================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
-----------------
FORM N-CSR
-----------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7440
--------------------------------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, President and General Counsel
Dimensional Emerging Markets Value Fund,
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 2017
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
Annual Report
YEAR ENDED: OCTOBER 31, 2017
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC. / DIMENSIONAL INVESTMENT GROUP INC. / THE
DFA INVESTMENT TRUST COMPANY / DIMENSIONAL EMERGING MARKETS VALUE FUND
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO INTERNATIONAL CORE EQUITY PORTFOLIO INTERNATIONAL VECTOR EQUITY PORTFOLIO
U.S. LARGE CAP EQUITY PORTFOLIO INTERNATIONAL SMALL COMPANY PORTFOLIO INTERNATIONAL HIGH RELATIVE
U.S. LARGE CAP VALUE PORTFOLIO GLOBAL SMALL COMPANY PORTFOLIO PROFITABILITY PORTFOLIO
U.S. TARGETED VALUE PORTFOLIO JAPANESE SMALL COMPANY PORTFOLIO WORLD EX U.S. VALUE PORTFOLIO
U.S. SMALL CAP VALUE PORTFOLIO ASIA PACIFIC SMALL COMPANY PORTFOLIO WORLD EX U.S. TARGETED VALUE PORTFOLIO
U.S. CORE EQUITY 1 PORTFOLIO UNITED KINGDOM SMALL COMPANY PORTFOLIO WORLD EX U.S. CORE EQUITY PORTFOLIO
U.S. CORE EQUITY 2 PORTFOLIO CONTINENTAL SMALL COMPANY PORTFOLIO WORLD CORE EQUITY PORTFOLIO
U.S. VECTOR EQUITY PORTFOLIO DFA INTERNATIONAL REAL ESTATE SELECTIVELY HEDGED GLOBAL EQUITY
U.S. SMALL CAP PORTFOLIO SECURITIES PORTFOLIO PORTFOLIO
U.S. MICRO CAP PORTFOLIO DFA GLOBAL REAL ESTATE SECURITIES EMERGING MARKETS PORTFOLIO
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO EMERGING MARKETS SMALL CAP PORTFOLIO
PORTFOLIO DFA INTERNATIONAL SMALL CAP VALUE EMERGING MARKETS VALUE PORTFOLIO
DFA REAL ESTATE SECURITIES PORTFOLIO PORTFOLIO EMERGING MARKETS CORE EQUITY PORTFOLIO
LARGE CAP INTERNATIONAL PORTFOLIO DFA COMMODITY STRATEGY PORTFOLIO
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO U.S. LARGE COMPANY PORTFOLIO
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES THE CONTINENTAL SMALL COMPANY SERIES
THE DFA INTERNATIONAL VALUE SERIES THE CANADIAN SMALL COMPANY SERIES
THE JAPANESE SMALL COMPANY SERIES THE EMERGING MARKETS SERIES
THE ASIA PACIFIC SMALL COMPANY SERIES THE EMERGING MARKETS SMALL CAP SERIES
THE UNITED KINGDOM SMALL COMPANY
SERIES
DIMENSIONAL EMERGING MARKETS VALUE FUND
--------------------------------------------------------------------------------
[LOGO]
December 2017
Dear Fellow Shareholder,
On behalf of everyone at Dimensional, we thank you for trusting us with your
investments. We recognize that the assets we manage for you play an important
role in your future. And we are committed to enhancing shareholder value every
day through the quality of our implementation.
Dimensional believes that an approach based on sensible and thoroughly vetted
investment ideas leads to a consistent set of funds that can help you achieve
your investment goals. Over the past 36 years, we have built upon a foundation
of sensible investment ideas, which evolved through research and refinement.
The goal has always been to find additional ways to enhance our funds while
remaining consistent in our approach.
We believe these efforts have indeed helped people meet a wide range of goals
and be long-term investors. We appreciate the opportunity to continue serving
our shareholders.
Sincerely,
/s/ David P. Butler /s/ Gerard O'Reilly
David Butler Gerard O'Reilly
Co-Chief Executive Officer Co-Chief Executive Officer and Chief
Investment Officer
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
------
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........................... 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts................................................ 3
Management's Discussion and Analysis.............................. 22
Disclosure of Fund Expenses....................................... 36
Disclosure of Portfolio Holdings.................................. 42
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio......................... 45
U.S. Large Cap Equity Portfolio............................... 48
U.S. Large Cap Value Portfolio................................ 51
U.S. Targeted Value Portfolio................................. 52
U.S. Small Cap Value Portfolio................................ 55
U.S. Core Equity 1 Portfolio.................................. 58
U.S. Core Equity 2 Portfolio.................................. 61
U.S. Vector Equity Portfolio.................................. 64
U.S. Small Cap Portfolio...................................... 67
U.S. Micro Cap Portfolio...................................... 70
U.S. High Relative Profitability Portfolio.................... 73
DFA Real Estate Securities Portfolio.......................... 76
Large Cap International Portfolio............................. 78
International Core Equity Portfolio........................... 82
International Small Company Portfolio......................... 86
Global Small Company Portfolio................................ 87
Japanese Small Company Portfolio.............................. 88
Asia Pacific Small Company Portfolio.......................... 89
United Kingdom Small Company Portfolio........................ 90
Continental Small Company Portfolio........................... 91
DFA International Real Estate Securities Portfolio............ 92
DFA Global Real Estate Securities Portfolio................... 96
DFA International Small Cap Value Portfolio................... 98
International Vector Equity Portfolio......................... 102
International High Relative Profitability Portfolio........... 106
World ex U.S. Value Portfolio................................. 110
World ex U.S. Targeted Value Portfolio........................ 111
World ex U.S. Core Equity Portfolio........................... 117
World Core Equity Portfolio................................... 123
Selectively Hedged Global Equity Portfolio.................... 124
Emerging Markets Portfolio.................................... 126
Emerging Markets Small Cap Portfolio.......................... 126
Emerging Markets Value Portfolio.............................. 126
Emerging Markets Core Equity Portfolio........................ 127
Statements of Assets and Liabilities.............................. 132
Statements of Operations.......................................... 140
Statements of Changes in Net Assets............................... 148
Financial Highlights.............................................. 160
Notes to Financial Statements..................................... 183
i
TABLE OF CONTENTS
CONTINUED
PAGE
------
Report of Independent Registered Public Accounting Firm.............. 220
Section 19(a) Notice................................................. 221
DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO
Performance Charts................................................... 222
Management's Discussion and Analysis................................. 223
Consolidated Disclosure of Fund Expenses............................. 224
Consolidated Disclosure of Portfolio Holdings........................ 225
Consolidated Schedule of Investments................................. 226
Consolidated Statement of Assets and Liabilities..................... 233
Consolidated Statement of Operations................................. 234
Consolidated Statements of Changes in Net Assets..................... 235
Consolidated Financial Highlights.................................... 236
Consolidated Notes to Financial Statements........................... 237
Report of Independent Registered Public Accounting Firm.............. 250
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts................................................... 251
Management's Discussion and Analysis................................. 253
Disclosure of Fund Expenses.......................................... 256
Disclosure of Portfolio Holdings..................................... 258
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio................................ 259
U.S. Large Company Portfolio..................................... 260
Statements of Assets and Liabilities................................. 263
Statements of Operations............................................. 264
Statements of Changes in Net Assets.................................. 265
Financial Highlights................................................. 266
Notes to Financial Statements........................................ 269
Report of Independent Registered Public Accounting Firm.............. 279
THE DFA INVESTMENT TRUST COMPANY
Performance Charts................................................... 280
Management's Discussion and Analysis................................. 285
Disclosure of Fund Expenses.......................................... 290
Disclosure of Portfolio Holdings..................................... 292
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series.................................. 294
The DFA International Value Series............................... 297
The Japanese Small Company Series................................ 301
The Asia Pacific Small Company Series............................ 304
The United Kingdom Small Company Series.......................... 307
The Continental Small Company Series............................. 310
The Canadian Small Company Series................................ 314
The Emerging Markets Series...................................... 317
The Emerging Markets Small Cap Series............................ 321
Statements of Assets and Liabilities................................. 325
Statements of Operations............................................. 327
Statements of Changes in Net Assets.................................. 329
Financial Highlights................................................. 332
Notes to Financial Statements........................................ 337
Report of Independent Registered Public Accounting Firm.............. 349
ii
TABLE OF CONTENTS
CONTINUED
PAGE
------
DIMENSIONAL EMERGING MARKETS VALUE FUND
Performance Charts............................................ 350
Management's Discussion and Analysis.......................... 351
Disclosure of Fund Expenses................................... 353
Disclosure of Portfolio Holdings.............................. 354
Summary Schedule of Portfolio Holdings........................ 355
Statement of Assets and Liabilities........................... 359
Statement of Operations....................................... 360
Statements of Changes in Net Assets........................... 361
Financial Highlights.......................................... 362
Notes to Financial Statements................................. 363
Report of Independent Registered Public Accounting Firm....... 371
VOTING PROXIES ON FUND PORTFOLIO SECURITIES...................... 379
NOTICE TO SHAREHOLDERS........................................... 380
This report is submitted for the information of the Funds' shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
iii
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
AUD Australian dollar
CAD Canadian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
ILS Israeli New Shekel
JPY Japanese Yen
NOK Norwegian Krone
SEK Swedish Krona
SGD Singapore Dollar
USD United States Dollar
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.
## Rule 144A, Section 4(2), or other security which is restricted as to resale to institutional investors. The
Fund's Advisor has deemed this security to be liquid based upon procedures approved by the Board of
Trustees.
@ Security purchased with cash proceeds from Securities on Loan.
++ Security pledged as collateral for Swap Agreements.
(S) Affiliated Fund.
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
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 and/or Underlying 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.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500(R) INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Enhanced U.S. Large Company
Portfolio S&P 500/R/ Index
--------------------------------- ------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,579 9,582
12/31/2007 9,511 9,515
1/31/2008 8,915 8,944
2/29/2008 8,626 8,654
3/31/2008 8,588 8,616
4/30/2008 8,992 9,036
5/31/2008 9,117 9,154
6/30/2008 8,342 8,382
7/31/2008 8,274 8,311
8/31/2008 8,401 8,432
9/30/2008 7,627 7,680
10/31/2008 6,327 6,390
11/30/2008 5,896 5,932
12/31/2008 5,966 5,995
1/31/2009 5,466 5,490
2/28/2009 4,868 4,905
3/31/2009 5,311 5,335
4/30/2009 5,835 5,845
5/31/2009 6,184 6,172
6/30/2009 6,206 6,185
7/31/2009 6,696 6,652
8/31/2009 6,958 6,892
9/30/2009 7,232 7,150
10/31/2009 7,100 7,017
11/30/2009 7,549 7,438
12/31/2009 7,679 7,581
1/31/2010 7,415 7,309
2/28/2010 7,657 7,535
3/31/2010 8,108 7,990
4/30/2010 8,240 8,116
5/31/2010 7,591 7,468
6/30/2010 7,201 7,077
7/31/2010 7,709 7,573
8/31/2010 7,367 7,231
9/30/2010 8,026 7,876
10/31/2010 8,336 8,176
11/30/2010 8,325 8,177
12/31/2010 8,882 8,724
1/31/2011 9,103 8,930
2/28/2011 9,403 9,236
3/31/2011 9,403 9,240
4/30/2011 9,702 9,514
5/31/2011 9,614 9,406
6/30/2011 9,447 9,249
7/31/2011 9,270 9,061
8/31/2011 8,760 8,569
9/30/2011 8,139 7,966
10/31/2011 9,037 8,837
11/30/2011 8,981 8,818
12/31/2011 9,082 8,908
1/31/2012 9,508 9,307
2/29/2012 9,923 9,709
3/31/2012 10,259 10,029
4/30/2012 10,203 9,966
5/31/2012 9,586 9,367
6/30/2012 9,988 9,753
7/31/2012 10,157 9,888
8/31/2012 10,393 10,111
9/30/2012 10,660 10,372
10/31/2012 10,469 10,181
11/30/2012 10,536 10,240
12/31/2012 10,622 10,333
1/31/2013 11,166 10,869
2/28/2013 11,325 11,016
3/31/2013 11,744 11,429
4/30/2013 11,971 11,649
5/31/2013 12,243 11,922
6/30/2013 12,056 11,762
7/31/2013 12,692 12,360
8/31/2013 12,317 12,002
9/30/2013 12,703 12,379
10/31/2013 13,294 12,948
11/30/2013 13,703 13,342
12/31/2013 14,033 13,680
1/31/2014 13,567 13,207
2/28/2014 14,181 13,811
3/31/2014 14,290 13,927
4/30/2014 14,404 14,030
5/31/2014 14,758 14,360
6/30/2014 15,041 14,656
7/31/2014 14,824 14,454
8/31/2014 15,429 15,032
9/30/2014 15,201 14,822
10/31/2014 15,578 15,184
11/30/2014 16,023 15,592
12/31/2014 15,934 15,553
1/31/2015 15,503 15,086
2/28/2015 16,365 15,953
3/31/2015 16,130 15,701
4/30/2015 16,273 15,851
5/31/2015 16,495 16,055
6/30/2015 16,147 15,744
7/31/2015 16,500 16,074
8/31/2015 15,467 15,104
9/30/2015 15,101 14,731
10/31/2015 16,395 15,973
11/30/2015 16,422 16,021
12/31/2015 16,106 15,768
1/31/2016 15,337 14,985
2/29/2016 15,337 14,965
3/31/2016 16,428 15,980
4/30/2016 16,512 16,042
5/31/2016 16,792 16,330
6/30/2016 16,868 16,373
7/31/2016 17,499 16,976
8/31/2016 17,499 17,000
9/30/2016 17,498 17,003
10/31/2016 17,175 16,693
11/30/2016 17,779 17,312
12/31/2016 18,135 17,654
1/31/2017 18,482 17,989
2/28/2017 19,207 18,703
3/31/2017 19,246 18,725
4/30/2017 19,464 18,917
5/31/2017 19,754 19,183
6/30/2017 19,855 19,303
7/31/2017 20,307 19,700
8/31/2017 20,365 19,760 Past performance is not predictive of
9/30/2017 20,734 20,168 future performance.
10/31/2017 21,215 20,638 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Copyright 2017 S&P Dow Jones Indices
------------------------------------------------------------ LLC, a division of S&P Global. All rights
23.53% 15.17% 7.81% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP EQUITY PORTFOLIO VS.
RUSSELL 1000(R) INDEX
JUNE 25, 2013-OCTOBER 31, 2017
[CHART]
U.S. Large Cap
Equity Portfolio Russell 1000/R/ Index
------------------ ---------------------
6/25/2013 $10,000 $10,000
6/30/2013 10,020 10,130
7/31/2013 10,550 10,672
8/31/2013 10,270 10,378
9/30/2013 10,630 10,740
10/31/2013 11,101 11,213
11/30/2013 11,452 11,527
12/31/2013 11,757 11,838
1/31/2014 11,333 11,460
2/28/2014 11,878 12,004
3/31/2014 11,985 12,080
4/30/2014 12,046 12,137
5/31/2014 12,319 12,416
6/30/2014 12,623 12,699
7/31/2014 12,410 12,493
8/31/2014 12,928 13,010
9/30/2014 12,654 12,781
10/31/2014 12,899 13,094
11/30/2014 13,205 13,437
12/31/2014 13,175 13,405
1/31/2015 12,775 13,037
2/28/2015 13,555 13,790
3/31/2015 13,391 13,619
4/30/2015 13,463 13,715
5/31/2015 13,659 13,895
6/30/2015 13,399 13,634
7/31/2015 13,564 13,897
8/31/2015 12,768 13,061
9/30/2015 12,374 12,703
10/31/2015 13,350 13,731
11/30/2015 13,391 13,776
12/31/2015 13,081 13,528
1/31/2016 12,350 12,800
2/29/2016 12,412 12,796
3/31/2016 13,260 13,687
4/30/2016 13,302 13,762
5/31/2016 13,522 14,003
6/30/2016 13,491 14,034
7/31/2016 14,029 14,569
8/31/2016 14,071 14,588
9/30/2016 14,104 14,600
10/31/2016 13,818 14,315
11/30/2016 14,495 14,879
12/31/2016 14,746 15,159
1/31/2017 15,065 15,464
2/28/2017 15,608 16,062
3/31/2017 15,614 16,073
4/30/2017 15,763 16,242
5/31/2017 15,913 16,450
6/30/2017 16,044 16,565
7/31/2017 16,355 16,893
8/31/2017 16,377 16,946 Past performance is not predictive of
9/30/2017 16,779 17,306 future performance.
10/31/2017 17,156 17,703 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE SINCE redemption of fund shares.
TOTAL RETURN YEAR INCEPTION Russell data copyright (C) Russell
--------------------------------------------------- Investment Group 1995-2017, all rights
24.16% 13.21% reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index
-------------------------------- ---------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,440 9,511
12/31/2007 9,410 9,419
1/31/2008 9,049 9,042
2/29/2008 8,769 8,663
3/31/2008 8,687 8,598
4/30/2008 9,232 9,017
5/31/2008 9,451 9,003
6/30/2008 8,416 8,141
7/31/2008 8,322 8,112
8/31/2008 8,485 8,250
9/30/2008 7,722 7,644
10/31/2008 5,982 6,320
11/30/2008 5,395 5,867
12/31/2008 5,571 5,949
1/31/2009 4,910 5,265
2/28/2009 4,220 4,561
3/31/2009 4,635 4,951
4/30/2009 5,386 5,482
5/31/2009 5,799 5,821
6/30/2009 5,728 5,778
7/31/2009 6,268 6,251
8/31/2009 6,694 6,578
9/30/2009 6,986 6,832
10/31/2009 6,686 6,623
11/30/2009 7,062 6,996
12/31/2009 7,252 7,120
1/31/2010 7,082 6,920
2/28/2010 7,388 7,138
3/31/2010 7,965 7,603
4/30/2010 8,216 7,800
5/31/2010 7,513 7,158
6/30/2010 6,945 6,755
7/31/2010 7,488 7,213
8/31/2010 7,030 6,904
9/30/2010 7,719 7,440
10/31/2010 8,003 7,663
11/30/2010 7,943 7,622
12/31/2010 8,715 8,224
1/31/2011 8,997 8,410
2/28/2011 9,482 8,720
3/31/2011 9,525 8,755
4/30/2011 9,764 8,988
5/31/2011 9,625 8,893
6/30/2011 9,450 8,711
7/31/2011 9,018 8,422
8/31/2011 8,256 7,896
9/30/2011 7,421 7,299
10/31/2011 8,446 8,135
11/30/2011 8,376 8,093
12/31/2011 8,442 8,256
1/31/2012 8,861 8,568
2/29/2012 9,372 8,910
3/31/2012 9,544 9,174
4/30/2012 9,345 9,081
5/31/2012 8,681 8,548
6/30/2012 9,147 8,972
7/31/2012 9,236 9,065
8/31/2012 9,601 9,262
9/30/2012 9,951 9,556
10/31/2012 9,978 9,509
11/30/2012 10,000 9,505
12/31/2012 10,303 9,702
1/31/2013 11,019 10,332
2/28/2013 11,158 10,480
3/31/2013 11,695 10,896
4/30/2013 11,812 11,060
5/31/2013 12,299 11,344
6/30/2013 12,157 11,244
7/31/2013 12,887 11,851
8/31/2013 12,502 11,402
9/30/2013 12,871 11,687
10/31/2013 13,522 12,199
11/30/2013 14,086 12,540
12/31/2013 14,458 12,857
1/31/2014 13,886 12,401
2/28/2014 14,353 12,937
3/31/2014 14,689 13,246
4/30/2014 14,786 13,372
5/31/2014 15,107 13,567
6/30/2014 15,518 13,922
7/31/2014 15,403 13,685
8/31/2014 15,891 14,187
9/30/2014 15,495 13,895
10/31/2014 15,616 14,207
11/30/2014 15,796 14,498
12/31/2014 15,913 14,587
1/31/2015 15,122 14,004
2/28/2015 16,190 14,681
3/31/2015 15,879 14,482
4/30/2015 16,203 14,617
5/31/2015 16,377 14,793
6/30/2015 16,112 14,497
7/31/2015 16,070 14,561
8/31/2015 15,092 13,694
9/30/2015 14,605 13,280
10/31/2015 15,796 14,282
11/30/2015 15,853 14,337
12/31/2015 15,357 14,029
1/31/2016 14,311 13,304
2/29/2016 14,336 13,300
3/31/2016 15,377 14,258
4/30/2016 15,793 14,558
5/31/2016 16,003 14,784
6/30/2016 15,987 14,912
7/31/2016 16,536 15,345
8/31/2016 16,727 15,463
9/30/2016 16,808 15,431
10/31/2016 16,519 15,192
11/30/2016 17,815 16,060
12/31/2016 18,259 16,461
1/31/2017 18,524 16,578
2/28/2017 19,081 17,174
3/31/2017 18,903 16,999
4/30/2017 19,028 16,967
5/31/2017 19,007 16,951
6/30/2017 19,321 17,228
7/31/2017 19,647 17,457
8/31/2017 19,463 17,253 Past performance is not predictive of
9/30/2017 20,212 17,764 future performance.
10/31/2017 20,503 17,893 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2017, all rights
24.11% 15.49% 7.44% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS.
RUSSELL 2000(R) VALUE INDEX
JANUARY 31, 2008-OCTOBER 31, 2017
[CHART]
U.S. Targeted
Value Portfolio - Class R1 Russell 2000/R/ Value Index
-------------------------- ---------------------------
1/31/2008 $10,000 $10,000
2/29/2008 9,750 9,603
3/31/2008 9,821 9,747
4/30/2008 10,152 10,056
5/31/2008 10,613 10,400
6/30/2008 9,538 9,402
7/31/2008 9,790 9,884
8/31/2008 10,233 10,353
9/30/2008 9,575 9,868
10/31/2008 7,504 7,897
11/30/2008 6,525 6,982
12/31/2008 6,946 7,412
1/31/2009 5,999 6,353
2/28/2009 5,204 5,471
3/31/2009 5,777 5,956
4/30/2009 6,902 6,901
5/31/2009 7,137 7,051
6/30/2009 7,107 7,028
7/31/2009 7,959 7,841
8/31/2009 8,379 8,212
9/30/2009 8,844 8,624
10/31/2009 8,207 8,051
11/30/2009 8,484 8,308
12/31/2009 9,150 8,937
1/31/2010 8,943 8,675
2/28/2010 9,449 9,077
3/31/2010 10,229 9,832
4/30/2010 10,973 10,520
5/31/2010 9,981 9,631
6/30/2010 9,031 8,790
7/31/2010 9,735 9,418
8/31/2010 8,948 8,710
9/30/2010 10,044 9,645
10/31/2010 10,417 10,019
11/30/2010 10,840 10,273
12/31/2010 11,805 11,127
1/31/2011 11,883 11,133
2/28/2011 12,550 11,698
3/31/2011 12,792 11,861
4/30/2011 12,998 12,053
5/31/2011 12,678 11,837
6/30/2011 12,397 11,546
7/31/2011 11,964 11,165
8/31/2011 10,763 10,178
9/30/2011 9,425 9,067
10/31/2011 10,905 10,373
11/30/2011 10,941 10,353
12/31/2011 11,049 10,515
1/31/2012 11,719 11,214
2/29/2012 12,144 11,380
3/31/2012 12,369 11,733
4/30/2012 12,168 11,564
5/31/2012 11,260 10,857
6/30/2012 11,715 11,380
7/31/2012 11,657 11,264
8/31/2012 12,192 11,612
9/30/2012 12,577 12,025
10/31/2012 12,505 11,874
11/30/2012 12,715 11,911
12/31/2012 13,155 12,413
1/31/2013 14,059 13,152
2/28/2013 14,291 13,303
3/31/2013 14,987 13,856
4/30/2013 14,840 13,843
5/31/2013 15,567 14,257
6/30/2013 15,460 14,199
7/31/2013 16,545 15,111
8/31/2013 15,941 14,443
9/30/2013 16,826 15,277
10/31/2013 17,555 15,773
11/30/2013 18,331 16,389
12/31/2013 18,804 16,698
1/31/2014 17,913 16,052
2/28/2014 18,845 16,787
3/31/2014 19,217 16,994
4/30/2014 18,862 16,557
5/31/2014 19,044 16,662
6/30/2014 19,852 17,399
7/31/2014 18,859 16,347
8/31/2014 19,819 17,058
9/30/2014 18,629 15,907
10/31/2014 19,217 17,018
11/30/2014 19,110 16,939
12/31/2014 19,348 17,402
1/31/2015 18,502 16,678
2/28/2015 19,828 17,452
3/31/2015 20,100 17,747
4/30/2015 19,891 17,367
5/31/2015 20,179 17,511
6/30/2015 20,105 17,534
7/31/2015 19,580 17,051
8/31/2015 18,783 16,213
9/30/2015 17,863 15,652
10/31/2015 18,962 16,528
11/30/2015 19,410 16,998
12/31/2015 18,219 16,102
1/31/2016 16,984 15,020
2/29/2016 17,214 15,123
3/31/2016 18,680 16,376
4/30/2016 19,069 16,723
5/31/2016 19,189 17,030
6/30/2016 18,937 17,082
7/31/2016 19,874 18,003
8/31/2016 20,171 18,451
9/30/2016 20,355 18,596
10/31/2016 19,760 17,985
11/30/2016 22,465 20,372
12/31/2016 23,085 21,213
1/31/2017 23,124 21,062
2/28/2017 23,364 21,366
3/31/2017 23,149 21,186
4/30/2017 23,014 21,269
5/31/2017 22,243 20,607
6/30/2017 23,000 21,328
7/31/2017 23,203 21,462
8/31/2017 22,555 20,935 Past performance is not predictive of
9/30/2017 24,203 22,417 future performance.
10/31/2017 24,368 22,447 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION Russell data copyright (C) Russell
------------------------------------------------------------ Investment Group 1995-2017, all rights
23.32% 14.27% 9.57% reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R2 VS.
RUSSELL 2000(R) VALUE INDEX
JUNE 30, 2008-OCTOBER 31, 2017
[CHART]
U.S. Targeted Value
Portfolio - Class R2 Russell 2000/R/ Value Index
------------------------ ---------------------------
6/30/2008 $10,000 $10,000
7/31/2008 10,260 10,513
8/31/2008 10,720 11,012
9/30/2008 10,038 10,496
10/31/2008 7,860 8,399
11/30/2008 6,836 7,427
12/31/2008 7,274 7,883
1/31/2009 6,272 6,757
2/28/2009 5,443 5,819
3/31/2009 6,038 6,335
4/30/2009 7,216 7,341
5/31/2009 7,459 7,499
6/30/2009 7,436 7,476
7/31/2009 8,321 8,340
8/31/2009 8,768 8,735
9/30/2009 9,248 9,173
10/31/2009 8,585 8,564
11/30/2009 8,871 8,836
12/31/2009 9,568 9,506
1/31/2010 9,343 9,227
2/28/2010 9,865 9,655
3/31/2010 10,685 10,458
4/30/2010 11,453 11,190
5/31/2010 10,419 10,244
6/30/2010 9,434 9,350
7/31/2010 10,161 10,017
8/31/2010 9,341 9,264
9/30/2010 10,484 10,259
10/31/2010 10,874 10,656
11/30/2010 11,306 10,927
12/31/2010 12,308 11,835
1/31/2011 12,396 11,841
2/28/2011 13,085 12,443
3/31/2011 13,336 12,615
4/30/2011 13,544 12,820
5/31/2011 13,211 12,591
6/30/2011 12,926 12,281
7/31/2011 12,466 11,875
8/31/2011 11,214 10,826
9/30/2011 9,820 9,644
10/31/2011 11,364 11,034
11/30/2011 11,401 11,011
12/31/2011 11,510 11,184
1/31/2012 12,209 11,927
2/29/2012 12,644 12,105
3/31/2012 12,877 12,480
4/30/2012 12,667 12,299
5/31/2012 11,721 11,548
6/30/2012 12,189 12,105
7/31/2012 12,129 11,981
8/31/2012 12,686 12,351
9/30/2012 13,082 12,791
10/31/2012 13,007 12,630
11/30/2012 13,225 12,669
12/31/2012 13,677 13,203
1/31/2013 14,611 13,989
2/28/2013 14,861 14,149
3/31/2013 15,577 14,738
4/30/2013 15,424 14,724
5/31/2013 16,181 15,164
6/30/2013 16,064 15,102
7/31/2013 17,185 16,073
8/31/2013 16,548 15,362
9/30/2013 17,472 16,249
10/31/2013 18,223 16,777
11/30/2013 19,022 17,432
12/31/2013 19,515 17,760
1/31/2014 18,587 17,073
2/28/2014 19,549 17,855
3/31/2014 19,932 18,076
4/30/2014 19,563 17,611
5/31/2014 19,752 17,723
6/30/2014 20,586 18,507
7/31/2014 19,553 17,387
8/31/2014 20,551 18,143
9/30/2014 19,315 16,919
10/31/2014 19,918 18,101
11/30/2014 19,798 18,017
12/31/2014 20,051 18,509
1/31/2015 19,171 17,739
2/28/2015 20,540 18,563
3/31/2015 20,817 18,876
4/30/2015 20,600 18,473
5/31/2015 20,890 18,626
6/30/2015 20,816 18,650
7/31/2015 20,271 18,136
8/31/2015 19,443 17,245
9/30/2015 18,490 16,648
10/31/2015 19,621 17,580
11/30/2015 20,077 18,080
12/31/2015 18,856 17,127
1/31/2016 17,574 15,976
2/29/2016 17,804 16,085
3/31/2016 19,327 17,419
4/30/2016 19,721 17,787
5/31/2016 19,846 18,114
6/30/2016 19,587 18,169
7/31/2016 20,550 19,149
8/31/2016 20,848 19,625
9/30/2016 21,041 19,779
10/31/2016 20,414 19,129
11/30/2016 23,212 21,668
12/31/2016 23,851 22,563
1/31/2017 23,891 22,402
2/28/2017 24,131 22,726
3/31/2017 23,909 22,534
4/30/2017 23,769 22,623
5/31/2017 22,969 21,918
6/30/2017 23,735 22,685
7/31/2017 23,955 22,828
8/31/2017 23,284 22,267 Past performance is not predictive of
9/30/2017 24,973 23,844 future performance.
10/31/2017 25,143 23,875 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION Russell data copyright (C) Russell
---------------------------------------------------------------- Investment Group 1995-2017, all rights
23.17% 14.09% 10.38% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Targeted Value
Portfolio - Institutional Class Russell 2000/R/ Value Index
--------------------------------- ---------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,287 9,251
12/31/2007 9,184 9,173
1/31/2008 8,745 8,796
2/29/2008 8,522 8,447
3/31/2008 8,595 8,574
4/30/2008 8,878 8,845
5/31/2008 9,288 9,148
6/30/2008 8,349 8,270
7/31/2008 8,566 8,694
8/31/2008 8,953 9,107
9/30/2008 8,386 8,680
10/31/2008 6,568 6,946
11/30/2008 5,714 6,142
12/31/2008 6,081 6,519
1/31/2009 5,246 5,588
2/28/2009 4,556 4,812
3/31/2009 5,053 5,239
4/30/2009 6,038 6,071
5/31/2009 6,246 6,202
6/30/2009 6,225 6,182
7/31/2009 6,967 6,897
8/31/2009 7,341 7,224
9/30/2009 7,749 7,586
10/31/2009 7,190 7,082
11/30/2009 7,430 7,308
12/31/2009 8,020 7,861
1/31/2010 7,835 7,631
2/28/2010 8,272 7,984
3/31/2010 8,961 8,649
4/30/2010 9,609 9,254
5/31/2010 8,745 8,472
6/30/2010 7,914 7,732
7/31/2010 8,532 8,284
8/31/2010 7,840 7,661
9/30/2010 8,805 8,484
10/31/2010 9,132 8,812
11/30/2010 9,497 9,036
12/31/2010 10,347 9,787
1/31/2011 10,415 9,793
2/28/2011 11,006 10,290
3/31/2011 11,218 10,433
4/30/2011 11,392 10,602
5/31/2011 11,112 10,412
6/30/2011 10,873 10,156
7/31/2011 10,493 9,821
8/31/2011 9,440 8,953
9/30/2011 8,268 7,975
10/31/2011 9,567 9,125
11/30/2011 9,598 9,106
12/31/2011 9,696 9,249
1/31/2012 10,283 9,864
2/29/2012 10,656 10,010
3/31/2012 10,857 10,321
4/30/2012 10,680 10,172
5/31/2012 9,883 9,550
6/30/2012 10,285 10,010
7/31/2012 10,234 9,908
8/31/2012 10,704 10,214
9/30/2012 11,045 10,578
10/31/2012 10,981 10,445
11/30/2012 11,165 10,477
12/31/2012 11,556 10,918
1/31/2013 12,344 11,569
2/28/2013 12,555 11,701
3/31/2013 13,166 12,188
4/30/2013 13,037 12,177
5/31/2013 13,682 12,540
6/30/2013 13,585 12,490
7/31/2013 14,538 13,292
8/31/2013 14,000 12,704
9/30/2013 14,783 13,438
10/31/2013 15,417 13,874
11/30/2013 16,106 14,416
12/31/2013 16,528 14,688
1/31/2014 15,744 14,119
2/28/2014 16,557 14,766
3/31/2014 16,887 14,949
4/30/2014 16,582 14,564
5/31/2014 16,741 14,656
6/30/2014 17,449 15,305
7/31/2014 16,583 14,379
8/31/2014 17,427 15,004
9/30/2014 16,384 13,992
10/31/2014 16,895 14,969
11/30/2014 16,807 14,900
12/31/2014 17,014 15,307
1/31/2015 16,277 14,670
2/28/2015 17,444 15,351
3/31/2015 17,680 15,610
4/30/2015 17,503 15,277
5/31/2015 17,757 15,403
6/30/2015 17,689 15,423
7/31/2015 17,233 14,998
8/31/2015 16,531 14,261
9/30/2015 15,725 13,768
10/31/2015 16,693 14,539
11/30/2015 17,088 14,952
12/31/2015 16,041 14,164
1/31/2016 14,952 13,212
2/29/2016 15,163 13,302
3/31/2016 16,450 14,405
4/30/2016 16,792 14,710
5/31/2016 16,906 14,980
6/30/2016 16,681 15,025
7/31/2016 17,506 15,836
8/31/2016 17,767 16,229
9/30/2016 17,934 16,357
10/31/2016 17,410 15,820
11/30/2016 19,793 17,920
12/31/2016 20,350 18,659
1/31/2017 20,384 18,526
2/28/2017 20,587 18,794
3/31/2017 20,401 18,635
4/30/2017 20,291 18,709
5/31/2017 19,611 18,126
6/30/2017 20,275 18,760
7/31/2017 20,462 18,879
8/31/2017 19,891 18,415 Past performance is not predictive of
9/30/2017 21,341 19,719 future performance.
10/31/2017 21,494 19,745 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
---------------------------------------------------------------- Investment Group 1995-2017, all rights
23.46% 14.38% 7.95% reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Small Cap Value Portfolio Russell 2000/R/ Value Index
-------------------------------- -----------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,128 9,251
12/31/2007 9,018 9,173
1/31/2008 8,663 8,796
2/29/2008 8,417 8,447
3/31/2008 8,488 8,574
4/30/2008 8,629 8,845
5/31/2008 8,986 9,148
6/30/2008 8,078 8,270
7/31/2008 8,245 8,694
8/31/2008 8,587 9,107
9/30/2008 7,995 8,680
10/31/2008 6,225 6,946
11/30/2008 5,417 6,142
12/31/2008 5,701 6,519
1/31/2009 4,887 5,588
2/28/2009 4,266 4,812
3/31/2009 4,710 5,239
4/30/2009 5,635 6,071
5/31/2009 5,817 6,202
6/30/2009 5,837 6,182
7/31/2009 6,622 6,897
8/31/2009 6,962 7,224
9/30/2009 7,403 7,586
10/31/2009 6,846 7,082
11/30/2009 7,059 7,308
12/31/2009 7,618 7,861
1/31/2010 7,377 7,631
2/28/2010 7,831 7,984
3/31/2010 8,525 8,649
4/30/2010 9,216 9,254
5/31/2010 8,304 8,472
6/30/2010 7,461 7,732
7/31/2010 8,110 8,284
8/31/2010 7,430 7,661
9/30/2010 8,391 8,484
10/31/2010 8,741 8,812
11/30/2010 9,134 9,036
12/31/2010 9,972 9,787
1/31/2011 10,003 9,793
2/28/2011 10,631 10,290
3/31/2011 10,849 10,433
4/30/2011 10,986 10,602
5/31/2011 10,642 10,412
6/30/2011 10,450 10,156
7/31/2011 10,149 9,821
8/31/2011 9,076 8,953
9/30/2011 7,934 7,975
10/31/2011 9,190 9,125
11/30/2011 9,127 9,106
12/31/2011 9,219 9,249
1/31/2012 9,904 9,864
2/29/2012 10,218 10,010
3/31/2012 10,453 10,321
4/30/2012 10,286 10,172
5/31/2012 9,554 9,550
6/30/2012 9,972 10,010
7/31/2012 9,948 9,908
8/31/2012 10,368 10,214
9/30/2012 10,711 10,578
10/31/2012 10,623 10,445
11/30/2012 10,819 10,477
12/31/2012 11,222 10,918
1/31/2013 11,958 11,569
2/28/2013 12,168 11,701
3/31/2013 12,765 12,188
4/30/2013 12,624 12,177
5/31/2013 13,305 12,540
6/30/2013 13,211 12,490
7/31/2013 14,181 13,292
8/31/2013 13,589 12,704
9/30/2013 14,301 13,438
10/31/2013 14,804 13,874
11/30/2013 15,555 14,416
12/31/2013 15,978 14,688
1/31/2014 15,157 14,119
2/28/2014 15,983 14,766
3/31/2014 16,172 14,949
4/30/2014 15,861 14,564
5/31/2014 15,992 14,656
6/30/2014 16,701 15,305
7/31/2014 15,739 14,379
8/31/2014 16,656 15,004
9/30/2014 15,494 13,992
10/31/2014 16,209 14,969
11/30/2014 16,164 14,900
12/31/2014 16,534 15,307
1/31/2015 15,716 14,670
2/28/2015 16,643 15,351
3/31/2015 16,939 15,610
4/30/2015 16,712 15,277
5/31/2015 16,939 15,403
6/30/2015 16,947 15,423
7/31/2015 16,326 14,998
8/31/2015 15,667 14,261
9/30/2015 14,961 13,768
10/31/2015 15,751 14,539
11/30/2015 16,251 14,952
12/31/2015 15,243 14,164
1/31/2016 14,148 13,212
2/29/2016 14,313 13,302
3/31/2016 15,568 14,405
4/30/2016 15,848 14,710
5/31/2016 15,923 14,980
6/30/2016 15,739 15,025
7/31/2016 16,502 15,836
8/31/2016 16,789 16,229
9/30/2016 16,991 16,357
10/31/2016 16,459 15,820
11/30/2016 18,906 17,920
12/31/2016 19,551 18,659
1/31/2017 19,446 18,526
2/28/2017 19,509 18,794
3/31/2017 19,287 18,635
4/30/2017 19,376 18,709
5/31/2017 18,696 18,126
6/30/2017 19,180 18,760
7/31/2017 19,326 18,879
8/31/2017 18,834 18,415 Past performance is not predictive of
9/30/2017 20,325 19,719 future performance.
10/31/2017 20,519 19,745 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2017, all rights
24.67% 14.07% 7.45% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. CORE EQUITY 1 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Core Equity 1 Portfolio Russell 3000/R/ Index
------------------------------ -----------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,483 9,550
12/31/2007 9,426 9,492
1/31/2008 8,888 8,917
2/29/2008 8,623 8,640
3/31/2008 8,561 8,589
4/30/2008 8,988 9,018
5/31/2008 9,222 9,203
6/30/2008 8,432 8,443
7/31/2008 8,432 8,376
8/31/2008 8,618 8,506
9/30/2008 7,819 7,706
10/31/2008 6,368 6,340
11/30/2008 5,829 5,839
12/31/2008 5,983 5,951
1/31/2009 5,442 5,451
2/28/2009 4,860 4,880
3/31/2009 5,307 5,308
4/30/2009 5,950 5,866
5/31/2009 6,230 6,179
6/30/2009 6,258 6,200
7/31/2009 6,787 6,683
8/31/2009 7,036 6,922
9/30/2009 7,369 7,212
10/31/2009 7,109 7,026
11/30/2009 7,467 7,426
12/31/2009 7,768 7,637
1/31/2010 7,517 7,362
2/28/2010 7,810 7,612
3/31/2010 8,329 8,091
4/30/2010 8,588 8,266
5/31/2010 7,910 7,613
6/30/2010 7,401 7,175
7/31/2010 7,930 7,673
8/31/2010 7,502 7,312
9/30/2010 8,267 8,003
10/31/2010 8,587 8,315
11/30/2010 8,697 8,363
12/31/2010 9,330 8,930
1/31/2011 9,517 9,125
2/28/2011 9,898 9,458
3/31/2011 10,003 9,500
4/30/2011 10,275 9,783
5/31/2011 10,130 9,671
6/30/2011 9,943 9,498
7/31/2011 9,662 9,280
8/31/2011 8,988 8,723
9/30/2011 8,201 8,047
10/31/2011 9,229 8,973
11/30/2011 9,212 8,948
12/31/2011 9,271 9,022
1/31/2012 9,770 9,477
2/29/2012 10,193 9,878
3/31/2012 10,463 10,183
4/30/2012 10,359 10,116
5/31/2012 9,677 9,491
6/30/2012 10,035 9,862
7/31/2012 10,105 9,960
8/31/2012 10,399 10,209
9/30/2012 10,695 10,477
10/31/2012 10,547 10,296
11/30/2012 10,661 10,376
12/31/2012 10,839 10,503
1/31/2013 11,497 11,079
2/28/2013 11,637 11,226
3/31/2013 12,114 11,666
4/30/2013 12,246 11,857
5/31/2013 12,651 12,137
6/30/2013 12,523 11,979
7/31/2013 13,248 12,636
8/31/2013 12,877 12,283
9/30/2013 13,407 12,740
10/31/2013 13,957 13,281
11/30/2013 14,409 13,666
12/31/2013 14,806 14,027
1/31/2014 14,296 13,584
2/28/2014 14,985 14,228
3/31/2014 15,105 14,303
4/30/2014 15,069 14,321
5/31/2014 15,366 14,633
6/30/2014 15,810 15,000
7/31/2014 15,404 14,704
8/31/2014 16,062 15,321
9/30/2014 15,622 15,002
10/31/2014 16,011 15,415
11/30/2014 16,345 15,788
12/31/2014 16,364 15,788
1/31/2015 15,852 15,349
2/28/2015 16,839 16,237
3/31/2015 16,729 16,072
4/30/2015 16,775 16,145
5/31/2015 16,995 16,368
6/30/2015 16,747 16,094
7/31/2015 16,858 16,364
8/31/2015 15,910 15,376
9/30/2015 15,388 14,928
10/31/2015 16,533 16,107
11/30/2015 16,644 16,196
12/31/2015 16,143 15,864
1/31/2016 15,194 14,969
2/29/2016 15,288 14,964
3/31/2016 16,389 16,017
4/30/2016 16,502 16,117
5/31/2016 16,757 16,405
6/30/2016 16,708 16,439
7/31/2016 17,391 17,091
8/31/2016 17,496 17,135
9/30/2016 17,531 17,162
10/31/2016 17,141 16,790
11/30/2016 18,188 17,542
12/31/2016 18,532 17,884
1/31/2017 18,859 18,221
2/28/2017 19,474 18,898
3/31/2017 19,487 18,911
4/30/2017 19,661 19,112
5/31/2017 19,767 19,307
6/30/2017 19,992 19,481
7/31/2017 20,331 19,849
8/31/2017 20,292 19,887 Past performance is not predictive of
9/30/2017 20,956 20,372 future performance.
10/31/2017 21,414 20,816 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------- Investment Group 1995-2017, all rights
24.93% 15.22% 7.91% reserved.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Core Equity 2 Portfolio Russell 3000/R/ Index
------------------------------ -------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,429 9,550
12/31/2007 9,347 9,492
1/31/2008 8,866 8,917
2/29/2008 8,585 8,640
3/31/2008 8,499 8,589
4/30/2008 8,925 9,018
5/31/2008 9,175 9,203
6/30/2008 8,345 8,443
7/31/2008 8,369 8,376
8/31/2008 8,555 8,506
9/30/2008 7,783 7,706
10/31/2008 6,302 6,340
11/30/2008 5,732 5,839
12/31/2008 5,902 5,951
1/31/2009 5,287 5,451
2/28/2009 4,672 4,880
3/31/2009 5,132 5,308
4/30/2009 5,848 5,866
5/31/2009 6,128 6,179
6/30/2009 6,120 6,200
7/31/2009 6,674 6,683
8/31/2009 6,947 6,922
9/30/2009 7,294 7,212
10/31/2009 6,974 7,026
11/30/2009 7,290 7,426
12/31/2009 7,622 7,637
1/31/2010 7,388 7,362
2/28/2010 7,697 7,612
3/31/2010 8,247 8,091
4/30/2010 8,548 8,266
5/31/2010 7,871 7,613
6/30/2010 7,317 7,175
7/31/2010 7,854 7,673
8/31/2010 7,384 7,312
9/30/2010 8,165 8,003
10/31/2010 8,468 8,315
11/30/2010 8,602 8,363
12/31/2010 9,285 8,930
1/31/2011 9,462 9,125
2/28/2011 9,886 9,458
3/31/2011 10,005 9,500
4/30/2011 10,234 9,783
5/31/2011 10,073 9,671
6/30/2011 9,875 9,498
7/31/2011 9,543 9,280
8/31/2011 8,820 8,723
9/30/2011 7,983 8,047
10/31/2011 9,059 8,973
11/30/2011 9,025 8,948
12/31/2011 9,090 9,022
1/31/2012 9,597 9,477
2/29/2012 10,009 9,878
3/31/2012 10,250 10,183
4/30/2012 10,147 10,116
5/31/2012 9,451 9,491
6/30/2012 9,824 9,862
7/31/2012 9,875 9,960
8/31/2012 10,186 10,209
9/30/2012 10,496 10,477
10/31/2012 10,401 10,296
11/30/2012 10,496 10,376
12/31/2012 10,733 10,503
1/31/2013 11,412 11,079
2/28/2013 11,553 11,226
3/31/2013 12,038 11,666
4/30/2013 12,126 11,857
5/31/2013 12,586 12,137
6/30/2013 12,466 11,979
7/31/2013 13,219 12,636
8/31/2013 12,811 12,283
9/30/2013 13,359 12,740
10/31/2013 13,901 13,281
11/30/2013 14,373 13,666
12/31/2013 14,786 14,027
1/31/2014 14,235 13,584
2/28/2014 14,904 14,228
3/31/2014 15,077 14,303
4/30/2014 15,004 14,321
5/31/2014 15,267 14,633
6/30/2014 15,750 15,000
7/31/2014 15,314 14,704
8/31/2014 15,950 15,321
9/30/2014 15,443 15,002
10/31/2014 15,817 15,415
11/30/2014 16,100 15,788
12/31/2014 16,164 15,788
1/31/2015 15,582 15,349
2/28/2015 16,589 16,237
3/31/2015 16,510 16,072
4/30/2015 16,547 16,145
5/31/2015 16,760 16,368
6/30/2015 16,536 16,094
7/31/2015 16,508 16,364
8/31/2015 15,588 15,376
9/30/2015 15,028 14,928
10/31/2015 16,121 16,107
11/30/2015 16,252 16,196
12/31/2015 15,668 15,864
1/31/2016 14,709 14,969
2/29/2016 14,815 14,964
3/31/2016 15,894 16,017
4/30/2016 16,049 16,117
5/31/2016 16,299 16,405
6/30/2016 16,216 16,439
7/31/2016 16,883 17,091
8/31/2016 17,028 17,135
9/30/2016 17,069 17,162
10/31/2016 16,681 16,790
11/30/2016 17,903 17,542
12/31/2016 18,265 17,884
1/31/2017 18,539 18,221
2/28/2017 19,060 18,898
3/31/2017 19,018 18,911
4/30/2017 19,166 19,112
5/31/2017 19,137 19,307
6/30/2017 19,427 19,481
7/31/2017 19,734 19,849
8/31/2017 19,595 19,887 Past performance is not predictive of
9/30/2017 20,366 20,372 future performance.
10/31/2017 20,743 20,816 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
------------------------------------------------------------ Investment Group 1995-2017, all rights
24.36% 14.81% 7.57% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. VECTOR EQUITY PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Vector Equity Portfolio Russell 3000/R/ Index
------------------------------ -------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,351 9,550
12/31/2007 9,247 9,492
1/31/2008 8,809 8,917
2/29/2008 8,512 8,640
3/31/2008 8,477 8,589
4/30/2008 8,858 9,018
5/31/2008 9,156 9,203
6/30/2008 8,281 8,443
7/31/2008 8,348 8,376
8/31/2008 8,588 8,506
9/30/2008 7,864 7,706
10/31/2008 6,238 6,340
11/30/2008 5,554 5,839
12/31/2008 5,809 5,951
1/31/2009 5,102 5,451
2/28/2009 4,462 4,880
3/31/2009 4,912 5,308
4/30/2009 5,706 5,866
5/31/2009 5,951 6,179
6/30/2009 5,954 6,200
7/31/2009 6,565 6,683
8/31/2009 6,870 6,922
9/30/2009 7,229 7,212
10/31/2009 6,829 7,026
11/30/2009 7,084 7,426
12/31/2009 7,506 7,637
1/31/2010 7,293 7,362
2/28/2010 7,651 7,612
3/31/2010 8,225 8,091
4/30/2010 8,644 8,266
5/31/2010 7,952 7,613
6/30/2010 7,335 7,175
7/31/2010 7,875 7,673
8/31/2010 7,335 7,312
9/30/2010 8,143 8,003
10/31/2010 8,444 8,315
11/30/2010 8,650 8,363
12/31/2010 9,391 8,930
1/31/2011 9,521 9,125
2/28/2011 10,005 9,458
3/31/2011 10,171 9,500
4/30/2011 10,378 9,783
5/31/2011 10,180 9,671
6/30/2011 9,961 9,498
7/31/2011 9,597 9,280
8/31/2011 8,756 8,723
9/30/2011 7,808 8,047
10/31/2011 8,939 8,973
11/30/2011 8,895 8,948
12/31/2011 8,963 9,022
1/31/2012 9,514 9,477
2/29/2012 9,907 9,878
3/31/2012 10,145 10,183
4/30/2012 9,997 10,116
5/31/2012 9,270 9,491
6/30/2012 9,636 9,862
7/31/2012 9,619 9,960
8/31/2012 9,970 10,209
9/30/2012 10,292 10,477
10/31/2012 10,239 10,296
11/30/2012 10,363 10,376
12/31/2012 10,663 10,503
1/31/2013 11,402 11,079
2/28/2013 11,526 11,226
3/31/2013 12,042 11,666
4/30/2013 12,033 11,857
5/31/2013 12,559 12,137
6/30/2013 12,455 11,979
7/31/2013 13,260 12,636
8/31/2013 12,830 12,283
9/30/2013 13,460 12,740
10/31/2013 14,007 13,281
11/30/2013 14,545 13,666
12/31/2013 14,951 14,027
1/31/2014 14,339 13,584
2/28/2014 15,005 14,228
3/31/2014 15,205 14,303
4/30/2014 15,031 14,321
5/31/2014 15,251 14,633
6/30/2014 15,830 15,000
7/31/2014 15,252 14,704
8/31/2014 15,931 15,321
9/30/2014 15,243 15,002
10/31/2014 15,675 15,415
11/30/2014 15,777 15,788
12/31/2014 15,924 15,788
1/31/2015 15,227 15,349
2/28/2015 16,259 16,237
3/31/2015 16,292 16,072
4/30/2015 16,254 16,145
5/31/2015 16,445 16,368
6/30/2015 16,347 16,094
7/31/2015 16,136 16,364
8/31/2015 15,319 15,376
9/30/2015 14,683 14,928
10/31/2015 15,648 16,107
11/30/2015 15,879 16,196
12/31/2015 15,123 15,864
1/31/2016 14,070 14,969
2/29/2016 14,190 14,964
3/31/2016 15,298 16,017
4/30/2016 15,560 16,117
5/31/2016 15,741 16,405
6/30/2016 15,589 16,439
7/31/2016 16,297 17,091
8/31/2016 16,509 17,135
9/30/2016 16,577 17,162
10/31/2016 16,161 16,790
11/30/2016 17,835 17,542
12/31/2016 18,301 17,884
1/31/2017 18,467 18,221
2/28/2017 18,822 18,898
3/31/2017 18,730 18,911
4/30/2017 18,814 19,112
5/31/2017 18,511 19,307
6/30/2017 18,937 19,481
7/31/2017 19,188 19,849
8/31/2017 18,863 19,887 Past performance is not predictive of
9/30/2017 19,905 20,372 future performance.
10/31/2017 20,158 20,816 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
------------------------------------------------------------ Investment Group 1995-2017, all rights
24.73% 14.51% 7.26% reserved.
--------------------------------------------------------------------------------
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Small Cap Portfolio Russell 2000/R/ Index
----------------------------- -----------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,256 9,282
12/31/2007 9,237 9,276
1/31/2008 8,598 8,644
2/29/2008 8,321 8,323
3/31/2008 8,351 8,358
4/30/2008 8,614 8,708
5/31/2008 9,025 9,108
6/30/2008 8,217 8,407
7/31/2008 8,476 8,718
8/31/2008 8,783 9,033
9/30/2008 8,080 8,313
10/31/2008 6,417 6,584
11/30/2008 5,634 5,805
12/31/2008 5,911 6,142
1/31/2009 5,257 5,459
2/28/2009 4,622 4,796
3/31/2009 5,098 5,224
4/30/2009 6,044 6,031
5/31/2009 6,258 6,213
6/30/2009 6,420 6,304
7/31/2009 7,087 6,911
8/31/2009 7,340 7,109
9/30/2009 7,798 7,520
10/31/2009 7,257 7,009
11/30/2009 7,442 7,229
12/31/2009 8,059 7,811
1/31/2010 7,814 7,523
2/28/2010 8,196 7,862
3/31/2010 8,867 8,502
4/30/2010 9,469 8,983
5/31/2010 8,730 8,302
6/30/2010 8,032 7,659
7/31/2010 8,610 8,185
8/31/2010 7,954 7,579
9/30/2010 8,992 8,523
10/31/2010 9,360 8,872
11/30/2010 9,753 9,180
12/31/2010 10,533 9,909
1/31/2011 10,543 9,883
2/28/2011 11,134 10,425
3/31/2011 11,453 10,695
4/30/2011 11,724 10,978
5/31/2011 11,488 10,772
6/30/2011 11,304 10,523
7/31/2011 10,909 10,143
8/31/2011 9,930 9,261
9/30/2011 8,827 8,222
10/31/2011 10,180 9,467
11/30/2011 10,145 9,432
12/31/2011 10,201 9,495
1/31/2012 10,887 10,166
2/29/2012 11,200 10,409
3/31/2012 11,493 10,676
4/30/2012 11,334 10,511
5/31/2012 10,598 9,815
6/30/2012 11,045 10,305
7/31/2012 10,955 10,162
8/31/2012 11,340 10,501
9/30/2012 11,710 10,846
10/31/2012 11,565 10,611
11/30/2012 11,700 10,667
12/31/2012 12,077 11,047
1/31/2013 12,834 11,739
2/28/2013 12,962 11,868
3/31/2013 13,588 12,416
4/30/2013 13,476 12,370
5/31/2013 14,169 12,865
6/30/2013 14,153 12,799
7/31/2013 15,173 13,695
8/31/2013 14,660 13,260
9/30/2013 15,569 14,106
10/31/2013 16,078 14,461
11/30/2013 16,833 15,040
12/31/2013 17,175 15,336
1/31/2014 16,471 14,911
2/28/2014 17,225 15,614
3/31/2014 17,317 15,507
4/30/2014 16,807 14,906
5/31/2014 16,901 15,026
6/30/2014 17,704 15,825
7/31/2014 16,643 14,867
8/31/2014 17,432 15,604
9/30/2014 16,492 14,660
10/31/2014 17,472 15,627
11/30/2014 17,533 15,641
12/31/2014 17,937 16,086
1/31/2015 17,194 15,569
2/28/2015 18,329 16,493
3/31/2015 18,653 16,781
4/30/2015 18,220 16,353
5/31/2015 18,538 16,726
6/30/2015 18,725 16,851
7/31/2015 18,488 16,655
8/31/2015 17,562 15,609
9/30/2015 16,890 14,843
10/31/2015 17,881 15,679
11/30/2015 18,334 16,189
12/31/2015 17,348 15,376
1/31/2016 16,247 14,024
2/29/2016 16,418 14,024
3/31/2016 17,667 15,143
4/30/2016 17,832 15,381
5/31/2016 18,059 15,727
6/30/2016 17,966 15,717
7/31/2016 18,864 16,656
8/31/2016 19,147 16,950
9/30/2016 19,224 17,139
10/31/2016 18,577 16,324
11/30/2016 20,820 18,144
12/31/2016 21,429 18,653
1/31/2017 21,429 18,726
2/28/2017 21,682 19,088
3/31/2017 21,640 19,113
4/30/2017 21,831 19,322
5/31/2017 21,285 18,929
6/30/2017 21,839 19,584
7/31/2017 22,011 19,729
8/31/2017 21,502 19,478 Past performance is not predictive of
9/30/2017 23,024 20,694 future performance.
10/31/2017 23,260 20,870 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
------------------------------------------------------------ Investment Group 1995-2017, all rights
25.21% 15.00% 8.81% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Micro Cap Portfolio Russell 2000/R/ Index
-------------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,158 9,282
12/31/2007 9,153 9,276
1/31/2008 8,453 8,644
2/29/2008 8,188 8,323
3/31/2008 8,214 8,358
4/30/2008 8,384 8,708
5/31/2008 8,717 9,108
6/30/2008 7,928 8,407
7/31/2008 8,283 8,718
8/31/2008 8,563 9,033
9/30/2008 7,932 8,313
10/31/2008 6,289 6,584
11/30/2008 5,482 5,805
12/31/2008 5,792 6,142
1/31/2009 5,102 5,459
2/28/2009 4,433 4,796
3/31/2009 4,858 5,224
4/30/2009 5,702 6,031
5/31/2009 5,898 6,213
6/30/2009 6,060 6,304
7/31/2009 6,655 6,911
8/31/2009 6,837 7,109
9/30/2009 7,231 7,520
10/31/2009 6,705 7,009
11/30/2009 6,824 7,229
12/31/2009 7,417 7,811
1/31/2010 7,200 7,523
2/28/2010 7,516 7,862
3/31/2010 8,123 8,502
4/30/2010 8,713 8,983
5/31/2010 8,067 8,302
6/30/2010 7,483 7,659
7/31/2010 8,018 8,185
8/31/2010 7,378 7,579
9/30/2010 8,275 8,523
10/31/2010 8,634 8,872
11/30/2010 9,001 9,180
12/31/2010 9,738 9,909
1/31/2011 9,632 9,883
2/28/2011 10,198 10,425
3/31/2011 10,529 10,695
4/30/2011 10,706 10,978
5/31/2011 10,500 10,772
6/30/2011 10,274 10,523
7/31/2011 9,998 10,143
8/31/2011 9,105 9,261
9/30/2011 8,142 8,222
10/31/2011 9,398 9,467
11/30/2011 9,341 9,432
12/31/2011 9,421 9,495
1/31/2012 10,077 10,166
2/29/2012 10,269 10,409
3/31/2012 10,576 10,676
4/30/2012 10,426 10,511
5/31/2012 9,699 9,815
6/30/2012 10,196 10,305
7/31/2012 10,103 10,162
8/31/2012 10,418 10,501
9/30/2012 10,854 10,846
10/31/2012 10,632 10,611
11/30/2012 10,733 10,667
12/31/2012 11,140 11,047
1/31/2013 11,773 11,739
2/28/2013 11,903 11,868
3/31/2013 12,483 12,416
4/30/2013 12,384 12,370
5/31/2013 13,025 12,865
6/30/2013 13,084 12,799
7/31/2013 14,054 13,695
8/31/2013 13,565 13,260
9/30/2013 14,522 14,106
10/31/2013 15,027 14,461
11/30/2013 15,861 15,040
12/31/2013 16,160 15,336
1/31/2014 15,445 14,911
2/28/2014 16,096 15,614
3/31/2014 16,253 15,507
4/30/2014 15,698 14,906
5/31/2014 15,714 15,026
6/30/2014 16,396 15,825
7/31/2014 15,438 14,867
8/31/2014 16,138 15,604
9/30/2014 15,219 14,660
10/31/2014 16,211 15,627
11/30/2014 16,090 15,641
12/31/2014 16,633 16,086
1/31/2015 15,817 15,569
2/28/2015 16,770 16,493
3/31/2015 17,153 16,781
4/30/2015 16,818 16,353
5/31/2015 17,050 16,726
6/30/2015 17,327 16,851
7/31/2015 16,905 16,655
8/31/2015 16,156 15,609
9/30/2015 15,459 14,843
10/31/2015 16,391 15,679
11/30/2015 16,857 16,189
12/31/2015 16,030 15,376
1/31/2016 14,941 14,024
2/29/2016 15,105 14,024
3/31/2016 16,174 15,143
4/30/2016 16,349 15,381
5/31/2016 16,523 15,727
6/30/2016 16,494 15,717
7/31/2016 17,322 16,656
8/31/2016 17,597 16,950
9/30/2016 17,725 17,139
10/31/2016 17,099 16,324
11/30/2016 19,353 18,144
12/31/2016 20,139 18,653
1/31/2017 19,850 18,726
2/28/2017 19,984 19,088
3/31/2017 20,018 19,113
4/30/2017 20,337 19,322
5/31/2017 19,728 18,929
6/30/2017 20,462 19,584
7/31/2017 20,558 19,729 Past performance is not predictive of
8/31/2017 20,113 19,478 future performance.
9/30/2017 21,801 20,694 The returns shown do not reflect the
10/31/2017 22,043 20,870 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
------------------------------------------------------------ Investment Group 1995-2017, all rights
28.91% 15.70% 8.22% reserved.
--------------------------------------------------------------------------------
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO VS.
RUSSELL 1000(R) INDEX
MAY 16, 2017-OCTOBER 31, 2017
[CHART]
U.S. High Relative
Profitability Portfolio Russell 1000/R/ Index
------------------------ -------------------
5/16/17 $10,000 $10,000
5/31/17 10,210 10,054
6/30/17 10,186 10,124
7/31/17 10,376 10,325
8/31/17 10,436 10,357
9/30/17 10,703 10,578
10/31/17 10,984 10,820
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL SINCE redemption of fund shares.
TOTAL RETURN INCEPTION Russell data copyright (C) Russell
-------------------------------------------------- Investment Group 1995-2017, all rights
9.84% reserved.
--------------------------------------------------------------------------------
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
S&P 500(R) INDEX, DOW JONES U.S. SELECT REIT INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA Real Estate Dow Jones U.S. Select
Securities Portfolio S&P 500/R/ Index REIT Index
---------------------- ------------------ ---------------------
10/31/2007 $10,000 $10,000 $10,000
11/30/2007 8,980 9,582 9,028
12/31/2007 8,454 9,515 8,548
1/31/2008 8,458 8,944 8,507
2/29/2008 8,136 8,654 8,186
3/31/2008 8,648 8,616 8,730
4/30/2008 9,158 9,036 9,269
5/31/2008 9,176 9,154 9,289
6/30/2008 8,169 8,382 8,260
7/31/2008 8,405 8,311 8,499
8/31/2008 8,613 8,432 8,691
9/30/2008 8,595 7,680 8,655
10/31/2008 5,885 6,390 5,852
11/30/2008 4,523 5,932 4,415
12/31/2008 5,295 5,995 5,197
1/31/2009 4,355 5,490 4,257
2/28/2009 3,442 4,905 3,327
3/31/2009 3,564 5,335 3,434
4/30/2009 4,680 5,845 4,561
5/31/2009 4,801 6,172 4,678
6/30/2009 4,653 6,185 4,514
7/31/2009 5,141 6,652 4,985
8/31/2009 5,836 6,892 5,715
9/30/2009 6,227 7,150 6,115
10/31/2009 5,943 7,017 5,837
11/30/2009 6,351 7,438 6,239
12/31/2009 6,787 7,581 6,676
1/31/2010 6,433 7,309 6,294
2/28/2010 6,787 7,535 6,652
3/31/2010 7,477 7,990 7,331
4/30/2010 8,003 8,116 7,849
5/31/2010 7,576 7,468 7,427
6/30/2010 7,184 7,077 7,028
7/31/2010 7,892 7,573 7,723
8/31/2010 7,793 7,231 7,620
9/30/2010 8,130 7,876 7,957
10/31/2010 8,511 8,176 8,325
11/30/2010 8,343 8,177 8,163
12/31/2010 8,733 8,724 8,550
1/31/2011 9,041 8,930 8,854
2/28/2011 9,450 9,236 9,258
3/31/2011 9,308 9,240 9,123
4/30/2011 9,847 9,514 9,664
5/31/2011 9,980 9,406 9,814
6/30/2011 9,652 9,249 9,485
7/31/2011 9,810 9,061 9,657
8/31/2011 9,283 8,569 9,128
9/30/2011 8,263 7,966 8,106
10/31/2011 9,455 8,837 9,297
11/30/2011 9,097 8,818 8,931
12/31/2011 9,515 8,908 9,351
1/31/2012 10,116 9,307 9,952
2/29/2012 10,009 9,709 9,841
3/31/2012 10,524 10,029 10,357
4/30/2012 10,825 9,966 10,668
5/31/2012 10,330 9,367 10,182
6/30/2012 10,913 9,753 10,745
7/31/2012 11,128 9,888 10,949
8/31/2012 11,112 10,111 10,920
9/30/2012 10,904 10,372 10,705
10/31/2012 10,821 10,181 10,607
11/30/2012 10,783 10,240 10,554
12/31/2012 11,178 10,333 10,952
1/31/2013 11,573 10,869 11,324
2/28/2013 11,700 11,016 11,418
3/31/2013 12,022 11,429 11,723
4/30/2013 12,834 11,649 12,529
5/31/2013 12,069 11,922 11,778
6/30/2013 11,844 11,762 11,571
7/31/2013 11,947 12,360 11,660
8/31/2013 11,106 12,002 10,861
9/30/2013 11,452 12,379 11,207
10/31/2013 11,933 12,948 11,664
11/30/2013 11,297 13,342 11,024
12/31/2013 11,333 13,680 11,085
1/31/2014 11,814 13,207 11,535
2/28/2014 12,413 13,811 12,126
3/31/2014 12,494 13,927 12,232
4/30/2014 12,946 14,030 12,682
5/31/2014 13,253 14,360 12,995
6/30/2014 13,391 14,656 13,107
7/31/2014 13,400 14,454 13,134
8/31/2014 13,780 15,032 13,500
9/30/2014 12,952 14,822 12,714
10/31/2014 14,296 15,184 14,077
11/30/2014 14,593 15,592 14,374
12/31/2014 14,860 15,553 14,632
1/31/2015 15,884 15,086 15,611
2/28/2015 15,295 15,953 15,052
3/31/2015 15,566 15,701 15,322
4/30/2015 14,651 15,851 14,434
5/31/2015 14,614 16,055 14,429
6/30/2015 13,974 15,744 13,790
7/31/2015 14,776 16,074 14,608
8/31/2015 13,878 15,104 13,752
9/30/2015 14,318 14,731 14,216
10/31/2015 15,138 15,973 15,045
11/30/2015 15,056 16,021 14,962
12/31/2015 15,341 15,768 15,288
1/31/2016 14,822 14,985 14,685
2/29/2016 14,772 14,965 14,553
3/31/2016 16,296 15,980 16,070
4/30/2016 15,889 16,042 15,600
5/31/2016 16,240 16,330 15,913
6/30/2016 17,383 16,373 16,942
7/31/2016 18,124 16,976 17,683
8/31/2016 17,511 17,000 17,085
9/30/2016 17,181 17,003 16,733
10/31/2016 16,181 16,693 15,791
11/30/2016 15,889 17,312 15,577
12/31/2016 16,627 17,654 16,309
1/31/2017 16,603 17,989 16,169
2/28/2017 17,157 18,703 16,735
3/31/2017 16,759 18,725 16,264
4/30/2017 16,773 18,917 16,226
5/31/2017 16,691 19,183 16,136
6/30/2017 17,042 19,303 16,531
7/31/2017 17,257 19,700 16,682
8/31/2017 17,277 19,760 16,550 Past performance is not predictive of
9/30/2017 17,222 20,168 16,594 future performance.
10/31/2017 17,129 20,638 16,413 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Copyright 2017 S&P Dow Jones Indices
-------------------------------------------------------------- LLC, a division of S&P Global. All rights
5.86% 9.62% 5.53% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Large Cap International MSCI World ex USA
Portfolio Index (net dividends)
------------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,643 9,609
12/31/2007 9,418 9,428
1/31/2008 8,705 8,578
2/29/2008 8,697 8,734
3/31/2008 8,667 8,609
4/30/2008 9,126 9,088
5/31/2008 9,317 9,225
6/30/2008 8,575 8,508
7/31/2008 8,263 8,205
8/31/2008 7,910 7,888
9/30/2008 6,948 6,749
10/31/2008 5,483 5,345
11/30/2008 5,154 5,055
12/31/2008 5,515 5,322
1/31/2009 4,895 4,825
2/28/2009 4,403 4,337
3/31/2009 4,742 4,623
4/30/2009 5,281 5,219
5/31/2009 6,019 5,879
6/30/2009 5,935 5,818
7/31/2009 6,505 6,364
8/31/2009 6,760 6,669
9/30/2009 7,048 6,944
10/31/2009 6,865 6,833
11/30/2009 7,120 7,002
12/31/2009 7,205 7,113
1/31/2010 6,832 6,780
2/28/2010 6,878 6,773
3/31/2010 7,311 7,209
4/30/2010 7,169 7,102
5/31/2010 6,387 6,318
6/30/2010 6,284 6,227
7/31/2010 6,932 6,802
8/31/2010 6,694 6,599
9/30/2010 7,353 7,232
10/31/2010 7,619 7,489
11/30/2010 7,286 7,172
12/31/2010 7,871 7,750
1/31/2011 8,049 7,917
2/28/2011 8,365 8,210
3/31/2011 8,174 8,046
4/30/2011 8,641 8,484
5/31/2011 8,396 8,232
6/30/2011 8,277 8,115
7/31/2011 8,108 7,981
8/31/2011 7,428 7,307
9/30/2011 6,610 6,573
10/31/2011 7,249 7,212
11/30/2011 7,067 6,879
12/31/2011 6,905 6,804
1/31/2012 7,322 7,171
2/29/2012 7,677 7,565
3/31/2012 7,664 7,509
4/30/2012 7,516 7,382
5/31/2012 6,684 6,540
6/30/2012 7,127 6,969
7/31/2012 7,148 7,056
8/31/2012 7,390 7,257
9/30/2012 7,610 7,477
10/31/2012 7,677 7,530
11/30/2012 7,832 7,688
12/31/2012 8,130 7,920
1/31/2013 8,460 8,310
2/28/2013 8,346 8,227
3/31/2013 8,459 8,292
4/30/2013 8,824 8,670
5/31/2013 8,591 8,476
6/30/2013 8,339 8,158
7/31/2013 8,798 8,592
8/31/2013 8,669 8,482
9/30/2013 9,282 9,081
10/31/2013 9,584 9,386
11/30/2013 9,636 9,443
12/31/2013 9,813 9,586
1/31/2014 9,374 9,199
2/28/2014 9,926 9,701
3/31/2014 9,898 9,657
4/30/2014 10,060 9,809
5/31/2014 10,200 9,961
6/30/2014 10,341 10,103
7/31/2014 10,102 9,923
8/31/2014 10,146 9,931
9/30/2014 9,714 9,523
10/31/2014 9,629 9,371
11/30/2014 9,656 9,487
12/31/2014 9,299 9,171
1/31/2015 9,299 9,139
2/28/2015 9,864 9,685
3/31/2015 9,692 9,523
4/30/2015 10,128 9,935
5/31/2015 10,092 9,849
6/30/2015 9,807 9,569
7/31/2015 9,885 9,721
8/31/2015 9,187 9,013
9/30/2015 8,758 8,558
10/31/2015 9,331 9,201
11/30/2015 9,244 9,055
12/31/2015 9,033 8,893
1/31/2016 8,534 8,280
2/29/2016 8,295 8,165
3/31/2016 8,873 8,719
4/30/2016 9,109 8,999
5/31/2016 9,058 8,898
6/30/2016 8,846 8,627
7/31/2016 9,218 9,052
8/31/2016 9,269 9,060
9/30/2016 9,394 9,170
10/31/2016 9,210 8,992
11/30/2016 9,082 8,848
12/31/2016 9,318 9,137
1/31/2017 9,655 9,409
2/28/2017 9,741 9,517
3/31/2017 10,012 9,759
4/30/2017 10,241 9,967
5/31/2017 10,565 10,299
6/30/2017 10,621 10,308
7/31/2017 10,929 10,615
8/31/2017 10,954 10,613
9/30/2017 11,221 10,888 Past performance is not predictive of
10/31/2017 11,400 11,037 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
-------------------------------------------------------- MSCI data copyright MSCI 2017, all
23.79% 8.23% 1.32% rights reserved.
