2,943,971 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
Kangda International Environmental Co., Ltd. 4,054,000 $ 942,178 0.0%
* Kasen International Holdings, Ltd. 4,399,000 774,872 0.0%
Kingboard Chemical Holdings, Ltd. 4,301,921 15,493,603 0.3%
Kingboard Laminates Holdings, Ltd. 5,858,500 7,060,931 0.1%
#* Kingdee International Software Group Co., Ltd. 15,099,200 6,357,591 0.1%
Kingsoft Corp., Ltd. 2,044,000 5,825,878 0.1%
#* Ko Yo Chemical Group, Ltd. 4,280,000 113,316 0.0%
# Koradior Holdings, Ltd. 1,008,000 1,078,048 0.0%
KWG Property Holding, Ltd. 10,848,950 8,195,403 0.1%
#* Labixiaoxin Snacks Group, Ltd. 1,729,000 100,117 0.0%
Lai Fung Holdings, Ltd. 29,583,012 821,255 0.0%
Le Saunda Holdings, Ltd. 2,049,799 456,116 0.0%
Lee & Man Chemical Co., Ltd. 998,785 488,015 0.0%
Lee & Man Paper Manufacturing, Ltd. 11,129,000 8,714,067 0.1%
# Lee's Pharmaceutical Holdings, Ltd. 1,351,000 1,330,658 0.0%
Leoch International Technology, Ltd. 953,000 235,182 0.0%
#* Leyou Technologies Holdings, Ltd. 9,420,000 1,933,715 0.0%
* Li Ning Co., Ltd. 7,184,500 4,720,550 0.1%
#* Lianhua Supermarket Holdings Co., Ltd. Class H 2,474,600 1,061,407 0.0%
#* Lifestyle China Group, Ltd. 834,000 269,004 0.0%
#* Lifetech Scientific Corp. 14,844,000 3,794,082 0.1%
Livzon Pharmaceutical Group, Inc. Class H 511,180 3,221,409 0.1%
# Logan Property Holdings Co., Ltd. 8,548,000 4,894,420 0.1%
* LongiTech Smart Energy Holding, Ltd. 461,000 166,613 0.0%
Lonking Holdings, Ltd. 15,371,000 4,299,657 0.1%
* Loudong General Nice Resources China Holdings, Ltd. 1,818,140 92,329 0.0%
# Luye Pharma Group, Ltd. 11,040,000 6,668,047 0.1%
# LVGEM China Real Estate Investment Co., Ltd. 1,212,000 311,364 0.0%
#* Maanshan Iron & Steel Co., Ltd. Class H 13,224,000 4,462,736 0.1%
* Maoye International Holdings, Ltd. 8,664,000 924,207 0.0%
* Microport Scientific Corp. 2,580,000 1,806,779 0.0%
* MIE Holdings Corp. 2,264,000 215,060 0.0%
MIN XIN Holdings, Ltd. 800,000 646,373 0.0%
* Mingfa Group International Co., Ltd. 7,108,000 274,146 0.0%
* Mingyuan Medicare Development Co., Ltd. 6,950,000 38,510 0.0%
Minmetals Land, Ltd. 8,128,000 991,410 0.0%
Minth Group, Ltd. 3,963,000 14,706,962 0.2%
#* MMG, Ltd. 19,842,999 6,775,485 0.1%
MOBI Development Co., Ltd. 1,014,000 166,694 0.0%
Modern Land China Co., Ltd. 2,390,000 390,338 0.0%
#* Munsun Capital Group, Ltd. 44,302,318 421,611 0.0%
#* National Agricultural Holdings, Ltd. 3,714,000 568,200 0.0%
Nature Home Holding Co., Ltd. 520,000 70,135 0.0%
# NetDragon Websoft Holdings, Ltd. 108,044 313,491 0.0%
* New World Department Store China, Ltd. 3,567,462 535,581 0.0%
Nexteer Automotive Group, Ltd. 5,120,000 7,972,531 0.1%
Nine Dragons Paper Holdings, Ltd. 3,111,000 3,355,101 0.1%
#* Noah Holdings, Ltd. ADR 118,604 2,991,193 0.1%
#* North Mining Shares Co., Ltd. 78,870,000 1,600,498 0.0%
#* NQ Mobile, Inc. Class A ADR 357,903 1,349,294 0.0%
# NVC Lighting Holdings, Ltd. 7,392,000 835,246 0.0%
* O-Net Technologies Group, Ltd. 1,589,000 1,075,499 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
CHINA -- (Continued)
#* Ourgame International Holdings, Ltd. 1,574,000 $ 567,291 0.0%
Overseas Chinese Town Asia Holdings, Ltd. 1,750,183 698,212 0.0%
#* Ozner Water International Holding, Ltd. 1,831,000 458,335 0.0%
# Pacific Online, Ltd. 3,033,365 728,627 0.0%
# Parkson Retail Group, Ltd. 8,319,500 1,046,833 0.0%
# PAX Global Technology, Ltd. 5,592,000 3,453,616 0.1%
* Phoenix New Media, Ltd. ADR 60,274 210,356 0.0%
# Phoenix Satellite Television Holdings, Ltd. 8,296,000 1,417,352 0.0%
* Ping An Securities Group Holdings, Ltd. 21,300,000 199,520 0.0%
* Ping Shan Tea Group, Ltd. 1,332,000 4,285 0.0%
# Poly Culture Group Corp., Ltd. Class H 464,600 1,224,333 0.0%
#* Poly Property Group Co., Ltd. 16,591,000 6,797,668 0.1%
# Pou Sheng International Holdings, Ltd. 14,373,806 3,066,284 0.1%
Powerlong Real Estate Holdings, Ltd. 9,846,000 4,644,407 0.1%
* Prosperity International Holdings HK, Ltd. 11,620,000 181,932 0.0%
#* PW Medtech Group, Ltd. 4,922,000 1,162,552 0.0%
* Q Technology Group Co., Ltd. 2,653,000 2,252,602 0.0%
# Qingdao Port International Co., Ltd. Class H 2,033,000 1,082,272 0.0%
Qingling Motors Co., Ltd. Class H 3,376,000 1,114,920 0.0%
# Qinhuangdao Port Co., Ltd. Class H 3,065,500 925,796 0.0%
* Qunxing Paper Holdings Co., Ltd. 669,913 32,555 0.0%
* Real Gold Mining, Ltd. 300,500 10,160 0.0%
Real Nutriceutical Group, Ltd. 6,045,000 352,875 0.0%
Red Star Macalline Group Corp., Ltd. Class H 1,790,600 1,909,380 0.0%
#* Redco Properties Group, Ltd. 5,476,000 2,147,306 0.0%
#* Renhe Commercial Holdings Co., Ltd. 122,603,000 3,133,392 0.1%
#* REXLot Holdings, Ltd. 59,701,502 890,017 0.0%
Road King Infrastructure, Ltd. 2,044,000 3,031,036 0.1%
#* Ronshine China Holdings, Ltd. 230,000 203,423 0.0%
#* Sany Heavy Equipment International Holdings Co., Ltd. 7,290,000 1,422,937 0.0%
* Scud Group, Ltd. 1,876,000 47,031 0.0%
# Seaspan Corp. 314,373 2,213,186 0.0%
Shandong Chenming Paper Holdings, Ltd. Class H 1,886,000 2,167,270 0.0%
Shandong Weigao Group Medical Polymer Co., Ltd. Class H 11,716,000 8,537,850 0.1%
Shandong Xinhua Pharmaceutical Co., Ltd. Class H 576,000 508,101 0.0%
# Shanghai Dasheng Agricultural Finance Technology Co., Ltd.
Class H 12,064,000 1,194,684 0.0%
#* Shanghai Fudan Microelectronics Group Co., Ltd. Class H 812,000 617,435 0.0%
# Shanghai Fudan-Zhangjiang Bio-Pharmaceutical Co., Ltd.
Class H 1,490,000 1,205,650 0.0%
Shanghai Haohai Biological Technology Co., Ltd. Class H 56,300 310,331 0.0%
Shanghai Industrial Holdings, Ltd. 3,333,000 10,544,432 0.2%
# Shanghai Industrial Urban Development Group, Ltd. 12,052,000 2,599,198 0.1%
# Shanghai Jin Jiang International Hotels Group Co., Ltd.
Class H 7,870,000 2,294,324 0.0%
Shanghai Prime Machinery Co., Ltd. Class H 5,106,000 983,297 0.0%
* Shanghai Zendai Property, Ltd. 11,305,000 169,791 0.0%
Sheen Tai Holdings Grp Co., Ltd. 2,482,000 213,870 0.0%
* Shengli Oil & Gas Pipe Holdings, Ltd. 2,272,500 93,429 0.0%
Shenguan Holdings Group, Ltd. 7,256,000 531,108 0.0%
Shenzhen Expressway Co., Ltd. Class H 4,428,400 4,033,144 0.1%
Shenzhen International Holdings, Ltd. 7,292,722 12,242,025 0.2%
Shenzhen Investment, Ltd. 22,596,874 10,240,301 0.2%
Shimao Property Holdings, Ltd. 28,000 44,941 0.0%
* Shougang Concord International Enterprises Co., Ltd. 21,936,000 695,657 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
Shougang Fushan Resources Group, Ltd. 18,634,000 $ 3,422,783 0.1%
Shui On Land, Ltd. 27,605,643 6,134,789 0.1%
#* Shunfeng International Clean Energy, Ltd. 9,212,000 567,542 0.0%
Sichuan Expressway Co., Ltd. Class H 5,366,000 2,352,474 0.0%
# Sihuan Pharmaceutical Holdings Group, Ltd. 26,984,000 11,991,715 0.2%
* Silver Grant International Industries, Ltd. 4,814,000 741,748 0.0%
#* Silverman Holdings, Ltd. 2,410,000 325,123 0.0%
* SIM Technology Group, Ltd. 1,050,000 51,251 0.0%
#* Sino Oil And Gas Holdings, Ltd. 70,712,766 1,707,448 0.0%
* Sino-I Technology, Ltd. 3,950,000 53,747 0.0%
Sino-Ocean Group Holdings, Ltd. 8,853,500 4,318,882 0.1%
# Sinofert Holdings, Ltd. 15,347,327 2,049,147 0.0%
* Sinolink Worldwide Holdings, Ltd. 13,204,800 1,425,092 0.0%
# SinoMedia Holding, Ltd. 1,126,000 248,582 0.0%
Sinopec Engineering Group Co., Ltd. Class H 4,169,500 4,074,244 0.1%
Sinopec Kantons Holdings, Ltd. 5,380,000 2,742,414 0.1%
# Sinosoft Technology Group, Ltd. 3,937,599 1,243,368 0.0%
#* Sinotrans Shipping, Ltd. 6,035,086 1,356,314 0.0%
Sinotrans, Ltd. Class H 13,221,000 5,907,417 0.1%
Sinotruk Hong Kong, Ltd. 4,704,000 3,266,911 0.1%
* Skyfame Realty Holdings, Ltd. 5,698,000 709,243 0.0%
# Skyworth Digital Holdings, Ltd. 12,675,628 7,354,959 0.1%
# SMI Holdings Group, Ltd. 30,992,066 2,705,775 0.1%
SOHO China, Ltd. 15,316,500 8,345,500 0.1%
* Sohu.com, Inc. 178,018 6,907,098 0.1%
* Sound Global, Ltd. 494,000 123,500 0.0%
#* Sparkle Roll Group, Ltd. 5,168,000 372,205 0.0%
Springland International Holdings, Ltd. 4,798,000 863,349 0.0%
#* SPT Energy Group, Inc. 4,970,000 369,652 0.0%
* SRE Group, Ltd. 29,292,346 707,312 0.0%
SSY Group, Ltd. 14,361,152 5,552,281 0.1%
Suchuang Gas Corp., Ltd. 40,000 12,235 0.0%
Sun King Power Electronics Group 2,696,000 619,823 0.0%
# Sunac China Holdings, Ltd. 15,053,000 19,604,450 0.3%
Sunshine 100 China Holdings, Ltd. 130,000 50,252 0.0%
Symphony Holdings, Ltd. 6,730,000 605,286 0.0%
#* Tarena International, Inc. ADR 208,968 3,888,894 0.1%
#* Taung Gold International, Ltd. 20,430,000 194,124 0.0%
TCC International Holdings, Ltd. 10,264,647 4,693,175 0.1%
#* TCL Multimedia Technology Holdings, Ltd. 3,700,510 1,828,899 0.0%
* Tech Pro Technology Development, Ltd. 37,022,000 618,456 0.0%
# Technovator International, Ltd. 3,480,000 1,317,670 0.0%
Tenfu Cayman Holdings Co., Ltd. 216,000 63,806 0.0%
# Tenwow International Holdings, Ltd. 3,672,000 764,226 0.0%
Texhong Textile Group, Ltd. 2,011,500 2,435,862 0.1%
* Tian An China Investment Co., Ltd. 1,383,000 1,117,366 0.0%
Tian Shan Development Holdings, Ltd. 1,742,000 676,140 0.0%
Tiande Chemical Holdings, Ltd. 224,000 61,597 0.0%
Tiangong International Co., Ltd. 9,414,000 930,808 0.0%
Tianjin Capital Environmental Protection Group Co., Ltd.
Class H 2,718,000 1,845,975 0.0%
Tianjin Development Holdings, Ltd. 4,024,000 2,516,080 0.1%
Tianjin Port Development Holdings, Ltd. 12,860,800 2,263,391 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
# Tianneng Power International, Ltd. 5,322,048 $4,662,856 0.1%
Tianyi Summi Holdings, Ltd. 4,716,000 666,450 0.0%
Tibet Water Resources, Ltd. 11,257,000 4,712,107 0.1%
Time Watch Investments, Ltd. 1,456,000 170,377 0.0%
Tomson Group, Ltd. 1,353,229 718,475 0.0%
Tong Ren Tang Technologies Co., Ltd. Class H 4,173,000 7,031,353 0.1%
# Tongda Group Holdings, Ltd. 23,530,000 9,212,582 0.2%
Tonly Electronics Holdings, Ltd. 431,176 275,465 0.0%
Top Spring International Holdings, Ltd. 383,000 127,980 0.0%
* Tou Rong Chang Fu Group, Ltd. 6,180,000 124,512 0.0%
# Towngas China Co., Ltd. 7,079,000 4,230,002 0.1%
TPV Technology, Ltd. 5,127,964 1,402,355 0.0%
# Trigiant Group, Ltd. 3,684,000 582,249 0.0%
* Trony Solar Holdings Co., Ltd. 1,757,000 26,654 0.0%
# Truly International Holdings, Ltd. 8,919,573 3,024,135 0.1%
Uni-President China Holdings, Ltd. 8,064,000 5,665,645 0.1%
#* United Energy Group, Ltd. 36,492,900 1,405,003 0.0%
* United Photovoltaics Group, Ltd. 2,158,000 335,240 0.0%
* Universal Health International Group Holding, Ltd. 8,086,000 258,750 0.0%
# Universal Medical Financial & Technical Advisory Services
Co., Ltd. 4,408,500 3,770,891 0.1%
#* V1 Group, Ltd. 17,317,600 533,571 0.0%
# Vinda International Holdings, Ltd. 623,000 1,264,518 0.0%
Wanguo International Mining Group, Ltd. 154,000 37,320 0.0%
# Wasion Group Holdings, Ltd. 3,802,000 1,849,934 0.0%
Weiqiao Textile Co. Class H 2,668,000 1,913,959 0.0%
Welling Holding, Ltd. 7,140,000 1,604,585 0.0%
* West China Cement, Ltd. 17,434,000 2,620,870 0.1%
* Wisdom Sports Group 772,000 160,647 0.0%
* Wuzhou International Holdings, Ltd. 6,418,000 635,287 0.0%
Xiabuxiabu Catering Management China Holdings Co., Ltd. 110,000 93,626 0.0%
Xiamen International Port Co., Ltd. Class H 7,366,000 1,465,235 0.0%
#* Xinchen China Power Holdings, Ltd. 2,667,000 431,283 0.0%
Xingda International Holdings, Ltd. 6,074,000 2,432,907 0.1%
Xingfa Aluminium Holdings, Ltd. 239,000 111,234 0.0%
Xinhua Winshare Publishing and Media Co., Ltd. Class H 2,708,103 2,403,325 0.0%
* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 5,021,598 612,019 0.0%
# Xinyi Solar Holdings, Ltd. 16,548,000 5,164,590 0.1%
* Xiwang Special Steel Co., Ltd. 123,000 18,003 0.0%
# XTEP International Holdings, Ltd. 5,462,000 2,175,124 0.0%
* Yanchang Petroleum International, Ltd. 30,720,000 717,812 0.0%
# Yangtze Optical Fibre and Cable Joint Stock, Ltd. Co.
Class H 1,018,000 2,131,972 0.0%
# Yashili International Holdings, Ltd. 3,500,000 610,906 0.0%
YiChang HEC ChangJiang Pharmaceutical Co., Ltd.
Class H 100,600 220,045 0.0%
Yida China Holdings, Ltd. 1,148,000 273,101 0.0%
# Yingde Gases Group Co., Ltd. 1,054,368 806,803 0.0%
Yip's Chemical Holdings, Ltd. 1,886,000 847,781 0.0%
#* Yirendai, Ltd. ADR 182,892 4,564,984 0.1%
* Youyuan International Holdings, Ltd. 2,937,070 822,929 0.0%
* Yuanda China Holdings, Ltd. 12,884,000 313,799 0.0%
* YuanShengTai Dairy Farm, Ltd. 5,185,000 299,526 0.0%
Yuexiu Property Co., Ltd. 54,806,284 9,290,572 0.2%
# Yuexiu Transport Infrastructure, Ltd. 4,354,018 3,355,205 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
CHINA -- (Continued)
Yunnan Water Investment Co., Ltd. Class H 923,000 $ 446,816 0.0%
Yuzhou Properties Co., Ltd. 11,092,120 5,057,189 0.1%
* YY, Inc. ADR 220,940 10,819,432 0.2%
# Zhaojin Mining Industry Co., Ltd. Class H 5,788,000 5,065,596 0.1%
Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 1,581,000 984,877 0.0%
* Zhong An Real Estate, Ltd. 6,952,400 589,593 0.0%
# Zhongsheng Group Holdings, Ltd. 4,471,500 6,304,220 0.1%
Zhuhai Holdings Investment Group, Ltd. 1,028,000 161,123 0.0%
Zoomlion Heavy Industry Science and Technology Co., Ltd.
Class H 979,400 464,031 0.0%
-------------- ----
TOTAL CHINA 1,054,306,808 16.2%
-------------- ----
COLOMBIA -- (0.2%)
Almacenes Exito SA 993,596 5,146,976 0.1%
Bolsa de Valores de Colombia 29,054,344 237,017 0.0%
Celsia SA ESP 1,312,389 1,998,472 0.0%
* Cemex Latam Holdings SA 951,995 3,475,332 0.1%
Constructora Conconcreto SA 293,150 100,141 0.0%
Corp. Financiera Colombiana SA 33,478 321,356 0.0%
* Empresa de Telecomunicaciones de Bogota 3,257,689 708,675 0.0%
Mineros SA 102,961 90,992 0.0%
* Odinsa SA 19,092 56,783 0.0%
-------------- ----
TOTAL COLOMBIA 12,135,744 0.2%
-------------- ----
GREECE -- (0.3%)
Aegean Airlines SA 207,860 1,787,026 0.1%
Athens Water Supply & Sewage Co. SA (The) 125,722 725,936 0.0%
Bank of Greece 142,242 1,782,869 0.0%
* Ellaktor SA 892,229 1,426,822 0.0%
* Fourlis Holdings SA 278,982 1,458,323 0.0%
* GEK Terna Holding Real Estate Construction SA 475,188 1,479,329 0.0%
Hellenic Exchanges - Athens Stock Exchange SA 467,404 2,472,722 0.1%
* Iaso SA 282,999 179,378 0.0%
* Intracom Holdings SA 664,642 303,785 0.0%
* Intralot SA-Integrated Lottery Systems & Services 860,664 1,161,149 0.0%
* Lamda Development SA 92,510 467,594 0.0%
* Marfin Investment Group Holdings SA 5,645,881 1,071,444 0.0%
Metka Industrial - Construction SA 182,647 1,391,725 0.0%
* Mytilineos Holdings SA 339,544 2,552,254 0.1%
Piraeus Port Authority SA 42,172 597,851 0.0%
Sarantis SA 93,848 1,182,274 0.0%
Terna Energy SA 257,713 869,660 0.0%
-------------- ----
TOTAL GREECE 20,910,141 0.3%
-------------- ----
HONG KONG -- (0.0%)
Dan Form Holdings Co., Ltd. 179,790 57,785 0.0%
Samson Holding, Ltd. 1,874,000 146,755 0.0%
SITC International Holdings Co., Ltd. 352,000 252,146 0.0%
-------------- ----
TOTAL HONG KONG 456,686 0.0%
-------------- ----
HUNGARY -- (0.1%)
#* FHB Mortgage Bank P.L.C. 27,009 49,884 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
HUNGARY -- (Continued)
Magyar Telekom Telecommunications P.L.C. 2,401,107 $4,015,317 0.1%
Richter Gedeon Nyrt 84,933 2,056,757 0.0%
---------- ---
TOTAL HUNGARY 6,121,958 0.1%
---------- ---
INDIA -- (14.1%)
* 3M India, Ltd. 6,495 1,171,768 0.0%
* 8K Miles Software Services, Ltd. 29,405 253,836 0.0%
Aarti Drugs, Ltd. 1,105 10,037 0.0%
Aarti Industries 203,996 2,781,215 0.1%
* Aban Offshore, Ltd. 137,519 479,443 0.0%
Abbott India, Ltd. 2,923 199,634 0.0%
Accelya Kale Solutions, Ltd. 3,300 76,370 0.0%
Adani Enterprises, Ltd. 1,642,031 2,779,926 0.1%
* Adani Power, Ltd. 6,769,452 3,485,392 0.1%
* Adani Transmissions, Ltd. 516,761 627,630 0.0%
* Aditya Birla Fashion and Retail, Ltd. 149,001 398,439 0.0%
Aditya Birla Nuvo, Ltd. 186,075 4,800,112 0.1%
Aegis Logistics, Ltd. 998,719 3,001,451 0.1%
Agro Tech Foods, Ltd. 62,964 525,738 0.0%
* Ahluwalia Contracts India Ltd. 11,251 61,915 0.0%
AIA Engineering, Ltd. 240,532 5,691,679 0.1%
Ajanta Pharma, Ltd. 234,509 5,988,421 0.1%
Akzo Nobel India, Ltd. 76,588 2,339,491 0.0%
Alembic Pharmaceuticals, Ltd. 553,210 5,244,825 0.1%
Alembic, Ltd. 624,014 466,133 0.0%
* Allahabad Bank 1,121,891 1,438,091 0.0%
Allcargo Logistics, Ltd. 442,806 1,304,040 0.0%
* Alok Industries, Ltd. 1,282,757 60,745 0.0%
Amara Raja Batteries, Ltd. 215,430 2,980,057 0.1%
* Amtek Auto, Ltd. 217,501 132,682 0.0%
Anant Raj, Ltd. 396,539 380,130 0.0%
Andhra Bank 1,312,648 1,405,335 0.0%
Apar Industries, Ltd. 100,504 1,262,449 0.0%
APL Apollo Tubes, Ltd. 9,383 214,495 0.0%
Apollo Hospitals Enterprise, Ltd. 91,149 1,746,388 0.0%
Apollo Tyres, Ltd. 2,214,640 8,428,228 0.1%
* Arvind SmartSpaces, Ltd. 73,251 119,590 0.0%
Arvind, Ltd. 1,590,261 9,864,204 0.2%
Asahi India Glass, Ltd. 451,301 1,505,351 0.0%
Ashiana Housing, Ltd. 34,342 119,041 0.0%
Ashok Leyland, Ltd. 987,355 1,317,226 0.0%
Ashoka Buildcon, Ltd. 247,132 754,695 0.0%
Astral Polytechnik, Ltd. 58,408 503,486 0.0%
* AstraZeneca Pharma India, Ltd. 1,697 25,635 0.0%
Atul, Ltd. 81,520 3,089,615 0.1%
Automotive Axles, Ltd. 11,656 127,739 0.0%
Bajaj Corp., Ltd. 393,652 2,410,776 0.0%
Bajaj Electricals, Ltd. 287,101 1,570,387 0.0%
* Bajaj Hindusthan Sugar, Ltd. 2,708,567 700,437 0.0%
Bajaj Holdings & Investment, Ltd. 121,535 3,989,729 0.1%
Balkrishna Industries, Ltd. 275,926 6,542,330 0.1%
* Ballarpur Industries, Ltd. 1,005,483 298,264 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Balmer Lawrie & Co., Ltd. 453,776 $ 1,669,354 0.0%
Balrampur Chini Mills, Ltd. 1,284,176 3,249,324 0.1%
Banco Products India, Ltd. 29,803 105,622 0.0%
* Bank of India 1,787,393 5,143,767 0.1%
* Bank Of Maharashtra 754,510 425,735 0.0%
Bannari Amman Sugars, Ltd. 14,297 441,768 0.0%
BASF India, Ltd. 85,005 1,726,533 0.0%
Bata India, Ltd. 261,464 2,364,822 0.0%
BEML, Ltd. 125,426 2,730,097 0.1%
Berger Paints India, Ltd. 2,580,429 10,474,813 0.2%
* BF Utilities, Ltd. 80,023 568,682 0.0%
* Bharat Financial Inclusion, Ltd. 367,223 4,588,539 0.1%
Bharat Forge, Ltd. 51,692 913,357 0.0%
Biocon, Ltd. 543,633 9,382,510 0.2%
Birla Corp., Ltd. 163,576 1,962,882 0.0%
Bliss Gvs Pharma, Ltd. 94,686 249,590 0.0%
Blue Dart Express, Ltd. 33,643 2,570,102 0.0%
Blue Star, Ltd. 261,620 2,820,094 0.1%
Bodal Chemicals, Ltd. 172,573 414,704 0.0%
Bombay Dyeing & Manufacturing Co., Ltd. 737,242 991,786 0.0%
Brigade Enterprises, Ltd. 196,245 746,693 0.0%
Camlin Fine Sciences, Ltd. 14,841 21,263 0.0%
Can Fin Homes, Ltd. 42,798 1,742,227 0.0%
* Canara Bank 675,656 3,756,972 0.1%
Capital First, Ltd. 134,812 1,594,803 0.0%
Caplin Point Laboratories, Ltd. 63,983 391,412 0.0%
Carborundum Universal, Ltd. 352,966 1,601,002 0.0%
Castrol India, Ltd. 143,098 975,236 0.0%
CCL Products India, Ltd. 398,664 2,103,924 0.0%
Ceat, Ltd. 201,811 4,860,641 0.1%
Century Plyboards India, Ltd. 552,367 2,222,524 0.0%
Century Textiles & Industries, Ltd. 290,073 5,104,668 0.1%
Cera Sanitaryware, Ltd. 12,835 624,206 0.0%
CESC, Ltd. 705,054 10,361,294 0.2%
* CG Power and Industrial Solutions, Ltd. 3,403,119 4,163,547 0.1%
Chambal Fertilizers and Chemicals, Ltd. 1,130,592 1,761,772 0.0%
Chennai Petroleum Corp., Ltd. 372,595 2,196,770 0.0%
Chennai Super Kings Cricket, Ltd. 1,658,632 10,878 0.0%
Cholamandalam Investment and Finance Co., Ltd. 204,067 3,521,578 0.1%
* Cigniti Technologies, Ltd. 1,895 9,507 0.0%
City Union Bank, Ltd. 994,775 2,548,390 0.0%
Clariant Chemicals India, Ltd. 64,107 676,012 0.0%
* Coffee Day Enterprises, Ltd. 17,561 68,243 0.0%
Coromandel International, Ltd. 571,426 3,069,417 0.1%
* Corp. Bank 1,348,710 1,228,804 0.0%
Cox & Kings, Ltd. 741,911 2,617,872 0.1%
Credit Analysis & Research, Ltd. 94,207 2,311,985 0.0%
CRISIL, Ltd. 86,676 2,642,466 0.1%
* Crompton Greaves Consumer Electricals, Ltd. 3,425,286 11,715,861 0.2%
Cummins India, Ltd. 367 5,703 0.0%
Cyient, Ltd. 395,004 3,376,889 0.1%
Dalmia Bharat Sugar & Industries, Ltd. 80,558 221,911 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Dalmia Bharat, Ltd. 140,913 $ 4,751,193 0.1%
DB Corp., Ltd. 109,339 646,244 0.0%
* DB Realty, Ltd. 658,917 481,980 0.0%
* DCB Bank, Ltd. 1,821,734 5,203,896 0.1%
DCM Shriram, Ltd. 283,397 1,559,032 0.0%
Deepak Fertilisers & Petrochemicals Corp., Ltd. 242,420 1,009,691 0.0%
Deepak Nitrite, Ltd. 76,000 162,836 0.0%
Delta Corp., Ltd. 915,205 2,293,898 0.0%
* DEN Networks, Ltd. 450,304 668,147 0.0%
* Dena Bank 1,251,365 862,543 0.0%
Dewan Housing Finance Corp., Ltd. 1,079,698 7,182,485 0.1%
Dhanuka Agritech, Ltd. 28,950 406,653 0.0%
* Dish TV India, Ltd. 4,183,291 6,155,374 0.1%
Dishman Pharmaceuticals & Chemicals, Ltd. 853,143 4,108,763 0.1%
DLF, Ltd. 364,025 1,051,154 0.0%
Dr Lal PathLabs, Ltd. 4,929 73,817 0.0%
* Dynamatic Technologies, Ltd. 8,983 376,592 0.0%
eClerx Services, Ltd. 142,822 2,911,595 0.1%
Edelweiss Financial Services, Ltd. 2,290,520 5,981,974 0.1%
EID Parry India, Ltd. 594,246 2,776,281 0.1%
EIH, Ltd. 984,494 2,032,829 0.0%
Electrosteel Castings, Ltd. 607,641 343,579 0.0%
Elgi Equipments, Ltd. 280,158 890,472 0.0%
Emami, Ltd. 12,892 211,669 0.0%
Engineers India, Ltd. 1,682,930 4,357,549 0.1%
Entertainment Network India, Ltd. 66,108 833,902 0.0%
* Eros International Media, Ltd. 222,553 749,610 0.0%
Escorts, Ltd. 715,425 6,092,682 0.1%
Essel Propack, Ltd. 483,540 1,925,736 0.0%
Eveready Industries India, Ltd. 259,833 1,250,975 0.0%
Exide Industries, Ltd. 2,252,320 8,064,491 0.1%
FAG Bearings India, Ltd. 35,472 2,676,757 0.1%
FDC, Ltd. 466,632 1,439,626 0.0%
Federal Bank, Ltd. 8,408,191 14,100,583 0.2%
* Federal-Mogul Goetze India, Ltd. 75,557 705,008 0.0%
FIEM Industries, Ltd. 13,997 221,563 0.0%
Finolex Cables, Ltd. 767,545 6,245,140 0.1%
Finolex Industries, Ltd. 368,384 3,324,422 0.1%
* Firstsource Solutions, Ltd. 1,861,967 1,253,555 0.0%
* Fortis Healthcare, Ltd. 618,638 2,119,611 0.0%
* Future Consumer, Ltd. 2,972,865 1,487,428 0.0%
Future Enterprises, Ltd. 983,154 481,136 0.0%
* Future Retail Ltd. 983,154 4,757,239 0.1%
Gabriel India, Ltd. 509,096 977,289 0.0%
Garware Wall Ropes, Ltd. 7,584 88,697 0.0%
Gateway Distriparks, Ltd. 659,108 2,736,058 0.1%
Gati, Ltd. 273,618 575,528 0.0%
Gayatri Projects, Ltd. 130,809 319,179 0.0%
* GE Power India, Ltd. 180,403 1,863,899 0.0%
GE T&D India, Ltd. 130,959 698,823 0.0%
Genus Power Infrastructures, Ltd. 38,419 23,555 0.0%
GHCL, Ltd. 283,360 1,146,545 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
INDIA -- (Continued)
GIC Housing Finance, Ltd. 77,845 $ 606,263 0.0%
Gillette India, Ltd. 17,155 1,150,247 0.0%
GlaxoSmithKline Consumer Healthcare, Ltd. 746 59,453 0.0%
GlaxoSmithKline Pharmaceuticals, Ltd. 2,899 112,566 0.0%
* GMR Infrastructure, Ltd. 15,924,296 4,268,699 0.1%
GOCL Corp., Ltd. 76,450 491,245 0.0%
Godfrey Phillips India, Ltd. 63,011 1,158,343 0.0%
Godrej Industries, Ltd. 422,968 3,504,859 0.1%
* Godrej Properties, Ltd. 530,157 3,840,588 0.1%
Granules India, Ltd. 680,083 1,608,688 0.0%
Graphite India, Ltd. 397,865 766,769 0.0%
Great Eastern Shipping Co., Ltd. (The) 537,661 3,672,130 0.1%
Greaves Cotton, Ltd. 738,365 1,986,067 0.0%
Greenply Industries, Ltd. 69,197 301,244 0.0%
Grindwell Norton, Ltd. 53,021 318,317 0.0%
Gruh Finance, Ltd. 598,718 3,712,783 0.1%
Gujarat Alkalies & Chemicals, Ltd. 194,312 1,412,686 0.0%
* Gujarat Ambuja Exports, Ltd. 36,931 75,488 0.0%
Gujarat Fluorochemicals, Ltd. 224,424 2,692,888 0.1%
Gujarat Gas, Ltd. 319,983 4,193,811 0.1%
Gujarat Industries Power Co., Ltd. 137,931 232,500 0.0%
Gujarat Mineral Development Corp., Ltd. 803,287 1,554,587 0.0%
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 266,808 1,250,237 0.0%
Gujarat Pipavav Port, Ltd. 1,038,829 2,583,187 0.1%
Gujarat State Fertilizers & Chemicals, Ltd. 969,096 1,941,886 0.0%
Gujarat State Petronet, Ltd. 1,518,170 4,270,613 0.1%
Gulf Oil Lubricants India, Ltd. 81,055 961,099 0.0%
* GVK Power & Infrastructure, Ltd. 5,289,365 513,271 0.0%
* Hathway Cable & Datacom, Ltd. 2,072,655 1,403,581 0.0%
Hatsun Agro Products, Ltd. 8,866 85,153 0.0%
* HCL Infosystems, Ltd. 602,621 531,504 0.0%
HCL Technologies, Ltd. 23,034 292,142 0.0%
* HEG, Ltd. 36,273 176,165 0.0%
* HeidelbergCement India, Ltd. 632,326 1,347,149 0.0%
Heritage Foods, Ltd. 15,362 285,196 0.0%
Hexaware Technologies, Ltd. 1,401,864 5,033,308 0.1%
Hikal, Ltd. 115,702 381,334 0.0%
* Himachal Futuristic Communications, Ltd. 4,767,799 1,140,570 0.0%
Himadri Speciality Chemical, Ltd. 286,568 249,271 0.0%
Himatsingka Seide, Ltd. 239,389 1,261,288 0.0%
Hinduja Global Solutions, Ltd. 17,423 150,333 0.0%
Hinduja Ventures, Ltd. 27,826 216,781 0.0%
* Hindustan Construction Co., Ltd. 3,553,749 2,573,896 0.1%
Hindustan Media Ventures, Ltd. 22,234 100,130 0.0%
Honda SIEL Power Products, Ltd. 2,618 59,589 0.0%
Honeywell Automation India, Ltd. 13,522 2,303,257 0.0%
* Housing Development & Infrastructure, Ltd. 3,064,118 4,317,159 0.1%
HSIL, Ltd. 238,038 1,254,570 0.0%
HT Media, Ltd. 550,399 702,642 0.0%
Huhtamaki PPL, Ltd. 126,615 539,432 0.0%
ICRA, Ltd. 2,834 185,077 0.0%
* IDBI Bank, Ltd. 4,310,788 5,222,228 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
* IFB Industries, Ltd. 36,259 $ 371,176 0.0%
* IFCI, Ltd. 5,221,683 2,573,321 0.1%
Igarashi Motors India, Ltd. 11,050 138,821 0.0%
IIFL Holdings, Ltd. 1,532,495 11,384,136 0.2%
IL&FS Transportation Networks, Ltd. 807,052 1,432,968 0.0%
India Cements, Ltd. (The) 1,763,985 5,935,109 0.1%
* Indiabulls Real Estate, Ltd. 1,742,204 4,043,535 0.1%
Indiabulls Ventures, Ltd. 143,027 244,716 0.0%
Indian Bank 742,128 3,678,830 0.1%
Indian Hotels Co., Ltd. 2,977,271 5,935,335 0.1%
Indian Hume Pipe Co., Ltd. 14,706 90,764 0.0%
Indian Metals & Ferro Alloys, Ltd. 3,388 30,634 0.0%
* Indian Overseas Bank 2,002,490 897,480 0.0%
Indo Count Industries, Ltd. 397,532 1,274,847 0.0%
Indoco Remedies, Ltd. 292,200 1,031,814 0.0%
Indraprastha Gas, Ltd. 235,051 3,858,195 0.1%
INEOS Styrolution India, Ltd. 23,441 268,023 0.0%
Ingersoll-Rand India, Ltd. 86,228 1,202,570 0.0%
* Inox Leisure, Ltd. 364,062 1,686,483 0.0%
* Inox Wind, Ltd. 123,201 374,734 0.0%
* Intellect Design Arena, Ltd. 270,440 542,514 0.0%
* International Paper APPM, Ltd. 15,578 87,543 0.0%
* Ipca Laboratories, Ltd. 375,952 3,474,909 0.1%
IRB Infrastructure Developers, Ltd. 1,582,858 6,411,536 0.1%
* ITD Cementation India, Ltd. 287,640 848,682 0.0%
J Kumar Infraprojects, Ltd. 28,792 128,774 0.0%
* Jagran Prakashan, Ltd. 805,706 2,451,037 0.0%
Jai Corp., Ltd. 104,735 147,076 0.0%
Jain Irrigation Systems, Ltd. 3,123,477 5,424,741 0.1%
* Jaiprakash Associates, Ltd. 10,389,053 2,222,677 0.0%
* Jaiprakash Power Ventures, Ltd. 7,837,751 589,681 0.0%
Jammu & Kashmir Bank, Ltd. (The) 2,109,565 2,649,867 0.1%
Jamna Auto Industries, Ltd. 127,311 473,028 0.0%
* Jaypee Infratech, Ltd. 3,812,775 890,540 0.0%
JB Chemicals & Pharmaceuticals, Ltd. 232,209 1,194,025 0.0%
JBF Industries, Ltd. 256,841 1,157,997 0.0%
* Jet Airways India, Ltd. 153,849 1,243,086 0.0%
Jindal Poly Films, Ltd. 130,599 920,051 0.0%
Jindal Saw, Ltd. 1,136,957 1,423,118 0.0%
* Jindal Stainless Hisar, Ltd. 170,942 364,273 0.0%
* Jindal Steel & Power, Ltd. 3,202,653 5,659,896 0.1%
* JITF Infralogistics, Ltd. 91,395 97,036 0.0%
JK Cement, Ltd. 190,349 2,928,591 0.1%
JK Lakshmi Cement, Ltd. 357,229 2,586,452 0.1%
JK Tyre & Industries, Ltd. 617,706 1,593,700 0.0%
JM Financial, Ltd. 2,268,631 4,092,592 0.1%
Johnson Controls-Hitachi Air Conditioning India, Ltd. 66,126 1,843,967 0.0%
JSW Energy, Ltd. 2,850,755 2,974,987 0.1%
* JSW Holdings, Ltd. 22,564 552,433 0.0%
Jubilant Foodworks, Ltd. 306,433 4,967,659 0.1%
Jubilant Life Sciences, Ltd. 505,015 6,035,663 0.1%
* Just Dial, Ltd. 283,534 2,213,840 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Jyothy Laboratories, Ltd. 424,388 $2,624,078 0.1%
Kajaria Ceramics, Ltd. 663,898 6,874,850 0.1%
Kalpataru Power Transmission, Ltd. 452,177 2,481,506 0.0%
* Kalyani Steels, Ltd. 86,667 502,425 0.0%
Kansai Nerolac Paints, Ltd. 474,998 2,906,519 0.1%
Karnataka Bank, Ltd. (The) 1,577,699 4,033,195 0.1%
Karur Vysya Bank, Ltd. (The) 2,359,560 4,358,331 0.1%
* Kaveri Seed Co., Ltd. 205,478 1,805,672 0.0%
* KAYA, Ltd. 6,469 82,469 0.0%
KCP, Ltd. 160,409 324,559 0.0%
KEC International, Ltd. 766,919 2,622,905 0.1%
KEI Industries, Ltd. 86,756 291,815 0.0%
* Kesoram Industries, Ltd. 211,137 546,174 0.0%
Kewal Kiran Clothing, Ltd. 1,598 43,843 0.0%
Kirloskar Brothers, Ltd. 38,311 168,185 0.0%
Kirloskar Oil Engines, Ltd. 247,750 1,503,369 0.0%
Kitex Garments, Ltd. 61,482 468,001 0.0%
KNR Constructions, Ltd. 51,786 159,830 0.0%
Kolte-Patil Developers, Ltd. 31,126 90,129 0.0%
KPIT Technologies, Ltd. 1,237,641 2,468,140 0.0%
KPR Mill, Ltd. 59,921 682,748 0.0%
KRBL, Ltd. 532,161 3,641,586 0.1%
KSB Pumps, Ltd. 52,540 572,139 0.0%
Kwality, Ltd. 169,362 397,454 0.0%
L&T Finance Holdings, Ltd. 3,576,203 7,106,857 0.1%
LA Opala RG, Ltd. 41,491 354,590 0.0%
Lakshmi Machine Works, Ltd. 26,586 1,924,719 0.0%
Lakshmi Vilas Bank, Ltd. (The) 578,090 1,677,620 0.0%
* Lanco Infratech, Ltd. 5,107,406 277,913 0.0%
Linde India, Ltd. 20,227 144,296 0.0%
Magma Fincorp, Ltd. 79,915 144,663 0.0%
Maharashtra Seamless, Ltd. 210,955 1,146,553 0.0%
Mahindra & Mahindra Financial Services, Ltd. 1,158,004 6,052,358 0.1%
* Mahindra CIE Automotive, Ltd. 198,352 748,505 0.0%
Mahindra Holidays & Resorts India, Ltd. 244,745 1,710,966 0.0%
Mahindra Lifespace Developers, Ltd.( ) 30,715 211,037 0.0%
Mahindra Lifespace Developers, Ltd.(6238258) 122,860 845,798 0.0%
* Majesco, Ltd. 47,137 262,903 0.0%
Man Infraconstruction, Ltd. 133,203 123,030 0.0%
Manappuram Finance, Ltd. 2,743,178 3,985,235 0.1%
* Mangalore Refinery & Petrochemicals, Ltd. 1,709,073 3,547,095 0.1%
Marksans Pharma, Ltd. 747,546 606,640 0.0%
Max Financial Services, Ltd. 402,918 4,122,104 0.1%
* MAX India, Ltd. 960,513 2,358,350 0.0%
* Max Ventures & Industries, Ltd. 22,445 36,519 0.0%
Mayur Uniquoters, Ltd. 30,972 191,094 0.0%
McLeod Russel India, Ltd. 504,587 1,489,393 0.0%
Meghmani Organics, Ltd. 161,551 101,692 0.0%
Merck, Ltd. 46,217 778,916 0.0%
Minda Corp., Ltd. 36,029 63,095 0.0%
Minda Industries, Ltd. 50,672 379,131 0.0%
MindTree, Ltd. 789,676 5,961,898 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Mirza International, Ltd. 37,315 $ 62,056 0.0%
MOIL, Ltd. 99,057 484,596 0.0%
Monsanto India, Ltd. 47,843 1,912,082 0.0%
Motilal Oswal Financial Services, Ltd. 106,737 1,398,444 0.0%
Mphasis, Ltd. 584,169 4,877,540 0.1%
* MPS, Ltd. 34,169 360,441 0.0%
MRF, Ltd. 9,818 10,341,054 0.2%
Muthoot Finance, Ltd. 561,867 3,447,600 0.1%
* Nagarjuna Fertilizers & Chemicals, Ltd. 568,337 167,371 0.0%
Natco Pharma, Ltd. 566,543 8,126,763 0.1%
National Aluminium Co., Ltd. 3,303,706 3,535,001 0.1%
Nava Bharat Ventures, Ltd. 181,310 420,609 0.0%
Navin Fluorine International, Ltd. 7,736 377,171 0.0%
* Navkar Corp., Ltd. 3,995 13,049 0.0%
Navneet Education, Ltd. 722,037 1,890,197 0.0%
NCC, Ltd. 3,716,431 5,518,069 0.1%
Nectar Lifesciences, Ltd. 229,932 134,449 0.0%
NESCO, Ltd. 41,255 1,628,116 0.0%
* Network 18 Media & Investments, Ltd. 315,927 243,138 0.0%
Neuland Laboratories, Ltd. 8,093 176,251 0.0%
NIIT Technologies, Ltd. 345,231 2,463,521 0.0%
* NIIT, Ltd. 689,214 856,875 0.0%
Nilkamal, Ltd. 54,805 1,865,019 0.0%
NOCIL, Ltd. 285,328 469,188 0.0%
Oberoi Realty, Ltd. 604,036 3,724,220 0.1%
OCL India, Ltd. 73,065 1,154,562 0.0%
Omaxe, Ltd. 427,081 1,280,704 0.0%
OnMobile Global, Ltd. 209,843 273,965 0.0%
Orient Cement Ltd. 378,234 993,874 0.0%
Orient Paper & Industries, Ltd. 113,249 152,794 0.0%
Orient Refractories, Ltd. 31,620 66,925 0.0%
Oriental Bank of Commerce 588,747 1,548,423 0.0%
Orissa Minerals Development Co., Ltd. 1 33 0.0%
Page Industries, Ltd. 32,419 7,285,287 0.1%
* Parsvnath Developers, Ltd. 193,900 49,112 0.0%
PC Jeweller, Ltd. 461,635 3,026,877 0.1%
Persistent Systems, Ltd. 271,838 2,479,966 0.0%
Pfizer, Ltd. 89,525 2,408,006 0.0%
Phillips Carbon Black, Ltd. 31,199 207,130 0.0%
Phoenix Mills, Ltd. (The) 329,638 2,116,850 0.0%
PI Industries, Ltd. 437,024 5,900,392 0.1%
* Polaris Consulting & Services, Ltd. 46,043 145,876 0.0%
Poly Medicure, Ltd. 19,098 82,422 0.0%
Praj Industries, Ltd. 612,609 823,290 0.0%
Prestige Estates Projects, Ltd. 628,433 2,304,866 0.0%
* Prism Cement, Ltd. 645,641 1,219,880 0.0%
Procter & Gamble Hygiene & Health Care, Ltd. 192 21,955 0.0%
PTC India Financial Services, Ltd. 1,650,202 1,188,181 0.0%
PTC India, Ltd. 2,016,402 2,980,603 0.1%
Puravankara, Ltd. 389,976 403,226 0.0%
PVR, Ltd. 164,101 4,116,551 0.1%
Radico Khaitan, Ltd. 378,681 721,065 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Rain Industries, Ltd. 1,039,970 $ 1,819,215 0.0%
Rajesh Exports, Ltd. 234,473 2,241,440 0.0%
Rallis India, Ltd. 554,338 2,087,035 0.0%
Ramco Cements, Ltd. (The) 573,076 6,136,829 0.1%
Ramco Industries, Ltd. 115,344 397,389 0.0%
* Ramco Systems, Ltd. 28,350 177,911 0.0%
Ramkrishna Forgings, Ltd. 14,045 110,174 0.0%
Rashtriya Chemicals & Fertilizers, Ltd. 274,978 359,960 0.0%
Ratnamani Metals & Tubes, Ltd. 50,813 637,626 0.0%
* RattanIndia Power, Ltd. 2,705,170 363,451 0.0%
Raymond, Ltd. 247,409 2,857,802 0.1%
Redington India, Ltd. 1,703,133 3,309,252 0.1%
Relaxo Footwears, Ltd. 101,848 784,917 0.0%
Reliance Capital, Ltd. 983,665 10,153,186 0.2%
* Reliance Communications, Ltd. 4,294,802 2,294,910 0.0%
* Reliance Defence and Engineering, Ltd. 855,404 866,030 0.0%
Reliance Infrastructure, Ltd. 1,046,499 9,673,764 0.2%
* Reliance Power, Ltd. 5,658,237 4,297,271 0.1%
Repco Home Finance, Ltd. 126,392 1,511,481 0.0%
* Rolta India, Ltd. 607,957 572,601 0.0%
* Ruchi Soya Industries, Ltd. 838,664 330,504 0.0%
Rural Electrification Corp., Ltd. 216,224 678,984 0.0%
Sadbhav Engineering, Ltd. 381,700 1,982,597 0.0%
Sangam India, Ltd. 15,684 74,573 0.0%
Sanghvi Movers, Ltd. 32,366 132,875 0.0%
Sanofi India, Ltd. 37,717 2,457,516 0.0%
SH Kelkar & Co., Ltd. 20,104 101,281 0.0%
Sharda Cropchem, Ltd. 56,458 437,590 0.0%
Shemaroo Entertainment, Ltd. 14,731 91,515 0.0%
Shilpa Medicare, Ltd. 55,882 623,727 0.0%
Shilpi Cable Technologies, Ltd. 134,640 250,030 0.0%
* Shipping Corp. of India, Ltd. 975,179 1,223,129 0.0%
Shoppers Stop, Ltd. 49,648 278,343 0.0%
Shriram City Union Finance, Ltd. 23,293 804,170 0.0%
* Shriram EPC Ltd. 8,140 3,448 0.0%
* Shyam Century Ferrous, Ltd. 137,796 16,969 0.0%
* Sical Logistics, Ltd. 28,973 115,461 0.0%
Simplex Infrastructures, Ltd. 101,949 641,399 0.0%
Sintex Industries, Ltd. 3,697,541 6,517,183 0.1%
* SITI Networks, Ltd. 1,572,632 861,752 0.0%
Siyaram Silk Mills, Ltd. 1,042 27,225 0.0%
SJVN, Ltd. 3,015,613 1,638,237 0.0%
SKF India, Ltd. 128,777 3,402,483 0.1%
Skipper, Ltd. 44,292 131,562 0.0%
SML ISUZU, Ltd. 42,899 883,526 0.0%
Sobha, Ltd. 382,591 2,204,686 0.0%
Solar Industries India, Ltd. 137,314 1,714,315 0.0%
Somany Ceramics, Ltd. 11,174 128,792 0.0%
Sona Koyo Steering Systems, Ltd. 458,162 586,065 0.0%
Sonata Software, Ltd. 341,739 898,839 0.0%
South Indian Bank, Ltd. (The) 6,588,178 2,633,265 0.1%
SREI Infrastructure Finance, Ltd. 1,205,273 1,704,444 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
SRF, Ltd. 159,230 $ 4,392,341 0.1%
* Star Ferro and Cement, Ltd. 137,796 300,418 0.0%
State Bank of India 640,412 2,877,579 0.1%
* Steel Authority of India, Ltd. 1,324,841 1,242,314 0.0%
Sterlite Technologies, Ltd. 1,319,184 3,000,127 0.1%
Strides Shasun, Ltd. 353,724 5,907,999 0.1%
Subros, Ltd. 22,174 79,232 0.0%
Sudarshan Chemical Industries, Ltd. 59,904 341,195 0.0%
Sun TV Network, Ltd. 549,097 7,853,938 0.1%
Sundaram Finance, Ltd. 56,821 1,412,873 0.0%
Sundaram-Clayton, Ltd. 4,055 272,272 0.0%
Sundram Fasteners, Ltd. 636,974 3,970,754 0.1%
Sunteck Realty, Ltd. 12,641 88,014 0.0%
Suprajit Engineering, Ltd. 118,535 432,973 0.0%
Supreme Industries, Ltd. 309,088 5,196,041 0.1%
Supreme Petrochem, Ltd. 128,092 785,551 0.0%
Suven Life Sciences, Ltd. 90,466 253,754 0.0%
* Suzlon Energy, Ltd. 15,310,443 4,902,288 0.1%
Swaraj Engines, Ltd. 16,802 471,631 0.0%
Symphony, Ltd. 47,192 1,051,687 0.0%
* Syndicate Bank 1,354,916 1,743,435 0.0%
Syngene International, Ltd. 40,989 331,173 0.0%
TAKE Solutions, Ltd. 380,390 786,872 0.0%
Tamil Nadu Newsprint & Papers, Ltd. 173,348 797,684 0.0%
Tata Chemicals, Ltd. 600,945 6,126,698 0.1%
Tata Communications, Ltd. 692,179 7,758,352 0.1%
Tata Elxsi, Ltd. 78,826 1,854,604 0.0%
Tata Global Beverages, Ltd. 3,071,328 7,298,528 0.1%
Tata Metaliks, Ltd. 12,319 131,033 0.0%
Tata Power Co., Ltd. (The) 859,450 1,132,362 0.0%
Tata Sponge Iron, Ltd. 33,375 427,727 0.0%
* Tata Teleservices Maharashtra, Ltd. 4,512,759 579,058 0.0%
TCI Express, Ltd. 123,000 892,029 0.0%
Techno Electric & Engineering Co., Ltd. 261,424 1,606,643 0.0%
Texmaco Rail & Engineering, Ltd. 364,781 563,219 0.0%
Thermax, Ltd. 298,807 4,687,643 0.1%
Thomas Cook India, Ltd. 86,261 273,622 0.0%
Tide Water Oil Co India, Ltd. 3,750 354,284 0.0%
Time Technoplast, Ltd. 519,576 919,515 0.0%
Timken India, Ltd. 186,212 2,091,865 0.0%
Titagarh Wagons, Ltd. 471,257 935,068 0.0%
Torrent Pharmaceuticals, Ltd. 3,389 74,429 0.0%
Torrent Power, Ltd. 1,124,547 3,968,001 0.1%
Transport Corp. of India, Ltd. 245,999 927,272 0.0%
Trent, Ltd. 449,150 1,763,994 0.0%
Trident, Ltd. 162,117 211,174 0.0%
* Triveni Engineering & Industries, Ltd. 320,799 471,232 0.0%
Triveni Turbine, Ltd. 493,737 1,055,603 0.0%
TTK Prestige, Ltd. 36,891 3,581,987 0.1%
Tube Investments of India, Ltd. 521,048 5,460,994 0.1%
* TV18 Broadcast, Ltd. 4,850,693 3,152,686 0.1%
TVS Motor Co., Ltd. 1,601,124 12,289,647 0.2%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
TVS Srichakra, Ltd. 4,221 $ 265,545 0.0%
* UCO Bank 1,375,491 889,055 0.0%
Uflex, Ltd. 232,965 1,350,808 0.0%
UFO Moviez India, Ltd. 12,448 89,659 0.0%
Unichem Laboratories, Ltd. 348,803 1,486,280 0.0%
* Union Bank of India 1,441,517 3,843,311 0.1%
* Unitech, Ltd. 12,950,453 1,146,038 0.0%
United Breweries, Ltd. 18,324 218,994 0.0%
UPL, Ltd. 206,926 2,594,404 0.1%
V-Guard Industries, Ltd. 1,371,902 4,062,161 0.1%
V-Mart Retail, Ltd. 18,128 264,263 0.0%
VA Tech Wabag, Ltd. 268,108 2,802,645 0.1%
Vakrangee, Ltd. 933,077 4,957,517 0.1%
Vardhman Textiles, Ltd. 155,477 3,140,487 0.1%
Venky's India, Ltd. 2,459 47,716 0.0%
Vesuvius India, Ltd. 2,399 45,966 0.0%
* Videocon Industries, Ltd. 981,282 1,582,781 0.0%
* Vijaya Bank 2,025,328 2,598,678 0.1%
Vinati Organics, Ltd. 35,259 472,237 0.0%
VIP Industries, Ltd. 677,603 2,095,549 0.0%
Voltas, Ltd. 1,081,133 6,905,401 0.1%
VRL Logistics, Ltd. 55,743 293,167 0.0%
VST Industries, Ltd. 28,145 1,337,617 0.0%
VST Tillers Tractors, Ltd. 4,322 133,937 0.0%
WABCO India, Ltd. 26,081 2,428,782 0.0%
Welspun Corp., Ltd. 803,609 1,031,765 0.0%
* Welspun Enterprises, Ltd. 411,154 599,310 0.0%
Welspun India, Ltd. 2,324,751 3,459,362 0.1%
West Coast Paper Mills, Ltd. 68,653 214,058 0.0%
Wheels India, Ltd. 1,361 27,696 0.0%
* Whirlpool of India, Ltd. 69,139 1,303,062 0.0%
Wockhardt, Ltd. 192,217 2,144,703 0.0%
Wonderla Holidays, Ltd. 27,759 168,335 0.0%
Zee Media Corp., Ltd. 318,054 187,827 0.0%
Zensar Technologies, Ltd. 121,941 1,637,474 0.0%
* Zuari Agro Chemicals, Ltd. 16,783 108,859 0.0%
Zydus Wellness, Ltd. 108,723 1,469,350 0.0%
------------ ----
TOTAL INDIA 984,243,634 15.1%
------------ ----
INDONESIA -- (3.0%)
Ace Hardware Indonesia Tbk PT 55,652,000 3,904,545 0.1%
Acset Indonusa Tbk PT 65,000 15,898 0.0%
Adhi Karya Persero Tbk PT 17,489,988 2,960,262 0.1%
* Agung Podomoro Land Tbk PT 64,965,800 1,022,641 0.0%
AKR Corporindo Tbk PT 9,517,400 4,831,419 0.1%
* Alam Sutera Realty Tbk PT 96,434,500 2,511,678 0.1%
* Aneka Tambang Persero Tbk PT 89,605,538 4,667,530 0.1%
Arwana Citramulia Tbk PT 29,196,500 1,192,897 0.0%
Asahimas Flat Glass Tbk PT 983,000 499,271 0.0%
Astra Agro Lestari Tbk PT 1,128,200 1,217,979 0.0%
Astra Graphia Tbk PT 2,211,000 314,545 0.0%
* Asuransi Kresna Mitra Tbk PT 2,280,500 101,777 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
INDONESIA -- (Continued)
* Bakrie and Brothers Tbk PT 168,801,300 $ 633,211 0.0%
* Bakrie Telecom Tbk PT 74,325,398 278,811 0.0%
* Bank Artha Graha Internasional Tbk PT 6,018,100 42,909 0.0%
Bank Bukopin Tbk 38,329,766 1,809,772 0.0%
Bank Maybank Indonesia Tbk PT 4,652,500 118,643 0.0%
* Bank Pan Indonesia Tbk PT 24,277,700 1,665,217 0.0%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 26,803,700 4,035,221 0.1%
Bank Pembangunan Daerah Jawa Timur Tbk PT 29,068,900 1,491,728 0.0%
* Bank Permata Tbk PT 22,989,400 1,197,078 0.0%
Bank Tabungan Negara Persero Tbk PT 44,537,349 7,668,099 0.1%
Bank Tabungan Pensiunan Nasional Tbk PT 149,700 29,313 0.0%
* Barito Pacific Tbk PT 16,170,100 3,818,994 0.1%
Bekasi Fajar Industrial Estate Tbk PT 47,637,500 1,056,122 0.0%
* Benakat Integra Tbk PT 133,672,100 1,081,753 0.0%
* Berau Coal Energy Tbk PT 40,089,600 46,243 0.0%
BISI International Tbk PT 15,932,400 2,219,037 0.0%
Blue Bird Tbk PT 1,782,000 523,753 0.0%
* Bumi Resources Tbk PT 70,558,100 2,368,637 0.1%
* Bumi Teknokultura Unggul Tbk PT 5,802,100 421,341 0.0%
Catur Sentosa Adiprana Tbk PT 2,970,000 103,342 0.0%
Ciputra Development Tbk PT 107,412,620 10,300,966 0.2%
* Citra Marga Nusaphala Persada Tbk PT 18,383,402 1,930,128 0.0%
* Clipan Finance Indonesia Tbk PT 1,482,000 33,323 0.0%
* Darma Henwa Tbk PT 4,923,400 24,024 0.0%
* Delta Dunia Makmur Tbk PT 28,612,400 2,361,300 0.1%
Dharma Satya Nusantara Tbk PT 2,071,600 85,516 0.0%
* Eagle High Plantations Tbk PT 92,719,900 2,180,161 0.0%
Elnusa Tbk PT 35,029,800 991,181 0.0%
* Energi Mega Persada Tbk PT 95,803,500 359,339 0.0%
Erajaya Swasembada Tbk PT 10,697,000 585,408 0.0%
* Eureka Prima Jakarta Tbk PT 15,407,200 114,401 0.0%
* Ever Shine Textile Tbk PT 3,654,640 25,774 0.0%
Fajar Surya Wisesa Tbk PT 808,400 277,015 0.0%
* Gajah Tunggal Tbk PT 13,735,800 1,065,455 0.0%
* Garuda Indonesia Persero Tbk PT 38,162,349 1,052,827 0.0%
Global Mediacom Tbk PT 47,256,600 1,894,278 0.0%
* Hanson International Tbk PT 319,301,200 3,324,489 0.1%
* Harum Energy Tbk PT 7,544,900 1,452,953 0.0%
Hexindo Adiperkasa Tbk PT 508,500 167,798 0.0%
Holcim Indonesia Tbk PT 6,836,200 461,426 0.0%
Impack Pratama Industri Tbk PT 169,800 12,166 0.0%
Indah Kiat Pulp & Paper Corp. Tbk PT 22,194,700 3,459,339 0.1%
* Indika Energy Tbk PT 11,849,600 799,390 0.0%
Indo Tambangraya Megah Tbk PT 3,117,200 4,469,480 0.1%
Indomobil Sukses Internasional Tbk PT 33,000 2,841 0.0%
Industri Jamu Dan Farmasi Sido Muncul Tbk PT 15,142,700 635,164 0.0%
* Inovisi Infracom Tbk PT 1,806,467 2,973 0.0%
Intiland Development Tbk PT 62,669,232 2,067,232 0.0%
Japfa Comfeed Indonesia Tbk PT 41,464,200 4,554,854 0.1%
Jaya Real Property Tbk PT 10,131,400 684,087 0.0%
* Kawasan Industri Jababeka Tbk PT 159,789,579 3,950,488 0.1%
KMI Wire & Cable Tbk PT 7,261,600 337,342 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ---------- ---------------
INDONESIA -- (Continued)
* Krakatau Steel Persero Tbk PT 31,947,002 $1,387,851 0.0%
* Kresna Graha Investama Tbk PT 34,839,100 1,113,310 0.0%
Link Net Tbk PT 4,419,500 1,789,237 0.0%
* Lippo Cikarang Tbk PT 4,184,900 1,404,036 0.0%
Lippo Karawaci Tbk PT 109,595,500 6,491,188 0.1%
* Malindo Feedmill Tbk PT 7,226,400 661,140 0.0%
Matahari Putra Prima Tbk PT 9,960,328 705,621 0.0%
* Medco Energi Internasional Tbk PT 12,921,500 2,895,614 0.1%
Media Nusantara Citra Tbk PT 20,346,900 2,783,118 0.1%
* Mega Manunggal Property Tbk PT 1,096,800 47,748 0.0%