--------------------------------------------------------------------------------
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
International Core Equity MSCI World ex USA
Portfolio Index (net dividends)
------------------------- ----------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,451 9,609
12/31/2007 9,206 9,428
1/31/2008 8,512 8,578
2/29/2008 8,525 8,734
3/31/2008 8,565 8,609
4/30/2008 8,919 9,088
5/31/2008 9,066 9,225
6/30/2008 8,223 8,508
7/31/2008 7,897 8,205
8/31/2008 7,598 7,888
9/30/2008 6,629 6,749
10/31/2008 5,126 5,345
11/30/2008 4,817 5,055
12/31/2008 5,154 5,322
1/31/2009 4,595 4,825
2/28/2009 4,112 4,337
3/31/2009 4,459 4,623
4/30/2009 5,130 5,219
5/31/2009 5,906 5,879
6/30/2009 5,856 5,818
7/31/2009 6,438 6,364
8/31/2009 6,796 6,669
9/30/2009 7,126 6,944
10/31/2009 6,911 6,833
11/30/2009 7,094 7,002
12/31/2009 7,179 7,113
1/31/2010 6,875 6,780
2/28/2010 6,882 6,773
3/31/2010 7,396 7,209
4/30/2010 7,360 7,102
5/31/2010 6,495 6,318
6/30/2010 6,387 6,227
7/31/2010 7,062 6,802
8/31/2010 6,775 6,599
9/30/2010 7,499 7,232
10/31/2010 7,773 7,489
11/30/2010 7,463 7,172
12/31/2010 8,178 7,750
1/31/2011 8,388 7,917
2/28/2011 8,672 8,210
3/31/2011 8,520 8,046
4/30/2011 8,978 8,484
5/31/2011 8,702 8,232
6/30/2011 8,548 8,115
7/31/2011 8,356 7,981
8/31/2011 7,618 7,307
9/30/2011 6,730 6,573
10/31/2011 7,346 7,212
11/30/2011 7,123 6,879
12/31/2011 6,942 6,804
1/31/2012 7,452 7,171
2/29/2012 7,834 7,565
3/31/2012 7,833 7,509
4/30/2012 7,660 7,382
5/31/2012 6,744 6,540
6/30/2012 7,157 6,969
7/31/2012 7,150 7,056
8/31/2012 7,402 7,257
9/30/2012 7,665 7,477
10/31/2012 7,749 7,530
11/30/2012 7,880 7,688
12/31/2012 8,243 7,920
1/31/2013 8,598 8,310
2/28/2013 8,506 8,227
3/31/2013 8,608 8,292
4/30/2013 8,941 8,670
5/31/2013 8,740 8,476
6/30/2013 8,473 8,158
7/31/2013 9,000 8,592
8/31/2013 8,905 8,482
9/30/2013 9,587 9,081
10/31/2013 9,918 9,386
11/30/2013 9,965 9,443
12/31/2013 10,174 9,586
1/31/2014 9,832 9,199
2/28/2014 10,412 9,701
3/31/2014 10,390 9,657
4/30/2014 10,510 9,809
5/31/2014 10,622 9,961
6/30/2014 10,788 10,103
7/31/2014 10,497 9,923
8/31/2014 10,537 9,931
9/30/2014 10,010 9,523
10/31/2014 9,863 9,371
11/30/2014 9,839 9,487
12/31/2014 9,565 9,171
1/31/2015 9,533 9,139
2/28/2015 10,146 9,685
3/31/2015 9,960 9,523
4/30/2015 10,451 9,935
5/31/2015 10,467 9,849
6/30/2015 10,219 9,569
7/31/2015 10,227 9,721
8/31/2015 9,597 9,013
9/30/2015 9,180 8,558
10/31/2015 9,755 9,201
11/30/2015 9,713 9,055
12/31/2015 9,545 8,893
1/31/2016 8,958 8,280
2/29/2016 8,774 8,165
3/31/2016 9,459 8,719
4/30/2016 9,728 8,999
5/31/2016 9,694 8,898
6/30/2016 9,372 8,627
7/31/2016 9,850 9,052
8/31/2016 9,901 9,060
9/30/2016 10,093 9,170
10/31/2016 9,913 8,992
11/30/2016 9,793 8,848
12/31/2016 10,055 9,137
1/31/2017 10,460 9,409
2/28/2017 10,555 9,517
3/31/2017 10,812 9,759
4/30/2017 11,097 9,967
5/31/2017 11,408 10,299
6/30/2017 11,502 10,308
7/31/2017 11,912 10,615 Past performance is not predictive of
8/31/2017 11,965 10,613 future performance.
9/30/2017 12,299 10,888 The returns shown do not reflect the
10/31/2017 12,492 11,037 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2017, all
26.02% 10.02% 2.25% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
International Small Company MSCI World ex USA Small
Portfolio Cap Index (net dividends)
--------------------------- --------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,269 9,178
12/31/2007 8,960 8,909
1/31/2008 8,278 8,045
2/29/2008 8,488 8,427
3/31/2008 8,499 8,334
4/30/2008 8,680 8,537
5/31/2008 8,910 8,710
6/30/2008 8,250 8,037
7/31/2008 7,853 7,632
8/31/2008 7,543 7,350
9/30/2008 6,400 6,057
10/31/2008 4,901 4,562
11/30/2008 4,648 4,341
12/31/2008 5,029 4,630
1/31/2009 4,632 4,361
2/28/2009 4,210 3,963
3/31/2009 4,488 4,217
4/30/2009 5,083 4,867
5/31/2009 5,840 5,588
6/30/2009 5,902 5,655
7/31/2009 6,344 6,109
8/31/2009 6,747 6,580
9/30/2009 7,106 6,950
10/31/2009 6,976 6,843
11/30/2009 7,071 6,896
12/31/2009 7,139 6,983
1/31/2010 7,029 6,891
2/28/2010 7,019 6,852
3/31/2010 7,520 7,361
4/30/2010 7,636 7,507
5/31/2010 6,732 6,605
6/30/2010 6,716 6,543
7/31/2010 7,330 7,104
8/31/2010 7,112 6,919
9/30/2010 7,894 7,704
10/31/2010 8,204 8,022
11/30/2010 7,975 7,812
12/31/2010 8,846 8,695
1/31/2011 8,955 8,740
2/28/2011 9,227 8,989
3/31/2011 9,213 8,981
4/30/2011 9,651 9,426
5/31/2011 9,383 9,165
6/30/2011 9,193 8,967
7/31/2011 9,104 8,918
8/31/2011 8,391 8,213
9/30/2011 7,399 7,270
10/31/2011 7,964 7,860
11/30/2011 7,713 7,466
12/31/2011 7,489 7,320
1/31/2012 8,127 7,925
2/29/2012 8,538 8,374
3/31/2012 8,571 8,318
4/30/2012 8,469 8,275
5/31/2012 7,483 7,303
6/30/2012 7,776 7,555
7/31/2012 7,754 7,613
8/31/2012 8,023 7,832
9/30/2012 8,357 8,203
10/31/2012 8,412 8,243
11/30/2012 8,484 8,285
12/31/2012 8,901 8,600
1/31/2013 9,292 9,014
2/28/2013 9,286 9,046
3/31/2013 9,455 9,222
4/30/2013 9,706 9,490
5/31/2013 9,494 9,267
6/30/2013 9,242 8,901
7/31/2013 9,854 9,457
8/31/2013 9,820 9,440
9/30/2013 10,629 10,233
10/31/2013 10,991 10,535
11/30/2013 11,042 10,549
12/31/2013 11,344 10,797
1/31/2014 11,143 10,610
2/28/2014 11,840 11,212
3/31/2014 11,822 11,170
4/30/2014 11,828 11,135
5/31/2014 11,904 11,275
6/30/2014 12,125 11,531
7/31/2014 11,739 11,232
8/31/2014 11,816 11,260
9/30/2014 11,098 10,577
10/31/2014 10,871 10,310
11/30/2014 10,764 10,299
12/31/2014 10,629 10,220
1/31/2015 10,541 10,129
2/28/2015 11,217 10,778
3/31/2015 11,042 10,632
4/30/2015 11,662 11,173
5/31/2015 11,799 11,240
6/30/2015 11,620 11,074
7/31/2015 11,545 11,058
8/31/2015 11,060 10,565
9/30/2015 10,693 10,185
10/31/2015 11,230 10,790
11/30/2015 11,242 10,766
12/31/2015 11,257 10,778
1/31/2016 10,525 9,958
2/29/2016 10,459 10,011
3/31/2016 11,300 10,843
4/30/2016 11,563 11,185
5/31/2016 11,629 11,199
6/30/2016 11,172 10,704
7/31/2016 11,817 11,340
8/31/2016 11,810 11,245
9/30/2016 12,159 11,560
10/31/2016 11,839 11,217
11/30/2016 11,626 10,940
12/31/2016 11,910 11,243
1/31/2017 12,407 11,648
2/28/2017 12,607 11,872
3/31/2017 12,910 12,099
4/30/2017 13,331 12,527
5/31/2017 13,724 12,938
6/30/2017 13,862 12,980
7/31/2017 14,347 13,437 Past performance is not predictive of
8/31/2017 14,424 13,550 future performance.
9/30/2017 14,829 13,922 The returns shown do not reflect the
10/31/2017 14,982 14,118 deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
-------------------------------------------------------------- MSCI data copyright MSCI 2017, all
26.54% 12.24% 4.13% rights reserved.
--------------------------------------------------------------------------------
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
GLOBAL SMALL COMPANY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD SMALL CAP INDEX (NET DIVIDENDS)
JANUARY 18, 2017-OCTOBER 31, 2017
[CHART]
Global Small MSCI All Country World
Company Portfolio Small Cap Index (net dividends)
------------------ -------------------------------
1/18/17 $10,000 $10,000
1/31/17 10,100 10,072
2/28/17 10,280 10,318
3/31/17 10,400 10,415
4/30/17 10,570 10,614
5/31/17 10,550 10,682
6/30/17 10,740 10,839
7/31/17 10,970 11,100
8/31/17 10,890 11,119
9/30/17 11,380 11,508
10/31/17 11,530 11,701
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL SINCE would pay on fund distributions or the
TOTAL RETURN INCEPTION redemption of fund shares.
------------------------------------------------------ MSCI data copyright MSCI 2017, all
15.30% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Japanese Small Company MSCI Japan Small Cap
Portfolio Index (net dividends)
------------------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,767 9,580
12/31/2007 9,150 9,006
1/31/2008 8,897 8,564
2/29/2008 8,821 8,658
3/31/2008 8,994 8,661
4/30/2008 9,058 8,768
5/31/2008 9,388 9,039
6/30/2008 8,942 8,484
7/31/2008 8,693 8,206
8/31/2008 8,212 7,843
9/30/2008 7,673 7,077
10/31/2008 7,114 6,330
11/30/2008 7,298 6,589
12/31/2008 8,041 7,102
1/31/2009 7,489 6,730
2/28/2009 6,511 5,845
3/31/2009 6,812 6,051
4/30/2009 7,083 6,361
5/31/2009 7,954 7,139
6/30/2009 8,480 7,593
7/31/2009 8,656 7,784
8/31/2009 9,110 8,220
9/30/2009 9,012 8,187
10/31/2009 8,685 7,888
11/30/2009 8,333 7,606
12/31/2009 8,298 7,464
1/31/2010 8,408 7,625
2/28/2010 8,567 7,770
3/31/2010 9,003 8,123
4/30/2010 9,265 8,343
5/31/2010 8,489 7,764
6/30/2010 8,620 7,799
7/31/2010 8,768 7,893
8/31/2010 8,528 7,726
9/30/2010 8,904 8,042
10/31/2010 8,713 7,976
11/30/2010 8,929 8,131
12/31/2010 9,751 8,952
1/31/2011 9,968 9,058
2/28/2011 10,427 9,423
3/31/2011 9,776 8,841
4/30/2011 9,726 8,849
5/31/2011 9,565 8,718
6/30/2011 10,040 9,042
7/31/2011 10,404 9,418
8/31/2011 10,122 9,033
9/30/2011 10,067 9,041
10/31/2011 9,547 8,708
11/30/2011 9,703 8,472
12/31/2011 9,652 8,604
1/31/2012 10,259 8,957
2/29/2012 10,271 9,054
3/31/2012 10,562 9,296
4/30/2012 10,341 9,161
5/31/2012 9,475 8,401
6/30/2012 9,977 8,759
7/31/2012 9,639 8,622
8/31/2012 9,639 8,573
9/30/2012 9,777 8,810
10/31/2012 9,566 8,619
11/30/2012 9,700 8,679
12/31/2012 10,054 8,949
1/31/2013 10,369 9,284
2/28/2013 10,620 9,599
3/31/2013 11,431 10,374
4/30/2013 12,036 11,056
5/31/2013 11,052 10,180
6/30/2013 11,148 10,152
7/31/2013 11,412 10,318
8/31/2013 11,155 10,178
9/30/2013 12,410 11,337
10/31/2013 12,442 11,291
11/30/2013 12,345 11,216
12/31/2013 12,433 11,306
1/31/2014 12,300 11,273
2/28/2014 12,247 11,023
3/31/2014 12,307 11,051
4/30/2014 12,121 10,846
5/31/2014 12,433 11,202
6/30/2014 13,308 11,995
7/31/2014 13,222 12,059
8/31/2014 13,348 11,973
9/30/2014 12,930 11,573
10/31/2014 12,691 11,263
11/30/2014 12,214 11,136
12/31/2014 12,317 11,253
1/31/2015 12,613 11,630
2/28/2015 13,132 12,049
3/31/2015 13,294 12,282
4/30/2015 13,617 12,512
5/31/2015 13,752 12,660
6/30/2015 14,035 12,844
7/31/2015 13,947 12,795
8/31/2015 13,516 12,357
9/30/2015 13,105 11,913
10/31/2015 13,786 12,708
11/30/2015 14,089 12,870
12/31/2015 14,040 12,977
1/31/2016 13,329 12,151
2/29/2016 12,858 12,025
3/31/2016 13,698 12,775
4/30/2016 13,869 13,331
5/31/2016 14,218 13,335
6/30/2016 14,149 13,255
7/31/2016 14,908 13,966
8/31/2016 14,559 13,472
9/30/2016 15,434 14,198
10/31/2016 15,721 14,387
11/30/2016 15,215 13,711
12/31/2016 15,326 13,959
1/31/2017 15,995 14,486
2/28/2017 16,538 14,931
3/31/2017 16,615 14,904
4/30/2017 16,803 15,159
5/31/2017 17,430 15,716
6/30/2017 17,820 15,864
7/31/2017 18,377 16,287
8/31/2017 18,774 16,590
9/30/2017 19,192 16,853
10/31/2017 19,896 17,430 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2017, all
26.56% 15.77% 7.12% rights reserved.
--------------------------------------------------------------------------------
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
ASIA PACIFIC SMALL COMPANY PORTFOLIO VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Asia Pacific Small MSCI Pacific ex Japan Small Cap
Company Portfolio Index (net dividends)
------------------------------- --------------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,337 9,197
12/31/2007 9,174 9,070
1/31/2008 8,250 7,855
2/29/2008 8,500 8,321
3/31/2008 8,087 7,796
4/30/2008 8,649 8,318
5/31/2008 9,026 8,408
6/30/2008 8,134 7,467
7/31/2008 7,653 7,124
8/31/2008 7,115 6,545
9/30/2008 5,893 5,267
10/31/2008 3,931 3,407
11/30/2008 3,554 3,035
12/31/2008 3,941 3,388
1/31/2009 3,454 3,015
2/28/2009 3,263 2,827
3/31/2009 3,769 3,233
4/30/2009 4,331 3,811
5/31/2009 5,450 4,725
6/30/2009 5,489 4,858
7/31/2009 6,280 5,560
8/31/2009 6,567 5,846
9/30/2009 7,076 6,335
10/31/2009 7,231 6,487
11/30/2009 7,568 6,674
12/31/2009 7,766 6,940
1/31/2010 7,343 6,496
2/28/2010 7,471 6,578
3/31/2010 8,085 7,120
4/30/2010 8,192 7,319
5/31/2010 7,057 6,214
6/30/2010 6,968 6,179
7/31/2010 7,739 6,807
8/31/2010 7,728 6,792
9/30/2010 8,901 7,812
10/31/2010 9,281 8,159
11/30/2010 9,154 8,050
12/31/2010 10,050 8,862
1/31/2011 9,832 8,604
2/28/2011 9,892 8,651
3/31/2011 10,100 8,917
4/30/2011 10,524 9,278
5/31/2011 10,212 9,065
6/30/2011 9,865 8,743
7/31/2011 10,025 8,872
8/31/2011 9,323 8,255
9/30/2011 7,583 6,754
10/31/2011 8,762 7,860
11/30/2011 8,526 7,324
12/31/2011 8,027 7,090
1/31/2012 8,855 7,826
2/29/2012 9,524 8,434
3/31/2012 9,381 8,170
4/30/2012 9,342 8,214
5/31/2012 8,175 7,148
6/30/2012 8,344 7,248
7/31/2012 8,465 7,486
8/31/2012 8,746 7,606
9/30/2012 9,177 8,011
10/31/2012 9,383 8,176
11/30/2012 9,512 8,257
12/31/2012 9,955 8,464
1/31/2013 10,452 8,912
2/28/2013 10,494 9,018
3/31/2013 10,540 9,041
4/30/2013 10,360 8,969
5/31/2013 9,588 8,309
6/30/2013 8,911 7,598
7/31/2013 9,346 7,902
8/31/2013 9,417 7,971
9/30/2013 10,076 8,584
10/31/2013 10,364 8,734
11/30/2013 9,997 8,365
12/31/2013 10,119 8,405
1/31/2014 9,640 8,016
2/28/2014 10,193 8,447
3/31/2014 10,342 8,603
4/30/2014 10,363 8,659
5/31/2014 10,372 8,730
6/30/2014 10,446 8,777
7/31/2014 10,664 8,968
8/31/2014 10,829 9,037
9/30/2014 9,828 8,207
10/31/2014 9,967 8,304
11/30/2014 9,571 8,041
12/31/2014 9,289 7,839
1/31/2015 9,069 7,685
2/28/2015 9,510 8,058
3/31/2015 9,372 7,912
4/30/2015 10,125 8,366
5/31/2015 10,235 8,325
6/30/2015 9,510 7,726
7/31/2015 9,046 7,377
8/31/2015 8,270 6,690
9/30/2015 8,150 6,551
10/31/2015 8,752 7,086
11/30/2015 8,720 7,027
12/31/2015 8,959 7,146
1/31/2016 8,309 6,525
2/29/2016 8,428 6,685
3/31/2016 9,432 7,457
4/30/2016 9,556 7,590
5/31/2016 9,451 7,464
6/30/2016 9,604 7,515
7/31/2016 10,264 8,070
8/31/2016 10,187 8,010
9/30/2016 10,489 8,178
10/31/2016 10,168 7,834
11/30/2016 9,968 7,708
12/31/2016 9,855 7,681
1/31/2017 10,301 7,929
2/28/2017 10,589 8,155
3/31/2017 10,768 8,275
4/30/2017 10,658 8,242
5/31/2017 10,643 8,293
6/30/2017 11,040 8,549
7/31/2017 11,388 8,759
8/31/2017 11,507 8,859
9/30/2017 11,507 8,913
10/31/2017 11,765 9,146 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------------------- MSCI data copyright MSCI 2017, all
15.70% 4.63% 1.64% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
MSCI UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
United Kingdom Small Company MSCI UK Small Cap
Portfolio Index (net dividends)
------------------------------ -----------------------
10/31/2007 $10,000 $10,000
11/30/2007 8,839 8,843
12/31/2007 8,371 8,399
1/31/2008 7,805 7,723
2/29/2008 7,915 7,985
3/31/2008 7,883 7,884
4/30/2008 8,014 8,031
5/31/2008 8,035 8,069
6/30/2008 7,393 7,517
7/31/2008 7,130 7,217
8/31/2008 7,010 7,029
9/30/2008 5,926 5,736
10/31/2008 4,334 4,145
11/30/2008 4,024 3,760
12/31/2008 3,932 3,665
1/31/2009 3,837 3,645
2/28/2009 3,678 3,524
3/31/2009 3,835 3,728
4/30/2009 4,638 4,585
5/31/2009 5,111 5,069
6/30/2009 5,133 5,105
7/31/2009 5,577 5,574
8/31/2009 6,009 6,112
9/30/2009 6,184 6,253
10/31/2009 6,190 6,262
11/30/2009 6,168 6,197
12/31/2009 6,295 6,350
1/31/2010 6,232 6,320
2/28/2010 6,018 6,037
3/31/2010 6,519 6,569
4/30/2010 6,756 6,832
5/31/2010 5,989 6,010
6/30/2010 6,102 6,036
7/31/2010 6,924 6,762
8/31/2010 6,666 6,579
9/30/2010 7,376 7,304
10/31/2010 7,760 7,615
11/30/2010 7,376 7,298
12/31/2010 8,125 8,061
1/31/2011 8,242 8,139
2/28/2011 8,487 8,354
3/31/2011 8,325 8,210
4/30/2011 9,061 8,962
5/31/2011 9,002 8,849
6/30/2011 8,715 8,551
7/31/2011 8,653 8,527
8/31/2011 7,787 7,657
9/30/2011 6,999 6,850
10/31/2011 7,738 7,598
11/30/2011 7,500 7,303
12/31/2011 7,264 7,060
1/31/2012 7,903 7,776
2/29/2012 8,549 8,498
3/31/2012 8,729 8,526
4/30/2012 8,877 8,671
5/31/2012 7,874 7,597
6/30/2012 8,257 7,959
7/31/2012 8,394 8,103
8/31/2012 8,850 8,532
9/30/2012 9,303 8,988
10/31/2012 9,504 9,174
11/30/2012 9,562 9,177
12/31/2012 10,085 9,599
1/31/2013 10,261 9,852
2/28/2013 10,351 9,907
3/31/2013 10,657 10,174
4/30/2013 10,924 10,428
5/31/2013 11,020 10,569
6/30/2013 10,778 10,188
7/31/2013 11,685 11,037
8/31/2013 11,765 11,188
9/30/2013 12,556 12,028
10/31/2013 13,003 12,451
11/30/2013 13,295 12,744
12/31/2013 14,024 13,360
1/31/2014 13,689 13,076
2/28/2014 14,912 14,344
3/31/2014 14,450 13,827
4/30/2014 14,208 13,496
5/31/2014 14,190 13,522
6/30/2014 14,174 13,490
7/31/2014 13,728 13,109
8/31/2014 13,931 13,247
9/30/2014 13,135 12,469
10/31/2014 13,099 12,390
11/30/2014 12,996 12,394
12/31/2014 13,202 12,598
1/31/2015 12,899 12,255
2/28/2015 14,107 13,465
3/31/2015 13,370 12,845
4/30/2015 14,211 13,669
5/31/2015 14,921 14,296
6/30/2015 14,876 14,314
7/31/2015 14,904 14,416
8/31/2015 14,271 13,849
9/30/2015 13,837 13,338
10/31/2015 14,334 13,929
11/30/2015 14,310 13,816
12/31/2015 14,150 13,669
1/31/2016 13,026 12,342
2/29/2016 12,789 12,213
3/31/2016 13,552 13,074
4/30/2016 13,618 13,249
5/31/2016 13,831 13,631
6/30/2016 12,084 11,693
7/31/2016 12,736 12,366
8/31/2016 13,005 12,573
9/30/2016 13,018 12,680
10/31/2016 12,011 11,716
11/30/2016 12,294 11,978
12/31/2016 12,529 12,240
1/31/2017 12,926 12,519
2/28/2017 13,118 12,812
3/31/2017 13,452 13,017
4/30/2017 14,467 14,061
5/31/2017 14,621 14,345
6/30/2017 14,326 14,021
7/31/2017 14,883 14,633
8/31/2017 14,609 14,469
9/30/2017 15,367 15,202 Past performance is not predictive of
10/31/2017 15,528 15,480 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2017, all
29.28% 10.32% 4.50% rights reserved.
--------------------------------------------------------------------------------
13
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Continental Small Company MSCI Europe ex UK
Portfolio Small Cap Index (net dividends)
------------------------- --------------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,258 9,285
12/31/2007 9,073 9,096
1/31/2008 8,208 8,001
2/29/2008 8,558 8,485
3/31/2008 8,828 8,658
4/30/2008 8,929 8,806
5/31/2008 9,098 8,943
6/30/2008 8,328 8,116
7/31/2008 7,886 7,655
8/31/2008 7,667 7,446
9/30/2008 6,330 5,905
10/31/2008 4,640 4,243
11/30/2008 4,276 3,891
12/31/2008 4,722 4,251
1/31/2009 4,185 3,869
2/28/2009 3,822 3,529
3/31/2009 4,096 3,802
4/30/2009 4,763 4,593
5/31/2009 5,456 5,278
6/30/2009 5,386 5,211
7/31/2009 5,813 5,679
8/31/2009 6,297 6,261
9/30/2009 6,835 6,861
10/31/2009 6,640 6,674
11/30/2009 6,839 6,811
12/31/2009 6,815 6,842
1/31/2010 6,700 6,751
2/28/2010 6,558 6,559
3/31/2010 7,042 7,091
4/30/2010 6,975 7,046
5/31/2010 5,981 5,956
6/30/2010 5,939 5,867
7/31/2010 6,651 6,570
8/31/2010 6,344 6,258
9/30/2010 7,221 7,223
10/31/2010 7,626 7,687
11/30/2010 7,032 7,104
12/31/2010 7,945 8,099
1/31/2011 8,167 8,282
2/28/2011 8,303 8,422
3/31/2011 8,584 8,707
4/30/2011 9,159 9,315
5/31/2011 8,846 8,960
6/30/2011 8,559 8,670
7/31/2011 8,072 8,144
8/31/2011 7,244 7,293
9/30/2011 6,147 6,198
10/31/2011 6,780 6,877
11/30/2011 6,327 6,339
12/31/2011 6,080 6,124
1/31/2012 6,655 6,731
2/29/2012 7,077 7,248
3/31/2012 7,091 7,189
4/30/2012 6,924 7,069
5/31/2012 5,977 6,100
6/30/2012 6,234 6,400
7/31/2012 6,172 6,378
8/31/2012 6,447 6,656
9/30/2012 6,787 7,014
10/31/2012 6,905 7,135
11/30/2012 6,991 7,244
12/31/2012 7,413 7,635
1/31/2013 7,973 8,256
2/28/2013 7,891 8,231
3/31/2013 7,714 8,020
4/30/2013 8,025 8,331
5/31/2013 8,174 8,520
6/30/2013 7,901 8,141
7/31/2013 8,586 8,881
8/31/2013 8,596 8,865
9/30/2013 9,343 9,623
10/31/2013 9,874 10,202
11/30/2013 10,050 10,384
12/31/2013 10,329 10,653
1/31/2014 10,265 10,565
2/28/2014 11,164 11,488
3/31/2014 11,218 11,498
4/30/2014 11,320 11,546
5/31/2014 11,364 11,676
6/30/2014 11,263 11,562
7/31/2014 10,599 10,880
8/31/2014 10,470 10,793
9/30/2014 9,907 10,198
10/31/2014 9,609 9,865
11/30/2014 9,838 10,154
12/31/2014 9,525 9,911
1/31/2015 9,585 9,934
2/28/2015 10,242 10,667
3/31/2015 10,193 10,560
4/30/2015 10,735 11,124
5/31/2015 10,745 11,051
6/30/2015 10,514 10,789
7/31/2015 10,807 11,190
8/31/2015 10,398 10,757
9/30/2015 10,028 10,393
10/31/2015 10,509 10,988
11/30/2015 10,489 10,959
12/31/2015 10,616 11,121
1/31/2016 9,895 10,242
2/29/2016 9,875 10,278
3/31/2016 10,714 11,199
4/30/2016 10,932 11,339
5/31/2016 10,953 11,388
6/30/2016 10,352 10,648
7/31/2016 11,029 11,339
8/31/2016 11,169 11,436
9/30/2016 11,444 11,710
10/31/2016 11,108 11,275
11/30/2016 10,689 10,816
12/31/2016 11,239 11,388
1/31/2017 11,732 11,833
2/28/2017 11,851 11,968
3/31/2017 12,360 12,465
4/30/2017 13,117 13,232
5/31/2017 13,839 13,945
6/30/2017 13,839 13,876
7/31/2017 14,364 14,505
8/31/2017 14,395 14,629
9/30/2017 14,876 15,129 Past performance is not predictive of
10/31/2017 14,849 15,134 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------------------- MSCI data copyright MSCI 2017, all
33.68% 16.55% 4.03% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL EX U.S. REIT INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA International
Real Estate Securities S&P Global ex U.S.
Portfolio REIT Index (net dividends)
-------------------------- ----------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,267 9,204
12/31/2007 8,809 8,841
1/31/2008 8,449 8,322
2/29/2008 8,408 8,425
3/31/2008 8,428 8,344
4/30/2008 8,480 8,492
5/31/2008 8,160 8,145
6/30/2008 7,296 7,323
7/31/2008 7,066 7,124
8/31/2008 6,825 6,916
9/30/2008 6,324 6,213
10/31/2008 4,369 4,427
11/30/2008 4,066 4,131
12/31/2008 4,235 4,257
1/31/2009 3,793 3,851
2/28/2009 3,287 3,350
3/31/2009 3,513 3,548
4/30/2009 3,869 3,954
5/31/2009 4,386 4,394
6/30/2009 4,483 4,498
7/31/2009 4,882 4,900
8/31/2009 5,421 5,497
9/30/2009 5,765 5,870
10/31/2009 5,647 5,778
11/30/2009 5,712 5,782
12/31/2009 5,803 5,881
1/31/2010 5,586 5,690
2/28/2010 5,610 5,668
3/31/2010 5,803 5,865
4/30/2010 5,851 5,934
5/31/2010 5,237 5,282
6/30/2010 5,249 5,303
7/31/2010 5,863 5,880
8/31/2010 5,875 5,897
9/30/2010 6,441 6,463
10/31/2010 6,718 6,727
11/30/2010 6,296 6,314
12/31/2010 6,853 6,875
1/31/2011 6,880 6,874
2/28/2011 7,166 7,151
3/31/2011 7,180 7,169
4/30/2011 7,631 7,614
5/31/2011 7,590 7,572
6/30/2011 7,535 7,498
7/31/2011 7,412 7,391
8/31/2011 7,112 7,085
9/30/2011 6,197 6,212
10/31/2011 6,689 6,722
11/30/2011 6,552 6,445
12/31/2011 6,321 6,283
1/31/2012 6,754 6,690
2/29/2012 6,985 6,959
3/31/2012 7,072 6,985
4/30/2012 7,216 7,153
5/31/2012 6,798 6,687
6/30/2012 7,245 7,144
7/31/2012 7,577 7,532
8/31/2012 7,692 7,603
9/30/2012 7,866 7,805
10/31/2012 8,183 8,093
11/30/2012 8,241 8,149
12/31/2012 8,433 8,289
1/31/2013 8,564 8,502
2/28/2013 8,629 8,578
3/31/2013 8,972 8,904
4/30/2013 9,445 9,371
5/31/2013 8,580 8,525
6/30/2013 8,270 8,165
7/31/2013 8,303 8,182
8/31/2013 7,993 7,895
9/30/2013 8,678 8,571
10/31/2013 8,939 8,825
11/30/2013 8,662 8,551
12/31/2013 8,625 8,485
1/31/2014 8,470 8,332
2/28/2014 8,969 8,794
3/31/2014 8,951 8,762
4/30/2014 9,329 9,112
5/31/2014 9,604 9,385
6/30/2014 9,810 9,623
7/31/2014 9,793 9,639
8/31/2014 9,965 9,798
9/30/2014 9,312 9,140
10/31/2014 9,673 9,426
11/30/2014 9,707 9,518
12/31/2014 9,583 9,413
1/31/2015 9,948 9,726
2/28/2015 10,113 9,902
3/31/2015 9,839 9,617
4/30/2015 10,058 9,829
5/31/2015 9,784 9,555
6/30/2015 9,564 9,314
7/31/2015 9,637 9,416
8/31/2015 9,107 8,886
9/30/2015 9,180 8,914
10/31/2015 9,637 9,430
11/30/2015 9,345 9,133
12/31/2015 9,236 9,080
1/31/2016 9,087 8,833
2/29/2016 9,273 9,122
3/31/2016 10,036 9,861
4/30/2016 10,371 10,203
5/31/2016 10,092 9,903
6/30/2016 10,222 9,990
7/31/2016 10,688 10,469
8/31/2016 10,427 10,233
9/30/2016 10,427 10,217
10/31/2016 9,738 9,551
11/30/2016 9,273 9,099
12/31/2016 9,520 9,363
1/31/2017 9,642 9,451
2/28/2017 9,824 9,655
3/31/2017 9,925 9,702
4/30/2017 10,108 9,878
5/31/2017 10,270 10,075
6/30/2017 10,128 9,953
7/31/2017 10,472 10,264
8/31/2017 10,472 10,276 Past performance is not predictive of
9/30/2017 10,351 10,171 future performance.
10/31/2017 10,270 10,095 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Copyright 2017 S&P Dow Jones Indices
-------------------------------------------------------------- LLC, a division of S&P Global. All rights
5.46% 4.65% 0.27% reserved.
--------------------------------------------------------------------------------
14
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL REIT INDEX (NET DIVIDENDS)
JUNE 4, 2008-OCTOBER 31, 2017
[CHART]
DFA Global Real S&P Global
Estate Securities Portfolio REIT Index (net dividends)
--------------------------- --------------------------
6/04/2008 $10,000 $10,000
6/30/2008 9,000 8,970
7/31/2008 9,020 8,995
8/31/2008 9,000 8,979
9/30/2008 8,710 8,552
10/31/2008 6,040 5,939
11/30/2008 5,040 4,955
12/31/2008 5,632 5,465
1/31/2009 4,817 4,698
2/28/2009 3,982 3,887
3/31/2009 4,186 4,070
4/30/2009 5,051 4,921
5/31/2009 5,438 5,235
6/30/2009 5,408 5,208
7/31/2009 5,937 5,716
8/31/2009 6,670 6,460
9/30/2009 7,108 6,889
10/31/2009 6,874 6,673
11/30/2009 7,159 6,897
12/31/2009 7,471 7,199
1/31/2010 7,133 6,884
2/28/2010 7,362 7,066
3/31/2010 7,875 7,557
4/30/2010 8,202 7,887
5/31/2010 7,591 7,270
6/30/2010 7,373 7,054
7/31/2010 8,158 7,772
8/31/2010 8,115 7,722
9/30/2010 8,649 8,231
10/31/2010 9,031 8,595
11/30/2010 8,682 8,264
12/31/2010 9,249 8,789
1/31/2011 9,448 8,947
2/28/2011 9,856 9,334
3/31/2011 9,786 9,258
4/30/2011 10,370 9,804
5/31/2011 10,428 9,853
6/30/2011 10,195 9,617
7/31/2011 10,218 9,647
8/31/2011 9,728 9,153
9/30/2011 8,583 8,093
10/31/2011 9,588 9,052
11/30/2011 9,296 8,693
12/31/2011 9,417 8,843
1/31/2012 10,020 9,412
2/29/2012 10,092 9,489
3/31/2012 10,454 9,791
4/30/2012 10,719 10,055
5/31/2012 10,176 9,518
6/30/2012 10,791 10,090
7/31/2012 11,105 10,413
8/31/2012 11,153 10,448
9/30/2012 11,117 10,424
10/31/2012 11,249 10,520
11/30/2012 11,249 10,526
12/31/2012 11,599 10,822
1/31/2013 11,921 11,170
2/28/2013 12,037 11,290
3/31/2013 12,423 11,651
4/30/2013 13,182 12,361
5/31/2013 12,230 11,472
6/30/2013 11,921 11,139
7/31/2013 11,998 11,213
8/31/2013 11,316 10,573
9/30/2013 11,908 11,121
10/31/2013 12,346 11,548
11/30/2013 11,805 11,041
12/31/2013 11,804 11,010
1/31/2014 12,005 11,195
2/28/2014 12,659 11,773
3/31/2014 12,699 11,783
4/30/2014 13,180 12,205
5/31/2014 13,527 12,519
6/30/2014 13,714 12,718
7/31/2014 13,714 12,724
8/31/2014 14,048 13,028
9/30/2014 13,166 12,200
10/31/2014 14,195 13,084
11/30/2014 14,395 13,289
12/31/2014 14,489 13,381
1/31/2015 15,321 14,107
2/28/2015 15,057 13,878
3/31/2015 15,071 13,866
4/30/2015 14,628 13,456
5/31/2015 14,447 13,286
6/30/2015 13,934 12,771
7/31/2015 14,461 13,264
8/31/2015 13,615 12,462
9/30/2015 13,934 12,702
10/31/2015 14,683 13,423
11/30/2015 14,475 13,210
12/31/2015 14,589 13,323
1/31/2016 14,191 12,894
2/29/2016 14,262 13,015
3/31/2016 15,626 14,247
4/30/2016 15,555 14,194
5/31/2016 15,626 14,226
6/30/2016 16,421 14,885
7/31/2016 17,131 15,561
8/31/2016 16,606 15,049
9/30/2016 16,407 14,851
10/31/2016 15,398 13,944
11/30/2016 14,958 13,559
12/31/2016 15,546 14,092
1/31/2017 15,591 14,103
2/28/2017 16,040 14,544
3/31/2017 15,845 14,295
4/30/2017 15,950 14,384
5/31/2017 15,995 14,401
6/30/2017 16,129 14,535
7/31/2017 16,458 14,797
8/31/2017 16,503 14,760 Past performance is not predictive of
9/30/2017 16,369 14,700 future performance.
10/31/2017 16,294 14,545 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION Copyright 2017 S&P Dow Jones Indices
-------------------------------------------------------------- LLC, a division of S&P Global. All rights
5.82% 7.69% 5.33% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA International Small Cap Value MSCI World ex USA
Portfolio Small Cap Index (net dividends)
--------------------------------- -------------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,188 9,178
12/31/2007 8,900 8,909
1/31/2008 8,313 8,045
2/29/2008 8,496 8,427
3/31/2008 8,574 8,334
4/30/2008 8,720 8,537
5/31/2008 8,912 8,710
6/30/2008 8,133 8,037
7/31/2008 7,772 7,632
8/31/2008 7,522 7,350
9/30/2008 6,439 6,057
10/31/2008 5,038 4,562
11/30/2008 4,758 4,341
12/31/2008 5,191 4,630
1/31/2009 4,753 4,361
2/28/2009 4,231 3,963
3/31/2009 4,507 4,217
4/30/2009 5,238 4,867
5/31/2009 5,959 5,588
6/30/2009 5,939 5,655
7/31/2009 6,492 6,109
8/31/2009 7,055 6,580
9/30/2009 7,387 6,950
10/31/2009 7,124 6,843
11/30/2009 7,158 6,896
12/31/2009 7,242 6,983
1/31/2010 7,103 6,891
2/28/2010 7,035 6,852
3/31/2010 7,607 7,361
4/30/2010 7,702 7,507
5/31/2010 6,666 6,605
6/30/2010 6,532 6,543
7/31/2010 7,167 7,104
8/31/2010 6,833 6,919
9/30/2010 7,600 7,704
10/31/2010 7,837 8,022
11/30/2010 7,614 7,812
12/31/2010 8,553 8,695
1/31/2011 8,732 8,740
2/28/2011 8,985 8,989
3/31/2011 9,030 8,981
4/30/2011 9,418 9,426
5/31/2011 9,095 9,165
6/30/2011 8,896 8,967
7/31/2011 8,725 8,918
8/31/2011 7,895 8,213
9/30/2011 6,964 7,270
10/31/2011 7,494 7,860
11/30/2011 7,252 7,466
12/31/2011 7,059 7,320
1/31/2012 7,766 7,925
2/29/2012 8,228 8,374
3/31/2012 8,239 8,318
4/30/2012 8,010 8,275
5/31/2012 6,991 7,303
6/30/2012 7,336 7,555
7/31/2012 7,315 7,613
8/31/2012 7,584 7,832
9/30/2012 7,938 8,203
10/31/2012 8,012 8,243
11/30/2012 8,123 8,285
12/31/2012 8,630 8,600
1/31/2013 9,073 9,014
2/28/2013 9,127 9,046
3/31/2013 9,313 9,222
4/30/2013 9,577 9,490
5/31/2013 9,388 9,267
6/30/2013 9,103 8,901
7/31/2013 9,781 9,457
8/31/2013 9,661 9,440
9/30/2013 10,597 10,233
10/31/2013 11,040 10,535
11/30/2013 11,057 10,549
12/31/2013 11,425 10,797
1/31/2014 11,268 10,610
2/28/2014 12,042 11,212
3/31/2014 12,121 11,170
4/30/2014 12,071 11,135
5/31/2014 12,166 11,275
6/30/2014 12,357 11,531
7/31/2014 11,923 11,232
8/31/2014 12,002 11,260
9/30/2014 11,303 10,577
10/31/2014 11,055 10,310
11/30/2014 10,975 10,299
12/31/2014 10,855 10,220
1/31/2015 10,785 10,129
2/28/2015 11,590 10,778
3/31/2015 11,363 10,632
4/30/2015 11,935 11,173
5/31/2015 12,122 11,240
6/30/2015 11,953 11,074
7/31/2015 11,806 11,058
8/31/2015 11,302 10,565
9/30/2015 10,851 10,185
10/31/2015 11,421 10,790
11/30/2015 11,333 10,766
12/31/2015 11,288 10,778
1/31/2016 10,454 9,958
2/29/2016 10,364 10,011
3/31/2016 11,197 10,843
4/30/2016 11,579 11,185
5/31/2016 11,488 11,199
6/30/2016 10,843 10,704
7/31/2016 11,624 11,340
8/31/2016 11,667 11,245
9/30/2016 11,986 11,560
10/31/2016 11,888 11,217
11/30/2016 11,820 10,940
12/31/2016 12,192 11,243
1/31/2017 12,717 11,648
2/28/2017 12,884 11,872
3/31/2017 13,134 12,099
4/30/2017 13,467 12,527
5/31/2017 13,717 12,938
6/30/2017 13,966 12,980
7/31/2017 14,493 13,437
8/31/2017 14,564 13,550
9/30/2017 15,027 13,922 Past performance is not predictive of
10/31/2017 15,156 14,118 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
---------------------------------------------------------------- MSCI data copyright MSCI 2017, all
27.49% 13.60% 4.25% rights reserved.
--------------------------------------------------------------------------------
15
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL VECTOR EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 14, 2008-OCTOBER 31, 2017
[CHART]
International Vector MSCI World ex USA
Equity Portfolio Index (net dividends)
---------------------- ---------------------
8/14/2008 $10,000 $10,000
8/31/2008 10,050 10,052
9/30/2008 8,750 8,601
10/31/2008 6,740 6,812
11/30/2008 6,340 6,442
12/31/2008 6,798 6,782
1/31/2009 6,065 6,149
2/28/2009 5,392 5,527
3/31/2009 5,903 5,891
4/30/2009 6,919 6,650
5/31/2009 7,985 7,491
6/30/2009 7,932 7,414
7/31/2009 8,715 8,110
8/31/2009 9,274 8,499
9/30/2009 9,740 8,849
10/31/2009 9,404 8,707
11/30/2009 9,608 8,923
12/31/2009 9,715 9,065
1/31/2010 9,377 8,640
2/28/2010 9,357 8,631
3/31/2010 10,099 9,187
4/30/2010 10,120 9,050
5/31/2010 8,870 8,051
6/30/2010 8,736 7,935
7/31/2010 9,659 8,668
8/31/2010 9,254 8,409
9/30/2010 10,289 9,216
10/31/2010 10,684 9,544
11/30/2010 10,300 9,140
12/31/2010 11,397 9,876
1/31/2011 11,660 10,089
2/28/2011 12,050 10,463
3/31/2011 11,881 10,253
4/30/2011 12,482 10,812
5/31/2011 12,071 10,491
6/30/2011 11,823 10,342
7/31/2011 11,545 10,171
8/31/2011 10,519 9,311
9/30/2011 9,260 8,376
10/31/2011 10,045 9,191
11/30/2011 9,733 8,766
12/31/2011 9,464 8,670
1/31/2012 10,238 9,138
2/29/2012 10,780 9,641
3/31/2012 10,780 9,570
4/30/2012 10,514 9,407
5/31/2012 9,219 8,335
6/30/2012 9,745 8,881
7/31/2012 9,700 8,991
8/31/2012 10,038 9,248
9/30/2012 10,435 9,529
10/31/2012 10,537 9,595
11/30/2012 10,706 9,797
12/31/2012 11,253 10,093
1/31/2013 11,755 10,590
2/28/2013 11,652 10,484
3/31/2013 11,784 10,567
4/30/2013 12,218 11,049
5/31/2013 11,944 10,801
6/30/2013 11,564 10,397
7/31/2013 12,305 10,950
8/31/2013 12,213 10,809
9/30/2013 13,183 11,573
10/31/2013 13,648 11,961
11/30/2013 13,682 12,034
12/31/2013 13,989 12,215
1/31/2014 13,612 11,722
2/28/2014 14,448 12,362
3/31/2014 14,414 12,306
4/30/2014 14,555 12,501
5/31/2014 14,685 12,694
6/30/2014 14,923 12,874
7/31/2014 14,493 12,645
8/31/2014 14,553 12,655
9/30/2014 13,757 12,135
10/31/2014 13,505 11,942
11/30/2014 13,445 12,089
12/31/2014 13,112 11,687
1/31/2015 13,015 11,646
2/28/2015 13,893 12,342
3/31/2015 13,649 12,135
4/30/2015 14,356 12,661
5/31/2015 14,393 12,551
6/30/2015 14,064 12,194
7/31/2015 13,990 12,387
8/31/2015 13,186 11,485
9/30/2015 12,594 10,905
10/31/2015 13,351 11,726
11/30/2015 13,289 11,539
12/31/2015 13,112 11,332
1/31/2016 12,248 10,552
2/29/2016 12,047 10,405
3/31/2016 13,002 11,111
4/30/2016 13,429 11,468
5/31/2016 13,379 11,339
6/30/2016 12,867 10,994
7/31/2016 13,568 11,535
8/31/2016 13,670 11,546
9/30/2016 13,972 11,686
10/31/2016 13,780 11,459
11/30/2016 13,627 11,275
12/31/2016 14,009 11,644
1/31/2017 14,603 11,990
2/28/2017 14,732 12,129
3/31/2017 15,083 12,436
4/30/2017 15,483 12,701
5/31/2017 15,870 13,124
6/30/2017 16,041 13,137
7/31/2017 16,655 13,528
8/31/2017 16,734 13,524
9/30/2017 17,228 13,875 Past performance is not predictive of
10/31/2017 17,477 14,065 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2017, all
26.83% 10.65% 6.25% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
MAY 16, 2017-OCTOBER 31, 2017
[CHART]
International High Relative MSCI World ex USA Index
Profitability Portfolio (net dividends)
---------------------------- -------------------------
5/16/2017 $10,000 $10,000
5/31/2017 10,050 10,017
6/30/2017 10,038 10,026
7/31/2017 10,219 10,324
8/31/2017 10,329 10,322 Past performance is not predictive of
9/30/2017 10,577 10,590 future performance.
10/31/2017 10,738 10,734 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL SINCE would pay on fund distributions or the
TOTAL RETURN INCEPTION redemption of fund shares.
-------------------------------------------------------- MSCI data copyright MSCI 2017, all
7.38% rights reserved.
--------------------------------------------------------------------------------
16
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 23, 2010-OCTOBER 31, 2017
[CHART]
World Ex U.S. MSCI All Country World
Value Portfolio ex USA Index (net dividends)
----------------- ----------------------------
8/23/2010 $10,000 $10,000
8/31/2010 9,890 9,920
9/30/2010 10,980 10,906
10/31/2010 11,350 11,278
11/30/2010 10,850 10,843
12/31/2010 11,859 11,692
1/31/2011 12,122 11,807
2/28/2011 12,385 12,118
3/31/2011 12,311 12,090
4/30/2011 12,899 12,681
5/31/2011 12,433 12,315
6/30/2011 12,238 12,136
7/31/2011 11,920 11,971
8/31/2011 10,670 10,945
9/30/2011 9,314 9,727
10/31/2011 10,261 10,752
11/30/2011 9,880 10,203
12/31/2011 9,590 10,089
1/31/2012 10,422 10,774
2/29/2012 10,984 11,379
3/31/2012 10,811 11,222
4/30/2012 10,436 11,045
5/31/2012 9,177 9,791
6/30/2012 9,755 10,369
7/31/2012 9,703 10,515
8/31/2012 10,041 10,735
9/30/2012 10,475 11,136
10/31/2012 10,538 11,179
11/30/2012 10,687 11,392
12/31/2012 11,281 11,787
1/31/2013 11,720 12,266
2/28/2013 11,442 12,137
3/31/2013 11,460 12,161
4/30/2013 11,899 12,608
5/31/2013 11,696 12,316
6/30/2013 11,154 11,782
7/31/2013 11,796 12,298
8/31/2013 11,666 12,128
9/30/2013 12,556 12,971
10/31/2013 13,026 13,447
11/30/2013 12,993 13,470
12/31/2013 13,201 13,589
1/31/2014 12,652 12,972
2/28/2014 13,289 13,623
3/31/2014 13,361 13,658
4/30/2014 13,527 13,839
5/31/2014 13,760 14,108
6/30/2014 13,969 14,345
7/31/2014 13,778 14,203
8/31/2014 13,857 14,281
9/30/2014 13,101 13,590
10/31/2014 12,921 13,455
11/30/2014 12,864 13,552
12/31/2014 12,384 13,064
1/31/2015 12,293 13,044
2/28/2015 13,080 13,742
3/31/2015 12,783 13,520
4/30/2015 13,604 14,203
5/31/2015 13,490 13,981
6/30/2015 13,108 13,591
7/31/2015 12,774 13,553
8/31/2015 11,805 12,517
9/30/2015 11,128 11,937
10/31/2015 11,916 12,825
11/30/2015 11,696 12,561
12/31/2015 11,357 12,324
1/31/2016 10,526 11,486
2/29/2016 10,304 11,354
3/31/2016 11,258 12,278
4/30/2016 11,728 12,601
5/31/2016 11,399 12,388
6/30/2016 11,179 12,199
7/31/2016 11,763 12,802
8/31/2016 12,026 12,883
9/30/2016 12,182 13,042
10/31/2016 12,338 12,854
11/30/2016 12,266 12,557
12/31/2016 12,572 12,878
1/31/2017 13,175 13,334
2/28/2017 13,283 13,547
3/31/2017 13,588 13,890
4/30/2017 13,781 14,188
5/31/2017 14,023 14,648
6/30/2017 14,148 14,694
7/31/2017 14,821 15,235
8/31/2017 14,919 15,315
9/30/2017 15,212 15,599 Past performance is not predictive of
10/31/2017 15,542 15,893 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2017, all
25.97% 8.08% 6.33% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD EX U.S. TARGETED VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
NOVEMBER 1, 2012-OCTOBER 31, 2017
[CHART]
World Ex U.S. Targeted MSCI All Country World ex USA
Value Portfolio Small Cap Index (net dividends)
------------------------ -------------------------------
11/01/2012 $10,000 $10,000
11/30/2012 10,120 10,013
12/31/2012 10,735 10,417
1/31/2013 11,157 10,868
2/28/2013 11,147 10,925
3/31/2013 11,278 11,098
4/30/2013 11,549 11,398
5/31/2013 11,298 11,175
6/30/2013 10,766 10,607
7/31/2013 11,376 11,134
8/31/2013 11,193 11,038
9/30/2013 12,191 11,920
10/31/2013 12,690 12,289
11/30/2013 12,629 12,257
12/31/2013 12,872 12,472
1/31/2014 12,497 12,231
2/28/2014 13,185 12,888
3/31/2014 13,404 12,904
4/30/2014 13,404 12,883
5/31/2014 13,633 13,090
6/30/2014 13,888 13,374
7/31/2014 13,616 13,121
8/31/2014 13,773 13,215
9/30/2014 12,908 12,464
10/31/2014 12,698 12,170
11/30/2014 12,571 12,119
12/31/2014 12,294 11,969
1/31/2015 12,219 11,925
2/28/2015 12,977 12,575
3/31/2015 12,710 12,439
4/30/2015 13,511 13,182
5/31/2015 13,489 13,256
6/30/2015 13,224 12,964
7/31/2015 12,816 12,717
8/31/2015 12,088 12,007
9/30/2015 11,599 11,665
10/31/2015 12,332 12,356
11/30/2015 12,170 12,268
12/31/2015 12,035 12,280
1/31/2016 11,171 11,339
2/29/2016 11,149 11,377
3/31/2016 12,256 12,364
4/30/2016 12,733 12,710
5/31/2016 12,408 12,626
6/30/2016 12,109 12,256
7/31/2016 12,909 12,938
8/31/2016 13,019 12,907
9/30/2016 13,305 13,225
10/31/2016 13,218 12,877
11/30/2016 13,042 12,495
12/31/2016 13,277 12,760
1/31/2017 14,026 13,249
2/28/2017 14,357 13,598
3/31/2017 14,724 13,880
4/30/2017 15,055 14,296
5/31/2017 15,331 14,684
6/30/2017 15,481 14,746
7/31/2017 16,127 15,267
8/31/2017 16,295 15,432
9/30/2017 16,609 15,764 Past performance is not predictive of
10/31/2017 16,867 16,058 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
--------------------------------------------------------- MSCI data copyright MSCI 2017, all
27.61% 11.03% rights reserved.
--------------------------------------------------------------------------------
17
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
WORLD EX U.S. CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
APRIL 9, 2013-OCTOBER 31, 2017
[CHART]
World Ex U.S. Core MSCI All Country World
Equity Portfolio ex USA Index (net dividends)
------------------ ----------------------------
4/09/2013 $10,000 $10,000
4/30/2013 10,160 10,415
5/31/2013 9,890 10,174
6/30/2013 9,485 9,733
7/31/2013 9,971 10,159
8/31/2013 9,830 10,019
9/30/2013 10,575 10,715
10/31/2013 10,962 11,108
11/30/2013 10,952 11,127
12/31/2013 11,104 11,225
1/31/2014 10,653 10,715
2/28/2014 11,227 11,254
3/31/2014 11,309 11,282
4/30/2014 11,422 11,431
5/31/2014 11,597 11,654
6/30/2014 11,810 11,850
7/31/2014 11,592 11,732
8/31/2014 11,706 11,797
9/30/2014 11,072 11,226
10/31/2014 10,957 11,115
11/30/2014 10,916 11,195
12/31/2014 10,565 10,791
1/31/2015 10,565 10,775
2/28/2015 11,162 11,351
3/31/2015 10,968 11,168
4/30/2015 11,608 11,732
5/31/2015 11,534 11,549
6/30/2015 11,209 11,227
7/31/2015 10,976 11,196
8/31/2015 10,234 10,340
9/30/2015 9,847 9,860
10/31/2015 10,465 10,595
11/30/2015 10,348 10,376
12/31/2015 10,164 10,180
1/31/2016 9,533 9,488
2/29/2016 9,372 9,379
3/31/2016 10,212 10,142
4/30/2016 10,459 10,409
5/31/2016 10,319 10,233
6/30/2016 10,173 10,077
7/31/2016 10,705 10,575
8/31/2016 10,792 10,642
9/30/2016 10,993 10,773
10/31/2016 10,840 10,618
11/30/2016 10,610 10,373
12/31/2016 10,812 10,638
1/31/2017 11,295 11,015
2/28/2017 11,493 11,190
3/31/2017 11,793 11,474
4/30/2017 12,068 11,720
5/31/2017 12,376 12,100
6/30/2017 12,475 12,138
7/31/2017 12,965 12,585
8/31/2017 13,087 12,651
9/30/2017 13,340 12,886 Past performance is not predictive of
10/31/2017 13,586 13,128 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
--------------------------------------------------------- MSCI data copyright MSCI 2017, all
25.33% 6.95% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
MARCH 7, 2012-OCTOBER 31, 2017
[CHART]
MSCI All Country World
World Core Equity Portfolio Index (net dividends)
---------------------------- -------------------------
3/07/2012 $10,000 $10,000
3/31/2012 10,170 10,307
4/30/2012 10,050 10,189
5/31/2012 9,400 9,276
6/30/2012 9,822 9,734
7/31/2012 9,913 9,867
8/31/2012 10,175 10,082
9/30/2012 10,465 10,399
10/31/2012 10,354 10,330
11/30/2012 10,425 10,462
12/31/2012 10,644 10,699
1/31/2013 11,175 11,192
2/28/2013 11,266 11,190
3/31/2013 11,598 11,395
4/30/2013 11,843 11,720
5/31/2013 11,986 11,688
6/30/2013 11,754 11,346
7/31/2013 12,382 11,890
8/31/2013 12,053 11,642
9/30/2013 12,609 12,243
10/31/2013 13,125 12,735
11/30/2013 13,477 12,916
12/31/2013 13,786 13,138
1/31/2014 13,260 12,613
2/28/2014 13,902 13,222
3/31/2014 14,000 13,281
4/30/2014 14,074 13,407
5/31/2014 14,359 13,693
6/30/2014 14,684 13,950
7/31/2014 14,355 13,781
8/31/2014 14,726 14,086
9/30/2014 14,116 13,629
10/31/2014 14,222 13,725
11/30/2014 14,340 13,954
12/31/2014 14,128 13,685
1/31/2015 13,902 13,471
2/28/2015 14,731 14,221
3/31/2015 14,555 14,001
4/30/2015 14,944 14,407
5/31/2015 14,987 14,388
6/30/2015 14,696 14,049
7/31/2015 14,642 14,171
8/31/2015 13,729 13,200
9/30/2015 13,239 12,722
10/31/2015 14,135 13,720
11/30/2015 14,113 13,607
12/31/2015 13,780 13,362
1/31/2016 12,967 12,556
2/29/2016 12,901 12,469
3/31/2016 13,930 13,393
4/30/2016 14,140 13,591
5/31/2016 14,173 13,608
6/30/2016 14,055 13,526
7/31/2016 14,700 14,109
8/31/2016 14,789 14,156
9/30/2016 14,929 14,243
10/31/2016 14,662 14,001
11/30/2016 14,963 14,108
12/31/2016 15,257 14,412
1/31/2017 15,719 14,806
2/28/2017 16,114 15,222
3/31/2017 16,308 15,408
4/30/2017 16,579 15,648
5/31/2017 16,828 15,994
6/30/2017 17,001 16,066
7/31/2017 17,467 16,515
8/31/2017 17,524 16,579
9/30/2017 17,890 16,899 Past performance is not predictive of
10/31/2017 18,347 17,250 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2017, all
25.14% 12.12% 11.33% rights reserved.
--------------------------------------------------------------------------------
18
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
NOVEMBER 14, 2011-OCTOBER 31, 2017
[CHART]
Selectively Hedged Global MSCI All Country World
Equity Portfolio Index (net dividends)
------------------------- -----------------------
11/14/2011 $10,000 $10,000
11/30/2011 9,920 9,873
12/31/2011 9,828 9,853
1/31/2012 10,533 10,426
2/29/2012 11,077 10,951
3/31/2012 11,141 11,024
4/30/2012 10,939 10,898
5/31/2012 9,962 9,921
6/30/2012 10,442 10,410
7/31/2012 10,463 10,553
8/31/2012 10,748 10,782
9/30/2012 11,122 11,122
10/31/2012 11,112 11,048
11/30/2012 11,265 11,189
12/31/2012 11,718 11,443
1/31/2013 12,225 11,970
2/28/2013 12,287 11,968
3/31/2013 12,576 12,187
4/30/2013 12,814 12,535
5/31/2013 12,897 12,501
6/30/2013 12,514 12,135
7/31/2013 13,114 12,716
8/31/2013 12,845 12,451
9/30/2013 13,569 13,094
10/31/2013 14,096 13,621
11/30/2013 14,324 13,813
12/31/2013 14,611 14,052
1/31/2014 14,001 13,490
2/28/2014 14,675 14,141
3/31/2014 14,847 14,204
4/30/2014 14,879 14,339
5/31/2014 15,136 14,644
6/30/2014 15,500 14,920
7/31/2014 15,200 14,739
8/31/2014 15,628 15,065
9/30/2014 15,061 14,576
10/31/2014 15,200 14,679
11/30/2014 15,360 14,924
12/31/2014 15,182 14,636
1/31/2015 14,958 14,408
2/28/2015 15,878 15,210
3/31/2015 15,766 14,974
4/30/2015 16,136 15,409
5/31/2015 16,226 15,388
6/30/2015 15,867 15,026
7/31/2015 15,754 15,157
8/31/2015 14,700 14,118
9/30/2015 14,172 13,606
10/31/2015 15,148 14,674
11/30/2015 15,204 14,553
12/31/2015 14,728 14,290
1/31/2016 13,907 13,429
2/29/2016 13,768 13,336
3/31/2016 14,797 14,324
4/30/2016 14,948 14,536
5/31/2016 15,063 14,554
6/30/2016 14,971 14,466
7/31/2016 15,641 15,090
8/31/2016 15,792 15,140
9/30/2016 15,930 15,233
10/31/2016 15,803 14,975
11/30/2016 16,254 15,088
12/31/2016 16,619 15,414
1/31/2017 17,012 15,836
2/28/2017 17,477 16,280
3/31/2017 17,679 16,479
4/30/2017 17,906 16,736
5/31/2017 18,072 17,106
6/30/2017 18,239 17,183
7/31/2017 18,656 17,664
8/31/2017 18,716 17,731 Past performance is not predictive of
9/30/2017 19,121 18,074 future performance.
10/31/2017 19,681 18,449 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
---------------------------------------------------------------- MSCI data copyright MSCI 2017, all
24.54% 12.11% 12.03% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
MSCI Emerging Markets
Emerging Markets Portfolio Index (net dividends)
-------------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,347 9,291
12/31/2007 9,309 9,324
1/31/2008 8,496 8,160
2/29/2008 8,765 8,762
3/31/2008 8,491 8,299
4/30/2008 9,095 8,972
5/31/2008 9,148 9,139
6/30/2008 8,206 8,227
7/31/2008 8,097 7,917
8/31/2008 7,615 7,284
9/30/2008 6,552 6,010
10/31/2008 4,826 4,365
11/30/2008 4,387 4,036
12/31/2008 4,729 4,351
1/31/2009 4,367 4,070
2/28/2009 4,081 3,841
3/31/2009 4,671 4,392
4/30/2009 5,361 5,123
5/31/2009 6,274 5,999
6/30/2009 6,219 5,918
7/31/2009 6,928 6,583
8/31/2009 6,952 6,560
9/30/2009 7,561 7,155
10/31/2009 7,402 7,164
11/30/2009 7,843 7,472
12/31/2009 8,123 7,767
1/31/2010 7,678 7,334
2/28/2010 7,771 7,360
3/31/2010 8,419 7,954
4/30/2010 8,467 8,050
5/31/2010 7,677 7,342
6/30/2010 7,689 7,288
7/31/2010 8,364 7,895
8/31/2010 8,168 7,742
9/30/2010 9,094 8,602
10/31/2010 9,367 8,852
11/30/2010 9,154 8,618
12/31/2010 9,895 9,233
1/31/2011 9,637 8,983
2/28/2011 9,566 8,899
3/31/2011 10,095 9,422
4/30/2011 10,447 9,714
5/31/2011 10,157 9,460
6/30/2011 10,033 9,314
7/31/2011 9,952 9,273
8/31/2011 9,144 8,444
9/30/2011 7,760 7,213
10/31/2011 8,728 8,168
11/30/2011 8,420 7,624
12/31/2011 8,172 7,532
1/31/2012 9,049 8,386
2/29/2012 9,537 8,889
3/31/2012 9,286 8,592
4/30/2012 9,118 8,489
5/31/2012 8,134 7,537
6/30/2012 8,532 7,828
7/31/2012 8,601 7,981
8/31/2012 8,653 7,954
9/30/2012 9,136 8,434
10/31/2012 9,084 8,383
11/30/2012 9,203 8,490
12/31/2012 9,738 8,905
1/31/2013 9,787 9,027
2/28/2013 9,670 8,914
3/31/2013 9,530 8,760
4/30/2013 9,633 8,827
5/31/2013 9,318 8,600
6/30/2013 8,732 8,053
7/31/2013 8,856 8,137
8/31/2013 8,646 7,997
9/30/2013 9,262 8,517
10/31/2013 9,682 8,931
11/30/2013 9,535 8,800
12/31/2013 9,434 8,673
1/31/2014 8,776 8,110
2/28/2014 9,092 8,378
3/31/2014 9,408 8,636
4/30/2014 9,463 8,664
5/31/2014 9,783 8,967
6/30/2014 10,052 9,205
7/31/2014 10,169 9,383
8/31/2014 10,482 9,595
9/30/2014 9,708 8,883
10/31/2014 9,811 8,988
11/30/2014 9,712 8,893
12/31/2014 9,272 8,483
1/31/2015 9,332 8,534
2/28/2015 9,613 8,798
3/31/2015 9,409 8,673
4/30/2015 10,035 9,340
5/31/2015 9,632 8,966
6/30/2015 9,397 8,733
7/31/2015 8,791 8,128
8/31/2015 8,063 7,393
9/30/2015 7,844 7,170
10/31/2015 8,316 7,682
11/30/2015 8,028 7,382
12/31/2015 7,806 7,218
1/31/2016 7,474 6,750
2/29/2016 7,429 6,738
3/31/2016 8,409 7,630
4/30/2016 8,458 7,672
5/31/2016 8,125 7,385
6/30/2016 8,554 7,681
7/31/2016 8,993 8,067
8/31/2016 9,099 8,268
9/30/2016 9,213 8,374
10/31/2016 9,232 8,394
11/30/2016 8,750 8,008
12/31/2016 8,750 8,025
1/31/2017 9,274 8,464
2/28/2017 9,582 8,723
3/31/2017 9,890 8,944
4/30/2017 10,078 9,139
5/31/2017 10,379 9,410
6/30/2017 10,475 9,504
7/31/2017 11,028 10,071
8/31/2017 11,256 10,296 Past performance is not predictive of
9/30/2017 11,146 10,255 future performance.
10/31/2017 11,524 10,614 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------- MSCI data copyright MSCI 2017, all
24.83% 4.87% 1.43% rights reserved.
--------------------------------------------------------------------------------
19
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Emerging Markets Small Cap MSCI Emerging Markets
Portfolio Index (net dividends)
------------------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,198 9,291
12/31/2007 9,308 9,324
1/31/2008 8,185 8,160
2/29/2008 8,422 8,762
3/31/2008 8,023 8,299
4/30/2008 8,514 8,972
5/31/2008 8,460 9,139
6/30/2008 7,485 8,227
7/31/2008 7,368 7,917
8/31/2008 6,923 7,284
9/30/2008 5,672 6,010
10/31/2008 3,951 4,365
11/30/2008 3,709 4,036
12/31/2008 4,232 4,351
1/31/2009 3,906 4,070
2/28/2009 3,666 3,841
3/31/2009 4,171 4,392
4/30/2009 5,015 5,123
5/31/2009 6,164 5,999
6/30/2009 6,134 5,918
7/31/2009 6,912 6,583
8/31/2009 6,994 6,560
9/30/2009 7,577 7,155
10/31/2009 7,568 7,164
11/30/2009 8,011 7,472
12/31/2009 8,452 7,767
1/31/2010 8,078 7,334
2/28/2010 8,217 7,360
3/31/2010 8,919 7,954
4/30/2010 9,063 8,050
5/31/2010 8,148 7,342
6/30/2010 8,364 7,288
7/31/2010 9,131 7,895
8/31/2010 9,175 7,742
9/30/2010 10,286 8,602
10/31/2010 10,697 8,852
11/30/2010 10,406 8,618
12/31/2010 11,004 9,233
1/31/2011 10,537 8,983
2/28/2011 10,226 8,899
3/31/2011 10,793 9,422
4/30/2011 11,361 9,714
5/31/2011 11,100 9,460
6/30/2011 11,010 9,314
7/31/2011 11,134 9,273
8/31/2011 10,076 8,444
9/30/2011 8,283 7,213
10/31/2011 9,196 8,168
11/30/2011 8,747 7,624
12/31/2011 8,515 7,532
1/31/2012 9,474 8,386
2/29/2012 10,248 8,889
3/31/2012 9,981 8,592
4/30/2012 9,742 8,489
5/31/2012 8,849 7,537
6/30/2012 9,188 7,828
7/31/2012 9,072 7,981
8/31/2012 9,308 7,954
9/30/2012 9,852 8,434
10/31/2012 9,813 8,383
11/30/2012 9,982 8,490
12/31/2012 10,596 8,905
1/31/2013 10,791 9,027
2/28/2013 10,901 8,914
3/31/2013 10,850 8,760
4/30/2013 11,070 8,827
5/31/2013 10,910 8,600
6/30/2013 9,966 8,053
7/31/2013 10,012 8,137
8/31/2013 9,593 7,997
9/30/2013 10,294 8,517
10/31/2013 10,689 8,931
11/30/2013 10,537 8,800
12/31/2013 10,449 8,673
1/31/2014 10,003 8,110
2/28/2014 10,444 8,378
3/31/2014 10,803 8,636
4/30/2014 10,891 8,664
5/31/2014 11,260 8,967
6/30/2014 11,550 9,205
7/31/2014 11,576 9,383
8/31/2014 11,930 9,595
9/30/2014 11,336 8,883
10/31/2014 11,236 8,988
11/30/2014 11,105 8,893
12/31/2014 10,763 8,483
1/31/2015 10,936 8,534
2/28/2015 11,218 8,798
3/31/2015 11,131 8,673
4/30/2015 11,921 9,340
5/31/2015 11,753 8,966
6/30/2015 11,350 8,733
7/31/2015 10,657 8,128
8/31/2015 9,612 7,393
9/30/2015 9,596 7,170
10/31/2015 10,127 7,682
11/30/2015 9,919 7,382
12/31/2015 9,827 7,218
1/31/2016 9,240 6,750
2/29/2016 9,201 6,738
3/31/2016 10,333 7,630
4/30/2016 10,591 7,672
5/31/2016 10,148 7,385
6/30/2016 10,710 7,681
7/31/2016 11,332 8,067
8/31/2016 11,400 8,268
9/30/2016 11,586 8,374
10/31/2016 11,540 8,394
11/30/2016 10,839 8,008
12/31/2016 10,900 8,025
1/31/2017 11,535 8,464
2/28/2017 12,140 8,723
3/31/2017 12,516 8,944
4/30/2017 12,675 9,139
5/31/2017 12,722 9,410
6/30/2017 12,801 9,504
7/31/2017 13,337 10,071
8/31/2017 13,644 10,296 Past performance is not predictive of
9/30/2017 13,578 10,255 future performance.
10/31/2017 13,964 10,614 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2017, all
21.00% 7.31% 3.40% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
JANUARY 29, 2008-OCTOBER 31, 2017
[CHART]
Emerging Markets Value MSCI Emerging Markets Index
Portfolio - Class R2 (net dividends)
---------------------- ---------------------------
1/29/2008 $10,000 $10,000
1/31/2008 10,050 9,871
2/29/2008 10,450 10,599
3/31/2008 10,097 10,038
4/30/2008 10,872 10,853
5/31/2008 10,962 11,054
6/30/2008 9,677 9,952
7/31/2008 9,489 9,576
8/31/2008 8,674 8,811
9/30/2008 7,174 7,269
10/31/2008 4,949 5,280
11/30/2008 4,569 4,882
12/31/2008 5,120 5,263
1/31/2009 4,675 4,923
2/28/2009 4,262 4,646
3/31/2009 5,002 5,313
4/30/2009 5,996 6,197
5/31/2009 7,342 7,256
6/30/2009 7,241 7,159
7/31/2009 8,197 7,964
8/31/2009 8,265 7,935
9/30/2009 9,035 8,655
10/31/2009 8,823 8,666
11/30/2009 9,388 9,038
12/31/2009 9,847 9,395
1/31/2010 9,297 8,871
2/28/2010 9,347 8,902
3/31/2010 10,147 9,621
4/30/2010 10,246 9,738
5/31/2010 9,147 8,881
6/30/2010 9,199 8,816
7/31/2010 10,085 9,550
8/31/2010 9,864 9,365
9/30/2010 11,031 10,405
10/31/2010 11,444 10,707
11/30/2010 11,031 10,425
12/31/2010 11,960 11,169
1/31/2011 11,583 10,866
2/28/2011 11,391 10,764
3/31/2011 12,043 11,397
4/30/2011 12,466 11,751
5/31/2011 11,990 11,443
6/30/2011 11,738 11,267
7/31/2011 11,639 11,217
8/31/2011 10,454 10,214
9/30/2011 8,577 8,725
10/31/2011 9,701 9,881
11/30/2011 9,206 9,222
12/31/2011 8,875 9,111
1/31/2012 10,102 10,144
2/29/2012 10,714 10,752
3/31/2012 10,253 10,393
4/30/2012 9,918 10,269
5/31/2012 8,817 9,117
6/30/2012 9,214 9,469
7/31/2012 9,155 9,654
8/31/2012 9,279 9,622
9/30/2012 9,873 10,202
10/31/2012 9,742 10,140
11/30/2012 9,849 10,269
12/31/2012 10,564 10,771
1/31/2013 10,734 10,920
2/28/2013 10,550 10,783
3/31/2013 10,459 10,597
4/30/2013 10,547 10,677
5/31/2013 10,243 10,403
6/30/2013 9,377 9,741
7/31/2013 9,559 9,842
8/31/2013 9,356 9,673
9/30/2013 10,045 10,302
10/31/2013 10,497 10,803
11/30/2013 10,242 10,645
12/31/2013 10,137 10,491
1/31/2014 9,424 9,810
2/28/2014 9,634 10,135
3/31/2014 10,060 10,446
4/30/2014 10,122 10,481
5/31/2014 10,533 10,847
6/30/2014 10,806 11,135
7/31/2014 11,008 11,350
8/31/2014 11,250 11,606
9/30/2014 10,328 10,746
10/31/2014 10,313 10,872
11/30/2014 10,139 10,757
12/31/2014 9,665 10,262
1/31/2015 9,586 10,323
2/28/2015 9,924 10,643
3/31/2015 9,643 10,491
4/30/2015 10,597 11,298
5/31/2015 10,123 10,846
6/30/2015 9,800 10,564
7/31/2015 9,012 9,832
8/31/2015 8,193 8,943
9/30/2015 7,917 8,674
10/31/2015 8,406 9,292
11/30/2015 8,077 8,930
12/31/2015 7,831 8,731
1/31/2016 7,392 8,164
2/29/2016 7,434 8,151
3/31/2016 8,524 9,230
4/30/2016 8,753 9,280
5/31/2016 8,180 8,934
6/30/2016 8,625 9,291
7/31/2016 9,167 9,758
8/31/2016 9,334 10,001
9/30/2016 9,463 10,129
10/31/2016 9,666 10,153
11/30/2016 9,326 9,686
12/31/2016 9,364 9,707
1/31/2017 9,954 10,239
2/28/2017 10,402 10,552
3/31/2017 10,693 10,819
4/30/2017 10,767 11,055
5/31/2017 10,956 11,382
6/30/2017 10,982 11,497
7/31/2017 11,569 12,182
8/31/2017 11,857 12,454
9/30/2017 11,590 12,404 Past performance is not predictive of
10/31/2017 11,996 12,839 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE FROM would pay on fund distributions or the
TOTAL RETURN YEAR YEARS 01/29/2008 redemption of fund shares.
---------------------------------------------------------------- MSCI data copyright MSCI 2017, all
24.11% 4.25% 1.88% rights reserved.
--------------------------------------------------------------------------------
20
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Emerging Markets
Value Portfolio - MSCI Emerging Markets
Institutional Class Index (net dividends)
----------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,270 9,291
12/31/2007 9,256 9,324
1/31/2008 8,334 8,160
2/29/2008 8,667 8,762
3/31/2008 8,375 8,299
4/30/2008 9,021 8,972
5/31/2008 9,098 9,139
6/30/2008 8,040 8,227
7/31/2008 7,882 7,917
8/31/2008 7,207 7,284
9/30/2008 5,963 6,010
10/31/2008 4,112 4,365
11/30/2008 3,799 4,036
12/31/2008 4,263 4,351
1/31/2009 3,878 4,070
2/28/2009 3,549 3,841
3/31/2009 4,163 4,392
4/30/2009 4,981 5,123
5/31/2009 6,102 5,999
6/30/2009 6,027 5,918
7/31/2009 6,835 6,583
8/31/2009 6,885 6,560
9/30/2009 7,521 7,155
10/31/2009 7,343 7,164
11/30/2009 7,810 7,472
12/31/2009 8,197 7,767
1/31/2010 7,730 7,334
2/28/2010 7,790 7,360
3/31/2010 8,476 7,954
4/30/2010 8,531 8,050
5/31/2010 7,637 7,342
6/30/2010 7,684 7,288
7/31/2010 8,395 7,895
8/31/2010 8,243 7,742
9/30/2010 9,233 8,602
10/31/2010 9,549 8,852
11/30/2010 9,238 8,618
12/31/2010 10,005 9,233
1/31/2011 9,693 8,983
2/28/2011 9,529 8,899
3/31/2011 10,077 9,422
4/30/2011 10,437 9,714
5/31/2011 10,038 9,460
6/30/2011 9,833 9,314
7/31/2011 9,749 9,273
8/31/2011 8,760 8,444
9/30/2011 7,187 7,213
10/31/2011 8,131 8,168
11/30/2011 7,719 7,624
12/31/2011 7,442 7,532
1/31/2012 8,474 8,386
2/29/2012 8,990 8,889
3/31/2012 8,603 8,592
4/30/2012 8,322 8,489
5/31/2012 7,402 7,537
6/30/2012 7,737 7,828
7/31/2012 7,688 7,981
8/31/2012 7,794 7,954
9/30/2012 8,296 8,434
10/31/2012 8,188 8,383
11/30/2012 8,278 8,490
12/31/2012 8,883 8,905
1/31/2013 9,026 9,027
2/28/2013 8,874 8,914
3/31/2013 8,798 8,760
4/30/2013 8,876 8,827
5/31/2013 8,622 8,600
6/30/2013 7,896 8,053
7/31/2013 8,050 8,137
8/31/2013 7,878 7,997
9/30/2013 8,460 8,517
10/31/2013 8,844 8,931
11/30/2013 8,630 8,800
12/31/2013 8,545 8,673
1/31/2014 7,948 8,110
2/28/2014 8,124 8,378
3/31/2014 8,486 8,636
4/30/2014 8,542 8,664
5/31/2014 8,889 8,967
6/30/2014 9,121 9,205
7/31/2014 9,291 9,383
8/31/2014 9,499 9,595
9/30/2014 8,720 8,883
10/31/2014 8,710 8,988
11/30/2014 8,566 8,893
12/31/2014 8,168 8,483
1/31/2015 8,101 8,534
2/28/2015 8,390 8,798
3/31/2015 8,152 8,673
4/30/2015 8,964 9,340
5/31/2015 8,565 8,966
6/30/2015 8,292 8,733
7/31/2015 7,626 8,128
8/31/2015 6,934 7,393
9/30/2015 6,703 7,170
10/31/2015 7,119 7,682
11/30/2015 6,841 7,382
12/31/2015 6,635 7,218
1/31/2016 6,261 6,750
2/29/2016 6,300 6,738
3/31/2016 7,225 7,630
4/30/2016 7,421 7,672
5/31/2016 6,938 7,385
6/30/2016 7,318 7,681
7/31/2016 7,778 8,067
8/31/2016 7,919 8,268
9/30/2016 8,029 8,374
10/31/2016 8,204 8,394
11/30/2016 7,916 8,008
12/31/2016 7,951 8,025
1/31/2017 8,452 8,464
2/28/2017 8,838 8,723
3/31/2017 9,080 8,944
4/30/2017 9,146 9,139
5/31/2017 9,312 9,410
6/30/2017 9,337 9,504
7/31/2017 9,836 10,071
8/31/2017 10,082 10,296 Past performance is not predictive of
9/30/2017 9,856 10,255 future performance.
10/31/2017 10,206 10,614 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2017, all
24.41% 4.50% 0.20% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS CORE EQUITY PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Emerging Markets Core Equity MSCI Emerging Markets
Portfolio Index (net dividends)
------------------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,272 9,291
12/31/2007 9,253 9,324
1/31/2008 8,347 8,160
2/29/2008 8,619 8,762
3/31/2008 8,306 8,299
4/30/2008 8,936 8,972
5/31/2008 8,975 9,139
6/30/2008 7,975 8,227
7/31/2008 7,890 7,917
8/31/2008 7,367 7,284
9/30/2008 6,212 6,010
10/31/2008 4,456 4,365
11/30/2008 4,159 4,036
12/31/2008 4,565 4,351
1/31/2009 4,158 4,070
2/28/2009 3,878 3,841
3/31/2009 4,490 4,392
4/30/2009 5,309 5,123
5/31/2009 6,356 5,999
6/30/2009 6,294 5,918
7/31/2009 7,056 6,583
8/31/2009 7,083 6,560
9/30/2009 7,694 7,155
10/31/2009 7,552 7,164
11/30/2009 8,015 7,472
12/31/2009 8,381 7,767
1/31/2010 7,921 7,334
2/28/2010 8,008 7,360
3/31/2010 8,699 7,954
4/30/2010 8,782 8,050
5/31/2010 7,931 7,342
6/30/2010 7,998 7,288
7/31/2010 8,720 7,895
8/31/2010 8,605 7,742
9/30/2010 9,633 8,602
10/31/2010 9,917 8,852
11/30/2010 9,651 8,618
12/31/2010 10,360 9,233
1/31/2011 10,033 8,983
2/28/2011 9,860 8,899
3/31/2011 10,421 9,422
4/30/2011 10,832 9,714
5/31/2011 10,533 9,460
6/30/2011 10,387 9,314
7/31/2011 10,363 9,273
8/31/2011 9,428 8,444
9/30/2011 7,868 7,213
10/31/2011 8,867 8,168
11/30/2011 8,488 7,624
12/31/2011 8,221 7,532
1/31/2012 9,189 8,386
2/29/2012 9,766 8,889
3/31/2012 9,461 8,592
4/30/2012 9,251 8,489
5/31/2012 8,279 7,537
6/30/2012 8,650 7,828
7/31/2012 8,655 7,981
8/31/2012 8,746 7,954
9/30/2012 9,244 8,434
10/31/2012 9,181 8,383
11/30/2012 9,321 8,490
12/31/2012 9,905 8,905
1/31/2013 9,993 9,027
2/28/2013 9,925 8,914
3/31/2013 9,819 8,760
4/30/2013 9,931 8,827
5/31/2013 9,659 8,600
6/30/2013 8,965 8,053
7/31/2013 9,087 8,137
8/31/2013 8,853 7,997
9/30/2013 9,484 8,517
10/31/2013 9,893 8,931
11/30/2013 9,731 8,800
12/31/2013 9,644 8,673
1/31/2014 9,035 8,110
2/28/2014 9,362 8,378
3/31/2014 9,704 8,636
4/30/2014 9,773 8,664
5/31/2014 10,095 8,967
6/30/2014 10,357 9,205
7/31/2014 10,452 9,383
8/31/2014 10,776 9,595
9/30/2014 10,025 8,883
10/31/2014 10,081 8,988
11/30/2014 9,975 8,893
12/31/2014 9,556 8,483
1/31/2015 9,632 8,534
2/28/2015 9,910 8,798
3/31/2015 9,743 8,673
4/30/2015 10,415 9,340
5/31/2015 10,046 8,966
6/30/2015 9,778 8,733
7/31/2015 9,124 8,128
8/31/2015 8,328 7,393
9/30/2015 8,153 7,170
10/31/2015 8,619 7,682
11/30/2015 8,343 7,382
12/31/2015 8,136 7,218
1/31/2016 7,759 6,750
2/29/2016 7,713 6,738
3/31/2016 8,727 7,630
4/30/2016 8,831 7,672
5/31/2016 8,453 7,385
6/30/2016 8,921 7,681
7/31/2016 9,411 8,067
8/31/2016 9,505 8,268
9/30/2016 9,632 8,374
10/31/2016 9,643 8,394
11/30/2016 9,119 8,008
12/31/2016 9,141 8,025
1/31/2017 9,700 8,464
2/28/2017 10,079 8,723
3/31/2017 10,392 8,944
4/30/2017 10,576 9,139
5/31/2017 10,782 9,410
6/30/2017 10,878 9,504
7/31/2017 11,413 10,071
8/31/2017 11,678 10,296 Past performance is not predictive of
9/30/2017 11,590 10,255 future performance.
10/31/2017 11,959 10,614 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2017, all
24.02% 5.43% 1.80% rights reserved.
--------------------------------------------------------------------------------
21
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
U.S. equities had positive returns for the period. The broad U.S. equity
market, as measured by the Russell 3000(R) Index, gained approximately 24.0%.
Small-cap stocks outperformed large-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2017
-------------------------------------------------
Russell 3000(R) Index............................................ 23.98%
Russell Microcap(R) Index (micro-cap stocks)..................... 29.52%
Russell 2000(R) Index (small-cap stocks)......................... 27.85%
Russell 1000(R) Index (large-cap stocks)......................... 23.67%
Dow Jones U.S. Select REIT Index/SM/............................. 3.94%
Value stocks underperformed growth stocks as measured by the Russell
indices. However, when measured by price-to-book ratio, deeper value stocks
outperformed other value stocks.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2017
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)............. 24.81%
Russell 2000(R) Growth Index (small-cap growth stocks)........... 31.00%
Russell 1000(R) Value Index (large-cap value stocks)............. 17.78%
Russell 1000(R) Growth Index (large-cap growth stocks)........... 29.71%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
ENHANCED U.S. LARGE COMPANY PORTFOLIO
The Enhanced U.S. Large Company Portfolio seeks to outperform the total
return of the S&P 500(R) Index. This strategy uses S&P 500(R) Index futures
contracts, swaps, and/or ETFs in conjunction with short-term investment grade
fixed income instruments. As of October 31, 2017, 100% of the equity exposure
consisted of S&P 500(R) Index futures contracts. The behavior of S&P 500(R)
Index futures contracts is determined principally by the performance of the S&P
500(R) Index.
For the 12 months ended October 31, 2017, the total return was 23.53% for
the Portfolio and 23.63% for the S&P 500(R) Index, the Portfolio's benchmark.
Relative to the benchmark, the Portfolio's underperformance was primarily due
to the performance of the fixed income component of the Portfolio. The net
return of the fixed income component was less than the financing cost of the
S&P 500(R) Index futures contracts that the Portfolio purchased throughout the
year.
U.S. LARGE CAP EQUITY PORTFOLIO
The U.S. Large Cap Equity Portfolio invests in a broadly diversified group
of U.S. securities with increased exposure to smaller total market
capitalization large company stocks, low relative price (value) stocks, and
higher-profitability stocks relative to the U.S. large-cap universe. Value is
measured primarily by book-to-market ratio. In assessing profitability,
Dimensional may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2017, the Portfolio held
approximately 850 securities. In general, average cash exposure throughout the
year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.16% for the
Portfolio and 23.67% for the Russell 1000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's emphasis on stocks
with higher profitability contributed positively to performance relative to the
benchmark, as higher-profitability stocks generally outperformed among
large-cap stocks for the period. At the sector level, the Portfolio's general
exclusion of real estate investment trusts (REITs) also benefited relative
performance, as REITs underperformed the benchmark.
22
U.S. LARGE CAP VALUE PORTFOLIO
The U.S. Large Cap Value Portfolio is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. Value
is measured primarily by book-to-market ratio. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2017, the
Master Fund held approximately 300 securities. In general, average cash
exposure throughout the year was less than those stocks 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2017, total returns were 24.11% for the
Portfolio and 17.78% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than by the behavior of a limited number of stocks. The Master
Fund's greater emphasis on smaller stocks within the large-cap universe
contributed positively to performance relative to the benchmark, as those
stocks generally outperformed the benchmark. With the lowest relative price
(deep value) stocks outperforming among large-cap value stocks, the Master
Fund's greater emphasis on deep value stocks also benefited relative
performance. Within the value portion of the market, stocks with higher
profitability outperformed stocks with lower profitability and the Master
Fund's greater emphasis on stocks with higher profitability contributed to
relative performance. At the sector level, the Master Fund's general exclusion
of real estate investment trusts (REITs) and certain utilities had a positive
impact on relative performance, as REITs and utilities underperformed the
benchmark.
U.S. TARGETED VALUE PORTFOLIO
The U.S. Targeted Value Portfolio invests in a broadly diversified group of
U.S. small- and mid-cap value stocks. Value is measured primarily by
book-to-market ratio. The U.S. Targeted Value Portfolio also may consider
profitability in the Portfolio's construction. In assessing profitability,
Dimensional may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2017, the Portfolio held
approximately 1,400 securities. In general, average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 23.32% for the
Portfolio's Class R1 shares, 23.17% for the Portfolio's Class R2 shares, 23.46%
for the Portfolio's Institutional Class shares, and 24.81% for the Russell
2000(R) Value Index, the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in the U.S. equity market, rather than the behavior of a limited
number of stocks. With mid-cap stocks underperforming smaller stocks for the
year, the Portfolio's inclusion of mid-caps detracted from performance relative
to the benchmark. The Portfolio's greater emphasis on low relative price
(value) stocks also detracted from relative performance, as value stocks
generally underperformed higher relative price (growth) stocks for the period.
The Portfolio's general exclusion of real estate investment trusts (REITs) and
certain utilities had a positive impact on relative performance, as REITs and
utilities underperformed the benchmark.
U.S. SMALL CAP VALUE PORTFOLIO
The U.S. Small Cap Value Portfolio invests in a broadly diversified group of
U.S. small-cap value stocks. Value is measured primarily by book-to-market
ratio. The U.S. Small Cap Value Portfolio also may consider profitability in
the Portfolio's construction. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Portfolio held approximately 1,000
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.67% for the
Portfolio and 24.81% for the Russell 2000(R) Value Index, the Portfolio's
benchmark. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market, rather than the behavior of a limited number of stocks. The Portfolio's
greater emphasis on low relative price (value) stocks detracted from
performance relative to the benchmark, as among small caps, deeper value stocks
generally underperformed higher relative price (growth) stocks for the period.
The Portfolio's general exclusion of real estate investment trusts (REITs) had
a positive impact on relative performance, as REITs underperformed the
benchmark for the year.
23
U.S. CORE EQUITY 1 PORTFOLIO
The U.S. Core Equity 1 Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller market capitalization
stocks, low relative price (value) stocks, and higher-profitability stocks
relative to the market. Value is measured primarily by book-to-market ratio. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Portfolio held approximately 2,600 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.93% for the
Portfolio and 23.98% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's emphasis on stocks
with higher profitability contributed positively to performance relative to the
benchmark, as higher-profitability stocks generally outperformed among
large-caps for the period. Additionally, the Portfolio's greater emphasis on
small-cap stocks had a positive impact on relative performance, as small-caps
generally outperformed large-caps for the period. At the sector level, the
Portfolio's general exclusion of real estate investment trusts (REITs) also
benefited relative performance, as REITs underperformed the benchmark.
U.S. CORE EQUITY 2 PORTFOLIO
The U.S. Core Equity 2 Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller market capitalization
stocks, low relative price (value) stocks, and higher-profitability stocks
relative to the U.S. Core Equity 1 Portfolio and the market. Value is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Portfolio held approximately 2,700
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.36% for the
Portfolio and 23.98% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's greater emphasis on
small-cap stocks contributed positively to relative performance, as small-caps
generally outperformed large-caps for the period. Additionally, the Portfolio's
emphasis on stocks with higher profitability contributed positively to
performance relative to the benchmark, as higher-profitability stocks generally
outperformed among large-caps for the period. At the sector level, the
Portfolio's general exclusion of real estate investment trusts (REITs) also
benefited relative performance, as REITs underperformed the benchmark.
U.S. VECTOR EQUITY PORTFOLIO
The U.S. Vector Equity Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller market capitalization
stocks, low relative price (value) stocks, and higher-profitability stocks
relative to the market. Value is measured primarily by book-to-market ratio. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Portfolio held approximately 2,600 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.73% for the
Portfolio and 23.98% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's greater emphasis on
small-cap stocks had a positive impact on relative performance, as small-caps
generally outperformed large-caps for the period. At the sector level, the
Portfolio's general exclusion of real estate investment trusts (REITs)
benefited performance relative to the benchmark, as REITs underperformed the
benchmark.
24
U.S. SMALL CAP PORTFOLIO
The U.S. Small Cap Portfolio invests in a broadly diversified group of U.S.
small-cap stocks. The Portfolio generally excludes stocks with the lowest
profitability and highest relative price. Relative price is measured primarily
by book-to-market ratio. In assessing profitability, Dimensional may consider
such factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Portfolio held approximately 1,900
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 25.21% for the
Portfolio and 27.85% for the Russell 2000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's general exclusion
of stocks with low profitability and high relative price detracted from
performance relative to the benchmark, as those stocks outperformed for the
year. This was partially offset by the Portfolio's general exclusion of real
estate investment trusts (REITs), as REITs underperformed.
U.S. MICRO CAP PORTFOLIO
The U.S. Micro Cap Portfolio invests in a broadly diversified group of the
smallest U.S. stocks and generally invests in smaller market cap securities
than the U.S. Small Cap Portfolio. The Portfolio generally excludes stocks with
the lowest profitability and highest relative price. Relative price is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Portfolio held approximately 1,500
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 28.91% for the
Portfolio and 27.85% for the Russell 2000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. With micro-cap stocks outperforming
small-cap stocks for the year, the Portfolio's emphasis on micro-caps
contributed positively to performance relative to the benchmark. Conversely,
the Portfolio's general exclusion of stocks with low profitability and high
relative price detracted from relative performance, as those stocks
outperformed for the year. At the sector level, the Portfolio's general
exclusion of real estate investment trusts (REITs) had a positive impact on
relative performance, as REITs underperformed.
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
The U.S. High Relative Profitability Portfolio seeks to capture the returns
of U.S. large-cap stocks with higher profitability. In assessing profitability,
Dimensional may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2017, the Portfolio held
approximately 240 securities. In general, average cash exposure throughout the
year was less than 1% of the Portfolio's assets.
From inception on May 16, 2017, through October 31, 2017, total returns were
9.84% for the Portfolio and 8.20% for the Russell 1000(R) Index, the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in the U.S.
equity market rather than by the behavior of a limited number of stocks. The
Portfolio's focus on stocks with higher profitability contributed positively to
performance relative to the benchmark, as higher-profitability stocks generally
outperformed among large-caps for the period. At the sector level, the
Portfolio's general exclusion of real estate investment trusts (REITs) also
benefited relative performance, as REITs underperformed the benchmark.
DFA REAL ESTATE SECURITIES PORTFOLIO
The DFA Real Estate Securities Portfolio is designed to capture the returns
of a broadly diversified portfolio of U.S. real estate securities. As of
October 31, 2017, the Portfolio held approximately 150 securities. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Portfolio's assets.
25
For the 12 months ended October 31, 2017, total returns were 5.86% for the
Portfolio, 23.63% for the S&P 500(R) Index, and 3.94% for the Dow Jones U.S.
Select REIT Index/SM/, the Portfolio's benchmarks. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. real estate securities market rather
than by the behavior of a limited number of securities. The Portfolio's
outperformance was primarily driven by differences in REIT eligibility between
the Portfolio and the benchmark, most notably among data center REITs.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
Performance of non-U.S. developed markets was positive for the period. As
measured by the MSCI World ex USA indices, small-cap stocks outperformed
large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
RETURN IN U.S. DOLLARS
- ----------------------
MSCI World ex USA Index.......................................... 22.74%
MSCI World ex USA Small Cap Index................................ 25.86%
MSCI World ex USA Value Index.................................... 23.05%
MSCI World ex USA Growth Index................................... 22.40%
For the 12 months ended October 31, 2017, the U.S. dollar depreciated
against currencies of most other developed markets. Overall, currency movements
had a positive impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. 27.38% 17.80%
United Kingdom.................... 11.80% 21.60%
France............................ 25.50% 33.37%
Canada............................ 11.32% 15.73%
Germany........................... 22.29% 29.96%
Switzerland....................... 21.26% 20.30%
Australia......................... 16.30% 17.18%
Hong Kong......................... 18.75% 18.09%
Netherlands....................... 25.39% 32.59%
Spain............................. 20.43% 27.98%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2017, all rights reserved
Emerging markets had positive performance for the period, outperforming both
the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and growth
stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
RETURN IN U.S. DOLLARS
- ----------------------
MSCI Emerging Markets Index...................................... 26.45%
MSCI Emerging Markets Small Cap Index............................ 20.72%
MSCI Emerging Markets Value Index................................ 20.70%
MSCI Emerging Markets Growth Index............................... 32.25%
For the 12 months ended October 31, 2017, the U.S. dollar depreciated
against some emerging markets currencies, but appreciated against others.
Overall, currency movements had a positive impact on the U.S. dollar-
denominated returns of emerging markets.
26
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
China........................ 41.71% 41.06%
Korea........................ 37.49% 40.42%
Taiwan....................... 20.17% 25.74%
India........................ 19.48% 23.20%
Brazil....................... 13.32% 9.67%
South Africa................. 16.76% 11.32%
Russia....................... 9.16% 16.56%
Mexico....................... 4.11% 2.35%
Indonesia.................... 10.16% 5.98%
Malaysia..................... 7.08% 6.11%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2017, all rights reserved.
For portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
portfolio and its benchmark index may impact relative performance over the
referenced period. The portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2017,
these differences generally benefited the portfolios' relative performance.
GLOBAL REAL ESTATE MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
Publicly traded global real estate investment trusts (REITs) had positive
returns for the period. REITs generally underperformed developed non-U.S.,
U.S., and emerging markets equities. The U.S. REIT market, the world's largest,
had positive performance for the period but underperformed non-U.S. REITs.
Among larger REIT markets, the U.K., Singapore, and Hong Kong were among the
strongest performers, while Japanese REITs lagged. At the industry level, hotel
and resort REITs were the strongest performers, while retail REITs were the
weakest.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
RETURN IN U.S. DOLLARS
- ----------------------
S&P Global ex U.S. REIT Index. 5.70%
S&P Global REIT Index......... 4.31%
----------
Source: Returns are of Standard and Poor's (S&P) indices net of foreign
withholding taxes on dividends. Copyright S&P, 2017. All rights reserved.
For portfolios investing in non-U.S. REITs and REIT-like securities traded
outside of the U.S. market time zone, differences in the valuation timing and
methodology between a portfolio and its benchmark index may impact relative
performance over the referenced period. The portfolios price foreign exchange
rates at the closing of the U.S. market, while their benchmark indices use
rates at 4 p.m. London time. The portfolios also may use fair value pricing to
price certain portfolio securities at the closing of the U.S. market, while
benchmark indices may use local market closing prices. For the one-year period
ended October 31, 2017, these differences generally benefited the portfolios'
relative performance.
LARGE CAP INTERNATIONAL PORTFOLIO
The Large Cap International Portfolio seeks to capture the returns of a
broadly diversified portfolio of developed ex U.S. large company stocks. The
investment strategy is process driven, emphasizing broad diversification with
increased exposure to smaller total market capitalization large company stocks,
low relative
27
price (value) stocks, and higher-profitability stocks relative to the
international large-cap universe. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. As of October 31, 2017, the Portfolio held approximately 1,400
securities in 22 eligible developed markets. In general, average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 23.79% for the
Portfolio and 22.74% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. Within the large cap universe, smaller stocks outperformed for the
period. As a result, the Portfolio's greater emphasis on the smaller large cap
stocks contributed positively to performance relative to the benchmark. At the
sector level, the Portfolio's general exclusion of real estate investment
trusts (REITs) had a positive impact on relative performance, as REITs
underperformed the benchmark.
INTERNATIONAL CORE EQUITY PORTFOLIO
The International Core Equity Portfolio invests in a broadly diversified
group of stocks in developed ex U.S. markets, with increased exposure to stocks
with smaller market capitalization, lower relative price (value), and higher
profitability. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Portfolio held approximately 5,300
securities in 22 eligible developed markets. In general, average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 26.02% for the
Portfolio and 22.74% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio's inclusion of and greater emphasis on small-cap stocks
contributed positively to performance relative to the benchmark (which is
mostly composed of large- and mid-cap stocks), as small-caps generally
outperformed large-caps in developed markets outside the U.S. At the sector
level, the Portfolio's general exclusion of real estate investment trusts
(REITs) had a positive impact on relative performance, as REITs underperformed
the benchmark.
INTERNATIONAL SMALL COMPANY PORTFOLIO
The International Small Company Portfolio is designed to capture the returns
of developed ex U.S. small company stocks by purchasing shares of five Master
Funds managed by Dimensional that invest individually in Canada, the United
Kingdom, Europe (including Israel and excluding the U.K.), Japan, and the Asia
Pacific region (ex Japan). The Portfolio generally excludes stocks with the
lowest profitability and highest relative price. Relative price is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Master Funds collectively held
approximately 4,500 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2017, total returns were 26.54% for the
Portfolio and 25.86% for the MSCI World ex USA Small Cap Index (net dividends),
the Portfolio's benchmark. As a result of the Master Funds' diversified
investment approach, performance was determined principally by broad trends in
developed ex U.S. equity markets rather than by the behavior of a limited
number of stocks. At the sector level, the Master Funds generally exclude real
estate investment trusts (REITs). This exclusion contributed positively to the
Master Funds' performance relative to the benchmark, as REITs underperformed
most other sectors for the period. The Master Funds' exclusion of companies
with the lowest profitability and highest relative price also benefited
relative performance, as those companies underperformed for the period. At the
country level, the Master Funds' greater emphasis on micro-cap securities had a
positive impact in Japan.
28
GLOBAL SMALL COMPANY PORTFOLIO
The Global Small Company Portfolio is designed to capture the returns of
global small company stocks by purchasing shares of six Master Funds and one
portfolio (which shall be collectively referred to below as the "Underlying
Funds") managed by Dimensional that invest individually in Canada, the United
States, the United Kingdom, Europe (including Israel and excluding the U.K.),
Japan, the Asia Pacific region (ex Japan), and Emerging Markets. The Portfolio
generally excludes stocks with the lowest profitability and highest relative
price. Relative price is measured primarily by book-to-market ratio. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Underlying Funds collectively held approximately 10,400
securities in 42 eligible developed and emerging markets. In general, average
cash exposure throughout the period since the Portfolio launched was less than
1% of the Portfolio's assets.
From the Portfolio's inception on January 18, 2017, through to October 31,
2017, total returns were 15.30% for the Portfolio and 17.01% for the MSCI All
Country World Small Cap Index (net dividends), the Portfolio's benchmark. As a
result of the Underlying Funds' diversified investment approach, performance
was determined principally by broad trends in global equity markets rather than
by the behavior of a limited number of stocks. During this shortened reporting
period, securities with smaller market capitalizations generally underperformed
those with larger market capitalizations. The Underlying Funds' greater
emphasis on micro- and smaller-cap securities in the U.S. was the primary
driver of underperformance relative to the benchmark. The Underlying Funds'
general exclusion of real estate investment trusts (REITs) contributed
positively to relative performance, as REITs underperformed the benchmark for
the period.
JAPANESE SMALL COMPANY PORTFOLIO
The Japanese Small Company Portfolio is designed to capture the returns of
Japanese small company stocks by purchasing shares of the Japanese Small
Company Series, a Master Fund managed by Dimensional that invests in such
securities. The Portfolio generally excludes stocks with the lowest
profitability and highest relative price. Relative price is measured primarily
by book-to-market ratio. In assessing profitability, Dimensional may consider
such factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Master Fund held over 1,700
securities. In general, average cash exposure throughout the year was less than
1% of the Master Fund's assets.
For the 12 months ended October 31, 2017, total returns were 26.56% for the
Portfolio and 21.15% for the MSCI Japan Small Cap Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in the
Japanese equity market rather than by the behavior of a limited number of
stocks. The Master Fund's greater allocation to micro-cap stocks benefited
performance relative to the benchmark, as micro-caps generally outperformed
other small-cap stocks in Japan. At the sector level, the Master Fund generally
excludes real estate investment trusts (REITs). This exclusion also contributed
positively to the Portfolio's relative performance, as REITs underperformed
most other sectors for the period.
ASIA PACIFIC SMALL COMPANY PORTFOLIO
The Asia Pacific Small Company Portfolio is designed to capture the returns
of small company stocks in Australia, Hong Kong, New Zealand, and Singapore by
purchasing shares of the Asia Pacific Small Company Series, a Master Fund
managed by Dimensional that invests in such securities. The Portfolio generally
excludes stocks with the lowest profitability and highest relative price.
Relative price is measured primarily by book-to-market ratio. In assessing
profitability, Dimensional may consider such factors as earnings or profits
from operations relative to book value or assets. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2017, the
Master Fund held approximately 900 securities across the eligible countries. In
general, average cash exposure throughout the year was less than 1% of the
Master Fund's assets.
For the 12 months ended October 31, 2017, total returns were 15.70% for the
Portfolio and 16.75% for the MSCI Pacific ex Japan Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Master Fund's
diversified investment approach, performance was determined principally by
broad trends in Asia Pacific
29
equity markets rather than by the behavior of a limited number of stocks. The
Master Fund's greater emphasis on micro-cap stocks and consequent lesser
allocation to other small-cap stocks detracted from performance relative to the
benchmark, as micro-cap stocks generally underperformed in Asia Pacific equity
markets. The Master Fund's exclusion of companies with the lowest profitability
and highest relative price contributed positively to relative performance, as
those companies underperformed for the period.
UNITED KINGDOM SMALL COMPANY PORTFOLIO
The United Kingdom Small Company Portfolio is designed to capture the
returns of small company stocks in the U.K. by purchasing shares of the United
Kingdom Small Company Series, a Master Fund managed by Dimensional that invests
in such securities. The Portfolio generally excludes stocks with the lowest
profitability and highest relative price. Relative price is measured primarily
by book-to-market ratio. In assessing profitability, the Advisor may consider
such factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Master Fund held approximately 330
securities. In general, average cash exposure throughout the year was less than
1% of the Master Fund's assets.
For the 12 months ended October 31, 2017, total returns were 29.28% for the
Portfolio and 32.13% for the MSCI UK Small Cap Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in the U.K.
equity market rather than by the behavior of a limited number of stocks. By
design, the Master Fund provides consistent and diversified exposure to small
companies in the U.K. Due to differences in methodology, the Master Fund may
invest in or hold small-cap securities with higher market capitalizations that
the benchmark does not hold. The Master Fund's holdings of these securities
underperformed for the period and detracted from the Master Fund's performance
relative to the benchmark. Additionally, the Master Fund may exclude securities
that are included in the benchmark but listed on exchanges not yet approved for
investment by Dimensional. The Master Fund's exclusion of these securities also
detracted from relative performance, as those stocks generally outperformed for
the period. The Master Fund's general exclusions of real estate investment
trusts (REITs) and companies with the lowest profitability and highest relative
price contributed positively to relative performance, as those securities
generally underperformed for the period.
CONTINENTAL SMALL COMPANY PORTFOLIO
The Continental Small Company Portfolio is designed to capture the returns
of small company stocks in the developed markets of Europe (excluding the U.K.)
and Israel by purchasing shares of the Continental Small Company Series, a
Master Fund managed by Dimensional that invests in such securities. The
Portfolio generally excludes stocks with the lowest profitability and highest
relative price. Relative price is measured primarily by book-to-market ratio.
In assessing profitability, Dimensional may consider such factors as earnings
or profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Master Fund held approximately 1,200 securities in 15
eligible countries. In general, average cash exposure throughout the year was
less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 33.68% for the
Portfolio and 34.23% for the MSCI Europe ex UK Small Cap Index (net dividends),
the Portfolio's benchmark. Due to differences in methodology, the Master Fund
and the benchmark may have different definitions for the maximum market
capitalization of small-cap securities on a country-by-country basis. As a
result, the Master Fund and the benchmark may invest in or hold small-cap
securities that the other does not hold. Differences in holdings of these
securities detracted from the Master Fund's performance relative to the
benchmark. The Master Fund's exclusion of real estate investment trusts (REITs)
contributed positively to relative performance, as those securities
underperformed for the period.
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
The DFA International Real Estate Securities Portfolio is designed to
capture the returns of a broadly diversified portfolio of real estate
securities in developed ex U.S. and emerging markets. As of October 31, 2017,
the Portfolio held approximately 300 securities in 21 approved developed ex
U.S. and emerging markets countries. In general, average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
30
For the 12 months ended October 31, 2017, total returns were 5.46% for the
Portfolio and 5.70% for the S&P Global ex US REIT Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified approach,
performance was generally determined by broad trends in international real
estate securities markets rather than by the behavior of a limited number of
stocks. The Portfolio's lesser allocation to Spain detracted from performance
relative to the benchmark, as did holdings differences among diversified REITs.
These holdings differences were due to methodology differences between the
Portfolio and the benchmark. Withholding tax rate differences between the
Portfolio and the benchmark had a positive impact on relative performance for
the period.
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
The DFA Global Real Estate Securities Portfolio is designed to capture the
returns of a broadly diversified group of real estate securities in developed
and emerging markets. As of October 31, 2017, the Portfolio invested in the DFA
International Real Estate Securities Portfolio, the DFA Real Estate Securities
Portfolio, and individual securities. As of October 31, 2017, the Portfolio
held, either directly or through the underlying portfolios, approximately 440
securities in 22 approved developed and emerging markets. In general, average
cash exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 5.82% for the
Portfolio and 4.31% for the S&P Global REIT Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified approach,
performance was generally determined by broad trends in global real estate
markets rather than by the behavior of a limited number of stocks. At the
country level, holdings differences between the Portfolio and the benchmark in
the U.S. contributed positively to relative performance. These holdings
differences were primarily driven by differences in REIT eligibility between
the Portfolio and the benchmark, most notably among data center REITs.
Withholding tax rate differences between the Portfolio and the benchmark also
had a positive impact on relative performance for the period.
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
The DFA International Small Cap Value Portfolio is designed to capture the
returns of small-cap value stocks in developed ex U.S. markets. Value is
measured primarily by book-to-market ratio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2017, the
Portfolio held over 2,100 securities in 22 eligible developed markets. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 27.49% for the
Portfolio and 25.86% for the MSCI World ex USA Small Cap Index (net dividends),
the Portfolio's benchmark. As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad trends in
developed ex U.S. equity markets rather than by the behavior of a limited
number of stocks. At the sector level, the Portfolio generally excludes real
estate investment trusts (REITs). This exclusion benefited the Portfolio's
performance relative to the benchmark, as REITs underperformed most other
sectors for the period. At the country level, the Portfolio's greater focus on
small-caps and micro-caps had a positive impact in Japan.
INTERNATIONAL VECTOR EQUITY PORTFOLIO
The International Vector Equity Portfolio is designed to capture the returns
of a broadly diversified group of stocks in developed ex U.S. markets, with
increased exposure to stocks with smaller market capitalization, lower relative
price (value), and higher profitability. In assessing profitability Dimensional
may consider such factors as earnings or profits from operations relative to
book value or assets. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2017, the Portfolio held approximately
4,900 securities in 22 eligible developed markets. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 26.83% for the
Portfolio and 22.74% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio's inclusion of and greater emphasis on small-cap stocks
contributed positively to performance relative to the benchmark (which is
mostly composed of
31
large- and mid-cap stocks), as small-caps generally outperformed large-caps in
developed markets outside the U.S. At the sector level, the Portfolio's general
exclusion of real estate investment trusts (REITs) had a positive impact on
relative performance, as REITs underperformed the benchmark.
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
The International High Relative Profitability Portfolio seeks to capture the
returns of developed ex U.S. large-cap stocks with higher profitability. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Portfolio held approximately 480 securities in 22
eligible developed markets. In general, average cash exposure since inception
was less than 1% of the Portfolio's assets.
From inception on May 16, 2017, through October 31, 2017, total returns were
7.38% for the Portfolio and 7.34% for the MSCI World ex USA Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. equity markets rather than by the behavior of
a limited number of stocks. With mid-cap stocks generally outperforming
large-cap stocks for the period, the Portfolio's emphasis on mid-cap stocks
contributed positively to performance relative to the benchmark. This was
partially offset by the Portfolio's focus on stocks with high profitability, as
these stocks generally underperformed for the period and detracted from
relative performance.
WORLD EX U.S. VALUE PORTFOLIO
The World ex U.S. Value Portfolio is designed to capture the returns of
value stocks across all market capitalizations in developed ex U.S. and
emerging markets. The Portfolio may pursue its objective by holding direct
securities; by purchasing shares of funds managed by Dimensional: the DFA
International Value Series, the DFA International Small Cap Value Portfolio,
and the Dimensional Emerging Markets Value Fund (the "Underlying Funds"); or by
a combination of securities and Underlying Funds. Value is measured primarily
by price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2017, the Underlying Funds
collectively held approximately 5,000 securities in 41 eligible developed ex
U.S. and emerging markets. In general, average cash exposure throughout the
year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 25.97% for the
Portfolio and 23.64% for the MSCI All Country World ex USA Index (net
dividends), the Portfolio's benchmark. As a result of the Underlying Funds'
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging equity markets rather than by
the behavior of a limited number of stocks. With low relative price (value)
stocks outperforming high relative price (growth) stocks in developed ex U.S.
markets for the period, the Underlying Funds' focus on value stocks contributed
positively to the Portfolio's performance relative to the benchmark. The
Underlying Funds' general exclusion of real estate investment trusts (REITs)
and certain utilities had a positive impact on relative performance, as REITs
and utilities underperformed the benchmark.
WORLD EX U.S. TARGETED VALUE PORTFOLIO
The World ex U.S. Targeted Value Portfolio is designed to capture the
returns of small- and mid-cap value stocks in developed ex U.S. and emerging
markets. Value is measured primarily by book-to-market ratio. The World ex U.S.
Targeted Value Portfolio may also consider profitability in the Portfolio's
construction. In assessing profitability, Dimensional may consider such factors
as earnings or profits from operations relative to book value or assets. The
investment strategy is process-driven, emphasizing broad diversification. As of
October 31, 2017, the Portfolio held approximately 4,400 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 27.61% for the
Portfolio and 24.70% for the MSCI All Country World ex USA Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging markets rather than by the
behavior of a limited number of stocks. Within the small cap universe,
high-profitability stocks generally outperformed low-profitability stocks for
the period. As a result, the Portfolio's greater emphasis on high-profitability
stocks contributed positively to performance relative to the
32
benchmark. At the sector level, the Portfolio generally excludes real estate
investment trusts (REITs). This exclusion also had a positive impact on the
Portfolio's relative performance, as REITs underperformed most other sectors
for the period.
WORLD EX U.S. CORE EQUITY PORTFOLIO
The World ex U.S. Core Equity Portfolio is designed to capture the returns
of a broadly diversified group of stocks in developed ex U.S. and emerging
markets with increased exposure to stocks with smaller market capitalization,
lower relative price (value), and higher profitability. In assessing
profitability Dimensional may consider such factors as earnings or profits from
operations relative to book value or assets. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2017, the
Portfolio held approximately 8,300 securities in 43 eligible developed and
emerging markets. In general, average cash exposure throughout the year was
less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 25.33% for the
Portfolio and 23.64% for the MSCI All Country World ex USA Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging equity markets rather than by
the behavior of a limited number of stocks. With developed ex U.S. small-caps
generally outperforming large-caps for the period, the Portfolio's inclusion of
and emphasis on small-cap stocks contributed positively to performance relative
to the benchmark (which is mostly composed of large- and mid-cap stocks). At
the sector level, the Portfolio's general exclusion of real estate investment
trusts (REITs) also benefited relative performance, as REITs underperformed the
benchmark.
WORLD CORE EQUITY PORTFOLIO
The World Core Equity Portfolio seeks long-term capital appreciation
generally by investing in a combination of other mutual funds managed by
Dimensional. As of the date of this report, the Portfolio's investments
included the U.S. Core Equity 1 Portfolio, International Core Equity Portfolio,
and Emerging Markets Core Equity Portfolio (collectively, the "Underlying
Funds"). The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Underlying Funds collectively held
more than 12,000 equity securities in 44 countries.
For the 12 months ended October 31, 2017, total returns were 25.14% for the
Portfolio and 23.20% for the MSCI All Country World Index (net dividends), the
Portfolio's benchmark. As a result of the Underlying Funds' diversified
investment approach, performance was determined principally by broad trends in
global equity markets rather than by the behavior of a limited group of stocks.
With U.S. and developed ex U.S. small-caps generally outperforming large-caps
for the period, the Underlying Funds' inclusion of and emphasis on small-cap
stocks contributed positively to Portfolio's performance relative to the
benchmark (which is mostly composed of large- and mid-cap stocks). At the
sector level, the Underlying Funds' general exclusion of real estate investment
trusts (REITs) also benefited relative performance, as REITs underperformed the
benchmark.
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
The Selectively Hedged Global Equity Portfolio seeks long-term capital
appreciation by investing in a combination of other mutual funds managed by
Dimensional. As of the date of this report, the Portfolio invests in the U.S.
Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging
Markets Core Equity Portfolio (the "Underlying Funds"). The Portfolio hedges
foreign currency exposure on a selective basis to capture positive forward
currency premiums. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Underlying Funds collectively held
more than 12,000 equity securities in 44 countries.
For the 12 months ended October 31, 2017, total returns were 24.54% for the
Portfolio and 23.20% for the MSCI All Country World Index (net dividends), the
Portfolio's benchmark. As a result of the Underlying Funds' diversified
investment approach, performance was determined principally by broad trends in
global equity markets (rather than by the behavior of a limited group of stocks
in a particular industry or country) and by the effect of the Portfolio's
currency hedging activity. With U.S. and developed ex U.S. small-caps generally
outperforming large for the period, the Underlying Funds' inclusion of and
emphasis on small-cap stocks contributed positively to Portfolio's performance
relative to the benchmark (which is mostly composed of large- and mid-cap
stocks). At the sector level, the Underlying Funds' general exclusion of real
estate investment trusts (REITs) also benefited relative
33
performance, as REITs underperformed the benchmark. The Portfolio's strategy of
selectively hedging foreign currency exposure slightly detracted from relative
performance, as the U.S. dollar generally depreciated against the currencies
that it had hedged and the benchmark does not hedge currency exposure.
EMERGING MARKETS PORTFOLIO
The Emerging Markets Portfolio is designed to capture the returns of
large-cap stocks in selected emerging markets countries by purchasing shares of
The Emerging Markets Series, a Master Fund managed by Dimensional that invests
in such securities. The investment strategy is process driven, emphasizing
broad diversification with increased exposure to smaller total market
capitalization large company stocks, low relative price (value) stocks, and
higher-profitability stocks relative to the emerging markets large-cap
universe. In assessing profitability Dimensional may consider such factors as
earnings or profits from operations relative to book value or assets. As of
October 31, 2017, the Master Fund held approximately 1,100 securities across 21
eligible emerging markets. In general, average cash exposure throughout the
year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2017, total returns were 24.83% for the
Portfolio and 26.45% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The Master Fund's greater
emphasis on smaller market cap stocks within the large-cap space detracted from
the Portfolio's performance relative to the benchmark (which is composed of
mostly mid- and large-cap stocks), as smaller stocks within the large-cap space
generally underperformed other large-caps for the period. At the country level,
the Master Fund's lesser allocation to China detracted from relative
performance, as China was among the strongest-performing countries in the
benchmark. Conversely, the Master Fund's lack of exposure to Qatar and the
U.A.E., (both of which were included in the benchmark) contributed positively
to relative performance, as those countries underperformed.
EMERGING MARKETS SMALL CAP PORTFOLIO
The Emerging Markets Small Cap Portfolio is designed to capture the returns
of small company stocks in selected emerging markets by purchasing shares of
The Emerging Markets Small Cap Series, a Master Fund managed by Dimensional
that invests in such securities. The Master Fund's investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2017, the
Master Fund held approximately 4,000 securities across 17 eligible emerging
markets. In general, average cash exposure throughout the year was less than 1%
of the Master Fund's assets.
For the 12 months ended October 31, 2017, total returns were 21.00% for the
Portfolio and 26.45% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified approach,
performance was principally determined by broad trends in emerging markets
rather than by the behavior of a limited number of stocks. With small-caps
generally underperforming large-caps for the year, the Master Fund's focus on
small-caps was the primary driver of the Portfolio's underperformance relative
to the benchmark (which is composed of mostly mid- and large-cap stocks). At
the country level, the Master Fund's lesser allocation to China detracted from
relative performance, as China was among the strongest-performing countries in
the benchmark.
EMERGING MARKETS VALUE PORTFOLIO
The Emerging Markets Value Portfolio is designed to capture the returns of
value stocks of large and small companies in selected emerging markets by
purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund
managed by Dimensional that invests in such securities. Value is measured
primarily by price-to-book ratio. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2017, the Master Fund held
approximately 2,400 securities across 19 eligible emerging markets. In general,
average cash exposure throughout the year was less than 1% of the Master Fund's
assets.
For the 12 months ended October 31, 2017, total returns were 24.11% for the
Portfolio's Class R2 shares, 24.41% for the Portfolio's Institutional
Class shares, and 26.45% for the MSCI Emerging Markets Index (net dividends),
the Portfolio's benchmark. As a result of the Master Fund's diversified
investment approach, the Portfolio's performance was generally determined by
broad trends in emerging markets rather than by the behavior
34
of a limited number of stocks. With low relative price (value) underperforming
high relative price (growth) stocks among large-caps for the period, the Master
Fund's focus on value stocks had a negative impact on performance relative to
the style-neutral benchmark. At the country level, the Master Fund's lesser
allocation to China detracted from relative performance, as China was among the
strongest-performing countries in the benchmark. The Master Fund's greater
focus on value securities in India had a positive impact on relative
performance, as these securities outperformed.
EMERGING MARKETS CORE EQUITY PORTFOLIO
The Emerging Markets Core Equity Portfolio is designed to capture the
returns of a broadly diversified group of stocks in emerging markets, with
increased exposure to stocks with smaller market capitalization, lower relative
price (value), and higher profitability. In assessing profitability Dimensional
may consider such factors as earnings or profits from operations relative to
book value or assets. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2017, the Portfolio held approximately
4,800 securities across 21 eligible emerging markets. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.02% for the
Portfolio and 26.45% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The Portfolio's inclusion
of and greater emphasis on small-cap stocks were the primary drivers of
underperformance relative to the benchmark (which is mostly composed of large-
and mid-cap stocks), as small-caps generally underperformed larger company
securities for the period. Additionally, with low relative price (value) stocks
generally underperforming high relative price (growth) stocks in emerging
markets, the Portfolio's greater emphasis on value stocks detracted from
relative performance. At the country level, the Portfolio's lesser allocation
to China also detracted from relative performance, as China was among the
stronger performers in the benchmark for the period.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
-------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,090.00 0.15% $0.79
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,024.45 0.15% $0.77
36
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP EQUITY PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,088.40 0.18% $0.95
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,024.30 0.18% $0.92
U.S. LARGE CAP VALUE PORTFOLIO**
--------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,077.50 0.27% $1.41
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.84 0.27% $1.38
U.S. TARGETED VALUE PORTFOLIO
-----------------------------
Actual Fund Return
Class R1 Shares................. $1,000.00 $1,058.80 0.47% $2.44
Class R2 Shares................. $1,000.00 $1,057.80 0.62% $3.22
Institutional Class Shares...... $1,000.00 $1,059.30 0.37% $1.92
Hypothetical 5% Annual Return
Class R1 Shares................. $1,000.00 $1,022.84 0.47% $2.40
Class R2 Shares................. $1,000.00 $1,022.08 0.62% $3.16
Institutional Class Shares...... $1,000.00 $1,023.34 0.37% $1.89
U.S. SMALL CAP VALUE PORTFOLIO
------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,059.00 0.52% $2.70
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.58 0.52% $2.65
U.S. CORE EQUITY 1 PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,089.10 0.19% $1.00
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,024.25 0.19% $0.97
U.S. CORE EQUITY 2 PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,082.30 0.22% $1.15
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,024.10 0.22% $1.12
U.S. VECTOR EQUITY PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,071.40 0.32% $1.67
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.59 0.32% $1.63
37
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. SMALL CAP PORTFOLIO
------------------------
Actual Fund Return
Institutional Class Shares.................... $1,000.00 $1,065.50 0.37% $1.93
Hypothetical 5% Annual Return
Institutional Class Shares.................... $1,000.00 $1,023.34 0.37% $1.89
U.S. MICRO CAP PORTFOLIO
------------------------
Actual Fund Return
Institutional Class Shares.................... $1,000.00 $1,083.90 0.52% $2.73
Hypothetical 5% Annual Return
Institutional Class Shares.................... $1,000.00 $1,022.58 0.52% $2.65
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO****
----------------------------------------------
Actual Fund Return
Institutional Class Shares.................... $1,000.00 $1,098.40 0.25% $1.21
Hypothetical 5% Annual Return
Institutional Class Shares.................... $1,000.00 $1,021.86 0.25% $1.16
DFA REAL ESTATE SECURITIES PORTFOLIO
------------------------------------
Actual Fund Return
Institutional Class Shares.................... $1,000.00 $1,021.20 0.18% $0.92
Hypothetical 5% Annual Return
Institutional Class Shares.................... $1,000.00 $1,024.30 0.18% $0.92
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------
Actual Fund Return
Institutional Class Shares.................... $1,000.00 $1,113.20 0.23% $1.23
Hypothetical 5% Annual Return
Institutional Class Shares.................... $1,000.00 $1,024.05 0.23% $1.17
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares.................... $1,000.00 $1,125.70 0.29% $1.55
Hypothetical 5% Annual Return
Institutional Class Shares.................... $1,000.00 $1,023.74 0.29% $1.48
INTERNATIONAL SMALL COMPANY PORTFOLIO***
----------------------------------------
Actual Fund Return
Institutional Class Shares.................... $1,000.00 $1,123.90 0.53% $2.84
Hypothetical 5% Annual Return
Institutional Class Shares.................... $1,000.00 $1,022.53 0.53% $2.70
GLOBAL SMALL COMPANY PORTFOLIO***
---------------------------------
Actual Fund Return
Institutional Class Shares.................... $1,000.00 $1,090.80 0.52% $2.74
Hypothetical 5% Annual Return
Institutional Class Shares.................... $1,000.00 $1,022.58 0.52% $2.65
38
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
JAPANESE SMALL COMPANY PORTFOLIO**
----------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,184.10 0.53% $2.92
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.53 0.53% $2.70
ASIA PACIFIC SMALL COMPANY PORTFOLIO**
--------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,103.80 0.54% $2.86
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.48 0.54% $2.75
UNITED KINGDOM SMALL COMPANY PORTFOLIO**
----------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,073.40 0.59% $3.08
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.23 0.59% $3.01
CONTINENTAL SMALL COMPANY PORTFOLIO**
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,132.00 0.56% $3.01
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.38 0.56% $2.85
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,016.00 0.28% $1.42
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.79 0.28% $1.43
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO*****
------------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,021.60 0.24% $1.22
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,024.00 0.24% $1.22
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
-------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,125.40 0.68% $3.64
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.78 0.68% $3.47
INTERNATIONAL VECTOR EQUITY PORTFOLIO
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,128.80 0.49% $2.63
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.74 0.49% $2.50
39
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO****
-------------------------------------------------------
Actual Fund Return
Institutional Class Shares............................. $1,000.00 $1,000.00 0.32% $1.47
Hypothetical 5% Annual Return
Institutional Class Shares............................. $1,000.00 $1,021.54 0.32% $1.49
WORLD EX U.S. VALUE PORTFOLIO***
--------------------------------
Actual Fund Return
Institutional Class Shares............................. $1,000.00 $1,127.80 0.51% $2.74
Hypothetical 5% Annual Return
Institutional Class Shares............................. $1,000.00 $1,022.63 0.51% $2.60
WORLD EX U.S. TARGETED VALUE PORTFOLIO
--------------------------------------
Actual Fund Return
Institutional Class Shares............................. $1,000.00 $1,120.30 0.65% $3.47
Hypothetical 5% Annual Return
Institutional Class Shares............................. $1,000.00 $1,021.93 0.65% $3.31
WORLD EX U.S. CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares............................. $1,000.00 $1,125.80 0.38% $2.04
Hypothetical 5% Annual Return
Institutional Class Shares............................. $1,000.00 $1,023.29 0.38% $1.94
WORLD CORE EQUITY PORTFOLIO***
------------------------------
Actual Fund Return
Institutional Class Shares............................. $1,000.00 $1,106.60 0.35% $1.86
Hypothetical 5% Annual Return
Institutional Class Shares............................. $1,000.00 $1,023.44 0.35% $1.79
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO***
---------------------------------------------
Actual Fund Return
Institutional Class Shares............................. $1,000.00 $1,099.10 0.35% $1.85
Hypothetical 5% Annual Return
Institutional Class Shares............................. $1,000.00 $1,023.44 0.35% $1.79
EMERGING MARKETS PORTFOLIO**
----------------------------
Actual Fund Return
Institutional Class Shares............................. $1,000.00 $1,143.00 0.48% $2.59
Hypothetical 5% Annual Return
Institutional Class Shares............................. $1,000.00 $1,022.79 0.48% $2.45
EMERGING MARKETS SMALL CAP PORTFOLIO**
--------------------------------------
Actual Fund Return
Institutional Class Shares............................. $1,000.00 $1,101.70 0.74% $3.92
Hypothetical 5% Annual Return
Institutional Class Shares............................. $1,000.00 $1,021.48 0.74% $3.77
40
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
EMERGING MARKETS VALUE PORTFOLIO**
----------------------------------
Actual Fund Return
Class R2 Shares....................... $1,000.00 $1,114.10 0.82% $4.37
Institutional Class Shares............ $1,000.00 $1,115.80 0.57% $3.04
Hypothetical 5% Annual Return
Class R2 Shares....................... $1,000.00 $1,021.07 0.82% $4.18
Institutional Class Shares............ $1,000.00 $1,022.33 0.57% $2.91
EMERGING MARKETS CORE EQUITY PORTFOLIO
--------------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $1,130.70 0.53% $2.85
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,022.53 0.53% $2.70
----------
* Expenses are equal to the fund's annualized expense ratio for the
six-month period, multiplied by the average account value over the period,
multiplied by the number of days in the most recent six-month period
(184), then divided by the number of days in the year (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).
*** 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 and/or Underlying Funds (Affiliated Investment
Companies).
**** The Portfolios commenced operations on May 16, 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 (168), 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 184 day period for the period
ended October 31, 2017 to allow for comparability.
*****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 and/or Underlying Funds (Affiliated
Investment Companies).
41
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 29, 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%
42
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.................................... 35.7%
Foreign Corporate............................ 24.8%
Foreign Government........................... 18.5%
Government................................... 19.7%
Supranational................................ 1.3%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. LARGE CAP EQUITY PORTFOLIO
Consumer Discretionary....................... 14.4%
Consumer Staples............................. 7.8%
Energy....................................... 5.1%
Financials................................... 14.8%
Health Care.................................. 13.4%
Industrials.................................. 12.2%
Information Technology....................... 23.2%
Materials.................................... 4.0%
Real Estate.................................. 0.2%
Telecommunication Services................... 2.3%
Utilities.................................... 2.6%
-----
100.0%
U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 15.9%
Consumer Staples............................. 2.5%
Energy....................................... 9.7%
Financials................................... 24.3%
Health Care.................................. 5.6%
Industrials.................................. 21.7%
Information Technology....................... 12.6%
Materials.................................... 5.8%
Real Estate.................................. 0.5%
Telecommunication Services................... 0.7%
Utilities.................................... 0.7%
-----
100.0%
U.S. SMALL CAP VALUE PORTFOLIO
Consumer Discretionary....................... 15.3%
Consumer Staples............................. 4.4%
Energy....................................... 9.0%
Financials................................... 26.9%
Health Care.................................. 4.8%
Industrials.................................. 18.3%
Information Technology....................... 14.5%
Materials.................................... 5.6%
Real Estate.................................. 0.2%
Telecommunication Services................... 1.0%
-----
100.0%
U.S. CORE EQUITY 1 PORTFOLIO
Consumer Discretionary....................... 15.2%
Consumer Staples............................. 6.9%
Energy....................................... 4.8%
Financials................................... 15.8%
Health Care.................................. 11.7%
Industrials.................................. 13.8%
Information Technology....................... 21.9%
Materials.................................... 4.7%
Real Estate.................................. 0.3%
Telecommunication Services................... 2.0%
Utilities.................................... 2.9%
-----
100.0%
U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 14.5%
Consumer Staples............................. 6.0%
Energy....................................... 5.3%
Financials................................... 19.3%
Health Care.................................. 11.0%
Industrials.................................. 14.6%
Information Technology....................... 19.7%
Materials.................................... 5.0%
Real Estate.................................. 0.4%
Telecommunication Services................... 2.2%
Utilities.................................... 2.0%
-----
100.0%
U.S. VECTOR EQUITY PORTFOLIO
Consumer Discretionary....................... 13.9%
Consumer Staples............................. 4.3%
Energy....................................... 6.6%
Financials................................... 24.5%
Health Care.................................. 8.3%
Industrials.................................. 16.9%
Information Technology....................... 15.8%
Materials.................................... 5.7%
Real Estate.................................. 0.5%
Telecommunication Services................... 2.4%
Utilities.................................... 1.1%
-----
100.0%
U.S. SMALL CAP PORTFOLIO
Consumer Discretionary....................... 15.5%
Consumer Staples............................. 4.2%
Energy....................................... 4.4%
Financials................................... 21.0%
Health Care.................................. 8.4%
Industrials.................................. 20.1%
Information Technology....................... 15.2%
Materials.................................... 5.5%
Real Estate.................................. 0.6%
Telecommunication Services................... 1.2%
Utilities.................................... 3.9%
-----
100.0%
U.S. MICRO CAP PORTFOLIO
Consumer Discretionary....................... 14.1%
Consumer Staples............................. 3.5%
Energy....................................... 3.4%
Financials................................... 22.1%
Health Care.................................. 10.0%
Industrials.................................. 22.2%
Information Technology....................... 14.0%
Materials.................................... 5.5%
Real Estate.................................. 1.0%
Telecommunication Services................... 1.8%
Utilities.................................... 2.4%
-----
100.0%
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
Consumer Discretionary....................... 21.9%
Consumer Staples............................. 12.5%
Energy....................................... 0.8%
Financials................................... 3.4%
Health Care.................................. 8.2%
Industrials.................................. 19.7%
Information Technology....................... 25.4%
Materials.................................... 4.8%
Telecommunication Services................... 3.0%
Utilities.................................... 0.3%
-----
100.0%
43
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DFA REAL ESTATE SECURITIES PORTFOLIO
Real Estate Investment Trusts................ 100.0%
-----
100.0%
LARGE CAP INTERNATIONAL PORTFOLIO
Consumer Discretionary....................... 13.1%
Consumer Staples............................. 10.2%
Energy....................................... 6.2%
Financials................................... 21.0%
Health Care.................................. 8.8%
Industrials.................................. 15.3%
Information Technology....................... 5.9%
Materials.................................... 10.3%
Real Estate.................................. 1.9%
Telecommunication Services................... 4.0%
Utilities.................................... 3.3%
-----
100.0%
INTERNATIONAL CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 7.0%
Energy....................................... 5.7%
Financials................................... 17.8%
Health Care.................................. 5.3%
Industrials.................................. 18.7%
Information Technology....................... 6.9%
Materials.................................... 13.6%
Real Estate.................................. 2.4%
Telecommunication Services................... 3.2%
Utilities.................................... 3.1%
-----
100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Real Estate.................................. 100.0%
-----
100.0%
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
Affiliated Investment Companies.............. 58.6%
Real Estate.................................. 41.4%
-----
100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Consumer Discretionary....................... 16.4%
Consumer Staples............................. 4.4%
Energy....................................... 5.9%
Financials................................... 19.9%
Health Care.................................. 1.6%
Industrials.................................. 23.9%
Information Technology....................... 5.5%
Materials.................................... 16.9%
Real Estate.................................. 3.2%
Telecommunication Services................... 0.6%
Utilities.................................... 1.7%
-----
100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Consumer Discretionary....................... 15.7%
Consumer Staples............................. 6.2%
Energy....................................... 6.7%
Financials................................... 18.1%
Health Care.................................. 4.6%
Industrials.................................. 19.5%
Information Technology....................... 7.6%
Materials.................................... 14.7%
Real Estate.................................. 2.5%
Telecommunication Services................... 2.1%
Utilities.................................... 2.3%
-----
100.0%
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
Consumer Discretionary....................... 17.6%
Consumer Staples............................. 12.1%
Energy....................................... 1.9%
Financials................................... 5.8%
Health Care.................................. 11.6%
Industrials.................................. 21.7%
Information Technology....................... 5.9%
Materials.................................... 12.6%
Real Estate.................................. 0.5%
Telecommunication Services................... 7.2%
Utilities.................................... 3.1%
-----
100.0%
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 4.9%
Energy....................................... 5.2%
Financials................................... 17.7%
Health Care.................................. 2.7%
Industrials.................................. 20.6%
Information Technology....................... 7.8%
Materials.................................... 16.8%
Real Estate.................................. 5.0%
Telecommunication Services................... 1.0%
Utilities.................................... 2.0%
-----
100.0%
WORLD EX U.S. CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 14.9%
Consumer Staples............................. 7.1%
Energy....................................... 5.7%
Financials................................... 18.1%
Health Care.................................. 4.8%
Industrials.................................. 16.7%
Information Technology....................... 10.1%
Materials.................................... 13.0%
Real Estate.................................. 3.2%
Telecommunication Services................... 3.3%
Utilities.................................... 3.1%
-----
100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 11.4%
Consumer Staples............................. 7.4%
Energy....................................... 5.5%
Financials................................... 18.2%
Health Care.................................. 3.3%
Industrials.................................. 9.2%
Information Technology....................... 23.0%
Materials.................................... 11.0%
Real Estate.................................. 3.7%
Telecommunication Services................... 3.9%
Utilities.................................... 3.4%
-----
100.0%
44
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
BONDS -- (79.6%)
AUSTRALIA -- (7.5%)
ANZ New Zealand Int'l, Ltd.
2.600%, 09/23/19............................. 2,200 $ 2,222,192
Commonwealth Bank of Australia
## 1.375%, 09/06/18............................. 3,995 3,984,854
5.000%, 10/15/19............................. 3,000 3,164,435
National Australia Bank, Ltd.
2.125%, 05/22/20............................. 2,941 2,940,994
Westpac Banking Corp.
2.250%, 07/30/18............................. 3,000 3,014,965
2.250%, 01/17/19............................. 3,200 3,215,254
Other Securities................................. 5,340,414
-----------
TOTAL AUSTRALIA.................................. 23,883,108
-----------
AUSTRIA -- (2.2%)
Oesterreichische Kontrollbank AG
1.750%, 01/24/20............................. 5,000 4,989,016
Other Securities................................. 1,980,351
-----------
TOTAL AUSTRIA.................................... 6,969,367
-----------
BELGIUM -- (0.4%)
Other Securities................................. 1,204,656
-----------
CANADA -- (14.1%)
Alberta, Province of Canada
1.900%, 12/06/19............................. 4,600 4,591,164
Canada Housing Trust No 1
## 2.000%, 12/15/19............................. CAD 4,000 3,129,618
CPPIB Capital, Inc.
1.400%, 06/04/20............................. CAD 6,200 4,769,016
Ontario, Province of Canada
2.000%, 09/27/18............................. 2,200 2,206,283
Province of Ontario Canada
4.400%, 04/14/20............................. 5,000 5,281,339
Quebec, Province of Canada
4.500%, 12/01/19............................. CAD 2,500 2,052,186
Royal Bank of Canada
2.000%, 12/10/18............................. 2,599 2,605,414
Saskatchewan, Province of Canada
3.900%, 07/28/20............................. CAD 6,300 5,167,992
Toronto-Dominion Bank (The)
1.950%, 01/22/19............................. 2,400 2,404,598
2.563%, 06/24/20............................. CAD 3,000 2,362,887
Other Securities................................. 10,456,927
-----------
TOTAL CANADA..................................... 45,027,424
-----------
DENMARK -- (1.7%)
Kommunekredit
1.250%, 08/27/18............................. 5,300 5,282,669
-----------
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
FINLAND -- (0.9%)
Other Securities................................. $ 2,989,602
-----------
FRANCE -- (0.2%)
Other Securities................................. 597,972
-----------
GERMANY -- (3.3%)
Other Securities................................. 10,583,693
-----------
IRELAND -- (1.2%)
Medtronic, Inc.
2.500%, 03/15/20............................. 2,500 2,533,894
Other Securities................................. 1,218,071
-----------
TOTAL IRELAND.................................... 3,751,965
-----------
JAPAN -- (4.3%)
Toyota Credit Canada, Inc.
2.800%, 11/21/18............................. CAD 3,000 2,350,841
Toyota Motor Credit Corp.
1.550%, 10/18/19............................. 2,500 2,486,139
Other Securities................................. 8,915,808
-----------
TOTAL JAPAN...................................... 13,752,788
-----------
NETHERLANDS -- (7.2%)
Bank Nederlandse Gemeenten NV
## 1.000%, 09/20/18............................. 5,000 4,971,500
1.875%, 06/11/19............................. 2,954 2,958,416
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 4,144 4,165,363
Shell International Finance BV
1.375%, 09/12/19............................. 3,000 2,976,990
Other Securities................................. 7,784,969
-----------
TOTAL NETHERLANDS................................ 22,857,238
-----------
NORWAY -- (2.2%)
Statoil ASA
2.250%, 11/08/19............................. 4,461 4,490,062
Other Securities................................. 2,396,159
-----------
TOTAL NORWAY..................................... 6,886,221
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.2%)
Council Of Europe Development Bank
1.625%, 03/10/20............................. 3,000 2,983,652
Other Securities................................. 989,060
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 3,972,712
-----------
SWEDEN -- (0.8%)
Other Securities................................. 2,703,253
-----------
45
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
SWITZERLAND -- (0.3%)
Other Securities................................... $1,005,258
----------
UNITED KINGDOM -- (1.5%)
BP Capital Markets P.L.C.
2.315%, 02/13/20.............................. 2,550 2,570,236
Other Securities................................... 2,185,127
----------
TOTAL UNITED KINGDOM............................... 4,755,363
----------
UNITED STATES -- (30.6%)
Apple, Inc.
1.100%, 08/02/19.............................. 3,000 2,969,949
Becton Dickinson and Co.
2.675%, 12/15/19.............................. 2,100 2,121,250
Bristol-Myers Squibb Co.
1.600%, 02/27/19.............................. 2,500 2,494,951
Chevron Corp.
2.193%, 11/15/19.............................. 3,500 3,526,471
Citizens Bank NA
2.450%, 12/04/19.............................. 2,200 2,213,324
Dominion Energy, Inc.
2.500%, 12/01/19.............................. 2,000 2,013,467
Eastman Chemical Co.
2.700%, 01/15/20.............................. 2,000 2,022,724
Enterprise Products Operating LLC
5.250%, 01/31/20.............................. 2,000 2,131,948
Exelon Generation Co. LLC
2.950%, 01/15/20.............................. 2,000 2,030,641
Humana, Inc.
2.625%, 10/01/19.............................. 2,000 2,022,634
Microsoft Corp.
1.850%, 02/06/20.............................. 3,000 3,001,244
Pfizer, Inc.
2.100%, 05/15/19.............................. 3,000 3,017,097
Ryder System, Inc.
2.450%, 09/03/19.............................. 2,000 2,014,220
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 2,000 $ 2,018,514
Time Warner, Inc.
4.875%, 03/15/20............................. 2,000 2,120,025
Tyson Foods, Inc.