* Mitra Adiperkasa Tbk PT 7,565,100 3,586,095 0.1%
Mitra Pinasthika Mustika Tbk PT 4,326,800 292,121 0.0%
* MNC Investama Tbk PT 185,386,600 1,670,377 0.0%
MNC Land Tbk PT 527,100 53,784 0.0%
* MNC Sky Vision Tbk PT 1,540,200 117,705 0.0%
* Modernland Realty Tbk PT 80,350,600 1,697,950 0.0%
* Multipolar Tbk PT 62,638,500 1,492,755 0.0%
* Multistrada Arah Sarana Tbk PT 6,288,800 109,576 0.0%
Nippon Indosari Corpindo Tbk PT 17,696,100 2,175,340 0.0%
* Nirvana Development Tbk PT 16,367,300 96,951 0.0%
* Nusantara Infrastructure Tbk PT 116,443,000 1,151,894 0.0%
Pabrik Kertas Tjiwi Kimia Tbk PT 1,245,900 118,974 0.0%
* Pacific Strategic Financial Tbk PT 7,429,000 199,323 0.0%
Pakuwon Jati Tbk PT 10,159,300 475,064 0.0%
Pan Brothers Tbk PT 24,590,100 1,096,826 0.0%
* Panin Financial Tbk PT 153,147,500 2,685,287 0.1%
Panin Sekuritas Tbk PT 31,500 8,285 0.0%
* Paninvest Tbk PT 8,124,500 518,598 0.0%
Pembangunan Perumahan Persero Tbk PT 22,994,014 5,482,032 0.1%
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 30,597,800 3,198,589 0.1%
PP Properti Tbk PT 41,548,000 821,854 0.0%
Ramayana Lestari Sentosa Tbk PT 33,963,500 3,245,515 0.1%
Resource Alam Indonesia Tbk PT 2,456,000 79,650 0.0%
Salim Ivomas Pratama Tbk PT 33,084,000 1,573,168 0.0%
Samindo Resources Tbk PT 932,850 59,408 0.0%
Sampoerna Agro PT 6,143,100 977,066 0.0%
Sawit Sumbermas Sarana Tbk PT 18,096,900 2,374,539 0.1%
* Sekawan Intipratama Tbk PT 9,367,900 12,651 0.0%
Selamat Sempurna Tbk PT 22,056,800 2,017,448 0.0%
Semen Baturaja Persero Tbk PT 25,488,700 6,739,797 0.1%
* Sentul City Tbk PT 240,932,600 1,589,805 0.0%
* Siloam International Hospitals Tbk PT 3,033,900 3,115,926 0.1%
* Sinar Mas Agro Resources & Technology Tbk PT 1,037,460 319,118 0.0%
Sri Rejeki Isman Tbk PT 76,048,731 1,721,792 0.0%
Steel Pipe Industry of Indonesia PT 5,809,800 102,843 0.0%
* Sugih Energy Tbk PT 162,320,200 608,899 0.0%
Sumber Alfaria Trijaya Tbk PT 293,400 12,562 0.0%
Summarecon Agung Tbk PT 51,944,564 5,287,120 0.1%
Surya Semesta Internusa Tbk PT 37,147,100 2,032,404 0.0%
Tambang Batubara Bukit Asam Persero Tbk PT 5,334,000 5,057,740 0.1%
Tempo Scan Pacific Tbk PT 1,314,400 203,662 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDONESIA -- (Continued)
* Tiga Pilar Sejahtera Food Tbk 19,445,200 $ 3,226,103 0.1%
Timah Persero Tbk PT 28,767,614 2,036,233 0.0%
Tiphone Mobile Indonesia Tbk PT 20,750,400 1,602,109 0.0%
Total Bangun Persada Tbk PT 14,983,200 888,207 0.0%
Tower Bersama Infrastructure Tbk PT 3,959,300 1,737,016 0.0%
* Trada Maritime Tbk PT 35,459,800 287,224 0.0%
Trias Sentosa Tbk PT 34,049,500 792,226 0.0%
* Truba Alam Manunggal Engineering PT 21,316,500 23,989 0.0%
Tunas Baru Lampung Tbk PT 17,163,300 1,632,853 0.0%
Tunas Ridean Tbk PT 12,965,700 1,288,876 0.0%
* Ultrajaya Milk Industry & Trading Co. Tbk PT 3,657,400 1,152,944 0.0%
* Unggul Indah Cahaya Tbk PT 48,239 11,422 0.0%
* Vale Indonesia Tbk PT 17,738,100 2,946,421 0.1%
* Visi Media Asia Tbk PT 55,056,100 1,641,861 0.0%
Waskita Karya Persero Tbk PT 2,000,900 358,256 0.0%
Wijaya Karya Beton Tbk PT 18,249,900 1,012,924 0.0%
Wijaya Karya Persero Tbk PT 27,871,707 4,944,284 0.1%
* XL Axiata Tbk PT 4,586,600 1,102,958 0.0%
------------ ---
TOTAL INDONESIA 213,658,046 3.3%
------------ ---
MALAYSIA -- (3.7%)
# 7-Eleven Malaysia Holdings Bhd Class B 1,197,000 440,900 0.0%
# Aeon Co. M Bhd 4,094,700 2,340,461 0.1%
# Aeon Credit Service M Bhd 238,600 897,454 0.0%
Affin Holdings Bhd 1,512,020 1,020,376 0.0%
AirAsia Bhd 6,572,400 5,069,313 0.1%
#* AirAsia X Bhd 12,904,600 1,336,308 0.0%
Ajinomoto Malaysia Bhd 18,700 77,570 0.0%
* Alam Maritim Resources Bhd 3,698,500 255,292 0.0%
Alliance Financial Group Bhd 1,911,100 1,816,879 0.0%
Allianz Malaysia Bhd 72,200 191,018 0.0%
Amway Malaysia Holdings Bhd 347,600 615,061 0.0%
# Ann Joo Resources Bhd 787,050 536,253 0.0%
APM Automotive Holdings Bhd 256,900 225,873 0.0%
* Barakah Offshore Petroleum Bhd 1,884,200 271,142 0.0%
Batu Kawan Bhd 2,900 12,682 0.0%
Benalec Holdings Bhd 3,667,000 447,345 0.0%
* Berjaya Assets BHD 848,300 201,277 0.0%
#* Berjaya Corp. Bhd 26,842,727 2,161,789 0.1%
Berjaya Food Bhd 192,000 76,938 0.0%
* Berjaya Land Bhd 3,734,000 456,137 0.0%
# Berjaya Sports Toto Bhd 3,165,867 2,048,948 0.0%
# Bermaz Auto Bhd 4,358,800 2,157,932 0.0%
BIMB Holdings Bhd 1,352,108 1,364,515 0.0%
Bintulu Port Holdings Bhd 25,900 36,948 0.0%
Bonia Corp. Bhd 1,427,000 213,440 0.0%
#* Borneo Oil Bhd 4,448,000 189,648 0.0%
# Boustead Holdings Bhd 2,439,728 1,471,570 0.0%
# Boustead Plantations Bhd 1,309,000 494,464 0.0%
#* Bumi Armada Bhd 14,468,800 2,628,369 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
MALAYSIA -- (Continued)
# Bursa Malaysia Bhd 3,763,000 $8,894,415 0.2%
# Cahya Mata Sarawak Bhd 3,362,500 3,520,029 0.1%
Can-One Bhd 435,800 328,187 0.0%
Carlsberg Brewery Malaysia Bhd Class B 1,165,700 4,106,958 0.1%
Carotech Bhd 230,650 213 0.0%
CB Industrial Product Holding Bhd 2,940,340 1,394,948 0.0%
Chin Teck Plantations Bhd 33,000 60,151 0.0%
Coastal Contracts Bhd 2,216,066 678,161 0.0%
CSC Steel Holdings Bhd 555,500 251,974 0.0%
Cypark Resources Bhd 1,070,100 591,146 0.0%
* D&O Green Technologies Bhd 149,900 22,596 0.0%
Daibochi Plastic & Packaging Industry Bhd 110,880 63,791 0.0%
# Datasonic Group Bhd 3,340,500 991,710 0.0%
* Daya Materials Bhd 9,701,600 200,122 0.0%
#* Dayang Enterprise Holdings Bhd 2,789,596 789,009 0.0%
#* Destinii Bhd 2,089,900 358,332 0.0%
DKSH Holdings Malaysia Bhd 119,000 135,544 0.0%
# DRB-Hicom Bhd 7,082,100 2,345,756 0.1%
Dutch Lady Milk Industries Bhd 135,500 1,798,421 0.0%
# Eastern & Oriental Bhd 6,742,847 2,950,344 0.1%
* Eco World Development Group Bhd 4,279,800 1,497,676 0.0%
Econpile Holldings Bhd 1,246,100 671,306 0.0%
# Ekovest Bhd 4,029,150 1,318,474 0.0%
# Evergreen Fibreboard Bhd 4,940,850 1,000,906 0.0%
FAR East Holdings Bhd 61,500 127,098 0.0%
# Felda Global Ventures Holdings Bhd 7,694,200 3,769,467 0.1%
Fraser & Neave Holdings Bhd 7,600 43,597 0.0%
# Gadang Holdings Bhd 1,935,400 570,756 0.0%
# Gas Malaysia Bhd 767,800 546,339 0.0%
George Kent Malaysia BHD 1,027,300 1,024,089 0.0%
# Globetronics Technology Bhd 1,817,860 2,272,106 0.1%
Glomac Bhd 2,854,800 463,693 0.0%
Goldis Bhd 604,277 400,739 0.0%
GuocoLand Malaysia Bhd 1,535,500 456,120 0.0%
Hai-O Enterprise Bhd 1,100,420 964,381 0.0%
# HAP Seng Consolidated Bhd 1,947,640 3,976,918 0.1%
Hap Seng Plantations Holdings Bhd 1,488,900 888,025 0.0%
Hartalega Holdings Bhd 162,500 183,273 0.0%
# Heineken Malaysia Bhd 892,700 3,607,076 0.1%
* Hengyuan Refining Co Bhd 252,300 221,269 0.0%
# HeveaBoard Bhd 1,217,600 381,313 0.0%
Hiap Teck Venture Bhd 999,700 72,508 0.0%
* Hibiscus Petroleum Bhd 5,036,300 491,203 0.0%
Hock Seng LEE BHD 1,539,316 603,301 0.0%
# Hong Leong Industries Bhd 707,800 1,647,337 0.0%
Hovid Bhd 3,670,800 291,602 0.0%
Hua Yang Bhd 1,953,866 499,401 0.0%
Hume Industries Bhd 281,872 176,014 0.0%
Hup Seng Industries Bhd 1,433,633 393,138 0.0%
I-Bhd 2,260,900 325,616 0.0%
IFCA MSC Bhd 203,100 20,554 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
IJM Plantations Bhd 1,665,900 $1,182,128 0.0%
# Inari Amertron Bhd 7,683,730 3,697,634 0.1%
Inch Kenneth Kajang Rubber P.L.C. 1,045,300 171,020 0.0%
Insas Bhd 3,868,181 822,931 0.0%
* Iris Corp. Bhd 12,373,200 583,108 0.0%
* Iskandar Waterfront City Bhd 3,063,100 2,191,502 0.1%
* JAKS Resources Bhd 2,444,200 933,477 0.0%
# Jaya Tiasa Holdings Bhd 2,856,827 769,764 0.0%
# JCY International Bhd 3,967,600 570,941 0.0%
# Karex Bhd 1,336,549 646,308 0.0%
Keck Seng Malaysia Bhd 847,250 975,709 0.0%
* Kenanga Investment Bank Bhd 1,871,360 271,519 0.0%
Kerjaya Prospek Group Bhd 380,700 265,417 0.0%
Kian JOO CAN Factory Bhd 1,818,380 1,256,420 0.0%
Kim Loong Resources Bhd 308,960 263,517 0.0%
# Kimlun Corp. Bhd 684,174 376,734 0.0%
#* KNM Group Bhd 15,723,580 1,048,177 0.0%
# Kossan Rubber Industries 3,866,500 5,086,393 0.1%
# KPJ Healthcare Bhd 6,076,825 5,876,804 0.1%
Kretam Holdings Bhd 3,815,400 478,888 0.0%
#* KSL Holdings Bhd 4,652,318 1,307,033 0.0%
Kumpulan Fima Bhd 880,850 377,257 0.0%
Kumpulan Perangsang Selangor Bhd 1,976,100 678,375 0.0%
* Kwantas Corp. Bhd 365,300 129,593 0.0%
# Lafarge Malaysia Bhd 90,100 131,167 0.0%
Land & General Bhd 5,379,600 322,195 0.0%
* Landmarks Bhd 1,775,200 337,218 0.0%
# LBS Bina Group Bhd 2,128,500 1,024,410 0.0%
Lingkaran Trans Kota Holdings Bhd 1,212,900 1,649,275 0.0%
# LPI Capital Bhd 235,070 949,626 0.0%
Magni-Tech Industries Bhd 151,100 171,488 0.0%
# Magnum Bhd 4,584,300 2,217,437 0.1%
# Mah Sing Group Bhd 11,316,987 3,882,824 0.1%
Malakoff Corp. Bhd 4,603,800 1,335,545 0.0%
Malayan Flour Mills Bhd 1,859,650 774,312 0.0%
Malaysia Building Society Bhd 9,938,562 2,998,153 0.1%
#* Malaysia Marine and Heavy Engineering Holdings Bhd 3,066,000 705,402 0.0%
#* Malaysian Bulk Carriers Bhd 2,893,200 565,665 0.0%
# Malaysian Pacific Industries Bhd 782,313 2,157,986 0.1%
* Malaysian Resources Corp. Bhd 7,098,449 2,480,403 0.1%
Malton Bhd 2,042,600 690,668 0.0%
Matrix Concepts Holdings Bhd 2,150,067 1,282,715 0.0%
# MBM Resources Bhd 1,400,196 826,190 0.0%
Media Chinese International, Ltd. 3,771,300 542,169 0.0%
Media Prima Bhd 7,408,203 2,044,777 0.0%
Mega First Corp. Bhd 1,057,900 923,176 0.0%
Mitrajaya Holdings Bhd 2,130,500 657,464 0.0%
* MK Land Holdings Bhd 3,019,200 218,890 0.0%
# MKH Bhd 1,763,490 990,960 0.0%
MMC Corp. Bhd 1,425,300 830,609 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
* MNRB Holdings Bhd 1,201,650 $ 716,341 0.0%
#* MPHB Capital Bhd 1,394,900 571,389 0.0%
MSM Malaysia Holdings Bhd 12,600 12,891 0.0%
* Mudajaya Group Bhd 2,123,966 586,970 0.0%
Muhibbah Engineering M Bhd 2,689,850 1,790,538 0.0%
#* Mulpha International Bhd 14,808,700 819,885 0.0%
# My EG Services Bhd 17,494,699 8,576,247 0.1%
* Naim Holdings Bhd 1,541,700 554,030 0.0%
NTPM Holdings Bhd 640,000 125,306 0.0%
# OCK Group Bhd 1,495,900 311,883 0.0%
Oldtown Bhd 1,929,650 1,189,406 0.0%
Oriental Holdings Bhd 291,400 454,820 0.0%
# OSK Holdings Bhd 5,453,470 1,972,058 0.0%
Pacific & Orient Bhd 205,000 60,905 0.0%
Padini Holdings Bhd 3,211,400 2,367,908 0.1%
Panasonic Manufacturing Malaysia Bhd 157,684 1,233,307 0.0%
Pantech Group Holdings Bhd 2,022,130 307,253 0.0%
Paramount Corp. Bhd 508,925 213,338 0.0%
#* Parkson Holdings Bhd 2,949,147 431,251 0.0%
* Perisai Petroleum Teknologi Bhd 1,389,400 20,713 0.0%
PESTECH International Bhd 1,215,800 475,919 0.0%
Petron Malaysia Refining & Marketing Bhd 189,100 296,178 0.0%
Pharmaniaga Bhd 709,060 800,023 0.0%
# Pie Industrial Bhd 932,100 508,938 0.0%
# Pos Malaysia Bhd 3,128,200 3,760,123 0.1%
Power Root Bhd 189,500 106,468 0.0%
# Press Metal Bhd 9,647,560 6,505,345 0.1%
# Prestariang Bhd 1,270,000 686,745 0.0%
Protasco Bhd 2,491,250 624,977 0.0%
#* Puncak Niaga Holdings Bhd 1,671,020 392,600 0.0%
# QL Resources Bhd 4,086,930 4,473,320 0.1%
#* Rimbunan Sawit Bhd 3,667,900 409,565 0.0%
Salcon Bhd 4,424,000 666,708 0.0%
Sam Engineering & Equipment M Bhd 41,500 59,738 0.0%
Sarawak Cable Bhd 127,600 32,314 0.0%
Sarawak Oil Palms Bhd 852,404 673,385 0.0%
Scicom MSC Bhd 24,100 13,312 0.0%
# Scientex Bhd 1,593,924 3,040,026 0.1%
* Scomi Energy Services Bhd 81,700 3,766 0.0%
* Scomi Group Bhd 8,219,000 321,090 0.0%
SEG International Bhd 85,100 23,694 0.0%
Selangor Dredging Bhd 1,118,200 236,101 0.0%
Selangor Properties Bhd 230,200 245,909 0.0%
Shangri-La Hotels Malaysia Bhd 418,700 491,568 0.0%
SHL Consolidated Bhd 246,000 159,805 0.0%
# SKP Resources Bhd 3,383,400 1,004,888 0.0%
Star Media Group Bhd 2,011,100 1,088,511 0.0%
#* Sumatec Resources Bhd 9,919,300 171,270 0.0%
Sunway Bhd 3,750,291 2,997,904 0.1%
# Sunway Construction Group Bhd 1,197,136 551,265 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
# Supermax Corp. Bhd 4,050,600 $ 1,791,114 0.0%
Suria Capital Holdings Bhd 699,800 346,848 0.0%
Syarikat Takaful Malaysia Bhd 2,585,000 2,383,152 0.1%
Symphony Life Bhd 439,187 92,058 0.0%
# Ta Ann Holdings Bhd 1,719,789 1,481,130 0.0%
TA Enterprise Bhd 9,639,300 1,453,411 0.0%
TA Global Bhd 8,619,940 715,868 0.0%
* Talam Transform Bhd 1,209,500 13,974 0.0%
# Taliworks Corp. Bhd 2,061,750 732,051 0.0%
# Tambun Indah Land Bhd 1,522,400 518,816 0.0%
# TAN Chong Motor Holdings Bhd 1,806,900 782,440 0.0%
Tasek Corp. Bhd 86,800 268,770 0.0%
# TDM Bhd 5,620,300 854,111 0.0%
#* TH Plantations Bhd 1,665,860 463,902 0.0%
Thong Guan Industries Bhd 79,400 81,332 0.0%
# Time dotCom Bhd 2,063,588 4,196,867 0.1%
# Tiong NAM Logistics Holdings 1,410,800 590,607 0.0%
TMC Life Sciences Bhd 356,400 74,301 0.0%
# Top Glove Corp. Bhd 5,714,220 6,013,995 0.1%
Tropicana Corp. Bhd 4,335,353 983,266 0.0%
# TSH Resources Bhd 4,162,900 1,708,408 0.0%
# Tune Protect Group Bhd 3,746,900 1,241,634 0.0%
# Uchi Technologies Bhd 1,822,000 780,490 0.0%
# UEM Edgenta Bhd 3,005,500 2,226,650 0.1%
# UEM Sunrise Bhd 10,750,100 3,068,860 0.1%
* UMW Holdings Bhd 726,500 1,036,782 0.0%
#* UMW Oil & Gas Corp. Bhd 5,300,100 829,391 0.0%
Unisem M Bhd 3,906,890 2,995,425 0.1%
United Malacca Bhd 412,850 587,869 0.0%
United Plantations Bhd 435,200 2,805,329 0.1%
United U-Li Corp. Bhd 613,900 692,476 0.0%
# UOA Development Bhd 4,529,300 2,799,253 0.1%
#* Uzma Bhd 900,800 381,464 0.0%
ViTrox Corp. Bhd 13,200 17,576 0.0%
#* Vivocom International Holdings Bhd 3,747,600 133,575 0.0%
# VS Industry Bhd 6,036,230 2,780,434 0.1%
# Wah Seong Corp. Bhd 2,427,769 497,615 0.0%
* WCE Holdings Bhd 406,000 142,094 0.0%
# WCT Holdings Bhd 7,211,099 3,703,536 0.1%
# Wellcall Holdings Bhd 1,993,800 978,151 0.0%
Wing Tai Malaysia Bhd 1,065,150 281,828 0.0%
WTK Holdings BHD 2,481,900 568,520 0.0%
# Yinson Holdings Bhd 2,659,600 2,051,709 0.0%
* YNH Property Bhd 3,521,488 1,240,831 0.0%
* YTL Land & Development Bhd 1,028,200 145,709 0.0%
Zhulian Corp. Bhd 585,033 239,591 0.0%
------------ ---
TOTAL MALAYSIA 259,025,484 4.0%
------------ ---
MEXICO -- (2.5%)
# Alpek S.A.B. de C.V. 3,571,730 4,278,430 0.1%
# Alsea S.A.B. de C.V. 5,357,900 19,054,802 0.3%
#* Axtel S.A.B. de C.V. 7,758,264 1,693,814 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
MEXICO -- (Continued)
Banregio Grupo Financiero S.A.B. de C.V. 1,983,160 $11,451,083 0.2%
* Bio Pappel S.A.B. de C.V. 420,044 591,066 0.0%
# Bolsa Mexicana de Valores S.A.B. de C.V. 4,132,123 7,221,516 0.1%
* Cia Minera Autlan S.A.B. de C.V. Series B 95,285 92,778 0.0%
* CMR S.A.B. de C.V. 1,323 584 0.0%
Consorcio ARA S.A.B. de C.V. Series * 8,321,820 2,776,113 0.0%
* Controladora Vuela Cia de Aviacion S.A.B. de C.V. ADR 205,047 2,585,643 0.0%
#* Controladora Vuela Cia de Aviacion S.A.B. de C.V. Class A 1,727,133 2,188,131 0.0%
* Corp Interamericana de Entretenimiento S.A.B. de C.V.
Class B 960,372 826,445 0.0%
Corp. Actinver S.A.B. de C.V. 187,852 129,125 0.0%
# Corp. Inmobiliaria Vesta S.A.B. de C.V. 4,516,927 6,353,606 0.1%
Corp. Moctezuma S.A.B. de C.V. Series * 861,300 3,019,657 0.1%
Corporativo Fragua S.A.B. de C.V. 3 36 0.0%
Corporativo GBM S.A.B. de C.V. 22,477 16,059 0.0%
# Credito Real S.A.B. de C.V. SOFOM ER 1,265,645 1,774,905 0.0%
Cydsa S.A.B. de C.V. 3,875 4,782 0.0%
#* Desarrolladora Homex S.A.B. de C.V. 297,848 28,796 0.0%
#* Elementia S.A.B. de C.V. 61,036 83,326 0.0%
#* Empresas ICA S.A.B. de C.V. 3,768,186 334,278 0.0%
* Financiera Independencia S.A.B. de C.V. SOFOM ENR 62,171 11,526 0.0%
* Genomma Lab Internacional S.A.B. de C.V. Class B 7,533,299 9,532,048 0.2%
# Gentera S.A.B. de C.V. 7,327,998 12,320,215 0.2%
#* Grupo Aeromexico S.A.B. de C.V. 1,770,412 3,531,373 0.1%
# Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 1,748,236 9,710,126 0.2%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 408 41,979 0.0%
Grupo Cementos de Chihuahua S.A.B. de C.V. 818,100 3,889,020 0.1%
# Grupo Comercial Chedraui S.A. de C.V. 2,709,861 5,598,146 0.1%
Grupo Elektra S.A.B. de C.V. 15,341 515,842 0.0%
#* Grupo Famsa S.A.B. de C.V. Class A 2,316,735 1,082,975 0.0%
# Grupo Financiero Interacciones SA de C.V. Class O 719,973 3,366,713 0.1%
#* Grupo GICSA S.A. de C.V. 252,443 162,527 0.0%
# Grupo Herdez S.A.B. de C.V. Series * 1,984,179 4,402,553 0.1%
Grupo Industrial Maseca S.A.B. de C.V. Class B 592,181 731,212 0.0%
Grupo Industrial Saltillo S.A.B. de C.V. 309,557 622,395 0.0%
Grupo KUO S.A.B. de C.V. Series B 758,658 1,567,469 0.0%
#* Grupo Pochteca S.A.B. de C.V. 585,177 223,810 0.0%
* Grupo Posadas S.A.B. de C.V. 198,900 483,904 0.0%
# Grupo Rotoplas S.A.B. de C.V. 104,062 134,602 0.0%
Grupo Sanborns S.A.B. de C.V. 652,912 748,454 0.0%
#* Grupo Simec S.A.B. de C.V. Series B 1,433,940 5,331,977 0.1%
* Grupo Sports World S.A.B. de C.V. 583,706 531,762 0.0%
#* Hoteles City Express S.A.B. de C.V. 1,082,175 1,112,915 0.0%
# Industrias Bachoco S.A.B. de C.V. Series B 1,317,606 5,855,482 0.1%
Industrias Bachoco S.A.B. de C.V. Sponsored ADR 31,292 1,672,557 0.0%
#* Industrias CH S.A.B. de C.V. Series B 2,193,173 11,778,318 0.2%
#* La Comer S.A.B. de C.V. 1,524,396 1,194,398 0.0%
#* Maxcom Telecomunicaciones S.A.B. de C.V. 201,450 79,295 0.0%
# Megacable Holdings S.A.B. de C.V. 1,698,551 6,439,521 0.1%
#* Minera Frisco S.A.B. de C.V. Class A1 2,051,866 1,312,305 0.0%
# Nemak S.A.B. de C.V. 670,084 704,780 0.0%
OHL Mexico S.A.B. de C.V. 5,063,875 6,181,477 0.1%
# Organizacion Cultiba S.A.B. de C.V. 1,165,725 1,131,342 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
MEXICO -- (Continued)
Qualitas Controladora S.A.B. de C.V. 1,314,628 $ 2,146,673 0.0%
# Rassini S.A.B. de C.V. 244,837 1,158,034 0.0%
Rassini S.A.B. De C.V. Class A 81,146 187,291 0.0%
#* Telesites S.A.B. de C.V. 3,115,159 1,947,672 0.0%
# TV Azteca S.A.B. de C.V. 11,953,920 2,070,080 0.0%
# Unifin Financiera S.A.B. de C.V. SOFOM ENR 49,230 130,415 0.0%
Vitro S.A.B. de C.V. Series A 901,053 3,450,999 0.1%
------------ ---
TOTAL MEXICO 177,599,157 2.7%
------------ ---
PHILIPPINES -- (1.4%)
A Soriano Corp. 3,430,211 425,483 0.0%
ACR Mining Corp. 48,205 3,238 0.0%
Alsons Consolidated Resources, Inc. 7,605,000 214,580 0.0%
* Apex Mining Co., Inc. 406,000 12,136 0.0%
* Atlas Consolidated Mining & Development Corp. 6,148,000 647,153 0.0%
Belle Corp. 35,642,400 2,927,751 0.1%
* Bloomberry Resorts Corp. 19,580,300 3,528,591 0.1%
Cebu Air, Inc. 1,699,450 3,673,567 0.1%
Cebu Holdings, Inc. 3,291,900 347,373 0.0%
Century Pacific Food, Inc. 3,689,800 1,218,270 0.0%
Century Properties Group, Inc. 26,261,151 257,683 0.0%
China Banking Corp. 1,324,108 935,557 0.0%
Cirtek Holdings Philippines Corp. 393,700 185,161 0.0%
COL Financial Group, Inc. 130,900 42,484 0.0%
Cosco Capital, Inc. 13,761,300 2,247,903 0.0%
D&L Industries, Inc. 27,571,400 7,061,937 0.1%
* DoubleDragon Properties Corp. 1,516,600 1,578,896 0.0%
East West Banking Corp. 2,042,600 876,654 0.0%
EEI Corp. 3,472,100 702,066 0.0%
Emperador, Inc. 3,404,800 435,480 0.0%
* Empire East Land Holdings, Inc. 19,893,000 282,648 0.0%
Energy Development Corp. 15,941,700 1,924,520 0.0%
Filinvest Development Corp. 3,314,322 520,784 0.0%
Filinvest Land, Inc. 112,484,577 3,900,967 0.1%
First Gen Corp. 12,022,100 5,172,488 0.1%
First Philippine Holdings Corp. 2,378,500 3,451,727 0.1%
* Global Ferronickel Holdings, Inc. 7,276,667 371,032 0.0%
Holcim Philippines, Inc. 80,600 24,813 0.0%
Integrated Micro-Electronics, Inc. 552,500 85,180 0.0%
Leisure & Resorts World Corp. 3,942,640 332,777 0.0%
* Lepanto Consolidated Mining Co. 43,735,455 168,888 0.0%
Lopez Holdings Corp. 21,169,400 3,257,274 0.1%
Manila Water Co., Inc. 9,575,500 6,123,153 0.1%
Max's Group, Inc. 854,900 398,231 0.0%
* Megawide Construction Corp. 3,859,908 1,427,232 0.0%
Megaworld Corp. 3,089,000 251,054 0.0%
* Melco Crown Philippines Resorts Corp. 13,328,700 1,964,541 0.0%
Metro Retail Stores Group, Inc. 111,000 8,109 0.0%
Nickel Asia Corp. 5,803,400 725,161 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
PHILIPPINES -- (Continued)
Pepsi-Cola Products Philippines, Inc. 10,934,900 $ 809,784 0.0%
Petron Corp. 14,400,300 2,624,908 0.0%
Philex Mining Corp. 2,997,700 530,052 0.0%
Philippine National Bank 2,063,885 2,694,438 0.1%
* Philippine National Construction Corp. 173,000 3,182 0.0%
Philippine Savings Bank 356,863 638,696 0.0%
Philippine Stock Exchange, Inc. (The) 121,592 584,170 0.0%
Philweb Corp. 3,351,640 518,356 0.0%
Phinma Corp. 131,349 29,986 0.0%
Phinma Energy Corp. 13,642,000 586,838 0.0%
Phoenix Petroleum Philippines, Inc. 1,288,780 219,249 0.0%
Premium Leisure Corp. 29,750,000 929,098 0.0%
Puregold Price Club, Inc. 4,655,100 3,885,496 0.1%
RFM Corp. 8,856,668 857,760 0.0%
Rizal Commercial Banking Corp. 3,018,480 3,296,213 0.1%
Robinsons Land Corp. 9,702,505 4,985,215 0.1%
Robinsons Retail Holdings, Inc. 1,051,440 1,671,217 0.0%
San Miguel Pure Foods Co., Inc. 93,790 563,209 0.0%
Security Bank Corp. 1,150,518 4,908,641 0.1%
* SSI Group, Inc. 3,272,000 149,948 0.0%
STI Education Systems Holdings, Inc. 1,013,000 21,692 0.0%
Travellers International Hotel Group, Inc. 5,126,000 338,499 0.0%
Union Bank of the Philippines 1,379,931 2,203,800 0.0%
* Victorias Milling Co., Inc. 231,600 20,204 0.0%
Vista Land & Lifescapes, Inc. 48,068,300 5,090,145 0.1%
Xurpas, Inc. 2,518,900 472,718 0.0%
----------- ---
TOTAL PHILIPPINES 96,346,056 1.5%
----------- ---
POLAND -- (1.6%)
* AB SA 1,082 10,301 0.0%
# Action SA 26,708 30,021 0.0%
Agora SA 276,756 1,156,532 0.0%
Amica SA 27,392 1,374,041 0.0%
# Apator SA 61,370 555,526 0.0%
Asseco Poland SA 582,235 8,192,768 0.1%
#* Bioton SA 616,561 1,124,613 0.0%
* Boryszew SA 1,105,071 3,301,138 0.1%
Budimex SA 111,141 7,877,302 0.1%
* CD Projekt SA 636,728 11,125,547 0.2%
#* CI Games SA 252,830 119,289 0.0%
Ciech SA 282,493 5,650,001 0.1%