2.650%, 08/15/19............................. 2,000 2,020,207
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 2,000 2,016,760
Other Securities................................... 58,054,163
------------
TOTAL UNITED STATES................................ 97,809,589
------------
TOTAL BONDS........................................ 254,032,878
------------
U.S. TREASURY OBLIGATIONS -- (19.5%)
U.S. Treasury Notes
0.875%, 09/15/19............................. 3,600 3,552,328
# 1.125%, 03/31/20............................. 22,700 22,408,270
1.500%, 05/15/20............................. 3,500 3,483,457
1.375%, 05/31/20............................. 2,500 2,480,078
1.625%, 06/30/20............................. 28,500 28,436,543
Other Securities................................... 1,977,734
------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 62,338,410
------------
TOTAL INVESTMENT SECURITIES........................ 316,371,288
------------
SHARES
- ------ -
SECURITIES LENDING COLLATERAL -- (0.9%)
(S)@ DFA Short Term Investment Fund............... 261,629 3,027,311
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $320,452,313).............................. $319,398,599
============
At October 31, 2017, Enhanced U.S. Large Company Portfolio had entered into the
following forward currency contracts and the net unrealized forward currency
gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ -------------- ----------------- ---------- --------------
USD 29,525,577 CAD 36,929,390 Barclays Capital 11/20/17 $895,808
--------
TOTAL APPRECIATION $895,808
========
46
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
At October 31, 2017, Enhanced U.S. Large Company Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R)... 2,516 12/15/17 $309,103,790 $323,645,660 $14,541,870
------------ ------------ -----------
TOTAL FUTURES CONTRACTS.. $309,103,790 $323,645,660 $14,541,870
============ ============ ===========
Summary of the Portfolio's investments as of October 31, 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................................. -- $ 23,883,108 -- $ 23,883,108
Austria................................... -- 6,969,367 -- 6,969,367
Belgium................................... -- 1,204,656 -- 1,204,656
Canada.................................... -- 45,027,424 -- 45,027,424
Denmark................................... -- 5,282,669 -- 5,282,669
Finland................................... -- 2,989,602 -- 2,989,602
France.................................... -- 597,972 -- 597,972
Germany................................... -- 10,583,693 -- 10,583,693
Ireland................................... -- 3,751,965 -- 3,751,965
Japan..................................... -- 13,752,788 -- 13,752,788
Netherlands............................... -- 22,857,238 -- 22,857,238
Norway.................................... -- 6,886,221 -- 6,886,221
Supranational Organization Obligations.... -- 3,972,712 -- 3,972,712
Sweden.................................... -- 2,703,253 -- 2,703,253
Switzerland............................... -- 1,005,258 -- 1,005,258
United Kingdom............................ -- 4,755,363 -- 4,755,363
United States............................. -- 97,809,589 -- 97,809,589
U.S. Treasury Obligations.................. -- 62,338,410 -- 62,338,410
Securities Lending Collateral.............. -- 3,027,311 -- 3,027,311
Futures Contracts**........................ $14,541,870 -- -- 14,541,870
Forward Currency Contracts**............... -- 895,808 -- 895,808
----------- ------------ -- ------------
TOTAL...................................... $14,541,870 $320,294,407 -- $334,836,277
=========== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
47
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (96.5%)
Consumer Discretionary -- (13.9%)
* Amazon.com, Inc................... 20,794 $ 22,983,192 1.9%
Comcast Corp. Class A............. 316,091 11,388,759 0.9%
Home Depot, Inc. (The)............ 59,866 9,924,585 0.8%
McDonald's Corp................... 30,670 5,119,130 0.4%
Walt Disney Co. (The)............. 84,177 8,233,352 0.7%
Other Securities.................. 116,879,847 9.7%
------------ -----
Total Consumer Discretionary.......... 174,528,865 14.4%
------------ -----
Consumer Staples -- (7.5%)
Altria Group, Inc................. 95,185 6,112,781 0.5%
Coca-Cola Co. (The)............... 179,524 8,254,513 0.7%
PepsiCo, Inc...................... 71,845 7,919,474 0.7%
Philip Morris International, Inc.. 58,561 6,127,823 0.5%
Procter & Gamble Co. (The)........ 122,323 10,561,368 0.9%
Wal-Mart Stores, Inc.............. 100,286 8,755,971 0.7%
Other Securities.................. 46,858,158 3.8%
------------ -----
Total Consumer Staples................ 94,590,088 7.8%
------------ -----
Energy -- (4.9%)
Chevron Corp...................... 72,058 8,350,802 0.7%
Exxon Mobil Corp.................. 133,564 11,132,559 0.9%
Other Securities.................. 41,636,112 3.5%
------------ -----
Total Energy.......................... 61,119,473 5.1%
------------ -----
Financials -- (14.2%)
American Express Co............... 48,878 4,668,827 0.4%
Bank of America Corp.............. 329,638 9,028,785 0.7%
* Berkshire Hathaway, Inc. Class B.. 73,310 13,704,571 1.1%
Citigroup, Inc.................... 103,314 7,593,579 0.6%
JPMorgan Chase & Co............... 168,714 16,974,315 1.4%
Wells Fargo & Co.................. 224,831 12,622,012 1.0%
Other Securities.................. 113,939,874 9.5%
------------ -----
Total Financials...................... 178,531,963 14.7%
------------ -----
Health Care -- (13.0%)
AbbVie, Inc....................... 79,854 7,206,824 0.6%
Amgen, Inc........................ 34,461 6,038,256 0.5%
Bristol-Myers Squibb Co........... 70,325 4,336,240 0.4%
Gilead Sciences, Inc.............. 82,089 6,153,391 0.5%
Johnson & Johnson................. 127,822 17,819,665 1.5%
Merck & Co., Inc.................. 128,699 7,090,028 0.6%
Pfizer, Inc....................... 333,873 11,705,587 1.0%
UnitedHealth Group, Inc........... 45,981 9,666,126 0.8%
Other Securities.................. 92,681,526 7.5%
------------ -----
Total Health Care..................... 162,697,643 13.4%
------------ -----
Industrials -- (11.8%)
3M Co............................. 29,427 6,773,801 0.6%
Boeing Co. (The).................. 27,053 6,979,133 0.6%
General Electric Co............... 278,500 5,614,560 0.5%
Honeywell International, Inc...... 37,099 5,348,192 0.4%
Union Pacific Corp................ 45,307 5,246,098 0.4%
United Technologies Corp.......... 43,205 5,174,231 0.4%
48
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Other Securities.............................................. $ 112,783,126 9.3%
-------------- ------
Total Industrials................................................... 147,919,141 12.2%
-------------- ------
Information Technology -- (22.4%)
Accenture P.L.C. Class A...................................... 31,458 4,478,361 0.4%
* Alphabet, Inc. Class A........................................ 11,995 12,391,315 1.0%
* Alphabet, Inc. Class C........................................ 12,482 12,689,700 1.0%
Apple, Inc.................................................... 234,138 39,578,688 3.3%
Cisco Systems, Inc............................................ 238,546 8,146,346 0.7%
* Facebook, Inc. Class A........................................ 91,419 16,460,905 1.4%
Intel Corp.................................................... 271,088 12,331,793 1.0%
International Business Machines Corp.......................... 43,508 6,702,842 0.6%
Mastercard, Inc. Class A...................................... 48,631 7,234,834 0.6%
Microsoft Corp................................................ 328,948 27,361,895 2.3%
NVIDIA Corp................................................... 26,473 5,474,881 0.5%
Oracle Corp................................................... 133,683 6,804,465 0.6%
Texas Instruments, Inc........................................ 50,780 4,909,918 0.4%
# Visa, Inc. Class A............................................ 78,037 8,582,509 0.7%
Other Securities.............................................. 108,232,222 8.7%
-------------- ------
Total Information Technology........................................ 281,380,674 23.2%
-------------- ------
Materials -- (3.9%)
DowDuPont, Inc................................................ 64,159 4,639,337 0.4%
Other Securities.............................................. 44,060,955 3.6%
-------------- ------
Total Materials..................................................... 48,700,292 4.0%
-------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 2,828,620 0.2%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc..................................................... 410,018 13,797,106 1.1%
Verizon Communications, Inc................................... 207,175 9,917,467 0.8%
Other Securities.............................................. 3,818,104 0.4%
-------------- ------
Total Telecommunication Services.................................... 27,532,677 2.3%
-------------- ------
Utilities -- (2.5%)
Other Securities.............................................. 31,431,864 2.6%
-------------- ------
TOTAL COMMON STOCKS................................................. 1,211,261,300 99.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 6,972 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 1,211,268,272
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 2,908,362 2,908,362 0.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (3.3%)
(S)@ DFA Short Term Investment Fund................................ 3,565,193 41,252,845 3.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,001,165,565)........................................... $1,255,429,479 103.5%
============== ======
49
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......... $ 174,528,865 -- -- $ 174,528,865
Consumer Staples............... 94,590,088 -- -- 94,590,088
Energy......................... 61,119,473 -- -- 61,119,473
Financials..................... 178,531,963 -- -- 178,531,963
Health Care.................... 162,697,643 -- -- 162,697,643
Industrials.................... 147,919,141 -- -- 147,919,141
Information Technology......... 281,380,674 -- -- 281,380,674
Materials...................... 48,700,292 -- -- 48,700,292
Real Estate.................... 2,828,620 -- -- 2,828,620
Telecommunication Services..... 27,532,677 -- -- 27,532,677
Utilities...................... 31,431,864 -- -- 31,431,864
Rights/Warrants................. -- $ 6,972 -- 6,972
Temporary Cash Investments...... 2,908,362 -- -- 2,908,362
Securities Lending Collateral... -- 41,252,845 -- 41,252,845
-------------- ----------- -- --------------
TOTAL........................... $1,214,169,662 $41,259,817 -- $1,255,429,479
============== =========== == ==============
See accompanying Notes to Financial Statements.
50
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $23,733,611,877
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $23,733,611,877
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
51
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (85.5%)
Consumer Discretionary -- (13.5%)
#* AutoNation, Inc.................... 794,539 $ 37,661,149 0.4%
# CalAtlantic Group, Inc............. 1,269,551 62,639,646 0.6%
# Kohl's Corp........................ 1,549,785 64,719,022 0.6%
# Marriott Vacations Worldwide Corp.. 289,641 38,122,548 0.4%
PulteGroup, Inc.................... 3,041,882 91,956,093 0.9%
# Toll Brothers, Inc................. 1,935,113 89,092,603 0.8%
Other Securities................... 1,304,049,361 12.0%
-------------- -----
Total Consumer Discretionary........... 1,688,240,422 15.7%
-------------- -----
Consumer Staples -- (2.2%)
#* Post Holdings, Inc................. 613,765 50,899,531 0.5%
Other Securities................... 218,984,455 2.0%
-------------- -----
Total Consumer Staples................. 269,883,986 2.5%
-------------- -----
Energy -- (8.3%)
#* CONSOL Energy, Inc................. 3,021,349 48,734,359 0.5%
# Helmerich & Payne, Inc............. 811,786 44,088,098 0.4%
# HollyFrontier Corp................. 1,989,315 73,505,189 0.7%
# Murphy Oil Corp.................... 1,745,163 46,683,110 0.4%
# Patterson-UTI Energy, Inc.......... 1,883,823 37,262,019 0.4%
# PBF Energy, Inc. Class A........... 1,260,499 36,516,656 0.3%
* Rice Energy, Inc................... 1,522,977 43,176,398 0.4%
#* RSP Permian, Inc................... 1,213,663 41,762,144 0.4%
#* Transocean, Ltd.................... 4,612,056 48,426,588 0.5%
Other Securities................... 610,012,982 5.6%
-------------- -----
Total Energy........................... 1,030,167,543 9.6%
-------------- -----
Financials -- (20.8%)
Assurant, Inc...................... 583,134 58,692,437 0.6%
Assured Guaranty, Ltd.............. 1,438,096 53,353,362 0.5%
Axis Capital Holdings, Ltd......... 898,734 48,882,142 0.5%
Hancock Holding Co................. 748,683 36,498,296 0.3%
# Investors Bancorp, Inc............. 3,497,399 48,089,236 0.5%
# Legg Mason, Inc.................... 1,005,115 38,375,291 0.4%
Old Republic International Corp.... 1,963,525 39,839,922 0.4%
PacWest Bancorp.................... 1,153,833 55,753,233 0.5%
# People's United Financial, Inc..... 3,890,600 72,598,596 0.7%
# Prosperity Bancshares, Inc......... 648,392 42,651,226 0.4%
# RenaissanceRe Holdings, Ltd........ 423,464 58,590,479 0.6%
Umpqua Holdings Corp............... 2,496,330 51,074,912 0.5%
Validus Holdings, Ltd.............. 785,385 40,902,851 0.4%
Other Securities................... 1,942,725,755 17.8%
-------------- -----
Total Financials....................... 2,588,027,738 24.1%
-------------- -----
Health Care -- (4.8%)
Other Securities................... 593,457,006 5.5%
-------------- -----
Industrials -- (18.5%)
* AECOM.............................. 1,450,538 50,855,862 0.5%
# AGCO Corp.......................... 929,613 63,743,563 0.6%
# Air Lease Corp..................... 1,043,146 45,324,694 0.4%
* Colfax Corp........................ 938,343 39,138,287 0.4%
#* Genesee & Wyoming, Inc. Class A.... 579,330 41,584,307 0.4%
52
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Jacobs Engineering Group, Inc................................. 1,288,161 $ 74,983,852 0.7%
#* JetBlue Airways Corp.......................................... 2,739,112 52,453,995 0.5%
ManpowerGroup, Inc............................................ 345,864 42,638,114 0.4%
Oshkosh Corp.................................................. 455,176 41,675,915 0.4%
Owens Corning................................................. 1,025,375 84,788,259 0.8%
* Quanta Services, Inc.......................................... 1,735,638 65,485,622 0.6%
# Ryder System, Inc............................................. 540,258 43,804,119 0.4%
# Trinity Industries, Inc....................................... 1,596,883 51,930,635 0.5%
Other Securities.............................................. 1,603,764,001 14.9%
--------------- ------
Total Industrials................................................... 2,302,171,225 21.5%
--------------- ------
Information Technology -- (10.8%)
* Arrow Electronics, Inc........................................ 1,011,843 84,579,956 0.8%
Avnet, Inc.................................................... 1,615,113 64,281,497 0.6%
#* Cree, Inc..................................................... 1,232,546 44,001,892 0.4%
Jabil, Inc.................................................... 1,475,340 41,722,615 0.4%
MKS Instruments, Inc.......................................... 385,396 41,873,275 0.4%
#* Tech Data Corp................................................ 433,793 40,242,977 0.4%
Other Securities.............................................. 1,025,784,535 9.5%
--------------- ------
Total Information Technology........................................ 1,342,486,747 12.5%
--------------- ------
Materials -- (5.0%)
# Olin Corp..................................................... 1,184,056 43,253,566 0.4%
Reliance Steel & Aluminum Co.................................. 819,428 62,964,848 0.6%
Other Securities.............................................. 513,643,800 4.8%
--------------- ------
Total Materials..................................................... 619,862,214 5.8%
--------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 52,666,595 0.5%
--------------- ------
Telecommunication Services -- (0.6%)
Other Securities.............................................. 75,791,266 0.7%
--------------- ------
Utilities -- (0.6%)
Other Securities.............................................. 75,546,176 0.7%
--------------- ------
TOTAL COMMON STOCKS................................................. 10,638,300,918 99.1%
--------------- ------
RIGHTS/WARRANTS -- (0.00%)
Other Securities.............................................. 65,408 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 10,638,366,326
---------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 134,565,109 134,565,109 1.3%
--------------- ------
SECURITIES LENDING COLLATERAL -- (13.4%)
(S)@ DFA Short Term Investment Fund................................ 144,392,715 1,670,768,102 15.5%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,217,506,675).......................................... $12,443,699,537 115.9%
=============== ======
53
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
At October 31, 2017, U.S. Targeted Value Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500 Emini
Index(R)........... 751 12/15/17 $95,704,424 $96,604,885 $900,461
----------- ----------- --------
TOTAL FUTURES
CONTRACTS.......... $95,704,424 $96,604,885 $900,461
=========== =========== ========
Summary of the Portfolio's investments as of October 31, 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.... $ 1,688,240,422 -- -- $ 1,688,240,422
Consumer
Staples.......... 269,883,986 -- -- 269,883,986
Energy............. 1,030,167,543 -- -- 1,030,167,543
Financials......... 2,588,027,738 -- -- 2,588,027,738
Health Care........ 593,457,006 -- -- 593,457,006
Industrials........ 2,302,171,225 -- -- 2,302,171,225
Information
Technology....... 1,342,486,747 -- -- 1,342,486,747
Materials.......... 619,862,214 -- -- 619,862,214
Real Estate........ 52,666,595 -- -- 52,666,595
Telecommunication
Services......... 75,791,266 -- -- 75,791,266
Utilities.......... 75,546,176 -- -- 75,546,176
Rights/Warrants..... -- $ 65,408 -- 65,408
Temporary Cash
Investments........ 134,565,109 -- -- 134,565,109
Securities
Lending
Collateral......... -- 1,670,768,102 -- 1,670,768,102
Futures
Contracts**........ 900,461 -- -- 900,461
--------------- -------------- -- ---------------
TOTAL............... $10,773,766,488 $1,670,833,510 -- $12,444,599,998
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
54
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (88.3%)
Consumer Discretionary -- (13.5%)
# Aaron's, Inc................................ 2,630,659 $ 96,808,251 0.6%
# Adtalem Global Education, Inc............... 2,165,341 80,009,350 0.5%
# Marriott Vacations Worldwide Corp........... 677,318 89,148,595 0.6%
#* Meritage Homes Corp......................... 1,426,415 69,466,410 0.5%
* TopBuild Corp............................... 955,846 63,076,278 0.4%
#* TRI Pointe Group, Inc....................... 5,761,788 101,926,030 0.7%
Other Securities............................ 1,790,700,068 11.8%
-------------- -----
Total Consumer Discretionary.................... 2,291,134,982 15.1%
-------------- -----
Consumer Staples -- (3.8%)
* Darling Ingredients, Inc.................... 6,340,472 115,713,614 0.8%
# Fresh Del Monte Produce, Inc................ 1,800,679 80,148,222 0.5%
Seaboard Corp............................... 18,357 80,773,003 0.5%
#* United Natural Foods, Inc................... 1,650,193 63,977,983 0.4%
Other Securities............................ 313,393,762 2.1%
-------------- -----
Total Consumer Staples.......................... 654,006,584 4.3%
-------------- -----
Energy -- (7.9%)
# Delek US Holdings, Inc...................... 2,602,004 67,782,204 0.5%
* Oasis Petroleum, Inc........................ 7,305,736 69,039,205 0.5%
# Patterson-UTI Energy, Inc................... 3,240,184 64,090,839 0.4%
# PBF Energy, Inc. Class A.................... 3,548,336 102,795,294 0.7%
#* PDC Energy, Inc............................. 1,558,721 79,385,661 0.5%
Other Securities............................ 961,650,831 6.3%
-------------- -----
Total Energy.................................... 1,344,744,034 8.9%
-------------- -----
Financials -- (23.8%)
American Equity Investment Life Holding Co.. 3,252,117 95,969,973 0.6%
Argo Group International Holdings, Ltd...... 1,083,224 68,188,951 0.5%
Aspen Insurance Holdings, Ltd............... 2,072,459 88,908,491 0.6%
# Associated Banc-Corp........................ 4,111,950 104,032,335 0.7%
# CNO Financial Group, Inc.................... 4,510,009 108,104,916 0.7%
# Fulton Financial Corp....................... 5,608,623 102,076,939 0.7%
# Hancock Holding Co.......................... 1,840,989 89,748,214 0.6%
Hanover Insurance Group, Inc. (The)......... 1,210,534 119,092,335 0.8%
Iberiabank Corp............................. 920,024 67,851,770 0.5%
# Kemper Corp................................. 1,712,513 109,772,083 0.7%
MB Financial, Inc........................... 1,929,936 88,661,260 0.6%
# Old National Bancorp........................ 4,542,920 82,681,144 0.6%
# Selective Insurance Group, Inc.............. 1,626,522 96,940,711 0.6%
# Sterling Bancorp............................ 4,408,451 110,431,698 0.7%
Washington Federal, Inc..................... 3,007,914 104,675,407 0.7%
Wintrust Financial Corp..................... 1,394,086 113,325,251 0.8%
Other Securities............................ 2,487,331,952 16.2%
-------------- -----
Total Financials................................ 4,037,793,430 26.6%
-------------- -----
Health Care -- (4.2%)
Other Securities............................ 723,206,181 4.8%
-------------- -----
Industrials -- (16.2%)
# Barnes Group, Inc........................... 1,100,530 71,633,498 0.5%
#* Esterline Technologies Corp................. 1,083,684 102,787,427 0.7%
# GATX Corp................................... 1,562,725 92,841,492 0.6%
55
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
# SkyWest, Inc.................................................. 1,604,820 $ 75,587,022 0.5%
# Terex Corp.................................................... 1,583,719 74,609,002 0.5%
* WESCO International, Inc...................................... 1,576,414 99,550,544 0.7%
Other Securities.............................................. 2,236,691,254 14.6%
--------------- ------
Total Industrials................................................... 2,753,700,239 18.1%
--------------- ------
Information Technology -- (12.8%)
Brooks Automation, Inc........................................ 2,091,361 71,921,905 0.5%
* CACI International, Inc. Class A.............................. 849,691 122,143,081 0.8%
# Convergys Corp................................................ 3,556,089 91,498,170 0.6%
#* Cree, Inc..................................................... 3,155,360 112,646,352 0.8%
# MKS Instruments, Inc.......................................... 915,012 99,416,054 0.7%
* Sanmina Corp.................................................. 2,630,002 86,066,815 0.6%
# SYNNEX Corp................................................... 572,038 77,156,485 0.5%
#* Tech Data Corp................................................ 1,090,827 101,196,021 0.7%
# Vishay Intertechnology, Inc................................... 4,923,147 109,540,021 0.7%
Other Securities.............................................. 1,306,946,138 8.5%
--------------- ------
Total Information Technology........................................ 2,178,531,042 14.4%
--------------- ------
Materials -- (5.0%)
# Carpenter Technology Corp..................................... 1,553,506 77,349,064 0.5%
# Commercial Metals Co.......................................... 4,169,164 81,215,315 0.5%
Domtar Corp................................................... 2,233,503 105,689,362 0.7%
Other Securities.............................................. 578,577,618 3.9%
--------------- ------
Total Materials..................................................... 842,831,359 5.6%
--------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 28,019,920 0.2%
--------------- ------
Telecommunication Services -- (0.9%)
Telephone & Data Systems, Inc................................. 2,892,254 84,309,204 0.6%
Other Securities.............................................. 66,234,325 0.4%
--------------- ------
Total Telecommunication Services.................................... 150,543,529 1.0%
--------------- ------
Utilities -- (0.0%)
Other Securities.............................................. 6,529,786 0.0%
--------------- ------
TOTAL COMMON STOCKS................................................. 15,011,041,086 99.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 56,422 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 15,011,097,508
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 151,577,250 151,577,250 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (10.8%)
(S)@ DFA Short Term Investment Fund................................ 158,525,066 1,834,293,538 12.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,634,568,815).......................................... $16,996,968,296 112.1%
=============== ======
56
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
At October 31, 2017, U.S. Small Cap Value Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R)........ 1,070 12/15/17 $132,301,671 $137,639,450 $5,337,779
------------ ------------ ----------
TOTAL FUTURES CONTRACTS....... $132,301,671 $137,639,450 $5,337,779
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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............ $ 2,291,134,982 -- -- $ 2,291,134,982
Consumer Staples.................. 654,006,584 -- -- 654,006,584
Energy............................ 1,344,744,034 -- -- 1,344,744,034
Financials........................ 4,037,793,430 -- -- 4,037,793,430
Health Care....................... 723,206,181 -- -- 723,206,181
Industrials....................... 2,753,700,239 -- -- 2,753,700,239
Information Technology............ 2,178,531,042 -- -- 2,178,531,042
Materials......................... 842,831,359 -- -- 842,831,359
Real Estate....................... 28,019,920 -- -- 28,019,920
Telecommunication Services........ 150,543,529 -- -- 150,543,529
Utilities......................... 6,529,786 -- -- 6,529,786
Rights/Warrants.................... -- $ 56,422 -- 56,422
Temporary Cash Investments......... 151,577,250 -- -- 151,577,250
Securities Lending Collateral...... -- 1,834,293,538 -- 1,834,293,538
Futures Contracts**................ 5,337,779 -- -- 5,337,779
--------------- -------------- -- ---------------
TOTAL.............................. $15,167,956,115 $1,834,349,960 -- $17,002,306,075
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
57
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (91.8%)
Consumer Discretionary -- (14.0%)
* Amazon.com, Inc.................................................. 304,071 $ 336,083,595 1.6%
Comcast Corp. Class A............................................ 4,168,335 150,185,110 0.7%
Home Depot, Inc. (The)........................................... 864,043 143,241,049 0.7%
McDonald's Corp.................................................. 529,832 88,434,259 0.4%
Walt Disney Co. (The)............................................ 966,747 94,557,524 0.5%
Other Securities................................................. 2,315,426,879 11.2%
-------------- -----
Total Consumer Discretionary......................................... 3,127,928,416 15.1%
-------------- -----
Consumer Staples -- (6.3%)
Altria Group, Inc................................................ 1,353,494 86,921,385 0.4%
Coca-Cola Co. (The).............................................. 2,498,932 114,900,893 0.6%
PepsiCo, Inc..................................................... 1,024,273 112,905,613 0.6%
Philip Morris International, Inc................................. 753,557 78,852,205 0.4%
Procter & Gamble Co. (The)....................................... 1,258,280 108,639,895 0.5%
Wal-Mart Stores, Inc............................................. 1,328,478 115,989,414 0.6%
Other Securities................................................. 803,883,941 3.7%
-------------- -----
Total Consumer Staples............................................... 1,422,093,346 6.8%
-------------- -----
Energy -- (4.4%)
Chevron Corp..................................................... 1,074,779 124,556,138 0.6%
Exxon Mobil Corp................................................. 1,882,957 156,944,466 0.8%
Other Securities................................................. 705,257,210 3.4%
-------------- -----
Total Energy......................................................... 986,757,814 4.8%
-------------- -----
Financials -- (14.5%)
American Express Co.............................................. 625,797 59,776,129 0.3%
Bank of America Corp............................................. 5,824,143 159,523,277 0.8%
* Berkshire Hathaway, Inc. Class B................................. 925,787 173,066,622 0.8%
Citigroup, Inc................................................... 1,617,623 118,895,290 0.6%
JPMorgan Chase & Co.............................................. 2,166,679 217,989,574 1.1%
Wells Fargo & Co................................................. 2,883,807 161,896,925 0.8%
Other Securities................................................. 2,355,488,788 11.2%
-------------- -----
Total Financials..................................................... 3,246,636,605 15.6%
-------------- -----
Health Care -- (10.7%)
AbbVie, Inc...................................................... 1,122,837 101,336,039 0.5%
Amgen, Inc....................................................... 359,105 62,922,378 0.3%
Bristol-Myers Squibb Co.......................................... 982,403 60,574,969 0.3%
Gilead Sciences, Inc............................................. 965,652 72,385,274 0.4%
Johnson & Johnson................................................ 1,332,917 185,821,959 0.9%
Merck & Co., Inc................................................. 1,345,902 74,145,741 0.4%
Pfizer, Inc...................................................... 3,884,990 136,207,749 0.7%
UnitedHealth Group, Inc.......................................... 600,291 126,193,174 0.6%
Other Securities................................................. 1,582,326,287 7.5%
-------------- -----
Total Health Care.................................................... 2,401,913,570 11.6%
-------------- -----
Industrials -- (12.6%)
3M Co............................................................ 429,595 98,888,473 0.5%
Boeing Co. (The)................................................. 406,553 104,882,543 0.5%
Honeywell International, Inc..................................... 436,883 62,981,053 0.3%
Union Pacific Corp............................................... 498,031 57,667,009 0.3%
United Parcel Service, Inc. Class B.............................. 492,959 57,937,471 0.3%
United Technologies Corp......................................... 520,789 62,369,691 0.3%
58
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Other Securities.............................................. $ 2,391,770,035 11.5%
--------------- ------
Total Industrials................................................... 2,836,496,275 13.7%
--------------- ------
Information Technology -- (20.1%)
Accenture P.L.C. Class A...................................... 431,332 61,404,424 0.3%
* Alphabet, Inc. Class A........................................ 113,318 117,062,027 0.6%
* Alphabet, Inc. Class C........................................ 118,989 120,968,977 0.6%
Apple, Inc.................................................... 3,913,148 661,478,538 3.2%
Cisco Systems, Inc............................................ 2,718,780 92,846,337 0.5%
* Facebook, Inc. Class A........................................ 1,183,133 213,034,928 1.0%
Intel Corp.................................................... 3,566,951 162,260,601 0.8%
International Business Machines Corp.......................... 638,815 98,415,839 0.5%
Mastercard, Inc. Class A...................................... 675,963 100,563,016 0.5%
Microsoft Corp................................................ 4,562,448 379,504,425 1.8%
NVIDIA Corp................................................... 374,667 77,484,882 0.4%
Oracle Corp................................................... 1,470,528 74,849,875 0.4%
Texas Instruments, Inc........................................ 713,111 68,950,703 0.3%
# Visa, Inc. Class A............................................ 1,102,774 121,283,085 0.6%
Other Securities.............................................. 2,153,517,774 10.2%
--------------- ------
Total Information Technology........................................ 4,503,625,431 21.7%
--------------- ------
Materials -- (4.3%)
DowDuPont, Inc................................................ 1,075,397 77,761,957 0.4%
Other Securities.............................................. 886,313,859 4.2%
--------------- ------
Total Materials..................................................... 964,075,816 4.6%
--------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 66,680,136 0.3%
--------------- ------
Telecommunication Services -- (1.9%)
# AT&T, Inc..................................................... 5,431,922 182,784,175 0.9%
Verizon Communications, Inc................................... 2,990,619 143,160,932 0.7%
Other Securities.............................................. 90,887,615 0.4%
--------------- ------
Total Telecommunication Services.................................... 416,832,722 2.0%
--------------- ------
Utilities -- (2.7%)
Other Securities.............................................. 598,154,026 2.9%
--------------- ------
TOTAL COMMON STOCKS................................................. 20,571,194,157 99.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 400,739 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 20,571,594,896
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 204,056,177 204,056,177 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (7.3%)
(S)@ DFA Short Term Investment Fund................................ 141,806,720 1,640,845,561 7.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $15,441,560,554).......................................... $22,416,496,634 108.0%
=============== ======
59
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
At October 31, 2017, U.S. Core Equity 1 Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R)........ 1,245 12/15/17 $153,340,529 $160,150,575 $6,810,046
------------ ------------ ----------
TOTAL FUTURES CONTRACTS....... $153,340,529 $160,150,575 $6,810,046
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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............ $ 3,127,928,191 $ 225 -- $ 3,127,928,416
Consumer Staples.................. 1,422,093,346 -- -- 1,422,093,346
Energy............................ 986,757,814 -- -- 986,757,814
Financials........................ 3,246,636,605 -- -- 3,246,636,605
Health Care....................... 2,401,913,570 -- -- 2,401,913,570
Industrials....................... 2,836,496,275 -- -- 2,836,496,275
Information Technology............ 4,503,625,431 -- -- 4,503,625,431
Materials......................... 964,075,816 -- -- 964,075,816
Real Estate....................... 66,680,136 -- -- 66,680,136
Telecommunication Services........ 416,832,722 -- -- 416,832,722
Utilities......................... 598,154,026 -- -- 598,154,026
Rights/Warrants.................... -- 400,739 -- 400,739
Temporary Cash Investments......... 204,056,177 -- -- 204,056,177
Securities Lending Collateral...... -- 1,640,845,561 -- 1,640,845,561
Futures Contracts**................ 6,810,046 -- -- 6,810,046
--------------- -------------- -- ---------------
TOTAL.............................. $20,782,060,155 $1,641,246,525 -- $22,423,306,680
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
60
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (90.0%)
Consumer Discretionary -- (13.0%)
* Amazon.com, Inc........................ 127,363 $ 140,771,777 0.6%
* Charter Communications, Inc. Class A... 212,965 71,166,514 0.3%
Comcast Corp. Class A.................. 5,784,188 208,404,294 0.9%
General Motors Co...................... 1,628,062 69,974,105 0.3%
Home Depot, Inc. (The)................. 371,215 61,540,023 0.3%
Time Warner, Inc....................... 819,384 80,537,253 0.4%
Walt Disney Co. (The).................. 1,012,945 99,076,150 0.5%
Other Securities....................... 2,498,321,148 11.0%
-------------- -----
Total Consumer Discretionary............... 3,229,791,264 14.3%
-------------- -----
Consumer Staples -- (5.4%)
Coca-Cola Co. (The).................... 1,420,248 65,303,003 0.3%
CVS Health Corp........................ 988,292 67,727,651 0.3%
Procter & Gamble Co. (The)............. 1,360,960 117,505,286 0.5%
Wal-Mart Stores, Inc................... 1,856,544 162,094,857 0.7%
Other Securities....................... 932,671,705 4.2%
-------------- -----
Total Consumer Staples..................... 1,345,302,502 6.0%
-------------- -----
Energy -- (4.8%)
Chevron Corp........................... 1,210,314 140,263,289 0.6%
Exxon Mobil Corp....................... 1,886,059 157,203,018 0.7%
Other Securities....................... 891,103,013 4.0%
-------------- -----
Total Energy............................... 1,188,569,320 5.3%
-------------- -----
Financials -- (17.3%)
American Express Co.................... 809,859 77,357,732 0.4%
Bank of America Corp................... 6,761,707 185,203,155 0.8%
* Berkshire Hathaway, Inc. Class B....... 466,762 87,256,488 0.4%
Citigroup, Inc......................... 1,728,038 127,010,793 0.6%
Goldman Sachs Group, Inc. (The)........ 284,073 68,882,021 0.3%
JPMorgan Chase & Co.................... 2,971,967 299,009,600 1.3%
U.S. Bancorp........................... 1,203,717 65,458,130 0.3%
Wells Fargo & Co....................... 4,176,962 234,494,647 1.1%
Other Securities....................... 3,149,595,445 13.9%
-------------- -----
Total Financials........................... 4,294,268,011 19.1%
-------------- -----
Health Care -- (9.9%)
Aetna, Inc............................. 323,980 55,086,319 0.3%
Amgen, Inc............................. 327,896 57,453,937 0.3%
Gilead Sciences, Inc................... 739,161 55,407,509 0.3%
Johnson & Johnson...................... 1,236,770 172,418,106 0.8%
Merck & Co., Inc....................... 1,225,225 67,497,645 0.3%
Pfizer, Inc............................ 5,076,988 177,999,199 0.8%
UnitedHealth Group, Inc................ 617,082 129,722,978 0.6%
Other Securities....................... 1,737,802,578 7.5%
-------------- -----
Total Health Care.......................... 2,453,388,271 10.9%
-------------- -----
Industrials -- (13.2%)
Caterpillar, Inc....................... 431,816 58,640,613 0.3%
Delta Air Lines, Inc................... 1,138,794 56,973,864 0.3%
FedEx Corp............................. 275,432 62,195,300 0.3%
General Electric Co.................... 3,481,279 70,182,585 0.3%
Union Pacific Corp..................... 671,012 77,696,479 0.4%
61
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
United Technologies Corp...................................... 573,727 $ 68,709,546 0.3%
Other Securities.............................................. 2,869,867,912 12.6%
--------------- ------
Total Industrials................................................... 3,264,266,299 14.5%
--------------- ------
Information Technology -- (17.8%)
* Alphabet, Inc. Class A........................................ 95,859 99,026,181 0.5%
* Alphabet, Inc. Class C........................................ 100,541 102,214,002 0.5%
Apple, Inc.................................................... 3,188,839 539,041,345 2.4%
Cisco Systems, Inc............................................ 4,353,001 148,654,984 0.7%
* Facebook, Inc. Class A........................................ 622,758 112,133,805 0.5%
Intel Corp.................................................... 5,141,165 233,871,596 1.0%
International Business Machines Corp.......................... 385,421 59,377,959 0.3%
* Micron Technology, Inc........................................ 1,627,340 72,107,435 0.3%
Microsoft Corp................................................ 3,269,860 271,986,955 1.2%
NVIDIA Corp................................................... 458,835 94,891,666 0.4%
Oracle Corp................................................... 1,362,584 69,355,526 0.3%
QUALCOMM, Inc................................................. 1,260,628 64,304,634 0.3%
# Visa, Inc. Class A............................................ 643,473 70,769,161 0.3%
Other Securities.............................................. 2,463,137,885 10.9%
--------------- ------
Total Information Technology........................................ 4,400,873,134 19.6%
--------------- ------
Materials -- (4.5%)
DowDuPont, Inc................................................ 1,209,038 87,425,538 0.4%
Other Securities.............................................. 1,037,239,343 4.6%
--------------- ------
Total Materials..................................................... 1,124,664,881 5.0%
--------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 91,854,809 0.4%
--------------- ------
Telecommunication Services -- (1.9%)
# AT&T, Inc..................................................... 7,787,751 262,057,821 1.2%
Verizon Communications, Inc................................... 1,954,061 93,540,900 0.4%
Other Securities.............................................. 124,563,289 0.5%
--------------- ------
Total Telecommunication Services.................................... 480,162,010 2.1%
--------------- ------
Utilities -- (1.8%)
Other Securities.............................................. 437,419,214 1.9%
--------------- ------
TOTAL COMMON STOCKS................................................. 22,310,559,715 99.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 426,743 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 22,310,986,458
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 186,958,997 186,958,997 0.8%
DFA Short Term Investment Fund................................ 120,078,918 21,514,168 0.1%
--------------- ------
TOTAL TEMPORARY CASH INVESTMENTS.................................... 208,473,165 0.9%
--------------- ------
SECURITIES LENDING COLLATERAL -- (9.1%)
(S)@ DFA Short Term Investment Fund................................ 77,949,846 2,269,876,661 10.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,856,989,212).......................................... $24,789,336,284 110.1%
=============== ======
62
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
At October 31, 2017, U.S. Core Equity 2 Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R)... 1,385 12/15/17 $170,577,395 $178,159,475 $7,582,080
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.. $170,577,395 $178,159,475 $7,582,080
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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......... $ 3,229,790,748 $ 516 -- $ 3,229,791,264
Consumer Staples............... 1,345,302,502 -- -- 1,345,302,502
Energy......................... 1,188,569,320 -- -- 1,188,569,320
Financials..................... 4,294,268,011 -- -- 4,294,268,011
Health Care.................... 2,453,388,271 -- -- 2,453,388,271
Industrials.................... 3,264,266,299 -- -- 3,264,266,299
Information Technology......... 4,400,873,134 -- -- 4,400,873,134
Materials...................... 1,124,664,881 -- -- 1,124,664,881
Real Estate.................... 91,854,809 -- -- 91,854,809
Telecommunication Services..... 480,162,010 -- -- 480,162,010
Utilities...................... 437,419,214 -- -- 437,419,214
Rights/Warrants................. -- 426,743 -- 426,743
Temporary Cash Investments...... 186,958,997 21,514,168 -- 208,473,165
Securities Lending Collateral... -- 2,269,876,661 -- 2,269,876,661
Futures Contracts**............. 7,582,080 -- -- 7,582,080
--------------- -------------- -- ---------------
TOTAL........................... $22,505,100,276 $2,291,818,088 -- $24,796,918,364
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
63
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (89.1%)
Consumer Discretionary -- (12.4%)
# CalAtlantic Group, Inc.......................... 190,528 $ 9,400,651 0.2%
* Charter Communications, Inc. Class A............ 35,911 12,000,379 0.3%
Comcast Corp. Class A........................... 487,867 17,577,848 0.4%
DR Horton, Inc.................................. 201,370 8,902,568 0.2%
Ford Motor Co................................... 1,060,195 13,008,593 0.3%
General Motors Co............................... 390,610 16,788,418 0.4%
Time Warner, Inc................................ 94,912 9,328,900 0.2%
Walt Disney Co. (The)........................... 118,253 11,566,326 0.3%
Other Securities................................ 557,133,121 11.6%
-------------- -----
Total Consumer Discretionary........................ 655,706,804 13.9%
-------------- -----
Consumer Staples -- (3.8%)
#* Post Holdings, Inc.............................. 101,168 8,389,862 0.2%
Procter & Gamble Co. (The)...................... 116,144 10,027,873 0.2%
Wal-Mart Stores, Inc............................ 198,213 17,305,977 0.4%
Other Securities................................ 165,029,001 3.5%
-------------- -----
Total Consumer Staples.............................. 200,752,713 4.3%
-------------- -----
Energy -- (5.9%)
Andeavor........................................ 175,682 18,664,456 0.4%
Chevron Corp.................................... 222,498 25,785,293 0.6%
Exxon Mobil Corp................................ 261,711 21,813,612 0.5%
Valero Energy Corp.............................. 104,590 8,251,105 0.2%
Other Securities................................ 239,203,087 4.9%
-------------- -----
Total Energy........................................ 313,717,553 6.6%
-------------- -----
Financials -- (21.8%)
Bank of America Corp............................ 1,204,998 33,004,895 0.7%
Citigroup, Inc.................................. 312,527 22,970,734 0.5%
Goldman Sachs Group, Inc. (The)................. 44,550 10,802,484 0.2%
Hartford Financial Services Group, Inc. (The)... 171,851 9,460,398 0.2%
# Huntington Bancshares, Inc...................... 600,769 8,290,612 0.2%
JPMorgan Chase & Co............................. 550,713 55,407,235 1.2%
Lincoln National Corp........................... 114,651 8,688,253 0.2%
Morgan Stanley.................................. 171,784 8,589,200 0.2%
PNC Financial Services Group, Inc. (The)........ 60,606 8,290,295 0.2%
Principal Financial Group, Inc.................. 157,281 10,356,954 0.2%
Regions Financial Corp.......................... 601,406 9,309,765 0.2%
Sterling Bancorp................................ 377,574 9,458,229 0.2%
Wells Fargo & Co................................ 846,080 47,498,931 1.0%
Other Securities................................ 915,881,483 19.3%
-------------- -----
Total Financials.................................... 1,158,009,468 24.5%
-------------- -----
Health Care -- (7.4%)
Anthem, Inc..................................... 41,751 8,734,727 0.2%
Johnson & Johnson............................... 114,841 16,009,984 0.4%
Merck & Co., Inc................................ 149,737 8,249,011 0.2%
Pfizer, Inc..................................... 448,468 15,723,288 0.3%
UnitedHealth Group, Inc......................... 74,301 15,619,556 0.3%
Other Securities................................ 327,781,113 6.9%
-------------- -----
Total Health Care................................... 392,117,679 8.3%
-------------- -----
64
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (15.1%)
Owens Corning................................................. 129,690 $ 10,724,066 0.2%
# Ryder System, Inc............................................. 102,961 8,348,078 0.2%
Union Pacific Corp............................................ 77,833 9,012,283 0.2%
#* XPO Logistics, Inc............................................ 180,486 12,516,704 0.3%
Other Securities.............................................. 759,405,265 16.0%
-------------- ------
Total Industrials................................................... 800,006,396 16.9%
-------------- ------
Information Technology -- (14.0%)
* Alphabet, Inc. Class A........................................ 10,540 10,888,242 0.2%
* Alphabet, Inc. Class C........................................ 11,067 11,251,155 0.2%
Apple, Inc.................................................... 329,973 55,778,636 1.2%
Cisco Systems, Inc............................................ 479,871 16,387,595 0.4%
Intel Corp.................................................... 578,019 26,294,084 0.6%
Jabil, Inc.................................................... 302,067 8,542,455 0.2%
* Micron Technology, Inc........................................ 295,915 13,111,994 0.3%
Microsoft Corp................................................ 278,222 23,142,506 0.5%
MKS Instruments, Inc.......................................... 79,909 8,682,113 0.2%
Western Digital Corp.......................................... 96,580 8,621,697 0.2%
Other Securities.............................................. 561,924,655 11.8%
-------------- ------
Total Information Technology........................................ 744,625,132 15.8%
-------------- ------
Materials -- (5.0%)
Other Securities.............................................. 266,623,100 5.7%
-------------- ------
Real Estate -- (0.5%)
Other Securities.............................................. 24,600,457 0.5%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc..................................................... 1,702,949 57,304,234 1.2%
# CenturyLink, Inc.............................................. 530,943 10,082,608 0.2%
Verizon Communications, Inc................................... 259,639 12,428,919 0.3%
Other Securities.............................................. 34,590,827 0.7%
-------------- ------
Total Telecommunication Services.................................... 114,406,588 2.4%
-------------- ------
Utilities -- (1.0%)
Other Securities.............................................. 51,405,886 1.1%
-------------- ------
TOTAL COMMON STOCKS................................................. 4,721,971,776 100.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 76,547 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 4,722,048,323
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 3,720,019 3,720,019 0.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (10.8%)
(S)@ DFA Short Term Investment Fund................................ 49,451,487 572,203,152 12.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,696,339,952)........................................... $5,297,971,494 112.2%
============== ======
65
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......... $ 655,706,804 -- -- $ 655,706,804
Consumer Staples............... 200,752,713 -- -- 200,752,713
Energy......................... 313,717,553 -- -- 313,717,553
Financials..................... 1,158,009,468 -- -- 1,158,009,468
Health Care.................... 392,117,679 -- -- 392,117,679
Industrials.................... 800,006,396 -- -- 800,006,396
Information Technology......... 744,625,132 -- -- 744,625,132
Materials...................... 266,623,100 -- -- 266,623,100
Real Estate.................... 24,600,457 -- -- 24,600,457
Telecommunication Services..... 114,406,588 -- -- 114,406,588
Utilities...................... 51,405,886 -- -- 51,405,886
Rights/Warrants................. -- $ 76,547 -- 76,547
Temporary Cash Investments...... 3,720,019 -- -- 3,720,019
Securities Lending Collateral... -- 572,203,152 -- 572,203,152
-------------- ------------ -- --------------
TOTAL........................... $4,725,691,795 $572,279,699 -- $5,297,971,494
============== ============ == ==============
See accompanying Notes to Financial Statements.
66
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (81.6%)
Consumer Discretionary -- (12.6%)
Dana, Inc.................................. 1,405,903 $ 42,865,982 0.3%
#* Deckers Outdoor Corp....................... 643,798 43,932,775 0.3%
#* Grand Canyon Education, Inc................ 486,888 43,581,345 0.3%
# ILG, Inc................................... 1,237,829 36,726,386 0.2%
Jack in the Box, Inc....................... 370,646 38,365,567 0.2%
# Marriott Vacations Worldwide Corp.......... 294,591 38,774,067 0.2%
* Visteon Corp............................... 330,217 41,620,551 0.3%
# Wendy's Co. (The).......................... 2,394,656 36,422,718 0.2%
Other Securities........................... 2,272,023,381 13.3%
-------------- -----
Total Consumer Discretionary................... 2,594,312,772 15.3%
-------------- -----
Consumer Staples -- (3.4%)
# Sanderson Farms, Inc....................... 350,893 52,483,066 0.3%
Other Securities........................... 655,936,458 3.9%
-------------- -----
Total Consumer Staples......................... 708,419,524 4.2%
-------------- -----
Energy -- (3.6%)
# PBF Energy, Inc. Class A................... 1,320,944 38,267,748 0.2%
Other Securities........................... 704,379,274 4.2%
-------------- -----
Total Energy................................... 742,647,022 4.4%
-------------- -----
Financials -- (17.1%)
# BancorpSouth, Inc.......................... 1,529,458 48,330,873 0.3%
BGC Partners, Inc. Class A................. 3,241,134 49,168,003 0.3%
Cathay General Bancorp..................... 1,478,871 61,816,808 0.4%
# Columbia Banking System, Inc............... 894,818 38,933,531 0.2%
# Evercore, Inc. Class A..................... 512,710 41,068,071 0.2%
# Federated Investors, Inc. Class B.......... 1,156,752 35,940,285 0.2%
FirstCash, Inc............................. 641,530 40,961,690 0.2%
# Fulton Financial Corp...................... 2,305,078 41,952,420 0.3%
* Green Dot Corp. Class A.................... 643,236 36,420,022 0.2%
# Interactive Brokers Group, Inc. Class A.... 724,041 39,112,695 0.2%
# Primerica, Inc............................. 496,627 43,951,489 0.3%
ProAssurance Corp.......................... 735,039 41,198,936 0.2%
# Selective Insurance Group, Inc............. 771,748 45,996,181 0.3%
# Sterling Bancorp........................... 3,221,859 80,707,568 0.5%
TCF Financial Corp......................... 2,136,334 38,924,005 0.2%
# Valley National Bancorp.................... 3,323,929 38,225,183 0.2%
Other Securities........................... 2,794,230,314 16.6%
-------------- -----
Total Financials............................... 3,516,938,074 20.8%
-------------- -----
Health Care -- (6.9%)
Cantel Medical Corp........................ 420,248 41,217,924 0.3%
# Chemed Corp................................ 168,025 37,541,826 0.2%
Other Securities........................... 1,331,051,810 7.8%
-------------- -----
Total Health Care.............................. 1,409,811,560 8.3%
-------------- -----
Industrials -- (16.4%)
Barnes Group, Inc.......................... 554,456 36,089,541 0.2%
* Beacon Roofing Supply, Inc................. 682,180 37,799,594 0.2%
Brink's Co. (The).......................... 471,625 35,890,662 0.2%
# Kennametal, Inc............................ 852,092 37,193,816 0.2%
#* Knight-Swift Transportation Holdings, Inc.. 1,486,046 61,596,607 0.4%
67
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
# Terex Corp.................................................... 1,178,314 $ 55,510,373 0.3%
Valmont Industries, Inc....................................... 238,545 37,904,800 0.2%
#* Welbilt, Inc.................................................. 1,822,517 40,204,725 0.2%
Other Securities.............................................. 3,014,606,724 17.9%
--------------- ------
Total Industrials................................................... 3,356,796,842 19.8%
--------------- ------
Information Technology -- (12.4%)
* Advanced Energy Industries, Inc............................... 443,745 37,594,076 0.2%
# Belden, Inc................................................... 474,169 37,890,845 0.2%
#* Cree, Inc..................................................... 1,079,907 38,552,680 0.2%
Entegris, Inc................................................. 1,363,124 44,642,311 0.3%
#* Integrated Device Technology, Inc............................. 1,356,144 42,135,394 0.3%
# MKS Instruments, Inc.......................................... 528,185 57,387,300 0.3%
# Pegasystems, Inc.............................................. 680,291 39,660,965 0.2%
#* Silicon Laboratories, Inc..................................... 421,780 40,026,922 0.2%
* Zynga, Inc. Class A........................................... 10,362,409 40,413,395 0.2%
Other Securities.............................................. 2,165,361,229 12.9%
--------------- ------
Total Information Technology........................................ 2,543,665,117 15.0%
--------------- ------
Materials -- (4.5%)
#* Louisiana-Pacific Corp........................................ 1,628,069 44,250,915 0.3%
PolyOne Corp.................................................. 822,174 37,877,556 0.2%
Other Securities.............................................. 833,007,264 4.9%
--------------- ------
Total Materials..................................................... 915,135,735 5.4%
--------------- ------
Real Estate -- (0.5%)
Other Securities.............................................. 103,080,444 0.6%
--------------- ------
Telecommunication Services -- (1.0%)
Other Securities.............................................. 199,294,356 1.2%
--------------- ------
Utilities -- (3.2%)
# ALLETE, Inc................................................... 466,243 36,530,139 0.2%
# Spire, Inc.................................................... 455,815 35,986,594 0.2%
# WGL Holdings, Inc............................................. 421,322 36,107,295 0.2%
Other Securities.............................................. 549,092,486 3.3%
--------------- ------
Total Utilities..................................................... 657,716,514 3.9%
--------------- ------
TOTAL COMMON STOCKS................................................. 16,747,817,960 98.9%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 29,846 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 16,747,847,806
---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 198,010,186 198,010,186 1.2%
--------------- ------
SECURITIES LENDING COLLATERAL -- (17.4%)
(S)@ DFA Short Term Investment Fund................................ 309,625,721 3,582,679,218 21.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,052,757,188).......................................... $20,528,537,210 121.2%
=============== ======
68
U.S. SMALL CAP PORTFOLIO
CONTINUED
At October 31, 2017, U.S. Small Cap Portfolio had entered into the following
outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R)... 1,115 12/15/17 $137,593,788 $143,428,025 $5,834,237
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.. $137,593,788 $143,428,025 $5,834,237
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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......... $ 2,594,311,422 $ 1,350 -- $ 2,594,312,772
Consumer Staples............... 708,419,524 -- -- 708,419,524
Energy......................... 742,647,022 -- -- 742,647,022
Financials..................... 3,516,938,074 -- -- 3,516,938,074
Health Care.................... 1,409,811,560 -- -- 1,409,811,560
Industrials.................... 3,356,796,842 -- -- 3,356,796,842
Information Technology......... 2,543,665,117 -- -- 2,543,665,117
Materials...................... 915,135,735 -- -- 915,135,735
Real Estate.................... 103,080,444 -- -- 103,080,444
Telecommunication Services..... 199,294,356 -- -- 199,294,356
Utilities...................... 657,716,514 -- -- 657,716,514
Rights/Warrants................. -- 29,846 -- 29,846
Temporary Cash Investments...... 198,010,186 -- -- 198,010,186
Securities Lending Collateral... -- 3,582,679,218 -- 3,582,679,218
Futures Contracts**............. 5,834,237 -- -- 5,834,237
--------------- -------------- -- ---------------
TOTAL........................... $16,951,661,033 $3,582,710,414 -- $20,534,371,447
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
69
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (84.7%)
Consumer Discretionary -- (11.9%)
Callaway Golf Co...................... 1,105,362 $ 15,950,374 0.3%
# Nutrisystem, Inc...................... 344,324 17,198,984 0.3%
# Sonic Corp............................ 605,445 15,378,303 0.3%
# Winnebago Industries, Inc............. 353,953 17,396,790 0.3%
Other Securities...................... 814,593,192 12.8%
-------------- -----
Total Consumer Discretionary.............. 880,517,643 14.0%
-------------- -----
Consumer Staples -- (3.0%)
# Bob Evans Farms, Inc.................. 234,571 18,106,535 0.3%
# Coca-Cola Bottling Co. Consolidated... 72,733 16,405,655 0.3%
# WD-40 Co.............................. 144,160 15,980,136 0.3%
Other Securities...................... 168,726,775 2.6%
-------------- -----
Total Consumer Staples.................... 219,219,101 3.5%
-------------- -----
Energy -- (2.9%)
Other Securities...................... 213,050,997 3.4%
-------------- -----
Financials -- (18.7%)
Ameris Bancorp........................ 355,619 17,034,150 0.3%
# FBL Financial Group, Inc. Class A..... 215,835 16,694,837 0.3%
#* Green Dot Corp. Class A............... 376,311 21,306,729 0.3%
Horace Mann Educators Corp............ 408,077 17,873,773 0.3%
Independent Bank Corp................. 212,036 15,287,796 0.3%
#* LendingTree, Inc...................... 70,500 18,897,525 0.3%
* Walker & Dunlop, Inc.................. 339,012 18,608,369 0.3%
Other Securities...................... 1,258,621,716 19.8%
-------------- -----
Total Financials.......................... 1,384,324,895 21.9%
-------------- -----
Health Care -- (8.5%)
* CorVel Corp........................... 261,842 15,710,520 0.2%
#* Emergent BioSolutions, Inc............ 427,699 17,531,382 0.3%
* Merit Medical Systems, Inc............ 420,635 16,005,162 0.3%
#* Natus Medical, Inc.................... 378,261 16,038,266 0.3%
#* Omnicell, Inc......................... 390,314 19,437,637 0.3%
#* Tivity Health, Inc.................... 374,675 17,328,719 0.3%
Other Securities...................... 522,278,644 8.2%
-------------- -----
Total Health Care......................... 624,330,330 9.9%
-------------- -----
Industrials -- (18.8%)
# Albany International Corp. Class A.... 280,221 16,911,337 0.3%
Brink's Co. (The)..................... 222,778 16,953,406 0.3%
Comfort Systems USA, Inc.............. 378,197 16,754,127 0.3%
Exponent, Inc......................... 266,014 19,645,134 0.3%
Forward Air Corp...................... 306,722 17,618,112 0.3%
Interface, Inc........................ 675,348 15,397,934 0.2%
Kaman Corp............................ 281,442 15,743,865 0.3%
Korn/Ferry International.............. 413,737 17,306,619 0.3%
#* Mercury Systems, Inc.................. 331,400 16,725,758 0.3%
* Meritor, Inc.......................... 953,195 24,792,602 0.4%
#* Patrick Industries, Inc............... 172,176 16,012,368 0.3%
# SkyWest, Inc.......................... 338,876 15,961,060 0.3%
#* Trex Co., Inc......................... 171,259 18,744,298 0.3%
70
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Other Securities.............................................. $1,161,379,145 18.1%
-------------- ------
Total Industrials................................................... 1,389,945,765 22.0%
-------------- ------
Information Technology -- (11.9%)
Brooks Automation, Inc........................................ 501,543 17,248,064 0.3%
Cabot Microelectronics Corp................................... 221,606 21,422,652 0.3%
* ExlService Holdings, Inc...................................... 333,971 20,846,470 0.3%
# Methode Electronics, Inc...................................... 408,852 19,175,159 0.3%
#* OSI Systems, Inc.............................................. 216,618 19,144,699 0.3%
#* Plexus Corp................................................... 252,780 15,528,275 0.3%
Progress Software Corp........................................ 389,221 16,475,725 0.3%
* Rogers Corp................................................... 130,776 19,888,414 0.3%
Other Securities.............................................. 725,674,297 11.5%
-------------- ------
Total Information Technology........................................ 875,403,755 13.9%
-------------- ------
Materials -- (4.6%)
* Ferro Corp.................................................... 908,572 21,642,185 0.3%
# Innospec, Inc................................................. 254,933 15,767,606 0.3%
# Kaiser Aluminum Corp.......................................... 167,047 16,567,722 0.3%
# Quaker Chemical Corp.......................................... 110,026 17,089,238 0.3%
Other Securities.............................................. 271,264,151 4.2%
-------------- ------
Total Materials..................................................... 342,330,902 5.4%
-------------- ------
Real Estate -- (0.8%)
HFF, Inc. Class A............................................. 425,510 18,662,869 0.3%
Other Securities.............................................. 41,774,385 0.7%
-------------- ------
Total Real Estate................................................... 60,437,254 1.0%
-------------- ------
Telecommunication Services -- (1.6%)
#* General Communication, Inc. Class A........................... 439,260 17,961,341 0.3%
# Shenandoah Telecommunications Co.............................. 497,484 18,904,392 0.3%
Other Securities.............................................. 78,002,389 1.2%
-------------- ------
Total Telecommunication Services.................................... 114,868,122 1.8%
-------------- ------
Utilities -- (2.0%)
# American States Water Co...................................... 393,934 21,173,952 0.3%
# California Water Service Group................................ 485,896 20,407,632 0.3%
Other Securities.............................................. 108,978,831 1.8%
-------------- ------
Total Utilities..................................................... 150,560,415 2.4%
-------------- ------
TOTAL COMMON STOCKS................................................. 6,254,989,179 99.2%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 6,254,989,179
--------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 42,497,433 42,497,433 0.7%
-------------- ------
SECURITIES LENDING COLLATERAL -- (14.7%)
(S)@ DFA Short Term Investment Fund................................ 93,963,854 1,087,255,757 17.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,979,251,130)........................................... $7,384,742,369 117.1%
============== ======
71
U.S. MICRO CAP PORTFOLIO
CONTINUED
At October 31, 2017, U.S. Micro Cap Portfolio had entered into the following
outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R)... 300 12/15/17 $37,657,270 $38,590,500 $933,230
----------- ----------- --------
TOTAL FUTURES CONTRACTS.. $37,657,270 $38,590,500 $933,230
=========== =========== ========
Summary of the Portfolio's investments as of October 31, 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......... $ 880,506,164 $ 11,479 -- $ 880,517,643
Consumer Staples............... 219,219,101 -- -- 219,219,101
Energy......................... 213,050,997 -- -- 213,050,997
Financials..................... 1,384,324,895 -- -- 1,384,324,895
Health Care.................... 624,330,330 -- -- 624,330,330
Industrials.................... 1,389,945,765 -- -- 1,389,945,765
Information Technology......... 875,403,755 -- -- 875,403,755
Materials...................... 342,330,902 -- -- 342,330,902
Real Estate.................... 60,437,254 -- -- 60,437,254
Telecommunication Services..... 114,868,122 -- -- 114,868,122
Utilities...................... 150,560,415 -- -- 150,560,415
Temporary Cash Investments...... 42,497,433 -- -- 42,497,433
Securities Lending Collateral... -- 1,087,255,757 -- 1,087,255,757
Futures Contracts**............. 933,230 -- -- 933,230
-------------- -------------- -- --------------
TOTAL........................... $6,298,408,363 $1,087,267,236 -- $7,385,675,599
============== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
72
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (93.5%)
Consumer Discretionary -- (20.5%)
* Amazon.com, Inc.............. 5,444 $ 6,017,144 4.3%
Best Buy Co., Inc............ 12,430 695,831 0.5%
Comcast Corp. Class A........ 91,369 3,292,025 2.3%
General Motors Co............ 24,419 1,049,529 0.7%
Home Depot, Inc. (The)....... 17,191 2,849,924 2.0%
Lowe's Cos., Inc............. 13,595 1,086,920 0.8%
NIKE, Inc. Class B........... 22,380 1,230,676 0.9%
Starbucks Corp............... 22,882 1,254,849 0.9%
Target Corp.................. 11,004 649,676 0.5%
TJX Cos., Inc. (The)......... 10,034 700,373 0.5%
Other Securities............. 11,821,571 8.3%
----------- -----
Total Consumer Discretionary...... 30,648,518 21.7%
----------- -----
Consumer Staples -- (11.6%)
Altria Group, Inc............ 30,088 1,932,251 1.4%
Coca-Cola Co. (The).......... 59,845 2,751,673 2.0%
Costco Wholesale Corp........ 8,741 1,408,000 1.0%
PepsiCo, Inc................. 23,580 2,599,224 1.8%
Wal-Mart Stores, Inc......... 28,825 2,516,711 1.8%
Other Securities............. 6,232,130 4.4%
----------- -----
Total Consumer Staples............ 17,439,989 12.4%
----------- -----
Energy -- (0.8%)
Other Securities............. 1,140,907 0.8%
----------- -----
Financials -- (3.2%)
American Express Co.......... 11,824 1,129,428 0.8%
Other Securities............. 3,670,105 2.6%
----------- -----
Total Financials.................. 4,799,533 3.4%
----------- -----
Health Care -- (7.7%)
AbbVie, Inc.................. 22,132 1,997,413 1.4%
AmerisourceBergen Corp....... 8,498 653,921 0.5%
* Biogen, Inc.................. 4,418 1,376,914 1.0%
* Celgene Corp................. 10,266 1,036,558 0.7%
* Express Scripts Holding Co... 10,635 651,819 0.5%
Gilead Sciences, Inc......... 28,151 2,110,199 1.5%
Other Securities............. 3,643,009 2.5%
----------- -----
Total Health Care................. 11,469,833 8.1%
----------- -----
Industrials -- (18.4%)
3M Co........................ 9,806 2,257,243 1.6%
Boeing Co. (The)............. 5,685 1,466,616 1.0%
Caterpillar, Inc............. 11,666 1,584,243 1.1%
Deere & Co................... 5,670 753,430 0.5%
Delta Air Lines, Inc......... 14,541 727,486 0.5%
FedEx Corp................... 5,269 1,189,793 0.8%
General Dynamics Corp........ 4,983 1,011,449 0.7%
Illinois Tool Works, Inc..... 4,928 771,331 0.5%
Lockheed Martin Corp......... 3,576 1,101,980 0.8%
Northrop Grumman Corp........ 2,859 844,920 0.6%
Southwest Airlines Co........ 12,041 648,528 0.5%
Union Pacific Corp........... 15,234 1,763,945 1.3%
73
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
United Parcel Service, Inc. Class B........................... 9,499 $ 1,116,417 0.8%
Other Securities.............................................. 12,266,486 8.8%
------------ ------
Total Industrials................................................... 27,503,867 19.5%
------------ ------
Information Technology -- (23.8%)
Accenture P.L.C. Class A...................................... 10,002 1,423,885 1.0%
Apple, Inc.................................................... 34,396 5,814,300 4.1%
Applied Materials, Inc........................................ 18,145 1,023,922 0.7%
Automatic Data Processing, Inc................................ 6,829 793,940 0.6%
International Business Machines Corp.......................... 15,871 2,445,086 1.7%
Mastercard, Inc. Class A...................................... 13,478 2,005,122 1.4%
* Micron Technology, Inc........................................ 19,752 875,211 0.6%
Microsoft Corp................................................ 66,985 5,571,812 3.9%
NVIDIA Corp................................................... 8,553 1,768,846 1.3%
Skyworks Solutions, Inc....................................... 6,076 691,813 0.5%
Texas Instruments, Inc........................................ 17,751 1,716,344 1.2%
Visa, Inc. Class A............................................ 23,923 2,631,052 1.9%
Other Securities.............................................. 8,830,662 6.3%
------------ ------
Total Information Technology........................................ 35,591,995 25.2%
------------ ------
Materials -- (4.5%)
* Freeport-McMoRan, Inc......................................... 51,573 720,990 0.5%
LyondellBasell Industries NV Class A.......................... 6,755 699,345 0.5%
Other Securities.............................................. 5,285,031 3.8%
------------ ------
Total Materials..................................................... 6,705,366 4.8%
------------ ------
Telecommunication Services -- (2.8%)
Verizon Communications, Inc................................... 74,702 3,575,985 2.5%
Other Securities.............................................. 674,385 0.5%
------------ ------
Total Telecommunication Services.................................... 4,250,370 3.0%
------------ ------
Utilities -- (0.2%)
Other Securities.............................................. 341,668 0.3%
------------ ------
TOTAL COMMON STOCKS................................................. 139,892,046 99.2%
------------ ------
TOTAL INVESTMENT SECURITIES......................................... 139,892,046
------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 1,715,083 1,715,083 1.2%
------------ ------
SECURITIES LENDING COLLATERAL -- (5.4%)
(S)@ DFA Short Term Investment Fund................................ 692,424 8,012,043 5.7%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $140,099,894)............................................. $149,619,172 106.1%
============ ======
74
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......... $ 30,648,518 -- -- $ 30,648,518
Consumer Staples............... 17,439,989 -- -- 17,439,989
Energy......................... 1,140,907 -- -- 1,140,907
Financials..................... 4,799,533 -- -- 4,799,533
Health Care.................... 11,469,833 -- -- 11,469,833
Industrials.................... 27,503,867 -- -- 27,503,867
Information Technology......... 35,591,995 -- -- 35,591,995
Materials...................... 6,705,366 -- -- 6,705,366
Telecommunication Services..... 4,250,370 -- -- 4,250,370
Utilities...................... 341,668 -- -- 341,668
Temporary Cash Investments...... 1,715,083 -- -- 1,715,083
Securities Lending Collateral... -- $8,012,043 -- 8,012,043
------------ ---------- -- ------------
TOTAL........................... $141,607,129 $8,012,043 -- $149,619,172
============ ========== == ============
See accompanying Notes to Financial Statements.