* ComArch SA 7,716 467,826 0.0%
Dom Development SA 4,673 84,745 0.0%
Elektrobudowa SA 8,568 261,098 0.0%
* Emperia Holding SA 87,289 1,734,756 0.0%
#* Enea SA 853,125 2,620,385 0.1%
# Energa SA 860,078 2,208,567 0.1%
Eurocash SA 16,812 149,084 0.0%
Fabryki Mebli Forte SA 133,296 2,723,684 0.1%
#* Famur SA 389,007 572,826 0.0%
Firma Oponiarska Debica SA 30,655 810,798 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
POLAND -- (Continued)
* Getin Holding SA 2,860,638 $ 973,129 0.0%
#* Getin Noble Bank SA 2,046,593 980,735 0.0%
#* Globe Trade Centre SA 148,768 352,773 0.0%
* Grupa Azoty Zaklady Chemiczne Police SA 76,751 399,562 0.0%
Grupa Kety SA 69,752 7,658,041 0.1%
* Grupa Lotos SA 363,800 5,667,418 0.1%
* Impexmetal SA 1,060,289 1,157,987 0.0%
#* Integer.pl SA 34,532 430,589 0.0%
# Inter Cars SA 38,698 3,094,005 0.1%
Kernel Holding SA 402,248 7,163,297 0.1%
KRUK SA 111,211 8,196,964 0.1%
LC Corp. SA 244,389 124,134 0.0%
Lentex SA 124,367 346,409 0.0%
#* Lubelski Wegiel Bogdanka SA 68,930 1,289,671 0.0%
* MCI Capital SA 162,447 414,604 0.0%
* Mostostal Zabrze SA 425,811 114,192 0.0%
Netia SA 2,546,208 2,888,131 0.1%
Neuca SA 19,306 1,954,534 0.0%
Newag SA 493 2,247 0.0%
Orbis SA 132,247 2,965,294 0.1%
* Pelion SA 47,515 653,769 0.0%
# Pfleiderer Grajewo SA 46,911 537,436 0.0%
#* PKP Cargo SA 66,813 1,100,231 0.0%
#* Polnord SA 263,007 616,161 0.0%
#* Rafako SA 323,390 637,913 0.0%
Stalexport Autostrady SA 407,435 409,558 0.0%
Stalprodukt SA 9,592 1,333,877 0.0%
Synthos SA 1,431,495 1,988,116 0.1%
* Tauron Polska Energia SA 5,756,680 4,882,612 0.1%
Trakcja SA 346,855 1,464,683 0.0%
* Vistula Group SA 1,395,878 1,155,282 0.0%
Warsaw Stock Exchange 161,661 1,891,260 0.0%
# Wawel SA 1,021 289,614 0.0%
* Zespol Elektrowni Patnow Adamow Konin SA 81,919 367,389 0.0%
------------ ---
TOTAL POLAND 115,652,465 1.8%
------------ ---
SOUTH AFRICA -- (6.7%)
# Adcock Ingram Holdings, Ltd. 848,818 3,802,496 0.1%
Adcorp Holdings, Ltd. 896,475 917,788 0.0%
Advtech, Ltd. 3,240,497 4,633,933 0.1%
Aeci, Ltd. 1,071,305 9,285,369 0.1%
African Oxygen, Ltd. 858,752 1,278,059 0.0%
* African Phoenix Investments, Ltd. 5,287,877 229,499 0.0%
African Rainbow Minerals, Ltd. 801,901 5,069,177 0.1%
Afrimat, Ltd. 60,231 135,189 0.0%
Alexander Forbes Group Holdings, Ltd. 2,690,411 1,297,798 0.0%
* Allied Electronics Corp., Ltd. Class A 11,849 8,880 0.0%
Alviva Holdings, Ltd. 1,273,233 2,006,777 0.0%
* ArcelorMittal South Africa, Ltd. 1,784,999 1,002,344 0.0%
# Ascendis Health, Ltd. 1,437,167 2,683,118 0.0%
Assore, Ltd. 235,151 3,790,739 0.1%
# Astral Foods, Ltd. 441,334 5,129,298 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
SOUTH AFRICA -- (Continued)
* Attacq, Ltd. 3,395,527 $ 4,321,478 0.1%
* Aveng, Ltd. 4,070,678 1,737,031 0.0%
AVI, Ltd. 3,408,319 24,916,050 0.4%
Barloworld, Ltd. 2,216,736 19,968,651 0.3%
Blue Label Telecoms, Ltd. 3,303,921 4,193,396 0.1%
Cashbuild, Ltd. 210,489 5,719,853 0.1%
Caxton and CTP Publishers and Printers, Ltd. 313,704 278,146 0.0%
City Lodge Hotels, Ltd. 321,768 3,582,729 0.1%
Clicks Group, Ltd. 2,723,654 27,373,356 0.4%
Clover Industries, Ltd. 1,374,821 1,671,659 0.0%
#* Consolidated Infrastructure Group, Ltd. 822,411 1,119,063 0.0%
Coronation Fund Managers, Ltd. 1,818,975 8,629,275 0.1%
* Curro Holdings, Ltd. 253,055 875,686 0.0%
DataTec, Ltd. 2,304,883 10,025,225 0.2%
Distell Group, Ltd. 174,371 1,754,189 0.0%
DRDGOLD, Ltd. 2,932,131 1,143,591 0.0%
# DRDGOLD, Ltd. Sponsored ADR 9,400 36,472 0.0%
* enX Group, Ltd. 408,074 503,511 0.0%
EOH Holdings, Ltd. 1,098,252 11,628,003 0.2%
* Evraz Highveld Steel and Vanadium, Ltd. 63,001 118 0.0%
* eXtract Group, Ltd. 1,517,395 13,655 0.0%
# Exxaro Resources, Ltd. 997,560 8,486,614 0.1%
Famous Brands, Ltd. 672,069 7,458,796 0.1%
Foschini Group, Ltd. (The) 1,886,464 22,523,749 0.4%
Gold Fields, Ltd. Sponsored ADR 140,604 456,963 0.0%
Grand Parade Investments, Ltd. 3,255,755 887,188 0.0%
* Grindrod, Ltd. 5,448,817 4,901,467 0.1%
Group Five, Ltd. 1,015,485 1,186,290 0.0%
Harmony Gold Mining Co., Ltd. 1,616,033 3,499,319 0.1%
# Harmony Gold Mining Co., Ltd. Sponsored ADR 2,847,823 6,208,254 0.1%
Holdsport, Ltd. 212,817 1,008,111 0.0%
* Howden Africa Holdings, Ltd. 39,220 96,875 0.0%
Hudaco Industries, Ltd. 275,317 2,803,506 0.0%
Hulamin, Ltd. 1,296,594 672,088 0.0%
* Impala Platinum Holdings, Ltd. 1,015,803 3,259,514 0.1%
Imperial Holdings, Ltd. 1,074,427 13,588,858 0.2%
Invicta Holdings, Ltd. 359,026 1,469,931 0.0%
JSE, Ltd. 874,849 9,327,062 0.2%
KAP Industrial Holdings, Ltd. 8,628,788 6,045,293 0.1%
# Lewis Group, Ltd. 877,469 2,484,392 0.0%
Liberty Holdings, Ltd. 841,944 6,788,985 0.1%
# Life Healthcare Group Holdings, Ltd. 4,143,005 8,917,661 0.1%
Massmart Holdings, Ltd. 432,877 4,185,965 0.1%
Merafe Resources, Ltd. 11,489,424 1,425,731 0.0%
Metair Investments, Ltd. 1,320,959 2,262,257 0.0%
Metrofile Holdings, Ltd. 82,524 27,167 0.0%
MMI Holdings, Ltd. 3,591,121 6,267,796 0.1%
Mpact, Ltd. 1,546,824 3,582,999 0.1%
Murray & Roberts Holdings, Ltd. 3,959,853 4,151,365 0.1%
#* Nampak, Ltd. 5,214,254 6,983,588 0.1%
* Net 1 UEPS Technologies, Inc. 776 8,451 0.0%
* Northam Platinum, Ltd. 3,612,389 13,415,603 0.2%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SOUTH AFRICA -- (Continued)
Oceana Group, Ltd. 447,176 $ 3,326,233 0.1%
Omnia Holdings, Ltd. 589,522 7,026,288 0.1%
Peregrine Holdings, Ltd. 2,183,055 4,336,379 0.1%
# Pick n Pay Stores, Ltd. 2,069,376 9,832,077 0.2%
Pioneer Foods Group, Ltd. 140,085 1,727,878 0.0%
* PPC, Ltd. 14,360,518 6,728,288 0.1%
Raubex Group, Ltd. 1,306,791 2,356,495 0.0%
RCL Foods, Ltd. 705,154 758,868 0.0%
Reunert, Ltd. 1,517,644 8,036,639 0.1%
Rhodes Food Group Pty, Ltd. 460,226 843,369 0.0%
#* Royal Bafokeng Platinum, Ltd. 706,327 1,865,971 0.0%
Santam, Ltd. 294,639 5,449,674 0.1%
Sappi, Ltd. 2,275,007 16,895,152 0.3%
Sibanye Gold, Ltd. 962,027 1,933,141 0.0%
# SPAR Group, Ltd. (The) 1,162,708 15,671,335 0.2%
Spur Corp., Ltd. 621,605 1,448,993 0.0%
* Stefanutti Stocks Holdings, Ltd. 229,540 55,039 0.0%
Sun International, Ltd. 1,096,248 5,983,962 0.1%
* Super Group, Ltd. 3,359,375 9,242,232 0.1%
Telkom SA SOC, Ltd. 1,921,390 10,753,072 0.2%
Tongaat Hulett, Ltd. 1,005,705 9,079,589 0.1%
Transaction Capital, Ltd. 577,418 633,556 0.0%
Trencor, Ltd. 1,369,751 4,124,037 0.1%
Truworths International, Ltd. 891,166 5,770,443 0.1%
Tsogo Sun Holdings, Ltd. 2,858,414 5,384,877 0.1%
Wilson Bayly Holmes-Ovcon, Ltd. 513,353 5,490,213 0.1%
------------ ---
TOTAL SOUTH AFRICA 469,897,239 7.2%
------------ ---
SOUTH KOREA -- (12.7%)
#* 3S Korea Co., Ltd. 22,000 46,567 0.0%
ABco Electronics Co., Ltd. 17,896 115,534 0.0%
Able C&C Co., Ltd. 93,648 2,406,005 0.1%
# ABOV Semiconductor Co., Ltd. 91,919 761,974 0.0%
#* Ace Technologies Corp. 133,117 461,706 0.0%
#* Actoz Soft Co., Ltd. 44,301 760,908 0.0%
# Advanced Nano Products Co., Ltd. 68,114 771,674 0.0%
* Advanced Process Systems Corp. 74,225 3,398,462 0.1%
Aekyung Petrochemical Co., Ltd. 109,618 1,217,426 0.0%
# AfreecaTV Co., Ltd. 74,661 1,557,421 0.0%
#* Agabang&Company 198,692 1,261,359 0.0%
# Ahn-Gook Pharmaceutical Co., Ltd. 53,014 567,937 0.0%
# Ahnlab, Inc. 35,578 2,266,481 0.1%
# AJ Networks Co., Ltd. 51,035 284,440 0.0%
#* AJ Rent A Car Co., Ltd. 108,665 1,097,898 0.0%
#* Ajin Industrial Co., Ltd. 18,449 136,807 0.0%
AK Holdings, Inc. 35,428 2,006,644 0.1%
#* Alticast Corp. 73,734 260,515 0.0%
# ALUKO Co., Ltd. 305,607 1,169,304 0.0%
* ALVOGEN KOREA Co,.Ltd. 5,687 144,023 0.0%
#* Aminologics Co., Ltd. 36,345 81,900 0.0%
#* Amotech Co., Ltd. 63,065 1,338,659 0.0%
#* Anam Electronics Co., Ltd. 778,248 2,518,463 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Anapass, Inc. 61,819 $ 708,852 0.0%
#* APS Holdings Corp. 64,739 877,703 0.0%
Asia Cement Co., Ltd. 10,196 726,913 0.0%
ASIA Holdings Co., Ltd. 10,300 888,753 0.0%
# Asia Paper Manufacturing Co., Ltd. 33,993 597,081 0.0%
* Asiana Airlines, Inc. 884,272 3,497,980 0.1%
# Atinum Investment Co., Ltd. 242,341 431,885 0.0%
AtlasBX Co., Ltd. 571 26,742 0.0%
#* AUK Corp. 199,140 430,078 0.0%
# Aurora World Corp. 38,000 332,913 0.0%
# Austem Co., Ltd. 127,720 385,402 0.0%
Autech Corp. 87,965 857,429 0.0%
#* Automobile & PCB 251,614 368,855 0.0%
# Avaco Co., Ltd. 87,128 477,078 0.0%
# Avatec Co., Ltd. 5,446 32,899 0.0%
# Baiksan Co., Ltd. 89,268 682,183 0.0%
#* Barun Electronics Co., Ltd. 488,812 871,887 0.0%
#* Barunson Entertainment & Arts Corp. 371,867 896,307 0.0%
# Bcworld Pharm Co., Ltd. 29,656 604,132 0.0%
#* BH Co., Ltd. 54,978 1,061,755 0.0%
Binggrae Co., Ltd. 40,230 2,425,820 0.1%
#* BioSmart Co., Ltd. 97,807 419,977 0.0%
#* Biovill Co., Ltd. 92,134 376,440 0.0%
# BIT Computer Co., Ltd. 92,736 485,632 0.0%
# Bixolon Co., Ltd. 36,281 401,532 0.0%
# Bluecom Co., Ltd. 68,474 666,912 0.0%
# Boditech Med, Inc. 100,626 1,705,929 0.0%
#* Bohae Brewery Co., Ltd. 492,733 534,166 0.0%
# BoKwang Industry Co., Ltd. 60,289 372,450 0.0%
Bookook Securities Co., Ltd. 8,528 140,458 0.0%
#* Boryung Medience Co., Ltd. 49,675 536,681 0.0%
# Boryung Pharmaceutical Co., Ltd. 33,577 1,470,864 0.0%
#* Bosung Power Technology Co., Ltd. 327,999 819,929 0.0%
#* Brain Contents Co., Ltd. 555,133 531,671 0.0%
BRIDGETEC Corp. 4,358 31,845 0.0%
#* Bubang Co., Ltd. 193,588 686,569 0.0%
* BUGS Corp. 45,508 497,697 0.0%
# Bukwang Pharmaceutical Co., Ltd. 127,543 2,334,753 0.1%
Busan City Gas Co., Ltd. 805 24,618 0.0%
# BYC Co., Ltd. 746 243,905 0.0%
# Byucksan Corp. 316,020 1,063,758 0.0%
#* C&S Asset Management Co., Ltd. 166,435 307,659 0.0%
#* CammSys Corp. 308,501 761,165 0.0%
#* Capro Corp. 264,259 1,772,089 0.1%
# Caregen Co., Ltd. 10,861 683,461 0.0%
Cell Biotech Co., Ltd. 44,456 1,442,015 0.0%
#* Celltrion Pharm, Inc. 77,179 1,355,186 0.0%
#* Chabiotech Co., Ltd. 294,772 3,309,565 0.1%
# Changhae Ethanol Co., Ltd. 40,459 643,294 0.0%
#* Charm Engineering Co., Ltd. 193,565 479,833 0.0%
#* Chemtronics Co., Ltd. 59,021 357,179 0.0%
# Cheryong Industrial Co. Ltd/new 49,903 451,132 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Chin Hung International, Inc. 106,852 $ 176,068 0.0%
* China Great Star International, Ltd. 418,488 531,334 0.0%
# Chinyang Holdings Corp. 127,342 367,041 0.0%
#* Choa Pharmaceutical Co. 49,861 197,694 0.0%
Choheung Corp. 60 12,120 0.0%
Chokwang Leather Co., Ltd. 607 20,545 0.0%
# Chokwang Paint, Ltd. 45,216 440,121 0.0%
# Chong Kun Dang Pharmaceutical Corp. 45,831 4,688,651 0.1%
# Chongkundang Holdings Corp. 26,473 1,593,813 0.0%
# Choong Ang Vaccine Laboratory 37,156 624,953 0.0%
# Chosun Refractories Co., Ltd. 6,253 484,100 0.0%
# Chungdahm Learning, Inc. 35,344 566,262 0.0%
# CJ Freshway Corp. 48,575 1,466,821 0.0%
CJ Hellovision Co., Ltd. 178,563 1,479,162 0.0%
CJ O Shopping Co., Ltd. 23,495 3,943,042 0.1%
#* CJ Seafood Corp. 154,525 449,106 0.0%
# CKD Bio Corp. 19,783 393,337 0.0%
# Com2uSCorp 64,232 6,770,192 0.1%
# Coreana Cosmetics Co., Ltd. 181,290 1,020,012 0.0%
# Cosmax BTI, Inc. 54,006 1,665,247 0.0%
# Cosmax, Inc. 53,478 6,674,629 0.1%
#* Cosmochemical Co., Ltd. 28,914 138,614 0.0%
#* COSON Co., Ltd. 110,093 1,295,660 0.0%
#* Crown Confectionery Co., Ltd. 53,942 879,360 0.0%
# Crown Haitai Holdings Co., Ltd. 41,889 1,169,192 0.0%
#* CrucialTec Co., Ltd. 181,776 976,471 0.0%
# CS Wind Corp. 42,134 717,680 0.0%
#* CTC BIO, Inc. 42,396 318,312 0.0%
#* CTL, Inc. 132,635 171,265 0.0%
Cuckoo Electronics Co., Ltd. 1,388 159,136 0.0%
#* CUROCOM Co., Ltd. 85,800 173,905 0.0%
#* Curoholdings Co., Ltd. 340,633 375,218 0.0%
# D.I Corp. 176,315 1,111,710 0.0%
# Dae Dong Industrial Co., Ltd. 77,311 446,150 0.0%
Dae Han Flour Mills Co., Ltd. 6,766 1,046,374 0.0%
# Dae Hwa Pharmaceutical Co., Ltd. 22,883 414,866 0.0%
# Dae Hyun Co., Ltd. 184,373 519,910 0.0%
#* Dae Won Chemical Co., Ltd. 222,686 524,063 0.0%
Dae Won Kang Up Co., Ltd. 135,910 560,165 0.0%
#* Dae Young Packaging Co., Ltd. 539,682 461,091 0.0%
# Dae-Il Corp. 90,796 817,195 0.0%
#* Daea TI Co., Ltd. 475,559 867,384 0.0%
# Daebongls Co., Ltd. 54,882 624,132 0.0%
#* Daechang Co., Ltd. 314,932 304,007 0.0%
Daechang Forging Co., Ltd. 1,815 82,736 0.0%
# Daeduck Electronics Co. 249,576 2,034,726 0.1%
# Daeduck GDS Co., Ltd. 131,552 1,732,102 0.0%
# Daegu Department Store 32,833 376,674 0.0%
# Daehan New Pharm Co., Ltd. 72,121 978,524 0.0%
Daehan Steel Co., Ltd. 94,491 842,251 0.0%
Daejoo Co., Ltd. 12,773 21,311 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
Daekyo Co., Ltd. 205,448 $1,543,514 0.0%
#* Daekyung Machinery & Engineering Co., Ltd. 760,996 481,260 0.0%
# Daelim B&Co Co., Ltd. 66,083 451,228 0.0%
#* DAEMYUNG Corp. Co., Ltd. 351,062 479,298 0.0%
# Daeryuk Can Co., Ltd. 89,773 565,901 0.0%
# Daesang Corp. 161,798 3,376,614 0.1%
# Daesang Holdings Co., Ltd. 101,794 869,655 0.0%
# Daesung Energy Co., Ltd. 52,539 289,323 0.0%
Daesung Holdings Co., Ltd. 26,734 212,554 0.0%
#* Daewon Cable Co., Ltd. 340,696 381,068 0.0%
#* Daewon Media Co., Ltd. 68,288 445,896 0.0%
# Daewon Pharmaceutical Co., Ltd. 88,123 1,691,200 0.0%
Daewon San Up Co., Ltd. 75,863 461,748 0.0%
* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 676,333 998,541 0.0%
Daewoong Co., Ltd. 23,087 1,304,612 0.0%
# Daewoong Pharmaceutical Co., Ltd. 36,172 2,865,526 0.1%
* Dahaam E-Tec Co., Ltd. 2,100 6,229 0.0%
# Daihan Pharmaceutical Co., Ltd. 25,974 624,057 0.0%
Daishin Securities Co., Ltd. 297,668 3,226,052 0.1%
#* Danal Co., Ltd. 273,907 1,418,316 0.0%
# Daou Data Corp. 123,635 1,270,611 0.0%
# Daou Technology, Inc. 195,562 3,562,910 0.1%
#* Dasan Networks, Inc. 115,433 648,642 0.0%
# Dawonsys Co., Ltd. 128,532 1,398,759 0.0%
# Dayou Automotive Seat Technology Co., Ltd. 417,041 542,249 0.0%
#* Dayou Plus Co., Ltd. 352,140 330,881 0.0%
# DCM Corp. 34,093 384,687 0.0%
#* Deutsch Motors, Inc. 91,228 392,269 0.0%
# DHP Korea Co., Ltd. 73,989 574,915 0.0%
Digital Chosun Co., Ltd. 191,008 398,468 0.0%
#* Digital Optics Co., Ltd. 125,488 291,740 0.0%
# Digital Power Communications Co., Ltd. 216,808 799,673 0.0%
#* DIO Corp. 101,568 3,138,055 0.1%
# Display Tech Co., Ltd. 52,616 188,862 0.0%
# DMS Co., Ltd. 139,183 1,392,971 0.0%
#* DNF Co., Ltd. 63,764 809,393 0.0%
# Dong A Eltek Co., Ltd. 63,897 1,315,302 0.0%
Dong Ah Tire & Rubber Co., Ltd. 61,627 1,348,502 0.0%
# Dong-A Socio Holdings Co., Ltd. 21,487 2,773,294 0.1%
# Dong-A ST Co., Ltd. 29,305 2,412,918 0.1%
# Dong-Ah Geological Engineering Co., Ltd. 55,489 644,696 0.0%
# Dong-Il Corp. 6,193 311,353 0.0%
# Dongbang Transport Logistics Co., Ltd. 64,316 106,387 0.0%
#* DONGBU Co., Ltd. 651,268 410,244 0.0%
#* Dongbu Corp. 31,958 336,321 0.0%
* Dongbu HiTek Co., Ltd. 249,733 4,626,767 0.1%
* Dongbu Securities Co., Ltd. 223,527 720,284 0.0%
#* Dongbu Steel Co., Ltd. 21,746 296,347 0.0%
Dongil Industries Co., Ltd. 7,838 525,366 0.0%
# Dongjin Semichem Co., Ltd. 231,941 2,108,599 0.1%
#* Dongkook Industrial Co., Ltd. 184,139 448,014 0.0%
DongKook Pharmaceutical Co., Ltd. 31,782 1,892,886 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Dongkuk Industries Co., Ltd. 216,407 $ 870,483 0.0%
Dongkuk Steel Mill Co., Ltd. 411,074 4,000,313 0.1%
# Dongkuk Structures & Construction Co., Ltd 191,508 1,115,490 0.0%
# Dongsung Chemical Co., Ltd. 17,370 282,239 0.0%
# DONGSUNG Corp. 191,408 998,518 0.0%
# Dongsung Finetec Co., Ltd. 121,287 739,815 0.0%
#* Dongsung Pharmaceutical Co., Ltd. 125,191 461,132 0.0%
# Dongwha Enterprise Co., Ltd. 21,586 615,430 0.0%
Dongwha Pharm Co., Ltd. 151,172 1,221,332 0.0%
# Dongwon Development Co., Ltd. 415,738 1,673,160 0.0%
# Dongwon F&B Co., Ltd. 8,930 2,008,500 0.1%
Dongwon Industries Co., Ltd. 9,557 2,835,657 0.1%
#* Dongwoo Co., Ltd. 58,857 240,524 0.0%
Dongyang E&P, Inc. 33,020 397,251 0.0%
#* Dongyang Steel Pipe Co., Ltd. 576,197 622,119 0.0%
#* Doosan Engine Co., Ltd. 240,935 802,070 0.0%
DoubleUGames Co., Ltd. 40,598 1,955,069 0.1%
#* Dragonfly GF Co., Ltd. 51,555 282,044 0.0%
# DRB Holding Co., Ltd. 62,944 599,672 0.0%
# DSK Co., Ltd. 60,314 461,883 0.0%
# DSR Corp. 23,050 190,302 0.0%
# DSR Wire Corp. 66,361 535,110 0.0%
#* DST ROBOT Co., Ltd. 197,545 425,474 0.0%
#* Duk San Neolux Co., Ltd. 33,510 1,101,571 0.0%
#* Duksan Hi-Metal Co., Ltd. 78,272 606,286 0.0%
# Duksung Co., Ltd. 81,764 390,273 0.0%
# DuzonBIzon Co., Ltd. 141,968 3,392,621 0.1%
DY Corp. 152,073 930,828 0.0%
DY POWER Corp. 24,806 259,146 0.0%
# e Tec E&C, Ltd. 10,911 1,388,906 0.0%
e-Credible Co., Ltd. 3,132 36,867 0.0%
# e-LITECOM Co., Ltd. 50,840 429,157 0.0%
#* e-Starco Co., Ltd. 49,571 66,617 0.0%
E1 Corp. 20,884 1,067,803 0.0%
Eagon Industrial, Ltd. 47,388 424,439 0.0%
# Easy Bio, Inc. 311,444 1,728,512 0.0%
#* EcoBio Holdings Co., Ltd. 52,300 388,993 0.0%
#* Ecopro Co., Ltd. 157,180 1,993,623 0.1%
# EG Corp. 34,204 236,524 0.0%
#* Ehwa Technologies Information Co., Ltd. 1,996,096 656,928 0.0%
# Elcomtec Co., Ltd. 261,529 596,790 0.0%
# Elentec Co., Ltd. 95,414 507,763 0.0%
#* ELK Corp. 70,663 92,646 0.0%
# EM-Tech Co., Ltd. 90,281 931,658 0.0%
#* Emerson Pacific, Inc. 53,679 1,424,506 0.0%
#* EMKOREA Co., Ltd. 60,585 199,566 0.0%
#* EMW Co., Ltd. 131,661 344,442 0.0%
# Enex Co., Ltd. 306,803 650,678 0.0%
# ENF Technology Co., Ltd. 78,274 1,371,132 0.0%
# Eo Technics Co., Ltd. 64,235 4,782,534 0.1%
# Estechpharma Co., Ltd. 71,974 663,531 0.0%
#* ESTsoft Corp. 33,140 251,225 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Eugene Corp. 301,876 $1,560,177 0.0%
* Eugene Investment & Securities Co., Ltd. 588,034 1,561,660 0.0%
# Eugene Technology Co., Ltd. 110,560 1,655,488 0.0%
# Eusu Holdings Co., Ltd. 102,874 632,038 0.0%
# EVERDIGM Corp. 63,661 555,835 0.0%
#* EXA E&C, Inc. 99,097 159,766 0.0%
# Ezwelfare Co., Ltd. 15,152 89,190 0.0%
# F&F Co., Ltd. 53,258 1,260,472 0.0%
# Farmsco 122,196 1,356,626 0.0%
#* FarmStory Co., Ltd. 406,341 540,599 0.0%
# Feelux Co., Ltd. 171,902 603,277 0.0%
# Fila Korea, Ltd. 78,811 4,805,681 0.1%
# Fine DNC Co., Ltd. 103,000 382,526 0.0%
# Fine Technix Co., Ltd. 181,412 449,545 0.0%
#* Finetex EnE, Inc. 61,015 311,833 0.0%
#* Firstec Co., Ltd. 181,845 648,834 0.0%
#* Foosung Co., Ltd. 414,178 2,631,635 0.1%
# Fursys, Inc. 14,730 409,030 0.0%
#* G-SMATT GLOBAL Co., Ltd. 120,061 1,471,249 0.0%
#* Gamevil, Inc. 38,957 2,562,387 0.1%
Gaon Cable Co., Ltd. 21,699 458,220 0.0%
#* GeneOne Life Science, Inc. 4,475 37,742 0.0%
#* Genic Co., Ltd. 36,272 426,834 0.0%
#* Genie Music Corp. 163,238 904,196 0.0%
Geumhwa PSC Co., Ltd. 3,813 122,450 0.0%
#* Gigalane Co., Ltd. 35,427 186,661 0.0%
# GIIR, Inc. 22,387 196,316 0.0%
#* Global Display Co., Ltd. 62,631 189,613 0.0%
#* GNCO Co., Ltd. 530,650 966,415 0.0%
Golfzon Co., Ltd. 22,612 1,045,260 0.0%
# GOLFZONNEWDIN Co., Ltd. 132,037 659,793 0.0%
#* Good People Co., Ltd. 89,915 205,498 0.0%
Grand Korea Leisure Co., Ltd. 33,168 632,263 0.0%
# Green Cross Holdings Corp. 107,418 3,075,308 0.1%
#* GS Global Corp. 338,645 972,467 0.0%
GS Home Shopping, Inc. 24,403 4,361,016 0.1%
# Gwangju Shinsegae Co., Ltd. 3,520 793,475 0.0%
# Haesung Industrial Co., Ltd. 25,164 309,469 0.0%
#* Halla Corp. 122,607 488,112 0.0%
# Halla Holdings Corp. 64,748 3,447,288 0.1%
# Han Kuk Carbon Co., Ltd. 245,312 1,434,827 0.0%
#* Hana Micron, Inc. 126,250 586,493 0.0%
# Hana Tour Service, Inc. 67,626 5,012,917 0.1%
#* Hanall Biopharma Co., Ltd. 59,388 662,314 0.0%
Hancom, Inc. 129,688 1,959,339 0.1%
# Handok, Inc. 41,183 838,564 0.0%
Handsome Co., Ltd. 108,265 2,983,092 0.1%
Hanil Cement Co., Ltd. 23,282 2,392,624 0.1%
#* Hanil Vacuum Co., Ltd. 140,951 340,094 0.0%
#* Hanjin Heavy Industries & Construction Co., Ltd. 593,640 1,761,263 0.1%
* Hanjin Heavy Industries & Construction Holdings Co., Ltd. 87,816 396,706 0.0%
#* Hanjin Kal Corp. 348,244 6,189,293 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Hanjin P&C Co., Ltd. 285,435 $ 594,081 0.0%
# Hanjin Transportation Co., Ltd. 66,079 1,763,564 0.1%
#* Hankook Cosmetics Co., Ltd. 70,133 912,151 0.0%
# Hankook Cosmetics Manufacturing Co., Ltd. 13,705 334,497 0.0%
Hankook Shell Oil Co., Ltd. 4,913 1,739,976 0.1%
Hankuk Glass Industries, Inc. 9,314 214,592 0.0%
Hankuk Paper Manufacturing Co., Ltd. 19,191 502,439 0.0%
# Hankuk Steel Wire Co., Ltd. 58,735 165,039 0.0%
# Hanla IMS Co., Ltd. 27,143 180,017 0.0%
# Hanmi Semiconductor Co., Ltd. 92,235 1,515,770 0.0%
# HanmiGlobal Co., Ltd. 46,178 417,481 0.0%
# Hans Biomed Corp. 51,215 766,772 0.0%
# Hansae Co., Ltd. 185,489 4,450,594 0.1%
# Hansae Yes24 Holdings Co., Ltd. 75,539 666,087 0.0%
# Hanshin Construction 39,054 629,903 0.0%
# Hanshin Machinery Co. 212,588 588,984 0.0%
Hansol Chemical Co., Ltd. 73,644 5,266,201 0.1%
* Hansol Holdings Co., Ltd. 393,662 2,192,588 0.1%
#* Hansol HomeDeco Co., Ltd. 459,823 670,097 0.0%
Hansol Paper Co., Ltd. 108,760 1,805,474 0.1%
#* Hansol SeenTec Co., Ltd. 318,065 457,967 0.0%
#* Hansol Technics Co., Ltd. 120,268 1,614,684 0.0%
#* Hanwha Galleria Timeworld Co., Ltd. 13,559 407,683 0.0%
Hanwha General Insurance Co., Ltd. 323,471 2,105,624 0.1%
#* Hanwha Investment & Securities Co., Ltd. 897,217 2,015,586 0.1%
# Hanyang Eng Co., Ltd. 39,237 404,692 0.0%
Hanyang Securities Co., Ltd. 18,538 119,906 0.0%
# Harim Co., Ltd. 222,154 1,092,226 0.0%
# Harim Holdings Co., Ltd. 224,618 789,873 0.0%
# HB Technology Co., Ltd. 408,986 1,942,972 0.1%
# Heung-A Shipping Co., Ltd. 1,147,462 1,729,828 0.0%
* Heungkuk Fire & Marine Insurance Co., Ltd. 95,344 332,709 0.0%
# High Tech Pharm Co., Ltd. 23,615 275,926 0.0%
Hitejinro Holdings Co., Ltd. 59,009 575,482 0.0%
HMC Investment Securities Co., Ltd. 122,583 1,157,933 0.0%
# Home Center Holdings Co., Ltd. 234,053 785,971 0.0%
#* Homecast Co., Ltd. 147,779 1,173,813 0.0%
# HS Industries Co., Ltd. 270,519 2,410,668 0.1%
HS R&A Co., Ltd. 24,901 898,309 0.0%
# Huchems Fine Chemical Corp. 158,762 3,236,044 0.1%
* Hugel, Inc. 3,746 1,533,719 0.0%
# Humax Co., Ltd. 131,602 1,375,761 0.0%
# Humedix Co., Ltd. 41,577 1,142,314 0.0%
#* Huneed Technologies 29,680 315,740 0.0%
* Huons Co., Ltd. 23,214 1,080,850 0.0%
Huons Global Co., Ltd. 35,213 1,033,817 0.0%
Husteel Co., Ltd. 6,527 93,180 0.0%
# Huvis Corp. 115,323 766,892 0.0%
# Huvitz Co., Ltd. 69,415 777,233 0.0%
Hwa Shin Co., Ltd. 128,979 695,460 0.0%
Hwacheon Machine Tool Co., Ltd. 4,979 224,401 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Hwail Pharm Co., Ltd. 59,536 $ 370,799 0.0%
# Hwangkum Steel & Technology Co., Ltd. 41,689 311,222 0.0%
HwaSung Industrial Co., Ltd. 67,222 867,202 0.0%
# Hy-Lok Corp. 67,287 1,323,802 0.0%
# Hyosung ONB Co., Ltd. 10,277 101,973 0.0%
# HyosungITX Co., Ltd. 14,477 206,603 0.0%
Hyundai BNG Steel Co., Ltd. 64,158 714,728 0.0%
#* Hyundai Cement Co. 22,245 409,196 0.0%
# Hyundai Corp Holdings Inc. 28,050 390,402 0.0%
Hyundai Corp. 53,272 977,685 0.0%
Hyundai Engineering Plastics Co., Ltd. 128,175 884,692 0.0%
Hyundai Home Shopping Network Corp. 12,230 1,311,346 0.0%
Hyundai Hy Communications & Networks Co., Ltd. 251,890 865,232 0.0%
Hyundai Livart Furniture Co., Ltd. 115,620 2,889,222 0.1%
#* Hyundai Merchant Marine Co., Ltd. 52,373 397,597 0.0%
#* Hyundai Mipo Dockyard Co., Ltd. 48,721 3,959,868 0.1%
# Hyundai Pharmaceutical Co., Ltd. 138,535 551,762 0.0%
# HyVision System, Inc. 91,518 743,588 0.0%
# I Controls, Inc. 12,311 326,287 0.0%
# i-Components Co., Ltd. 43,399 426,917 0.0%
i-SENS, Inc. 64,743 1,677,076 0.0%
# I3System, Inc. 17,475 734,844 0.0%
#* iA, Inc. 264,437 890,533 0.0%
# ICD Co., Ltd. 91,554 1,297,301 0.0%
#* IE, Ltd. 1,307,133 381,376 0.0%
#* IHQ, Inc. 460,725 709,339 0.0%
# Il Dong Holdings Co., Ltd. 31,840 535,358 0.0%
# IL Dong Pharmaceutical Co., Ltd. 51,329 1,011,345 0.0%
Ilji Technology Co., Ltd. 10,190 55,169 0.0%
#* Iljin Display Co., Ltd. 131,114 670,442 0.0%
# Iljin Electric Co., Ltd. 120,840 519,413 0.0%
# Iljin Holdings Co., Ltd. 171,499 707,165 0.0%
# Iljin Materials Co., Ltd. 122,458 1,811,843 0.1%
# Ilshin Spinning Co., Ltd. 9,949 1,031,371 0.0%
#* ilShinbiobase Co,Ltd. 55,644 131,640 0.0%
# Ilsung Pharmaceuticals Co., Ltd. 3,705 431,319 0.0%
#* IM Co., Ltd. 125,012 481,799 0.0%
# iMarketKorea, Inc. 141,759 1,655,525 0.0%
# InBody Co., Ltd. 82,313 1,929,694 0.1%
#* Infinitt Healthcare Co., Ltd. 103,845 647,355 0.0%
#* Infraware, Inc. 184,486 414,741 0.0%
#* INITECH Co., Ltd. 52,438 358,532 0.0%
#* InkTec Co., Ltd. 8,164 50,272 0.0%
Innocean Worldwide, Inc. 23,170 1,299,356 0.0%
#* InnoWireless, Inc. 21,995 227,966 0.0%
#* Innox Corp. 63,904 1,851,771 0.1%
#* Insun ENT Co., Ltd. 196,856 1,058,421 0.0%
# Intelligent Digital Integrated Security Co., Ltd. 33,909 272,397 0.0%
#* Interflex Co., Ltd. 3,501 86,042 0.0%
Intergis Co., Ltd. 11,220 30,914 0.0%
# Interojo Co., Ltd. 55,561 1,910,714 0.1%
# Interpark Corp. 86,960 821,436 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
Interpark Holdings Corp. 317,453 $1,497,453 0.0%
INTOPS Co., Ltd. 93,188 998,816 0.0%
* INVENIA Co., Ltd. 88,253 409,196 0.0%
Inzi Controls Co., Ltd. 42,034 197,578 0.0%
# INZI Display Co., Ltd. 32,254 68,059 0.0%
#* Iones Co., Ltd. 48,881 744,529 0.0%
IS Dongseo Co., Ltd. 58,229 2,197,041 0.1%
# ISC Co., Ltd. 66,042 1,177,123 0.0%
ISU Chemical Co., Ltd. 66,660 1,001,474 0.0%
# IsuPetasys Co., Ltd. 195,899 803,381 0.0%
# J.ESTINA Co., Ltd. 70,529 552,109 0.0%
#* Jaeyoung Solutec Co., Ltd. 157,239 467,149 0.0%
Jahwa Electronics Co., Ltd. 80,029 1,159,407 0.0%
# JASTECH, Ltd. 54,488 1,189,120 0.0%
# JB Financial Group Co., Ltd. 741,403 3,935,779 0.1%
# JC Hyun System, Inc. 80,715 466,913 0.0%
* Jcontentree Corp. 261,672 919,432 0.0%
# Jeil Pharmaceutical Co. 5,274 318,775 0.0%
Jeju Air Co., Ltd. 58,366 1,659,796 0.0%
#* Jeju Semiconductor Corp. 66,476 218,335 0.0%
Jinro Distillers Co., Ltd. 14,366 397,262 0.0%
# Jinsung T.E.C. 90,631 615,175 0.0%
JLS Co., Ltd. 51,867 345,023 0.0%
#* JoyCity Corp. 46,124 935,591 0.0%
#* Jusung Engineering Co., Ltd. 281,410 2,544,302 0.1%
# JVM Co., Ltd. 25,943 995,557 0.0%
# JW Holdings Corp. 260,748 1,789,683 0.1%
# JW Pharmaceutical Corp. 70,424 2,680,342 0.1%
# JW Shinyak Corp. 16,523 112,528 0.0%
* JYP Entertainment Corp. 211,588 1,310,398 0.0%
# Kangnam Jevisco Co., Ltd. 24,964 833,328 0.0%
# KAON Media Co., Ltd. 87,557 907,343 0.0%
KB Capital Co., Ltd. 81,313 1,941,843 0.1%
# KC Cottrell Co., Ltd. 15,012 81,582 0.0%
# KC Green Holdings Co., Ltd. 96,596 596,422 0.0%
KC Tech Co., Ltd. 156,035 2,021,012 0.1%
# KCC Engineering & Construction Co., Ltd. 43,873 323,580 0.0%
KCI, Ltd. 2,256 16,195 0.0%
* KEC Corp. 454,496 413,139 0.0%
# KEPCO Engineering & Construction Co., Inc. 100,420 2,221,970 0.1%
# Keyang Electric Machinery Co., Ltd. 166,186 799,407 0.0%
#* KEYEAST Co., Ltd. 466,462 987,477 0.0%
# KG Chemical Corp. 58,897 708,934 0.0%
# KG Eco Technology Service Co., Ltd. 206,932 598,237 0.0%
# Kginicis Co., Ltd. 118,407 1,190,269 0.0%
# KGMobilians Co., Ltd. 119,037 777,901 0.0%
# KH Vatec Co., Ltd. 111,894 1,243,326 0.0%
KISCO Corp. 30,344 999,719 0.0%
KISCO Holdings Co., Ltd. 8,387 472,278 0.0%
# Kishin Corp. 49,420 198,001 0.0%
KISWIRE, Ltd. 41,825 1,388,574 0.0%
#* KJ Pretech Co., Ltd. 50,707 149,375 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* KleanNara Co., Ltd. 143,803 $ 675,470 0.0%
* KMH Co., Ltd. 65,831 469,622 0.0%
#* KMH Hitech Co., Ltd. 147,148 178,354 0.0%
#* KMW Co., Ltd. 22,069 276,321 0.0%
# Kocom Co., Ltd. 53,803 410,847 0.0%
# Kodaco Co., Ltd. 214,531 633,012 0.0%
#* KODI-M Co., Ltd. 356,894 533,690 0.0%
# Koentec Co., Ltd. 306,814 859,138 0.0%
Koh Young Technology, Inc. 78,674 3,711,117 0.1%
# Kolao Holdings 147,557 866,878 0.0%
# Kolmar BNH Co., Ltd. 41,541 747,535 0.0%
# Kolon Corp. 48,367 2,653,615 0.1%
Kolon Global Corp. 31,442 371,619 0.0%
# Kolon Life Science, Inc. 1,839 227,416 0.0%
# Kolon Plastic, Inc. 83,422 468,708 0.0%
Komelon Corp. 37,832 345,559 0.0%
* KONA I Co., Ltd. 100,937 860,042 0.0%
# Kook Soon Dang Brewery Co., Ltd. 89,393 506,291 0.0%
# Kopla Co., Ltd. 29,264 357,312 0.0%
# Korea Alcohol Industrial Co., Ltd. 89,552 714,029 0.0%
Korea Autoglass Corp. 27,247 400,878 0.0%
# Korea Cast Iron Pipe Industries Co., Ltd. 69,795 565,965 0.0%
# Korea Circuit Co., Ltd. 79,720 927,480 0.0%
# Korea District Heating Corp. 21,958 1,361,641 0.0%
Korea Electric Terminal Co., Ltd. 39,899 2,493,524 0.1%
# Korea Electronic Certification Authority, Inc. 127,960 873,927 0.0%
# Korea Electronic Power Industrial Development Co., Ltd. 74,881 296,740 0.0%
Korea Export Packaging Industrial Co., Ltd. 5,621 85,940 0.0%
Korea Flange Co., Ltd. 20,776 231,771 0.0%
# Korea Fuel-Tech Corp. 36,117 162,810 0.0%
# Korea Industrial Co., Ltd. 95,471 339,834 0.0%
#* Korea Information & Communications Co, Ltd. 103,315 926,139 0.0%
# Korea Information Certificate Authority, Inc. 101,295 588,744 0.0%
# Korea Kolmar Holdings Co., Ltd. 52,289 1,515,238 0.0%
#* Korea Line Corp. 111,900 2,371,083 0.1%
#* Korea Materials & Analysis Corp. 32,509 631,006 0.0%
# Korea United Pharm, Inc. 70,739 1,278,050 0.0%
Korean Reinsurance Co. 282,642 2,805,423 0.1%
# Kortek Corp. 78,059 1,014,355 0.0%
KPX Chemical Co., Ltd. 14,369 772,592 0.0%
#* KR Motors Co., Ltd. 56,572 35,271 0.0%
# Ksign Co., Ltd. 285,103 502,059 0.0%
KSS LINE, Ltd. 72,590 538,648 0.0%
* KT Hitel Co., Ltd. 96,504 597,030 0.0%
KT Skylife Co., Ltd. 180,076 2,562,582 0.1%
# KT Submarine Co., Ltd. 100,696 433,851 0.0%
#* KTB Investment & Securities Co., Ltd. 366,636 1,046,857 0.0%
# KTCS Corp. 202,052 454,341 0.0%
# Ktis Corp. 176,462 552,289 0.0%
#* Kuk Young G&M 186,943 198,691 0.0%
# Kukbo Design Co., Ltd. 18,010 239,650 0.0%
Kukdo Chemical Co., Ltd. 24,731 1,043,256 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
* Kukdong Corp. 1,069 $ 9,867 0.0%
# Kukdong Oil & Chemicals Co., Ltd. 75,508 244,465 0.0%
#* Kum Yang Co., Ltd. . 101,497 231,857 0.0%
#* Kumho Electric Co., Ltd. 18,861 180,633 0.0%
# Kumho Industrial Co., Ltd. 132,048 1,085,170 0.0%
#* Kumho Tire Co., Inc. 378,607 2,676,746 0.1%
# Kumkang Kind Co., Ltd. 17,201 567,477 0.0%
Kwang Dong Pharmaceutical Co., Ltd. 234,808 1,819,339 0.1%
#* Kwang Myung Electric Co., Ltd. 278,852 721,092 0.0%
# Kwangju Bank 189,283 1,961,143 0.1%
* Kyeryong Construction Industrial Co., Ltd. 20,308 313,770 0.0%
Kyobo Securities Co., Ltd. 141,085 1,183,927 0.0%
# Kyongbo Pharmaceutical Co., Ltd. 80,079 928,321 0.0%
# Kyung Dong Navien Co., Ltd. 41,530 1,326,437 0.0%
#* Kyung Nam Pharm Co., Ltd. 31,125 139,728 0.0%
# Kyung-In Synthetic Corp. 193,710 756,097 0.0%
# Kyungbang, Ltd. 61,785 797,844 0.0%
# Kyungchang Industrial Co., Ltd. 87,499 380,175 0.0%
# KyungDong City Gas Co., Ltd. 16,891 1,071,738 0.0%
# Kyungdong Pharm Co., Ltd. 47,088 777,900 0.0%
# L&F Co., Ltd. 16,505 253,001 0.0%
#* LB Semicon, Inc. 220,837 544,963 0.0%
# LEADCORP, Inc. (The) 115,261 724,071 0.0%
#* Leaders Cosmetics Co., Ltd. 90,584 1,486,702 0.0%
Lee Ku Industrial Co., Ltd. 203,505 359,119 0.0%
LEENO Industrial, Inc. 71,549 2,677,574 0.1%
# Leenos Corp. 179,182 541,208 0.0%
LF Corp. 149,068 3,266,812 0.1%
LG Hausys, Ltd. 48,842 4,289,799 0.1%
LG International Corp. 214,286 6,116,339 0.1%
# Lion Chemtech Co., Ltd. 56,351 847,369 0.0%
#* LIS Co., Ltd. 57,578 507,928 0.0%
#* Liveplex Co., Ltd. 381,326 438,524 0.0%
# LMS Co., Ltd. 32,869 321,828 0.0%
# Lock&Lock Co., Ltd. 154,467 1,932,755 0.1%
#* LONGTU KOREA, Inc. 13,206 160,016 0.0%
#* LOT Vacuum Co., Ltd. 50,206 590,426 0.0%
LOTTE Fine Chemical Co., Ltd. 139,854 4,731,075 0.1%
Lotte Food Co., Ltd. 5,343 3,010,876 0.1%
LOTTE Himart Co., Ltd. 73,525 3,553,389 0.1%
Lotte Non-Life Insurance Co., Ltd. 523,109 1,241,270 0.0%
LS Industrial Systems Co., Ltd. 99,113 4,422,230 0.1%
* Lumens Co., Ltd. 317,869 1,013,165 0.0%
# Lutronic Corp. 94,212 1,199,253 0.0%
#* Macrogen, Inc. 66,897 1,739,002 0.1%
# Maeil Dairy Industry Co., Ltd. 47,074 2,233,936 0.1%
* Majestar Co., Ltd. 28,647 34,696 0.0%
#* Mcnex Co., Ltd. 38,722 762,715 0.0%
# MDS Technology Co., Ltd. 45,925 929,882 0.0%
#* Mediana Co., Ltd. 32,764 378,228 0.0%
# Meerecompany, Inc. 7,991 293,234 0.0%
# MegaStudy Co., Ltd. 18,677 526,852 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
MegaStudyEdu Co., Ltd. 4,919 $ 183,217 0.0%
#* Melfas, Inc. 138,000 799,561 0.0%
# META BIOMED Co., Ltd. 137,952 491,429 0.0%
#* Mgame Corp. 117,865 544,132 0.0%
Mi Chang Oil Industrial Co., Ltd. 4,968 378,869 0.0%
#* MiCo, Ltd. 162,654 453,630 0.0%
# Minwise Co., Ltd. 60,598 1,026,975 0.0%
Mirae Asset Life Insurance Co., Ltd. 405,482 1,989,368 0.1%
#* Mirae Corp. 2,226,388 574,711 0.0%
Miwon Chemicals Co., Ltd. 3,630 213,756 0.0%
* Miwon Commercial Co., Ltd. 716 143,249 0.0%
# Miwon Specialty Chemical Co., Ltd. 1,399 821,278 0.0%
# MK Electron Co., Ltd. 115,208 879,234 0.0%
# MK Trend Co., Ltd. 32,670 333,120 0.0%
#* MNTech Co., Ltd. 123,572 662,904 0.0%
Mobase Co., Ltd. 59,021 392,179 0.0%
#* Moda, Inc. 80,078 822,885 0.0%
#* Moda-InnoChips Co., Ltd. 14,702 122,150 0.0%
Modetour Network, Inc. 79,973 2,774,692 0.1%
# Monalisa Co., Ltd. 104,072 542,498 0.0%
# MonAmi Co., Ltd. 112,097 412,419 0.0%
# Moorim P&P Co., Ltd. 153,611 558,600 0.0%
#* Moorim Paper Co., Ltd. 149,278 358,109 0.0%
# Motonic Corp. 74,383 615,088 0.0%
#* MPK Group, Inc. 151,072 225,539 0.0%
# Muhak Co., Ltd. 106,269 2,149,671 0.1%
# Multicampus Co, Ltd. 18,268 599,105 0.0%
# Myungmoon Pharm Co., Ltd. 137,956 612,856 0.0%
Namhae Chemical Corp. 172,692 1,392,595 0.0%
#* Namsun Aluminum Co., Ltd. 496,334 542,543 0.0%
#* Namuga Co., Ltd. 9,406 311,964 0.0%
Namyang Dairy Products Co., Ltd. 2,288 1,743,839 0.1%
#* Nanos Co., Ltd. 38,381 10,422 0.0%
# Nasmedia Co., Ltd. 26,106 1,067,788 0.0%
#* Naturalendo Tech Co., Ltd. 50,138 601,405 0.0%
# NeoPharm Co., Ltd. 36,432 868,338 0.0%
#* Neowiz 112,898 1,160,126 0.0%
#* NEOWIZ HOLDINGS Corp. 38,369 524,354 0.0%
* NEPES Corp. 135,307 1,152,768 0.0%
# Nexen Corp. 272,063 1,971,432 0.1%
Nexen Tire Corp. 184,994 2,218,486 0.1%
* Nexon GT Co., Ltd. 112,012 780,056 0.0%
#* Next Entertainment World Co., Ltd. 39,100 295,873 0.0%
# Nexturn Co., Ltd. 53,400 1,086,051 0.0%
#* NHN Entertainment Corp. 114,640 6,261,143 0.1%
#* NHN KCP Corp. 86,088 1,024,867 0.0%
NICE Holdings Co., Ltd. 116,535 1,964,919 0.1%
# Nice Information & Telecommunication, Inc. 42,020 1,004,020 0.0%
# NICE Information Service Co., Ltd. 261,828 1,837,345 0.1%
# NICE Total Cash Management Co., Ltd. 114,914 893,213 0.0%
#* NK Co., Ltd. 272,803 476,614 0.0%
# Nong Shim Holdings Co., Ltd. 12,807 1,215,618 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Nong Woo Bio Co., Ltd. 67,166 $1,035,029 0.0%
# Noroo Holdings Co., Ltd. 13,599 178,749 0.0%
# NOROO Paint & Coatings Co., Ltd. 64,492 461,079 0.0%
NPC 66,771 382,596 0.0%
# NS Shopping Co., Ltd. 13,972 2,087,389 0.1%
#* Nuri Telecom Co., Ltd. 57,184 514,763 0.0%
#* NUTRIBIOTECH Co., Ltd. 42,325 836,705 0.0%
#* NUVOTEC Co., Ltd. 153,125 381,848 0.0%
#* Omnisystem Co., Ltd. 258,001 607,516 0.0%
#* ONDA Entertainment Co., Ltd. 171,971 381,195 0.0%
# Openbase, Inc. 201,345 742,451 0.0%
# Opto Device Technology Co., Ltd. 56,187 451,990 0.0%
#* OPTRON-TEC, Inc. 122,304 770,099 0.0%
#* Orientbio, Inc. 446,032 552,145 0.0%
#* OSANGJAIEL Co., Ltd. 14,573 116,093 0.0%
#* Osstem Implant Co., Ltd. 90,651 4,201,400 0.1%
#* Osung LST Co., Ltd. 186,772 146,123 0.0%
#* Pan-Pacific Co., Ltd. 197,431 682,607 0.0%
Pang Rim Co., Ltd. 10,174 198,868 0.0%
#* PaperCorea, Inc. 1,570,103 704,787 0.0%
# Paradise Co., Ltd. 316,515 3,917,195 0.1%
# Partron Co., Ltd. 349,480 3,343,649 0.1%
#* Paru Co., Ltd. 214,272 607,824 0.0%
#* People & Technologies, Inc. 37,322 383,288 0.0%
# PHARMA RESEARCH PRODUCTS Co., Ltd. 29,057 912,231 0.0%
#* Pharmicell Co., Ltd. 85,904 328,381 0.0%
#* Phoenix Materials Co., Ltd. 340,119 381,970 0.0%
Pixelplus Co., Ltd. 29,482 353,302 0.0%
* PNE Solution Co., Ltd. 4,186 24,926 0.0%
#* Pobis TNC Co., Ltd. 236,542 471,995 0.0%
Poongsan Corp. 152,642 5,232,247 0.1%
# Poongsan Holdings Corp. 28,344 1,187,865 0.0%
# POSCO Chemtech Co., Ltd. 159,112 2,012,462 0.1%
POSCO Coated & Color Steel Co., Ltd. 13,777 375,813 0.0%
# Posco ICT Co., Ltd. 406,650 2,450,128 0.1%
Posco M-Tech Co., Ltd. 148,368 353,108 0.0%
#* Power Logics Co., Ltd. 180,807 837,535 0.0%
* Prostemics Co., Ltd. 138,631 469,719 0.0%
Protec Co., Ltd. 2,873 38,373 0.0%
PS TEC Co., Ltd. 6,466 28,147 0.0%
# PSK, Inc. 111,558 1,362,298 0.0%
# Pulmuone Co., Ltd. 7,229 825,228 0.0%
# Pyeong Hwa Automotive Co., Ltd. 91,024 1,087,461 0.0%
#* RaonSecure Co., Ltd. 147,021 406,672 0.0%
#* Redrover Co., Ltd. 202,805 1,031,943 0.0%
# Reyon Pharmaceutical Co., Ltd. 34,594 838,865 0.0%
# RFsemi Technologies, Inc. 30,415 234,833 0.0%
#* RFTech Co., Ltd. 125,838 734,801 0.0%
# Robostar Co., Ltd. 46,444 721,527 0.0%
#* S Net Systems, Inc. 90,412 485,133 0.0%
#* S&S Tech Corp. 111,557 612,405 0.0%
#* S&T Corp. 14,935 247,924 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
* S&T Dynamics Co., Ltd. 164,411 $1,295,953 0.0%
S&T Holdings Co., Ltd. 52,081 718,179 0.0%
# S&T Motiv Co., Ltd. 68,387 2,703,990 0.1%
#* S-Connect Co., Ltd. 402,406 1,028,120 0.0%
S-Energy Co., Ltd. 63,166 443,365 0.0%
#* S-MAC Co., Ltd. 364,557 770,370 0.0%
# S.Y. Panel Co., Ltd. 77,625 542,752 0.0%
# Saeron Automotive Corp. 2,640 17,586 0.0%
# Sajo Industries Co., Ltd. 21,177 1,289,168 0.0%
#* Sajodongaone Co., Ltd. 149,799 216,436 0.0%
* SAJOHAEPYO Corp. 574 5,898 0.0%
# Sam Chun Dang Pharm Co., Ltd. 102,144 1,265,285 0.0%
#* SAM KANG M&T Co., Ltd. 75,787 444,525 0.0%
Sam Young Electronics Co., Ltd. 74,857 854,310 0.0%
# Sam Yung Trading Co., Ltd. 67,574 1,110,262 0.0%
Sam-A Pharm Co., Ltd. 4,439 77,785 0.0%
# Sambo Motors Co., Ltd. 16,143 88,236 0.0%
Samchully Co., Ltd. 18,666 1,738,193 0.0%
# Samchuly Bicycle Co., Ltd. 56,388 651,518 0.0%
# Samho Development Co., Ltd. 85,570 344,353 0.0%
#* Samho International Co., Ltd. 41,074 608,092 0.0%
# SAMHWA Paints Industrial Co., Ltd. 62,525 478,138 0.0%
# Samick Musical Instruments Co., Ltd. 434,190 829,050 0.0%
# Samick THK Co., Ltd. 71,765 904,072 0.0%
#* Samji Electronics Co., Ltd. 77,681 604,897 0.0%
#* Samjin LND Co., Ltd. 98,862 252,646 0.0%
Samjin Pharmaceutical Co., Ltd. 71,670 2,130,275 0.1%
# Samkee Automotive Co., Ltd. 109,961 316,750 0.0%
# Samkwang Glass 22,013 1,143,248 0.0%
# Sammok S-Form Co., Ltd. 59,384 713,591 0.0%
#* SAMPYO Cement Co., Ltd. 163,983 544,566 0.0%
* Samsung Pharmaceutical Co., Ltd. 29,487 93,699 0.0%
# SAMT Co., Ltd. 430,729 820,280 0.0%
# Samwha Capacitor Co., Ltd. 61,058 713,263 0.0%
Samyang Corp. 21,381 1,808,497 0.1%
# Samyang Foods Co., Ltd. 21,515 1,070,367 0.0%
Samyang Holdings Corp. 26,732 2,969,734 0.1%
# Samyang Tongsang Co., Ltd. 11,841 571,269 0.0%
* Samyoung Chemical Co., Ltd. 136,867 203,907 0.0%
Samyoung M-Tek Co., Ltd. 10,739 48,319 0.0%
# Sang-A Frontec Co., Ltd. 38,565 407,456 0.0%
#* Sangbo Corp. 169,943 478,924 0.0%
# Sangsin Brake 27,844 165,603 0.0%
* Sapphire Technology Co., Ltd. 15,530 32,046 0.0%
# SaraminHR Co, Ltd. 41,326 759,989 0.0%
# Satrec Initiative Co., Ltd. 19,756 695,922 0.0%
# SAVEZONE I&C Corp. 82,400 377,272 0.0%
#* SBI Investment Korea Co., Ltd. 257,130 154,836 0.0%
SBS Contents Hub Co., Ltd. 45,751 341,130 0.0%
SBS Media Holdings Co., Ltd. 325,519 817,891 0.0%
#* SBW 842,879 1,106,276 0.0%
#* SDN Co., Ltd. 233,470 280,822 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
Seah Besteel Corp. 97,183 $2,382,784 0.1%
SeAH Holdings Corp. 4,924 592,836 0.0%
SeAH Steel Corp. 21,656 1,846,927 0.1%
# Sebang Co., Ltd. 70,722 962,233 0.0%
Sebang Global Battery Co., Ltd. 49,797 1,640,849 0.0%
* Seegene, Inc. 58,471 1,830,652 0.1%
# Sejong Industrial Co., Ltd. 71,970 593,161 0.0%
* Sejong Telecom, Inc. 1,173,567 1,012,457 0.0%
# Sejoong Co., Ltd. 70,736 262,588 0.0%
# Sekonix Co., Ltd. 63,573 985,543 0.0%
#* Selvas AI Inc. 111,896 433,996 0.0%
# Sempio Co. 6,723 219,500 0.0%
# Sempio Foods Co. 14,221 461,886 0.0%
# Semyung Electric Machinery Co., Ltd. 9,493 48,914 0.0%
# Seobu T&D 123,470 1,828,012 0.1%
# Seohan Co., Ltd. 587,338 1,405,097 0.0%
# Seohee Construction Co., Ltd. 1,033,788 1,189,795 0.0%
# Seondo Electric Co., Ltd. 91,667 319,673 0.0%
# Seoul Auction Co., Ltd. 82,515 655,900 0.0%
# Seoul Pharma Co., Ltd. 22,333 202,060 0.0%
# Seoul Semiconductor Co., Ltd. 304,747 5,030,673 0.1%
# Seowon Co., Ltd. 169,363 215,486 0.0%
# SEOWONINTECH Co., Ltd. 73,343 763,195 0.0%
# Seoyon Co., Ltd. 109,742 973,694 0.0%
#* Sewon Cellontech Co., Ltd. 341,652 768,223 0.0%
Sewon Precision Industry Co., Ltd. 23,797 397,080 0.0%
# SEWOONMEDICAL Co., Ltd. 160,214 566,793 0.0%
SFA Engineering Corp. 76,819 5,276,108 0.1%
#* SFA Semicon Co, Ltd. 569,514 1,184,623 0.0%
#* SFC Co., Ltd. 159,821 457,634 0.0%
#* SG Corp. 865,420 881,426 0.0%
#* SG&G Corp. 84,340 288,661 0.0%
#* SGA Co., Ltd. 557,807 572,915 0.0%
# SH Energy & Chemical Co., Ltd. 739,431 979,859 0.0%
#* Shin Poong Pharmaceutical Co., Ltd. 286,037 1,586,447 0.0%
# Shinil Industrial Co., Ltd. 301,022 551,791 0.0%
# Shinsegae Engineering & Construction Co., Ltd. 19,334 613,211 0.0%
# Shinsegae Food Co., Ltd. 17,789 2,430,262 0.1%
# Shinsegae Information & Communication Co., Ltd. 8,076 531,229 0.0%
Shinsegae International, Inc. 19,972 1,283,132 0.0%
#* Shinsung E&G Energy Co., Ltd. 1,034,116 1,652,405 0.0%
#* Shinsung Tongsang Co., Ltd. 608,989 631,143 0.0%
# Shinwha Intertek Corp. 201,959 712,444 0.0%
#* Shinwon Corp. 173,143 277,493 0.0%
# Shinyoung Securities Co., Ltd. 25,594 1,122,128 0.0%
# SHOWBOX Corp. 272,250 1,310,121 0.0%
#* Signal Entertainment Group Corp. 495,519 295,513 0.0%
#* Signetics Corp. 354,106 422,914 0.0%
#* SIGONG TECH Co., Ltd. 91,546 564,630 0.0%
# Silicon Works Co., Ltd. 78,879 2,029,565 0.1%
# Silla Co., Ltd. 46,048 590,989 0.0%
SIMMTECH Co., Ltd. 42,126 393,589 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* SIMMTECH HOLDINGS Co., Ltd. 174,870 $ 509,569 0.0%
SIMPAC, Inc. 96,815 419,850 0.0%
Sindoh Co., Ltd. 30,684 1,415,685 0.0%
#* Sinjin SM Co., Ltd. 4,208 37,523 0.0%
SJM Co., Ltd. 34,349 190,701 0.0%
# SK Bioland Co., Ltd. 71,604 1,163,320 0.0%
# SK D&D Co., Ltd. 27,855 675,397 0.0%
# SK Gas, Ltd. 31,515 3,251,680 0.1%
#* SK Securities Co., Ltd. 3,333,510 3,509,000 0.1%
# SKC Co., Ltd. 152,172 3,828,836 0.1%
#* SKC Solmics Co., Ltd. 200,739 652,739 0.0%
# SKCKOLONPI, Inc. 102,904 1,536,484 0.0%
SL Corp. 95,286 1,515,330 0.0%
#* SM Culture & Contents Co., Ltd. 309,358 560,892 0.0%
#* SM Entertainment Co. 131,762 2,991,210 0.1%
# SMCo.re, Inc. 25,857 334,017 0.0%
# SMEC Co., Ltd. 146,477 549,835 0.0%
#* SNTEK Co., Ltd. 5,937 35,480 0.0%
#* SNU Precision Co., Ltd. 147,168 612,629 0.0%
#* Solborn, Inc. 114,653 616,884 0.0%
#* Solid, Inc. 189,405 411,818 0.0%
Songwon Industrial Co., Ltd. 110,517 1,746,857 0.1%
#* Sonokong Co., Ltd. 143,503 733,882 0.0%
# Soosan Heavy Industries Co., Ltd. 206,213 318,686 0.0%
# Soulbrain Co., Ltd. 69,163 3,341,198 0.1%
#* Spero Global Co., Ltd. 74,501 190,712 0.0%
# SPG Co., Ltd. 63,170 315,169 0.0%
# Spigen Korea Co., Ltd. 19,858 878,972 0.0%
Ssangyong Cement Industrial Co., Ltd. 39,393 461,389 0.0%
* Ssangyong Information & Communication 9,607 18,443 0.0%
# Ssangyong Materials Corp. 170,937 447,135 0.0%
* Ssangyong Motor Co. 241,318 1,598,996 0.0%
# Suheung Co., Ltd. 42,994 1,410,879 0.0%
Sun Kwang Co., Ltd. 11,977 194,659 0.0%
# Sunchang Corp. 54,857 515,856 0.0%
#* SundayToz Corp. 37,977 746,753 0.0%