75
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (94.4%)
Real Estate -- (94.4%)
# Alexandria Real Estate Equities, Inc............ 842,788 $ 104,472,000 1.3%
American Campus Communities, Inc................ 1,255,493 52,203,399 0.6%
American Tower Corp............................. 1,221,853 175,543,620 2.1%
Apartment Investment & Management Co. Class A... 1,491,202 65,583,064 0.8%
AvalonBay Communities, Inc...................... 1,306,173 236,848,350 2.9%
Boston Properties, Inc.......................... 1,485,349 179,994,592 2.2%
Brixmor Property Group, Inc..................... 2,888,376 50,459,929 0.6%
Camden Property Trust........................... 831,494 75,865,513 0.9%
Crown Castle International Corp................. 1,189,210 127,340,607 1.5%
# CubeSmart....................................... 1,710,433 46,557,986 0.6%
DCT Industrial Trust, Inc....................... 894,750 51,913,395 0.6%
# Digital Realty Trust, Inc....................... 1,902,197 225,296,213 2.7%
Douglas Emmett, Inc............................. 1,378,225 54,839,573 0.7%
Duke Realty Corp................................ 3,372,012 96,034,902 1.2%
Equinix, Inc.................................... 729,425 338,088,487 4.1%
Equity LifeStyle Properties, Inc................ 780,714 69,077,575 0.8%
Equity Residential.............................. 3,481,321 234,153,650 2.8%
Essex Property Trust, Inc....................... 629,004 165,069,520 2.0%
Extra Space Storage, Inc........................ 1,196,092 97,589,146 1.2%
# Federal Realty Investment Trust................. 683,759 82,406,635 1.0%
Forest City Realty Trust, Inc. Class A.......... 2,292,067 56,453,610 0.7%
Gaming and Leisure Properties, Inc.............. 1,870,000 68,329,800 0.8%
# GGP, Inc........................................ 5,475,114 106,545,718 1.3%
HCP, Inc........................................ 4,450,308 114,995,959 1.4%
Healthcare Trust of America, Inc. Class A....... 1,574,366 47,309,698 0.6%
Highwoods Properties, Inc....................... 963,479 49,185,603 0.6%
# Host Hotels & Resorts, Inc...................... 7,137,258 139,604,766 1.7%
Hudson Pacific Properties, Inc.................. 1,467,570 49,633,217 0.6%
# Iron Mountain, Inc.............................. 2,379,313 95,172,520 1.1%
Kilroy Realty Corp.............................. 928,148 66,111,982 0.8%
# Kimco Realty Corp............................... 4,041,002 73,384,596 0.9%
Liberty Property Trust.......................... 1,442,711 61,863,448 0.7%
# Macerich Co. (The).............................. 1,438,568 78,545,813 0.9%
Mid-America Apartment Communities, Inc.......... 1,102,863 112,878,028 1.4%
# National Retail Properties, Inc................. 1,396,299 56,103,294 0.7%
# Omega Healthcare Investors, Inc................. 1,865,077 53,826,122 0.6%
Prologis, Inc................................... 5,028,044 324,711,081 3.9%
# Public Storage.................................. 1,402,330 290,632,892 3.5%
# Realty Income Corp.............................. 2,484,586 133,347,731 1.6%
Regency Centers Corp............................ 1,599,666 98,459,442 1.2%
* SBA Communications Corp......................... 797,782 125,395,375 1.5%
Simon Property Group, Inc....................... 3,041,839 472,488,852 5.7%
SL Green Realty Corp............................ 968,768 92,691,722 1.1%
Sun Communities, Inc............................ 661,430 59,700,672 0.7%
UDR, Inc........................................ 2,540,787 98,557,128 1.2%
Ventas, Inc..................................... 3,368,039 211,344,447 2.6%
VEREIT, Inc..................................... 9,261,049 73,069,677 0.9%
Vornado Realty Trust............................ 1,639,064 122,700,331 1.5%
Welltower, Inc.................................. 3,448,237 230,893,950 2.8%
# WP Carey, Inc................................... 959,557 65,393,810 0.8%
Other Securities................................ 2,023,004,018 24.3%
-------------- -----
TOTAL COMMON STOCKS................................. 8,181,673,458 98.7%
-------------- -----
TOTAL INVESTMENT SECURITIES......................... 8,181,673,458
--------------
76
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 67,568,197 $ 67,568,197 0.8%
-------------- ------
SECURITIES LENDING COLLATERAL -- (4.8%)
(S)@ DFA Short Term Investment Fund................................ 36,034,779 416,958,424 5.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,377,669,530)........................................... $8,666,200,079 104.6%
============== ======
At October 31, 2017, DFA Real Estate Securities Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R)... 495 12/15/17 $61,330,825 $63,674,325 $2,343,500
----------- ----------- ----------
TOTAL FUTURES CONTRACTS.. $61,330,825 $63,674,325 $2,343,500
=========== =========== ==========
Summary of the Portfolio's investments as of October 31, 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.................... $8,181,673,458 -- -- $8,181,673,458
Temporary Cash Investments...... 67,568,197 -- -- 67,568,197
Securities Lending Collateral... -- $416,958,424 -- 416,958,424
Futures Contracts**............. 2,343,500 -- -- 2,343,500
-------------- ------------ -- --------------
TOTAL........................... $8,251,585,155 $416,958,424 -- $8,668,543,579
============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
77
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.9%)
AUSTRALIA -- (5.4%)
# Australia & New Zealand Banking Group, Ltd.. 705,906 $ 16,199,516 0.3%
BHP Billiton, Ltd........................... 842,811 17,352,463 0.4%
# Commonwealth Bank of Australia.............. 461,654 27,461,593 0.6%
CSL, Ltd.................................... 129,922 13,831,633 0.3%
National Australia Bank, Ltd................ 619,204 15,514,879 0.3%
# Westpac Banking Corp........................ 711,417 18,019,791 0.4%
Other Securities............................ 156,997,375 3.3%
------------ ----
TOTAL AUSTRALIA................................. 265,377,250 5.6%
------------ ----
AUSTRIA -- (0.3%)
Other Securities............................ 12,333,426 0.3%
------------ ----
BELGIUM -- (1.1%)
Anheuser-Busch InBev SA/NV.................. 196,531 24,098,849 0.5%
Other Securities............................ 31,513,289 0.7%
------------ ----
TOTAL BELGIUM................................... 55,612,138 1.2%
------------ ----
CANADA -- (8.2%)
Royal Bank of Canada........................ 235,620 18,422,595 0.4%
Other Securities............................ 383,221,412 8.1%
------------ ----
TOTAL CANADA.................................... 401,644,007 8.5%
------------ ----
DENMARK -- (1.6%)
# Novo Nordisk A.S. Class B................... 479,867 23,892,014 0.5%
Other Securities............................ 53,660,130 1.1%
------------ ----
TOTAL DENMARK................................... 77,552,144 1.6%
------------ ----
FINLAND -- (0.9%)
Other Securities............................ 45,582,562 1.0%
------------ ----
FRANCE -- (8.7%)
Air Liquide SA.............................. 112,468 14,319,865 0.3%
Airbus SE................................... 167,504 17,188,423 0.4%
BNP Paribas SA.............................. 269,992 21,072,719 0.5%
Cie Generale des Etablissements Michelin.... 93,901 13,591,826 0.3%
L'Oreal SA.................................. 67,079 14,929,331 0.3%
LVMH Moet Hennessy Louis Vuitton SE......... 80,117 23,895,942 0.5%
Sanofi...................................... 261,989 24,806,833 0.5%
Total SA.................................... 428,068 23,859,694 0.5%
# Vinci SA.................................... 148,757 14,574,848 0.3%
Other Securities............................ 260,075,481 5.5%
------------ ----
TOTAL FRANCE.................................... 428,314,962 9.1%
------------ ----
GERMANY -- (7.5%)
Allianz SE.................................. 83,434 19,478,402 0.4%
BASF SE..................................... 236,962 25,912,583 0.6%
Bayer AG.................................... 185,881 24,179,181 0.5%
Daimler AG.................................. 297,357 24,825,190 0.5%
Deutsche Telekom AG......................... 871,251 15,776,017 0.3%
SAP SE...................................... 201,863 23,065,365 0.5%
Siemens AG.................................. 157,350 22,600,606 0.5%
78
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
Other Securities..... $ 214,451,715 4.5%
-------------- -----
TOTAL GERMANY............ 370,289,059 7.8%
-------------- -----
HONG KONG -- (2.7%)
AIA Group, Ltd....... 3,180,000 23,962,823 0.5%
Other Securities..... 109,094,540 2.3%
-------------- -----
TOTAL HONG KONG.......... 133,057,363 2.8%
-------------- -----
IRELAND -- (0.5%)
Other Securities..... 22,639,741 0.5%
-------------- -----
ISRAEL -- (0.4%)
Other Securities..... 18,146,940 0.4%
-------------- -----
ITALY -- (2.1%)
Enel SpA............. 2,149,889 13,332,901 0.3%
Other Securities..... 89,469,950 1.9%
-------------- -----
TOTAL ITALY.............. 102,802,851 2.2%
-------------- -----
JAPAN -- (21.9%)
KDDI Corp............ 522,300 13,915,448 0.3%
SoftBank Group Corp.. 238,088 21,099,864 0.5%
Toyota Motor Corp.... 422,423 26,201,231 0.6%
Other Securities..... 1,016,783,685 21.4%
-------------- -----
TOTAL JAPAN.............. 1,078,000,228 22.8%
-------------- -----
NETHERLANDS -- (3.0%)
# Unilever NV.......... 268,265 15,583,487 0.3%
Other Securities..... 133,297,467 2.8%
-------------- -----
TOTAL NETHERLANDS........ 148,880,954 3.1%
-------------- -----
NEW ZEALAND -- (0.3%)
Other Securities..... 12,433,517 0.3%
-------------- -----
NORWAY -- (0.7%)
Other Securities..... 36,706,452 0.8%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities..... 7,355,784 0.1%
-------------- -----
SINGAPORE -- (1.1%)
Other Securities..... 52,614,681 1.1%
-------------- -----
SPAIN -- (3.0%)
Banco Santander SA... 3,427,026 23,232,871 0.5%
Other Securities..... 123,531,583 2.6%
-------------- -----
TOTAL SPAIN.............. 146,764,454 3.1%
-------------- -----
SWEDEN -- (2.7%)
Other Securities..... 130,932,249 2.8%
-------------- -----
SWITZERLAND -- (6.6%)
Nestle SA............ 819,632 68,962,607 1.5%
Novartis AG.......... 429,247 35,403,963 0.8%
Roche Holding AG..... 202,368 46,773,514 1.0%
79
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Other Securities.................................. $ 172,727,876 3.5%
-------------- ------
TOTAL SWITZERLAND....................................... 323,867,960 6.8%
-------------- ------
UNITED KINGDOM -- (15.1%)
# Anglo American P.L.C.............................. 777,930 14,674,102 0.3%
# AstraZeneca P.L.C. Sponsored ADR.................. 444,297 15,328,247 0.3%
BP P.L.C. Sponsored ADR........................... 746,083 30,343,175 0.6%
British American Tobacco P.L.C.................... 320,392 20,700,471 0.4%
Diageo P.L.C. Sponsored ADR....................... 124,015 16,991,295 0.4%
# GlaxoSmithKline P.L.C. Sponsored ADR.............. 423,459 15,426,611 0.3%
Glencore P.L.C.................................... 2,850,031 13,746,266 0.3%
HSBC Holdings P.L.C............................... 1,761,358 17,199,869 0.4%
HSBC Holdings P.L.C. Sponsored ADR................ 616,604 30,071,777 0.6%
Reckitt Benckiser Group P.L.C..................... 177,989 15,924,079 0.3%
Royal Dutch Shell P.L.C. Class A.................. 484,235 15,243,613 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 342,298 21,575,059 0.5%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 345,272 22,566,978 0.5%
Unilever P.L.C. Sponsored ADR..................... 272,913 15,460,521 0.3%
Vodafone Group P.L.C.............................. 6,677,955 19,101,210 0.4%
Other Securities.................................. 456,238,086 9.8%
-------------- ------
TOTAL UNITED KINGDOM.................................... 740,591,359 15.7%
-------------- ------
TOTAL COMMON STOCKS..................................... 4,611,500,081 97.6%
-------------- ------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Other Securities.................................. 25,517,892 0.6%
-------------- ------
TOTAL PREFERRED STOCKS.................................. 25,517,892 0.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities.................................. 242,316 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................... 242,316 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............................. 4,637,260,289
--------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (5.6%)
(S)@ DFA Short Term Investment Fund.................... 23,652,724 273,685,666 5.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,068,972,435)................................. $4,910,945,955 104.0%
============== ======
At October 31, 2017, Large Cap International Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
MSCI EAFE Index Future... 85 12/15/17 $ 8,309,516 $ 8,531,450 $ 221,934
S&P 500 Emini Index(R)... 301 12/15/17 37,929,596 38,719,135 789,539
----------- ----------- ----------
TOTAL FUTURES CONTRACTS.. $46,239,112 $47,250,585 $1,011,473
=========== =========== ==========
80
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...................... $ 4,945,265 $ 260,431,985 -- $ 265,377,250
Austria........................ -- 12,333,426 -- 12,333,426
Belgium........................ -- 55,612,138 -- 55,612,138
Canada......................... 401,644,007 -- -- 401,644,007
Denmark........................ 3,011,648 74,540,496 -- 77,552,144
Finland........................ 1,672,070 43,910,492 -- 45,582,562
France......................... 11,762,757 416,552,205 -- 428,314,962
Germany........................ 30,769,847 339,519,212 -- 370,289,059
Hong Kong...................... 862,958 132,194,405 -- 133,057,363
Ireland........................ 5,877,320 16,762,421 -- 22,639,741
Israel......................... 4,382,059 13,764,881 -- 18,146,940
Italy.......................... 5,149,952 97,652,899 -- 102,802,851
Japan.......................... 41,449,732 1,036,550,496 -- 1,078,000,228
Netherlands.................... 33,913,560 114,967,394 -- 148,880,954
New Zealand.................... -- 12,433,517 -- 12,433,517
Norway......................... 932,815 35,773,637 -- 36,706,452
Portugal....................... -- 7,355,784 -- 7,355,784
Singapore...................... -- 52,614,681 -- 52,614,681
Spain.......................... 14,074,992 132,689,462 -- 146,764,454
Sweden......................... -- 130,932,249 -- 130,932,249
Switzerland.................... 17,921,835 305,946,125 -- 323,867,960
United Kingdom................. 239,485,594 501,105,765 -- 740,591,359
Preferred Stocks
Germany........................ -- 25,517,892 -- 25,517,892
Rights/Warrants
Spain.......................... -- 242,316 -- 242,316
Securities Lending Collateral... -- 273,685,666 -- 273,685,666
Futures Contracts**............. 1,011,473 -- -- 1,011,473
------------ -------------- -- --------------
TOTAL........................... $818,867,884 $4,093,089,544 -- $4,911,957,428
============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
81
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.1%)
AUSTRALIA -- (5.5%)
# Australia & New Zealand Banking Group, Ltd.. 2,396,023 $ 54,985,245 0.2%
BHP Billiton, Ltd........................... 4,074,214 83,883,160 0.3%
# Commonwealth Bank of Australia.............. 785,325 46,715,236 0.2%
Macquarie Group, Ltd........................ 602,362 45,442,107 0.2%
# National Australia Bank, Ltd................ 1,864,442 46,715,771 0.2%
# Westpac Banking Corp........................ 2,168,520 54,927,387 0.2%
Other Securities............................ 1,134,332,572 4.5%
-------------- ----
TOTAL AUSTRALIA................................. 1,467,001,478 5.8%
-------------- ----
AUSTRIA -- (0.6%)
Other Securities............................ 171,827,531 0.7%
-------------- ----
BELGIUM -- (1.4%)
Other Securities............................ 381,977,197 1.5%
-------------- ----
CANADA -- (7.9%)
Bank of Montreal............................ 732,193 56,093,306 0.2%
Bank of Nova Scotia (The)................... 964,105 62,204,055 0.3%
Royal Bank of Canada........................ 699,021 54,628,491 0.2%
Other Securities............................ 1,938,415,943 7.6%
-------------- ----
TOTAL CANADA.................................... 2,111,341,795 8.3%
-------------- ----
CHINA -- (0.0%)
Other Securities............................ 110,119 0.0%
-------------- ----
DENMARK -- (1.7%)
Other Securities............................ 454,266,175 1.8%
-------------- ----
FINLAND -- (1.7%)
UPM-Kymmene Oyj............................. 1,735,959 52,134,771 0.2%
Other Securities............................ 401,672,764 1.6%
-------------- ----
TOTAL FINLAND................................... 453,807,535 1.8%
-------------- ----
FRANCE -- (7.1%)
BNP Paribas SA.............................. 1,046,818 81,703,533 0.3%
Cie Generale des Etablissements Michelin.... 509,793 73,790,679 0.3%
# Engie SA.................................... 3,023,845 51,109,179 0.2%
Orange SA................................... 2,984,136 49,022,418 0.2%
Sanofi...................................... 514,628 48,728,347 0.2%
Total SA.................................... 1,539,718 85,820,945 0.3%
Other Securities............................ 1,504,092,353 5.9%
-------------- ----
TOTAL FRANCE.................................... 1,894,267,454 7.4%
-------------- ----
GERMANY -- (7.1%)
Allianz SE.................................. 244,024 56,969,551 0.2%
BASF SE..................................... 1,224,687 133,923,595 0.5%
Bayerische Motoren Werke AG................. 588,367 60,343,059 0.2%
Daimler AG.................................. 1,485,860 124,048,726 0.5%
Deutsche Telekom AG......................... 4,893,747 88,612,620 0.4%
E.ON SE..................................... 5,371,567 63,623,173 0.3%
Fresenius SE & Co. KGaA..................... 594,150 49,739,988 0.2%
* RWE AG...................................... 1,919,080 48,253,072 0.2%
Other Securities............................ 1,290,589,274 5.0%
-------------- ----
TOTAL GERMANY................................... 1,916,103,058 7.5%
-------------- ----
82
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.7%)
AIA Group, Ltd....................... 6,813,400 $ 51,342,233 0.2%
CK Hutchison Holdings, Ltd........... 3,807,408 48,360,585 0.2%
Other Securities..................... 628,959,526 2.5%
-------------- -----
TOTAL HONG KONG.......................... 728,662,344 2.9%
-------------- -----
IRELAND -- (0.5%)
Other Securities..................... 131,124,345 0.5%
-------------- -----
ISRAEL -- (0.6%)
Other Securities..................... 169,809,184 0.7%
-------------- -----
ITALY -- (2.9%)
# Assicurazioni Generali SpA........... 2,476,453 45,070,836 0.2%
Fiat Chrysler Automobiles NV......... 2,878,006 49,764,394 0.2%
Other Securities..................... 692,592,139 2.7%
-------------- -----
TOTAL ITALY.............................. 787,427,369 3.1%
-------------- -----
JAPAN -- (22.8%)
Hitachi, Ltd......................... 7,235,425 57,618,187 0.2%
Honda Motor Co., Ltd................. 2,495,223 78,192,940 0.3%
Mitsubishi UFJ Financial Group, Inc.. 8,324,200 56,464,229 0.2%
Toyota Motor Corp.................... 2,741,740 170,059,309 0.7%
Toyota Motor Corp. Sponsored ADR..... 408,823 50,694,052 0.2%
Other Securities..................... 5,697,196,362 22.4%
-------------- -----
TOTAL JAPAN.............................. 6,110,225,079 24.0%
-------------- -----
NETHERLANDS -- (2.8%)
Akzo Nobel NV........................ 677,388 61,155,155 0.2%
Other Securities..................... 694,397,324 2.8%
-------------- -----
TOTAL NETHERLANDS........................ 755,552,479 3.0%
-------------- -----
NEW ZEALAND -- (0.4%)
Other Securities..................... 97,683,761 0.4%
-------------- -----
NORWAY -- (0.8%)
Other Securities..................... 211,772,053 0.8%
-------------- -----
PORTUGAL -- (0.2%)
Other Securities..................... 65,528,812 0.2%
-------------- -----
SINGAPORE -- (1.1%)
Other Securities..................... 292,310,470 1.1%
-------------- -----
SPAIN -- (2.2%)
Banco Santander SA................... 9,453,773 64,090,057 0.3%
Iberdrola SA......................... 7,788,128 62,935,908 0.3%
Other Securities..................... 475,399,916 1.8%
-------------- -----
TOTAL SPAIN.............................. 602,425,881 2.4%
-------------- -----
SWEDEN -- (2.7%)
Other Securities..................... 728,311,991 2.9%
-------------- -----
SWITZERLAND -- (5.4%)
ABB, Ltd............................. 2,166,659 56,582,363 0.2%
Nestle SA............................ 2,417,067 203,368,393 0.8%
Novartis AG Sponsored ADR............ 935,984 77,293,559 0.3%
Other Securities..................... 1,112,212,639 4.4%
-------------- -----
TOTAL SWITZERLAND........................ 1,449,456,954 5.7%
-------------- -----
83
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (15.0%)
# Anglo American P.L.C.............................. 2,969,972 $ 56,022,613 0.2%
AstraZeneca P.L.C. Sponsored ADR.................. 1,343,676 46,356,822 0.2%
BP P.L.C. Sponsored ADR........................... 2,101,061 85,450,151 0.3%
HSBC Holdings P.L.C. Sponsored ADR................ 3,144,040 153,334,831 0.6%
Lloyds Banking Group P.L.C........................ 62,288,792 56,460,461 0.2%
Rio Tinto P.L.C. Sponsored ADR.................... 1,670,448 80,064,573 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 1,570,022 98,958,487 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 1,333,672 87,168,802 0.4%
Vodafone Group P.L.C.............................. 27,407,758 78,395,461 0.3%
Vodafone Group P.L.C. Sponsored ADR............... 1,906,729 55,256,999 0.2%
Other Securities.................................. 3,226,898,882 12.7%
--------------- ------
TOTAL UNITED KINGDOM.................................... 4,024,368,082 15.8%
--------------- ------
UNITED STATES -- (0.0%)
Other Securities.................................. 2,853,295 0.0%
--------------- ------
TOTAL COMMON STOCKS..................................... 25,008,214,441 98.3%
--------------- ------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Volkswagen AG..................................... 371,774 68,072,987 0.3%
Other Securities.................................. 65,412,880 0.2%
--------------- ------
TOTAL GERMANY........................................... 133,485,867 0.5%
--------------- ------
TOTAL PREFERRED STOCKS.................................. 133,485,867 0.5%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................................. 274,985 0.0%
--------------- ------
FRANCE -- (0.0%)
Other Securities.................................. 1,620 0.0%
--------------- ------
HONG KONG -- (0.0%)
Other Securities.................................. 2,247 0.0%
--------------- ------
ISRAEL -- (0.0%)
Other Securities.................................. 7 0.0%
--------------- ------
NEW ZEALAND -- (0.0%)
Other Securities.................................. 46 0.0%
--------------- ------
SPAIN -- (0.0%)
Other Securities.................................. 1,360,258 0.0%
--------------- ------
SWITZERLAND -- (0.0%)
Other Securities.................................. 7,809 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................................... 1,646,972 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............................. 25,143,347,280
---------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (6.4%)
(S)@ DFA Short Term Investment Fund.................... 147,857,530 1,710,859,480 6.7%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $22,034,204,503)................................ $26,854,206,760 105.5%
=============== ======
84
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
At October 31, 2017, International Core Equity Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R)... 1,650 12/15/17 $203,332,974 $212,247,750 $8,914,776
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.. $203,332,974 $212,247,750 $8,914,776
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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...................... $ 40,877,021 $ 1,426,124,457 -- $ 1,467,001,478
Austria........................ 78,834 171,748,697 -- 171,827,531
Belgium........................ 15,161,476 366,815,721 -- 381,977,197
Canada......................... 2,111,283,472 58,323 -- 2,111,341,795
China.......................... -- 110,119 -- 110,119
Denmark........................ 35,144,212 419,121,963 -- 454,266,175
Finland........................ 4,389,359 449,418,176 -- 453,807,535
France......................... 79,927,251 1,814,340,203 -- 1,894,267,454
Germany........................ 112,522,049 1,803,581,009 -- 1,916,103,058
Hong Kong...................... 1,249,178 727,413,166 -- 728,662,344
Ireland........................ 22,706,016 108,418,329 -- 131,124,345
Israel......................... 19,084,929 150,724,255 -- 169,809,184
Italy.......................... 17,797,005 769,630,364 -- 787,427,369
Japan.......................... 123,172,020 5,987,053,059 -- 6,110,225,079
Netherlands.................... 111,493,419 644,059,060 -- 755,552,479
New Zealand.................... 142,330 97,541,431 -- 97,683,761
Norway......................... 13,824,985 197,947,068 -- 211,772,053
Portugal....................... 256,895 65,271,917 -- 65,528,812
Singapore...................... -- 292,310,470 -- 292,310,470
Spain.......................... 33,837,529 568,588,352 -- 602,425,881
Sweden......................... 3,303,121 725,008,870 -- 728,311,991
Switzerland.................... 109,654,831 1,339,802,123 -- 1,449,456,954
United Kingdom................. 865,746,452 3,158,621,630 -- 4,024,368,082
United States.................. 76,405 2,776,890 -- 2,853,295
Preferred Stocks
Germany........................ -- 133,485,867 -- 133,485,867
Rights/Warrants
Australia...................... -- 274,985 -- 274,985
France......................... -- 1,620 -- 1,620
Hong Kong...................... -- 2,247 -- 2,247
Israel......................... -- 7 -- 7
New Zealand.................... -- 46 -- 46
Spain.......................... -- 1,360,258 -- 1,360,258
Switzerland.................... -- 7,809 -- 7,809
Securities Lending Collateral... -- 1,710,859,480 -- 1,710,859,480
Futures Contracts**............. 8,914,776 -- -- 8,914,776
-------------- --------------- -- ---------------
TOTAL........................... $3,730,643,565 $23,132,477,971 -- $26,863,121,536
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
85
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company....................... $ 5,118,702,845
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company....................... 3,339,426,830
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... 2,246,700,930
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company....................... 1,482,853,393
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 1,162,055,496
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES.. $13,349,739,494
===============
At October 31, 2017, International Small Company Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R)... 885 12/15/17 $110,931,628 $113,841,975 $2,910,347
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.. $110,931,628 $113,841,975 $2,910,347
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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........ $13,349,739,494 -- -- $13,349,739,494
Futures Contracts**.................... 2,910,347 -- -- 2,910,347
--------------- -- -- ---------------
TOTAL.................................. $13,352,649,841 -- -- $13,352,649,841
=============== == == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
86
GLOBAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
SHARES VALUE+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Small Cap Portfolio of
DFA Investment Dimensions Group Inc.................... 207,593 $ 7,573,004
Investment in The Continental Small Company Series of
The DFA Investment Trust Company....................... 2,171,663
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company....................... 1,826,296
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company....................... 1,401,455
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... 938,033
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company....................... 631,125
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 459,984
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $13,706,363).................................. $15,001,560
===========
Summary of the Fund's investments as of October 31, 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... $15,001,560 -- -- $15,001,560
----------- -- -- -----------
TOTAL............................. $15,001,560 -- -- $15,001,560
=========== == == ===========
See accompanying Notes to Financial Statements.
87
JAPANESE SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of The
DFA Investment Trust Company........................... $648,220,609
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.... $648,220,609
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
88
ASIA PACIFIC SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Asia Pacific Small Company Series
of The DFA Investment Trust Company.................... $332,220,879
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.... $332,220,879
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
89
UNITED KINGDOM SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... $45,202,087
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.... $45,202,087
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
90
CONTINENTAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Continental Small Company Series
of The DFA Investment Trust Company.................... $592,215,514
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.... $592,215,514
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
91
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
Percentage
Shares Value++ of Net Assets**
COMMON STOCKS -- (96.7%)
AUSTRALIA -- (20.0%)
Dexus Property Group........ 13,825,787 $ 103,527,334 1.9%
Goodman Group............... 23,331,942 149,598,540 2.7%
GPT Group (The)............. 24,380,306 95,200,714 1.7%
Mirvac Group................ 19,777,034 36,554,831 0.7%
Scentre Group............... 68,764,426 212,030,820 3.9%
Stockland................... 32,842,224 113,829,292 2.1%
Vicinity Centres............ 44,932,360 91,330,516 1.7%
Westfield Corp.............. 25,922,527 154,504,722 2.8%
Other Securities............ 163,997,011 2.9%
--------------- -------------
TOTAL AUSTRALIA................. 1,120,573,780 20.4%
--------------- -------------
BELGIUM -- (2.0%)
Cofinimmo SA................ 263,699 33,455,083 0.6%
Other Securities............ 76,784,757 1.4%
--------------- -------------
TOTAL BELGIUM................... 110,239,840 2.0%
--------------- -------------
CANADA -- (5.2%)
# H&R REIT.................... 2,010,917 33,387,991 0.6%
# RioCan REIT................. 2,107,577 39,975,513 0.7%
Other Securities............ 218,876,391 4.0%
--------------- -------------
TOTAL CANADA.................... 292,239,895 5.3%
--------------- -------------
CHINA -- (0.3%)
Other Securities............ 14,973,853 0.3%
--------------- -------------
FRANCE -- (5.5%)
Fonciere Des Regions........ 456,007 46,434,708 0.8%
Gecina SA................... 526,297 85,482,417 1.6%
ICADE....................... 469,808 41,056,813 0.7%
Klepierre SA................ 2,885,656 114,872,498 2.1%
Unibail-Rodamco SE(B1YY4B3). 978,160 244,840,252 4.5%
Unibail-Rodamco SE(7076242). 331,578 82,983,335 1.5%
Other Securities............ 22,828,418 0.4%
--------------- -------------
TOTAL FRANCE.................... 638,498,441 11.6%
--------------- -------------
GERMANY -- (0.7%)
Other Securities............ 41,167,885 0.8%
--------------- -------------
GREECE -- (0.0%)
Other Securities............ 1,008,448 0.0%
--------------- -------------
HONG KONG -- (5.3%)
Link REIT................... 28,461,905 239,287,882 4.3%
Other Securities............ 59,178,682 1.1%
--------------- -------------
TOTAL HONG KONG................. 298,466,564 5.4%
--------------- -------------
IRELAND -- (0.2%)
Other Securities............ 12,778,405 0.2%
--------------- -------------
ITALY -- (0.4%)
Other Securities............ 21,038,719 0.4%
--------------- -------------
92
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
JAPAN -- (19.8%)
# Advance Residence Investment Corp..... 17,155 $ 40,327,190 0.7%
# Daiwa House REIT Investment Corp...... 18,299 42,761,250 0.8%
GLP J-Reit............................ 32,261 32,339,242 0.6%
Japan Hotel REIT Investment Corp...... 52,901 35,025,118 0.6%
Japan Prime Realty Investment Corp.... 11,111 35,736,456 0.7%
Japan Real Estate Investment Corp..... 16,129 75,615,100 1.4%
Japan Retail Fund Investment Corp..... 34,098 60,512,264 1.1%
# Kenedix Office Investment Corp........ 6,082 32,583,311 0.6%
Nippon Building Fund, Inc............. 17,947 86,650,715 1.6%
Nippon Prologis REIT, Inc............. 19,387 40,763,337 0.7%
Nomura Real Estate Master Fund, Inc... 49,428 61,821,821 1.1%
# Orix JREIT, Inc....................... 33,871 46,538,238 0.8%
United Urban Investment Corp.......... 39,235 56,444,078 1.0%
Other Securities...................... 460,275,255 8.4%
-------------- -----
TOTAL JAPAN............................... 1,107,393,375 20.1%
-------------- -----
MALAYSIA -- (0.5%)
Other Securities...................... 29,517,583 0.5%
-------------- -----
MEXICO -- (1.7%)
# Fibra Uno Administracion S.A. de C.V.. 34,409,094 53,987,015 1.0%
Other Securities...................... 41,624,914 0.7%
-------------- -----
TOTAL MEXICO.............................. 95,611,929 1.7%
-------------- -----
NETHERLANDS -- (7.2%)
Wereldhave NV......................... 720,117 32,736,559 0.6%
Other Securities...................... 42,324,910 0.8%
-------------- -----
TOTAL NETHERLANDS......................... 75,061,469 1.4%
-------------- -----
NEW ZEALAND -- (0.8%)
Other Securities...................... 45,305,907 0.8%
-------------- -----
SINGAPORE -- (8.4%)
Ascendas REIT......................... 32,585,100 65,517,374 1.2%
CapitaLand Commercial Trust........... 34,097,949 43,432,872 0.8%
CapitaLand Mall Trust................. 32,831,000 48,670,928 0.9%
# Mapletree Commercial Trust............ 25,804,137 29,431,331 0.5%
Suntec REIT........................... 34,076,900 48,783,791 0.9%
Other Securities...................... 232,502,292 4.2%
-------------- -----
TOTAL SINGAPORE........................... 468,338,588 8.5%
-------------- -----
SOUTH AFRICA -- (3.5%)
Growthpoint Properties, Ltd........... 29,736,158 51,580,799 0.9%
Redefine Properties, Ltd.............. 67,048,274 50,354,358 0.9%
Resilient REIT, Ltd................... 3,487,741 34,749,649 0.6%
Other Securities...................... 56,875,560 1.1%
-------------- -----
TOTAL SOUTH AFRICA........................ 193,560,366 3.5%
-------------- -----
SPAIN -- (1.3%)
Merlin Properties Socimi SA........... 4,847,051 64,000,976 1.2%
Other Securities...................... 8,339,744 0.1%
-------------- -----
TOTAL SPAIN............................... 72,340,720 1.3%
-------------- -----
93
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (0.2%)
Other Securities................ $ 10,730,438 0.2%
-------------- ------
TURKEY -- (0.5%)
Other Securities................ 30,032,891 0.6%
-------------- ------
UNITED KINGDOM -- (13.2%)
British Land Co. P.L.C. (The)... 13,875,146 110,781,945 2.0%
Derwent London P.L.C............ 1,517,000 53,918,029 1.0%
Great Protland Estates P.L.C.... 4,807,043 39,709,503 0.7%
Hammerson P.L.C................. 11,418,551 79,487,099 1.4%
# Intu Properties P.L.C........... 12,684,031 36,413,471 0.7%
Land Securities Group P.L.C..... 10,398,014 133,549,584 2.4%
Segro P.L.C..................... 14,315,123 103,342,334 1.9%
Shaftesbury P.L.C............... 3,470,964 45,669,734 0.8%
Other Securities................ 136,412,667 2.6%
-------------- ------
TOTAL UNITED KINGDOM................... 739,284,366 13.5%
-------------- ------
TOTAL COMMON STOCKS.................... 5,418,163,462 98.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
NEW ZEALAND -- (0.0%)
Other Securities................ 3,786 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 5,418,167,248
--------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.3%)
(S)@ DFA Short Term Investment Fund.. 16,040,082 185,599,787 3.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,411,511,463).............. $5,603,767,035 101.9%
============== ======
At October 31, 2017, DFA International Real Estate Securities Portfolio had
entered into the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R).... 300 12/15/17 $38,140,122 $38,590,500 $450,378
----------- ----------- --------
TOTAL FUTURES CONTRACTS... $38,140,122 $38,590,500 $450,378
=========== =========== ========
94
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...................... -- $1,120,573,780 -- $1,120,573,780
Belgium........................ -- 110,239,840 -- 110,239,840
Canada......................... $292,239,895 -- -- 292,239,895
China.......................... -- 14,973,853 -- 14,973,853
France......................... 82,983,335 555,515,106 -- 638,498,441
Germany........................ -- 41,167,885 -- 41,167,885
Greece......................... -- 1,008,448 -- 1,008,448
Hong Kong...................... -- 298,466,564 -- 298,466,564
Ireland........................ -- 12,778,405 -- 12,778,405
Italy.......................... -- 21,038,719 -- 21,038,719
Japan.......................... -- 1,107,393,375 -- 1,107,393,375
Malaysia....................... -- 29,517,583 -- 29,517,583
Mexico......................... 95,611,929 -- -- 95,611,929
Netherlands.................... -- 75,061,469 -- 75,061,469
New Zealand.................... -- 45,305,907 -- 45,305,907
Singapore...................... -- 468,338,588 -- 468,338,588
South Africa................... -- 193,560,366 -- 193,560,366
Spain.......................... -- 72,340,720 -- 72,340,720
Taiwan......................... -- 10,730,438 -- 10,730,438
Turkey......................... -- 30,032,891 -- 30,032,891
United Kingdom................. -- 739,284,366 -- 739,284,366
RIGHTS/WARRANTS
New Zealand.................... -- 3,786 -- 3,786
Securities Lending Collateral... -- 185,599,787 -- 185,599,787
Futures Contracts**............. 450,378 -- -- 450,378
------------ -------------- -- --------------
TOTAL........................... $471,285,537 $5,132,931,876 -- $5,604,217,413
============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
95
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (40.8%)
UNITED STATES -- (40.8%)
Alexandria Real Estate Equities, Inc............ 296,010 $ 36,693,400 0.5%
American Campus Communities, Inc................ 405,786 16,872,582 0.3%
American Tower Corp............................. 962,125 138,228,499 2.1%
Apartment Investment & Management Co. Class A... 465,349 20,466,049 0.3%
AvalonBay Communities, Inc...................... 410,124 74,367,785 1.1%
Boston Properties, Inc.......................... 457,612 55,453,422 0.8%
Brixmor Property Group, Inc..................... 987,226 17,246,838 0.3%
Camden Property Trust........................... 302,782 27,625,830 0.4%
Crown Castle International Corp................. 902,269 96,614,965 1.4%
CubeSmart....................................... 655,345 17,838,491 0.3%
DCT Industrial Trust, Inc....................... 318,396 18,473,336 0.3%
Digital Realty Trust, Inc....................... 579,907 68,684,161 1.0%
Duke Realty Corp................................ 1,025,121 29,195,446 0.4%
Equinix, Inc.................................... 225,476 104,508,126 1.6%
Equity LifeStyle Properties, Inc................ 236,285 20,906,497 0.3%
Equity Residential.............................. 1,092,067 73,452,426 1.1%
Essex Property Trust, Inc....................... 192,016 50,390,759 0.8%
Extra Space Storage, Inc........................ 412,484 33,654,570 0.5%
# Federal Realty Investment Trust................. 203,165 24,485,446 0.4%
Forest City Realty Trust, Inc. Class A.......... 709,996 17,487,201 0.3%
Gaming and Leisure Properties, Inc.............. 580,072 21,195,831 0.3%
# GGP, Inc........................................ 2,007,174 39,059,606 0.6%
HCP, Inc........................................ 1,294,413 33,447,632 0.5%
Healthcare Trust of America, Inc. Class A....... 637,991 19,171,630 0.3%
Host Hotels & Resorts, Inc...................... 2,225,017 43,521,333 0.6%
Hudson Pacific Properties, Inc.................. 558,331 18,882,754 0.3%
Iron Mountain, Inc.............................. 699,555 27,982,200 0.4%
Kilroy Realty Corp.............................. 317,305 22,601,635 0.3%
# Kimco Realty Corp............................... 1,387,549 25,197,890 0.4%
Liberty Property Trust.......................... 440,082 18,870,716 0.3%
Macerich Co. (The).............................. 376,228 20,542,049 0.3%
Mid-America Apartment Communities, Inc.......... 310,565 31,786,279 0.5%
National Retail Properties, Inc................. 433,161 17,404,409 0.3%
# Omega Healthcare Investors, Inc................. 614,059 17,721,743 0.3%
Prologis, Inc................................... 1,577,624 101,882,958 1.5%
# Public Storage.................................. 454,129 94,118,235 1.4%
Realty Income Corp.............................. 766,205 41,122,222 0.6%
# Regency Centers Corp............................ 509,713 31,372,811 0.5%
#* SBA Communications Corp......................... 327,775 51,519,674 0.8%
# Simon Property Group, Inc....................... 928,999 144,301,415 2.1%
# SL Green Realty Corp............................ 327,763 31,360,364 0.5%
Sun Communities, Inc............................ 254,389 22,961,151 0.3%
UDR, Inc........................................ 758,996 29,441,455 0.4%
Ventas, Inc..................................... 1,054,352 66,160,588 1.0%
VEREIT, Inc..................................... 3,240,315 25,566,085 0.4%
Vornado Realty Trust............................ 553,485 41,433,887 0.6%
Welltower, Inc.................................. 1,089,264 72,937,117 1.1%
WP Carey, Inc................................... 297,172 20,252,272 0.3%
Other Securities................................ 719,205,825 10.3%
-------------- -----
TOTAL COMMON STOCKS................................. 2,793,667,595 41.4%
-------------- -----
96
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
AFFILIATED INVESTMENT COMPANIES -- (57.6%)
UNITED STATES -- (57.6%)
DFA International Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc.......................... 467,157,379 $2,368,487,914 35.1%
DFA Real Estate Securities Portfolio of DFA Investment
Dimensions Group Inc..................................... 45,252,203 1,583,374,570 23.4%
-------------- ------
TOTAL UNITED STATES............................................. 3,951,862,484 58.5%
-------------- ------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES...................................................... 3,951,862,484 58.5%
-------------- ------
TOTAL INVESTMENT SECURITIES..................................... 6,745,530,079
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (1.6%)
(S)@ DFA Short Term Investment Fund............................ 9,319,863 107,840,139 1.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,118,037,872)....................................... $6,853,370,218 101.5%
============== ======
Summary of the Portfolio's investments as of October 31, 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................. $2,793,667,595 -- -- $2,793,667,595
Affiliated Investment Companies. 3,951,862,484 -- -- 3,951,862,484
Securities Lending Collateral... -- $107,840,139 -- 107,840,139
-------------- ------------ -- --------------
TOTAL........................... $6,745,530,079 $107,840,139 -- $6,853,370,218
============== ============ == ==============
See accompanying Notes to Financial Statements.
97
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (94.5%)
AUSTRALIA -- (5.8%)
Downer EDI, Ltd.................... 13,482,483 $ 72,345,552 0.5%
* WorleyParsons, Ltd................. 5,201,572 55,946,016 0.4%
Other Securities................... 846,530,437 5.1%
-------------- ----
TOTAL AUSTRALIA........................ 974,822,005 6.0%
-------------- ----
AUSTRIA -- (1.3%)
* Raiffeisen Bank International AG... 1,535,503 53,398,841 0.3%
Wienerberger AG.................... 2,684,294 68,872,121 0.4%
Other Securities................... 88,050,016 0.6%
-------------- ----
TOTAL AUSTRIA.......................... 210,320,978 1.3%
-------------- ----
BELGIUM -- (1.3%)
Other Securities................... 215,912,553 1.3%
-------------- ----
CANADA -- (7.8%)
# Canadian Western Bank.............. 2,752,067 77,521,211 0.5%
HudBay Minerals, Inc............... 6,906,809 51,341,988 0.3%
* IAMGOLD Corp....................... 9,625,835 52,826,069 0.3%
# Laurentian Bank of Canada.......... 1,139,011 52,973,149 0.3%
Other Securities................... 1,085,479,932 6.8%
-------------- ----
TOTAL CANADA........................... 1,320,142,349 8.2%
-------------- ----
DENMARK -- (1.9%)
Jyske Bank A.S..................... 985,274 55,675,995 0.4%
Sydbank A.S........................ 1,549,002 60,470,642 0.4%
TDC A.S............................ 10,539,047 62,308,938 0.4%
Other Securities................... 138,344,917 0.8%
-------------- ----
TOTAL DENMARK.......................... 316,800,492 2.0%
-------------- ----
FINLAND -- (2.1%)
Cargotec Oyj Class B............... 934,497 55,166,442 0.4%
Kesko Oyj Class B.................. 1,494,944 76,344,755 0.5%
Other Securities................... 222,531,899 1.3%
-------------- ----
TOTAL FINLAND.......................... 354,043,096 2.2%
-------------- ----
FRANCE -- (4.8%)
Arkema SA.......................... 467,290 59,033,371 0.4%
Lagardere SCA...................... 1,721,801 56,700,994 0.4%
Nexans SA.......................... 745,689 48,803,398 0.3%
Rexel SA........................... 5,345,004 95,312,221 0.6%
Other Securities................... 554,642,961 3.3%
-------------- ----
TOTAL FRANCE........................... 814,492,945 5.0%
-------------- ----
GERMANY -- (7.1%)
Aareal Bank AG..................... 1,761,663 73,245,341 0.5%
# Aurubis AG......................... 1,158,293 94,917,925 0.6%
# K+S AG............................. 2,643,663 64,272,147 0.4%
Lanxess AG......................... 1,003,616 78,692,143 0.5%
Leoni AG........................... 772,858 51,420,574 0.3%
OSRAM Licht AG..................... 784,624 60,078,459 0.4%
98
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
Rheinmetall AG.................. 1,053,108 $ 125,075,918 0.8%
# Salzgitter AG................... 1,321,837 63,953,772 0.4%
Other Securities................ 587,989,600 3.5%
-------------- -----
TOTAL GERMANY....................... 1,199,645,879 7.4%
-------------- -----
GREECE -- (0.0%)
Other Securities................ 2,001 0.0%
-------------- -----
HONG KONG -- (3.4%)
Other Securities................ 575,923,913 3.6%
-------------- -----
IRELAND -- (0.3%)
Other Securities................ 56,952,154 0.3%
-------------- -----
ISRAEL -- (0.7%)
Other Securities................ 119,248,269 0.7%
-------------- -----
ITALY -- (3.9%)
# BPER Banca...................... 14,396,544 70,079,196 0.4%
# Unione di Banche Italiane SpA... 21,003,603 98,578,970 0.6%
Unipol Gruppo SpA............... 12,945,651 58,379,973 0.4%
Other Securities................ 435,987,464 2.7%
-------------- -----
TOTAL ITALY......................... 663,025,603 4.1%
-------------- -----
JAPAN -- (26.7%)
Other Securities................ 4,489,329,069 27.8%
-------------- -----
NETHERLANDS -- (2.2%)
# APERAM SA....................... 1,300,857 69,950,448 0.5%
ASM International NV............ 756,945 50,725,914 0.3%
Boskalis Westminster............ 1,871,382 66,895,363 0.4%
# SBM Offshore NV................. 5,027,903 89,728,554 0.6%
Other Securities................ 86,855,512 0.5%
-------------- -----
TOTAL NETHERLANDS................... 364,155,791 2.3%
-------------- -----
NEW ZEALAND -- (0.4%)
Other Securities................ 64,445,946 0.4%
-------------- -----
NORWAY -- (0.7%)
Other Securities................ 123,424,636 0.8%
-------------- -----
PORTUGAL -- (0.4%)
Other Securities................ 65,739,697 0.4%
-------------- -----
SINGAPORE -- (1.2%)
Other Securities................ 192,487,954 1.2%
-------------- -----
SPAIN -- (2.0%)
Acciona SA...................... 817,969 67,731,270 0.4%
Other Securities................ 272,754,919 1.7%
-------------- -----
TOTAL SPAIN......................... 340,486,189 2.1%
-------------- -----
SWEDEN -- (2.3%)
Other Securities................ 388,719,398 2.4%
-------------- -----
99
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (4.0%)
Helvetia Holding AG............. 137,677 $ 74,012,896 0.5%
Other Securities................ 590,276,710 3.6%
--------------- ------
TOTAL SWITZERLAND...................... 664,289,606 4.1%
--------------- ------
UNITED KINGDOM -- (14.2%)
Beazley P.L.C................... 12,372,002 82,993,767 0.5%
Bellway P.L.C................... 3,278,643 158,967,673 1.0%
Bodycote P.L.C.................. 4,607,596 57,308,740 0.4%
Bovis Homes Group P.L.C......... 4,858,289 75,896,774 0.5%
Centamin P.L.C.................. 30,587,973 56,610,827 0.4%
# Greene King P.L.C............... 8,075,171 58,024,538 0.4%
Hiscox, Ltd..................... 7,747,573 146,915,933 0.9%
# John Wood Group P.L.C........... 10,305,303 97,444,953 0.6%
Lancashire Holdings, Ltd........ 4,937,751 49,268,744 0.3%
Man Group P.L.C................. 34,155,880 87,834,441 0.6%
Meggitt P.L.C................... 9,149,857 62,987,853 0.4%
Melrose Industries P.L.C........ 30,450,980 88,942,834 0.6%
Phoenix Group Holdings.......... 6,676,330 67,106,663 0.4%
Redrow P.L.C.................... 7,116,554 61,540,408 0.4%
TP ICAP P.L.C................... 7,345,386 53,108,768 0.3%
Vesuvius P.L.C.................. 7,211,364 56,259,916 0.4%
Other Securities................ 1,124,608,149 6.7%
--------------- ------
TOTAL UNITED KINGDOM................... 2,385,820,981 14.8%
--------------- ------
TOTAL COMMON STOCKS.................... 15,900,231,504 98.4%
--------------- ------
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities................ 18,618,374 0.1%
--------------- ------
TOTAL PREFERRED STOCKS................. 18,618,374 0.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................ 762,130 0.0%
--------------- ------
HONG KONG -- (0.0%)
Other Securities................ 15,562 0.0%
--------------- ------
SPAIN -- (0.0%)
Other Securities................ 1,706,249 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS.................. 2,483,941 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............ 15,921,333,819
---------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (5.4%)
(S)@ DFA Short Term Investment Fund.. 78,646,691 910,020,857 5.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $13,157,977,835)............. $16,831,354,676 104.1%
=============== ======
100
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
At October 31, 2017, DFA International Small Cap Value Portfolio had entered
into the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R)... 1,089 12/15/17 $134,134,466 $140,083,515 $5,949,049
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.. $134,134,466 $140,083,515 $5,949,049
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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...................... -- $ 974,822,005 -- $ 974,822,005
Austria........................ -- 210,320,978 -- 210,320,978
Belgium........................ -- 215,912,553 -- 215,912,553
Canada......................... $1,319,427,784 714,565 -- 1,320,142,349
Denmark........................ 9,890,126 306,910,366 -- 316,800,492
Finland........................ -- 354,043,096 -- 354,043,096
France......................... 91,841 814,401,104 -- 814,492,945
Germany........................ -- 1,199,645,879 -- 1,199,645,879
Greece......................... -- 2,001 -- 2,001
Hong Kong...................... 761,990 575,161,923 -- 575,923,913
Ireland........................ -- 56,952,154 -- 56,952,154
Israel......................... -- 119,248,269 -- 119,248,269
Italy.......................... 334,338 662,691,265 -- 663,025,603
Japan.......................... -- 4,489,329,069 -- 4,489,329,069
Netherlands.................... -- 364,155,791 -- 364,155,791
New Zealand.................... -- 64,445,946 -- 64,445,946
Norway......................... -- 123,424,636 -- 123,424,636
Portugal....................... -- 65,739,697 -- 65,739,697
Singapore...................... -- 192,487,954 -- 192,487,954
Spain.......................... -- 340,486,189 -- 340,486,189
Sweden......................... -- 388,719,398 -- 388,719,398
Switzerland.................... -- 664,289,606 -- 664,289,606
United Kingdom................. -- 2,385,820,981 -- 2,385,820,981
Preferred Stocks
Germany........................ -- 18,618,374 -- 18,618,374
Rights/Warrants
Australia...................... -- 762,130 -- 762,130
Hong Kong...................... -- 15,562 -- 15,562
Spain.......................... -- 1,706,249 -- 1,706,249
Securities Lending Collateral... -- 910,020,857 -- 910,020,857
Futures Contracts**............. 5,949,049 -- -- 5,949,049
-------------- --------------- -- ---------------
TOTAL........................... $1,336,455,128 $15,500,848,597 -- $16,837,303,725
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
101
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.3%)
AUSTRALIA -- (5.6%)
# Australia & New Zealand Banking Group, Ltd.. 214,260 $ 4,916,956 0.2%
BHP Billiton, Ltd........................... 314,531 6,475,815 0.3%
Macquarie Group, Ltd........................ 56,822 4,286,649 0.2%
Woodside Petroleum, Ltd..................... 175,531 4,137,795 0.2%
Other Securities............................ 130,304,069 5.0%
------------ ----
TOTAL AUSTRALIA................................. 150,121,284 5.9%
------------ ----
AUSTRIA -- (0.8%)
Other Securities............................ 21,355,276 0.9%
------------ ----
BELGIUM -- (1.7%)
Ageas....................................... 107,511 5,213,744 0.2%
Solvay SA................................... 28,898 4,293,037 0.2%
Umicore SA.................................. 113,150 5,056,694 0.2%
Other Securities............................ 30,975,753 1.2%
------------ ----
TOTAL BELGIUM................................... 45,539,228 1.8%
------------ ----
CANADA -- (8.0%)
Other Securities............................ 213,844,639 8.5%
------------ ----
CHINA -- (0.0%)
Other Securities............................ 64,762 0.0%
------------ ----
DENMARK -- (1.9%)
Other Securities............................ 51,317,664 2.0%
------------ ----
FINLAND -- (2.0%)
UPM-Kymmene Oyj............................. 258,374 7,759,555 0.3%
Other Securities............................ 45,839,513 1.8%
------------ ----
TOTAL FINLAND................................... 53,599,068 2.1%
------------ ----
FRANCE -- (6.3%)
BNP Paribas SA.............................. 73,561 5,741,393 0.2%
Cie de Saint-Gobain......................... 98,275 5,762,148 0.2%
Renault SA.................................. 41,368 4,102,183 0.2%
Rexel SA.................................... 249,373 4,446,824 0.2%
STMicroelectronics NV....................... 182,377 4,293,396 0.2%
Total SA.................................... 189,670 10,571,844 0.4%
* Ubisoft Entertainment SA.................... 63,784 4,866,695 0.2%
Other Securities............................ 127,699,665 5.0%
------------ ----
TOTAL FRANCE.................................... 167,484,148 6.6%
------------ ----
GERMANY -- (6.2%)
Allianz SE.................................. 25,753 6,012,264 0.3%
BASF SE..................................... 39,408 4,309,396 0.2%
Daimler AG.................................. 89,896 7,505,071 0.3%
Deutsche Lufthansa AG....................... 152,127 4,887,513 0.2%
E.ON SE..................................... 588,434 6,969,668 0.3%
* RWE AG...................................... 247,438 6,221,546 0.3%
Other Securities............................ 130,392,007 5.0%
------------ ----
TOTAL GERMANY................................... 166,297,465 6.6%
------------ ----
102
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.9%)
Other Securities..................... $ 78,974,131 3.1%
------------ -----
IRELAND -- (0.5%)
Other Securities..................... 13,404,263 0.5%
------------ -----
ISRAEL -- (0.8%)
Other Securities..................... 20,385,479 0.8%
------------ -----
ITALY -- (3.2%)
Assicurazioni Generali SpA........... 303,243 5,518,948 0.2%
* Banco BPM SpA........................ 1,218,177 4,241,551 0.2%
Fiat Chrysler Automobiles NV......... 452,754 7,828,694 0.3%
* UniCredit SpA........................ 235,562 4,501,733 0.2%
Other Securities..................... 62,340,988 2.4%
------------ -----
TOTAL ITALY.............................. 84,431,914 3.3%
------------ -----
JAPAN -- (23.8%)
Honda Motor Co., Ltd................. 138,023 4,325,234 0.2%
Mitsubishi Chemical Holdings Corp.... 464,080 4,847,460 0.2%
Mitsubishi UFJ Financial Group, Inc.. 817,300 5,543,862 0.2%
Toyota Motor Corp.................... 73,263 4,544,215 0.2%
# Toyota Motor Corp. Sponsored ADR..... 36,827 4,566,548 0.2%
Other Securities..................... 613,465,176 24.2%
------------ -----
TOTAL JAPAN.............................. 637,292,495 25.2%
------------ -----
NETHERLANDS -- (2.6%)
# Koninklijke Ahold Delhaize NV........ 219,005 4,120,633 0.2%
Other Securities..................... 64,634,729 2.5%
------------ -----
TOTAL NETHERLANDS........................ 68,755,362 2.7%
------------ -----
NEW ZEALAND -- (0.5%)
Other Securities..................... 12,681,695 0.5%
------------ -----
NORWAY -- (0.9%)
Other Securities..................... 23,088,753 0.9%
------------ -----
PORTUGAL -- (0.3%)
Other Securities..................... 9,204,857 0.4%
------------ -----
SINGAPORE -- (1.2%)
Other Securities..................... 31,189,507 1.2%
------------ -----
SPAIN -- (2.0%)
Banco de Sabadell SA................. 2,409,751 4,824,833 0.2%
Banco Santander SA................... 949,100 6,434,241 0.3%
Repsol SA............................ 224,372 4,204,596 0.2%
Other Securities..................... 38,669,871 1.5%
------------ -----
TOTAL SPAIN.............................. 54,133,541 2.2%
------------ -----
SWEDEN -- (2.6%)
Boliden AB........................... 124,690 4,363,123 0.2%
Other Securities..................... 64,611,791 2.5%
------------ -----
TOTAL SWEDEN............................. 68,974,914 2.7%
------------ -----
103
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (5.5%)
Baloise Holding AG................................ 26,119 $ 4,117,851 0.2%
Clariant AG....................................... 182,599 4,594,173 0.2%
Nestle SA......................................... 110,012 9,256,245 0.4%
Novartis AG....................................... 52,784 4,353,584 0.2%
Novartis AG Sponsored ADR......................... 73,269 6,050,554 0.3%
Other Securities.................................. 119,708,413 4.6%
-------------- -----
TOTAL SWITZERLAND..................................... 148,080,820 5.9%
-------------- -----
UNITED KINGDOM -- (14.0%)
Anglo American P.L.C.............................. 398,838 7,523,285 0.3%
BP P.L.C. Sponsored ADR........................... 244,019 9,924,259 0.4%
HSBC Holdings P.L.C. Sponsored ADR................ 234,122 11,418,130 0.5%
Melrose Industries P.L.C.......................... 1,498,496 4,376,887 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A... 157,827 9,947,823 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B... 102,022 6,668,158 0.3%
* Standard Chartered P.L.C.......................... 415,514 4,138,465 0.2%
Vodafone Group P.L.C.............................. 1,755,059 5,020,063 0.2%
Vodafone Group P.L.C. Sponsored ADR............... 142,624 4,133,249 0.2%
Other Securities.................................. 311,073,876 12.1%
-------------- -----
TOTAL UNITED KINGDOM.................................. 374,224,195 14.8%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities.................................. 13,831 0.0%
-------------- -----
TOTAL COMMON STOCKS................................... 2,494,459,291 98.6%
-------------- -----
PREFERRED STOCKS -- (0.4%)
GERMANY -- (0.4%)
Volkswagen AG..................................... 25,998 4,760,315 0.2%
Other Securities.................................. 6,704,101 0.3%
-------------- -----
TOTAL GERMANY......................................... 11,464,416 0.5%
-------------- -----
TOTAL PREFERRED STOCKS................................ 11,464,416 0.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................................. 33,649 0.0%
-------------- -----
FRANCE -- (0.0%)
Other Securities.................................. 372 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................. 417 0.0%
-------------- -----
SPAIN -- (0.0%)
Other Securities.................................. 184,352 0.0%
-------------- -----
SWITZERLAND -- (0.0%)
Other Securities.................................. 11,358 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS................................. 230,148 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES........................... 2,506,153,855
--------------
104
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (6.3%)
(S)@ DFA Short Term Investment Fund.. 14,624,867 $ 169,224,337 6.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,123,246,116).............. $2,675,378,192 105.8%
============== ======
Summary of the Portfolio's investments as of October 31, 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...................... $ 3,313,075 $ 146,808,209 -- $ 150,121,284
Austria........................ -- 21,355,276 -- 21,355,276
Belgium........................ 789,230 44,749,998 -- 45,539,228
Canada......................... 213,839,767 4,872 -- 213,844,639
China.......................... -- 64,762 -- 64,762
Denmark........................ 873,243 50,444,421 -- 51,317,664
Finland........................ -- 53,599,068 -- 53,599,068
France......................... 800,197 166,683,951 -- 167,484,148
Germany........................ 6,042,026 160,255,439 -- 166,297,465
Hong Kong...................... 680,141 78,293,990 -- 78,974,131
Ireland........................ 2,585,278 10,818,985 -- 13,404,263
Israel......................... 1,146,076 19,239,403 -- 20,385,479
Italy.......................... 533,795 83,898,119 -- 84,431,914
Japan.......................... 9,690,572 627,601,923 -- 637,292,495
Netherlands.................... 7,851,770 60,903,592 -- 68,755,362
New Zealand.................... 6,270 12,675,425 -- 12,681,695
Norway......................... 222,380 22,866,373 -- 23,088,753
Portugal....................... -- 9,204,857 -- 9,204,857
Singapore...................... 13,034 31,176,473 -- 31,189,507
Spain.......................... 2,651,326 51,482,215 -- 54,133,541
Sweden......................... 172,409 68,802,505 -- 68,974,914
Switzerland.................... 9,644,504 138,436,316 -- 148,080,820
United Kingdom................. 61,642,137 312,582,058 -- 374,224,195
United States.................. 13,831 -- -- 13,831
Preferred Stocks................
Germany........................ -- 11,464,416 -- 11,464,416
Rights/Warrants.................
Australia...................... -- 33,649 -- 33,649
France......................... -- 372 -- 372
Hong Kong...................... -- 417 -- 417
Spain.......................... -- 184,352 -- 184,352
Switzerland.................... -- 11,358 -- 11,358
Securities Lending Collateral... -- 169,224,337 -- 169,224,337
------------ -------------- -- --------------
TOTAL........................... $322,511,061 $2,352,867,131 -- $2,675,378,192
============ ============== == ==============
See accompanying Notes to Financial Statements.
105
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (96.4%)
AUSTRALIA -- (5.7%)
BHP Billiton, Ltd........................... 33,542 $ 690,589 1.0%
CSL, Ltd.................................... 3,787 403,168 0.6%
Other Securities............................ 2,866,784 4.2%
---------- ----
TOTAL AUSTRALIA.................................. 3,960,541 5.8%
---------- ----
AUSTRIA -- (0.2%)
Other Securities............................ 165,923 0.2%
---------- ----
BELGIUM -- (1.2%)
Other Securities............................ 808,670 1.2%
---------- ----
CANADA -- (8.1%)
Canadian Imperial Bank of Commerce.......... 4,098 360,829 0.5%
Canadian National Railway Co................ 6,138 494,048 0.7%
Royal Bank of Canada........................ 9,264 723,982 1.1%
Other Securities............................ 4,016,145 6.0%
---------- ----
TOTAL CANADA..................................... 5,595,004 8.3%
---------- ----
DENMARK -- (1.6%)
Novo Nordisk A.S. Class B................... 19,051 948,527 1.4%
Other Securities............................ 163,169 0.2%
---------- ----
TOTAL DENMARK.................................... 1,111,696 1.6%
---------- ----
FINLAND -- (0.8%)
Other Securities............................ 586,275 0.9%
---------- ----
FRANCE -- (9.1%)
Airbus SE................................... 4,387 450,172 0.7%
Cie Generale des Etablissements Michelin.... 3,553 514,284 0.8%
LVMH Moet Hennessy Louis Vuitton SE......... 2,388 712,252 1.0%
Vinci SA.................................... 4,852 475,387 0.7%
Other Securities............................ 4,127,032 6.1%
---------- ----
TOTAL FRANCE..................................... 6,279,127 9.3%
---------- ----
GERMANY -- (8.1%)
BASF SE..................................... 6,528 713,859 1.1%
Bayer AG.................................... 6,254 813,513 1.2%
Bayerische Motoren Werke AG................. 3,179 326,039 0.5%
Deutsche Post AG............................ 7,604 348,568 0.5%
Deutsche Telekom AG......................... 34,450 623,797 0.9%
E.ON SE..................................... 32,916 389,871 0.6%
Other Securities............................ 2,415,269 3.5%
---------- ----
TOTAL GERMANY.................................... 5,630,916 8.3%
---------- ----
HONG KONG -- (2.5%)
Other Securities............................ 1,713,063 2.5%
---------- ----
IRELAND -- (0.5%)
Other Securities............................ 331,606 0.5%
---------- ----
ISRAEL -- (0.4%)
Other Securities............................ 251,573 0.4%
---------- ----
106
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
ITALY -- (2.1%)
Enel SpA............................ 57,414 $ 356,063 0.5%
Other Securities.................... 1,101,225 1.6%
----------- -----
TOTAL ITALY.............................. 1,457,288 2.1%
----------- -----
JAPAN -- (22.2%)
Bridgestone Corp.................... 7,500 358,278 0.5%
Hitachi, Ltd........................ 57,000 453,911 0.7%
Japan Tobacco, Inc.................. 9,600 317,762 0.5%
KDDI Corp........................... 18,800 500,882 0.7%
NTT DOCOMO, Inc..................... 14,600 353,594 0.5%
Panasonic Corp...................... 20,700 312,557 0.5%
Seven & I Holdings Co., Ltd......... 7,900 318,405 0.5%
SoftBank Group Corp................. 7,900 700,115 1.0%
Sony Corp........................... 11,200 468,548 0.7%
Other Securities.................... 11,555,290 17.0%
----------- -----
TOTAL JAPAN.............................. 15,339,342 22.6%
----------- -----
NETHERLANDS -- (3.2%)
Akzo Nobel NV....................... 3,532 318,872 0.5%
Unilever NV......................... 15,878 920,289 1.4%
Other Securities.................... 946,577 1.3%
----------- -----
TOTAL NETHERLANDS........................ 2,185,738 3.2%
----------- -----
NEW ZEALAND -- (0.2%)
Other Securities.................... 167,244 0.2%
----------- -----
NORWAY -- (0.8%)
Other Securities.................... 579,739 0.9%
----------- -----
PORTUGAL -- (0.1%)
Other Securities.................... 39,572 0.1%
----------- -----
SINGAPORE -- (1.0%)
Other Securities.................... 691,876 1.0%
----------- -----
SPAIN -- (3.0%)
Amadeus IT Group SA................. 6,239 423,309 0.6%
Telefonica SA....................... 42,271 443,231 0.6%
Other Securities.................... 1,197,830 1.8%
----------- -----
TOTAL SPAIN.............................. 2,064,370 3.0%
----------- -----
SWEDEN -- (2.8%)
Volvo AB Class B.................... 17,355 343,737 0.5%
Other Securities.................... 1,628,581 2.4%
----------- -----
TOTAL SWEDEN............................. 1,972,318 2.9%
----------- -----
SWITZERLAND -- (7.3%)
ABB, Ltd............................ 19,985 521,909 0.8%
Givaudan SA......................... 189 422,092 0.6%
Nestle SA........................... 4,640 390,403 0.6%
Roche Holding AG.................... 5,911 1,366,215 2.0%
Other Securities.................... 2,380,794 3.5%
----------- -----
TOTAL SWITZERLAND........................ 5,081,413 7.5%
----------- -----
107
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (15.5%)
# AstraZeneca P.L.C. Sponsored ADR....... 22,177 $ 765,106 1.1%
BAE Systems P.L.C...................... 59,568 469,237 0.7%
BT Group P.L.C......................... 88,241 304,037 0.5%
Diageo P.L.C. Sponsored ADR............ 4,657 638,056 0.9%
Experian P.L.C......................... 15,450 325,505 0.5%
Ferguson P.L.C......................... 5,488 383,776 0.6%
# GlaxoSmithKline P.L.C. Sponsored ADR... 16,902 615,740 0.9%
Imperial Brands P.L.C.................. 7,910 322,503 0.5%
Reckitt Benckiser Group P.L.C.......... 5,379 481,241 0.7%
Rio Tinto P.L.C. Sponsored ADR......... 11,555 553,831 0.8%
Rolls-Royce Holdings P.L.C............. 31,777 410,653 0.6%
SSE P.L.C.............................. 20,769 381,441 0.6%
Tesco P.L.C............................ 151,826 365,838 0.5%
Unilever P.L.C. Sponsored ADR.......... 10,038 568,653 0.8%
Other Securities....................... 4,161,974 6.2%
----------- ------
TOTAL UNITED KINGDOM......................... 10,747,591 15.9%
----------- ------
TOTAL COMMON STOCKS.......................... 66,760,885 98.4%
----------- ------
PREFERRED STOCKS -- (0.8%)
GERMANY -- (0.8%)
Volkswagen AG.......................... 1,936 354,488 0.5%
Other Securities....................... 173,171 0.3%
----------- ------
TOTAL GERMANY................................ 527,659 0.8%
----------- ------
TOTAL PREFERRED STOCKS....................... 527,659 0.8%
----------- ------
TOTAL INVESTMENT SECURITIES.................. 67,288,544
-----------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund......... 167,908 1,942,864 2.9%
----------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $65,511,817)......................... $69,231,408 102.1%
=========== ======
108
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...................... -- $ 3,960,541 -- $ 3,960,541
Austria........................ -- 165,923 -- 165,923
Belgium........................ -- 808,670 -- 808,670
Canada......................... $ 5,595,004 -- -- 5,595,004
Denmark........................ -- 1,111,696 -- 1,111,696
Finland........................ -- 586,275 -- 586,275
France......................... -- 6,279,127 -- 6,279,127
Germany........................ -- 5,630,916 -- 5,630,916
Hong Kong...................... -- 1,713,063 -- 1,713,063
Ireland........................ 35,306 296,300 -- 331,606
Israel......................... 39,193 212,380 -- 251,573
Italy.......................... 155,105 1,302,183 -- 1,457,288
Japan.......................... -- 15,339,342 -- 15,339,342
Netherlands.................... 920,289 1,265,449 -- 2,185,738
New Zealand.................... -- 167,244 -- 167,244
Norway......................... -- 579,739 -- 579,739
Portugal....................... -- 39,572 -- 39,572
Singapore...................... -- 691,876 -- 691,876
Spain.......................... -- 2,064,370 -- 2,064,370
Sweden......................... -- 1,972,318 -- 1,972,318
Switzerland.................... 67,934 5,013,479 -- 5,081,413
United Kingdom................. 3,291,152 7,456,439 -- 10,747,591
Preferred Stocks
Germany........................ -- 527,659 -- 527,659
Securities Lending Collateral... -- 1,942,864 -- 1,942,864
----------- ----------- -- -----------
TOTAL........................... $10,103,983 $59,127,425 -- $69,231,408
=========== =========== == ===========
See accompanying Notes to Financial Statements.
109
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company........................... $158,614,724
Investment in Dimensional Emerging Markets Value Fund........ 63,117,901
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc........................ 1,055,882 24,823,781
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $206,206,624)..................................... $246,556,406
============
Summary of the Portfolio's investments as of October 31, 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... $246,556,406 -- -- $246,556,406
------------ -- -- ------------
TOTAL............................. $246,556,406 -- -- $246,556,406
============ == == ============
See accompanying Notes to Financial Statements.
110
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (97.8%)
AUSTRALIA -- (4.3%)
BlueScope Steel, Ltd....................... 88,385 $ 870,152 0.2%
Boral, Ltd................................. 149,841 822,228 0.2%
* Santos, Ltd................................ 243,160 840,241 0.2%
Other Securities........................... 17,640,799 3.7%
----------- ----
TOTAL AUSTRALIA................................ 20,173,420 4.3%
----------- ----
AUSTRIA -- (0.8%)
* Raiffeisen Bank International AG........... 27,085 941,911 0.2%
Other Securities........................... 3,017,907 0.7%
----------- ----
TOTAL AUSTRIA.................................. 3,959,818 0.9%
----------- ----
BELGIUM -- (1.1%)
Ageas...................................... 31,193 1,512,707 0.3%
Other Securities........................... 3,404,481 0.8%
----------- ----
TOTAL BELGIUM.................................. 4,917,188 1.1%
----------- ----
BRAZIL -- (1.5%)
Other Securities........................... 7,074,523 1.5%
----------- ----
CANADA -- (5.6%)
* Kinross Gold Corp.......................... 202,343 799,899 0.2%
Other Securities........................... 25,590,849 5.5%
----------- ----
TOTAL CANADA................................... 26,390,748 5.7%
----------- ----
CHILE -- (0.3%)
Other Securities........................... 1,492,865 0.3%
----------- ----
CHINA -- (7.9%)
China Taiping Insurance Holdings Co., Ltd.. 278,000 916,775 0.2%
Other Securities........................... 35,990,703 7.7%
----------- ----
TOTAL CHINA.................................... 36,907,478 7.9%
----------- ----
COLOMBIA -- (0.1%)
Other Securities........................... 527,214 0.1%
----------- ----
DENMARK -- (1.4%)
Jyske Bank A.S............................. 14,411 814,339 0.2%
Other Securities........................... 5,824,939 1.2%
----------- ----
TOTAL DENMARK.................................. 6,639,278 1.4%
----------- ----
FINLAND -- (1.5%)
Neste Oyj.................................. 17,647 982,431 0.2%
Stora Enso Oyj Class R..................... 81,990 1,281,355 0.3%
Other Securities........................... 4,761,302 1.0%
----------- ----
TOTAL FINLAND.................................. 7,025,088 1.5%
----------- ----
FRANCE -- (3.9%)
Arkema SA.................................. 10,891 1,375,875 0.3%
Eiffage SA................................. 10,627 1,110,050 0.3%
Faurecia................................... 10,990 798,922 0.2%
Rexel SA................................... 50,303 897,004 0.2%
111
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
FRANCE -- (Continued)
SCOR SE......................... 26,197 $ 1,087,527 0.2%
Other Securities................ 12,994,682 2.7%
----------- -----
TOTAL FRANCE........................ 18,264,060 3.9%
----------- -----
GERMANY -- (5.0%)
Deutsche Lufthansa AG........... 40,731 1,308,599 0.3%
Lanxess AG...................... 14,058 1,102,268 0.2%
OSRAM Licht AG.................. 10,639 814,626 0.2%
Rheinmetall AG.................. 8,438 1,002,167 0.2%
* RWE AG.......................... 66,040 1,660,500 0.4%
Uniper SE....................... 33,621 944,703 0.2%
Other Securities................ 16,544,233 3.5%
----------- -----
TOTAL GERMANY....................... 23,377,096 5.0%
----------- -----
HONG KONG -- (1.9%)
Other Securities................ 9,051,196 1.9%
----------- -----
INDIA -- (4.1%)
Vedanta, Ltd.................... 158,687 815,019 0.2%
Other Securities................ 18,511,963 3.9%
----------- -----
TOTAL INDIA......................... 19,326,982 4.1%
----------- -----
INDONESIA -- (0.7%)
Other Securities................ 3,293,956 0.7%
----------- -----
IRELAND -- (0.6%)
* Bank of Ireland Group P.L.C..... 259,138 2,030,398 0.5%
Other Securities................ 637,070 0.1%
----------- -----
TOTAL IRELAND....................... 2,667,468 0.6%
----------- -----
ISRAEL -- (0.5%)
Other Securities................ 2,309,524 0.5%
----------- -----
ITALY -- (2.7%)
* Banco BPM SpA................... 286,172 996,419 0.2%
Fiat Chrysler Automobiles NV.... 76,941 1,330,408 0.3%
Mediobanca SpA.................. 78,387 858,678 0.2%
Unione di Banche Italiane SpA... 199,151 934,702 0.2%
Other Securities................ 8,546,073 1.8%
----------- -----
TOTAL ITALY......................... 12,666,280 2.7%
----------- -----
JAPAN -- (17.9%)
Other Securities................ 84,018,024 18.0%
----------- -----
MALAYSIA -- (0.9%)
Other Securities................ 3,981,154 0.9%
----------- -----
MEXICO -- (0.8%)
Other Securities................ 3,674,446 0.8%
----------- -----
NETHERLANDS -- (1.6%)
Aegon NV........................ 286,779 1,693,101 0.4%
APERAM SA....................... 14,890 800,674 0.2%
ASM International NV............ 11,881 796,193 0.2%
SBM Offshore NV................. 44,899 801,273 0.2%
Other Securities................ 3,552,929 0.6%
----------- -----
TOTAL NETHERLANDS................... 7,644,170 1.6%
----------- -----
112
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
NEW ZEALAND -- (0.4%)
Other Securities............... $ 1,657,332 0.4%
----------- ----
NORWAY -- (0.8%)
Other Securities............... 3,869,121 0.8%
----------- ----
PHILIPPINES -- (0.3%)
Other Securities............... 1,560,999 0.3%
----------- ----
POLAND -- (0.5%)
Other Securities............... 2,386,967 0.5%
----------- ----
PORTUGAL -- (0.3%)
Other Securities............... 1,217,439 0.3%
----------- ----
SINGAPORE -- (0.8%)
Other Securities............... 3,676,518 0.8%
----------- ----
SOUTH AFRICA -- (1.7%)
Other Securities............... 8,152,368 1.7%
----------- ----
SOUTH KOREA -- (4.6%)
Other Securities............... 21,735,250 4.7%
----------- ----
SPAIN -- (1.6%)
Banco de Sabadell SA........... 912,089 1,826,196 0.4%
Other Securities............... 5,551,807 1.2%
----------- ----
TOTAL SPAIN........................ 7,378,003 1.6%
----------- ----
SWEDEN -- (1.7%)
Other Securities............... 7,966,075 1.7%
----------- ----
SWITZERLAND -- (3.1%)
Baloise Holding AG............. 6,402 1,009,322 0.2%
Swiss Life Holding AG.......... 4,696 1,632,185 0.4%
Other Securities............... 11,887,842 2.5%
----------- ----
TOTAL SWITZERLAND.................. 14,529,349 3.1%
----------- ----
TAIWAN -- (4.8%)
Other Securities............... 22,758,899 4.9%
----------- ----
THAILAND -- (0.8%)
Other Securities............... 3,960,064 0.9%
----------- ----
TURKEY -- (0.4%)
Other Securities............... 1,922,716 0.4%
----------- ----
UNITED KINGDOM -- (10.9%)
Barratt Developments P.L.C..... 158,301 1,376,399 0.3%
Bellway P.L.C.................. 25,648 1,243,564 0.3%
Berkeley Group Holdings P.L.C.. 16,899 839,721 0.2%
GKN P.L.C...................... 201,823 850,654 0.2%
Hiscox, Ltd.................... 55,044 1,043,790 0.2%
J Sainsbury P.L.C.............. 260,347 838,375 0.2%
John Wood Group P.L.C.......... 92,959 879,005 0.2%
Johnson Matthey P.L.C.......... 24,288 1,090,434 0.2%
Marks & Spencer Group P.L.C.... 205,740 940,311 0.2%
Meggitt P.L.C.................. 143,546 988,174 0.2%
Pearson P.L.C.................. 90,692 846,849 0.2%
113
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Persimmon P.L.C................. 33,858 $ 1,260,045 0.3%
Royal Mail P.L.C................ 180,633 897,593 0.2%
Taylor Wimpey P.L.C............. 389,086 1,031,108 0.2%
Travis Perkins P.L.C............ 40,221 811,939 0.2%
WM Morrison Supermarkets P.L.C.. 349,221 1,039,714 0.2%
Other Securities................ 35,350,860 7.5%
------------ -----
TOTAL UNITED KINGDOM................ 51,328,535 11.0%
------------ -----
TOTAL COMMON STOCKS................. 459,481,611 98.5%
------------ -----
PREFERRED STOCKS -- (0.7%)
BRAZIL -- (0.5%)
Other Securities................ 2,347,941 0.5%
------------ -----
COLOMBIA -- (0.0%)
Other Securities................ 185,744 0.1%
------------ -----
GERMANY -- (0.2%)
Other Securities................ 903,195 0.2%
------------ -----
TOTAL PREFERRED STOCKS.............. 3,436,880 0.8%
------------ -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................ 7,783 0.0%
------------ -----
BRAZIL -- (0.0%)
Other Securities................ 234 0.0%
------------ -----
CHILE -- (0.0%)
Other Securities................ 5,183 0.0%
------------ -----
HONG KONG -- (0.0%)
Other Securities................ 433 0.0%
------------ -----
INDIA -- (0.0%)
Other Securities................ 4,912 0.0%
------------ -----
MALAYSIA -- (0.0%)
Other Securities................ 4,668 0.0%
------------ -----
SOUTH KOREA -- (0.0%)
Other Securities................ 6,198 0.0%
------------ -----
SPAIN -- (0.0%)
Other Securities................ 3,383 0.0%
------------ -----
TAIWAN -- (0.0%)
Other Securities................ 5,901 0.0%
------------ -----
THAILAND -- (0.0%)
Other Securities................ 16,324 0.0%
------------ -----
TOTAL RIGHTS/WARRANTS............... 55,019 0.0%
------------ -----
TOTAL INVESTMENT SECURITIES......... 462,973,510
------------
114
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (1.5%)
(S)@ DFA Short Term Investment Fund.. 619,913 $ 7,173,015 1.5%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $390,872,219)................ $470,146,525 100.8%
============ ======
Summary of the Portfolio's investments as of October 31, 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...................... -- $20,173,420 -- $20,173,420
Austria........................ -- 3,959,818 -- 3,959,818
Belgium........................ -- 4,917,188 -- 4,917,188
Brazil......................... $ 7,074,523 -- -- 7,074,523
Canada......................... 26,390,748 -- -- 26,390,748
Chile.......................... 12,402 1,480,463 -- 1,492,865
China.......................... 1,229,798 35,677,680 -- 36,907,478
Colombia....................... 527,214 -- -- 527,214
Denmark........................ 228,799 6,410,479 -- 6,639,278
Finland........................ -- 7,025,088 -- 7,025,088
France......................... 1,099 18,262,961 -- 18,264,060
Germany........................ -- 23,377,096 -- 23,377,096
Hong Kong...................... -- 9,051,196 -- 9,051,196
India.......................... 220,593 19,106,389 -- 19,326,982
Indonesia...................... -- 3,293,956 -- 3,293,956
Ireland........................ -- 2,667,468 -- 2,667,468
Israel......................... -- 2,309,524 -- 2,309,524
Italy.......................... -- 12,666,280 -- 12,666,280
Japan.......................... -- 84,018,024 -- 84,018,024
Malaysia....................... -- 3,981,154 -- 3,981,154
Mexico......................... 3,674,446 -- -- 3,674,446
Netherlands.................... -- 7,644,170 -- 7,644,170
New Zealand.................... -- 1,657,332 -- 1,657,332
Norway......................... -- 3,869,121 -- 3,869,121
Philippines.................... -- 1,560,999 -- 1,560,999
Poland......................... -- 2,386,967 -- 2,386,967
Portugal....................... -- 1,217,439 -- 1,217,439
Singapore...................... -- 3,676,518 -- 3,676,518
South Africa................... 981,788 7,170,580 -- 8,152,368
South Korea.................... 27,058 21,708,192 -- 21,735,250
Spain.......................... -- 7,378,003 -- 7,378,003
Sweden......................... -- 7,966,075 -- 7,966,075
Switzerland.................... -- 14,529,349 -- 14,529,349
Taiwan......................... 10,958 22,747,941 -- 22,758,899
Thailand....................... 3,952,186 7,878 -- 3,960,064
Turkey......................... -- 1,922,716 -- 1,922,716
United Kingdom................. -- 51,328,535 -- 51,328,535
Preferred Stocks
Brazil......................... 2,347,941 -- -- 2,347,941
Colombia....................... 185,744 -- -- 185,744
Germany........................ -- 903,195 -- 903,195
115
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ ------- ------------
Rights/Warrants
Australia...................... -- $ 7,783 -- $ 7,783
Brazil......................... -- 234 -- 234
Chile.......................... -- 5,183 -- 5,183
Hong Kong...................... -- 433 -- 433
India.......................... -- 4,912 -- 4,912
Malaysia....................... -- 4,668 -- 4,668
South Korea.................... -- 6,198 -- 6,198
Spain.......................... -- 3,383 -- 3,383
Taiwan......................... -- 5,901 -- 5,901
Thailand....................... -- 16,324 -- 16,324
Securities Lending Collateral... -- 7,173,015 -- 7,173,015
----------- ------------ -- ------------
TOTAL........................... $46,865,297 $423,281,228 -- $470,146,525
=========== ============ == ============
See accompanying Notes to Financial Statements.