# Sung Bo Chemicals Co., Ltd. 56,100 308,188 0.0%
# Sung Kwang Bend Co., Ltd. 145,690 1,349,595 0.0%
# Sungchang Enterprise Holdings, Ltd. 422,410 1,099,358 0.0%
# Sungdo Engineering & Construction Co., Ltd. 30,918 175,194 0.0%
#* Sungshin Cement Co., Ltd. 115,422 706,980 0.0%
Sungwoo Hitech Co., Ltd. 260,089 1,693,317 0.0%
# Sunjin Co., Ltd. 67,046 1,197,388 0.0%
#* Suprema HQ, Inc. 36,612 261,605 0.0%
#* Suprema, Inc. 33,897 666,397 0.0%
#* Synopex, Inc. 433,796 697,393 0.0%
# Systems Technology, Inc. 72,171 830,015 0.0%
* T'way Holdings, Inc. 223,546 520,518 0.0%
Tae Kyung Industrial Co., Ltd. 39,841 169,011 0.0%
Taekwang Industrial Co., Ltd. 2,850 2,230,747 0.1%
#* Taewoong Co., Ltd. 77,840 1,794,064 0.1%
#* Taeyoung Engineering & Construction Co., Ltd. 296,040 1,643,159 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Taihan Textile Co., Ltd. 1,058 $ 82,914 0.0%
# Tailim Packaging Co., Ltd. 27,085 73,146 0.0%
#* TBH Global Co., Ltd. 101,248 714,815 0.0%
# TechWing, Inc. 96,011 1,028,283 0.0%
# Tera Semicon Co., Ltd. 54,745 1,521,688 0.0%
# TES Co., Ltd. 101,888 2,330,444 0.1%
* Tesna Co., Ltd. 3,847 50,501 0.0%
#* Texcell-NetCom Co., Ltd. 244,545 1,626,085 0.0%
#* Theragen Etex Co., Ltd. 42,112 219,238 0.0%
#* Thinkware Systems Corp. 48,447 502,050 0.0%
#* TK Chemical Corp. 294,194 497,641 0.0%
# TK Corp. 114,382 910,255 0.0%
# TLI, Inc. 23,474 124,025 0.0%
# Tokai Carbon Korea Co., Ltd. 36,022 1,108,961 0.0%
# Tong Yang Moolsan Co., Ltd. 332,550 535,230 0.0%
Tongyang Life Insurance Co., Ltd. 287,777 2,538,011 0.1%
# Tongyang, Inc. 1,407,545 2,660,954 0.1%
# Tonymoly Co., Ltd. 45,846 856,042 0.0%
# Top Engineering Co., Ltd. 77,972 498,507 0.0%
# Toptec Co., Ltd. 124,617 2,998,680 0.1%
# Tovis Co., Ltd. 103,377 745,323 0.0%
#* Trais Co., Ltd. 24,456 52,358 0.0%
TS Corp. 29,456 659,979 0.0%
# UBCare Co., Ltd. 189,032 597,783 0.0%
# Ubiquoss Holdings, Inc. 74,193 436,456 0.0%
#* Ubiquoss, Inc. 23,646 495,612 0.0%
#* Ubivelox, Inc. 25,329 240,397 0.0%
#* Ugint Co., Ltd. 2,294,490 867,755 0.0%
UIL Co., Ltd. 26,259 276,738 0.0%
# Uju Electronics Co., Ltd. 51,487 755,108 0.0%
Unid Co., Ltd. 37,880 1,596,230 0.0%
# Union Semiconductor Equipment & Materials Co., Ltd. 187,300 1,020,111 0.0%
# Uniquest Corp. 88,372 539,570 0.0%
#* Unison Co., Ltd. 65,618 100,153 0.0%
# UniTest, Inc. 116,670 1,105,833 0.0%
# Value Added Technologies Co., Ltd. 58,337 1,494,972 0.0%
# Very Good Leisure Co., Ltd. 25,853 253,306 0.0%
# Viatron Technologies, Inc. 77,784 1,406,466 0.0%
#* Vidente Co., Ltd. 84,403 305,227 0.0%
Vieworks Co., Ltd. 58,454 3,382,535 0.1%
# Visang Education, Inc. 50,283 651,596 0.0%
# Vitzrocell Co., Ltd. 80,528 1,026,150 0.0%
#* W Holding Co., Ltd. 499,901 315,017 0.0%
#* Webzen, Inc. 123,650 2,198,263 0.1%
#* Welcron Co., Ltd. 155,384 489,465 0.0%
# WeMade Entertainment Co., Ltd. 74,933 2,028,242 0.1%
# Whanin Pharmaceutical Co., Ltd. 99,018 1,500,671 0.0%
#* WillBes & Co. (The) 340,995 735,003 0.0%
# Winix, Inc. 44,681 426,204 0.0%
#* Winnova Co., Ltd. 436,462 299,183 0.0%
# Wins Co., Ltd. 58,955 660,302 0.0%
# WiSoL Co., Ltd. 131,192 1,842,594 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
* WIZIT Co., Ltd. 529,225 $ 545,915 0.0%
#* WONIK CUBE Corp. 13,011 27,667 0.0%
#* Wonik Holdings Co., Ltd. 287,753 1,664,766 0.0%
#* WONIK IPS Co., Ltd. 176,725 4,019,469 0.1%
#* Wonik Materials Co., Ltd. 24,255 1,352,557 0.0%
#* Wonik QnC Corp. 126,286 1,120,151 0.0%
Woojin, Inc. 2,070 10,728 0.0%
#* Woongjin Co., Ltd. 353,469 688,522 0.0%
#* Woongjin Energy Co., Ltd. 138,987 613,890 0.0%
* Woongjin Thinkbig Co., Ltd. 182,310 1,414,236 0.0%
#* Woori Investment Bank Co., Ltd. 2,230,839 1,213,863 0.0%
#* Woori Technology, Inc. 485,786 308,871 0.0%
#* Wooridul Pharmaceutical, Ltd. 53,501 765,729 0.0%
# Woory Industrial Co., Ltd. 40,403 894,279 0.0%
# Wooshin Systems Co., Ltd. 10,191 52,290 0.0%
# Woosu AMS Co., Ltd. 139,479 361,328 0.0%
# WooSung Feed Co., Ltd. 141,462 492,132 0.0%
# Y G-1 Co., Ltd. 83,466 791,984 0.0%
#* YD Online Corp. 149,819 557,249 0.0%
#* YeaRimDang Publishing Co., Ltd. 86,497 453,440 0.0%
# Yeong Hwa Metal Co., Ltd. 195,869 311,338 0.0%
# YES24 Co., Ltd. 43,089 261,236 0.0%
YESCO Co., Ltd. 18,211 589,615 0.0%
# YG Entertainment, Inc. 93,654 2,480,890 0.1%
#* YG Plus 60,153 128,931 0.0%
#* YJM Games Co., Ltd. 138,432 542,833 0.0%
# YMC Co., Ltd. 42,052 487,384 0.0%
#* Yonwoo Co., Ltd. 30,633 859,282 0.0%
# Yoosung Enterprise Co., Ltd. 142,242 566,159 0.0%
# YooSung T&S Co., Ltd. 106,473 446,791 0.0%
Youlchon Chemical Co., Ltd. 73,188 855,470 0.0%
# Young Heung Iron & Steel Co., Ltd. 287,784 415,670 0.0%
# Young Poong Precision Corp. 79,593 618,861 0.0%
Youngone Holdings Co., Ltd. 36,935 1,724,787 0.0%
#* YoungWoo DSP Co., Ltd. 71,092 699,244 0.0%
YTN Co., Ltd. 73,837 165,098 0.0%
#* Yuanta Securities Korea Co., Ltd. 733,238 2,180,956 0.1%
# YuHwa Securities Co., Ltd. 13,060 173,738 0.0%
#* Yungjin Pharmaceutical Co., Ltd. 22,517 168,952 0.0%
#* Yuyang DNU Co., Ltd. 208,417 735,678 0.0%
# Zeus Co., Ltd. 45,926 772,449 0.0%
#* Zungwon En-Sys, Inc. 86,136 188,230 0.0%
------------ ----
TOTAL SOUTH KOREA 886,000,191 13.6%
------------ ----
TAIWAN -- (15.5%)
# A-DATA Technology Co., Ltd. 1,519,879 3,597,720 0.1%
Ability Enterprise Co., Ltd. 1,706,293 1,133,352 0.0%
# AcBel Polytech, Inc. 2,979,599 2,310,721 0.1%
# Accton Technology Corp. 3,313,763 7,517,003 0.1%
ACES Electronic Co., Ltd. 605,000 500,875 0.0%
# Achem Technology Corp. 1,616,860 559,926 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
* Acme Electronics Corp. 529,000 $ 196,476 0.0%
# Acter Co., Ltd. 255,000 1,114,847 0.0%
#* Action Electronics Co., Ltd. 1,413,000 496,615 0.0%
# Actron Technology Corp. 465,150 1,640,530 0.0%
Addcn Technology Co., Ltd. 88,299 659,217 0.0%
# Adlink Technology, Inc. 864,031 1,897,628 0.0%
# Advanced Ceramic X Corp. 297,000 3,127,398 0.1%
* Advanced Connectek, Inc. 1,202,000 432,370 0.0%
Advanced International Multitech Co., Ltd. 576,000 531,102 0.0%
# Advanced Optoelectronic Technology, Inc. 185,000 175,789 0.0%
# Advanced Wireless Semiconductor Co. 1,014,000 2,060,433 0.1%
# Advancetek Enterprise Co., Ltd. 977,779 648,455 0.0%
* AGV Products Corp. 3,358,433 837,954 0.0%
# AimCore Technology Co., Ltd. 334,589 293,282 0.0%
* Airmate Cayman International Co., Ltd. 54,000 53,345 0.0%
Alchip Technologies, Ltd. 116,000 230,127 0.0%
Alcor Micro Corp. 312,000 224,275 0.0%
#* ALI Corp. 2,195,000 1,127,594 0.0%
# All Ring Tech Co., Ltd. 440,000 1,143,273 0.0%
Allis Electric Co., Ltd. 54,000 18,601 0.0%
# Alltek Technology Corp. 695,855 590,359 0.0%
# Alltop Technology Co., Ltd. 393,000 910,952 0.0%
# Alpha Networks, Inc. 2,014,386 1,636,230 0.0%
# Altek Corp. 1,805,945 1,607,623 0.0%
# Amazing Microelectronic Corp. 326,000 693,737 0.0%
Ambassador Hotel (The) 1,639,000 1,268,591 0.0%
# AMICCOM Electronics Corp. 321,000 480,022 0.0%
# AMPOC Far-East Co., Ltd. 612,444 575,386 0.0%
# AmTRAN Technology Co., Ltd. 5,840,951 4,245,430 0.1%
# Anpec Electronics Corp. 585,590 738,192 0.0%
AP Memory Technology Corp. 138,000 397,990 0.0%
# Apacer Technology, Inc. 609,325 792,379 0.0%
* APCB, Inc. 832,000 857,245 0.0%
Apex Biotechnology Corp. 654,483 843,654 0.0%
Apex International Co., Ltd. 665,293 648,835 0.0%
# Apex Medical Corp. 477,500 489,090 0.0%
# Apex Science & Engineering 1,046,132 296,442 0.0%
# Arcadyan Technology Corp. 939,718 1,580,906 0.0%
Ardentec Corp. 2,913,274 2,391,776 0.1%
* Arima Communications Corp. 769,644 124,682 0.0%
#* Asia Optical Co., Inc. 1,615,000 3,100,219 0.1%
# Asia Plastic Recycling Holding, Ltd. 1,226,398 601,344 0.0%
# Asia Polymer Corp. 2,135,987 1,312,602 0.0%
# Asia Vital Components Co., Ltd. 2,146,058 1,784,444 0.0%
# ASMedia Technology, Inc. 162,000 1,679,044 0.0%
# ASPEED Technology, Inc. 157,599 3,056,177 0.1%
# ASROCK, Inc. 141,000 189,855 0.0%
Aten International Co., Ltd. 622,479 1,712,941 0.0%
Audix Corp. 614,600 855,207 0.0%
# AURAS Technology Co., Ltd. 424,148 1,154,572 0.0%
# Aurona Industries, Inc. 418,000 418,171 0.0%
# Aurora Corp. 720,499 1,382,740 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Avalue Technology, Inc. 266,000 $ 494,634 0.0%
Avermedia Technologies 767,446 263,186 0.0%
* Avision, Inc. 437,000 103,701 0.0%
# AVY Precision Technology, Inc. 388,670 629,468 0.0%
# Awea Mechantronic Co., Ltd. 273,210 289,786 0.0%
# Axiomtek Co., Ltd. 354,000 690,840 0.0%
Bank of Kaohsiung Co., Ltd. 2,798,079 899,409 0.0%
# Basso Industry Corp. 786,900 2,242,271 0.1%
# BenQ Materials Corp. 1,272,000 688,478 0.0%
# BES Engineering Corp. 10,187,750 2,110,669 0.1%
# Bionet Corp. 132,000 121,058 0.0%
# Bionime Corp. 166,000 419,873 0.0%
* Biostar Microtech International Corp. 1,025,975 409,569 0.0%
# Bioteque Corp. 401,308 1,281,159 0.0%
# Bizlink Holding, Inc. 717,954 4,296,053 0.1%
# Boardtek Electronics Corp. 798,000 732,872 0.0%
# Bon Fame Co., Ltd. 129,000 487,162 0.0%
# Bothhand Enterprise, Inc. 337,000 745,007 0.0%
# Bright Led Electronics Corp. 525,520 293,127 0.0%
#* Browave Corp. 438,000 799,716 0.0%
#* C Sun Manufacturing, Ltd. 722,221 465,236 0.0%
C-Media Electronics, Inc. 69,000 50,542 0.0%
#* Cameo Communications, Inc. 393,818 119,724 0.0%
# Capital Futures Corp. 457,039 532,975 0.0%
# Capital Securities Corp. 13,512,142 4,472,524 0.1%
Career Technology MFG. Co., Ltd. 2,145,000 1,441,876 0.0%
#* Carnival Industrial Corp. 1,419,000 246,445 0.0%
# Casetek Holdings, Ltd. 847,000 2,510,439 0.1%
Cathay Chemical Works 30,000 16,802 0.0%
Cathay Real Estate Development Co., Ltd. 4,217,700 2,831,755 0.1%
# Cayman Engley Industrial Co., Ltd. 110,000 573,960 0.0%
Celxpert Energy Corp. 44,000 30,990 0.0%
#* Center Laboratories, Inc. 776,000 1,478,031 0.0%
Central Reinsurance Co., Ltd. 919,410 437,441 0.0%
# ChainQui Construction Development Co., Ltd. 379,083 224,650 0.0%
* Champion Building Materials Co., Ltd. 2,163,851 559,761 0.0%
# Champion Microelectronic Corp. 256,922 294,174 0.0%
Chang Wah Electromaterials, Inc. 213,905 1,105,127 0.0%
# Chang Wah Technology Co., Ltd. 47,000 576,705 0.0%
# Channel Well Technology Co., Ltd. 1,019,000 1,046,025 0.0%
Chant Sincere Co., Ltd. 215,000 279,801 0.0%
# Charoen Pokphand Enterprise 1,319,985 2,485,357 0.1%
# Chaun-Choung Technology Corp. 451,000 1,769,387 0.0%
# CHC Healthcare Group 260,000 366,456 0.0%
# CHC Resources Corp. 429,348 767,119 0.0%
# Chen Full International Co., Ltd. 636,000 1,068,384 0.0%
# Chenbro Micom Co., Ltd. 417,000 735,149 0.0%
# Cheng Loong Corp. 5,698,383 2,699,408 0.1%
# Cheng Uei Precision Industry Co., Ltd. 3,066,331 4,304,526 0.1%
# Chenming Mold Industry Corp. 684,437 491,337 0.0%
Chia Chang Co., Ltd. 878,000 756,907 0.0%
# Chia Hsin Cement Corp. 2,012,121 718,967 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Chian Hsing Forging Industrial Co., Ltd. 263,000 $ 473,774 0.0%
# Chicony Power Technology Co., Ltd. 902,210 1,677,451 0.0%
Chien Kuo Construction Co., Ltd. 1,568,312 470,657 0.0%
# Chilisin Electronics Corp. 603,315 1,641,160 0.0%
# Chime Ball Technology Co., Ltd. 119,698 201,275 0.0%
# Chimei Materials Technology Corp. 2,148,900 1,081,284 0.0%
# Chin-Poon Industrial Co., Ltd. 2,503,207 5,103,392 0.1%
China Bills Finance Corp. 3,277,000 1,607,528 0.0%
# China Chemical & Pharmaceutical Co., Ltd. 1,852,000 1,144,421 0.0%
# China Ecotek Corp. 200,000 286,355 0.0%
* China Electric Manufacturing Corp. 1,404,900 360,531 0.0%
China General Plastics Corp. 2,274,147 2,007,318 0.0%
China Glaze Co., Ltd. 507,002 203,155 0.0%
# China Man-Made Fiber Corp. 6,524,972 1,711,029 0.0%
China Metal Products 1,714,603 1,678,462 0.0%
#* China Petrochemical Development Corp. 16,055,000 6,061,420 0.1%
# China Steel Chemical Corp. 976,554 3,867,618 0.1%
# China Steel Structure Co., Ltd. 585,000 409,937 0.0%
# China Synthetic Rubber Corp. 3,261,573 3,299,066 0.1%
China Wire & Cable Co., Ltd. 695,160 570,407 0.0%
# Chinese Maritime Transport, Ltd. 634,594 600,790 0.0%
# Chipbond Technology Corp. 4,218,000 6,290,530 0.1%
# ChipMOS TECHNOLOGIES, Inc. 1,535,000 1,351,858 0.0%
ChipMOS TECHNOLOGIES, Inc. ADR 4,998 87,165 0.0%
# Chlitina Holding, Ltd. 290,000 1,391,795 0.0%
# Chong Hong Construction Co., Ltd. 1,282,666 2,990,675 0.1%
# Chroma ATE, Inc. 1,973,821 6,170,592 0.1%
Chun YU Works & Co., Ltd. 1,382,000 636,069 0.0%
Chun Yuan Steel 2,384,529 952,549 0.0%
#* Chung Hung Steel Corp. 6,165,979 1,846,869 0.0%
# Chung Hwa Pulp Corp. 2,943,405 980,145 0.0%
Chung-Hsin Electric & Machinery Manufacturing Corp. 2,779,375 1,735,712 0.0%
# Chunghwa Chemical Synthesis & Biotech Co., Ltd. 165,000 143,209 0.0%
* Chunghwa Picture Tubes, Ltd. 14,410,000 652,381 0.0%
# Chyang Sheng Dyeing & Finishing Co., Ltd. 297,000 268,505 0.0%
Cleanaway Co., Ltd. 459,000 2,616,266 0.1%
# Clevo Co. 3,076,200 2,816,678 0.1%
* CMC Magnetics Corp. 15,197,566 1,896,713 0.0%
#* Co-Tech Development Corp. 768,000 1,276,445 0.0%
CoAdna Holdings, Inc. 44,000 70,722 0.0%
# CoAsia Microelectronics Corp. 803,397 419,148 0.0%
# Coland Holdings, Ltd. 322,000 429,231 0.0%
Collins Co., Ltd. 562,431 220,813 0.0%
Compeq Manufacturing Co., Ltd. 7,428,000 5,465,058 0.1%
# Compucase Enterprise 477,000 652,319 0.0%
Concord Securities Co., Ltd. 3,059,000 692,985 0.0%
# Concraft Holding Co., Ltd. 143,000 605,764 0.0%
Continental Holdings Corp. 3,306,320 1,194,852 0.0%
# Contrel Technology Co., Ltd. 895,000 662,148 0.0%
# Coremax Corp. 321,000 571,278 0.0%
Coretronic Corp. 3,022,200 4,279,916 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# Cowealth Medical Holding Co., Ltd. 95,000 $ 142,832 0.0%
# Coxon Precise Industrial Co., Ltd. 820,000 832,742 0.0%
# Creative Sensor, Inc. 333,000 264,831 0.0%
# CSBC Corp. Taiwan 2,980,610 1,387,881 0.0%
# Cub Elecparts, Inc. 332,257 3,478,428 0.1%
# CviLux Corp. 520,040 566,881 0.0%
# CX Technology Co., Ltd. 432,000 466,491 0.0%
# Cyberlink Corp. 526,697 1,169,476 0.0%
# CyberPower Systems, Inc. 264,000 857,403 0.0%
CyberTAN Technology, Inc. 2,019,779 1,317,864 0.0%
# Cypress Technology Co., Ltd. 242,000 1,178,781 0.0%
# D-Link Corp. 5,120,668 2,127,811 0.1%
# DA CIN Construction Co., Ltd. 1,001,711 642,340 0.0%
# Da-Li Development Co., Ltd. 992,189 766,036 0.0%
# Dadi Early-Childhood Education Group Ltd. 48,000 281,533 0.0%
Dafeng TV, Ltd. 454,870 558,172 0.0%
#* Danen Technology Corp. 2,682,000 615,588 0.0%
Darfon Electronics Corp. 1,769,550 1,530,832 0.0%
Darwin Precisions Corp. 2,422,635 1,107,666 0.0%
Davicom Semiconductor, Inc. 93,888 72,427 0.0%
Daxin Materials Corp. 180,000 283,439 0.0%
# De Licacy Industrial Co., Ltd. 1,268,798 1,200,205 0.0%
# Delpha Construction Co., Ltd. 839,931 404,857 0.0%
Depo Auto Parts Ind Co., Ltd. 698,000 2,011,447 0.0%
# DFI, Inc. 514,524 935,930 0.0%
# Dimerco Express Corp. 728,000 557,498 0.0%
# Dr Wu Skincare Co., Ltd. 23,000 159,277 0.0%
Draytek Corp. 164,000 175,848 0.0%
# Dynacolor, Inc. 306,000 369,675 0.0%
* Dynamic Electronics Co., Ltd. 1,862,321 561,702 0.0%
Dynapack International Technology Corp. 971,000 1,301,203 0.0%
E Ink Holdings, Inc. 5,684,000 5,797,938 0.1%
# E-Lead Electronic Co., Ltd. 507,942 602,684 0.0%
# E-LIFE MALL Corp. 457,000 966,697 0.0%
* E-Ton Solar Tech Co., Ltd. 2,586,209 782,778 0.0%
* Eastern Media International Corp. 3,821,889 1,241,047 0.0%
Edimax Technology Co., Ltd. 1,297,108 455,746 0.0%
Edison Opto Corp. 810,000 439,653 0.0%
# Edom Technology Co., Ltd. 1,131,968 596,596 0.0%
eGalax_eMPIA Technology, Inc. 360,703 618,168 0.0%
# Elan Microelectronics Corp. 2,837,715 4,019,727 0.1%
# Elite Advanced Laser Corp. 752,520 3,317,224 0.1%
# Elite Material Co., Ltd. 1,920,350 7,659,358 0.1%
# Elite Semiconductor Memory Technology, Inc. 1,885,200 2,611,607 0.1%
# Elitegroup Computer Systems Co., Ltd. 2,281,254 1,483,597 0.0%
# eMemory Technology, Inc. 489,000 6,733,194 0.1%
# Emerging Display Technologies Corp. 748,000 256,404 0.0%
ENG Electric Co., Ltd. 1,161,465 674,518 0.0%
# Ennoconn Corp. 267,972 2,911,638 0.1%
# EnTie Commercial Bank Co., Ltd. 2,226,603 981,164 0.0%
* Epileds Technologies, Inc. 171,000 124,715 0.0%
#* Epistar Corp. 6,988,000 6,940,007 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Eslite Spectrum Corp. (The) 51,000 $ 246,676 0.0%
# Eson Precision Ind. Co., Ltd. 466,000 715,521 0.0%
Eternal Materials Co., Ltd. 3,995,618 4,275,398 0.1%
* Etron Technology, Inc. 2,062,000 833,566 0.0%
# Eurocharm Holdings Co., Ltd. 201,000 579,008 0.0%
# Everest Textile Co., Ltd. 2,593,562 1,413,420 0.0%
Evergreen International Storage & Transport Corp. 3,627,000 1,645,437 0.0%
# Everlight Chemical Industrial Corp. 3,210,606 2,085,271 0.1%
# Everlight Electronics Co., Ltd. 2,909,000 4,578,241 0.1%
# Everspring Industry Co., Ltd. 864,000 399,358 0.0%
# Excelsior Medical Co., Ltd. 602,217 901,022 0.0%
# EZconn Corp. 187,000 345,576 0.0%
Far Eastern Department Stores, Ltd. 6,483,000 3,426,979 0.1%
Far Eastern International Bank 15,735,921 4,927,691 0.1%
# Faraday Technology Corp. 1,621,788 1,967,845 0.0%
* Farglory F T Z Investment Holding Co., Ltd. 485,000 228,353 0.0%
Farglory Land Development Co., Ltd. 2,066,000 2,800,243 0.1%
# Federal Corp. 3,236,238 1,484,405 0.0%
Feedback Technology Corp. 265,000 509,152 0.0%
Feng Hsin Steel Co., Ltd. 3,177,100 5,367,027 0.1%
Fine Blanking & Tool Co., Ltd. 13,000 19,227 0.0%
* First Copper Technology Co., Ltd. 1,011,000 302,699 0.0%
# First Hi-Tec Enterprise Co., Ltd. 295,205 313,827 0.0%
# First Hotel 976,967 555,307 0.0%
* First Insurance Co., Ltd. (The) 1,157,179 511,857 0.0%
#* First Steamship Co., Ltd. 2,484,218 646,901 0.0%
# FLEXium Interconnect, Inc. 2,051,519 7,613,204 0.1%
# Flytech Technology Co., Ltd. 770,309 2,627,900 0.1%
# FocalTech Systems Co., Ltd. 1,639,048 2,024,238 0.1%
Forest Water Environment Engineering Co., Ltd. 261,000 570,599 0.0%
Formosa Advanced Technologies Co., Ltd. 1,149,000 1,080,932 0.0%
# Formosa International Hotels Corp. 374,329 1,959,875 0.0%
# Formosa Laboratories, Inc. 503,000 1,492,367 0.0%
# Formosa Oilseed Processing Co., Ltd. 708,567 1,162,656 0.0%
Formosa Optical Technology Co., Ltd. 145,000 352,272 0.0%
# Formosan Rubber Group, Inc. 2,677,501 1,476,852 0.0%
Formosan Union Chemical 1,827,218 1,225,955 0.0%
# Fortune Electric Co., Ltd. 868,078 498,838 0.0%
# Founding Construction & Development Co., Ltd. 1,114,623 583,626 0.0%
Foxlink Image Technology Co., Ltd. 669,000 403,595 0.0%
# Foxsemicon Integrated Technology, Inc. 371,000 1,534,963 0.0%
* Froch Enterprise Co., Ltd. 1,216,189 448,556 0.0%
FSP Technology, Inc. 1,036,427 808,689 0.0%
# Fulgent Sun International Holding Co., Ltd. 355,827 897,934 0.0%
# Fullerton Technology Co., Ltd. 457,600 370,010 0.0%
# Fulltech Fiber Glass Corp. 1,848,083 949,177 0.0%
Fwusow Industry Co., Ltd. 838,751 454,506 0.0%
G Shank Enterprise Co., Ltd. 852,281 735,584 0.0%
#* G Tech Optoelectronics Corp. 780,354 452,868 0.0%
# Gallant Precision Machining Co., Ltd. 1,055,000 858,734 0.0%
# Gamania Digital Entertainment Co., Ltd. 669,000 693,304 0.0%
# GCS Holdings, Inc. 338,000 676,246 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
Gemtek Technology Corp. 2,257,219 $2,533,977 0.1%
# General Interface Solution Holding, Ltd. 448,000 2,497,839 0.1%
# General Plastic Industrial Co., Ltd. 248,553 339,431 0.0%
# Generalplus Technology, Inc. 349,000 480,693 0.0%
* Genesis Photonics, Inc. 1,607,990 201,671 0.0%
# Genesys Logic, Inc. 581,000 782,442 0.0%
#* Genius Electronic Optical Co., Ltd. 485,427 5,671,604 0.1%
* Genmont Biotech, Inc. 48,000 35,084 0.0%
# Genovate Biotechnology Co., Ltd. 87,000 112,659 0.0%
# GeoVision, Inc. 443,931 605,939 0.0%
Getac Technology Corp. 2,800,360 3,629,401 0.1%
# Giantplus Technology Co., Ltd. 1,585,900 881,365 0.0%
# Gigabyte Technology Co., Ltd. 3,717,800 4,919,138 0.1%
# Gigasolar Materials Corp. 199,880 1,752,233 0.0%
#* Gigastorage Corp. 2,404,561 1,737,140 0.0%
# Ginko International Co., Ltd. 325,000 2,674,111 0.1%
#* Gintech Energy Corp. 3,694,561 2,128,116 0.1%
* Global Brands Manufacture, Ltd. 1,991,359 808,319 0.0%
# Global Lighting Technologies, Inc. 622,000 1,112,175 0.0%
# Global Mixed Mode Technology, Inc. 519,000 1,222,391 0.0%
# Global PMX Co., Ltd. 265,000 1,219,961 0.0%
Global Unichip Corp. 638,000 2,229,802 0.1%
# Globalwafers Co., Ltd. 419,048 2,991,858 0.1%
Globe Union Industrial Corp. 1,361,914 788,701 0.0%
# Gloria Material Technology Corp. 3,567,547 2,320,976 0.1%
# Glory Science Co., Ltd. 330,296 712,642 0.0%
* GlycoNex, Inc. 126,000 118,602 0.0%
#* Gold Circuit Electronics, Ltd. 2,805,227 1,030,053 0.0%
Golden Friends Corp. 114,000 141,516 0.0%
# Goldsun Building Materials Co., Ltd. 8,833,722 2,408,023 0.1%
# Good Will Instrument Co., Ltd. 237,869 165,560 0.0%
# Grand Ocean Retail Group, Ltd. 173,000 134,736 0.0%
Grand Pacific Petrochemical 6,845,000 4,476,289 0.1%
# Grand Plastic Technology Corp. 119,000 693,429 0.0%
# Grape King Bio, Ltd. 755,000 4,864,012 0.1%
Great China Metal Industry 1,001,000 864,809 0.0%
# Great Taipei Gas Co., Ltd. 1,667,000 1,389,557 0.0%
Great Wall Enterprise Co., Ltd. 3,828,774 3,700,345 0.1%
Greatek Electronics, Inc. 1,920,000 2,696,903 0.1%
#* Green Energy Technology, Inc. 2,369,457 1,231,096 0.0%
# Green River Holding Co., Ltd. 83,000 476,215 0.0%
# Green Seal Holding, Ltd. 311,000 1,523,277 0.0%
#* GTM Holdings Corp. 681,000 394,722 0.0%
# Hakers Enterprise Co., Ltd. 127,200 183,838 0.0%
# Hannstar Board Corp. 2,158,049 1,232,845 0.0%
#* HannStar Display Corp. 21,469,506 5,768,413 0.1%
* HannsTouch Solution, Inc. 3,604,805 1,281,458 0.0%
# Hanpin Electron Co., Ltd. 387,000 592,942 0.0%
* Harvatek Corp. 941,949 316,776 0.0%