116
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.8%)
AUSTRALIA -- (4.1%)
BHP Billiton, Ltd................................... 487,213 $ 10,031,129 0.4%
# Commonwealth Bank of Australia...................... 80,746 4,803,194 0.2%
Westpac Banking Corp................................ 205,234 5,198,461 0.2%
Other Securities.................................... 101,384,092 3.5%
------------ ----
TOTAL AUSTRALIA......................................... 121,416,876 4.3%
------------ ----
AUSTRIA -- (0.5%)
Other Securities.................................... 14,828,247 0.5%
------------ ----
BELGIUM -- (1.1%)
Anheuser-Busch InBev SA/NV.......................... 41,570 5,097,359 0.2%
Other Securities.................................... 26,345,296 0.9%
------------ ----
TOTAL BELGIUM........................................... 31,442,655 1.1%
------------ ----
BRAZIL -- (1.3%)
Vale SA............................................. 447,406 4,390,226 0.2%
Other Securities.................................... 32,500,765 1.1%
------------ ----
TOTAL BRAZIL............................................ 36,890,991 1.3%
------------ ----
CANADA -- (5.8%)
Bank of Montreal.................................... 71,868 5,505,807 0.2%
Bank of Nova Scotia (The)........................... 84,789 5,470,586 0.2%
# Canadian Imperial Bank of Commerce.................. 50,532 4,449,343 0.2%
# Royal Bank of Canada................................ 72,182 5,641,023 0.2%
Other Securities.................................... 148,816,851 5.3%
------------ ----
TOTAL CANADA............................................ 169,883,610 6.1%
------------ ----
CHILE -- (0.3%)
Other Securities.................................... 9,541,528 0.3%
------------ ----
CHINA -- (7.1%)
China Construction Bank Corp. Class H............... 9,249,000 8,265,970 0.3%
China Mobile, Ltd................................... 513,500 5,164,970 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 6,595,000 5,247,411 0.2%
Ping An Insurance Group Co. of China, Ltd. Class H.. 618,000 5,430,946 0.2%
Tencent Holdings, Ltd............................... 209,100 9,398,018 0.4%
Other Securities.................................... 176,354,469 6.2%
------------ ----
TOTAL CHINA............................................. 209,861,784 7.5%
------------ ----
COLOMBIA -- (0.1%)
Other Securities.................................... 2,450,932 0.1%
------------ ----
CZECH REPUBLIC -- (0.0%)
Other Securities.................................... 900,876 0.0%
------------ ----
DENMARK -- (1.2%)
Other Securities.................................... 34,855,933 1.3%
------------ ----
EGYPT -- (0.0%)
Other Securities.................................... 122,839 0.0%
------------ ----
117
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
FINLAND -- (1.2%)
UPM-Kymmene Oyj.......................... 158,274 $ 4,753,326 0.2%
Other Securities......................... 31,731,533 1.1%
------------ ----
TOTAL FINLAND................................ 36,484,859 1.3%
------------ ----
FRANCE -- (5.1%)
BNP Paribas SA........................... 76,820 5,995,756 0.2%
Cie Generale des Etablissements Michelin. 33,162 4,800,079 0.2%
Engie SA................................. 282,553 4,775,725 0.2%
Sanofi................................... 52,072 4,930,518 0.2%
Total SA................................. 183,178 10,209,992 0.4%
Other Securities......................... 121,001,936 4.2%
------------ ----
TOTAL FRANCE................................. 151,714,006 5.4%
------------ ----
GERMANY -- (5.1%)
Allianz SE............................... 26,218 6,120,823 0.2%
BASF SE.................................. 66,555 7,278,011 0.3%
Bayer AG................................. 33,768 4,392,502 0.2%
Bayerische Motoren Werke AG.............. 51,423 5,273,955 0.2%
Daimler AG............................... 102,777 8,580,456 0.3%
Deutsche Telekom AG...................... 449,901 8,146,499 0.3%
Siemens AG............................... 38,516 5,532,157 0.2%
Other Securities......................... 106,348,182 3.7%
------------ ----
TOTAL GERMANY................................ 151,672,585 5.4%
------------ ----
GREECE -- (0.0%)
Other Securities......................... 567,411 0.0%
------------ ----
HONG KONG -- (2.2%)
AIA Group, Ltd........................... 1,173,600 8,843,638 0.3%
Other Securities......................... 55,286,543 2.0%
------------ ----
TOTAL HONG KONG.............................. 64,130,181 2.3%
------------ ----
HUNGARY -- (0.1%)
Other Securities......................... 2,942,020 0.1%
------------ ----
INDIA -- (2.8%)
Other Securities......................... 83,859,376 3.0%
------------ ----
INDONESIA -- (0.6%)
Other Securities......................... 17,000,580 0.6%
------------ ----
IRELAND -- (0.4%)
Other Securities......................... 11,579,325 0.4%
------------ ----
ISRAEL -- (0.5%)
Other Securities......................... 14,597,856 0.5%
------------ ----
ITALY -- (2.2%)
Fiat Chrysler Automobiles NV............. 275,811 4,769,124 0.2%
Other Securities......................... 58,944,421 2.1%
------------ ----
TOTAL ITALY.................................. 63,713,545 2.3%
------------ ----
JAPAN -- (16.8%)
Hitachi, Ltd............................. 678,000 5,399,148 0.2%
Honda Motor Co., Ltd..................... 259,300 8,125,698 0.3%
118
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
JAPAN -- (Continued)
Mitsubishi UFJ Financial Group, Inc.. 712,100 $ 4,830,275 0.2%
Toyota Motor Corp.................... 222,288 13,787,647 0.5%
Other Securities..................... 462,640,762 16.4%
------------ -----
TOTAL JAPAN.............................. 494,783,530 17.6%
------------ -----
MALAYSIA -- (0.6%)
Other Securities..................... 17,994,400 0.6%
------------ -----
MEXICO -- (0.7%)
Other Securities..................... 21,169,676 0.8%
------------ -----
NETHERLANDS -- (2.0%)
Other Securities..................... 59,163,911 2.1%
------------ -----
NEW ZEALAND -- (0.3%)
Other Securities..................... 9,042,191 0.3%
------------ -----
NORWAY -- (0.6%)
Other Securities..................... 17,458,709 0.6%
------------ -----
PERU -- (0.0%)
Other Securities..................... 471,901 0.0%
------------ -----
PHILIPPINES -- (0.3%)
Other Securities..................... 7,694,145 0.3%
------------ -----
POLAND -- (0.4%)
Other Securities..................... 10,985,592 0.4%
------------ -----
PORTUGAL -- (0.2%)
Other Securities..................... 5,435,416 0.2%
------------ -----
RUSSIA -- (0.2%)
Other Securities..................... 6,735,783 0.2%
------------ -----
SINGAPORE -- (0.9%)
Other Securities..................... 25,628,940 0.9%
------------ -----
SOUTH AFRICA -- (1.8%)
Other Securities..................... 52,035,454 1.9%
------------ -----
SOUTH KOREA -- (3.9%)
Samsung Electronics Co., Ltd......... 8,476 20,894,227 0.8%
Other Securities..................... 94,705,532 3.3%
------------ -----
TOTAL SOUTH KOREA........................ 115,599,759 4.1%
------------ -----
SPAIN -- (1.8%)
Banco Santander SA................... 792,339 5,371,512 0.2%
Iberdrola SA......................... 655,378 5,296,115 0.2%
Other Securities..................... 41,728,582 1.5%
------------ -----
TOTAL SPAIN.............................. 52,396,209 1.9%
------------ -----
SWEDEN -- (2.0%)
Other Securities..................... 60,261,974 2.2%
------------ -----
SWITZERLAND -- (4.0%)
ABB, Ltd............................. 169,079 4,415,503 0.2%
119
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Nestle SA.............................................. 200,030 $ 16,830,224 0.6%
Novartis AG............................................ 88,456 7,295,783 0.3%
Roche Holding AG....................................... 21,689 5,013,000 0.2%
Other Securities....................................... 85,383,614 2.9%
-------------- -----
TOTAL SWITZERLAND.......................................... 118,938,124 4.2%
-------------- -----
TAIWAN -- (3.6%)
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 134,422 5,690,083 0.2%
Other Securities....................................... 100,405,772 3.6%
-------------- -----
TOTAL TAIWAN............................................... 106,095,855 3.8%
-------------- -----
THAILAND -- (0.6%)
Other Securities....................................... 18,503,602 0.7%
-------------- -----
TURKEY -- (0.3%)
Other Securities....................................... 9,781,086 0.4%
-------------- -----
UNITED KINGDOM -- (11.1%)
# Anglo American P.L.C................................... 344,308 6,494,685 0.2%
BP P.L.C. Sponsored ADR................................ 225,511 9,171,532 0.3%
British American Tobacco P.L.C......................... 67,140 4,337,904 0.2%
HSBC Holdings P.L.C. Sponsored ADR..................... 249,280 12,157,386 0.4%
# Rio Tinto P.L.C. Sponsored ADR......................... 156,348 7,493,760 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A........ 156,992 9,895,206 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B........ 113,857 7,441,694 0.3%
Vodafone Group P.L.C................................... 4,040,579 11,557,423 0.4%
Other Securities....................................... 260,255,401 9.2%
-------------- -----
TOTAL UNITED KINGDOM....................................... 328,804,991 11.7%
-------------- -----
TOTAL COMMON STOCKS........................................ 2,769,439,263 98.7%
-------------- -----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.5%)
Other Securities....................................... 14,161,218 0.5%
-------------- -----
CHILE -- (0.0%)
Other Securities....................................... 227,688 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities....................................... 384,568 0.0%
-------------- -----
GERMANY -- (0.4%)
Volkswagen AG.......................................... 32,427 5,937,486 0.2%
Other Securities....................................... 5,964,516 0.3%
-------------- -----
TOTAL GERMANY.............................................. 11,902,002 0.5%
-------------- -----
TOTAL PREFERRED STOCKS..................................... 26,675,476 1.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities....................................... 20,900 0.0%
-------------- -----
BRAZIL -- (0.0%)
Other Securities....................................... 7,845 0.0%
-------------- -----
120
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
CHILE -- (0.0%)
Other Securities................ $ 10,608 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities................ 425 0.0%
-------------- ------
INDIA -- (0.0%)
Other Securities................ 5,713 0.0%
-------------- ------
ISRAEL -- (0.0%)
Other Securities................ 5 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 7,205 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 21,024 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 110,556 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................ 10,652 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................ 35,516 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 230,449 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 2,796,345,188
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (5.3%)
(S)@ DFA Short Term Investment Fund.. 13,656,957 158,024,649 5.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,518,977,486).............. $2,954,369,837 105.3%
============== ======
Summary of the Portfolio's investments as of October 31, 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...... $ 971,488 $120,445,388 -- $121,416,876
Austria........ -- 14,828,247 -- 14,828,247
Belgium........ 153,600 31,289,055 -- 31,442,655
Brazil......... 36,890,991 -- -- 36,890,991
Canada......... 169,883,610 -- -- 169,883,610
Chile.......... 1,955,136 7,586,392 -- 9,541,528
China.......... 21,484,431 188,377,353 -- 209,861,784
Colombia....... 2,450,932 -- -- 2,450,932
Czech Republic. -- 900,876 -- 900,876
Denmark........ 640,442 34,215,491 -- 34,855,933
Egypt.......... -- 122,839 -- 122,839
Finland........ 100,856 36,384,003 -- 36,484,859
France......... 1,881,553 149,832,453 -- 151,714,006
121
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Germany..................... $ 3,354,360 $ 148,318,225 -- $ 151,672,585
Greece...................... -- 567,411 -- 567,411
Hong Kong................... 84,205 64,045,976 -- 64,130,181
Hungary..................... -- 2,942,020 -- 2,942,020
India....................... 1,275,559 82,583,817 -- 83,859,376
Indonesia................... 188,873 16,811,707 -- 17,000,580
Ireland..................... 2,099,694 9,479,631 -- 11,579,325
Israel...................... 1,065,610 13,532,246 -- 14,597,856
Italy....................... 102,347 63,611,198 -- 63,713,545
Japan....................... 2,978,728 491,804,802 -- 494,783,530
Malaysia.................... -- 17,994,400 -- 17,994,400
Mexico...................... 21,166,403 3,273 -- 21,169,676
Netherlands................. 6,243,168 52,920,743 -- 59,163,911
New Zealand................. -- 9,042,191 -- 9,042,191
Norway...................... 150,375 17,308,334 -- 17,458,709
Peru........................ 471,901 -- -- 471,901
Philippines................. 29,754 7,664,391 -- 7,694,145
Poland...................... -- 10,985,592 -- 10,985,592
Portugal.................... -- 5,435,416 -- 5,435,416
Russia...................... 1,572,576 5,163,207 -- 6,735,783
Singapore................... -- 25,628,940 -- 25,628,940
South Africa................ 4,075,849 47,959,605 -- 52,035,454
South Korea................. 1,256,782 114,342,977 -- 115,599,759
Spain....................... 735,528 51,660,681 -- 52,396,209
Sweden...................... 50,550 60,211,424 -- 60,261,974
Switzerland................. 3,427,560 115,510,564 -- 118,938,124
Taiwan...................... 5,923,367 100,172,488 -- 106,095,855
Thailand.................... 18,486,593 17,009 -- 18,503,602
Turkey...................... 22,536 9,758,550 -- 9,781,086
United Kingdom.............. 73,814,356 254,990,635 -- 328,804,991
Preferred Stocks
Brazil...................... 14,161,218 -- -- 14,161,218
Chile....................... -- 227,688 -- 227,688
Colombia.................... 384,568 -- -- 384,568
Germany..................... -- 11,902,002 -- 11,902,002
Rights/Warrants
Australia................... -- 20,900 -- 20,900
Brazil...................... -- 7,845 -- 7,845
Chile....................... -- 10,608 -- 10,608
Hong Kong................... -- 425 -- 425
India....................... -- 5,713 -- 5,713
Israel...................... -- 5 -- 5
Malaysia.................... -- 7,205 -- 7,205
South Korea................. -- 21,024 -- 21,024
Spain....................... -- 110,556 -- 110,556
Taiwan...................... -- 10,652 -- 10,652
Thailand.................... -- 35,516 -- 35,516
Securities Lending Collateral. -- 158,024,649 -- 158,024,649
------------ -------------- -- --------------
TOTAL......................... $399,535,499 $2,554,834,338 -- $2,954,369,837
============ ============== == ==============
See accompanying Notes to Financial Statements.
122
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 12,559,691 $276,438,791
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 14,301,126 203,505,025
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 2,966,880 66,398,781
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $453,523,598)............................................. 546,342,597
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund, 0.960%
(Cost $296,936).................................................... 296,936 296,936
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $453,820,534)............................................. $546,639,533
============
Summary of the Fund's investments as of October 31, 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......... $546,342,597 -- -- $546,342,597
Temporary Cash Investments.............. 296,936 -- -- 296,936
------------ -- -- ------------
TOTAL................................... $546,639,533 -- -- $546,639,533
============ == == ============
See accompanying Notes to Financial Statements.
123
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 7,900,032 $165,110,662
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 9,783,356 139,217,159
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 3,277,442 73,349,157
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $299,834,024)................................. $377,676,978
============
At October 31, 2017, Selectively Hedged Global Equity Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
----------------- ----------------- ---------------------------- ---------- --------------
GBP 14,422,619 USD 19,022,569 State Street Bank and Trust 11/01/17 $ 132,832
USD 7,362,877 CAD 9,178,689 JP Morgan 11/01/17 248,166
USD 19,411,240 GBP 14,422,619 State Street Bank and Trust 11/01/17 255,838
USD 28,613,126 JPY 3,219,524,327 State Street Bank and Trust 11/01/17 298,414
USD 34,863,532 EUR 29,602,665 UBS AG 11/06/17 373,779
USD 13,301,056 HKD 103,760,509 State Street Bank and Trust 11/07/17 1,070
USD 393,277 ILS 1,373,457 Citibank, N.A. 11/10/17 3,140
USD 395,399 ILS 1,381,535 Bank of America Corp. 11/10/17 2,968
USD 1,358,042 SGD 1,842,700 Citibank, N.A. 11/22/17 6,032
USD 1,055,436 NOK 8,392,855 Citibank, N.A. 11/24/17 27,393
USD 7,074,747 CHF 6,938,720 Citibank, N.A. 11/24/17 110,021
USD 2,223,703 DKK 14,016,147 Citibank, N.A. 11/28/17 26,484
USD 3,628,826 SEK 29,770,190 Citibank, N.A. 11/28/17 67,846
USD 7,232,133 CAD 9,284,581 Citibank, N.A. 12/04/17 33,279
USD 30,113,683 JPY 3,411,138,014 Citibank, N.A. 12/04/17 74,504
----------
TOTAL APPRECIATION $1,661,766
CAD 9,178,689 USD 7,147,768 Citibank, N.A. 11/01/17 $ (33,057)
JPY 3,219,524,327 USD 28,382,608 Citibank, N.A. 11/01/17 (67,896)
USD 19,719,807 GBP 14,937,790 State Street Bank and Trust 12/04/17 (137,147)
----------
TOTAL (DEPRECIATION) $ (238,100)
----------
TOTAL APPRECIATION
(DEPRECIATION) $1,423,666
==========
124
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
CONTINUED
At October 31, 2017, Selectively Hedged Global Equity Portfolio had entered
into the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R).. 186 12/15/17 $22,920,153 $23,926,110 $1,005,957
----------- ----------- ----------
TOTAL FUTURES CONTRACTS. $22,920,153 $23,926,110 $1,005,957
=========== =========== ==========
Summary of the Portfolio's investments as of October 31, 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. $377,676,978 -- -- $377,676,978
Futures Contracts**............. 1,005,957 -- -- 1,005,957
Forward Currency Contracts**.... -- $1,423,666 -- 1,423,666
------------ ---------- -- ------------
TOTAL........................... $378,682,935 $1,423,666 -- $380,106,601
============ ========== == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
125
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2017
EMERGING MARKETS PORTFOLIO
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company.................... $6,639,920,366
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $6,639,920,366
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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..................... $7,251,640,855
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.. $7,251,640,855
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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. $19,424,024,263
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $19,424,024,263
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
126
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.6%)
BRAZIL -- (5.7%)
Ambev SA ADR........................................ 14,628,396 $ 92,597,747 0.4%
B3 SA -- Brasil Bolsa Balcao........................ 8,383,962 61,252,924 0.2%
Lojas Renner SA..................................... 5,203,997 54,850,921 0.2%
Vale SA............................................. 14,689,060 144,138,059 0.5%
Other Securities.................................... 1,236,285,322 4.6%
-------------- -----
TOTAL BRAZIL............................................ 1,589,124,973 5.9%
-------------- -----
CHILE -- (1.4%)
Other Securities.................................... 384,187,447 1.4%
-------------- -----
CHINA -- (16.9%)
* Alibaba Group Holding, Ltd. Sponsored ADR........... 1,045,781 193,354,449 0.7%
* Baidu, Inc. Sponsored ADR........................... 252,252 61,534,353 0.2%
Bank of China, Ltd. Class H......................... 150,583,702 75,256,123 0.3%
China Construction Bank Corp. Class H............... 243,058,302 217,224,844 0.8%
#* China Evergrande Group.............................. 21,853,000 84,294,756 0.3%
China Mobile, Ltd................................... 10,380,500 104,410,856 0.4%
China Mobile, Ltd. Sponsored ADR.................... 1,997,961 100,797,132 0.4%
Geely Automobile Holdings, Ltd...................... 22,910,000 71,040,931 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 185,963,725 147,964,829 0.6%
NetEase, Inc. ADR................................... 246,761 69,566,861 0.3%
Ping An Insurance Group Co. of China, Ltd. Class H.. 17,734,000 155,845,305 0.6%
Tencent Holdings, Ltd............................... 10,436,500 469,069,428 1.7%
Other Securities.................................... 2,969,033,435 10.8%
-------------- -----
TOTAL CHINA............................................. 4,719,393,302 17.4%
-------------- -----
COLOMBIA -- (0.3%)
Other Securities.................................... 81,111,002 0.3%
-------------- -----
CZECH REPUBLIC -- (0.1%)
Other Securities.................................... 39,489,146 0.2%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 15,066,030 0.1%
-------------- -----
GREECE -- (0.2%)
Other Securities.................................... 64,262,231 0.2%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 1,029,569 0.0%
-------------- -----
HUNGARY -- (0.4%)
Other Securities.................................... 110,258,213 0.4%
-------------- -----
INDIA -- (12.6%)
HDFC Bank, Ltd...................................... 2,994,559 83,742,852 0.3%
Housing Development Finance Corp., Ltd.............. 3,249,255 85,368,228 0.3%
Infosys, Ltd........................................ 4,930,006 70,205,139 0.3%
Infosys, Ltd. Sponsored ADR......................... 3,708,004 55,063,859 0.2%
Reliance Industries, Ltd............................ 6,640,450 96,871,333 0.4%
Tata Consultancy Services, Ltd...................... 1,703,030 68,894,083 0.3%
Other Securities.................................... 3,063,933,904 11.2%
-------------- -----
TOTAL INDIA............................................. 3,524,079,398 13.0%
-------------- -----
127
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
INDONESIA -- (2.7%)
Bank Rakyat Indonesia Persero Tbk PT................... 63,852,200 $ 73,461,929 0.3%
Other Securities....................................... 668,205,860 2.4%
-------------- -----
TOTAL INDONESIA............................................ 741,667,789 2.7%
-------------- -----
MALAYSIA -- (3.0%)
Other Securities....................................... 842,530,848 3.1%
-------------- -----
MEXICO -- (3.2%)
America Movil S.A.B. de C.V. Series L ADR.............. 3,725,657 63,783,247 0.2%
Grupo Mexico S.A.B. de C.V. Series B................... 22,506,747 73,196,014 0.3%
Other Securities....................................... 743,740,479 2.8%
-------------- -----
TOTAL MEXICO............................................... 880,719,740 3.3%
-------------- -----
PERU -- (0.1%)
Other Securities....................................... 35,582,200 0.1%
-------------- -----
PHILIPPINES -- (1.2%)
Other Securities....................................... 333,955,307 1.2%
-------------- -----
POLAND -- (1.7%)
Polski Koncern Naftowy Orlen SA........................ 2,073,148 73,326,226 0.3%
Other Securities....................................... 388,337,336 1.4%
-------------- -----
TOTAL POLAND............................................... 461,663,562 1.7%
-------------- -----
RUSSIA -- (1.2%)
Sberbank of Russia PJSC Sponsored ADR.................. 4,081,901 58,584,296 0.2%
Other Securities....................................... 276,834,387 1.0%
-------------- -----
TOTAL RUSSIA............................................... 335,418,683 1.2%
-------------- -----
SOUTH AFRICA -- (6.4%)
# FirstRand, Ltd......................................... 23,983,632 87,056,556 0.3%
MTN Group, Ltd......................................... 11,647,989 101,140,736 0.4%
Naspers, Ltd. Class N.................................. 466,930 113,759,319 0.4%
Sanlam, Ltd............................................ 11,415,653 57,139,481 0.2%
Standard Bank Group, Ltd............................... 7,859,870 91,271,776 0.3%
Other Securities....................................... 1,328,940,459 5.0%
-------------- -----
TOTAL SOUTH AFRICA......................................... 1,779,308,327 6.6%
-------------- -----
SOUTH KOREA -- (16.8%)
Hyundai Motor Co....................................... 424,645 61,092,239 0.2%
LG Chem, Ltd........................................... 230,246 83,016,694 0.3%
# LG Display Co., Ltd.................................... 2,416,021 63,204,488 0.3%
LG Electronics, Inc.................................... 892,670 72,669,049 0.3%
NAVER Corp............................................. 86,601 69,217,753 0.3%
Samsung Electronics Co., Ltd........................... 472,670 1,165,180,959 4.3%
SK Holdings Co., Ltd................................... 275,387 71,261,859 0.3%
SK Hynix, Inc.......................................... 3,141,984 231,666,869 0.9%
Other Securities....................................... 2,865,273,853 10.4%
-------------- -----
TOTAL SOUTH KOREA.......................................... 4,682,583,763 17.3%
-------------- -----
TAIWAN -- (15.0%)
Hon Hai Precision Industry Co., Ltd.................... 55,950,504 207,964,821 0.8%
Taiwan Semiconductor Manufacturing Co., Ltd............ 41,147,652 332,649,933 1.3%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 7,888,568 333,923,083 1.3%
128
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (Continued)
Uni-President Enterprises Corp.. 27,820,734 $ 58,128,746 0.2%
# United Microelectronics Corp.... 121,286,441 62,596,552 0.3%
Other Securities................ 3,193,803,838 11.6%
--------------- -----
TOTAL TAIWAN........................ 4,189,066,973 15.5%
--------------- -----
THAILAND -- (3.1%)
PTT PCL......................... 7,202,280 91,058,326 0.4%
Other Securities................ 778,831,664 2.8%
--------------- -----
TOTAL THAILAND...................... 869,889,990 3.2%
--------------- -----
TURKEY -- (1.5%)
Other Securities................ 429,564,026 1.6%
--------------- -----
TOTAL COMMON STOCKS................. 26,109,952,519 96.4%
--------------- -----
PREFERRED STOCKS -- (2.5%)
BRAZIL -- (2.4%)
Banco Bradesco SA............... 5,811,393 61,608,263 0.2%
Banco Bradesco SA ADR........... 9,174,829 96,977,943 0.4%
Itau Unibanco Holding SA........ 11,300,145 145,254,516 0.5%
Itau Unibanco Holding SA ADR.... 6,510,406 83,398,301 0.3%
Other Securities................ 288,633,479 1.1%
--------------- -----
TOTAL BRAZIL........................ 675,872,502 2.5%
--------------- -----
CHILE -- (0.0%)
Other Securities................ 6,392,675 0.0%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities................ 17,824,155 0.1%
--------------- -----
INDIA -- (0.0%)
Other Securities................ 93,942 0.0%
--------------- -----
TOTAL PREFERRED STOCKS.............. 700,183,274 2.6%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities................ 319,466 0.0%
--------------- -----
CHILE -- (0.0%)
Other Securities................ 229,439 0.0%
--------------- -----
HONG KONG -- (0.0%)
Other Securities................ 13,097 0.0%
--------------- -----
INDIA -- (0.0%)
Other Securities................ 196,427 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities................ 308,658 0.0%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Securities................ 741,575 0.0%
--------------- -----
TAIWAN -- (0.0%)
Other Securities................ 321,576 0.0%
--------------- -----
129
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
THAILAND -- (0.0%)
Other Securities............... $ 1,403,838 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................ 3,534,076 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES.......... 26,813,669,869
---------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.9%)
(S)@ DFA Short Term Investment Fund. 95,284,755 1,102,539,901 4.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $22,498,736,533)...................... $27,916,209,770 103.1%
=============== ======
At October 31, 2017, Emerging Markets Core Equity Portfolio had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R). 650 12/15/17 $ 35,843,318 $ 36,536,500 $ 693,182
S&P 500 Emini Index(R)......... 1,520 12/15/17 190,331,570 195,525,200 5,193,630
------------ ------------ ----------
TOTAL FUTURES CONTRACTS........ $226,174,888 $232,061,700 $5,886,812
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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......... $1,589,124,973 -- -- $1,589,124,973
Chile.......... 123,911,756 $ 260,275,691 -- 384,187,447
China.......... 723,633,887 3,995,759,415 -- 4,719,393,302
Colombia....... 81,111,002 -- -- 81,111,002
Czech Republic. -- 39,489,146 -- 39,489,146
Egypt.......... 1,044,891 14,021,139 -- 15,066,030
Greece......... -- 64,262,231 -- 64,262,231
Hong Kong...... -- 1,029,569 -- 1,029,569
Hungary........ 313,997 109,944,216 -- 110,258,213
India.......... 129,418,803 3,394,660,595 -- 3,524,079,398
Indonesia...... 27,425,328 714,242,461 -- 741,667,789
Malaysia....... 21,165 842,509,683 -- 842,530,848
Mexico......... 880,357,545 362,195 -- 880,719,740
Peru........... 35,582,200 -- -- 35,582,200
Philippines.... 6,964,420 326,990,887 -- 333,955,307
Poland......... -- 461,663,562 -- 461,663,562
Russia......... 54,262,921 281,155,762 -- 335,418,683
South Africa... 124,913,964 1,654,394,363 -- 1,779,308,327
South Korea.... 108,415,293 4,574,168,470 -- 4,682,583,763
Taiwan......... 363,360,049 3,825,706,924 -- 4,189,066,973
Thailand....... 868,992,448 897,542 -- 869,889,990
Turkey......... 2,737,439 426,826,587 -- 429,564,026
Preferred Stocks
Brazil......... 675,872,502 -- -- 675,872,502
Chile.......... -- 6,392,675 -- 6,392,675
130
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- ------- ---------------
Colombia.................... $ 17,824,155 -- -- $ 17,824,155
India....................... 93,942 -- -- 93,942
Rights/Warrants
Brazil...................... -- $ 319,466 -- 319,466
Chile....................... -- 229,439 -- 229,439
Hong Kong................... -- 13,097 -- 13,097
India....................... -- 196,427 -- 196,427
Malaysia.................... -- 308,658 -- 308,658
South Korea................. -- 741,575 -- 741,575
Taiwan...................... -- 321,576 -- 321,576
Thailand.................... -- 1,403,838 -- 1,403,838
Securities Lending Collateral. -- 1,102,539,901 -- 1,102,539,901
Futures Contracts**........... 5,886,812 -- -- 5,886,812
-------------- --------------- -- ---------------
TOTAL......................... $5,821,269,492 $22,100,827,090 -- $27,922,096,582
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
131
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(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........................ -- -- $ 23,733,612
Investments at Value (including $2,966, $50,486, $0 and $2,500,462 of
securities on loan, respectively)........................................... $ 316,371 $ 1,211,268 --
Temporary Cash Investments at Value & Cost................................... -- 2,908 --
Collateral from Securities on Loan Invested in Affiliate at Value (including
cost of $3,028, $41,253, $0 and $1,670,743)................................. 3,027 41,253 --
Segregated Cash for Futures Contracts........................................ -- -- --
Cash......................................................................... 6,535 -- --
Receivables:
Investment Securities/Affiliated Investment Company Sold................... -- -- --
Dividends, Interest and Tax Reclaims....................................... 1,836 1,013 --
Securities Lending Income.................................................. -- 20 --
Fund Shares Sold........................................................... 645 1,175 13,412
Futures Margin Variation................................................... 551 -- --
Unrealized Gain on Forward Currency Contracts................................ 896 -- --
Prepaid Expenses and Other Assets............................................ 14 19 157
-------------- -------------- --------------
Total Assets............................................................. 329,875 1,257,656 23,747,181
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................... 3,026 41,253 --
Investment Securities/Affiliated Investment Company Purchased.............. 4,208 -- --
Fund Shares Redeemed....................................................... 234 3,275 10,149
Due to Advisor............................................................. 25 153 3,004
Accrued Expenses and Other Liabilities....................................... 35 92 1,157
-------------- -------------- --------------
Total Liabilities........................................................ 7,528 44,773 14,310
-------------- -------------- --------------
NET ASSETS................................................................... $ 322,347 $ 1,212,883 $ 23,732,871
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and $54,960 and
shares outstanding of 0; 0; 0 and 2,185,248, 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 $156,809 and
shares outstanding of 0; 0; 0 and 6,265,096, 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 $322,347;
$1,212,883; $23,732,871 and $10,528,662 and shares outstanding of
22,169,160; 76,128,473; 610,976,492 and 418,508,551, respectively........... $ 14.54 $ 15.93 $ 38.84
============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................................................. 1,000,000,000 1,000,000,000 4,000,000,000
============== ============== ==============
Investments at Cost.......................................................... $ 317,425 $ 957,004 $ N/A
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.............................................................. $ 272,774 $ 968,346 $ 15,328,839
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).......................................................... 877 1,207 22,596
Accumulated Net Realized Gain (Loss)......................................... 34,336 (10,934) 1,121,548
Net Unrealized Foreign Exchange Gain (Loss).................................. 887 -- --
Net Unrealized Appreciation (Depreciation)................................... 13,473 254,264 7,259,888
-------------- -------------- --------------
NET ASSETS................................................................... $ 322,347 $ 1,212,883 $ 23,732,871
============== ============== ==============
U.S. TARGETED
VALUE PORTFOLIO*
----------------
ASSETS:
Investments in Affiliated Investment Company at Value........................ --
Investments at Value (including $2,966, $50,486, $0 and $2,500,462 of
securities on loan, respectively)........................................... $ 10,638,366
Temporary Cash Investments at Value & Cost................................... 134,565
Collateral from Securities on Loan Invested in Affiliate at Value (including
cost of $3,028, $41,253, $0 and $1,670,743)................................. 1,670,768
Segregated Cash for Futures Contracts........................................ 3,380
Cash......................................................................... --
Receivables:
Investment Securities/Affiliated Investment Company Sold................... 2,714
Dividends, Interest and Tax Reclaims....................................... 3,299
Securities Lending Income.................................................. 885
Fund Shares Sold........................................................... 5,588
Futures Margin Variation................................................... 165
Unrealized Gain on Forward Currency Contracts................................ --
Prepaid Expenses and Other Assets............................................ 94
--------------
Total Assets............................................................. 12,459,824
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................... 1,670,734
Investment Securities/Affiliated Investment Company Purchased.............. 37,907
Fund Shares Redeemed....................................................... 6,726
Due to Advisor............................................................. 3,150
Accrued Expenses and Other Liabilities....................................... 876
--------------
Total Liabilities........................................................ 1,719,393
--------------
NET ASSETS................................................................... $ 10,740,431
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and $54,960 and
shares outstanding of 0; 0; 0 and 2,185,248, respectively................... $ 25.15
==============
NUMBER OF SHARES AUTHORIZED.................................................. 200,000,000
==============
Class R2 Shares -- based on net assets of $0; $0; $0 and $156,809 and
shares outstanding of 0; 0; 0 and 6,265,096, respectively................... $ 25.03
==============
NUMBER OF SHARES AUTHORIZED.................................................. 200,000,000
==============
Institutional Class Shares -- based on net assets of $322,347;
$1,212,883; $23,732,871 and $10,528,662 and shares outstanding of
22,169,160; 76,128,473; 610,976,492 and 418,508,551, respectively........... $ 25.16
==============
NUMBER OF SHARES AUTHORIZED.................................................. 1,500,000,000
==============
Investments at Cost.......................................................... $ 8,412,198
==============
NET ASSETS CONSIST OF:
Paid-In Capital.............................................................. $ 8,074,164
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).......................................................... (1,394)
Accumulated Net Realized Gain (Loss)......................................... 440,547
Net Unrealized Foreign Exchange Gain (Loss).................................. --
Net Unrealized Appreciation (Depreciation)................................... 2,227,114
--------------
NET ASSETS................................................................... $ 10,740,431
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
132
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(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 $2,660,425, $3,053,767,
$3,746,625 and $925,052 of securities on loan,
respectively).............................................. $ 15,011,098 $ 20,571,595 $ 22,310,986 $ 4,722,048
Temporary Cash Investments at Value & Cost.................. 151,577 204,056 208,473 3,720
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $1,834,225, $1,640,829,
$2,269,835 and $572,177)................................... 1,834,294 1,640,846 2,269,877 572,203
Segregated Cash for Futures Contracts....................... 4,815 5,603 6,233 651
Cash........................................................ -- 4 4 1
Receivables:
Investment Securities Sold................................ 25,256 24 2,792 71
Dividends, Interest and Tax Reclaims...................... 3,063 14,674 15,400 2,730
Securities Lending Income................................. 860 864 1,142 296
Fund Shares Sold.......................................... 7,562 10,358 11,862 2,923
Futures Margin Variation.................................. 235 274 305 --
Prepaid Expenses and Other Assets........................... 132 162 182 39
-------------- -------------- -------------- --------------
Total Assets........................................... 17,038,892 22,448,460 24,827,256 5,304,682
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 1,834,140 1,640,787 2,291,288 572,168
Investment Securities Purchased........................... 23,549 31,997 5,015 4,271
Fund Shares Redeemed...................................... 7,703 8,539 10,148 2,680
Due to Advisor............................................ 6,435 2,958 3,797 1,205
Accrued Expenses and Other Liabilities...................... 1,198 1,437 1,590 355
-------------- -------------- -------------- --------------
Total Liabilities...................................... 1,873,025 1,685,718 2,311,838 580,679
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 15,165,867 $ 20,762,742 $ 22,515,418 $ 4,724,003
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$15,165,867; $20,762,742; $22,515,418 and $4,724,003
and shares outstanding of 388,141,516; 943,257,894;
1,077,039,477 and 246,598,947, respectively................ $ 39.07 $ 22.01 $ 20.90 $ 19.16
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 3,400,000,000 3,000,000,000 4,600,000,000 2,000,000,000
============== ============== ============== ==============
Investments at Cost......................................... $ 10,648,767 $ 13,596,675 $ 14,378,682 $ 3,120,443
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 10,134,408 $ 13,654,577 $ 14,349,380 $ 2,956,701
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... (5,694) 14,490 15,587 426
Accumulated Net Realized Gain (Loss)........................ 669,385 111,896 210,487 165,238
Net Unrealized Appreciation (Depreciation).................. 4,367,768 6,981,779 7,939,964 1,601,638
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 15,165,867 $ 20,762,742 $ 22,515,418 $ 4,724,003
============== ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
133
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. HIGH DFA REAL
RELATIVE ESTATE
U.S. SMALL CAP U.S. MICRO CAP PROFITABILITY SECURITIES
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------- -------------- ------------- --------------
ASSETS:
Investments at Value (including $4,869,294, $1,331,061,
$8,734, $595,127 and $293,334 of securities on loan,
respectively).............................................. $ 16,747,848 $ 6,254,989 $ 139,892 $ 8,181,673
Temporary Cash Investments at Value & Cost.................. 198,010 42,497 1,715 67,568
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $3,582,626, $1,087,233,
$8,013, $416,951 and $273,733)............................. 3,582,679 1,087,256 8,012 416,958
Segregated Cash for Futures Contracts....................... 5,018 1,350 -- 2,228
Foreign Currencies at Value................................. -- -- -- --
Cash........................................................ 11 3 -- --
Receivables:
Investment Securities Sold................................ 22,709 8,130 -- --
Dividends, Interest and Tax Reclaims...................... 3,947 1,812 123 6,416
Securities Lending Income................................. 1,807 704 2 87
Fund Shares Sold.......................................... 9,153 2,814 630 31,996
From Advisor.............................................. -- -- 1 --
Futures Margin Variation.................................. 245 66 -- 109
Deferred Offering Costs..................................... -- -- 20 --
Prepaid Expenses and Other Assets........................... 77 49 58 69
-------------- -------------- ------------ --------------
Total Assets............................................ 20,571,504 7,399,670 150,453 8,707,104
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 3,582,638 1,087,214 8,013 417,012
Investment Securities Purchased........................... 40,892 502 1,330 3,275
Fund Shares Redeemed...................................... 9,964 2,030 11 3,847
Due to Advisor............................................ 5,009 2,683 -- 1,084
Accrued Expenses and Other Liabilities...................... 1,214 511 26 710
-------------- -------------- ------------ --------------
Total Liabilities....................................... 3,639,717 1,092,940 9,380 425,928
-------------- -------------- ------------ --------------
NET ASSETS.................................................. $ 16,931,787 $ 6,306,730 $ 141,073 $ 8,281,176
============== ============== ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$16,931,787; $6,306,730; $141,073; $8,281,176 and
$4,723,090 and shares outstanding of 464,162,859;
277,082,473; 12,903,817; 236,686,972 and
200,810,431, respectively.................................. $ 36.48 $ 22.76 $ 10.93 $ 34.99
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED................................. 2,000,000,000 3,000,000,000 500,000,000 1,700,000,000
============== ============== ============ ==============
Investments at Cost......................................... $ 12,272,121 $ 3,849,521 $ 130,372 $ 5,893,150
============== ============== ============ ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ --
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 11,871,817 $ 3,627,183 $ 131,775 $ 6,003,624
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... (1,236) (401) 131 46,634
Accumulated Net Realized Gain (Loss)........................ 579,554 273,512 (352) (59,970)
Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- --
Net Unrealized Appreciation (Depreciation).................. 4,481,652 2,406,436 9,519 2,290,888
-------------- -------------- ------------ --------------
NET ASSETS.................................................. $ 16,931,787 $ 6,306,730 $ 141,073 $ 8,281,176
============== ============== ============ ==============
LARGE CAP
INTERNATIONAL
PORTFOLIO*
--------------
ASSETS:
Investments at Value (including $4,869,294, $1,331,061,
$8,734, $595,127 and $293,334 of securities on loan,
respectively).............................................. $ 4,637,260
Temporary Cash Investments at Value & Cost.................. --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $3,582,626, $1,087,233,
$8,013, $416,951 and $273,733)............................. 273,686
Segregated Cash for Futures Contracts....................... 1,656
Foreign Currencies at Value................................. 21,074
Cash........................................................ 36,151
Receivables:
Investment Securities Sold................................ 23,178
Dividends, Interest and Tax Reclaims...................... 12,920
Securities Lending Income................................. 211
Fund Shares Sold.......................................... 1,942
From Advisor.............................................. --
Futures Margin Variation.................................. 98
Deferred Offering Costs..................................... --
Prepaid Expenses and Other Assets........................... 34
--------------
Total Assets............................................ 5,008,210
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 273,671
Investment Securities Purchased........................... 8,324
Fund Shares Redeemed...................................... 1,979
Due to Advisor............................................ 757
Accrued Expenses and Other Liabilities...................... 389
--------------
Total Liabilities....................................... 285,120
--------------
NET ASSETS.................................................. $ 4,723,090
==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$16,931,787; $6,306,730; $141,073; $8,281,176 and
$4,723,090 and shares outstanding of 464,162,859;
277,082,473; 12,903,817; 236,686,972 and
200,810,431, respectively.................................. $ 23.52
==============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000
==============
Investments at Cost......................................... $ 3,795,239
==============
Foreign Currencies at Cost.................................. $ 21,479
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 3,913,637
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 12,323
Accumulated Net Realized Gain (Loss)........................ (45,456)
Net Unrealized Foreign Exchange Gain (Loss)................. (2)
Net Unrealized Appreciation (Depreciation).................. 842,588
--------------
NET ASSETS.................................................. $ 4,723,090
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
134
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL
INTERNATIONAL SMALL GLOBAL SMALL JAPANESE SMALL
CORE EQUITY COMPANY COMPANY COMPANY
PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- ------------ --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value...................................................... -- $ 13,349,739 $ 15,002 $ 648,221
Investments at Value (including $1,768,408, $0, $0, $0
and $0 of securities on loan, respectively)................ $ 25,143,347 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $1,710,819, $0, $0, $0 and
$0)........................................................ 1,710,859 -- -- --
Segregated Cash for Futures Contracts....................... 7,425 3,983 -- --
Foreign Currencies at Value................................. 15,298 -- -- --
Cash........................................................ 253,828 144,705 -- --
Receivables:
Investment Securities Sold................................ 47,988 -- -- --
Dividends, Interest and Tax Reclaims...................... 65,953 -- -- --
Securities Lending Income................................. 2,643 -- -- --
Fund Shares Sold.......................................... 20,214 5,341 14 17
From Advisor.............................................. -- -- 2 --
Futures Margin Variation.................................. 363 195 -- --
Unrealized Gain on Foreign Currency Contracts............... 19 -- -- --
Deferred Offering Costs..................................... -- -- 7 --
Prepaid Expenses and Other Assets........................... 222 31 7 9
-------------- -------------- ------------ --------------
Total Assets............................................ 27,268,159 13,503,994 15,032 648,247
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Due to Custodian.......................................... -- -- 5 --
Upon Return of Securities Loaned.......................... 1,710,786 -- -- --
Investment Securities Purchased........................... 67,656 -- -- --
Fund Shares Redeemed...................................... 38,520 8,469 -- 32
Due to Advisor............................................ 5,314 4,543 -- 215
Unrealized Loss on Foreign Currency Contracts............... 5 -- -- --
Accrued Expenses and Other Liabilities...................... 1,910 692 6 22
-------------- -------------- ------------ --------------
Total Liabilities....................................... 1,824,191 13,704 11 269
-------------- -------------- ------------ --------------
NET ASSETS.................................................. $ 25,443,968 $ 13,490,290 $ 15,021 $ 647,978
============== ============== ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$25,443,968; $13,490,290; $15,021; $647,978 and
$332,153 and shares outstanding of 1,787,844,209;
626,740,788; 1,302,286; 22,685,406 and 14,006,775,
respectively............................................... $ 14.23 $ 21.52 $ 11.53 $ 28.56
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED................................. 7,000,000,000 3,000,000,000 100,000,000 1,000,000,000
============== ============== ============ ==============
Investments at Cost......................................... $ 20,323,385 N/A 13,706 N/A
============== ============== ============ ==============
Foreign Currencies at Cost.................................. $ 15,371 $ -- $ -- $ --
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 20,888,194 $ 10,201,607 $ 13,491 $ 482,980
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 57,179 19,361 143 1,122
Accumulated Net Realized Gain (Loss)........................ (330,170) 385,659 91 (6,437)
Net Unrealized Foreign Exchange Gain (Loss)................. (120) (195) -- (69)
Net Unrealized Appreciation (Depreciation).................. 4,828,885 2,883,858 1,296 170,382
-------------- -------------- ------------ --------------
NET ASSETS.................................................. $ 25,443,968 $ 13,490,290 $ 15,021 $ 647,978
============== ============== ============ ==============
ASIA PACIFIC
SMALL
COMPANY
PORTFOLIO
--------------
ASSETS:
Investments in Affiliated Investment Companies at
Value...................................................... $ 332,221
Investments at Value (including $1,768,408, $0, $0, $0
and $0 of securities on loan, respectively)................ --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $1,710,819, $0, $0, $0 and
$0)........................................................ --
Segregated Cash for Futures Contracts....................... --
Foreign Currencies at Value................................. --
Cash........................................................ --
Receivables:
Investment Securities Sold................................ --
Dividends, Interest and Tax Reclaims...................... --
Securities Lending Income................................. --
Fund Shares Sold.......................................... 61
From Advisor.............................................. --
Futures Margin Variation.................................. --
Unrealized Gain on Foreign Currency Contracts............... --
Deferred Offering Costs..................................... --
Prepaid Expenses and Other Assets........................... 8
--------------
Total Assets............................................ 332,290
--------------
LIABILITIES:
Payables:
Due to Custodian.......................................... --
Upon Return of Securities Loaned.......................... --
Investment Securities Purchased........................... --
Fund Shares Redeemed...................................... 13
Due to Advisor............................................ 107
Unrealized Loss on Foreign Currency Contracts............... --
Accrued Expenses and Other Liabilities...................... 17
--------------
Total Liabilities....................................... 137
--------------
NET ASSETS.................................................. $ 332,153
==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$25,443,968; $13,490,290; $15,021; $647,978 and
$332,153 and shares outstanding of 1,787,844,209;
626,740,788; 1,302,286; 22,685,406 and 14,006,775,
respectively............................................... $ 23.71
==============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000
==============
Investments at Cost......................................... N/A
==============
Foreign Currencies at Cost.................................. $ --
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 321,610
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 1,817
Accumulated Net Realized Gain (Loss)........................ (4,995)
Net Unrealized Foreign Exchange Gain (Loss)................. (1)
Net Unrealized Appreciation (Depreciation).................. 13,722
--------------
NET ASSETS.................................................. $ 332,153
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(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...................................................... $ 45,202 $ 592,216 -- $ 3,951,863
Investments at Value (including $0, $0, $178,984,
$104,674 and $893,620 of securities on loan,
respectively).............................................. -- -- $ 5,418,167 2,793,668
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $185,605, $107,849
and $909,975).............................................. -- -- 185,600 107,840
Segregated Cash for Futures Contracts....................... -- -- 1,350 --
Foreign Currencies at Value................................. -- -- 4,224 --
Cash........................................................ -- -- 49,511 15,509
Receivables:................................................
Investment Securities/Affiliated Investment Company
Sold..................................................... -- -- -- --
Dividends, Interest and Tax Reclaims...................... -- -- 18,692 2,080
Securities Lending Income................................. -- -- 227 23
Fund Shares Sold.......................................... -- 447 13,571 4,789
Futures Margin Variation.................................. -- -- 66 --
Unrealized Gain on Foreign Currency Contracts............... -- -- -- --
Prepaid Expenses and Other Assets........................... 8 41 64 79
-------------- -------------- -------------- --------------
Total Assets............................................ 45,210 592,704 5,691,472 6,875,851
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... -- -- 185,579 107,832
Investment Securities/Affiliated Investment Company
Purchased................................................ -- -- 5,509 10,501
Fund Shares Redeemed...................................... 12 121 986 2,961
Due to Advisor............................................ 16 199 1,159 247
Unrealized Loss on Foreign Currency Contracts............... -- -- -- --
Accrued Expenses and Other Liabilities...................... 5 37 486 528
-------------- -------------- -------------- --------------
Total Liabilities....................................... 33 357 193,719 122,069
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 45,177 $ 592,347 $ 5,497,753 $ 6,753,782
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$45,177; $592,347; $5,497,753; $6,753,782 and
$16,162,471 and shares outstanding of 1,382,937;
20,976,865; 1,084,513,824; 619,561,294 and
687,391,680, respectively.................................. $ 32.67 $ 28.24 $ 5.07 $ 10.90
============== ============== ============== ==============
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....................................................... NA NA $ -- $ 3,318,854
============== ============== ============== ==============
Investments at Cost......................................... N/A N/A $ 5,225,907 $ 2,691,335
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ 4,190 N/A
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 33,754 $ 455,352 $ 5,809,593 $ 5,963,298
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 33 238 (280,250) 59,540
Accumulated Net Realized Gain (Loss)........................ 1,435 4,065 (224,226) (4,389)
Net Unrealized Foreign Exchange Gain (Loss)................. 6 137 (110) --
Net Unrealized Appreciation (Depreciation).................. 9,949 132,555 192,746 735,333
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 45,177 $ 592,347 $ 5,497,753 $ 6,753,782
============== ============== ============== ==============
DFA
INTERNATIONAL
SMALL CAP
VALUE PORTFOLIO*
----------------
ASSETS:
Investments in Affiliated Investment Companies at
Value...................................................... --
Investments at Value (including $0, $0, $178,984,
$104,674 and $893,620 of securities on loan,
respectively).............................................. $ 15,921,334
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $185,605, $107,849
and $909,975).............................................. 910,021
Segregated Cash for Futures Contracts....................... 4,901
Foreign Currencies at Value................................. 85,516
Cash........................................................ 84,212
Receivables:................................................
Investment Securities/Affiliated Investment Company
Sold..................................................... 21,019
Dividends, Interest and Tax Reclaims...................... 45,301
Securities Lending Income................................. 1,894
Fund Shares Sold.......................................... 26,337
Futures Margin Variation.................................. 240
Unrealized Gain on Foreign Currency Contracts............... 9
Prepaid Expenses and Other Assets........................... 86
--------------
Total Assets............................................ 17,100,870
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 909,933
Investment Securities/Affiliated Investment Company
Purchased................................................ 12,964
Fund Shares Redeemed...................................... 5,436
Due to Advisor............................................ 8,848
Unrealized Loss on Foreign Currency Contracts............... 2
Accrued Expenses and Other Liabilities...................... 1,216
--------------
Total Liabilities....................................... 938,399
--------------
NET ASSETS.................................................. $ 16,162,471
==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$45,177; $592,347; $5,497,753; $6,753,782 and
$16,162,471 and shares outstanding of 1,382,937;
20,976,865; 1,084,513,824; 619,561,294 and
687,391,680, respectively.................................. $ 23.51
==============
NUMBER OF SHARES AUTHORIZED................................. 4,600,000,000
==============
Investments in Affiliated Investment Companies at
Cost....................................................... $ --
==============
Investments at Cost......................................... $ 12,248,003
==============
Foreign Currencies at Cost.................................. $ 87,004
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 11,951,834
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 41,552
Accumulated Net Realized Gain (Loss)........................ 491,293
Net Unrealized Foreign Exchange Gain (Loss)................. (74)
Net Unrealized Appreciation (Depreciation).................. 3,677,866
--------------
NET ASSETS.................................................. $ 16,162,471
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
136
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL
INTERNATIONAL HIGH RELATIVE WORLD EX U.S.
VECTOR EQUITY PROFITABILITY WORLD EX U.S. TARGETED VALUE
PORTFOLIO* PORTFOLIO VALUE PORTFOLIO PORTFOLIO*
-------------- ------------- --------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... -- -- $ 246,556 --
Investments at Value (including $171,197, $1,870, $0 and
$10,001 of securities on loan, respectively)............... $ 2,506,154 $ 67,289 -- $ 462,974
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $169,217, $1,943, $0 and
$7,173).................................................... 169,224 1,943 -- 7,173
Foreign Currencies at Value................................. 3,754 31 -- 1,334
Cash........................................................ 24,751 890 59 1,601
Receivables:
Investment Securities Sold................................ 667 -- -- 331
Dividends, Interest and Tax Reclaims...................... 6,521 137 -- 977
Securities Lending Income................................. 334 -- -- 35
Fund Shares Sold.......................................... 1,626 245 4 1,480
From Advisor.............................................. -- 5 -- --
Unrealized Gain on Foreign Currency Contracts............... -- -- -- 1
Deferred Offering Costs..................................... -- 19 -- --
Prepaid Expenses and Other Assets........................... 39 35 14 24
-------------- ------------ -------------- --------------
Total Assets........................................... 2,713,070 70,594 246,633 475,930
-------------- ------------ -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 169,213 1,943 -- 7,173
Investment Securities Purchased........................... 11,125 818 -- 1,873
Fund Shares Redeemed...................................... 1,710 3 6 101
Due to Advisor............................................ 949 -- 66 227
Unrealized Loss on Foreign Currency Contracts............... -- -- -- 1
Accrued Expenses and Other Liabilities...................... 221 37 10 51
-------------- ------------ -------------- --------------
Total Liabilities...................................... 183,218 2,801 82 9,426
-------------- ------------ -------------- --------------
NET ASSETS.................................................. $ 2,529,852 $ 67,793 $ 246,551 $ 466,504
============== ============ ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$2,529,852; $67,793; $246,551 and $466,504 and shares
outstanding of 189,731,403; 6,349,132; 19,402,233 and
30,982,628, respectively................................... $ 13.33 $ 10.68 $ 12.71 $ 15.06
============== ============ ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 500,000,000 1,000,000,000 1,000,000,000
============== ============ ============== ==============
Investments in Affiliated Investment Companies at Cost...... $ -- $ -- $ 205,212 $ --
============== ============ ============== ==============
Investments at Cost......................................... $ 1,954,029 $ 63,569 N/A $ 383,699
============== ============ ============== ==============
Foreign Currencies at Cost.................................. $ 3,782 $ 31 $ -- $ 1,338
============== ============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 1,964,734 $ 64,165 $ 204,014 $ 377,807
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 4,130 146 2,027 1,206
Accumulated Net Realized Gain (Loss)........................ 8,900 (237) (799) 8,223
Net Unrealized Foreign Exchange Gain (Loss)................. (16) (1) (35) (3)
Net Unrealized Appreciation (Depreciation).................. 552,104 3,720 41,344 79,271
-------------- ------------ -------------- --------------
NET ASSETS.................................................. $ 2,529,852 $ 67,793 $ 246,551 $ 466,504
============== ============ ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
137
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
SELECTIVELY
WORLD EX U.S. WORLD CORE HEDGED GLOBAL EMERGING
CORE EQUITY EQUITY EQUITY MARKETS
PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value........... -- $ 546,343 $ 377,677 $ 6,639,920
Investments at Value (including $174,146, $0, $0 and $0 of
securities on loan, respectively)................................ $ 2,796,345 -- -- --
Temporary Cash Investments at Value & Cost........................ -- 297 -- --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $158,021, $0, $0 and $0)...................... 158,025 -- -- --
Segregated Cash for Futures Contracts............................. -- -- 837 --
Foreign Currencies at Value....................................... 1,996 -- -- --
Cash.............................................................. 8,847 -- 22,379 --
Receivables:
Investment Securities/Affiliated Investment Companies Sold...... 443 -- -- --
Dividends, Interest and Tax Reclaims............................ 5,655 1 -- --
Securities Lending Income....................................... 338 -- -- --
Fund Shares Sold................................................ 1,707 330 98 1,947
Futures Margin Variation........................................ -- -- 41 --
Unrealized Gain on Forward Currency Contracts..................... -- -- 1,662 --
Prepaid Expenses and Other Assets................................. 38 21 26 32
-------------- -------------- -------------- --------------
Total Assets.................................................. 2,973,394 546,992 402,720 6,641,899
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 158,024 -- -- --
Investment Securities/Affiliated Investment Companies
Purchased...................................................... 7,940 -- -- --
Fund Shares Redeemed............................................ 1,133 59 246 6,892
Due to Advisor.................................................. 623 19 14 1,775
Unrealized Loss on Forward Currency Contracts..................... -- -- 238 --
Accrued Expenses and Other Liabilities............................ 307 23 18 318
-------------- -------------- -------------- --------------
Total Liabilities............................................. 168,027 101 516 8,985
-------------- -------------- -------------- --------------
NET ASSETS........................................................ $ 2,805,367 $ 546,891 $ 402,204 $ 6,632,914
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets of $2,805,367;
$546,891; $402,204 and $6,632,914 and shares outstanding of
230,821,829; 34,052,333; 24,344,421 and 224,470,243,
respectively..................................................... $ 12.15 $ 16.06 $ 16.52 $ 29.55
============== ============== ============== ==============
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............ $ -- $ 453,524 $ 299,834 NA
============== ============== ============== ==============
Investments at Cost............................................... $ 2,360,956 $ -- N/A N/A
============== ============== ============== ==============
Foreign Currencies at Cost........................................ $ 2,007 $ -- N/A --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................... $ 2,371,089 $ 457,490 $ 318,081 $ 4,679,111
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)........................................... 4,361 (4) 2,600 (2,493)
Accumulated Net Realized Gain (Loss).............................. (5,454) (3,414) 1,245 (223,809)
Net Unrealized Foreign Exchange Gain (Loss)....................... (11) -- 1,424 (11)
Net Unrealized Appreciation (Depreciation)........................ 435,382 92,819 78,854 2,180,116
-------------- -------------- -------------- --------------
NET ASSETS........................................................ $ 2,805,367 $ 546,891 $ 402,204 $ 6,632,914
============== ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
138
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING
EMERGING EMERGING MARKETS CORE
MARKETS SMALL MARKETS VALUE EQUITY
CAP PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value...................... $ 7,251,641 $ 19,424,024 --
Investments at Value (including $0, $0 and $1,915,236 of securities on
loan, respectively)......................................................... -- -- $ 26,813,670
Collateral from Securities on Loan Invested in Affiliate at Value (including
cost of $0, $0 and $1,102,479).............................................. -- -- 1,102,540
Segregated Cash for Futures Contracts........................................ -- -- 8,205
Foreign Currencies at Value.................................................. -- -- 162,424
Cash......................................................................... -- -- 110,184
Receivables:
Investment Securities Sold................................................. -- -- 12,265
Dividends, Interest and Tax Reclaims....................................... -- -- 18,846
Securities Lending Income.................................................. -- -- 5,857
Fund Shares Sold........................................................... 3,050 5,533 15,748
Futures Margin Variation................................................... -- -- 650
Prepaid Expenses and Other Assets............................................ 22 56 202
-------------- -------------- --------------
Total Assets............................................................ 7,254,713 19,429,613 28,250,591
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................... -- -- 1,102,477
Investment Securities Purchased............................................ -- -- 22,607
Fund Shares Redeemed....................................................... 1,924 7,800 27,236
Due to Advisor............................................................. 2,742 6,554 10,013
Unrealized Loss on Foreign Currency Contracts................................ -- -- 6
Accrued Expenses and Other Liabilities....................................... 330 831 2,530
-------------- -------------- --------------
Total Liabilities....................................................... 4,996 15,185 1,164,869
-------------- -------------- --------------
NET ASSETS................................................................... $ 7,249,717 $ 19,414,428 $ 27,085,722
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Class R2 Shares -- based on net assets of $0; $31,198 and $0 and
shares outstanding of 0; 1,035,424 and 0, respectively...................... N/A $ 30.13 N/A
============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................................................. N/A 200,000,000 N/A
============== ============== ==============
Institutional Class Shares -- based on net assets of $7,249,717;
$19,383,230 and $27,085,722 and shares outstanding of 308,622,963;
639,311,796 and 1,210,395,942, respectively................................. $ 23.49 $ 30.32 $ 22.38
============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................................................. 1,500,000,000 3,000,000,000 5,000,000,000
============== ============== ==============
Investments at Cost.......................................................... N/A N/A $ 21,396,257
============== ============== ==============
Foreign Currencies at Cost................................................... $ -- $ -- $ 162,313
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.............................................................. $ 5,962,119 $ 18,082,872 $ 22,493,980
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).......................................................... 6,969 6,372 6,324
Accumulated Net Realized Gain (Loss)......................................... 159,078 (1,334,675) (837,989)
Net Unrealized Foreign Exchange Gain (Loss).................................. (80) 159 (109)
Net Unrealized Appreciation (Depreciation)................................... 1,121,631 2,659,700 5,423,516
-------------- -------------- --------------
NET ASSETS................................................................... $ 7,249,717 $ 19,414,428 $ 27,085,722
============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
139
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(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...................................................... -- -- $ 481,535 --
Income from Securities Lending................................. -- -- 2,347 --
Expenses Allocated from Affiliated Investment Company.......... -- -- (23,214) --
------- -------- ---------- ----------
Total Net Investment Income Received from Affiliated
Investment Company........................................... -- -- 460,668 --
------- -------- ---------- ----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $2, $0 and $95,
respectively)................................................... -- $ 19,789 -- $ 138,809
Interest......................................................... $ 4,154 -- -- --
Income from Securities Lending................................... 8 167 -- 6,568
------- -------- ---------- ----------
Total Investment Income....................................... 4,162 19,956 -- 145,377
------- -------- ---------- ----------
FUND EXPENSES
Investment Management Fees....................................... 540 1,560 52,619 33,824
Accounting & Transfer Agent Fees................................. 24 75 605 576
S&P 500(R) Fees.................................................. 8 -- -- --
Custodian Fees................................................... 9 18 -- 136
Shareholder Servicing Fees
Class R1 Shares................................................ -- -- -- 50
Class R2 Shares................................................ -- -- -- 423
Filing Fees...................................................... 39 71 589 312
Shareholders' Reports............................................ 13 22 499 339
Directors'/Trustees' Fees & Expenses............................. 3 10 204 96
Professional Fees................................................ 9 17 61 153
Other............................................................ 7 41 103 271
------- -------- ---------- ----------
Total Expenses................................................ 652 1,814 54,680 36,180
------- -------- ---------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C).............................. (158) -- (21,047) --
Fees Paid Indirectly (Note C).................................... (8) -- -- --
------- -------- ---------- ----------
Net Expenses..................................................... 486 1,814 33,633 36,180
------- -------- ---------- ----------
NET INVESTMENT INCOME (LOSS)..................................... 3,676 18,142 427,035 109,197
------- -------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................... (319) 273 1,154,160 454,563
Affiliated Investment Companies Shares Sold.................... 1 -- -- (1)
Futures........................................................ 39,159 9 18,720 17,659
Foreign Currency Transactions.................................. (11) -- -- 6
Forward Currency Contracts..................................... (132) -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... (1,062) 200,016 2,764,575 1,335,548
Affiliated Investment Companies Shares......................... (1) (7) -- (188)
Futures........................................................ 14,290 -- 10,896 2,939
Translation of Foreign Currency Denominated Amounts............ (9) -- -- --
Forward Currency Contracts..................................... 896 -- -- --
------- -------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS).......................... 52,812 200,291 3,948,351 1,810,526
------- -------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.... $56,488 $218,433 $4,375,386 $1,919,723
======= ======== ========== ==========
----------
* 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.
140
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(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 $93, $62, $77 and $25,
respectively)...................................................... $ 184,403 $ 324,524 $ 353,430 $ 71,050
Income from Securities Lending...................................... 7,975 8,662 10,540 2,676
---------- ---------- ---------- --------
Total Investment Income.......................................... 192,378 333,186 363,970 73,726
---------- ---------- ---------- --------
EXPENSES
Investment Management Fees.......................................... 71,538 30,987 40,192 13,194
Accounting & Transfer Agent Fees.................................... 945 1,062 1,208 290
Custodian Fees...................................................... 201 210 226 58
Filing Fees......................................................... 236 601 518 98
Shareholders' Reports............................................... 452 305 359 122
Directors'/Trustees' Fees & Expenses................................ 145 175 195 44
Professional Fees................................................... 231 287 320 72
Other............................................................... 397 492 543 127
---------- ---------- ---------- --------
Total Expenses................................................... 74,145 34,119 43,561 14,005
---------- ---------- ---------- --------
NET INVESTMENT INCOME (LOSS)........................................ 118,233 299,067 320,409 59,721
---------- ---------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................................... 690,721 96,159 192,862 167,995
Affiliated Investment Companies Shares Sold....................... 22 (35) 31 5
Futures........................................................... 26,310 15,613 19,381 5,443
Foreign Currency Transactions..................................... -- 3 5 2
In-Kind Redemptions............................................... 79,386 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................. 2,156,333 3,505,095 3,702,303 706,848
Affiliated Investment Companies Shares............................ (216) (188) (261) (57)
Futures........................................................... 9,284 10,034 11,212 835
---------- ---------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 2,961,840 3,626,681 3,925,533 881,071
---------- ---------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................................... $3,080,073 $3,925,748 $4,245,942 $940,792
========== ========== ========== ========
----------
**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.
141
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
U.S. HIGH DFA REAL
RELATIVE ESTATE LARGE CAP
U.S. SMALL U.S. MICRO PROFITABILITY SECURITIES INTERNATIONAL
CAP PORTFOLIO# CAP PORTFOLIO# PORTFOLIO (A)# PORTFOLIO# PORTFOLIO#
-------------- -------------- -------------- ---------- -------------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$106, $8, $0, $0 and $10,539, respectively)..... $ 201,034 $ 68,743 $ 784 $203,474 $108,561
Non Cash Income.................................. -- -- -- -- 10,244
Income from Securities Lending................... 15,969 5,227 6 1,147 2,829
---------- ---------- ------ -------- --------
Total Investment Income....................... 217,003 73,970 790 204,621 121,634
---------- ---------- ------ -------- --------
FUND EXPENSES
Investment Management Fees....................... 54,054 29,147 95 13,345 8,838
Accounting & Transfer Agent Fees................. 965 432 4 494 330
Custodian Fees................................... 216 87 6 84 421
Filing Fees...................................... 323 93 44 242 116
Shareholders' Reports............................ 386 150 5 291 156
Directors'/Trustees' Fees & Expenses............. 152 58 -- 77 39
Professional Fees................................ 243 93 2 127 104
Organizational & Offering Costs.................. -- -- 17 -- --
Other............................................ 432 164 1 208 145
---------- ---------- ------ -------- --------
Total Expenses................................ 56,771 30,224 174 14,868 10,149
---------- ---------- ------ -------- --------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)........................................ -- -- (56) (737) (40)
Fees Paid Indirectly (Note C).................... -- -- -- -- (402)
---------- ---------- ------ -------- --------
Net Expenses..................................... 56,771 30,224 118 14,131 9,707
---------- ---------- ------ -------- --------
NET INVESTMENT INCOME (LOSS)..................... 160,232 43,746 672 190,490 111,927
---------- ---------- ------ -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................... 610,335 283,405 43 47,672 157,652
Affiliated Investment Companies Shares
Sold.......................................... (107) 12 (1) (67) 51
Futures........................................ 18,310 9,052 (394) 8,131 4,534
Foreign Currency Transactions.................. 15 -- -- -- (583)
In-Kind Redemptions............................ 125,200 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency...................................... 2,387,599 1,119,931 9,520 183,941 608,562
Affiliated Investment Companies Shares......... (345) (105) (1) (61) (72)
Futures........................................ 10,124 2,595 -- 3,862 1,881
Translation of Foreign Currency Denominated
Amounts....................................... -- -- -- -- 330
---------- ---------- ------ -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).......... 3,151,131 1,414,890 9,167 243,478 772,355
---------- ---------- ------ -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................... $3,311,363 $1,458,636 $9,839 $433,968 $884,282
========== ========== ====== ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
(a)The Portfolio commenced operations on May 16, 2017.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
142
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
INTERNATIONAL JAPANESE
INTERNATIONAL SMALL GLOBAL SMALL SMALL
CORE EQUITY COMPANY COMPANY COMPANY
PORTFOLIO# PORTFOLIO*# PORTFOLIO (A)*# PORTFOLIO*#
------------- ------------- --------------- -----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $24,970,
$10, $1,089 and $181, respectively)....................... -- $ 285,269 $ 103 $ 9,917
Interest................................................... -- 1 -- --
Income from Securities Lending............................. -- 31,475 15 1,454
Expenses Allocated from Affiliated Investment Companies.... -- (14,457) (6) (703)
Income Distributions Received from Affiliated Investment
Companies.................................................. -- 767 41 --
---------- ---------- ------ --------
Total Net Investment Income Received from Affiliated
Investment Companies..................................... -- 303,055 153 10,668
---------- ---------- ------ --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $51,006, $0,
$0, $0 and $0, respectively)............................... $ 544,575 -- -- --
Non Cash Income.............................................. 39,268 -- -- --
Income from Securities Lending............................... 29,274 -- -- --
---------- ---------- ------ --------
Total Investment Income................................... 613,117 -- -- --
---------- ---------- ------ --------
FUND EXPENSES
Investment Management Fees................................... 61,399 47,621 37 2,792
Accounting & Transfer Agent Fees............................. 1,339 210 3 7
Custodian Fees............................................... 2,417 5 3 --
Filing Fees.................................................. 831 258 6 22
Shareholders' Reports........................................ 489 473 1 8
Directors'/Trustees' Fees & Expenses......................... 196 114 -- 5
Professional Fees............................................ 440 81 1 2
Organizational & Offering Costs.............................. -- -- 25 --
Other........................................................ 710 82 -- 2
---------- ---------- ------ --------
Total Expenses............................................ 67,821 48,844 76 2,838
---------- ---------- ------ --------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................. (2,592) -- (57) (558)
Fees Paid Indirectly (Note C)................................ (2,290) -- -- --
---------- ---------- ------ --------
Net Expenses................................................. 62,939 48,844 19 2,280
---------- ---------- ------ --------
NET INVESTMENT INCOME (LOSS)................................. 550,178 254,211 134 8,388
---------- ---------- ------ --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................... (29,889) 422,014 105 28,171
Affiliated Investment Companies Shares Sold................ 10 -- (6) --
Futures.................................................... 22,487 11,549 1 --
Foreign Currency Transactions.............................. (2,708) (1,764) -- (465)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................. 4,344,669 2,134,951 (3) 99,585
Affiliated Investment Companies Shares..................... (168) -- 1,299 --
Futures.................................................... 11,863 5,699 -- 1
Translation of Foreign Currency Denominated Amounts........ 1,409 864 -- 87
---------- ---------- ------ --------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................... 4,347,673 2,573,313 1,396 127,379
---------- ---------- ------ --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $4,897,851 $2,827,524 $1,530 $135,767
========== ========== ====== ========
ASIA PACIFIC
SMALL
COMPANY
PORTFOLIO*#
------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $24,970,
$10, $1,089 and $181, respectively)....................... $10,120
Interest................................................... --
Income from Securities Lending............................. 911
Expenses Allocated from Affiliated Investment Companies.... (358)
Income Distributions Received from Affiliated Investment
Companies.................................................. --
-------
Total Net Investment Income Received from Affiliated
Investment Companies..................................... 10,673
-------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $51,006, $0,
$0, $0 and $0, respectively)............................... --
Non Cash Income.............................................. --
Income from Securities Lending............................... --
-------
Total Investment Income................................... --
-------
FUND EXPENSES
Investment Management Fees................................... 1,397
Accounting & Transfer Agent Fees............................. 5
Custodian Fees............................................... --
Filing Fees.................................................. 23
Shareholders' Reports........................................ 6
Directors'/Trustees' Fees & Expenses......................... 3
Professional Fees............................................ 1
Organizational & Offering Costs.............................. --
Other........................................................ 1
-------
Total Expenses............................................ 1,436
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................. (279)
Fees Paid Indirectly (Note C)................................ --
-------
Net Expenses................................................. 1,157
-------
NET INVESTMENT INCOME (LOSS)................................. 9,516
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................... 9,656
Affiliated Investment Companies Shares Sold................ --
Futures.................................................... --
Foreign Currency Transactions.............................. (119)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................. 22,259
Affiliated Investment Companies Shares..................... --
Futures.................................................... --
Translation of Foreign Currency Denominated Amounts........ (1)
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................... 31,795
-------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $41,311
=======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Funds (Affiliated Investment Companies).
**Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
(a)The Portfolio commenced operations on January 18, 2017.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
143
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
UNITED DFA
KINGDOM CONTINENTAL INTERNATIONAL DFA GLOBAL
SMALL SMALL REAL ESTATE REAL ESTATE
COMPANY COMPANY SECURITIES SECURITIES
PORTFOLIO*# PORTFOLIO*# PORTFOLIO# PORTFOLIO#
----------- ----------- ------------- -----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $2, $1,332, $0, $0
and $0, respectively)........................................... $ 1,435 $ 8,719 -- $
Income from Securities Lending................................... 27 1,203 -- --
Expenses Allocated from Affiliated Investment Company............ (47) (531) -- --
Income Distributions Received from Affiliated Investment
Companies........................................................ -- -- -- 192,470
------- -------- -------- --------
Total Net Investment Income Received from Affiliated
Investment Company............................................. 1,415 9,391 -- 192,470
------- -------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $24,204, $0
and $30,452, respectively)....................................... -- -- $197,049 41,072
Non Cash Income................................................... -- -- 11,450 --
Income from Securities Lending.................................... -- -- 2,758 315
------- -------- -------- --------
Total Fund Investment Income.................................... -- -- 211,257 41,387
------- -------- -------- --------
FUND EXPENSES
Investment Management Fees........................................ 208 2,123 11,824 11,351
Accounting & Transfer Agent Fees.................................. 4 8 337 230
Custodian Fees.................................................... -- -- 546 33
Filing Fees....................................................... 29 96 269 378
Shareholders' Reports............................................. 4 7 138 344
Directors'/Trustees' Fees & Expenses.............................. -- 4 45 54
Professional Fees................................................. 1 1 98 56
Other............................................................. 1 4 140 53
------- -------- -------- --------
Total Expenses.................................................. 247 2,243 13,397 12,499
------- -------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................... (52) (425) -- (7,281)
Fees Paid Indirectly (Note C)..................................... -- -- (470) --
------- -------- -------- --------
Net Expenses...................................................... 195 1,818 12,927 5,218
------- -------- -------- --------
NET INVESTMENT INCOME (LOSS)...................................... 1,220 7,573 198,330 228,639
------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment
Companies........................................................ -- -- -- 14,569
Net Realized Gain (Loss) on:
Investment Securities Sold**..................................... 1,725 14,907 (21,413) 17,657
Affiliated Investment Companies Shares Sold...................... -- -- 21 2,178
Futures.......................................................... -- -- 6,597 149
Foreign Currency Transactions.................................... 6 89 439 3
In-Kind Redemptions.............................................. -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... 7,588 94,661 60,643 43,892
Affiliated Investment Companies Shares........................... -- -- (17) (5,082)
Futures.......................................................... -- -- 754 --
Translation of Foreign Currency Denominated Amounts.............. 4 24 254 --
------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 9,323 109,681 47,278 73,366
------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS......................................................... $10,543 $117,254 $245,608 $302,005
======= ======== ======== ========
DFA
INTERNATIONAL
SMALL CAP
VALUE
PORTFOLIO#
-------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $2, $1,332, $0, $0
and $0, respectively)........................................... --
Income from Securities Lending................................... --
Expenses Allocated from Affiliated Investment Company............ --
Income Distributions Received from Affiliated Investment
Companies........................................................ --
----------
Total Net Investment Income Received from Affiliated
Investment Company............................................. --
----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $24,204, $0
and $30,452, respectively)....................................... $ 344,535
Non Cash Income................................................... --
Income from Securities Lending.................................... 23,143
----------
Total Fund Investment Income.................................... 367,678
----------
FUND EXPENSES
Investment Management Fees........................................ 94,441
Accounting & Transfer Agent Fees.................................. 980
Custodian Fees.................................................... 2,181
Filing Fees....................................................... 210
Shareholders' Reports............................................. 413
Directors'/Trustees' Fees & Expenses.............................. 141
Professional Fees................................................. 320
Other............................................................. 500
----------
Total Expenses.................................................. 99,186
----------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................... --
Fees Paid Indirectly (Note C)..................................... (851)
----------
Net Expenses...................................................... 98,335
----------
NET INVESTMENT INCOME (LOSS)...................................... 269,343
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment
Companies........................................................ --
Net Realized Gain (Loss) on:
Investment Securities Sold**..................................... 551,715
Affiliated Investment Companies Shares Sold...................... 14
Futures.......................................................... 14,572
Foreign Currency Transactions.................................... (1,896)
In-Kind Redemptions.............................................. 82,012
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... 2,598,933
Affiliated Investment Companies Shares........................... (118)
Futures.......................................................... 9,407
Translation of Foreign Currency Denominated Amounts.............. 1,459
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 3,256,098
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS......................................................... $3,525,441
==========
----------
* 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.
See accompanying Notes to Financial Statements.
144
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
INTERNATIONAL WORLD EX U.S.
INTERNATIONAL HIGH RELATIVE WORLD EX U.S. TARGETED
VECTOR EQUITY PROFITABILITY VALUE VALUE
PORTFOLIO# PORTFOLIO (A) PORTFOLIO*# PORTFOLIO#
------------- ------------- ------------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $0, $585 and $0,
respectively)........................................................ -- -- $ 6,163 --
Interest.............................................................. -- -- 3 --
Income from Securities Lending........................................ -- -- 190 --
Expenses Allocated from Affiliated Investment Companies............... -- -- (374) --
Income Distributions Received from Affiliated Investment Companies..... -- -- 307 --
-------- ------ ------- -------
Total Net Investment Income Received from Affiliated Investment
Companies........................................................... -- -- 6,289 --
-------- ------ ------- -------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $5,181, $38, $0 and $819,
respectively)......................................................... $ 54,688 $ 501 -- $ 9,682
Non Cash Income........................................................ 3,514 -- -- --
Income from Securities Lending......................................... 3,749 -- -- 380
-------- ------ ------- -------
Total Investment Income.............................................. 61,951 501 -- 10,062
-------- ------ ------- -------
FUND EXPENSES
Investment Management Fees............................................. 9,791 60 1,000 2,153
Accounting & Transfer Agent Fees....................................... 177 8 6 37
Custodian Fees......................................................... 321 32 -- 191
Filing Fees............................................................ 99 22 20 56
Shareholders' Reports.................................................. 84 2 4 10
Directors'/Trustees' Fees & Expenses................................... 21 -- 2 3
Professional Fees...................................................... 46 1 5 26
Organizational & Offering Costs........................................ -- 17 -- --
Other.................................................................. 84 3 2 18
-------- ------ ------- -------
Total Expenses....................................................... 10,623 145 1,039 2,494
-------- ------ ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... -- (62) (480) --
Fees Paid Indirectly (Note C).......................................... (61) (8) -- (15)
-------- ------ ------- -------
Net Expenses........................................................... 10,562 75 559 2,479
-------- ------ ------- -------
NET INVESTMENT INCOME (LOSS)........................................... 51,389 426 5,730 7,583
-------- ------ ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment
Companies............................................................. -- -- 653 --
Net Realized Gain (Loss) on:
Investment Securities Sold**.......................................... 10,627 (165) 1,111 17,468
Affiliated Investment Companies Shares Sold........................... (1) -- 599 --
Futures............................................................... 158 (72) 262 --
Foreign Currency Transactions......................................... (413) 19 (26) (26)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................ 459,554 3,720 41,263 65,446
Affiliated Investment Companies Shares................................ (16) -- (148) (1)
Futures............................................................... -- -- 99 --
Translation of Foreign Currency Denominated Amounts................... 168 (1) 13 19
-------- ------ ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 470,077 3,501 43,826 82,906
-------- ------ ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $521,466 $3,927 $49,556 $90,489
======== ====== ======= =======
----------
* 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.
(a)The Portfolio commenced operations on May 16, 2017.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
145
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
SELECTIVELY
WORLD EX U.S. WORLD CORE HEDGED EMERGING
CORE EQUITY EQUITY GLOBAL EQUITY MARKETS
PORTFOLIO# PORTFOLIO PORTFOLIO PORTFOLIO*#
------------- ---------- ------------- -----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $18,082,
respectively).......................................................... -- -- -- $ 130,771
Interest................................................................ -- -- -- 69
Income from Securities Lending.......................................... -- -- -- 4,346
Expenses Allocated from Affiliated Investment Companies................. -- -- -- (8,320)
Income Distributions Received from Affiliated Investment Companies....... -- $ 9,033 $ 6,720 --
-------- ------- ------- ----------
Total Net Investment Income Received from Affiliated Investment
Companies............................................................. -- 9,033 6,720 126,866
-------- ------- ------- ----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $5,719, $0, $0 and $0,
respectively)........................................................... $ 56,130 4 -- --
Non Cash Income.......................................................... 3,448 -- -- --
Income from Securities Lending........................................... 3,366 -- -- --
-------- ------- ------- ----------
Total Fund Investment Income........................................... 62,944 4 -- --
-------- ------- ------- ----------
FUND EXPENSES
Investment Management Fees............................................... 7,483 1,341 1,030 25,136
Accounting & Transfer Agent Fees......................................... 166 9 10 74
Custodian Fees........................................................... 771 1 1 --
Filing Fees.............................................................. 154 49 32 152
Shareholders' Reports.................................................... 79 7 9 199
Directors'/Trustees' Fees & Expenses..................................... 20 4 3 54
Professional Fees........................................................ 66 6 4 17
Other.................................................................... 90 3 3 27
-------- ------- ------- ----------
Total Expenses......................................................... 8,829 1,420 1,092 25,659
-------- ------- ------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)........................................... (56) (1,102) (912) (5,677)
Fees Paid Indirectly (Note C)............................................ (145) -- -- --
-------- ------- ------- ----------
Net Expenses............................................................. 8,628 318 180 19,982
-------- ------- ------- ----------
NET INVESTMENT INCOME (LOSS)............................................. 54,316 8,719 6,540 106,884
-------- ------- ------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Companies. -- 898 894 --
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................ 7,525 3 -- (9,141)
Affiliated Investment Companies Shares Sold............................. (4) (418) (555) --
Futures................................................................. 68 -- 2,398 8,254
Foreign Currency Transactions........................................... (263) -- -- (31)
Forward Currency Contracts.............................................. -- -- (1,466) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................. 443,948 (1) 5 1,198,559
Affiliated Investment Companies Shares.................................. (14) 90,087 64,639 --
Futures................................................................. -- -- 1,354 1,186
Translation of Foreign Currency Denominated Amounts..................... 105 -- -- (71)
Forward Currency Contracts.............................................. -- -- 775 --
-------- ------- ------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS).................................. 451,365 90,569 68,044 1,198,756
-------- ------- ------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $505,681 $99,288 $74,584 $1,305,640
======== ======= ======= ==========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
146
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
EMERGING EMERGING EMERGING
MARKETS MARKETS MARKETS CORE
SMALL CAP VALUE EQUITY
PORTFOLIO*# PORTFOLIO*# PORTFOLIO#
----------- ----------- ------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $16,218, $63,780 and $0, respectively)....... $ 146,134 $ 474,005 --
Interest................................................................................. 598 892 --
Income from Securities Lending........................................................... 45,864 24,420 --
Expenses Allocated from Affiliated Investment Companies.................................. (17,003) (28,364) --
---------- ---------- ----------
Total Net Investment Income Received from Affiliated Investment Companies............... 175,593 470,953 --
---------- ---------- ----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0 and $68,887, respectively)............. -- -- $ 527,446
Income from Securities Lending............................................................ -- -- 56,661
---------- ---------- ----------
Total Investment Income................................................................. -- -- 584,107
---------- ---------- ----------
FUND EXPENSES
Investment Management Fees................................................................ 41,005 89,283 109,409
Accounting & Transfer Agent Fees.......................................................... 125 157 1,418
Custodian Fees............................................................................ -- -- 9,641
Shareholder Servicing Fees
Class R2 Shares.......................................................................... -- 129 --
Filing Fees............................................................................... 182 174 735
Shareholders' Reports..................................................................... 146 350 748
Directors'/Trustees' Fees & Expenses...................................................... 59 173 206
Professional Fees......................................................................... 19 52 581
Other..................................................................................... 29 91 754
---------- ---------- ----------
Total Expenses.......................................................................... 41,565 90,409 123,492
---------- ---------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. (12,617) -- (1,257)
Institutional Class Shares............................................................... -- (17,805) --
Class R2 Shares.......................................................................... -- (51) --
Fees Paid Indirectly (Note C)............................................................. -- -- (1,907)
---------- ---------- ----------
Net Expenses.............................................................................. 28,948 72,553 120,328
---------- ---------- ----------
NET INVESTMENT INCOME (LOSS).............................................................. 146,645 398,400 463,779
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................. 173,759 (258,290) (87,713)
Affiliated Investment Companies Shares Sold.............................................. -- -- (17)
Futures.................................................................................. 9,252 19,890 29,430
Foreign Currency Transactions............................................................ 78 2,920 (3,967)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................................... 931,907 3,745,161 4,549,390
Affiliated Investment Companies Shares................................................... -- -- (115)
Futures.................................................................................. 854 3,766 9,334
Translation of Foreign Currency Denominated Amounts...................................... (194) (53) (275)
---------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... 1,115,656 3,513,394 4,496,067
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $1,262,301 $3,911,794 $4,959,846
========== ========== ==========
----------
* 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, $144 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
147
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE CAP EQUITY U.S. LARGE CAP VALUE
COMPANY PORTFOLIO PORTFOLIO PORTFOLIO
------------------ --------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017 2016
-------- -------- ---------- --------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 3,676 $ 1,670 $ 18,142 $ 15,047 $ 427,035 $ 363,236
Net Realized Gain (Loss) on:
Investment Securities Sold*...................... (319) (59) 273 (9,470) 1,154,160 447,750
Affiliated Investment Companies Shares Sold...... 1 -- -- -- -- --
Futures.......................................... 39,159 7,848 9 -- 18,720 17,635
Foreign Currency Transactions.................... (11) -- -- -- -- --
Forward Currency Contracts....................... (132) -- -- -- -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency....... (1,062) 118 200,016 22,964 2,764,575 (11,625)
Affiliated Investment Companies Shares........... (1) -- (7) -- -- --
Futures.......................................... 14,290 (557) -- -- 10,896 (3,292)
Translation of Foreign Currency Denominated
Amounts......................................... (9) -- -- -- -- --
Forward Currency Contracts....................... 896 -- -- -- -- --
-------- -------- ---------- --------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations...................... 56,488 9,020 218,433 28,541 4,375,386 813,704
-------- -------- ---------- --------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares....................... (2,502) (1,417) (18,564) (14,431) (403,733) (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............................. (9,312) (14,747) (18,564) (14,431) (849,873) (1,001,197)
-------- -------- ---------- --------- ----------- -----------
Capital Share Transactions (1):
Shares Issued..................................... 101,630 73,655 343,508 301,960 5,277,113 4,078,939
Shares Issued in Lieu of Cash Distributions....... 8,734 13,002 17,598 14,259 793,913 935,970
Shares Redeemed................................... (73,606) (46,158) (199,415) (178,150) (3,536,921) (2,962,098)
-------- -------- ---------- --------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................... 36,758 40,499 161,691 138,069 2,534,105 2,052,811
-------- -------- ---------- --------- ----------- -----------
Total Increase (Decrease) in Net Assets......... 83,934 34,772 361,560 152,179 6,059,618 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..................................... $322,347 $238,413 $1,212,883 $ 851,323 $23,732,871 $17,673,253
======== ======== ========== ========= =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 7,516 6,113 23,434 24,003 144,495 131,035
Shares Issued in Lieu of Cash Distributions....... 681 1,111 1,194 1,116 22,018 29,906
Shares Redeemed................................... (5,541) (3,945) (13,683) (14,319) (97,162) (94,466)
-------- -------- ---------- --------- ----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................... 2,656 3,279 10,945 10,800 69,351 66,475
======== ======== ========== ========= =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ 877 $ 201 $ 1,207 $ 1,887 $ 22,596 $ 18,983
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
148
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
------------------------ ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 109,197 $ 93,044 $ 118,233 $ 122,969
Net Realized Gain (Loss) on:
Investment Securities Sold*...................... 454,563 310,791 690,721 533,632
Affiliated Investment Companies Shares Sold...... (1) -- 22 --
Futures.......................................... 17,659 6,695 26,310 42,945
Foreign Currency Transactions.................... 6 -- -- --
In-Kind Redemptions.............................. -- -- 79,386 --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities............................ 1,335,548 (32,158) 2,156,333 (45,822)
Affiliated Investment Companies Shares........... (188) -- (216) --
Futures.......................................... 2,939 (2,039) 9,284 (3,946)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations...................... 1,919,723 376,333 3,080,073 649,778
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares.................................. (506) (462) -- --
Class R2 Shares.................................. (1,483) (1,837) -- --
Institutional Class Shares....................... (103,014) (92,387) (113,837) (122,993)
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)
----------- ----------- ----------- -----------
Total Distributions............................. (403,506) (391,135) (647,124) (610,341)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued..................................... 3,081,447 1,989,566 2,978,426 2,855,521
Shares Issued in Lieu of Cash Distributions....... 373,214 363,680 585,631 547,459
Shares Redeemed................................... (2,298,736) (1,433,622) (3,444,324) (2,509,494)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................... 1,155,925 919,624 119,733 893,486
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets......... 2,672,142 904,822 2,552,682 932,923
NET ASSETS
Beginning of Year................................. 8,068,289 7,163,467 12,613,185 11,680,262
----------- ----------- ----------- -----------
End of Year....................................... $10,740,431 $ 8,068,289 $15,165,867 $12,613,185
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 128,009 99,453 80,463 94,286
Shares Issued in Lieu of Cash Distributions....... 15,383 18,127 15,504 17,740
Shares Redeemed................................... (95,985) (70,370) (92,936) (79,957)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................... 47,407 47,210 3,031 32,069
=========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ (1,394) $ 1,417 $ (5,694) $ (1,771)
U.S. CORE EQUITY 1
PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 299,067 $ 261,444
Net Realized Gain (Loss) on:
Investment Securities Sold*...................... 96,159 71,932
Affiliated Investment Companies Shares Sold...... (35) --
Futures.......................................... 15,613 14,545
Foreign Currency Transactions.................... 3 --
In-Kind Redemptions.............................. -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities............................ 3,505,095 193,308
Affiliated Investment Companies Shares........... (188) --
Futures.......................................... 10,034 (3,224)
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations...................... 3,925,748 538,005
----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares.................................. -- --
Class R2 Shares.................................. -- --
Institutional Class Shares....................... (310,434) (253,050)
Net Short-Term Gains:
Class R1 Shares.................................. -- --
Class R2 Shares.................................. -- --
Institutional Class Shares....................... -- --
Net Long-Term Gains:
Class R1 Shares.................................. -- --
Class R2 Shares.................................. -- --
Institutional Class Shares....................... (71,615) (160,152)
----------- -----------
Total Distributions............................. (382,049) (413,202)
----------- -----------
Capital Share Transactions (1):
Shares Issued..................................... 4,637,048 3,836,889
Shares Issued in Lieu of Cash Distributions....... 368,386 394,137
Shares Redeemed................................... (2,746,550) (2,671,444)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................... 2,258,884 1,559,582
----------- -----------
Total Increase (Decrease) in Net Assets......... 5,802,583 1,684,385
NET ASSETS
Beginning of Year................................. 14,960,159 13,275,774
----------- -----------
End of Year....................................... $20,762,742 $14,960,159
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 229,289 221,794
Shares Issued in Lieu of Cash Distributions....... 18,264 22,712
Shares Redeemed................................... (135,531) (154,875)
----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................... 112,022 89,631
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ 14,490 $ 33,644
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
149
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
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016
----------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................... $ 320,409 $ 293,351 $ 59,721 $ 59,961
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... 192,862 110,911 167,995 103,375
Affiliated Investment Companies Shares
Sold.......................................... 31 -- 5 --
Futures........................................ 19,381 16,424 5,443 3,911
Foreign Currency Transactions.................. 5 -- 2 --
In-Kind Redemptions............................ -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities.......................... 3,702,303 180,375 706,848 (37,035)
Affiliated Investment Companies Shares......... (261) -- (57) --
Futures........................................ 11,212 (3,630) 835 (835)
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 4,245,942 597,431 940,792 129,377
----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares..................... (322,547) (281,321) (55,773) (59,624)
Net Short-Term Gains:
Institutional Class Shares..................... -- -- (202) --
Net Long-Term Gains:
Institutional Class Shares..................... (122,469) (296,061) (101,959) (119,588)
----------- ----------- ---------- ----------
Total Distributions........................... (445,016) (577,382) (157,934) (179,212)
----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 4,120,340 3,614,827 873,587 802,042
Shares Issued in Lieu of Cash Distributions..... 439,092 569,820 155,990 177,958
Shares Redeemed................................. (2,695,986) (2,554,214) (911,079) (759,047)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions................................. 1,863,446 1,630,433 118,498 220,953
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets....... 5,664,372 1,650,482 901,356 171,118
NET ASSETS
Beginning of Year............................... 16,851,046 15,200,564 3,822,647 3,651,529
----------- ----------- ---------- ----------
End of Year..................................... $22,515,418 $16,851,046 $4,724,003 $3,822,647
=========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 212,849 220,326 48,648 53,015
Shares Issued in Lieu of Cash Distributions..... 22,777 34,541 8,720 11,617
Shares Redeemed................................. (139,061) (155,064) (50,704) (49,773)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed.......................... 96,565 99,803 6,664 14,859
=========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME).......................................... $ 15,587 $ 26,714 $ 426 $ 150
U.S. SMALL CAP PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................... $ 160,232 $ 135,557
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... 610,335 362,082
Affiliated Investment Companies Shares
Sold.......................................... (107) --
Futures........................................ 18,310 18,220
Foreign Currency Transactions.................. 15 --
In-Kind Redemptions............................ 125,200 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities.......................... 2,387,599 11,454
Affiliated Investment Companies Shares......... (345) --
Futures........................................ 10,124 (4,290)
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 3,311,363 523,023
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares..................... (155,568) (133,998)
Net Short-Term Gains:
Institutional Class Shares..................... (12,822) (1,951)
Net Long-Term Gains:
Institutional Class Shares..................... (343,192) (503,176)
----------- -----------
Total Distributions........................... (511,582) (639,125)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................... 3,737,913 3,878,897
Shares Issued in Lieu of Cash Distributions..... 484,150 601,644
Shares Redeemed................................. (3,067,256) (2,003,782)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................. 1,154,807 2,476,759
----------- -----------
Total Increase (Decrease) in Net Assets....... 3,954,588 2,360,657
NET ASSETS
Beginning of Year............................... 12,977,199 10,616,542
----------- -----------
End of Year..................................... $16,931,787 $12,977,199
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 109,356 133,904
Shares Issued in Lieu of Cash Distributions..... 14,119 20,883
Shares Redeemed................................. (89,947) (68,437)
----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed.......................... 33,528 86,350
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME).......................................... $ (1,236) $ 2,738
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
150
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. HIGH RELATIVE DFA REAL ESTATE SECURITIES
U.S. MICRO CAP PORTFOLIO PROFITABILITY PORTFOLIO PORTFOLIO
----------------------- ----------------------- ------------------------
PERIOD
YEAR YEAR MAY 16, YEAR YEAR
ENDED ENDED 2017 (A) TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2017 2016
----------- ---------- ----------------------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 43,746 $ 43,562 $ 672 $ 190,490 $ 221,443
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 283,405 265,995 43 47,672 90,717
Affiliated Investment Companies Shares
Sold...................................... 12 -- (1) (67) --
Futures.................................... 9,052 4,507 (394) 8,131 6,786
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities...................... 1,119,931 (93,832) 9,520 183,941 133,266
Affiliated Investment Companies
Shares.................................... (105) -- (1) (61) --
Futures.................................... 2,595 (1,662) -- 3,862 (1,518)
----------- ---------- -------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 1,458,636 218,570 9,839 433,968 450,694
----------- ---------- -------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (43,959) (43,417) (541) (217,478) (199,996)
Net Long-Term Gains:
Institutional Class Shares................. (255,837) (267,818) -- (66,384) --
----------- ---------- -------- ----------- -----------
Total Distributions....................... (299,796) (311,235) (541) (283,862) (199,996)
----------- ---------- -------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................ 757,322 728,237 134,388 1,766,337 1,324,786
Shares Issued in Lieu of Cash
Distributions............................... 276,724 288,388 541 217,675 180,508
Shares Redeemed.............................. (1,014,479) (802,728) (3,154) (1,113,122) (1,049,004)
----------- ---------- -------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 19,567 213,897 131,775 870,890 456,290
----------- ---------- -------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................... 1,178,407 121,232 141,073 1,020,996 706,988
NET ASSETS
Beginning of Year............................ 5,128,323 5,007,091 -- 7,260,180 6,553,192
----------- ---------- -------- ----------- -----------
End of Year.................................. $ 6,306,730 $5,128,323 $141,073 $ 8,281,176 $ 7,260,180
=========== ========== ======== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 36,173 41,740 13,154 50,891 38,318
Shares Issued in Lieu of Cash
Distributions............................... 13,144 16,256 52 6,384 5,269
Shares Redeemed.............................. (48,215) (45,482) (302) (32,116) (30,405)
----------- ---------- -------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 1,102 12,514 12,904 25,159 13,182
=========== ========== ======== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)............................ $ (401) $ 1,818 $ 131 $ 46,634 $ 39,022
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
151
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LARGE CAP INTERNATIONAL INTERNATIONAL CORE INTERNATIONAL SMALL
PORTFOLIO EQUITY PORTFOLIO COMPANY PORTFOLIO
---------------------- ------------------------ ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017 2016
---------- ---------- ----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 111,927 $ 95,056 $ 550,178 $ 431,691 $ 254,211 $ 238,233
Net Realized Gain (Loss) on:
Investment Securities Sold*...................... 157,652 40,972 (29,889) (84,212) 422,014 261,664
Affiliated Investment Companies Shares Sold...... 51 -- 10 -- -- --
Futures.......................................... 4,534 2,587 22,487 19,275 11,549 17,796
Foreign Currency Transactions.................... (583) (670) (2,708) (72) (1,764) 673
Forward Currency Contracts....................... -- (1) -- (3) -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency....... 608,562 (163,381) 4,344,669 (7,083) 2,134,951 13,423
Affiliated Investment Companies Shares........... (72) -- (168) -- -- --
Futures.......................................... 1,881 (870) 11,863 (2,948) 5,699 (2,771)
Translation of Foreign Currency Denominated
Amounts......................................... 330 (284) 1,409 (1,251) 864 (814)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations...................... 884,282 (26,591) 4,897,851 355,397 2,827,524 528,204
---------- ---------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares....................... (111,606) (92,122) (533,126) (387,589) (205,687) (283,791)
Net Short-Term Gains:
Institutional Class Shares....................... -- -- -- -- (18,854) --
Net Long-Term Gains:
Institutional Class Shares....................... -- -- -- -- (251,076) (207,859)
---------- ---------- ----------- ----------- ----------- -----------
Total Distributions............................. (111,606) (92,122) (533,126) (387,589) (475,617) (491,650)
---------- ---------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued..................................... 960,010 1,137,696 6,327,731 5,576,571 2,235,300 2,126,348
Shares Issued in Lieu of Cash Distributions....... 99,282 81,307 506,159 367,352 456,455 473,837
Shares Redeemed................................... (636,653) (722,849) (2,737,658) (3,349,288) (1,940,733) (1,572,870)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................... 422,639 496,154 4,096,232 2,594,635 751,022 1,027,315
---------- ---------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets......... 1,195,315 377,441 8,460,957 2,562,443 3,102,929 1,063,869
NET ASSETS
Beginning of Year................................. 3,527,775 3,150,334 16,983,011 14,420,568 10,387,361 9,323,492
---------- ---------- ----------- ----------- ----------- -----------
End of Year....................................... $4,723,090 $3,527,775 $25,443,968 $16,983,011 $13,490,290 $10,387,361
========== ========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 45,425 59,417 496,127 500,176 116,685 124,163
Shares Issued in Lieu of Cash Distributions....... 4,623 4,282 39,374 33,144 25,675 27,874
Shares Redeemed................................... (29,985) (37,696) (213,878) (300,515) (99,987) (92,160)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................... 20,063 26,003 321,623 232,805 42,373 59,877
========== ========== =========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ 12,323 $ 11,729 $ 57,179 $ 49,229 $ 19,361 $ (18,870)
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
152
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
GLOBAL SMALL JAPANESE SMALL ASIA PACIFIC SMALL
COMPANY PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO
----------------- ------------------ ------------------
PERIOD
JAN. 18, YEAR YEAR YEAR YEAR
2017 (A) TO ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2017 2016 2017 2016
----------------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 134 $ 8,388 $ 7,013 $ 9,516 $ 8,007
Net Realized Gain (Loss) on:
Investment Companies Shares Sold*................... 105 28,171 20,065 9,656 (4,191)
Affiliated Investment Companies Shares Sold......... (6) -- -- -- --
Futures............................................. 1 -- -- -- --
Foreign Currency Transactions....................... -- (465) 326 (119) 49
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... (3) 99,585 33,546 22,259 30,333
Affiliated Investment Companies Shares.............. 1,299 -- -- -- --
Futures............................................. -- 1 -- -- --
Translation of Foreign Currency Denominated
Amounts............................................ -- 87 (100) (1) 4
------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 1,530 135,767 60,850 41,311 34,202
------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... -- (9,568) (6,534) (8,894) (7,760)
------- -------- -------- -------- --------
Total Distributions................................ -- (9,568) (6,534) (8,894) (7,760)
------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued....................................... 14,416 99,301 50,775 64,454 30,200
Shares Issued in Lieu of Cash Distributions......... -- 8,825 6,058 8,101 6,990
Shares Redeemed..................................... (925) (95,760) (65,733) (24,394) (12,327)
------- -------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 13,491 12,366 (8,900) 48,161 24,863
------- -------- -------- -------- --------
Total Increase (Decrease) in Net Assets............ 15,021 138,565 45,416 80,578 51,305
NET ASSETS
Beginning of Year..................................... -- 509,413 463,997 251,575 200,270
------- -------- -------- -------- --------
End of Year........................................... $15,021 $647,978 $509,413 $332,153 $251,575
======= ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 1,388 4,150 2,413 2,864 1,570
Shares Issued in Lieu of Cash Distributions........... -- 401 298 408 387
Shares Redeemed....................................... (86) (4,002) (3,255) (1,095) (637)
------- -------- -------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 1,302 549 (544) 2,177 1,320
======= ======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)................................................ $ 143 $ 1,122 $ 2,402 $ 1,817 $ 511
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
153
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
UNITED KINGDOM SMALL CONTINENTAL SMALL COMPANY DFA INTERNATIONAL REAL
COMPANY PORTFOLIO PORTFOLIO ESTATE SECURITIES PORTFOLIO
------------------- ------------------------ --------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017 2016
-------- -------- -------- -------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 1,220 $ 1,302 $ 7,573 $ 6,325 $ 198,330 $ 143,130
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 1,725 2,090 14,907 6,536 (21,413) (1,596)
Affiliated Investment Companies Shares
Sold...................................... -- -- -- -- 21 --
Futures.................................... -- -- -- 50 6,597 4,432
Foreign Currency Transactions.............. 6 (25) 89 (31) 439 540
Forward Currency Contracts................. -- -- -- -- -- 48
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 7,588 (8,433) 94,661 5,988 60,643 (118,705)
Affiliated Investment Companies Shares..... -- -- -- -- (17) --
Futures.................................... -- -- -- 2 754 (304)
Translation of Foreign Currency
Denominated Amounts....................... 4 (2) 24 (3) 254 (367)
------- -------- -------- -------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 10,543 (5,068) 117,254 18,867 245,608 27,178
------- -------- -------- -------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (1,322) (1,389) (7,715) (6,377) (326,892) (60,576)
Net Long-Term Gains:.........................
Institutional Class Shares................. (1,684) (1,632) -- -- -- --
------- -------- -------- -------- ---------- ----------
Total Distributions....................... (3,006) (3,021) (7,715) (6,377) (326,892) (60,576)
------- -------- -------- -------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................ 12,269 12,964 209,825 68,569 1,720,625 1,062,437
Shares Issued in Lieu of Cash
Distributions............................... 2,618 2,476 7,180 4,981 320,016 60,055
Shares Redeemed.............................. (9,570) (10,665) (26,314) (71,947) (643,227) (447,563)
------- -------- -------- -------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 5,317 4,775 190,691 1,603 1,397,414 674,929
------- -------- -------- -------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 12,854 (3,314) 300,230 14,093 1,316,130 641,531
NET ASSETS
Beginning of Year............................ 32,323 35,637 292,117 278,024 4,181,623 3,540,092
------- -------- -------- -------- ---------- ----------
End of Year.................................. $45,177 $ 32,323 $592,347 $292,117 $5,497,753 $4,181,623
======= ======== ======== ======== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 435 473 8,148 3,363 347,476 201,532
Shares Issued in Lieu of Cash
Distributions............................... 95 78 280 249 69,418 12,306
Shares Redeemed.............................. (335) (367) (1,053) (3,414) (132,019) (85,422)
------- -------- -------- -------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 195 184 7,375 198 284,875 128,416
======= ======== ======== ======== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)....................................... $ 33 $ 199 $ 238 $ 227 $ (280,250) $ (148,335)
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $92,
respectively.
See accompanying Notes to Financial Statements.
154
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA GLOBAL REAL ESTATE DFA INTERNATIONAL SMALL
SECURITIES PORTFOLIO CAP VALUE PORTFOLIO
----------------------- ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016
----------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 228,639 $ 110,990 $ 269,343 $ 294,075
Capital Gain Distributions Received from Affiliated
Investment Companies................................ 14,569 -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... 17,657 14,561 551,715 414,975
Affiliated Investment Companies Shares
Sold............................................... 2,178 -- 14 --
Futures............................................. 149 757 14,572 29,217
Foreign Currency Transactions....................... 3 7 (1,896) 7,305
Forward Currency Contracts.......................... -- -- -- 27
In-Kind Redemptions................................. -- -- 82,012 29,398
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.......... 43,892 61,152 2,598,933 (242,603)
Affiliated Investment Companies Shares.............. (5,082) -- (118) --
Futures............................................. -- -- 9,407 (3,458)
Translation of Foreign Currency Denominated
Amounts............................................ -- -- 1,459 (1,796)
----------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 302,005 187,467 3,525,441 527,140
----------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (227,401) (97,767) (195,408) (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................................ (243,001) (97,767) (609,450) (563,739)
----------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued........................................ 2,695,188 1,524,272 1,958,045 2,066,905
Shares Issued in Lieu of Cash Distributions.......... 233,500 93,708 544,816 508,968
Shares Redeemed...................................... (1,122,865) (878,641) (2,266,110) (2,107,120)
----------- ---------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions...................................... 1,805,823 739,339 236,751 468,753
----------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets............ 1,864,827 829,039 3,152,742 432,154
NET ASSETS
Beginning of Year.................................... 4,888,955 4,059,916 13,009,729 12,577,575
----------- ---------- ----------- -----------
End of Year.......................................... $ 6,753,782 $4,888,955 $16,162,471 $13,009,729
=========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 251,258 139,784 93,807 113,522
Shares Issued in Lieu of Cash Distributions.......... 23,234 9,151 28,186 28,063
Shares Redeemed...................................... (105,800) (81,345) (108,244) (115,085)
----------- ---------- ----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 168,692 67,590 13,749 26,500
=========== ========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................... $ 59,540 $ 61,223 $ 41,552 $ (39,951)
INTERNATIONAL VECTOR EQUITY
PORTFOLIO
--------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 51,389 $ 46,551
Capital Gain Distributions Received from Affiliated
Investment Companies................................ -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... 10,627 4,157
Affiliated Investment Companies Shares
Sold............................................... (1) --
Futures............................................. 158 182
Foreign Currency Transactions....................... (413) 127
Forward Currency Contracts.......................... -- (44)
In-Kind Redemptions................................. -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.......... 459,554 16,206
Affiliated Investment Companies Shares.............. (16) --
Futures............................................. -- --
Translation of Foreign Currency Denominated
Amounts............................................ 168 (165)
---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 521,466 67,014
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (50,390) (43,651)
Net Short-Term Gains:
Institutional Class Shares.......................... -- --
Net Long-Term Gains:
Institutional Class Shares.......................... (4,041) (5,716)
---------- ----------
Total Distributions................................ (54,431) (49,367)
---------- ----------
Capital Share Transactions (1):
Shares Issued........................................ 447,784 688,513
Shares Issued in Lieu of Cash Distributions.......... 53,927 48,918
Shares Redeemed...................................... (295,368) (493,518)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions...................................... 206,343 243,913
---------- ----------
Total Increase (Decrease) in Net Assets............ 673,378 261,560
NET ASSETS
Beginning of Year.................................... 1,856,474 1,594,914
---------- ----------
End of Year.......................................... $2,529,852 $1,856,474
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 37,714 68,056
Shares Issued in Lieu of Cash Distributions.......... 4,561 4,797
Shares Redeemed...................................... (24,782) (48,877)
---------- ----------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 17,493 23,976
========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................... $ 4,130 $ 4,967
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
155
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL HIGH RELATIVE WORLD EX U.S. VALUE WORLD EX U.S. TARGETED
PROFITABILITY PORTFOLIO PORTFOLIO VALUE PORTFOLIO
--------------------------- ------------------ ---------------------
PERIOD
MAY 16, YEAR YEAR YEAR YEAR
2017(A) TO ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2017 2016 2017 2016
--------------------------- -------- -------- -------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)..................... $ 426 $ 5,730 $ 5,412 $ 7,583 $ 5,264
Capital Gain Distributions Received from
Affiliated Investment Companies................. -- 653 256 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... (165) 1,111 (2,948) 17,468 6,843
Affiliated Investment Companies Shares
Sold.......................................... -- 599 -- -- --
Futures........................................ (72) 262 112 -- --
Foreign Currency Transactions.................. 19 (26) 85 (26) 124
Forward Currency Contracts..................... -- -- -- -- 8
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency...................................... 3,720 41,263 7,285 65,446 5,177
Affiliated Investment Companies Shares......... -- (148) 148 (1) --
Futures........................................ -- 99 (19) -- --
Translation of Foreign Currency Denominated
Amounts....................................... (1) 13 (11) 19 (20)
------- -------- -------- -------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 3,927 49,556 10,320 90,489 17,396
------- -------- -------- -------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares..................... (299) (4,532) (5,358) (7,684) (4,374)
------- -------- -------- -------- ---------
Total Distributions........................... (299) (4,532) (5,358) (7,684) (4,374)
------- -------- -------- -------- ---------
Capital Share Transactions (1):
Shares Issued.................................... 65,210 44,260 47,689 132,580 164,346
Shares Issued in Lieu of Cash Distributions...... 299 4,529 5,353 7,665 4,371
Shares Redeemed.................................. (1,344) (35,416) (25,151) (37,758) (128,258)
------- -------- -------- -------- ---------
Net Increase (Decrease) from Capital
Share Transactions........................... 64,165 13,373 27,891 102,487 40,459
------- -------- -------- -------- ---------
Total Increase (Decrease) in Net Assets....... 67,793 58,397 32,853 185,292 53,481
NET ASSETS
Beginning of Period.............................. -- 188,154 155,301 281,212 227,731
------- -------- -------- -------- ---------
End of Period.................................... $67,793 $246,551 $188,154 $466,504 $ 281,212
======= ======== ======== ======== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................... 6,451 3,780 5,184 9,799 15,218
Shares Issued in Lieu of Cash Distributions...... 29 407 562 558 392
Shares Redeemed.................................. (130) (3,040) (2,605) (2,738) (12,154)
------- -------- -------- -------- ---------
Net Increase (Decrease) from Shares
Issued and Redeemed.......................... 6,350 1,147 3,141 7,619 3,456
======= ======== ======== ======== =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)........................................... $ 146 $ 2,027 $ 737 $ 1,206 $ 882
----------
Seepage 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $1,
respectively.
See accompanying Notes to Financial Statements.
156
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
WORLD EX U.S. CORE EQUITY WORLD CORE EQUITY SELECTIVELY HEDGED
PORTFOLIO PORTFOLIO GLOBAL EQUITY PORTFOLIO
------------------------ ------------------ ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017 2016
---------- ---------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............................. $ 54,316 $ 37,861 $ 8,719 $ 5,949 $ 6,540 $ 5,406
Capital Gain Distributions Received from Affiliated
Investment Companies -- -- 898 1,313 894 2,164
Net Realized Gain (Loss) on:
Investment Securities Sold*.............................. 7,525 (2,134) 3 (2,896) -- (989)
Affiliated Investment Companies Shares Sold.............. (4) -- (418) -- (555) --
Futures.................................................. 68 (629) -- -- 2,398 1,760
Foreign Currency Transactions............................ (263) 189 -- -- -- --
Forward Currency Contracts............................... -- -- -- -- (1,466) 371
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 443,948 47,901 (1) -- 5 --
Affiliated Investment Companies Shares................... (14) -- 90,087 9,340 64,639 6,150
Futures.................................................. -- -- -- -- 1,354 (1,100)
Translation of Foreign Currency Denominated Amounts...... 105 (103) -- -- -- --
Forward Currency Contracts............................... -- -- -- -- 775 541
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 505,681 83,085 99,288 13,706 74,584 14,303
---------- ---------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares............................... (52,690) (36,005) (8,966) (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..................................... (52,690) (36,005) (10,264) (5,932) (9,106) (7,068)
---------- ---------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued............................................. 1,011,672 729,178 124,892 189,580 90,620 77,521
Shares Issued in Lieu of Cash Distributions............... 50,176 34,930 10,005 5,702 9,105 7,066
Shares Redeemed........................................... (365,917) (325,571) (47,259) (35,482) (52,903) (47,024)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... 695,931 438,537 87,638 159,800 46,822 37,563
---------- ---------- -------- -------- -------- --------
Total Increase (Decrease) in Net Assets................. 1,148,922 485,617 176,662 167,574 112,300 44,798
NET ASSETS
Beginning of Period....................................... 1,656,445 1,170,828 370,229 202,655 289,904 245,106
---------- ---------- -------- -------- -------- --------
End of Period............................................. $2,805,367 $1,656,445 $546,891 $370,229 $402,204 $289,904
========== ========== ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................. 92,982 78,713 8,416 14,944 6,000 6,131
Shares Issued in Lieu of Cash Distributions............... 4,555 3,690 690 451 649 552
Shares Redeemed........................................... (33,482) (34,710) (3,225) (2,883) (3,520) (3,623)
---------- ---------- -------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 64,055 47,693 5,881 12,512 3,129 3,060
========== ========== ======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT INCOME)........................... $ 4,361 $ 4,174 $ (4) $ 205 $ 2,600 $ 4,245
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
157
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS EMERGING MARKETS EMERGING MARKETS VALUE
PORTFOLIO SMALL CAP PORTFOLIO PORTFOLIO
------------------------ ----------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ----------- ----------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 106,884 $ 90,681 $ 146,645 $ 120,203 $ 398,400 $ 342,874
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (9,141) (105,635) 173,759 141,742 (258,290) (77,435)
Futures.................................... 8,254 5,655 9,252 4,016 19,890 11,373
Foreign Currency Transactions.............. (31) 955 78 338 2,920 3,728
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 1,198,559 506,131 931,907 394,050 3,745,161 1,954,176
Futures.................................... 1,186 (263) 854 286 3,766 (391)
Translation of Foreign Currency
Denominated Amounts....................... (71) 204 (194) 579 (53) 46
----------- ----------- ----------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 1,305,640 497,728 1,262,301 661,214 3,911,794 2,234,371
----------- ----------- ----------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares............................ -- -- -- -- (847) (2,365)
Institutional Class Shares................. (107,522) (89,527) (147,304) (124,387) (339,766) (436,707)
Net Short-Term Gains:
Institutional Class Shares................. -- -- (10,357) -- -- --
Net Long-Term Gains:
Institutional Class Shares................. -- -- (117,099) (36,697) -- --
----------- ----------- ----------- ---------- ----------- -----------
Total Distributions....................... (107,522) (89,527) (274,760) (161,084) (340,613) (439,072)
----------- ----------- ----------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................ 1,476,279 1,428,054 1,554,965 913,984 2,459,482 2,821,337
Shares Issued in Lieu of Cash
Distributions............................... 100,892 83,981 259,430 151,141 322,816 416,149
Shares Redeemed.............................. (1,057,775) (1,326,366) (1,011,728) (950,920) (3,341,295) (3,539,505)
----------- ----------- ----------- ---------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 519,396 185,669 802,667 114,205 (558,997) (302,019)
----------- ----------- ----------- ---------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................... 1,717,514 593,870 1,790,208 614,335 3,012,184 1,493,280
NET ASSETS
Beginning of Year............................ 4,915,400 4,321,530 5,459,509 4,845,174 16,402,244 14,908,964
----------- ----------- ----------- ---------- ----------- -----------
End of Year.................................. $ 6,632,914 $ 4,915,400 $ 7,249,717 $5,459,509 $19,414,428 $16,402,244
=========== =========== =========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 56,711 67,596 75,223 49,652 90,920 133,176
Shares Issued in Lieu of Cash
Distributions............................... 3,823 3,805 13,320 8,492 11,717 19,311
Shares Redeemed.............................. (39,854) (62,542) (47,673) (52,089) (122,531) (163,363)
----------- ----------- ----------- ---------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 20,680 8,859 40,870 6,055 (19,894) (10,876)
=========== =========== =========== ========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)............................ $ (2,493) $ 3,519 $ 6,969 $ 12,479 $ 6,372 $ (49,300)
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $68, $144 and $144,
respectively.
See accompanying Notes to Financial Statements.
158
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS CORE
EQUITY PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................................. $ 463,779 $ 351,450
Net Realized Gain (Loss) on:
Investment Securities Sold*................................................ (87,713) (342,991)
Affiliated Investment Companies Shares Sold................................ (17) --
Futures.................................................................... 29,430 30,116
Foreign Currency Transactions.............................................. (3,967) (539)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................. 4,549,390 2,038,618
Affiliated Investment Companies Shares..................................... (115) --
Futures.................................................................... 9,334 (3,447)
Translation of Foreign Currency Denominated Amounts........................ (275) 726
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations........... 4,959,846 2,073,933
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................................................. (449,166) (349,434)
----------- -----------
Total Distributions....................................................... (449,166) (349,434)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................................ 6,836,743 6,091,963
Shares Issued in Lieu of Cash Distributions.................................. 422,561 328,562
Shares Redeemed.............................................................. (3,397,228) (4,288,936)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions................... 3,862,076 2,131,589
----------- -----------
Total Increase (Decrease) in Net Assets................................... 8,372,756 3,856,088
NET ASSETS
Beginning of Year............................................................ 18,712,966 14,856,878
----------- -----------
End of Year.................................................................. $27,085,722 $18,712,966
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................................ 342,803 379,414
Shares Issued in Lieu of Cash Distributions.................................. 20,857 19,496
Shares Redeemed.............................................................. (170,351) (265,600)
----------- -----------
Net Increase (Decrease) from Shares Issued and Redeemed................... 193,309 133,310
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)....................................................................... $ 6,324 $ 11,774
----------
* Net of foreign capital gain taxes withheld of $0 and $53, respectively.
See accompanying Notes to Financial Statements.
159
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ENHANCED U.S. LARGE COMPANY PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period............................... $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 9.29
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.18 0.10 0.07 0.07 0.07
Net Gains (Losses) on Securities (Realized and Unrealized)....... 2.63 0.45 0.53 1.94 2.42
-------- -------- -------- -------- --------
Total from Investment Operations................................ 2.81 0.55 0.60 2.01 2.49
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................ (0.13) (0.08) (0.05) (0.06) (0.08)
Net Realized Gains............................................... (0.36) (0.79) (1.66) -- --
-------- -------- -------- -------- --------
Total Distributions............................................. (0.49) (0.87) (1.71) (0.06) (0.08)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................................... $ 14.54 $ 12.22 $ 12.54 $ 13.65 $ 11.70
=================================================================== ======== ======== ======== ======== ========
Total Return....................................................... 23.53% 4.75% 5.25% 17.18% 26.99%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............................. $322,347 $238,413 $203,641 $216,719 $212,840
Ratio of Expenses to Average Net Assets............................ 0.18% 0.23% 0.24% 0.23% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor and Fees Paid Indirectly)................................. 0.24% 0.24% 0.24% 0.23% 0.24%
Ratio of Net Investment Income to Average Net Assets............... 1.36% 0.80% 0.53% 0.55% 0.63%
Portfolio Turnover Rate............................................ 122% 119% 223% 202% 139%
----------------------------------------------------------------------------------------------------------------------
U.S. LARGE CAP EQUITY PORTFOLIO
---------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR JUNE 25,
ENDED ENDED ENDED ENDED 2013(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------------
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)................................. 0.26 0.25 0.23 0.21 0.06
Net Gains (Losses) on Securities (Realized and Unrealized)....... 2.87 0.19 0.21 1.57 1.04
---------- -------- -------- -------- --------
Total from Investment Operations................................ 3.13 0.44 0.44 1.78 1.10
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................ (0.26) (0.24) (0.21) (0.20) (0.03)
Net Realized Gains............................................... -- -- (0.02) -- --
---------- -------- -------- -------- --------
Total Distributions............................................. (0.26) (0.24) (0.23) (0.20) (0.03)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................................... $ 15.93 $ 13.06 $ 12.86 $ 12.65 $ 11.07
=================================================================== ========== ======== ======== ======== ==========
Total Return....................................................... 24.16% 3.51% 3.49% 16.19% 11.01%(D)
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............................. $1,212,883 $851,323 $699,144 $274,955 $135,407
Ratio of Expenses to Average Net Assets............................ 0.17% 0.18% 0.19% 0.19% 0.19%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor and Fees Paid Indirectly)................................. 0.17% 0.17% 0.19% 0.20% 0.25%(C)(E)
Ratio of Net Investment Income to Average Net Assets............... 1.74% 1.99% 1.77% 1.75% 1.58%(C)(E)
Portfolio Turnover Rate............................................ 11% 12% 12% 1% 0%(D)
------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
160
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 32.63 $ 33.27 $ 33.75 $ 29.72 $ 22.34
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.74 0.70 0.69 0.56 0.47
Net Gains (Losses) on Securities (Realized and Unrealized)... 6.99 0.71 (0.32) 4.02 7.38
----------- ----------- ----------- ----------- -----------
Total from Investment Operations........................... 7.73 1.41 0.37 4.58 7.85
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.70) (0.70) (0.66) (0.55) (0.47)
Net Realized Gains........................................... (0.82) (1.35) (0.19) -- --
----------- ----------- ----------- ----------- -----------
Total Distributions........................................ (1.52) (2.05) (0.85) (0.55) (0.47)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 38.84 $ 32.63 $ 33.27 $ 33.75 $ 29.72
============================================================= =========== =========== =========== =========== ===========
Total Return.................................................. 24.11% 4.58% 1.16% 15.49% 35.52%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $23,732,871 $17,673,253 $15,807,935 $15,146,981 $11,963,072
Ratio of Expenses to Average Net Assets (B)................... 0.27% 0.27% 0.27% 0.27% 0.27%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................... 0.37% 0.37% 0.30% 0.27% 0.27%
Ratio of Net Investment Income to Average Net Assets.......... 2.03% 2.24% 2.04% 1.75% 1.82%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
161
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES
--------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 21.26 $ 21.58 $ 23.19 $ 22.63 $17.28
------- ------- ------- ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.25 0.24 0.26 0.18 0.27
Net Gains (Losses) on Securities (Realized and Unrealized)... 4.66 0.60 (0.61) 1.86 6.28
------- ------- ------- ------- ------
Total from Investment Operations.............................. 4.91 0.84 (0.35) 2.04 6.55
------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.24) (0.27) (0.25) (0.16) (0.22)
Net Realized Gains........................................... (0.78) (0.89) (1.01) (1.32) (0.98)
------- ------- ------- ------- ------
Total Distributions........................................ (1.02) (1.16) (1.26) (1.48) (1.20)
------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 25.15 $ 21.26 $ 21.58 $ 23.19 $22.63
============================================================= ======== ======== ======== ======== ========
Total Return.................................................. 23.32% 4.21% (1.33)% 9.47% 40.39%
------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $54,960 $35,661 $40,159 $16,971 $9,470
Ratio of Expenses to Average Net Assets....................... 0.47% 0.47% 0.47% 0.47% 0.47%
Ratio of Net Investment Income to Average Net Assets.......... 1.03% 1.16% 1.15% 0.79% 1.42%
Portfolio Turnover Rate....................................... 23% 28% 15% 10% 16%
------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
162
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES
-----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 21.16 $ 21.51 $ 23.12 $ 22.57 $ 17.26
-------- -------- -------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.21 0.20 0.23 0.15 0.19
Net Gains (Losses) on Securities (Realized and Unrealized)... 4.65 0.60 (0.61) 1.84 6.31
-------- -------- -------- ------- -------
Total from Investment Operations........................... 4.86 0.80 (0.38) 1.99 6.50
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.21) (0.26) (0.22) (0.12) (0.21)
Net Realized Gains........................................... (0.78) (0.89) (1.01) (1.32) (0.98)
-------- -------- -------- ------- -------
Total Distributions........................................ (0.99) (1.15) (1.23) (1.44) (1.19)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 25.03 $ 21.16 $ 21.51 $ 23.12 $ 22.57
============================================================= ======== ======== ======== ======== ========
Total Return.................................................. 23.17% 4.04% (1.49)% 9.30% 40.10%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $156,809 $147,945 $135,412 $82,977 $23,305
Ratio of Expenses to Average Net Assets....................... 0.62% 0.62% 0.63% 0.62% 0.62%
Ratio of Net Investment Income to Average Net Assets.......... 0.90% 1.00% 1.02% 0.64% 0.95%
Portfolio Turnover Rate....................................... 23% 28% 15% 10% 16%
---------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
163
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 21.26 $ 21.56 $ 23.16 $ 22.60 $ 17.28
----------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.27 0.25 0.29 0.21 0.24
Net Gains (Losses) on Securities (Realized and Unrealized)... 4.67 0.60 (0.61) 1.85 6.31
----------- ---------- ---------- ---------- ----------
Total from Investment Operations........................... 4.94 0.85 (0.32) 2.06 6.55
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.26) (0.26) (0.27) (0.18) (0.25)
Net Realized Gains........................................... (0.78) (0.89) (1.01) (1.32) (0.98)
----------- ---------- ---------- ---------- ----------
Total Distributions........................................ (1.04) (1.15) (1.28) (1.50) (1.23)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 25.16 $ 21.26 $ 21.56 $ 23.16 $ 22.60
============================================================= =========== ========== ========== ========== ==========
Total Return.................................................. 23.46% 4.29% (1.20)% 9.58% 40.40%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $10,528,662 $7,884,683 $6,987,896 $5,490,959 $4,180,974
Ratio of Expenses to Average Net Assets....................... 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average Net Assets.......... 1.13% 1.24% 1.28% 0.90% 1.25%
Portfolio Turnover Rate....................................... 23% 28% 15% 10% 16%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
164
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP VALUE PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 32.75 $ 33.08 $ 35.82 $ 34.48 $ 26.57
----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.31 0.32 0.41 0.23 0.39
Net Gains (Losses) on Securities (Realized and Unrealized)... 7.71 1.06 (1.44) 2.93 9.41
----------- ----------- ----------- ----------- ----------
Total from Investment Operations........................... 8.02 1.38 (1.03) 3.16 9.80
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.30) (0.33) (0.38) (0.22) (0.37)
Net Realized Gains........................................... (1.40) (1.38) (1.33) (1.60) (1.52)
----------- ----------- ----------- ----------- ----------
Total Distributions........................................ (1.70) (1.71) (1.71) (1.82) (1.89)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 39.07 $ 32.75 $ 33.08 $ 35.82 $ 34.48
============================================================= =========== =========== =========== =========== ==========
Total Return.................................................. 24.67% 4.49% (2.83)% 9.49% 39.35%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $15,165,867 $12,613,185 $11,680,262 $11,512,306 $9,526,981
Ratio of Expenses to Average Net Assets....................... 0.52% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets.......... 0.83% 1.01% 1.18% 0.66% 1.28%
Portfolio Turnover Rate....................................... 24% 19% 17% 9% 14%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
165
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 1 PORTFOLIO
-------------------------------------------------------------- ------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2017
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 12.11 $ 17.19
----------- ----------- ----------- ----------- ---------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.33 0.33 0.31 0.27 0.25 0.31
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 4.12 0.30 0.26 2.02 3.62 3.83
----------- ----------- ----------- ----------- ---------- -----------
Total from Investment Operations............... 4.45 0.63 0.57 2.29 3.87 4.14
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.35) (0.32) (0.30) (0.25) (0.24) (0.31)
Net Realized Gains.............................. (0.09) (0.21) (0.08) (0.07) -- (0.12)
----------- ----------- ----------- ----------- ---------- -----------
Total Distributions............................ (0.44) (0.53) (0.38) (0.32) (0.24) (0.43)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 22.01 $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 20.90
================================================= =========== =========== =========== =========== ========== ===========
Total Return...................................... 24.93% 3.68% 3.26% 14.72% 32.32% 24.36%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $20,762,742 $14,960,159 $13,275,774 $10,780,830 $7,566,179 $22,515,418
Ratio of Expenses to Average Net Assets........... 0.19% 0.19% 0.19% 0.19% 0.19% 0.22%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.64% 1.88% 1.71% 1.61% 1.79% 1.59%
Portfolio Turnover Rate........................... 3% 4% 4% 5% 1% 5%
--------------------------------------------------------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $ 17.26 $ 17.34 $ 15.62 $ 11.99
----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.31 0.30 0.26 0.24
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.25 0.02 1.86 3.73
----------- ----------- ----------- ----------
Total from Investment Operations............... 0.56 0.32 2.12 3.97
-----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.30) (0.28) (0.24) (0.24)
Net Realized Gains.............................. (0.33) (0.12) (0.16) (0.10)
----------- ----------- ----------- ----------
Total Distributions............................ (0.63) (0.40) (0.40) (0.34)
-----------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 17.19 $ 17.26 $ 17.34 $ 15.62
================================================= =========== =========== =========== ==========
Total Return...................................... 3.47% 1.92% 13.78% 33.66%
-----------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $16,851,046 $15,200,564 $12,919,176 $9,989,564
Ratio of Expenses to Average Net Assets........... 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.87% 1.68% 1.55% 1.74%
Portfolio Turnover Rate........................... 4% 5% 6% 3%
-----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
166
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 15.93 $ 16.22 $ 17.04 $ 15.62 $ 11.61
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.24 0.25 0.25 0.21 0.20
Net Gains (Losses) on Securities (Realized and Unrealized)... 3.65 0.24 (0.30) 1.62 4.03
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........................... 3.89 0.49 (0.05) 1.83 4.23
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.23) (0.25) (0.24) (0.19) (0.20)
Net Realized Gains........................................... (0.43) (0.53) (0.53) (0.22) (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions........................................ (0.66) (0.78) (0.77) (0.41) (0.22)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 19.16 $ 15.93 $ 16.22 $ 17.04 $ 15.62
============================================================= ========== ========== ========== ========== ==========
Total Return.................................................. 24.73% 3.28% (0.18)% 11.91% 36.80%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $4,724,003 $3,822,647 $3,651,529 $3,501,319 $2,893,842
Ratio of Expenses to Average Net Assets....................... 0.32% 0.32% 0.32% 0.32% 0.32%
Ratio of Net Investment Income to Average Net Assets.......... 1.36% 1.64% 1.50% 1.26% 1.50%
Portfolio Turnover Rate....................................... 10% 10% 10% 10% 3%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
167
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 30.14 $ 30.84 $ 31.38 $ 30.03 $ 23.11
----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.35 0.34 0.35 0.26 0.35
Net Gains (Losses) on Securities (Realized and Unrealized)... 7.17 0.77 0.33 2.27 8.13
----------- ----------- ----------- ---------- ----------
Total from Investment Operations........................... 7.52 1.11 0.68 2.53 8.48
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.35) (0.35) (0.33) (0.24) (0.36)
Net Realized Gains........................................... (0.83) (1.46) (0.89) (0.94) (1.20)
----------- ----------- ----------- ---------- ----------
Total Distributions........................................ (1.18) (1.81) (1.22) (1.18) (1.56)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 36.48 $ 30.14 $ 30.84 $ 31.38 $ 30.03
============================================================= =========== =========== =========== ========== ==========
Total Return.................................................. 25.21% 3.89% 2.34% 8.67% 39.03%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $16,931,787 $12,977,199 $10,616,542 $9,247,716 $7,446,827
Ratio of Expenses to Average Net Assets....................... 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average Net Assets.......... 1.04% 1.16% 1.10% 0.86% 1.33%
Portfolio Turnover Rate....................................... 14% 10% 11% 9% 10%
------------------------------------------------------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 18.58 $ 19.00 $ 20.10 $ 19.64 $ 14.84
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.16 0.16 0.16 0.14 0.19
Net Gains (Losses) on Securities (Realized and Unrealized)... 5.12 0.60 0.02 1.35 5.57
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........................... 5.28 0.76 0.18 1.49 5.76
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.16) (0.16) (0.16) (0.13) (0.20)
Net Realized Gains........................................... (0.94) (1.02) (1.12) (0.90) (0.76)
---------- ---------- ---------- ---------- ----------
Total Distributions........................................ (1.10) (1.18) (1.28) (1.03) (0.96)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 22.76 $ 18.58 $ 19.00 $ 20.10 $ 19.64
============================================================= ========== ========== ========== ========== ==========
Total Return.................................................. 28.91% 4.32% 1.11% 7.88% 41.34%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $6,306,730 $5,128,323 $5,007,091 $5,029,027 $4,695,831
Ratio of Expenses to Average Net Assets....................... 0.52% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets.......... 0.75% 0.88% 0.82% 0.69% 1.16%
Portfolio Turnover Rate....................................... 15% 15% 14% 12% 11%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
168
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. HIGH RELATIVE
PROFITABILITY PORTFOLIO DFA REAL ESTATE SECURITIES PORTFOLIO
----------------------- ----------------------------------------------------------
PERIOD
MAY 16, YEAR YEAR YEAR YEAR YEAR
2017(A) TO ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period......... $ 10.00 $ 34.32 $ 33.04 $ 32.24 $ 27.77 $ 25.83
-------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.07 0.84 1.09 0.90 0.72 0.67
Net Gains (Losses) on Securities (Realized
and Unrealized)........................... 0.91 1.12 1.18 0.95 4.62 1.95
-------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......... 0.98 1.96 2.27 1.85 5.34 2.62
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.05) (0.98) (0.99) (1.05) (0.87) (0.68)
Net Realized Gains.......................... -- (0.31) -- -- -- --
-------- ---------- ---------- ---------- ---------- ----------
Total Distributions....................... (0.05) (1.29) (0.99) (1.05) (0.87) (0.68)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............... $ 10.93 $ 34.99 $ 34.32 $ 33.04 $ 32.24 $ 27.77
============================================ ======================= ========== ========== ========== ========== ==========
Total Return................................. 9.84%(D) 5.86% 6.89% 5.89% 19.80% 10.28%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........ $141,073 $8,281,176 $7,260,180 $6,553,192 $6,607,759 $4,677,418
Ratio of Expenses to Average Net Assets...... 0.23%(C)(E) 0.18% 0.18% 0.18% 0.18% 0.18%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid
Indirectly)................................. 0.35%(C)(E) 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average
Net Assets.................................. 1.45%(C)(E) 2.43% 3.15% 2.75% 2.48% 2.42%
Portfolio Turnover Rate...................... 0%(D) 1% 3% 4% 0% 1%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
169
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
LARGE CAP INTERNATIONAL PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year...................... $ 19.52 $ 20.36 $ 21.59 $ 22.20 $ 18.33
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.58 0.57 0.58 0.75 0.58
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 4.00 (0.86) (1.24) (0.62) 3.90
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 4.58 (0.29) (0.66) 0.13 4.48
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.58) (0.55) (0.57) (0.74) (0.61)
Net Realized Gains.................................... -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.58) (0.55) (0.57) (0.74) (0.61)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................ $ 23.52 $ 19.52 $ 20.36 $ 21.59 $ 22.20
======================================================== ========== ========== ========== ========== ==========
Total Return............................................ 23.79% (1.30)% (3.10)% 0.47% 24.85%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $4,723,090 $3,527,775 $3,150,334 $3,127,847 $2,755,114
Ratio of Expenses to Average Net Assets................. 0.25% 0.28% 0.29% 0.28% 0.29%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor and Fees Paid
Indirectly)............................................ 0.25% 0.28% 0.29% 0.28% 0.29%
Ratio of Net Investment Income to Average Net Assets.... 2.72% 2.95% 2.71% 3.35% 2.90%
Portfolio Turnover Rate................................. 10% 10% 10% 4% 5%
-----------------------------------------------------------------------------------------------------------------------
INTERNATIONAL CORE EQUITY PORTFOLIO
----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year...................... $ 11.58 $ 11.69 $ 12.15 $ 12.57 $ 10.10
----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.34 0.32 0.32 0.38 0.31
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 2.63 (0.15) (0.45) (0.43) 2.47
----------- ----------- ----------- ----------- ----------
Total from Investment Operations..................... 2.97 0.17 (0.13) (0.05) 2.78
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.32) (0.28) (0.33) (0.37) (0.31)
Net Realized Gains.................................... -- -- -- -- --
----------- ----------- ----------- ----------- ----------
Total Distributions.................................. (0.32) (0.28) (0.33) (0.37) (0.31)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................ $ 14.23 $ 11.58 $ 11.69 $ 12.15 $ 12.57
======================================================== =========== =========== =========== =========== ==========
Total Return............................................ 26.02% 1.62% (1.10)% (0.55)% 27.98%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $25,443,968 $16,983,011 $14,420,568 $12,294,542 $9,508,466
Ratio of Expenses to Average Net Assets................. 0.30% 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)............................................ 0.32% 0.38% 0.38% 0.38% 0.39%
Ratio of Net Investment Income to Average Net Assets.... 2.62% 2.83% 2.63% 3.01% 2.80%
Portfolio Turnover Rate................................. 6% 2% 4% 7% 3%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
170
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SMALL COMPANY PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.......................... $ 17.78 $ 17.78 $ 18.24 $ 19.40 $ 15.28
----------- ----------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.41 0.43 0.41 0.42 0.42
Net Gains (Losses) on Securities (Realized and Unrealized)... 4.13 0.48 0.12 (0.62) 4.16
----------- ----------- ---------- ---------- ----------
Total from Investment Operations........................... 4.54 0.91 0.53 (0.20) 4.58
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.34) (0.51) (0.42) (0.42) (0.37)
Net Realized Gains........................................... (0.46) (0.40) (0.57) (0.54) (0.09)
----------- ----------- ---------- ---------- ----------
Total Distributions........................................ (0.80) (0.91) (0.99) (0.96) (0.46)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................................ $ 21.52 $ 17.78 $ 17.78 $ 18.24 $ 19.40
============================================================= =========== =========== ========== ========== ==========
Total Return.................................................. 26.54% 5.43% 3.30% (1.09)% 30.66%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $13,490,290 $10,387,361 $9,323,492 $8,844,517 $8,520,717
Ratio of Expenses to Average Net Assets (B)................... 0.53% 0.53% 0.54% 0.53% 0.54%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................... 0.53% 0.53% 0.54% 0.53% 0.54%
Ratio of Net Investment Income to Average Net Assets.......... 2.14% 2.47% 2.30% 2.15% 2.47%
------------------------------------------------------------------------------------------------------------------------------
GLOBAL
SMALL
COMPANY
PORTFOLIO
----------
PERIOD
JAN. 18,
2017(A) TO
OCT. 31,
2017
------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.......................... $ 10.00
-------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.14
Net Gains (Losses) on Securities (Realized and Unrealized)... 1.39
-------
Total from Investment Operations........................... 1.53
------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ --
Net Realized Gains........................................... --
-------
Total Distributions........................................ --
------------------------------------------------------------------------------
Net Asset Value, End of Period................................ $ 11.53
============================================================= ==========
Total Return.................................................. 15.30%(D)
------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $15,021
Ratio of Expenses to Average Net Assets (B)................... 0.42%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................... 1.14%(C)(E)
Ratio of Net Investment Income to Average Net Assets.......... 1.74%(C)(E)
------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
171
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
JAPANESE SMALL COMPANY PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 14.99
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.37 0.32 0.25 0.24 0.26
Net Gains (Losses) on Securities (Realized and Unrealized)................ 5.61 2.51 1.36 0.13 4.21
-------- -------- -------- -------- --------
Total from Investment Operations......................................... 5.98 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 Year................................................ $ 28.56 $ 23.01 $ 20.46 $ 19.15 $ 19.33
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 26.56% 14.04% 8.62% 2.00% 30.06%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $647,978 $509,413 $463,997 $508,190 $414,132
Ratio of Expenses to Average Net Assets (B)................................. 0.54% 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)....... 0.64% 0.64% 0.57% 0.55% 0.56%
Ratio of Net Investment Income to Average Net Assets........................ 1.50% 1.57% 1.27% 1.25% 1.51%
-------------------------------------------------------------------------------------------------------------------------------
ASIA PACIFIC SMALL COMPANY PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 21.27 $ 19.06 $ 22.88 $ 24.82 $ 23.22
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.74 0.71 0.75 0.83 1.01
Net Gains (Losses) on Securities (Realized and Unrealized)................ 2.45 2.24 (3.51) (1.81) 1.37
-------- -------- -------- -------- --------
Total from Investment Operations......................................... 3.19 2.95 (2.76) (0.98) 2.38
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.75) (0.74) (1.06) (0.96) (0.78)
Net Realized Gains........................................................ -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions...................................................... (0.75) (0.74) (1.06) (0.96) (0.78)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 23.71 $ 21.27 $ 19.06 $ 22.88 $ 24.82
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 15.70% 16.18% (12.19)% (3.84)% 10.46%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $332,153 $251,575 $200,270 $364,117 $331,166
Ratio of Expenses to Average Net Assets (B)................................. 0.54% 0.54% 0.55% 0.55% 0.57%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.64% 0.64% 0.57% 0.55% 0.57%
Ratio of Net Investment Income to Average Net Assets........................ 3.41% 3.57% 3.67% 3.53% 4.26%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
172
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
UNITED KINGDOM SMALL COMPANY PORTFOLIO
--------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.87 1.18 1.06 0.95 0.88
Net Gains (Losses) on Securities (Realized and Unrealized)................ 6.67 (6.55) 1.95 (0.65) 9.17
------- ------- ------- ------- -------
Total from Investment Operations......................................... 7.54 (5.37) 3.01 0.30 10.05
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.93) (1.29) (1.05) (0.93) (0.90)
Net Realized Gains........................................................ (1.15) (1.63) (2.38) (0.41) --
------- ------- ------- ------- -------
Total Distributions...................................................... (2.08) (2.92) (3.43) (1.34) (0.90)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 32.67 $ 27.21 $ 35.50 $ 35.92 $ 36.96
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 29.28% (16.20)% 9.43% 0.73% 36.81%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $45,177 $32,323 $35,637 $35,050 $37,096
Ratio of Expenses to Average Net Assets (B)................................. 0.59% 0.59% 0.58% 0.58% 0.59%
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)....................................................... 0.71% 0.71% 0.62% 0.62% 0.63%
Ratio of Net Investment Income to Average Net Assets........................ 2.93% 3.87% 2.99% 2.50% 2.79%
---------------------------------------------------------------------------------------------------------------------------
CONTINENTAL SMALL COMPANY PORTFOLIO
---------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 21.48 $ 20.74 $ 19.34 $ 20.26
-------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.45 0.43 0.43 0.42
Net Gains (Losses) on Securities (Realized and Unrealized)................ 6.73 0.72 1.38 (0.90)
-------- -------- -------- --------
Total from Investment Operations......................................... 7.18 1.15 1.81 (0.48)
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.42) (0.41) (0.41) (0.44)
Net Realized Gains........................................................ -- -- -- --
-------- -------- -------- --------
Total Distributions...................................................... (0.42) (0.41) (0.41) (0.44)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 28.24 $ 21.48 $ 20.74 $ 19.34
============================================================================ ======== ======== ======== ========
Total Return................................................................ 33.68% 5.70% 9.37% (2.68)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $592,347 $292,117 $278,024 $168,961
Ratio of Expenses to Average Net Assets (B)................................. 0.56%(B) 0.54%(B) 0.55%(B) 0.56%(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) (B)....................................................... 0.66%(B) 0.64%(B) 0.58%(B) 0.56%(B)
Ratio of Net Investment Income to Average Net Assets........................ 1.78% 2.08% 2.09% 1.97%
---------------------------------------------------------------------------------------------------------------------------------
---------
YEAR
ENDED
OCT. 31,
2013
-----------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 14.51
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.37
Net Gains (Losses) on Securities (Realized and Unrealized)................ 5.78
--------
Total from Investment Operations......................................... 6.15
-----------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.40)
Net Realized Gains........................................................ --
--------
Total Distributions...................................................... (0.40)
-----------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 20.26
============================================================================ ========
Total Return................................................................ 42.99%
-----------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $170,806
Ratio of Expenses to Average Net Assets (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) (B)....................................................... 0.58%(B)
Ratio of Net Investment Income to Average Net Assets........................ 2.16%
-----------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
173
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
----------------------------------------------------------- --------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2017
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................. $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 5.67 $ 10.84
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.21 0.20 0.19 0.22 0.22 0.43
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.04 (0.15) (0.22) 0.19 0.25 0.15
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations................ 0.25 0.05 (0.03) 0.41 0.47 0.58
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.41) (0.09) (0.33) (0.26) (0.66) (0.49)
Net Realized Gains............................... -- -- -- -- -- (0.03)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................. (0.41) (0.09) (0.33) (0.26) (0.66) (0.52)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year....................... $ 5.07 $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 10.90
=================================================== ========== ========== ========== ========== ========== ==========
Total Return....................................... 5.46% 1.05% (0.37)% 8.21% 9.24% 5.82%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................ $5,497,753 $4,181,623 $3,540,092 $3,088,376 $2,158,977 $6,753,782
Ratio of Expenses to Average Net Assets............ 0.28% 0.28% 0.32% 0.38% 0.39% 0.24%(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)............................. 0.28% 0.28% 0.32% 0.38% 0.39% 0.37%(B)
Ratio of Net Investment Income to Average Net
Assets............................................ 4.19% 3.71% 3.64% 4.14% 4.07% 4.03%
Portfolio Turnover Rate............................ 1% 1% 2% 1% 5% 2%
--------------------------------------------------------------------------------------------------------------------------------
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................. $ 10.59 $ 10.63 $ 9.59 $ 9.33
---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.27 0.44 0.31 0.49
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.23 (0.09) 1.05 0.37
---------- ---------- ---------- ----------
Total from Investment Operations................ 0.50 0.35 1.36 0.86
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.25) (0.39) (0.32) (0.60)
Net Realized Gains............................... -- -- -- --
---------- ---------- ---------- ----------
Total Distributions............................. (0.25) (0.39) (0.32) (0.60)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year....................... $ 10.84 $ 10.59 $ 10.63 $ 9.59
=================================================== ========== ========== ========== ==========
Total Return....................................... 4.87% 3.44% 14.98% 9.74%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................ $4,888,955 $4,059,916 $3,305,472 $2,082,707
Ratio of Expenses to Average Net Assets............ 0.24%(B) 0.27%(B) 0.32%(B) 0.32%(B)
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor and
Fees Paid Indirectly)............................. 0.38%(B) 0.45%(B) 0.55%(B) 0.55%(B)
Ratio of Net Investment Income to Average Net
Assets............................................ 2.45% 4.16% 3.21% 5.18%
Portfolio Turnover Rate............................ 2% 1% N/A N/A
---------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
174
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year...................... $ 19.31 $ 19.44 $ 19.55 $ 20.17 $ 15.16
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.39 0.44 0.38 0.37 0.37
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 4.72 0.29 0.22 (0.34) 5.21
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... 5.11 0.73 0.60 0.03 5.58
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.29) (0.58) (0.37) (0.35) (0.36)
Net Realized Gains.................................... (0.62) (0.28) (0.34) (0.30) (0.21)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (0.91) (0.86) (0.71) (0.65) (0.57)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................ $ 23.51 $ 19.31 $ 19.44 $ 19.55 $ 20.17
======================================================== =========== =========== =========== =========== ===========
Total Return............................................ 27.49% 4.09% 3.31% 0.13% 37.79%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $16,162,471 $13,009,729 $12,577,575 $11,684,771 $11,148,899
Ratio of Expenses to Average Net Assets................. 0.68% 0.68% 0.69% 0.68% 0.69%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor and Fees Paid
Indirectly)............................................ 0.68% 0.68% 0.69% 0.68% 0.69%
Ratio of Net Investment Income to Average Net Assets.... 1.85% 2.38% 1.94% 1.78% 2.16%
Portfolio Turnover Rate................................. 21% 19% 18% 8% 9%
--------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL VECTOR EQUITY PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year...................... $ 10.78 $ 10.76 $ 11.26 $ 11.75 $ 9.33
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.28 0.28 0.28 0.32 0.26
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 2.57 0.05 (0.41) (0.43) 2.44
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 2.85 0.33 (0.13) (0.11) 2.70
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.28) (0.27) (0.27) (0.30) (0.25)
Net Realized Gains.................................... (0.02) (0.04) (0.10) (0.08) (0.03)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.30) (0.31) (0.37) (0.38) (0.28)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................ $ 13.33 $ 10.78 $ 10.76 $ 11.26 $ 11.75
======================================================== ========== ========== ========== ========== ==========
Total Return............................................ 26.83% 3.21% (1.14)% (1.05)% 29.52%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $2,529,852 $1,856,474 $1,594,914 $1,305,553 $1,090,774
Ratio of Expenses to Average Net Assets................. 0.49% 0.49% 0.50% 0.49% 0.51%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor and Fees Paid
Indirectly)............................................ 0.49% 0.49% 0.50% 0.49% 0.51%
Ratio of Net Investment Income to Average Net Assets.... 2.36% 2.73% 2.50% 2.64% 2.51%
Portfolio Turnover Rate................................. 5% 4% 8% 8% 2%
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
175
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL
HIGH
RELATIVE
PROFITABILITY
PORTFOLIO WORLD EX U.S. VALUE PORTFOLIO
------------- ------------------------------------------------------------
PERIOD
MAY 16, YEAR YEAR YEAR YEAR YEAR
2017(A) TO ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period......... $ 10.00 $ 10.31 $ 10.28 $ 11.43 $ 11.93 $ 9.94
------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.08 0.31 0.31 0.30 0.42 0.29
Net Gains (Losses) on Securities (Realized
and Unrealized)........................... 0.66 2.33 0.03 (1.18) (0.50) 2.02
------- -------- -------- -------- -------- --------
Total from Investment Operations.......... 0.74 2.64 0.34 (0.88) (0.08) 2.31
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.06) (0.24) (0.31) (0.27) (0.42) (0.32)
Net Realized Gains.......................... -- -- -- -- -- --
------- -------- -------- -------- -------- --------
Total Distributions....................... (0.06) (0.24) (0.31) (0.27) (0.42) (0.32)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............... $ 10.68 $ 12.71 $ 10.31 $ 10.28 $ 11.43 $ 11.93
============================================ ============= ======== ======== ======== ======== ========
Total Return................................. 7.38%(D) 25.97% 3.54% (7.77)% (0.81)% 23.61%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........ $67,793 $246,551 $188,154 $155,301 $113,951 $117,587
Ratio of Expenses to Average Net Assets...... 0.31%(C)(E) 0.52%(B) 0.53%(B) 0.53%(B) 0.57%(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)................................. 0.65%(C)(E) 0.75%(B) 0.76%(B) 0.75%(B) 0.76%(B) 0.76%(B)
Ratio of Net Investment Income to Average
Net Assets.................................. 1.76%(C)(E) 2.69% 3.20% 2.69% 3.54% 2.61%
Portfolio Turnover Rate...................... 2%(D) 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.