# Hey Song Corp. 2,000,750 2,201,550 0.1%
# Hi-Clearance, Inc. 185,000 605,502 0.0%
# HIM International Music, Inc. 154,000 628,182 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# Hiroca Holdings, Ltd. 393,448 $1,275,830 0.0%
#* HiTi Digital, Inc. 1,013,935 374,770 0.0%
# Hitron Technology, Inc. 1,757,213 1,297,446 0.0%
* Ho Tung Chemical Corp. 5,527,391 1,651,919 0.0%
Hocheng Corp. 2,223,700 674,193 0.0%
Hold-Key Electric Wire & Cable Co., Ltd. 205,908 55,952 0.0%
# Holiday Entertainment Co., Ltd. 425,800 748,164 0.0%
Holtek Semiconductor, Inc. 1,262,000 2,340,993 0.1%
# Holy Stone Enterprise Co., Ltd. 1,290,728 1,778,704 0.0%
Hong Pu Real Estate Development Co., Ltd. 1,710,185 1,388,331 0.0%
Hong TAI Electric Industrial 1,102,000 343,076 0.0%
# Hong YI Fiber Industry Co. 848,652 631,151 0.0%
* Horizon Securities Co., Ltd. 2,760,000 630,250 0.0%
# Hota Industrial Manufacturing Co., Ltd. 1,550,932 6,830,423 0.1%
# Hsin Kuang Steel Co., Ltd. 1,487,443 1,122,795 0.0%
# Hsin Yung Chien Co., Ltd. 240,100 573,268 0.0%
# Hsing TA Cement Co. 540,900 182,853 0.0%
# Hu Lane Associate, Inc. 594,866 2,907,807 0.1%
* HUA ENG Wire & Cable Co., Ltd. 2,359,565 661,285 0.0%
# Huaku Development Co., Ltd. 1,759,816 4,035,809 0.1%
# Huang Hsiang Construction Corp. 754,800 1,097,290 0.0%
Hung Ching Development & Construction Co., Ltd. 730,000 511,037 0.0%
Hung Sheng Construction, Ltd. 3,332,400 2,130,685 0.1%
# Huxen Corp. 301,244 422,475 0.0%
# Hwa Fong Rubber Co., Ltd. 1,625,890 576,506 0.0%
* Hwacom Systems, Inc. 442,000 180,029 0.0%
* I-Chiun Precision Industry Co., Ltd. 846,313 257,677 0.0%
# I-Sheng Electric Wire & Cable Co., Ltd. 755,000 1,231,106 0.0%
# Ibase Technology, Inc. 781,073 1,541,860 0.0%
#* Ichia Technologies, Inc. 2,319,000 1,592,806 0.0%
# Ideal Bike Corp. 862,263 319,991 0.0%
# IEI Integration Corp. 1,277,209 1,939,325 0.0%
Infortrend Technology, Inc. 1,320,163 730,157 0.0%
# Innodisk Corp. 382,053 1,309,245 0.0%
# Inpaq Technology Co., Ltd. 546,000 361,251 0.0%
# Intai Technology Corp. 213,000 960,256 0.0%
# Integrated Service Technology, Inc. 396,178 1,292,523 0.0%
# IntelliEPI, Inc. 215,000 572,204 0.0%
# International Games System Co., Ltd. 385,000 2,468,215 0.1%
# Iron Force Industrial Co., Ltd. 295,393 1,593,395 0.0%
# ITE Technology, Inc. 989,095 1,156,167 0.0%
ITEQ Corp. 1,437,614 2,154,691 0.1%
J Touch Corp. 11,000 206 0.0%
# Jarllytec Co., Ltd. 322,000 579,558 0.0%
# Jentech Precision Industrial Co., Ltd. 422,868 980,499 0.0%
# Jess-Link Products Co., Ltd. 985,900 993,949 0.0%
# Jih Sun Financial Holdings Co., Ltd. 9,484,896 2,241,705 0.1%
# Jinli Group Holdings, Ltd. 704,600 875,007 0.0%
# Johnson Health Tech Co., Ltd. 588,257 818,718 0.0%
# K Laser Technology, Inc. 683,000 359,838 0.0%
# Kang Na Hsiung Enterprise Co., Ltd. 333,020 120,917 0.0%
# Kaori Heat Treatment Co., Ltd. 598,197 962,707 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# Kaulin Manufacturing Co., Ltd. 875,330 $ 522,251 0.0%
# KD Holding Corp. 185,000 1,063,655 0.0%
# KEE TAI Properties Co., Ltd. 2,564,473 942,806 0.0%
# Kenmec Mechanical Engineering Co., Ltd. 1,245,000 416,807 0.0%
# Kerry TJ Logistics Co., Ltd. 1,640,000 2,263,026 0.1%
Kindom Construction Corp. 2,433,000 1,534,389 0.0%
# King Chou Marine Technology Co., Ltd. 422,000 539,725 0.0%
King Yuan Electronics Co., Ltd. 8,804,979 7,948,510 0.1%
King's Town Bank Co., Ltd. 4,610,701 4,429,738 0.1%
#* King's Town Construction Co., Ltd. 921,074 729,768 0.0%
# Kingcan Holdings, Ltd. 298,000 312,835 0.0%
# Kingpak Technology, Inc. 164,117 933,502 0.0%
Kinik Co. 858,000 1,997,631 0.0%
#* Kinko Optical Co., Ltd. 964,000 1,112,627 0.0%
# Kinpo Electronics 8,649,157 3,236,310 0.1%
Kinsus Interconnect Technology Corp. 812,000 2,110,627 0.1%
# KMC Kuei Meng International, Inc. 415,146 2,008,820 0.0%
# KS Terminals, Inc. 824,482 1,267,561 0.0%
# Kung Long Batteries Industrial Co., Ltd. 462,000 2,349,268 0.1%
#* Kung Sing Engineering Corp. 1,965,000 843,288 0.0%
# Kuo Toong International Co., Ltd. 1,360,511 919,190 0.0%
Kuoyang Construction Co., Ltd. 2,979,384 1,362,118 0.0%
Kwong Fong Industries Corp. 934,183 866,746 0.0%
# Kwong Lung Enterprise Co., Ltd. 428,000 638,315 0.0%
KYE Systems Corp. 1,763,672 533,130 0.0%
# L&K Engineering Co., Ltd. 1,114,048 1,273,523 0.0%
# LAN FA Textile 1,708,933 442,853 0.0%
# Land Mark Optoelectronics Corp. 325,300 2,852,032 0.1%
# Lanner Electronics, Inc. 665,006 1,025,805 0.0%
Laser Tek Taiwan Co., Ltd. 327,504 381,735 0.0%
LCY Chemical Corp. 697,383 1,002,427 0.0%
# Leader Electronics, Inc. 828,000 290,785 0.0%
# Leadtrend Technology Corp. 120,086 123,404 0.0%
# Lealea Enterprise Co., Ltd. 4,749,892 1,312,736 0.0%
Ledlink Optics, Inc. 300,762 434,360 0.0%
Ledtech Electronics Corp. 351,000 164,641 0.0%
LEE CHI Enterprises Co., Ltd. 1,115,000 400,860 0.0%
# Lelon Electronics Corp. 512,300 705,499 0.0%
# Lemtech Holdings Co., Ltd. 115,000 485,606 0.0%
Leofoo Development Co., Ltd. 1,754,116 475,955 0.0%
#* LES Enphants Co., Ltd. 727,754 265,352 0.0%
Lextar Electronics Corp. 2,699,500 1,865,012 0.0%
# Li Cheng Enterprise Co., Ltd. 399,800 1,055,816 0.0%
#* Li Peng Enterprise Co., Ltd. 4,191,897 1,119,118 0.0%
# Lian HWA Food Corp. 469,584 549,160 0.0%
# Lien Chang Electronic Enter 476,000 250,033 0.0%
Lien Hwa Industrial Corp. 4,082,115 3,700,376 0.1%
# Lingsen Precision Industries, Ltd. 2,644,506 1,252,160 0.0%
# Lion Travel Service Co., Ltd. 83,000 243,666 0.0%
# Lite-On Semiconductor Corp. 1,509,539 1,487,540 0.0%
# Long Bon International Co., Ltd. 2,438,945 1,337,689 0.0%
# Long Chen Paper Co., Ltd. 4,124,722 3,715,165 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Longwell Co. 854,000 $ 907,025 0.0%
Lotes Co., Ltd. 456,778 1,762,514 0.0%
# Lu Hai Holding Corp. 240,000 446,874 0.0%
Lucky Cement Corp. 1,563,000 499,095 0.0%
# Lumax International Corp., Ltd. 634,769 1,086,603 0.0%
Lung Yen Life Service Corp. 1,059,000 2,010,287 0.0%
# LuxNet Corp. 451,482 515,372 0.0%
# Macauto Industrial Co., Ltd. 328,000 1,919,748 0.0%
Machvision, Inc. 212,000 595,442 0.0%
# Macroblock, Inc. 185,000 441,451 0.0%
* Macronix International 22,093,481 9,841,628 0.2%
# Mag Layers Scientific-Technics Co., Ltd. 296,303 718,663 0.0%
# Makalot Industrial Co., Ltd. 1,363,677 5,740,427 0.1%
# Marketech International Corp. 862,000 1,174,343 0.0%
Masterlink Securities Corp. 8,131,728 2,274,305 0.1%
# Materials Analysis Technology, Inc. 216,342 745,032 0.0%
* Mayer Steel Pipe Corp. 884,567 392,512 0.0%
Maywufa Co., Ltd. 69,322 32,278 0.0%
# Meiloon Industrial Co. 816,809 573,374 0.0%
Mercuries & Associates Holding, Ltd. 2,431,790 1,942,332 0.0%
* Mercuries Life Insurance Co., Ltd. 6,099,359 3,123,382 0.1%
# Merry Electronics Co., Ltd. 1,128,477 6,679,947 0.1%
* Microbio Co., Ltd. 2,705,607 1,954,007 0.0%
#* Microelectronics Technology, Inc. 491,655 493,789 0.0%
Microlife Corp. 325,600 745,575 0.0%
Mildef Crete, Inc. 303,000 495,273 0.0%
# MIN AIK Technology Co., Ltd. 1,302,316 1,338,774 0.0%
# Mirle Automation Corp. 1,306,959 1,747,498 0.0%
# Mitac Holdings Corp. 4,061,004 4,282,427 0.1%
# Mobiletron Electronics Co., Ltd. 477,800 645,590 0.0%
# momo.com, Inc. 177,000 1,267,443 0.0%
* Mosel Vitelic, Inc. 884,201 115,778 0.0%
#* Motech Industries, Inc. 2,732,000 2,411,847 0.1%
# MPI Corp. 445,000 1,591,960 0.0%
# Nak Sealing Technologies Corp. 375,954 1,024,304 0.0%
# Namchow Chemical Industrial Co., Ltd. 1,306,000 2,638,845 0.1%
# Nan Kang Rubber Tire Co., Ltd. 3,352,952 3,200,385 0.1%
# Nan Liu Enterprise Co., Ltd. 292,000 1,450,782 0.0%
Nan Ren Lake Leisure Amusement Co., Ltd. 855,000 228,022 0.0%
Nan Ya Printed Circuit Board Corp. 1,696,000 1,485,922 0.0%
# Nang Kuang Pharmaceutical co., Ltd. 385,000 511,077 0.0%
# Nantex Industry Co., Ltd. 1,698,714 1,314,490 0.0%
# National Petroleum Co., Ltd. 217,824 287,642 0.0%
#* Neo Solar Power Corp. 6,203,744 2,887,771 0.1%
# Netronix, Inc. 468,000 1,054,869 0.0%
New Asia Construction & Development Corp. 338,835 80,573 0.0%
New Best Wire Industrial Co., Ltd. 122,000 129,205 0.0%
New Era Electronics Co., Ltd. 312,000 232,997 0.0%
#* Newmax Technology Co., Ltd. 705,009 1,082,618 0.0%
# Nexcom International Co., Ltd. 698,094 693,611 0.0%
# Nichidenbo Corp. 927,801 845,697 0.0%
Nien Hsing Textile Co., Ltd. 1,601,436 1,416,409 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Nishoku Technology, Inc. 297,000 $ 807,484 0.0%
# Nuvoton Technology Corp. 543,000 768,968 0.0%
* O-TA Precision Industry Co., Ltd. 42,000 16,962 0.0%
#* Ocean Plastics Co., Ltd. 868,200 708,051 0.0%
# On-Bright Electronics, Inc. 222,600 1,400,471 0.0%
# OptoTech Corp. 3,753,886 2,208,609 0.1%
# Orient Europharma Co., Ltd. 268,000 635,482 0.0%
* Orient Semiconductor Electronics, Ltd. 4,145,000 1,349,134 0.0%
# Oriental Union Chemical Corp. 3,219,267 2,399,198 0.1%
# P-Duke Technology Co., Ltd. 265,000 563,503 0.0%
P-Two Industries, Inc. 49,000 37,908 0.0%
# Pacific Construction Co. 1,868,921 682,094 0.0%
# Pacific Hospital Supply Co., Ltd. 367,000 946,965 0.0%
# Paiho Shih Holdings Corp. 841,600 1,035,790 0.0%
Pan Jit International, Inc. 2,371,541 1,354,443 0.0%
# Pan-International Industrial Corp. 2,834,747 2,641,786 0.1%
# Parade Technologies, Ltd. 449,401 5,272,023 0.1%
# Paragon Technologies Co., Ltd. 444,246 304,253 0.0%
# PChome Online, Inc. 640,921 5,473,934 0.1%
# PCL Technologies, Inc. 152,000 433,562 0.0%
# PharmaEngine, Inc. 197,000 1,218,440 0.0%
# Pharmally International Holding Co., Ltd. 189,000 2,977,215 0.1%
#* Phihong Technology Co., Ltd. 1,801,401 864,368 0.0%
# Phoenix Tours International, Inc. 318,450 379,850 0.0%
Pili International Multimedia Co., Ltd. 40,000 103,173 0.0%
# Pixart Imaging, Inc. 593,150 1,551,918 0.0%
Planet Technology Corp. 46,000 81,360 0.0%
Plastron Precision Co., Ltd. 285,000 211,098 0.0%
# Polytronics Technology Corp. 349,027 711,287 0.0%
# Portwell, Inc. 485,000 623,057 0.0%
# Posiflex Technology, Inc. 324,024 1,765,738 0.0%
# Power Quotient International Co., Ltd. 970,600 383,613 0.0%
Powertech Industrial Co., Ltd. 80,000 53,353 0.0%
# Poya International Co., Ltd. 286,236 3,910,505 0.1%
President Securities Corp. 6,245,664 2,782,623 0.1%
# Primax Electronics, Ltd. 2,765,000 4,608,560 0.1%
#* Prime Electronics & Satellitics, Inc. 667,822 207,475 0.0%
Prince Housing & Development Corp. 8,466,644 3,353,442 0.1%
#* Princeton Technology Corp. 1,099,000 346,616 0.0%
# Pro Hawk Corp. 83,000 450,946 0.0%
# Promate Electronic Co., Ltd. 1,097,000 1,159,745 0.0%
# Promise Technology, Inc. 1,039,286 482,147 0.0%
Prosperity Dielectrics Co., Ltd. 667,000 549,169 0.0%
Qisda Corp. 11,499,900 7,316,890 0.1%
# QST International Corp. 94,000 278,384 0.0%
# Qualipoly Chemical Corp. 584,713 656,879 0.0%
Quang Viet Enterprise Co., Ltd. 71,000 389,100 0.0%
# Quanta Storage, Inc. 1,365,000 1,712,790 0.0%
* Quintain Steel Co., Ltd. 1,270,000 401,599 0.0%
# Radiant Opto-Electronics Corp. 3,183,000 6,635,243 0.1%
#* Radium Life Tech Co., Ltd. 4,663,100 2,194,101 0.1%
Ralec Electronic Corp. 291,209 576,891 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
Rechi Precision Co., Ltd. 2,127,181 $2,304,354 0.1%
Rexon Industrial Corp., Ltd. 94,392 63,486 0.0%
Rich Development Co., Ltd. 4,314,036 1,327,489 0.0%
# RichWave Technology Corp. 283,000 955,434 0.0%
* Ritek Corp. 12,892,860 2,186,457 0.1%
#* Rotam Global Agrosciences, Ltd. 488,268 531,626 0.0%
# Ruentex Engineering & Construction Co. 226,000 328,806 0.0%
# Run Long Construction Co., Ltd. 862,292 1,381,419 0.0%
# Sagittarius Life Science Corp. 158,889 536,460 0.0%
Sampo Corp. 3,467,327 2,126,424 0.1%
# San Fang Chemical Industry Co., Ltd. 1,289,647 1,596,209 0.0%
San Far Property, Ltd. 74,000 29,028 0.0%
# San Shing Fastech Corp. 741,875 1,323,082 0.0%
Sanitar Co., Ltd. 51,000 64,214 0.0%
# Sanyang Motor Co., Ltd. 3,388,628 2,409,221 0.1%
# SCI Pharmtech, Inc. 404,395 981,246 0.0%
# Scientech Corp. 303,000 541,227 0.0%
# SDI Corp. 847,000 1,382,575 0.0%
# Sea Sonic Electronics Co., Ltd. 143,000 148,164 0.0%
# Senao International Co., Ltd. 696,541 1,220,997 0.0%
# Senao Networks, Inc. 179,000 835,489 0.0%
# Sercomm Corp. 1,655,000 4,170,724 0.1%
# Sesoda Corp. 1,063,821 1,018,144 0.0%
Shan-Loong Transportation Co., Ltd. 152,000 171,269 0.0%
# Sharehope Medicine Co., Ltd. 190,000 224,294 0.0%
Sheng Yu Steel Co., Ltd. 823,980 926,985 0.0%
ShenMao Technology, Inc. 542,891 561,406 0.0%
Shieh Yih Machinery Industry Co., Ltd. 166,000 75,915 0.0%
Shih Her Technologies, Inc. 284,000 280,243 0.0%
* Shih Wei Navigation Co., Ltd. 1,678,384 555,741 0.0%
# Shihlin Electric & Engineering Corp. 1,714,000 2,298,168 0.1%
* Shihlin Paper Corp. 35,000 38,619 0.0%
Shin Hai Gas Corp. 1,245 1,655 0.0%
# Shin Zu Shing Co., Ltd. 1,044,144 2,893,754 0.1%
# Shinih Enterprise Co., Ltd. 128,000 86,896 0.0%
* Shining Building Business Co., Ltd. 2,417,041 849,074 0.0%
Shinkong Insurance Co., Ltd. 1,313,131 1,104,555 0.0%
Shinkong Synthetic Fibers Corp. 9,970,395 2,991,987 0.1%
Shinkong Textile Co., Ltd. 964,542 1,359,335 0.0%
Shiny Chemical Industrial Co., Ltd. 374,031 799,096 0.0%
# ShunSin Technology Holding, Ltd. 236,000 812,484 0.0%
#* Shuttle, Inc. 2,436,152 683,338 0.0%
Sigurd Microelectronics Corp. 2,563,974 2,276,028 0.1%
* Silicon Integrated Systems Corp. 1,707,887 380,476 0.0%
# Silitech Technology Corp. 797,774 417,845 0.0%
Simplo Technology Co., Ltd. 1,469,000 4,913,664 0.1%
# Sinbon Electronics Co., Ltd. 1,446,813 3,570,083 0.1%
Sincere Navigation Corp. 2,077,786 1,443,333 0.0%
# Single Well Industrial Corp. 171,528 191,499 0.0%
# Sinher Technology, Inc. 229,000 408,977 0.0%
# Sinmag Equipment Corp. 303,436 1,396,189 0.0%
# Sino-American Electronic Co., Ltd. 431,650 954,678 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Sino-American Silicon Products, Inc. 3,975,000 $5,766,406 0.1%
# Sinon Corp. 2,490,510 1,295,525 0.0%
# Sinphar Pharmaceutical Co., Ltd. 986,938 753,765 0.0%
# Sinyi Realty, Inc. 1,383,608 1,590,229 0.0%
# Sirtec International Co., Ltd. 862,000 1,317,240 0.0%
# Sitronix Technology Corp. 757,879 2,274,684 0.1%
# Siward Crystal Technology Co., Ltd. 1,029,000 712,363 0.0%
# Soft-World International Corp. 687,000 1,568,445 0.0%
#* Solar Applied Materials Technology Co. 2,371,581 884,872 0.0%
#* Solartech Energy Corp. 2,246,616 956,849 0.0%
# Solteam Electronics Co., Ltd. 360,599 493,506 0.0%
# Sonix Technology Co., Ltd. 1,070,000 1,258,506 0.0%
Southeast Cement Co., Ltd. 1,053,700 565,387 0.0%
# Speed Tech Corp. 582,000 537,543 0.0%
Spirox Corp. 52,824 27,743 0.0%
# Sporton International, Inc. 449,388 2,658,180 0.1%
# St Shine Optical Co., Ltd. 338,000 6,542,540 0.1%
# Standard Chemical & Pharmaceutical Co., Ltd. 676,571 735,190 0.0%
Stark Technology, Inc. 881,860 908,652 0.0%
#* Sunko INK Co., Ltd. 654,000 335,902 0.0%
Sunny Friend Environmental Technology Co., Ltd. 392,000 1,895,792 0.0%
# Sunonwealth Electric Machine Industry Co., Ltd. 1,318,487 1,436,966 0.0%
Sunplus Technology Co., Ltd. 2,811,000 1,121,363 0.0%
# Sunrex Technology Corp. 1,162,580 729,435 0.0%
# Sunspring Metal Corp. 739,000 1,101,714 0.0%
* Sunty Development Co., Ltd. 42,000 16,278 0.0%
# Supreme Electronics Co., Ltd. 2,284,508 1,805,209 0.0%
# Swancor Holding Co., Ltd. 480,206 1,071,319 0.0%
Sweeten Real Estate Development Co., Ltd. 612,357 286,301 0.0%
Syncmold Enterprise Corp. 952,000 2,110,288 0.1%
Sysage Technology Co., Ltd. 558,484 544,823 0.0%
#* Sysgration 924,000 276,975 0.0%
# Systex Corp. 1,217,388 2,444,768 0.1%
T-Mac Techvest PCB Co., Ltd. 380,000 164,218 0.0%
# T3EX Global Holdings Corp. 532,117 380,639 0.0%
TA Chen Stainless Pipe 4,502,127 2,473,563 0.1%
Ta Chong Securities Co., Ltd. 1,478,000 538,707 0.0%
* Ta Ya Electric Wire & Cable 3,252,306 672,860 0.0%
# Ta Yih Industrial Co., Ltd. 219,000 583,819 0.0%
TA-I Technology Co., Ltd. 815,718 610,364 0.0%
# Tah Hsin Industrial Corp. 426,600 364,584 0.0%
TAI Roun Products Co., Ltd. 201,000 73,270 0.0%
#* Tai Tung Communication Co., Ltd. 387,197 306,307 0.0%
# Tai-Saw Technology Co., Ltd. 235,120 166,672 0.0%
# Taichung Commercial Bank Co., Ltd. 14,708,681 4,775,826 0.1%
# TaiDoc Technology Corp. 295,448 993,061 0.0%
Taiflex Scientific Co., Ltd. 1,381,340 1,696,875 0.0%
# Taimide Tech, Inc. 585,250 960,492 0.0%
# Tainan Enterprises Co., Ltd. 872,370 770,198 0.0%
# Tainan Spinning Co., Ltd. 7,474,044 3,444,686 0.1%
# Tainergy Tech Co., Ltd. 1,307,000 556,390 0.0%
#* Taisun Enterprise Co., Ltd. 2,130,428 1,051,729 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
#* Taita Chemical Co., Ltd. 1,237,951 $ 392,538 0.0%
# Taiwan Acceptance Corp. 796,480 2,335,829 0.1%
# Taiwan Chinsan Electronic Industrial Co., Ltd. 587,000 1,069,935 0.0%
Taiwan Cogeneration Corp. 2,579,566 1,974,957 0.0%
# Taiwan Fire & Marine Insurance Co., Ltd. 1,242,338 779,897 0.0%
# Taiwan FU Hsing Industrial Co., Ltd. 1,036,000 1,453,007 0.0%
Taiwan Hon Chuan Enterprise Co., Ltd. 2,302,468 4,766,106 0.1%
# Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,089,120 638,803 0.0%
# Taiwan Land Development Corp. 6,351,991 2,378,090 0.1%
Taiwan Line Tek Electronic 465,306 341,637 0.0%
# Taiwan Mask Corp. 824,412 453,408 0.0%
Taiwan Navigation Co., Ltd. 1,104,777 462,786 0.0%
Taiwan Optical Platform Co., Ltd. 9,000 34,769 0.0%
# Taiwan Paiho, Ltd. 1,939,287 6,452,283 0.1%
# Taiwan PCB Techvest Co., Ltd. 1,684,238 1,800,947 0.0%
#* Taiwan Prosperity Chemical Corp. 1,009,000 739,619 0.0%
#* Taiwan Pulp & Paper Corp. 2,217,980 955,519 0.0%
# Taiwan Sakura Corp. 1,272,803 1,479,093 0.0%
Taiwan Sanyo Electric Co., Ltd. 401,400 334,474 0.0%
# Taiwan Semiconductor Co., Ltd. 1,558,000 2,053,795 0.1%
Taiwan Shin Kong Security Co., Ltd. 1,675,710 2,216,007 0.1%
Taiwan Styrene Monomer 3,550,209 2,721,651 0.1%
Taiwan Surface Mounting Technology Corp. 1,888,388 1,675,871 0.0%
# Taiwan TEA Corp. 4,949,897 2,681,814 0.1%
# Taiwan Union Technology Corp. 1,548,000 2,782,963 0.1%
# Taiyen Biotech Co., Ltd. 872,883 883,227 0.0%
#* Tatung Co., Ltd. 15,364,015 5,615,486 0.1%
# TCI Co., Ltd. 418,000 2,422,964 0.1%
Te Chang Construction Co., Ltd. 393,184 288,086 0.0%
Tehmag Foods Corp. 68,000 556,246 0.0%
# Ten Ren Tea Co., Ltd. 164,980 203,118 0.0%
# Test Research, Inc. 1,178,821 1,568,588 0.0%
Test Rite International Co., Ltd. 1,930,495 1,273,350 0.0%
#* Tex-Ray Industrial Co., Ltd. 803,000 273,906 0.0%
# Thinking Electronic Industrial Co., Ltd. 563,204 1,218,600 0.0%
# Thye Ming Industrial Co., Ltd. 1,074,669 1,350,617 0.0%
# Ton Yi Industrial Corp. 4,222,644 2,042,762 0.1%
Tong Hsing Electronic Industries, Ltd. 1,018,963 4,320,337 0.1%
# Tong Yang Industry Co., Ltd. 2,500,741 4,243,518 0.1%
Tong-Tai Machine & Tool Co., Ltd. 1,590,892 1,133,802 0.0%
# TOPBI International Holdings, Ltd. 344,405 1,140,467 0.0%
Topco Scientific Co., Ltd. 1,042,463 3,410,469 0.1%
Topco Technologies Corp. 144,000 310,181 0.0%
Topkey Corp. 13,000 46,975 0.0%
# Topoint Technology Co., Ltd. 991,776 878,680 0.0%
# Toung Loong Textile Manufacturing 679,000 1,773,430 0.0%
#* TPK Holding Co., Ltd. 2,101,000 7,505,939 0.1%
Trade-Van Information Services Co. 234,000 215,925 0.0%
Tripod Technology Corp. 504,000 1,424,352 0.0%
# TrueLight Corp. 463,700 707,134 0.0%
# Tsang Yow Industrial Co., Ltd. 460,000 538,472 0.0%
Tsann Kuen Enterprise Co., Ltd. 289,686 286,158 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# TSC Auto ID Technology Co., Ltd. 171,700 $1,262,271 0.0%
#* TSEC Corp. 387,000 144,899 0.0%
# TSRC Corp. 4,297,200 4,917,542 0.1%
# Ttet Union Corp. 300,000 922,856 0.0%
TTFB Co., Ltd. 68,000 517,772 0.0%
# TTY Biopharm Co., Ltd. 1,711,979 5,837,374 0.1%
Tung Ho Steel Enterprise Corp. 5,275,000 4,256,594 0.1%
# Tung Thih Electronic Co., Ltd. 466,600 3,196,990 0.1%
# TURVO International Co., Ltd. 333,112 1,175,522 0.0%
TXC Corp. 2,132,053 3,142,486 0.1%
TYC Brother Industrial Co., Ltd. 1,340,980 1,381,354 0.0%
* Tycoons Group Enterprise 2,542,182 447,752 0.0%
# Tyntek Corp. 1,873,039 872,018 0.0%
U-Ming Marine Transport Corp. 1,984,000 2,006,520 0.0%
UDE Corp. 247,000 324,203 0.0%
# Ultra Chip, Inc. 386,000 421,644 0.0%
Unimicron Technology Corp. 9,172,000 5,647,947 0.1%
# Union Bank Of Taiwan 7,302,149 2,204,465 0.1%
# Union Insurance Co., Ltd. 467,660 215,621 0.0%
Unitech Computer Co., Ltd. 612,804 368,755 0.0%
# Unitech Printed Circuit Board Corp. 3,589,370 1,350,949 0.0%
# United Integrated Services Co., Ltd. 1,606,439 3,428,999 0.1%
# United Orthopedic Corp. 516,323 1,159,920 0.0%
#* United Radiant Technology 669,000 538,589 0.0%
# Unity Opto Technology Co., Ltd. 2,048,500 885,617 0.0%
Univacco Technology, Inc. 32,000 22,061 0.0%
# Universal Cement Corp. 2,592,654 2,239,988 0.1%
# Universal Microwave Technology, Inc. 301,000 774,378 0.0%
* Unizyx Holding Corp. 2,738,430 1,437,654 0.0%
UPC Technology Corp. 4,735,447 2,030,533 0.1%
#* Userjoy Technology Co., Ltd. 169,000 514,628 0.0%
USI Corp. 5,416,734 2,717,675 0.1%
# Usun Technology Co., Ltd. 450,000 808,888 0.0%
# Utechzone Co., Ltd. 365,000 631,759 0.0%
# Ve Wong Corp. 621,696 491,346 0.0%
* Via Technologies, Inc. 492,000 173,400 0.0%
# Victory New Materials, Ltd. Co. 447,000 740,715 0.0%
Viking Tech Corp. 143,438 95,768 0.0%
# Visual Photonics Epitaxy Co., Ltd. 1,300,772 2,447,921 0.1%
Vivotek, Inc. 432,956 1,272,360 0.0%
Voltronic Power Technology Corp. 54,000 770,725 0.0%
#* Wafer Works Corp. 3,144,746 1,968,167 0.0%
#* Waffer Technology Co., Ltd. 656,000 468,217 0.0%
Wah Hong Industrial Corp. 182,021 119,167 0.0%
Wah Lee Industrial Corp. 1,205,000 1,980,032 0.0%
# Walsin Technology Corp. 2,622,834 5,015,652 0.1%
# Walton Advanced Engineering, Inc. 2,069,197 982,531 0.0%
# WAN HWA Enterprise Co. 725,536 337,786 0.0%
Waterland Financial Holdings Co., Ltd. 11,552,372 3,541,818 0.1%
#* Wei Chuan Foods Corp. 1,726,000 1,057,710 0.0%
Wei Mon Industry Co., Ltd. 3,075,282 17,206 0.0%
# Weikeng Industrial Co., Ltd. 1,690,980 969,331 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
TAIWAN -- (Continued)
# Well Shin Technology Co., Ltd. 503,000 $ 878,137 0.0%
* Wha Yu Industrial Co., Ltd. 108,000 73,823 0.0%
# WinMate Communication, Inc. 137,000 258,766 0.0%
# Winstek Semiconductor Co., Ltd. 227,000 191,653 0.0%
Wintek Corp. 5,447,000 61,942 0.0%
# Wisdom Marine Lines Co., Ltd. 1,963,603 2,115,447 0.1%
# Wisechip Semiconductor, Inc. 116,302 470,218 0.0%
# Wistron NeWeb Corp. 1,793,470 5,144,688 0.1%
# Wowprime Corp. 445,000 2,248,873 0.1%
WT Microelectronics Co., Ltd. 3,041,903 4,364,016 0.1%
WUS Printed Circuit Co., Ltd. 2,102,000 1,273,606 0.0%
# XAC Automation Corp. 544,000 1,269,977 0.0%
# XinTec, Inc. 1,085,000 1,623,872 0.0%
XPEC Entertainment, Inc. 192,135 63,045 0.0%
# Xxentria Technology Materials Corp. 731,207 1,716,086 0.0%
Yageo Corp. 209,669 740,044 0.0%
* Yang Ming Marine Transport Corp. 10,192,000 2,077,518 0.1%
# YC Co., Ltd. 2,453,823 1,077,113 0.0%
# YC INOX Co., Ltd. 2,411,388 1,967,141 0.0%
# YCC Parts Manufacturing Co., Ltd. 204,000 289,285 0.0%
Yea Shin International Development Co., Ltd. 1,002,350 458,372 0.0%
# Yeong Guan Energy Technology Group Co., Ltd. 563,929 1,708,181 0.0%
# YFC-Boneagle Electric Co., Ltd. 613,000 999,978 0.0%
# YFY, Inc. 8,463,212 2,999,486 0.1%
Yi Jinn Industrial Co., Ltd. 1,456,284 499,503 0.0%
* Yieh Phui Enterprise Co., Ltd. 6,930,668 2,834,276 0.1%
# Yonyu Plastics Co., Ltd. 457,600 508,376 0.0%
* Young Fast Optoelectronics Co., Ltd. 679,872 274,610 0.0%
# Young Optics, Inc. 391,111 500,440 0.0%
# Youngtek Electronics Corp. 732,666 1,094,262 0.0%
Yuanta Futures Co., Ltd. 44,000 57,019 0.0%
# Yung Chi Paint & Varnish Manufacturing Co., Ltd. 461,869 1,255,360 0.0%
# Yungshin Construction & Development Co., Ltd. 564,000 528,937 0.0%
YungShin Global Holding Corp. 1,247,015 1,849,816 0.0%
# Yungtay Engineering Co., Ltd. 2,594,000 4,296,062 0.1%
Zeng Hsing Industrial Co., Ltd. 386,107 1,937,948 0.0%
Zenitron Corp. 1,293,000 792,758 0.0%
Zero One Technology Co., Ltd. 444,000 269,113 0.0%
Zig Sheng Industrial Co., Ltd. 3,101,732 955,869 0.0%
# Zinwell Corp. 2,161,586 2,308,217 0.1%
# Zippy Technology Corp. 781,948 995,507 0.0%
# ZongTai Real Estate Development Co., Ltd. 1,153,277 771,488 0.0%
-------------- ----
TOTAL TAIWAN 1,082,705,887 16.6%
-------------- ----
THAILAND -- (3.3%)
AAPICO Hitech PCL(B013L48) 964,380 440,509 0.0%
AAPICO Hitech PCL(B013KZ2) 110,000 50,246 0.0%
Advanced Information Technology PCL Class F 341,000 258,781 0.0%
Aeon Thana Sinsap Thailand PCL(B01KHN0) 142,500 424,328 0.0%
AEON Thana Sinsap Thailand PCL(B01KHP2) 57,700 171,816 0.0%
AJ Plast PCL 1,240,588 512,877 0.0%
Amata Corp. PCL 3,265,410 1,623,737 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
Ananda Development PCL 12,237,900 $1,747,766 0.0%
AP Thailand PCL 9,625,816 2,212,351 0.0%
* Apex Development PCL 3,536 57 0.0%
Asia Aviation PCL 13,440,100 2,409,038 0.1%
Asia Plus Group Holdings PCL 8,963,700 906,995 0.0%
Asia Sermkij Leasing PCL 929,500 561,623 0.0%
Asian Insulators PCL 12,731,600 98,680 0.0%
Asian Phytoceuticals PCL 740,215 31,244 0.0%
Bangchak Corp. PCL 3,383,300 3,129,968 0.1%
Bangkok Airways PCL 4,578,800 2,687,182 0.1%
Bangkok Aviation Fuel Services PCL 1,869,746 2,148,667 0.0%
Bangkok Chain Hospital PCL 7,463,537 2,826,607 0.1%
Bangkok Insurance PCL 180,181 1,838,794 0.0%
Bangkok Land PCL 54,483,670 2,945,489 0.1%
Bangkok Ranch PCL 2,359,200 433,100 0.0%
Beauty Community PCL 10,470,000 2,981,483 0.1%
BEC World PCL 6,209,200 3,356,810 0.1%
Better World Green PCL 13,532,700 813,762 0.0%
Big Camera Corp. PCL 9,373,700 1,327,873 0.0%
BJC Heavy Industries PCL Class F 3,542,300 479,270 0.0%
Buriram Sugar PCL Class F 935,500 397,567 0.0%
Cal-Comp Electronics Thailand PCL Class F 15,629,344 1,283,242 0.0%
Central Plaza Hotel PCL 1,251,300 1,257,088 0.0%
CH Karnchang PCL 3,589,500 2,827,808 0.1%
Charoong Thai Wire & Cable PCL Class F 967,100 290,773 0.0%
Christiani & Nielsen Thai Class F 2,930,600 369,396 0.0%
Chularat Hospital PCL Class F 38,976,200 2,681,797 0.1%
CK Power PCL 21,430,690 1,920,646 0.0%
COL PCL 174,500 211,882 0.0%
Com7 PCL 1,564,700 470,450 0.0%
* Country Group Development PCL 20,152,500 576,785 0.0%
Country Group Holdings PCL Class F 7,918,400 341,093 0.0%
* Crown Tech Advance PCL Class F 9,170,200 405,620 0.0%
CS Loxinfo PCL 1,380,600 239,480 0.0%
* Demco PCL 1,971,100 376,099 0.0%
Dhipaya Insurance PCL 1,020,100 1,334,476 0.0%
Diamond Building Products PCL 801,500 139,029 0.0%
Dusit Thani PCL 114,500 30,454 0.0%
Dynasty Ceramic PCL 22,823,180 2,678,870 0.1%
E for L Aim PCL 13,189,500 53,383 0.0%
Eastern Polymer Group PCL Class F 7,688,000 3,000,520 0.1%
Eastern Printing PCL 765,300 147,131 0.0%
Eastern Water Resources Development and Management PCL
Class F 5,072,600 1,715,797 0.0%
Energy Earth PCL 4,765,400 597,914 0.0%
Erawan Group PCL (The) 9,245,370 1,288,311 0.0%
* Esso Thailand PCL 11,104,200 3,755,974 0.1%
Forth Corp. PCL 2,127,000 427,368 0.0%
Forth Smart Service PCL 1,814,000 933,484 0.0%
Fortune Parts Industry PCL 2,477,500 356,691 0.0%
* G J Steel PCL 5,928,480 54,846 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
GFPT PCL 4,154,000 $2,197,693 0.0%
Global Power Synergy Co., Ltd. Class F 1,425,700 1,421,990 0.0%
* GMM Grammy PCL 90,260 26,355 0.0%
Golden Land Property Development PCL 7,193,500 1,466,151 0.0%
Grand Canal Land PCL 5,552,200 398,076 0.0%
* Grande Asset Hotels & Property PCL 861,875 22,924 0.0%
Hana Microelectronics PCL 3,147,996 3,867,876 0.1%
ICC International PCL 204,600 221,813 0.0%
Ichitan Group PCL 3,229,200 919,561 0.0%
Inter Far East Energy Corp. Class F 4,679,700 419,401 0.0%
Interlink Communication PCL 1,050,800 461,757 0.0%
* International Engineering PCL 39,494,487 8,563 0.0%
Italian-Thai Development PCL 15,350,427 1,997,020 0.0%
Jasmine International PCL 14,444,500 3,591,289 0.1%
Jaymart PCL 2,334,395 904,333 0.0%
JSP Property PCL 2,885,000 92,580 0.0%
Jubilee Enterprise PCL 73,600 38,300 0.0%
Kang Yong Electric PCL 46,300 725,487 0.0%
Karmarts PCL 2,363,100 771,987 0.0%
Kaset Thai International Sugar Corp. PCL 93,100 19,110 0.0%
KGI Securities Thailand PCL 8,608,500 945,716 0.0%
Khon Kaen Sugar Industry PCL 13,765,690 2,149,024 0.0%
Khonburi Sugar PCL 178,500 40,768 0.0%
Kiatnakin Bank PCL 2,666,400 5,261,110 0.1%
Krungthai Card PCL 954,700 3,739,863 0.1%
L.P.N Development PCL 233,300 78,913 0.0%
Laguna Resorts & Hotels PCL 197,000 156,620 0.0%
Lam Soon Thailand PCL 322,700 60,174 0.0%
Lanna Resources PCL 1,833,750 678,578 0.0%
LH Financial Group PCL 45,557,466 2,318,044 0.1%
Loxley PCL 8,242,676 753,017 0.0%
LPN Development PCL 5,688,900 1,924,259 0.0%
Major Cineplex Group PCL 3,081,100 3,117,621 0.1%
Malee Group PCL 442,300 1,349,021 0.0%
Maybank Kim Eng Securities Thailand PCL 974,300 619,676 0.0%
MBK PCL 5,823,900 2,525,542 0.1%
MC Group PCL 1,707,900 913,448 0.0%
* MCOT PCL 2,319,600 898,602 0.0%
MCS Steel PCL 1,610,600 670,501 0.0%
Mega Lifesciences PCL 2,905,400 2,162,881 0.0%
Millcon Steel PCL 9,689,600 459,409 0.0%
MK Real Estate Development PCL 1,885,900 223,538 0.0%
MK Restaurants Group PCL 310,300 549,462 0.0%
Modernform Group PCL 2,352,200 340,012 0.0%
Mono Technology PCL 2,795,200 289,298 0.0%
Muang Thai Insurance PCL 61,288 241,856 0.0%
Muramoto Electron Thailand PCL 14,000 94,709 0.0%
Namyong Terminal PCL 1,671,200 719,887 0.0%
Nation Multimedia Group PCL 14,527,800 399,000 0.0%
* Noble Development PCL 623,500 282,999 0.0%
PCS Machine Group Holding PCL 283,700 45,110 0.0%
Platinum Group PCL (The) Class F 3,396,500 697,171 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
* Polyplex Thailand PCL 3,344,050 $1,421,149 0.0%
* Precious Shipping PCL 5,538,500 1,513,120 0.0%
Premier Marketing PCL 1,844,800 485,333 0.0%
President Rice Products PCL 3,375 5,927 0.0%
Property Perfect PCL 27,612,100 734,407 0.0%
Pruksa Holding PCL 705,100 458,651 0.0%
PTG Energy PCL 5,535,500 3,616,719 0.1%
Quality Houses PCL 35,303,826 2,612,830 0.1%
Raimon Land PCL 11,010,600 423,362 0.0%
Ratchthani Leasing PCL 9,051,400 1,426,139 0.0%
* Regional Container Lines PCL 2,611,900 490,817 0.0%
Rojana Industrial Park PCL 6,243,911 1,074,047 0.0%
* RS PCL 3,365,000 890,134 0.0%
S 11 Group PCL 673,300 165,454 0.0%
Saha Pathana Inter-Holding PCL 680,300 816,203 0.0%
Saha-Union PCL 743,600 849,153 0.0%
* Sahaviriya Steel Industries PCL 87,225,900 23,704 0.0%
Samart Corp. PCL 3,038,600 1,300,124 0.0%
* Samart I-Mobile PCL 14,993,100 481,132 0.0%
Samart Telcoms PCL 1,946,100 770,788 0.0%
Sansiri PCL 44,226,510 2,685,044 0.1%
Sappe PCL 331,900 239,881 0.0%
SC Asset Corp PCL 14,604,215 1,486,176 0.0%
Scan Inter PCL Class F 2,888,100 655,438 0.0%
Siam Future Development PCL 6,757,873 1,211,298 0.0%
Siam Global House PCL 1,362,516 642,065 0.0%
Siam Wellness Group PCL 1,152,300 433,070 0.0%
Siamgas & Petrochemicals PCL 3,139,800 1,161,880 0.0%
* Singha Estate PCL 15,993,200 2,311,824 0.0%
Sino-Thai Engineering & Construction PCL 4,485,500 3,151,132 0.1%
SNC Former PCL 141,800 64,771 0.0%
Somboon Advance Technology PCL 1,280,837 588,763 0.0%
SPCG PCL 2,651,200 1,594,246 0.0%
Sri Ayudhya Capital PCL 233,100 219,016 0.0%
Sri Trang Agro-Industry PCL 4,098,590 2,132,831 0.0%
Sriracha Construction PCL 1,060,000 631,281 0.0%
Srisawad Power 1979 PCL Class F 1,109,844 1,419,792 0.0%
Srithai Superware PCL 10,889,400 648,516 0.0%
* Stars Microelectronics Thailand PCL 2,352,400 408,049 0.0%
STP & I PCL 4,889,364 1,371,114 0.0%
Sub Sri Thai PCL 417,300 136,325 0.0%
Supalai PCL 5,742,933 4,084,306 0.1%
* Superblock PCL 31,203,600 1,362,169 0.0%
Susco PCL 1,295,200 152,024 0.0%
SVI PCL 8,547,800 1,371,503 0.0%
Symphony Communication PCL 275,275 93,111 0.0%
Synnex Thailand PCL 770,600 236,148 0.0%
Syntec Construction PCL 6,152,300 800,386 0.0%
Taokaenoi Food & Marketing PCL 2,313,100 1,571,490 0.0%
* Tata Steel Thailand PCL 23,691,600 664,379 0.0%
Thai Agro Energy PCL Class F 378,870 31,764 0.0%
* Thai Airways International PCL(6888868) 5,871,900 2,902,847 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
THAILAND -- (Continued)
* Thai Airways International PCL(6364971) 141,400 $ 69,903 0.0%
Thai Central Chemical PCL 263,500 359,941 0.0%
Thai Metal Trade PCL 1,022,200 440,323 0.0%
Thai Nakarin Hospital PCL 228,700 224,799 0.0%
Thai Reinsurance PCL 8,412,800 464,540 0.0%
Thai Solar Energy PCL 1,932,900 315,724 0.0%
Thai Stanley Electric PCL Class F 206,600 1,224,429 0.0%
Thai Steel Cable PCL 3,400 1,057 0.0%
Thai Vegetable Oil PCL 2,681,275 2,829,330 0.1%
Thai Wacoal PCL 78,000 103,729 0.0%
Thai Wah PCL Class F 1,977,100 571,581 0.0%
Thai-German Ceramic Industry PCL 3,827,900 274,449 0.0%
Thaicom PCL 3,285,000 1,728,448 0.0%
* Thaifoods Group PCL 2,677,700 487,699 0.0%
Thaire Life Assurance PCL Class F 1,341,200 317,949 0.0%
Thanachart Capital PCL 2,160,200 2,950,837 0.1%
Thitikorn PCL 521,000 162,671 0.0%
Thoresen Thai Agencies PCL 6,743,054 1,783,722 0.0%
TICON Industrial Connection PCL Class F 6,738,184 2,727,221 0.1%
Tipco Asphalt PCL 3,286,600 2,375,398 0.1%
TIPCO Foods PCL 1,385,582 616,882 0.0%
Tisco Financial Group PCL 2,533,100 5,583,951 0.1%
TPI Polene PCL 60,744,900 4,109,369 0.1%
TRC Construction PCL 18,011,687 796,701 0.0%
TTCL PCL(B5ML0D8) 1,350,871 667,820 0.0%
TTCL PCL(BWY4Y10) 295,800 146,232 0.0%
TTW PCL 11,977,000 3,635,690 0.1%
* U City PCL 47,365,600 41,080 0.0%
Unique Engineering & Construction PCL 4,767,570 2,315,559 0.1%
* United Power of Asia PCL 500,000 8,528 0.0%
Univanich Palm Oil PCL 1,053,200 211,614 0.0%
Univentures PCL 6,092,800 1,224,197 0.0%
Vanachai Group PCL 5,800,059 2,246,915 0.0%
VGI Global Media PCL 16,359,000 2,336,324 0.1%
Vibhavadi Medical Center PCL 42,264,100 3,494,517 0.1%
Vinythai PCL 2,911,734 1,725,659 0.0%
* WHA Corp. PCL 34,918,900 3,169,857 0.1%
Workpoint Entertainment PCL 1,379,840 2,134,184 0.0%
------------ ---
TOTAL THAILAND 230,761,783 3.6%
------------ ---
TURKEY -- (1.4%)
Adana Cimento Sanayii TAS Class A 566,452 1,111,493 0.0%
Adel Kalemcilik Ticaret ve Sanayi A.S. 42,330 190,816 0.0%
#* Afyon Cimento Sanayi TAS 1,004,041 2,532,057 0.1%
Akcansa Cimento A.S. 444,909 1,539,533 0.0%
#* Akenerji Elektrik Uretim A.S. 2,516,472 637,584 0.0%
Aksa Akrilik Kimya Sanayii A.S. 775,850 2,317,399 0.1%
#* Aksa Enerji Uretim A.S. 1,088,334 915,679 0.0%
#* Aksigorta A.S. 1,013,913 753,452 0.0%
# Alarko Holding A.S. 688,608 1,102,681 0.0%
Albaraka Turk Katilim Bankasi A.S. 2,969,982 1,036,436 0.0%
Alkim Alkali Kimya A.S. 48,637 387,381 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TURKEY -- (Continued)
Anadolu Anonim Turk Sigorta Sirketi 2,035,741 $1,433,482 0.0%
* Anadolu Cam Sanayii A.S. 1,490,394 1,517,781 0.0%
# Anadolu Hayat Emeklilik A.S. 939,923 1,431,965 0.0%
# AvivaSA Emeklilik ve Hayat A.S. Class A 26,733 147,734 0.0%
# Aygaz A.S. 483,374 1,928,354 0.1%
#* Bagfas Bandirma Gubre Fabrikalari A.S. 412,315 1,248,656 0.0%
# Baticim Bati Anadolu Cimento Sanayii A.S. 405,451 752,418 0.0%
#* Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. 1,380,080 1,841,849 0.1%
# Bizim Toptan Satis Magazalari A.S. 245,003 805,355 0.0%
# Bolu Cimento Sanayii A.S. 533,248 926,201 0.0%
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 463,630 1,297,420 0.0%
* Boyner Perakende Ve Tekstil Yatirimlari A.S. 104,023 1,400,543 0.0%
# Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 485,796 937,755 0.0%
# Bursa Cimento Fabrikasi A.S. 267,764 448,303 0.0%
Celebi Hava Servisi A.S. 60,471 388,729 0.0%
Cimsa Cimento Sanayi VE Ticaret A.S. 587,017 2,476,794 0.1%
#* Deva Holding A.S. 356,487 427,523 0.0%
#* Dogan Sirketler Grubu Holding A.S. 9,685,105 2,016,183 0.1%
#* Dogus Otomotiv Servis ve Ticaret A.S. 607,099 1,554,673 0.0%
# Eczacibasi Yatirim Holding Ortakligi A.S. 291,642 847,903 0.0%
# EGE Endustri VE Ticaret A.S. 14,562 1,037,279 0.0%
#* EGE Seramik Sanayi ve Ticaret A.S. 274,358 281,313 0.0%
# EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi
ve Ticaret A.S. 1,804,201 2,153,521 0.1%
#* Fenerbahce Futbol A.S. 84,211 843,603 0.0%
#* Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. 27,385 186,449 0.0%
# Global Yatirim Holding A.S. 2,085,182 1,726,294 0.0%
# Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 50,882 1,130,087 0.0%
# Goodyear Lastikleri TAS 955,450 1,165,039 0.0%
#* Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 983,334 636,769 0.0%
# GSD Holding AS 4,562,388 771,113 0.0%
# Gubre Fabrikalari TAS 1,072,327 1,473,081 0.0%
#* Ihlas Holding A.S. 8,173,996 1,011,896 0.0%
Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve Ticaret
A.S. 170,170 477,073 0.0%
#* Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S. 678,189 364,973 0.0%
* Is Finansal Kiralama A.S. 1,379,265 446,330 0.0%
Is Yatirim Menkul Degerler A.S. Class A 220,148 78,081 0.0%
#* Izmir Demir Celik Sanayi A.S. 855,717 760,827 0.0%
* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 1,362,478 594,301 0.0%
* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 909,737 401,928 0.0%
#* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 7,346,390 2,728,412 0.1%
#* Karsan Otomotiv Sanayii Ve Ticaret A.S. 4,108,655 1,341,588 0.0%
#* Kartonsan Karton Sanayi ve Ticaret A.S. 11,953 969,181 0.0%
# Konya Cimento Sanayii A.S. 14,237 1,154,334 0.0%
#* Koza Altin Isletmeleri A.S. 226,641 1,231,672 0.0%
#* Koza Anadolu Metal Madencilik Isletmeleri A.S. 831,604 480,900 0.0%
# Mardin Cimento Sanayii ve Ticaret A.S. 379,497 476,493 0.0%
#* Metro Ticari ve Mali Yatirimlar Holding A.S. 2,278,836 769,746 0.0%
#* Migros Ticaret A.S. 320,825 2,196,895 0.1%
#* NET Holding A.S. 1,819,449 1,306,225 0.0%
#* Netas Telekomunikasyon A.S. 490,416 1,467,491 0.0%
Nuh Cimento Sanayi A.S. 385,168 1,162,365 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
TURKEY -- (Continued)
# Otokar Otomotiv Ve Savunma Sanayi A.S. 89,106 $ 3,328,210 0.1%
# Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 494,933 365,150 0.0%
#* Parsan Makina Parcalari Sanayii A.S. 126,184 324,696 0.0%
#* Pegasus Hava Tasimaciligi A.S. 215,199 965,683 0.0%
Pinar Entegre Et ve Un Sanayi A.S. 152,148 445,828 0.0%
Pinar SUT Mamulleri Sanayii A.S. 143,024 615,962 0.0%
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 578,538 617,394 0.0%
* Sekerbank TAS 2,576,023 870,252 0.0%
Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 1,287,294 1,312,228 0.0%
Soda Sanayii A.S. 1,882,291 3,395,781 0.1%
# Tat Gida Sanayi A.S. 747,482 1,405,382 0.0%
TAV Havalimanlari Holding A.S. 40,472 168,566 0.0%
Tekfen Holding A.S. 1,578,912 4,069,513 0.1%
#* Teknosa Ic Ve Dis Ticaret A.S. 238,336 295,921 0.0%
Trakya Cam Sanayii A.S. 3,586,813 3,473,555 0.1%
#* Tumosan Motor ve Traktor Sanayi A.S. 95,097 207,226 0.0%
# Turcas Petrol A.S. 1,214,852 697,240 0.0%
Turk Traktor ve Ziraat Makineleri A.S. 55,589 1,220,149 0.0%
Turkiye Sinai Kalkinma Bankasi A.S. 8,464,308 3,595,358 0.1%
#* Vestel Elektronik Sanayi ve Ticaret A.S. 834,662 1,711,263 0.0%
#* Zorlu Enerji Elektrik Uretim A.S. 7,974,005 2,602,732 0.1%
-------------- ----
TOTAL TURKEY 98,867,480 1.5%
-------------- ----
TOTAL COMMON STOCKS 6,323,551,410 97.2%
-------------- ----
PREFERRED STOCKS -- (1.4%)
BRAZIL -- (1.3%)
AES Tiete Energia SA 7,992 6,798 0.0%
Alpargatas SA 1,606,174 6,730,239 0.1%
Banco ABC Brasil SA 864,919 4,855,896 0.1%
Banco do Estado do Rio Grande do Sul SA Class B 2,285,044 10,229,982 0.2%
* Banco Pan SA 2,079,740 1,231,837 0.0%
Banco Pine SA 282,703 325,095 0.0%
Centrais Eletricas Santa Catarina 79,600 448,652 0.0%
Cia Brasileira de Distribuicao 12,250 276,913 0.0%
Cia de Gas de Sao Paulo--COMGAS Class A 221,785 3,353,974 0.1%
Cia de Saneamento do Parana 225,201 729,373 0.0%
Cia de Transmissao de Energia Eletrica Paulista 411,240 8,032,917 0.1%
Cia Energetica de Minas Gerais 5,514,829 15,428,768 0.2%
Cia Energetica de Sao Paulo Class B 1,652,400 9,422,800 0.1%
Cia Energetica do Ceara Class A 114,139 1,689,044 0.0%
Cia Ferro Ligas da Bahia--FERBASA 445,049 1,512,918 0.0%
Cia Paranaense de Energia 857,600 7,881,474 0.1%
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 831,699 3,940,944 0.1%
Eucatex SA Industria e Comercio 160,378 174,826 0.0%
* Gol Linhas Aereas Inteligentes SA 302,148 955,740 0.0%
Grazziotin SA 2,100 12,901 0.0%
Marcopolo SA 4,890,253 3,697,676 0.1%
* Randon SA Implementos e Participacoes 2,012,057 2,979,369 0.0%
Suzano Papel e Celulose SA Class A 812,700 3,433,565 0.1%
Unipar Carbocloro SA Class B 276,095 675,874 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
BRAZIL -- (Continued)
* Usinas Siderurgicas de Minas Gerais SA Class A 4,852,799 $ 6,513,106 0.1%
------------ ---
TOTAL BRAZIL 94,540,681 1.4%
------------ ---
CHILE -- (0.1%)
Coca-Cola Embonor SA Class B 337,981 845,782 0.0%
Embotelladora Andina SA Class B 776,973 3,218,769 0.1%
------------ ---
TOTAL CHILE 4,064,551 0.1%
------------ ---
COLOMBIA -- (0.0%)
Avianca Holdings SA 2,637,267 2,384,477 0.0%
------------ ---
INDIA -- (0.0%)
UPL, Ltd., 5.000% 620,778 115,799 0.0%
------------ ---
TOTAL PREFERRED STOCKS 101,105,508 1.5%
------------ ---
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
* Cia de Gas de Sao Paulo - COMGAS Rights 5/26/17 4,747 2,378 0.0%
* Iochpe Maxion SA Warrants 6/3/19 36,674 69,094 0.0%
------------ ---
TOTAL BRAZIL 71,472 0.0%
------------ ---
INDONESIA -- (0.0%)
* Pacific Strategic Financial Tbk PT Warrants 747,800 17,448 0.0%
* Sentul City Rights 4/13/17 150,696,900 -- 0.0%
------------ ---
TOTAL INDONESIA 17,448 0.0%
------------ ---
MALAYSIA -- (0.0%)
* Land & General Bhd Rights 5/2/17 10,702,560 123,273 0.0%
* MKH Bhd Rights 5/19/17 176,348 220,587 0.0%
------------ ---
TOTAL MALAYSIA 343,860 0.0%
------------ ---
PHILIPPINES -- (0.0%)
* China Banking Corp. Rights 5/5/17 320,026 27,542 0.0%
------------ ---
POLAND -- (0.0%)
* Hawe SA Rights 846,548 -- 0.0%
------------ ---
SOUTH KOREA -- (0.0%)
#* CrucialTec Co., Ltd. Rights 6/2/17 67,175 60,805 0.0%
------------ ---
TAIWAN -- (0.0%)
* First Steamship Rights 5/8/17 1,393,208 11,544 0.0%
------------ ---
THAILAND -- (0.0%)
* E for L Aim PCL 5,454,000 -- 0.0%
* EFORL W3 1,636,200 -- 0.0%
* RS W3 Warrants 4/17/19 673,000 -- 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
THAILAND -- (Continued)
* Thaifoods Group W2 Warrants 4/30/18 267,770 $ -- 0.0%
-------------- -----
TOTAL THAILAND -- 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%
============== =====
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 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.
The DFA Investment Trust Company
By: /s/ Eduardo A. Repetto
-------------------------------
Eduardo A. Repetto
Trustee, Co-Chief
Executive Officer
and Co-Chief Investment Officer
Date: July 7, 2017
By: /s/ David P. Butler
--------------------------
David P. Butler
Co-Chief Executive Officer
Date: July 7, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ Eduardo A. Repetto
--------------------------
Eduardo A. Repetto
Co-Principal Executive
Officer
The DFA Investment Trust
Company
Date: July 7, 2017
By: /s/ David P. Butler
--------------------------
David P. Butler
Co-Principal Executive
Officer
The DFA Investment Trust
Company
Date: July 7, 2017
By: /s/ Gregory K. Hinkle
--------------------------------
Gregory K. Hinkle
Principal Financial Officer
The DFA Investment Trust Company
Date: July 7, 2017