176
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD EX U.S. TARGETED VALUE PORTFOLIO
-------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR NOV. 1,
ENDED ENDED ENDED ENDED 2012(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.......................... $ 12.04 $ 11.44 $ 12.08 $ 12.46 $ 10.00
-------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.28 0.25 0.23 0.23 0.20
Net Gains (Losses) on Securities (Realized and Unrealized)... 3.01 0.55 (0.58) (0.22) 2.46
-------- -------- -------- -------- -------
Total from Investment Operations........................... 3.29 0.80 (0.35) 0.01 2.66
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.27) (0.20) (0.26) (0.24) (0.20)
Net Realized Gains........................................... -- -- (0.03) (0.15) --
-------- -------- -------- -------- -------
Total Distributions........................................ (0.27) (0.20) (0.29) (0.39) (0.20)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................................ $ 15.06 $ 12.04 $ 11.44 $ 12.08 $ 12.46
============================================================= ======== ======== ======== ======== ==========
Total Return.................................................. 27.61% 7.18% (2.88)% 0.06% 26.90%(D)
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $466,504 $281,212 $227,731 $151,096 $96,010
Ratio of Expenses to Average Net Assets....................... 0.67% 0.76% 0.65% 0.69% 0.79%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly) (B).............................................. 0.67% 0.77% 1.06% 1.17% 1.27%(C)(E)
Ratio of Net Investment Income to Average Net Assets.......... 2.04% 2.18% 1.95% 1.84% 1.78%(C)(E)
Portfolio Turnover Rate....................................... 17% 28% 1% N/A N/A
------------------------------------------------------------------------------------------------------------------------
WORLD EX U.S. CORE EQUITY PORTFOLIO
---------------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR APRIL 9,
ENDED ENDED ENDED ENDED 2013(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.......................... $ 9.93 $ 9.83 $ 10.49 $ 10.77 $ 10.00
---------- ---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.27 0.26 0.26 0.28 0.18
Net Gains (Losses) on Securities (Realized and Unrealized)... 2.21 0.08 (0.72) (0.27) 0.77
---------- ---------- ---------- -------- --------
Total from Investment Operations........................... 2.48 0.34 (0.46) 0.01 0.95
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.26) (0.24) (0.20) (0.28) (0.18)
Net Realized Gains........................................... -- -- -- (0.01) --
---------- ---------- ---------- -------- --------
Total Distributions........................................ (0.26) (0.24) (0.20) (0.29) (0.18)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................................ $ 12.15 $ 9.93 $ 9.83 $ 10.49 $ 10.77
============================================================= ========== ========== ========== ======== ==========
Total Return.................................................. 25.33% 3.58% (4.50)% (0.04)% 9.62%(D)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $2,805,367 $1,656,445 $1,170,828 $406,648 $129,720
Ratio of Expenses to Average Net Assets....................... 0.40% 0.47% 0.47% 0.47% 0.47%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly) (B).............................................. 0.40% 0.47% 0.52% 0.88% 0.97%(C)(E)
Ratio of Net Investment Income to Average Net Assets.......... 2.48% 2.67% 2.54% 2.59% 3.12%(C)(E)
Portfolio Turnover Rate....................................... 4% 1% 1% N/A N/A
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
177
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD CORE EQUITY PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 13.14 $ 12.94 $ 13.33 $ 12.71 $10.24
-------- -------- -------- ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.29 0.27 0.26 0.17 0.23
Net Gains (Losses) on Securities (Realized and Unrealized)................ 2.98 0.20 (0.35) 0.87 2.47
-------- -------- -------- ------- ------
Total from Investment Operations......................................... 3.27 0.47 (0.09) 1.04 2.70
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.30) (0.26) (0.26) (0.24) (0.23)
Net Realized Gains........................................................ (0.05) (0.01) (0.04) (0.18) --
-------- -------- -------- ------- ------
Total Distributions...................................................... (0.35) (0.27) (0.30) (0.42) (0.23)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 16.06 $ 13.14 $ 12.94 $ 13.33 $12.71
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 25.14% 3.73% (0.61)% 8.36% 26.77%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $546,891 $370,229 $202,655 $75,707 $1,728
Ratio of Expenses to Average Net Assets (B)................................. 0.35% 0.35% 0.35% 0.35% 0.40%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.60% 0.64% 0.65% 0.97% 5.71%
Ratio of Net Investment Income to Average Net Assets........................ 1.95% 2.14% 1.95% 1.27% 2.01%
------------------------------------------------------------------------------------------------------------------------------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 13.67 $ 13.50 $ 14.20 $ 13.63 $ 10.87
-------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.29 0.26 0.27 0.27 0.24
Net Gains (Losses) on Securities (Realized and Unrealized)................ 2.98 0.30 (0.34) 0.76 2.65
-------- -------- -------- -------- -------
Total from Investment Operations......................................... 3.27 0.56 (0.07) 1.03 2.89
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.30) (0.35) (0.42) (0.32) (0.10)
Net Realized Gains........................................................ (0.12) (0.04) (0.21) (0.14) (0.03)
-------- -------- -------- -------- -------
Total Distributions...................................................... (0.42) (0.39) (0.63) (0.46) (0.13)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 16.52 $ 13.67 $ 13.50 $ 14.20 $ 13.63
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 24.54% 4.32% (0.34)% 7.83% 26.86%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $402,204 $289,904 $245,106 $147,276 $91,348
Ratio of Expenses to Average Net Assets (B)................................. 0.35% 0.35% 0.40% 0.40% 0.40%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.62% 0.64% 0.66% 0.69% 0.72%
Ratio of Net Investment Income to Average Net Assets........................ 1.90% 2.03% 1.93% 1.94% 1.93%
------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
178
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 24.12 $ 22.17 $ 26.64 $ 26.97 $ 26.06
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.49 0.45 0.49 0.56 0.52
Net Gains (Losses) on Securities (Realized and Unrealized)... 5.43 1.95 (4.54) (0.20) 1.17
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........................... 5.92 2.40 (4.05) 0.36 1.69
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.49) (0.45) (0.42) (0.53) (0.50)
Net Realized Gains........................................... -- -- -- (0.16) (0.28)
---------- ---------- ---------- ---------- ----------
Total Distributions........................................ (0.49) (0.45) (0.42) (0.69) (0.78)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 29.55 $ 24.12 $ 22.17 $ 26.64 $ 26.97
============================================================= ========== ========== ========== ========== ==========
Total Return.................................................. 24.83% 11.01% (15.24)% 1.33% 6.58%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $6,632,914 $4,915,400 $4,321,530 $4,073,698 $3,655,740
Ratio of Expenses to Average Net Assets (B)................... 0.50% 0.56% 0.57% 0.56% 0.57%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................... 0.60% 0.66% 0.60% 0.56% 0.57%
Ratio of Net Investment Income to Average Net Assets.......... 1.88% 2.04% 1.97% 2.11% 1.97%
----------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 20.39 $ 18.51 $ 21.42 $ 21.10 $ 20.33
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.49 0.45 0.43 0.43 0.40
Net Gains (Losses) on Securities (Realized and Unrealized)... 3.58 2.04 (2.53) 0.62 1.37
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........................... 4.07 2.49 (2.10) 1.05 1.77
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.51) (0.47) (0.41) (0.40) (0.39)
Net Realized Gains........................................... (0.46) (0.14) (0.40) (0.33) (0.61)
---------- ---------- ---------- ---------- ----------
Total Distributions........................................ (0.97) (0.61) (0.81) (0.73) (1.00)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 23.49 $ 20.39 $ 18.51 $ 21.42 $ 21.10
============================================================= ========== ========== ========== ========== ==========
Total Return.................................................. 21.00% 13.96% (9.88)% 5.12% 8.92%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $7,249,717 $5,459,509 $4,845,174 $4,860,603 $4,041,863
Ratio of Expenses to Average Net Assets (B)................... 0.73% 0.72% 0.73% 0.72% 0.75%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................... 0.93% 0.92% 0.78% 0.72% 0.75%
Ratio of Net Investment Income to Average Net Assets.......... 2.32% 2.43% 2.16% 2.02% 1.91%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
179
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES
----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year......................................... $ 24.71 $ 22.18 $ 27.79 $ 29.27 $ 28.21
------- ------- ------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.31 0.46 0.49 0.59 0.47
Net Gains (Losses) on Securities (Realized and Unrealized)................ 5.60 2.75 (5.61) (1.10) 1.68
------- ------- ------- ------- --------
Total from Investment Operations........................................ 5.91 3.21 (5.12) (0.51) 2.15
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.49) (0.68) (0.49) (0.55) (0.50)
Net Realized Gains........................................................ -- -- -- (0.42) (0.59)
------- ------- ------- ------- --------
Total Distributions..................................................... (0.49) (0.68) (0.49) (0.97) (1.09)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................................... $ 30.13 $ 24.71 $ 22.18 $ 27.79 $ 29.27
========================================================================== ======== ======== ======== ======== ========
Total Return............................................................... 24.11% 14.98% (18.49)% (1.75)% 7.75%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................................ $31,198 $97,923 $74,076 $99,066 $106,070
Ratio of Expenses to Average Net Assets (B)................................ 0.81% 0.81% 0.81% 0.80% 0.82%
Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees
Paid Indirectly) (B)...................................................... 0.91% 0.91% 0.84% 0.80% 0.82%
Ratio of Net Investment Income to Average Net Assets....................... 1.19% 2.08% 1.93% 2.09% 1.65%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
180
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 24.84 $ 22.22 $ 27.81 $ 29.28 $ 28.22
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.61 0.51 0.54 0.66 0.55
Net Gains (Losses) on Securities (Realized and Unrealized)... 5.40 2.77 (5.60) (1.10) 1.67
----------- ----------- ----------- ----------- -----------
Total from Investment Operations........................... 6.01 3.28 (5.06) (0.44) 2.22
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.53) (0.66) (0.53) (0.61) (0.57)
Net Realized Gains........................................... -- -- -- (0.42) (0.59)
----------- ----------- ----------- ----------- -----------
Total Distributions........................................ (0.53) (0.66) (0.53) (1.03) (1.16)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 30.32 $ 24.84 $ 22.22 $ 27.81 $ 29.28
============================================================= =========== =========== =========== =========== ===========
Total Return.................................................. 24.41% 15.23% (18.27)% (1.51)% 8.01%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $19,383,230 $16,304,321 $14,834,888 $18,647,276 $19,162,837
Ratio of Expenses to Average Net Assets (B)................... 0.57% 0.56% 0.56% 0.55% 0.57%
Ratio of Expenses to Average Net Assets (Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly) (B)........... 0.67% 0.66% 0.59% 0.55% 0.57%
Ratio of Net Investment Income to Average Net Assets.......... 2.23% 2.31% 2.12% 2.35% 1.91%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
181
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO
----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................ $ 18.40 $ 16.81 $ 20.08 $ 20.09 $ 19.00
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.42 0.37 0.39 0.42 0.39
Net Gains (Losses) on Securities (Realized and Unrealized)... 3.95 1.59 (3.29) (0.03) 1.07
----------- ----------- ----------- ----------- -----------
Total from Investment Operations........................... 4.37 1.96 (2.90) 0.39 1.46
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.39) (0.37) (0.37) (0.40) (0.37)
----------- ----------- ----------- ----------- -----------
Total Distributions........................................ (0.39) (0.37) (0.37) (0.40) (0.37)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................. $ 22.38 $ 18.40 $ 16.81 $ 20.08 $ 20.09
============================================================= =========== =========== =========== =========== ===========
Total Return.................................................. 24.02% 11.87% (14.49)% 1.89% 7.75%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $27,085,722 $18,712,966 $14,856,878 $15,727,547 $13,020,962
Ratio of Expenses to Average Net Assets....................... 0.55% 0.61% 0.62% 0.61% 0.63%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly).......... 0.56% 0.61% 0.62% 0.61% 0.63%
Ratio of Net Investment Income to Average Net Assets.......... 2.08% 2.20% 2.06% 2.10% 1.97%
Portfolio Turnover Rate....................................... 4% 3% 5% 2% 1%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
182
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of one hundred
operational portfolios, of which thirty-four (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 (the "Master Fund" or "Underlying Fund")
within DFAITC. Global Small Company Portfolio invests in seven
Master/Underlying Funds within the Fund and DFAITC. DFA Global Real Estate
Securities Portfolio invests in two Master/Underlying Funds within the Fund and
directly in securities. World ex U.S. Value Portfolio invests in three
Master/Underlying Funds within the Fund, DFAITC, and DEM. World Core Equity
Portfolio and Selectively Hedged Global Equity Portfolio each invest in three
Master/Underlying Funds within the Fund. At October 31, 2017, the following
Portfolios were the owner of record of the following approximate percentages of
the total outstanding shares of the following Master/Underlying Funds as
detailed below:
PERCENTAGE
OWNERSHIP
FEEDER FUNDS MASTER/UNDERLYING FUNDS AT 10/31/17
------------ ----------------------- -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 86%
Japanese Small Company Portfolio The Japanese Small Company Series 16%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 18%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2%
Continental Small Company Portfolio The Continental Small Company Series 10%
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/UNDERLYING FUNDS AT 10/31/17
------------- ----------------------- -----------
International Small Company Portfolio The Continental Small Company Series 89%
The Japanese Small Company Series 84%
The United Kingdom Small Company Series 96%
The Asia Pacific Small Company Series 82%
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 Emerging Markets Small Cap Series --*
The Canadian Small Company Series --*
DFA Global Real Estate Securities Portfolio** DFA Real Estate Securities Portfolio 19%
DFA International Real Estate Securities 43%
Portfolio
183
PERCENTAGE
OWNERSHIP
FUND OF FUNDS MASTER/UNDERLYING FUNDS AT 10/31/17
------------- ----------------------- -----------
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --*
DFA International Small Cap Value Portfolio --*
The DFA International Value Series 1%
World Core Equity Portfolio U.S. Core Equity 1 Portfolio 1%
International Core Equity Portfolio 1%
Emerging Markets Core Equity Portfolio --*
Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio 1%
International Core Equity Portfolio 1%
Emerging Markets Core Equity Portfolio --*
* Amounts designated as -- are less than 1%.
**DFA Global Real Estate Securities Portfolio invests in two Master/Underlying
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 corresponding Master Funds as
indicated above. The DFA Global Real Estate Securities Portfolio may pursue its
investment objective by investing its assets in its Master/Underlying 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,
DFA Real Estate Securities Portfolio and U.S. High Relative Profitability
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,
Emerging Markets Core Equity Portfolio and International High Relative
Profitability Portfolio (the "International Equity Portfolios"), including
over-the-counter
184
securities, are valued at the last quoted sale price of the day. International
equity securities are subject to a fair value factor, as described later in
this note. Securities held by the Domestic Equity Portfolios and the
International Equity Portfolios that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Domestic Equity Portfolios and the International
Equity Portfolios value the securities within the range of the most recent
quoted bid and asked prices. Price information on listed securities is taken
from the exchange where the security is primarily traded. Generally, securities
issued by open-end management investment companies are valued using their
respective net asset values or public offering prices, as appropriate, for
purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
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/Underlying Funds) are valued at their respective daily net asset values
as reported by their administrator. The Feeder Funds', International
185
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.
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 year ended October 31, 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 October 31, 2017, none of the Directors
have requested or received a distribution of proceeds of a deferred fee account.
186
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities/affiliated investment companies and foreign currency are accounted
for on the basis of identified cost. Dividend income and distributions to
shareholders are recorded on the ex-dividend date. Distributions received on
securities and from the investment in affiliated investment companies that
represent a return of capital or capital gains are recorded as a reduction of
cost of investments or as a realized gain, respectively. The Portfolios
estimate the character of distributions received that may be considered return
of capital distributions. Interest income is recorded on an accrual basis.
Discount and premium on debt securities purchased are amortized over the lives
of the respective securities, utilizing the effective interest method. Expenses
directly attributable to a Portfolio are directly charged. Common expenses of
the Fund or the Portfolios are allocated using methods approved by the Board,
generally based on average net assets.
Organizational costs are expensed during the fiscal year of inception of the
Portfolios. Offering costs are amortized over a twelve-month period from the
inception of the Portfolios.
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, Global Small
Company Portfolio and World ex U.S. Value Portfolio each recognize their
pro-rata share of net investment income and realized and unrealized
gains/losses on a daily basis from their respective Master Fund within DFAITC
or DEM, which are treated as partnerships for federal income tax purposes.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned or
throughout the holding period. Some countries require governmental approval for
the repatriation of investment income, capital or the proceeds of sales earned
by foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging
Markets Value Portfolio, World ex U.S. Core Portfolio and Emerging Markets Core
Equity Portfolio are subject to a 15% tax on short-term capital gains for
investments in India. Such taxes are due upon sale of individual securities.
The capital gains taxes are recognized when the capital gains are earned.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to all Portfolios.
For the year ended October 31, 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%
U.S. High Relative Profitability Portfolio... 0.20%
DFA Real Estate Securities Portfolio......... 0.17%
Large Cap International Portfolio (1)........ 0.21%
187
International Core Equity Portfolio (2)...... 0.29%
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%
DFA International Small Cap Value Portfolio.. 0.65%
International Vector Equity Portfolio........ 0.45%
International High Relative Profitability
Portfolio.................................. 0.25%
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)...... 0.34%
World Core Equity Portfolio.................. 0.30%
Selectively Hedged Global Equity Portfolio... 0.30%
Emerging Markets Portfolio (4)............... 0.44%
Emerging Markets Small Cap Portfolio......... 0.65%
Emerging Markets Value Portfolio............. 0.50%
Emerging Markets Core Equity Portfolio (5)... 0.49%
(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
February 28, 2019 with respect to the U.S. and International High Relative
Profitability Portfolios), and may only be terminated by the Fund's Board of
Directors prior to that date. The Fee Waiver Agreement for such Portfolios
shall continue in effect from year to year thereafter unless terminated by the
Fund or the Advisor. The Fee Waiver Agreement with respect to the total
management fees paid by the Feeder Funds, as described in the notes below, will
remain in effect permanently, unless terminated by a Feeder Fund. For the year
ended October 31, 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/expenses assumed subject to future recovery
by the Advisor and the net amount of waived fees/expenses assumed (recovered
previously waived fees/expenses assumed) during the year ended October 31,
2017, are also reflected below (amounts in thousands). The Fund, on behalf of
the
188
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 FEES/
RECOVERY WAIVED FEES/ EXPENSES ASSUMED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED (RECOVERED PREVIOUSLY
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE WAIVED FEES/
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY EXPENSES ASSUMED)
-------------------------- ---------- ---------------- ----------------- ---------------------
Enhanced U.S. Large Company Portfolio (1)............. 0.15% -- $ 158 $ 158
U.S. Large Cap Equity Portfolio (1)................... 0.19% -- -- --
U.S. Large Cap Value Portfolio (2).................... 0.25% -- -- 21,047
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% -- -- --
U.S. High Relative Profitability Portfolio (4)........ 0.25% -- 56 56
DFA Real Estate Securities Portfolio (1).............. 0.18% $ 1 2,068 737
Large Cap International Portfolio (1)................. 0.24% 227 40 40
International Core Equity Portfolio (1)............... 0.30% 236 2,592 2,592
International Small Company Portfolio (5)............. 0.45% -- -- --
Global Small Company Portfolio (4).................... 0.49% -- 57 57
Japanese Small Company Portfolio (6).................. 0.47% -- -- 558
Asia Pacific Small Company Portfolio (6).............. 0.47% -- -- 279
United Kingdom Small Company Portfolio (6)............ 0.47% -- 23 52
Continental Small Company Portfolio (6)............... 0.47% -- -- 425
DFA International Real Estate Securities Portfolio (7) 0.29% -- -- --
DFA Global Real Estate Securities Portfolio (8)....... 0.24% -- 20,528 7,281
International Vector Equity Portfolio (1)............. 0.60% -- -- --
International High Relative Profitability
Portfolio (4)....................................... 0.35% -- 62 62
World ex U.S. Value Portfolio (9)..................... 0.60% -- 1,146 480
World ex U.S. Targeted Value Portfolio (10)........... 0.80% -- 839 --
World ex U.S. Core Equity Portfolio (11).............. 0.39% 260 960 56
World Core Equity Portfolio (12)...................... 0.35% 60 2,377 1,102
Selectively Hedged Global Equity Portfolio (13)....... 0.40% -- 2,284 912
Emerging Markets Portfolio (14)....................... 0.49% -- -- 5,677
Emerging Markets Small Cap Portfolio (2).............. 0.65% -- -- 12,617
Emerging Markets Value Portfolio (2).................. 0.50% -- -- 17,805
Emerging Markets Core Equity Portfolio (1)............ 0.54% 1,535 1,257 1,257
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% -- -- 51
189
(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 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) 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.
(5) 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.
190
(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 0.47% 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 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/Underlying 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/Underlying 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
191
management fee remaining after the proportionate share of the Master/Underlying
Funds' management 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/Underlying 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 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/Underlying 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/Underlying 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/Underlying 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
192
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/Underlying 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.
(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
193
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 generally less than one basis point of each
Portfolio's net assets. During the year ended October 31, 2017, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
Enhanced U.S. Large Company Portfolio................ $ 8
Large Cap International Portfolio.................... 402
International Core Equity Portfolio.................. 2,290
DFA International Real Estate Securities Portfolio... 470
DFA International Small Cap Value Portfolio.......... 851
International Vector Equity Portfolio................ 61
International High Relative Profitability Portfolio.. 8
World ex U.S. Targeted Value Portfolio............... 15
World ex U.S. Core Equity Portfolio.................. 145
Emerging Markets Core Equity Portfolio............... 1,907
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2017, the total related amounts paid by the Fund
to the CCO were $303 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statements of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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................ $ 11
U.S. Large Cap Equity Portfolio...................... 10
U.S. Large Cap Value Portfolio....................... 513
U.S. Targeted Value Portfolio........................ 182
U.S. Small Cap Value Portfolio....................... 430
U.S. Core Equity 1 Portfolio......................... 310
U.S. Core Equity 2 Portfolio......................... 409
U.S. Vector Equity Portfolio......................... 110
U.S. Small Cap Portfolio............................. 298
U.S. Micro Cap Portfolio............................. 201
U.S. High Relative Profitability Portfolio........... --*
DFA Real Estate Securities Portfolio................. 193
194
Large Cap International Portfolio.................... $111
International Core Equity Portfolio.................. 395
International Small Company Portfolio................ 331
Global Small Company Portfolio....................... --*
Japanese Small Company Portfolio..................... 14
Asia Pacific Small Company Portfolio................. 9
United Kingdom Small Company Portfolio............... 2
Continental Small Company Portfolio.................. 9
DFA International Real Estate Securities Portfolio... 87
DFA Global Real Estate Securities Portfolio.......... 85
DFA International Small Cap Value Portfolio.......... 462
International Vector Equity Portfolio................ 37
International High Relative Profitability Portfolio.. --*
World ex U.S. Value Portfolio........................ 3
World ex U.S. Targeted Value Portfolio............... 4
World ex U.S. Core Equity Portfolio.................. 19
World Core Equity Portfolio.......................... 4
Selectively Hedged Global Equity Portfolio........... 4
Emerging Markets Portfolio........................... 151
Emerging Markets Small Cap Portfolio................. 134
Emerging Markets Value Portfolio..................... 602
Emerging Markets Core Equity Portfolio............... 409
* Amounts are less than $500.
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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................ $155,401 $131,314 $ 251,994 $ 190,834
U.S. Large Cap Equity Portfolio...................... -- -- 282,550 110,308
U.S. Targeted Value Portfolio........................ -- -- 3,504,187 2,211,537
U.S. Small Cap Value Portfolio....................... -- -- 3,818,928 3,403,460
U.S. Core Equity 1 Portfolio......................... -- -- 3,030,255 625,507
U.S. Core Equity 2 Portfolio......................... -- -- 3,127,021 996,803
U.S. Vector Equity Portfolio......................... -- -- 632,779 454,216
U.S. Small Cap Portfolio............................. -- -- 3,680,593 2,141,958
U.S. Micro Cap Portfolio............................. -- -- 901,923 891,742
U.S. High Relative Profitability Portfolio........... -- -- 130,627 --
DFA Real Estate Securities Portfolio................. -- -- 996,308 93,691
Large Cap International Portfolio.................... -- -- 793,207 411,646
International Core Equity Portfolio.................. -- -- 5,314,722 1,226,825
DFA International Real Estate Securities Portfolio... -- -- 1,319,906 60,620
DFA Global Real Estate Securities Portfolio.......... -- -- 1,794,179 122,190
DFA International Small Cap Value Portfolio.......... -- -- 3,064,079 3,154,788
International Vector Equity Portfolio................ -- -- 294,858 103,411
International High Relative Profitability Portfolio.. -- -- 64,964 1,249
World ex U.S. Targeted Value Portfolio............... -- -- 165,388 63,212
World ex U.S. Core Equity Portfolio.................. -- -- 789,239 88,974
Emerging Markets Core Equity Portfolio............... -- -- 4,810,011 905,023
195
For the year ended October 31, 2017, transactions related to Affiliated
Investment Companies were as follows (amounts in thousands):
NET REALIZED DIVIDEND
GAIN/(LOSS) CHANGE IN INCOME FROM
ON SALES OF UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES
- ---------- ----------- ---------- ------------ ------------- ---------- ------------ -----------
ENHANCED U.S. LARGE
COMPANY PORTFOLIO
DFA Short Term
Investment Fund...... -- $ 58,705 $ 55,678 $ 1 $ (1) $ 3,027 262 $ 20
---------- ----------- ---------- ----- ----- ---------- ------- -------
TOTAL................. -- $ 58,705 $ 55,678 $ 1 $ (1) $ 3,027 262 $ 20
========== =========== ========== ===== ===== ========== ======= =======
U.S. LARGE CAP EQUITY
PORTFOLIO
DFA Short Term
Investment Fund...... $ 46,037 $ 179,364 $ 184,140 -- $ (7) $ 41,253 3,565 $ 345
---------- ----------- ---------- ----- ----- ---------- ------- -------
TOTAL................. $ 46,037 $ 179,364 $ 184,140 -- $ (7) $ 41,253 3,565 $ 345
========== =========== ========== ===== ===== ========== ======= =======
U.S. TARGETED VALUE
PORTFOLIO
DFA Short Term
Investment Fund...... $1,240,541 $ 6,386,480 $5,956,063 $ (1) $(188) $1,670,768 144,393 $14,893
---------- ----------- ---------- ----- ----- ---------- ------- -------
TOTAL................. $1,240,541 $ 6,386,480 $5,956,063 $ (1) $(188) $1,670,768 144,393 $14,893
========== =========== ========== ===== ===== ========== ======= =======
U.S. SMALL CAP VALUE
PORTFOLIO
DFA Short Term
Investment Fund...... $1,802,024 $ 6,928,776 $6,896,311 $ 22 $(217) $1,834,294 158,525 $18,916
---------- ----------- ---------- ----- ----- ---------- ------- -------
TOTAL................. $1,802,024 $ 6,928,776 $6,896,311 $ 22 $(217) $1,834,294 158,525 $18,916
========== =========== ========== ===== ===== ========== ======= =======
U.S. CORE EQUITY 1
PORTFOLIO
DFA Short Term
Investment Fund...... $1,416,231 $ 8,238,839 $8,014,001 $ (35) $(188) $1,640,846 141,807 $17,129
---------- ----------- ---------- ----- ----- ---------- ------- -------
TOTAL................. $1,416,231 $ 8,238,839 $8,014,001 $ (35) $(188) $1,640,846 141,807 $17,129
========== =========== ========== ===== ===== ========== ======= =======
U.S. CORE EQUITY 2
PORTFOLIO
DFA Short Term
Investment Fund...... $1,865,190 $ 8,155,788 $7,729,357 $ 31 $(261) $2,291,391 198,029 $20,619
---------- ----------- ---------- ----- ----- ---------- ------- -------
TOTAL................. $1,865,190 $ 8,155,788 $7,729,357 $ 31 $(261) $2,291,391 198,029 $20,619
========== =========== ========== ===== ===== ========== ======= =======
U.S. VECTOR EQUITY
PORTFOLIO
DFA Short Term
Investment Fund...... $ 509,342 $ 1,890,875 $1,827,962 $ 5 $ (57) $ 572,203 49,451 $ 5,509
---------- ----------- ---------- ----- ----- ---------- ------- -------
TOTAL................. $ 509,342 $ 1,890,875 $1,827,962 $ 5 $ (57) $ 572,203 49,451 $ 5,509
========== =========== ========== ===== ===== ========== ======= =======
U.S. SMALL CAP
PORTFOLIO
DFA Short Term
Investment Fund...... $2,565,605 $10,291,293 $9,273,767 $(107) $(345) $3,582,679 309,626 $32,487
---------- ----------- ---------- ----- ----- ---------- ------- -------
TOTAL................. $2,565,605 $10,291,293 $9,273,767 $(107) $(345) $3,582,679 309,626 $32,487
========== =========== ========== ===== ===== ========== ======= =======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
- -------------
ENHANCED U.S. LARGE
COMPANY PORTFOLIO
DFA Short Term
Investment Fund...... --
--
TOTAL................. --
==
U.S. LARGE CAP EQUITY
PORTFOLIO
DFA Short Term
Investment Fund...... --
--
TOTAL................. --
==
U.S. TARGETED VALUE
PORTFOLIO
DFA Short Term
Investment Fund...... --
--
TOTAL................. --
==
U.S. SMALL CAP VALUE
PORTFOLIO
DFA Short Term
Investment Fund...... --
--
TOTAL................. --
==
U.S. CORE EQUITY 1
PORTFOLIO
DFA Short Term
Investment Fund...... --
--
TOTAL................. --
==
U.S. CORE EQUITY 2
PORTFOLIO
DFA Short Term
Investment Fund...... --
--
TOTAL................. --
==
U.S. VECTOR EQUITY
PORTFOLIO
DFA Short Term
Investment Fund...... --
--
TOTAL................. --
==
U.S. SMALL CAP
PORTFOLIO
DFA Short Term
Investment Fund...... --
--
TOTAL................. --
==
196
NET REALIZED DIVIDEND
GAIN/(LOSS) CHANGE IN INCOME FROM
ON SALES OF UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
U.S. MICRO CAP
PORTFOLIO
DFA Short Term
Investment Fund......... $ 804,805 $2,986,300 $2,703,756 $ 12 $(105) $1,087,256 93,964 $ 8,676
---------- ---------- ---------- ---- ----- ---------- ------- -------
TOTAL.................... $ 804,805 $2,986,300 $2,703,756 $ 12 $(105) $1,087,256 93,964 $ 8,676
========== ========== ========== ==== ===== ========== ======= =======
U.S. HIGH RELATIVE
PROFITABILITY PORTFOLIO
DFA Short Term
Investment Fund......... -- $ 30,332 $ 22,318 $ (1) $ (1) $ 8,012 692 $ 28
---------- ---------- ---------- ---- ----- ---------- ------- -------
TOTAL.................... -- $ 30,332 $ 22,318 $ (1) $ (1) $ 8,012 692 $ 28
========== ========== ========== ==== ===== ========== ======= =======
DFA REAL ESTATE
SECURITIES PORTFOLIO
DFA Short Term
Investment Fund......... $ 461,557 $3,026,892 $3,071,363 $(67) $ (61) $ 416,958 36,035 $ 5,244
---------- ---------- ---------- ---- ----- ---------- ------- -------
TOTAL.................... $ 461,557 $3,026,892 $3,071,363 $(67) $ (61) $ 416,958 36,035 $ 5,244
========== ========== ========== ==== ===== ========== ======= =======
LARGE CAP INTERNATIONAL
PORTFOLIO
DFA Short Term
Investment Fund......... $ 207,774 $1,495,874 $1,429,941 $ 51 $ (72) $ 273,686 23,653 $ 2,322
---------- ---------- ---------- ---- ----- ---------- ------- -------
TOTAL.................... $ 207,774 $1,495,874 $1,429,941 $ 51 $ (72) $ 273,686 23,653 $ 2,322
========== ========== ========== ==== ===== ========== ======= =======
INTERNATIONAL CORE
EQUITY PORTFOLIO
DFA Short Term
Investment Fund......... $1,236,638 $5,405,700 $4,931,321 $ 10 $(168) $1,710,859 147,858 $15,665
---------- ---------- ---------- ---- ----- ---------- ------- -------
TOTAL.................... $1,236,638 $5,405,700 $4,931,321 $ 10 $(168) $1,710,859 147,858 $15,665
========== ========== ========== ==== ===== ========== ======= =======
GLOBAL SMALL COMPANY
PORTFOLIO
U.S. Small Cap
Portfolio............... -- $ 7,263 $ 201 $ (6) $ 517 $ 7,573 208 --
---------- ---------- ---------- ---- ----- ---------- ------- -------
TOTAL.................... -- $ 7,263 $ 201 $ (6) $ 517 $ 7,573 208 --
========== ========== ========== ==== ===== ========== ======= =======
DFA INTERNATIONAL REAL
ESTATE SECURITIES
PORTFOLIO
DFA Short Term
Investment Fund......... $ 157,926 $2,280,745 $2,253,075 $ 21 $ (17) $ 185,600 16,040 $ 1,784
---------- ---------- ---------- ---- ----- ---------- ------- -------
TOTAL.................... $ 157,926 $2,280,745 $2,253,075 $ 21 $ (17) $ 185,600 16,040 $ 1,784
========== ========== ========== ==== ===== ========== ======= =======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
- -------------
U.S. MICRO CAP
PORTFOLIO
DFA Short Term
Investment Fund......... --
--
TOTAL.................... --
==
U.S. HIGH RELATIVE
PROFITABILITY PORTFOLIO
DFA Short Term
Investment Fund......... --
--
TOTAL.................... --
==
DFA REAL ESTATE
SECURITIES PORTFOLIO
DFA Short Term
Investment Fund......... --
--
TOTAL.................... --
==
LARGE CAP INTERNATIONAL
PORTFOLIO
DFA Short Term
Investment Fund......... --
--
TOTAL.................... --
==
INTERNATIONAL CORE
EQUITY PORTFOLIO
DFA Short Term
Investment Fund......... --
--
TOTAL.................... --
==
GLOBAL SMALL COMPANY
PORTFOLIO
U.S. Small Cap
Portfolio............... --
--
TOTAL.................... --
==
DFA INTERNATIONAL REAL
ESTATE SECURITIES
PORTFOLIO
DFA Short Term
Investment Fund......... --
--
TOTAL.................... --
==
197
NET REALIZED DIVIDEND
GAIN/(LOSS) CHANGE IN INCOME FROM
ON SALES OF UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
DFA GLOBAL REAL ESTATE
SECURITIES PORTFOLIO
DFA International Real
Estate Securities
Portfolio.............. $1,678,314 $ 777,401 $ 53,675 $(9,418) $(24,134) $2,368,488 467,157 $132,577
DFA Real Estate
Securities Portfolio... 1,619,318 -- 66,594 11,583 19,068 1,583,375 45,252 59,893
DFA Short Term
Investment Fund........ 34,028 1,172,717 1,098,902 13 (16) 107,840 9,320 1,472
---------- ---------- ---------- ------- -------- ---------- ------- --------
TOTAL................... $3,331,660 $1,950,118 $1,219,171 $ 2,178 $ (5,082) $4,059,703 521,729 $193,942
========== ========== ========== ======= ======== ========== ======= ========
DFA INTERNATIONAL
SMALL CAP VALUE
PORTFOLIO
DFA Short Term
Investment Fund........ $ 947,513 $2,806,301 $2,843,689 $ 14 $ (118) $ 910,021 78,647 $ 8,511
---------- ---------- ---------- ------- -------- ---------- ------- --------
TOTAL................... $ 947,513 $2,806,301 $2,843,689 $ 14 $ (118) $ 910,021 78,647 $ 8,511
========== ========== ========== ======= ======== ========== ======= ========
INTERNATIONAL VECTOR
EQUITY PORTFOLIO
DFA Short Term
Investment Fund........ $ 144,254 $ 529,862 $ 504,875 $ (1) $ (16) $ 169,224 14,625 $ 1,692
---------- ---------- ---------- ------- -------- ---------- ------- --------
TOTAL................... $ 144,254 $ 529,862 $ 504,875 $ (1) $ (16) $ 169,224 14,625 $ 1,692
========== ========== ========== ======= ======== ========== ======= ========
WORLD EX U.S. VALUE
PORTFOLIO
DFA International Small
Cap Value Portfolio.... $ 20,452 $ 4,118 $ 4,328 $ 599 $ 3,983 $ 24,824 1,056 $ 307
---------- ---------- ---------- ------- -------- ---------- ------- --------
TOTAL................... $ 20,452 $ 4,118 $ 4,328 $ 599 $ 3,983 $ 24,824 1,056 $ 307
========== ========== ========== ======= ======== ========== ======= ========
INTERNATIONAL HIGH
RELATIVE PROFITABILITY
PORTFOLIO
DFA Short Term
Investment Fund........ -- $ 6,869 $ 4,926 -- -- $ 1,943 168 $ 4
---------- ---------- ---------- ------- -------- ---------- ------- --------
TOTAL................... -- $ 6,869 $ 4,926 -- -- $ 1,943 168 $ 4
========== ========== ========== ======= ======== ========== ======= ========
WORLD EX U.S. TARGETED
VALUE PORTFOLIO
DFA Short Term
Investment Fund........ $ 7,145 $ 26,018 $ 25,989 -- $ (1) $ 7,173 620 $ 80
---------- ---------- ---------- ------- -------- ---------- ------- --------
TOTAL................... $ 7,145 $ 26,018 $ 25,989 -- $ (1) $ 7,173 620 $ 80
========== ========== ========== ======= ======== ========== ======= ========
WORLD EX U.S. CORE
EQUITY PORTFOLIO
DFA Short Term
Investment Fund........ $ 101,533 $ 431,733 $ 375,223 $ (4) $ (14) $ 158,025 13,657 $ 1,344
---------- ---------- ---------- ------- -------- ---------- ------- --------
TOTAL................... $ 101,533 $ 431,733 $ 375,223 $ (4) $ (14) $ 158,025 13,657 $ 1,344
========== ========== ========== ======= ======== ========== ======= ========
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
- -------------
DFA GLOBAL REAL ESTATE
SECURITIES PORTFOLIO
DFA International Real
Estate Securities
Portfolio.............. --
DFA Real Estate
Securities Portfolio... $14,569
DFA Short Term
Investment Fund........ --
-------
TOTAL................... $14,569
=======
DFA INTERNATIONAL
SMALL CAP VALUE
PORTFOLIO
DFA Short Term
Investment Fund........ --
-------
TOTAL................... --
=======
INTERNATIONAL VECTOR
EQUITY PORTFOLIO
DFA Short Term
Investment Fund........ --
-------
TOTAL................... --
=======
WORLD EX U.S. VALUE
PORTFOLIO
DFA International Small
Cap Value Portfolio.... $ 653
-------
TOTAL................... $ 653
=======
INTERNATIONAL HIGH
RELATIVE PROFITABILITY
PORTFOLIO
DFA Short Term
Investment Fund........ --
-------
TOTAL................... --
=======
WORLD EX U.S. TARGETED
VALUE PORTFOLIO
DFA Short Term
Investment Fund........ --
-------
TOTAL................... --
=======
WORLD EX U.S. CORE
EQUITY PORTFOLIO
DFA Short Term
Investment Fund........ --
-------
TOTAL................... --
=======
198
NET REALIZED DIVIDEND
GAIN/(LOSS) CHANGE IN INCOME FROM
ON SALES OF UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
WORLD CORE EQUITY
PORTFOLIO
U.S. Core Equity 1
Portfolio................ $ 189,060 $ 55,601 $ 13,071 $ 286 $44,562 $ 276,439 12,560 $ 3,882
International Core Equity
Portfolio................ 137,648 40,523 8,913 (506) 34,752 203,505 14,301 4,119
Emerging Markets Core
Equity Portfolio......... 43,388 15,263 2,825 (198) 10,771 66,399 2,967 1,032
---------- ---------- ---------- ----- ------- ---------- ------ -------
TOTAL..................... $ 370,096 $ 111,387 $ 24,809 $(418) $90,085 $ 546,343 29,828 $ 9,033
========== ========== ========== ===== ======= ========== ====== =======
SELECTIVELY HEDGED
GLOBAL EQUITY
PORTFOLIO
U.S. Core Equity 2
Portfolio................ $ 124,577 $ 22,730 $ 9,742 $ 27 $27,519 $ 165,111 7,900 $ 2,341
International Core Equity
Portfolio................ 101,000 21,917 8,172 (269) 24,741 139,217 9,783 3,019
Emerging Markets Core
Equity Portfolio......... 50,601 14,544 3,862 (313) 12,379 73,349 3,277 1,214
---------- ---------- ---------- ----- ------- ---------- ------ -------
TOTAL..................... $ 276,178 $ 59,191 $ 21,776 $(555) $64,639 $ 377,677 20,960 $ 6,574
========== ========== ========== ===== ======= ========== ====== =======
EMERGING MARKETS
CORE EQUITY PORTFOLIO
DFA Short Term
Investment Fund.......... $1,040,128 $2,622,820 $2,560,276 $ (17) $ (115) $1,102,540 95,285 $10,555
---------- ---------- ---------- ----- ------- ---------- ------ -------
TOTAL..................... $1,040,128 $2,622,820 $2,560,276 $ (17) $ (115) $1,102,540 95,285 $10,555
========== ========== ========== ===== ======= ========== ====== =======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
- -------------
WORLD CORE EQUITY
PORTFOLIO
U.S. Core Equity 1
Portfolio................ $898
International Core Equity
Portfolio................ --
Emerging Markets Core
Equity Portfolio......... --
----
TOTAL..................... $898
====
SELECTIVELY HEDGED
GLOBAL EQUITY
PORTFOLIO
U.S. Core Equity 2
Portfolio................ $894
International Core Equity
Portfolio................ --
Emerging Markets Core
Equity Portfolio......... --
----
TOTAL..................... $894
====
EMERGING MARKETS
CORE EQUITY PORTFOLIO
DFA Short Term
Investment Fund.......... --
----
TOTAL..................... --
====
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, 2017, 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. $ 4,608 $ (498) $ (4,110)
U.S. Large Cap Equity Portfolio....... 198 (258) 60
U.S. Large Cap Value Portfolio........ 74,099 (19,689) (54,410)
199
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
U.S. Targeted Value Portfolio....................... $ 40,176 $ (7,005) $ (33,171)
U.S. Small Cap Value Portfolio...................... 136,659 (8,319) (128,340)
U.S. Core Equity 1 Portfolio........................ 9,544 (7,787) (1,757)
U.S. Core Equity 2 Portfolio........................ 13,485 (8,989) (4,496)
U.S. Vector Equity Portfolio........................ 13,226 (3,672) (9,554)
U.S. Small Cap Portfolio............................ 172,430 (8,638) (163,792)
U.S. Micro Cap Portfolio............................ 16,818 (2,006) (14,812)
U.S. High Relative Profitability Portfolio.......... -- -- --
DFA Real Estate Securities Portfolio................ 2,632 34,600 (37,232)
Large Cap International Portfolio................... (21,950) 273 21,677
International Core Equity Portfolio................. (38,149) (9,102) 47,251
International Small Company Portfolio............... 42,965 (10,293) (32,672)
Global Small Company Portfolio...................... -- 9 (9)
Japanese Small Company Portfolio.................... -- (100) 100
Asia Pacific Small Company Portfolio................ (8,261) 684 7,577
United Kingdom Small Company Portfolio.............. 154 (64) (90)
Continental Small Company Portfolio................. 141 153 (294)
DFA International Real Estate Securities Portfolio.. (28,670) (3,353) 32,023
DFA Global Real Estate Securities Portfolio......... 2,758 (2,921) 163
DFA International Small Cap Value Portfolio......... 129,331 7,568 (136,899)
International Vector Equity Portfolio............... 2,390 (1,836) (554)
International High Relative Profitability Portfolio. -- 19 (19)
World ex U.S. Value Portfolio....................... --* 92 (92)
World ex U.S. Targeted Value Portfolio.............. 532 425 (957)
World ex U.S. Core Equity Portfolio................. 1,985 (1,439) (546)
World Core Equity Portfolio......................... 93 38 (131)
Selectively Hedged Global Equity Portfolio.......... 439 (1,708) 1,269
Emerging Markets Portfolio.......................... 5,817 (5,374) (443)
Emerging Markets Small Cap Portfolio................ 20,127 (4,851) (15,276)
Emerging Markets Value Portfolio.................... 39,329 (2,115) (37,214)
Emerging Markets Core Equity Portfolio.............. (7,524) (20,063) 27,587
* Amounts are less than $500.
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2016 and October 31, 2017 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
2016.................................. $ 4,946 $ 9,801 $ 14,747
2017.................................. 5,224 4,088 9,312
U.S. Large Cap Equity Portfolio
2016.................................. 14,431 -- 14,431
2017.................................. 18,564 -- 18,564
U.S. Large Cap Value Portfolio
2016.................................. 357,227 643,970 1,001,197
2017.................................. 403,296 446,577 849,873
U.S. Targeted Value Portfolio
2016.................................. 104,605 286,529 391,134
2017.................................. 121,188 282,318 403,506
200
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
U.S. Small Cap Value Portfolio
2016............................................... $122,984 $487,358 $610,342
2017............................................... 113,837 533,287 647,124
U.S. Core Equity 1 Portfolio
2016............................................... 253,050 160,152 413,202
2017............................................... 310,434 71,615 382,049
U.S. Core Equity 2 Portfolio
2016............................................... 281,321 296,061 577,382
2017............................................... 322,547 122,469 445,016
U.S. Vector Equity Portfolio
2016............................................... 59,624 119,588 179,212
2017............................................... 55,976 101,959 157,935
U.S. Small Cap Portfolio
2016............................................... 135,940 503,185 639,125
2017............................................... 168,390 343,192 511,582
U.S. Micro Cap Portfolio
2016............................................... 43,406 267,830 311,236
2017............................................... 43,959 255,837 299,796
U.S. High Relative Profitability Portfolio
2017............................................... 541 -- 541
DFA Real Estate Securities Portfolio
2016............................................... 199,996 -- 199,996
2017............................................... 193,286 90,576 283,862
Large Cap International Portfolio
2016............................................... 92,122 -- 92,122
2017............................................... 111,606 -- 111,606
International Core Equity Portfolio
2016............................................... 387,589 -- 387,589
2017............................................... 533,126 -- 533,126
International Small Company Portfolio
2016............................................... 283,791 207,859 491,650
2017............................................... 224,540 251,076 475,616
Global Small Company Portfolio
2017............................................... -- -- --
Japanese Small Company Portfolio
2016............................................... 6,534 -- 6,534
2017............................................... 9,568 -- 9,568
Asia Pacific Small Company Portfolio...............
2016............................................... 7,760 -- 7,760
2017............................................... 8,894 -- 8,894
United Kingdom Small Company Portfolio
2016............................................... 1,389 1,632 3,021
2017............................................... 1,322 1,684 3,006
Continental Small Company Portfolio
2016............................................... 6,377 -- 6,377
2017............................................... 7,715 -- 7,715
DFA International Real Estate Securities Portfolio
2016............................................... 60,576 -- 60,576
2017............................................... 326,892 -- 326,892
201
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
DFA Global Real Estate Securities Portfolio
2016................................................ $ 97,767 -- $ 97,767
2017................................................ 224,755 $ 18,247 243,002
DFA International Small Cap Value Portfolio
2016................................................ 381,199 182,540 563,739
2017................................................ 199,261 410,189 609,450
International Vector Equity Portfolio
2016................................................ 43,651 5,716 49,367
2017................................................ 50,390 4,041 54,431
International High Relative Profitability Portfolio
2017................................................ 299 -- 299
World ex U.S. Value Portfolio
2016................................................ 5,358 -- 5,358
2017................................................ 4,532 -- 4,532
World ex U.S. Targeted Value Portfolio
2016................................................ 4,374 -- 4,374
2017................................................ 7,684 -- 7,684
World ex U.S. Core Equity Portfolio
2016................................................ 36,005 -- 36,005
2017................................................ 52,690 -- 52,690
World Core Equity Portfolio
2016................................................ 5,800 132 5,932
2017................................................ 9,033 1,231 10,264
Selectively Hedged Global Equity Portfolio
2016................................................ 6,448 620 7,068
2017................................................ 6,737 2,369 9,106
Emerging Markets Portfolio
2016................................................ 89,527 -- 89,527
2017................................................ 107,522 -- 107,522
Emerging Markets Small Cap Portfolio
2016................................................ 124,387 36,697 161,084
2017................................................ 157,661 117,099 274,760
Emerging Markets Value Portfolio
2016................................................ 439,072 -- 439,072
2017................................................ 340,613 -- 340,613
Emerging Markets Core Equity Portfolio
2016................................................ 349,434 -- 349,434
2017................................................ 449,166 -- 449,166
The U.S. and International High Relative Profitability Portfolios commenced
operations on May 16, 2017, and did not pay any distributions for the year
ended October 31, 2016.
Global Small Company Portfolio commenced operations on January 18, 2017, and
did not pay any distributions for the year ended October 31, 2016.
202
At October 31, 2017, 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............... $ (2,039) $ (2,569) $ (4,608)
U.S. Large Cap Equity Portfolio..................... (198) -- (198)
U.S. Large Cap Value Portfolio...................... (21,790) (52,309) (74,099)
U.S. Targeted Value Portfolio....................... (9,256) (30,921) (40,177)
U.S. Small Cap Value Portfolio...................... (10,924) (46,760) (57,684)
U.S. Core Equity 1 Portfolio........................ (6,739) (2,674) (9,413)
U.S. Core Equity 2 Portfolio........................ (8,025) (5,460) (13,485)
U.S. Vector Equity Portfolio........................ (3,379) (9,846) (13,225)
U.S. Small Cap Portfolio............................ (11,508) (36,106) (47,614)
U.S. Micro Cap Portfolio............................ (3,275) (13,543) (16,818)
U.S. High Relative Profitability Portfolio.......... -- -- --
DFA Real Estate Securities Portfolio................ (2,708) (230) (2,938)
Large Cap International Portfolio................... (829) -- (829)
International Core Equity Portfolio................. (15,027) -- (15,027)
International Small Company Portfolio............... (21,090) (21,876) (42,966)
Global Small Company Portfolio...................... -- -- --
Japanese Small Company Portfolio.................... -- -- --
Asia Pacific Small Company Portfolio................ -- -- --
United Kingdom Small Company Portfolio.............. (74) (80) (154)
Continental Small Company Portfolio................. (50) (91) (141)
DFA International Real Estate Securities Portfolio.. (5,907) -- (5,907)
DFA Global Real Estate Securities Portfolio......... (2,321) (437) (2,758)
DFA International Small Cap Value Portfolio......... (23,859) (26,770) (50,629)
International Vector Equity Portfolio............... (2,058) (332) (2,390)
International High Relative Profitability Portfolio. -- -- --
World ex U.S. Value Portfolio....................... -- -- --
World ex U.S. Targeted Value Portfolio.............. (262) (269) (531)
World ex U.S. Core Equity Portfolio................. (1,985) -- (1,985)
World Core Equity Portfolio......................... (47) (46) (93)
Selectively Hedged Global Equity Portfolio.......... (306) (133) (439)
Emerging Markets Portfolio.......................... (5,817) -- (5,817)
Emerging Markets Small Cap Portfolio................ (10,394) (7,275) (17,669)
Emerging Markets Value Portfolio.................... (27,950) -- (27,950)
Emerging Markets Core Equity Portfolio.............. (18,920) -- (18,920)
At October 31, 2017, 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..................... $21,136 $ 29,522 -- $ (1,054) $ 49,604
U.S. Large Cap Equity Portfolio. 1,216 -- $(10,499) 253,829 244,546
U.S. Large Cap Value Portfolio.. 67,582 1,084,234 -- 7,253,139 8,404,955
203
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
U.S. Targeted Value Portfolio............. $ 27,251 $435,620 -- $2,203,558 $2,666,429
U.S. Small Cap Value Portfolio............ 55,297 653,830 -- 4,322,729 5,031,856
U.S. Core Equity 1 Portfolio.............. 17,497 116,819 -- 6,974,127 7,108,443
U.S. Core Equity 2 Portfolio.............. 20,148 214,751 -- 7,931,547 8,166,446
U.S. Vector Equity Portfolio.............. 921 164,689 -- 1,601,795 1,767,405
U.S. Small Cap Portfolio.................. 44,037 608,200 -- 4,408,031 5,060,268
U.S. Micro Cap Portfolio.................. 23,257 260,406 -- 2,396,065 2,679,728
U.S. High Relative Profitability
Portfolio............................... 131 -- $ (353) 9,519 9,297
DFA Real Estate Securities Portfolio...... 53,259 20,141 -- 2,204,331 2,277,731
Large Cap International Portfolio......... 22,633 -- (26,861) 814,190 809,962
International Core Equity Portfolio....... 170,408 -- (304,819) 4,690,734 4,556,323
International Small Company
Portfolio............................... 219,245 375,722 -- 2,697,226 3,292,193
Global Small Company Portfolio............ 202 81 -- 1,247 1,530
Japanese Small Company Portfolio.......... 15,452 -- (3,708) 153,281 165,025
Asia Pacific Small Company Portfolio...... 11,507 -- (4,719) 3,771 10,559
United Kingdom Small Company
Portfolio............................... 552 1,572 -- 9,300 11,424
Continental Small Company Portfolio....... 1,366 4,962 -- 130,686 137,014
DFA International Real Estate Securities
Portfolio............................... 199,831 -- (169,753) (341,763) (311,685)
DFA Global Real Estate Securities
Portfolio............................... 60,421 43,337 -- 686,809 790,567
DFA International Small Cap Value
Portfolio............................... 323,970 477,826 -- 3,410,837 4,212,633
International Vector Equity Portfolio..... 23,629 10,130 -- 531,440 565,199
International High Relative Profitability
Portfolio............................... 146 -- (236) 3,719 3,629
World ex U.S. Value Portfolio............. 2,801 -- (226) 38,977 41,552
World ex U.S. Targeted Value
Portfolio............................... 1,430 8,307 -- 78,970 88,707
World ex U.S. Core Equity Portfolio....... 17,340 -- (5,291) 422,270 434,319
World Core Equity Portfolio............... -- 1,076 -- 88,330 89,406
Selectively Hedged Global Equity
Portfolio............................... 5,442 3,086 -- 75,594 84,122
Emerging Markets Portfolio................ 30,263 -- (222,047) 2,145,848 1,954,064
Emerging Markets Small Cap
Portfolio............................... 114,626 145,192 -- 1,028,031 1,287,849
Emerging Markets Value Portfolio.......... 215,411 -- (1,338,720) 2,456,083 1,332,774
Emerging Markets Core Equity
Portfolio............................... 124,552 -- (832,542) 5,300,099 4,592,109
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
204
enactment. As of October 31, 2017, the Portfolios had the following capital
loss carryforwards available to offset future realized capital gains through
October 31 of the indicated expiration dates, as applicable (amounts in
thousands):
2018 2019 2020 UNLIMITED TOTAL
------- ------- ------ ---------- ----------
Enhanced U.S. Large Company Portfolio............... -- -- -- -- --
U.S. Large Cap Equity Portfolio..................... -- -- -- $ 10,499 $ 10,499
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............................ -- -- -- -- --
U.S. High Relative Profitability Portfolio.......... -- -- -- 353 353
DFA Real Estate Securities Portfolio................ -- -- -- -- --
Large Cap International Portfolio................... $14,311 $12,549 -- -- 26,860
International Core Equity Portfolio................. -- -- -- 304,819 304,819
International Small Company Portfolio............... -- -- -- -- --
Global Small Company Portfolio...................... -- -- -- -- --
Japanese Small Company Portfolio.................... -- -- $3,708 -- 3,708
Asia Pacific Small Company Portfolio................ -- -- -- 4,719 4,719
United Kingdom Small Company Portfolio.............. -- -- -- -- --
Continental Small Company Portfolio................. -- -- -- -- --
DFA International Real Estate Securities Portfolio.. 38,689 69,466 -- 61,598 169,753
DFA Global Real Estate Securities Portfolio......... -- -- -- -- --
DFA International Small Cap Value Portfolio......... -- -- -- -- --
International Vector Equity Portfolio............... -- -- -- -- --
International High Relative Profitability Portfolio. -- -- -- 236 236
World ex U.S. Value Portfolio....................... -- 226 -- -- 226
World ex U.S. Targeted Value Portfolio.............. -- -- -- -- --
World ex U.S. Core Equity Portfolio................. -- -- -- 5,291 5,291
World Core Equity Portfolio......................... -- -- -- -- --
Selectively Hedged Global Equity Portfolio.......... -- -- -- -- --
Emerging Markets Portfolio.......................... -- -- -- 222,047 222,047
Emerging Markets Small Cap Portfolio................ -- -- -- -- --
Emerging Markets Value Portfolio.................... -- -- -- 1,338,720 1,338,720
Emerging Markets Core Equity Portfolio.............. -- -- -- 832,542 832,542
During the year ended October 31, 2017, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
U.S. Large Cap Equity Portfolio........ $ 565
Large Cap International Portfolio...... 159,888
International Core Equity Portfolio.... 4,549
Japanese Small Company Portfolio....... 27,939
Asia Pacific Small Company Portfolio... 8,833
Continental Small Company Portfolio.... 10,132
World ex U.S. Value Portfolio.......... 2,457
World ex U.S. Targeted Value Portfolio. 8,263
World ex U.S. Core Equity Portfolio.... 6,772
205
At October 31, 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............... $ 335,890 $ 15,666 $ (16,720) $ (1,054)
U.S. Large Cap Equity Portfolio..................... 1,001,601 283,591 (29,762) 253,829
U.S. Large Cap Value Portfolio...................... 16,480,473 7,253,139 -- 7,253,139
U.S. Targeted Value Portfolio....................... 10,241,042 2,751,920 (548,362) 2,203,558
U.S. Small Cap Value Portfolio...................... 12,679,577 5,047,593 (724,864) 4,322,729
U.S. Core Equity 1 Portfolio........................ 15,449,180 7,517,870 (543,743) 6,974,127
U.S. Core Equity 2 Portfolio........................ 16,865,408 8,661,166 (729,619) 7,931,547
U.S. Vector Equity Portfolio........................ 3,696,177 1,851,442 (249,647) 1,601,795
U.S. Small Cap Portfolio............................ 16,126,378 5,195,657 (787,627) 4,408,030
U.S. Micro Cap Portfolio............................ 4,989,611 2,687,566 (291,501) 2,396,065
U.S. High Relative Profitability Portfolio.......... 140,101 12,404 (2,886) 9,518
DFA Real Estate Securities Portfolio................ 6,464,213 2,411,959 (207,628) 2,204,331
Large Cap International Portfolio................... 4,097,767 1,083,975 (269,785) 814,190
International Core Equity Portfolio................. 22,172,388 6,083,614 (1,392,880) 4,690,734
International Small Company Portfolio............... 10,655,424 2,697,226 -- 2,697,226
Global Small Company Portfolio...................... 13,755 1,247 -- 1,247
Japanese Small Company Portfolio.................... 494,939 153,281 -- 153,281
Asia Pacific Small Company Portfolio................ 328,449 3,771 -- 3,771
United Kingdom Small Company Portfolio.............. 35,902 9,300 -- 9,300
Continental Small Company Portfolio................. 461,529 130,686 -- 130,686
DFA International Real Estate Securities Portfolio.. 5,945,980 2,620 (344,383) (341,763)
DFA Global Real Estate Securities Portfolio......... 6,166,561 820,566 (133,756) 686,810
DFA International Small Cap Value Portfolio......... 13,426,467 4,403,135 (992,298) 3,410,837
International Vector Equity Portfolio............... 2,143,938 688,890 (157,449) 531,441
International High Relative Profitability Portfolio. 65,512 5,113 (1,394) 3,719
World ex U.S. Value Portfolio....................... 207,580 38,977 -- 38,977
World ex U.S. Targeted Value Portfolio.............. 391,177 96,516 (17,546) 78,970
World ex U.S. Core Equity Portfolio................. 2,532,100 535,799 (113,529) 422,270
World Core Equity Portfolio......................... 458,310 88,330 -- 88,330
Selectively Hedged Global Equity Portfolio.......... 304,513 75,832 (238) 75,594
Emerging Markets Portfolio.......................... 4,494,072 2,145,848 -- 2,145,848
Emerging Markets Small Cap Portfolio................ 6,223,610 1,028,031 -- 1,028,031
Emerging Markets Value Portfolio.................... 16,967,942 2,456,083 -- 2,456,083
Emerging Markets Core Equity Portfolio.............. 22,621,998 7,407,610 (2,107,512) 5,300,098
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 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 the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
206
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
YEAR ENDED YEAR ENDED
OCT. 31, 2017 OCT. 31, 2016
--------------------- ---------------------
AMOUNT SHARES AMOUNT SHARES
----------- -------- ----------- --------
U.S. TARGETED VALUE PORTFOLIO
Class R1 Shares
Shares Issued........................................ $ 24,436 1,012 $ 10,885 541
Shares Issued in Lieu of Cash Distributions.......... 1,891 78 2,087 104
Shares Redeemed...................................... (13,915) (583) (16,510) (828)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R1 Shares............. $ 12,412 507 $ (3,538) (183)
=========== ======== =========== ========
Class R2 Shares
Shares Issued........................................ $ 59,748 2,511 $ 55,695 2,692
Shares Issued in Lieu of Cash Distributions.......... 7,083 293 7,874 394
Shares Redeemed...................................... (83,900) (3,530) (48,930) (2,390)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............. $ (17,069) (726) $ 14,639 696
=========== ======== =========== ========
Institutional Class Shares
Shares Issued........................................ $ 2,997,263 124,486 $ 1,922,986 96,220
Shares Issued in Lieu of Cash Distributions.......... 364,240 15,012 353,719 17,629
Shares Redeemed...................................... (2,200,921) (91,872) (1,368,182) (67,152)
----------- -------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares.. $ 1,160,582 47,626 $ 908,523 46,697
=========== ======== =========== ========
EMERGING MARKETS VALUE PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 21,637 832 $ 26,972 1,227
Shares Issued in Lieu of Cash Distributions.......... 847 33 2,365 110
Shares Redeemed...................................... (100,936) (3,793) (15,075) (714)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............. $ (78,452) (2,928) $ 14,262 623
=========== ======== =========== ========
Institutional Class Shares
Shares Issued........................................ $ 2,437,845 90,088 $ 2,794,365 131,949
Shares Issued in Lieu of Cash Distributions.......... 321,969 11,684 413,784 19,201
Shares Redeemed...................................... (3,240,359) (118,738) (3,524,430) (162,649)
----------- -------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares.. $ (480,545) (16,966) $ (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/Underlying 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.
207
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.
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 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.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2017 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- --------
Enhanced U.S. Large Company Portfolio................ $6,510 $265,426
U.S. Large Cap Equity Portfolio...................... -- 275
U.S. Targeted Value Portfolio........................ -- 93,220
U.S. Small Cap Value Portfolio....................... -- 151,851
U.S. Core Equity 1 Portfolio......................... -- 132,849
U.S. Core Equity 2 Portfolio......................... -- 156,670
U.S. Vector Equity Portfolio......................... -- 28,428
U.S. Small Cap Portfolio............................. -- 157,726
U.S. Micro Cap Portfolio............................. -- 50,555
DFA Real Estate Securities Portfolio................. -- 57,493
208
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- --------
Large Cap International Portfolio.................... -- $ 33,612
International Core Equity Portfolio.................. -- 171,561
International Small Company Portfolio................ -- 83,497
DFA International Real Estate Securities Portfolio... -- 36,753
DFA Global Real Estate Securities Portfolio.......... -- 3,924
DFA International Small Cap Value Portfolio.......... -- 113,162
International Vector Equity Portfolio................ -- 557
International High Relative Profitability Portfolio.. -- 113
Selectively Hedged Global Equity Portfolio........... $175,952 19,378
Emerging Markets Core Equity Portfolio............... -- 188,864
Securities have been segregated as collateral for open futures contracts.
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of October 31, 2017:
LOCATION ON THE STATEMENTS OF ASSETS AND
LIABILITIES
---------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------------ ------------------------
Forward currency 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 October 31, 2017 (amounts in
thousands):
ASSET DERIVATIVES VALUE
-------------------------------------
TOTAL VALUE FORWARD
AT CURRENCY EQUITY
OCTOBER 31, 2017 CONTRACTS CONTRACTS*
---------------- --------- ----------
Enhanced U.S. Large Company Portfolio................ $15,438 $ 896 $14,542
U.S. Targeted Value Portfolio........................ 900 -- 900
U.S. Small Cap Value Portfolio....................... 5,338 -- 5,338
U.S. Core Equity 1 Portfolio......................... 6,810 -- 6,810
U.S. Core Equity 2 Portfolio......................... 7,582 -- 7,582
U.S. Small Cap Portfolio............................. 5,834 -- 5,834
U.S. Micro Cap Portfolio............................. 933 -- 933
DFA Real Estate Securities Portfolio................. 2,343 -- 2,343
Large Cap International Portfolio.................... 1,011 -- 1,011
International Core Equity Portfolio.................. 8,915 -- 8,915
International Small Company Portfolio................ 2,910 -- 2,910
DFA International Real Estate Securities Portfolio... 450 -- 450
DFA International Small Cap Value Portfolio.......... 5,949 -- 5,949
Selectively Hedged Global Equity Portfolio........... 2,668 1,662 1,006
Emerging Markets Core Equity Portfolio............... 5,887 -- 5,887
LIABILITY DERIVATIVES VALUE
-------------------------------------
TOTAL VALUE FORWARD
AT CURRENCY EQUITY
OCTOBER 31, 2017 CONTRACTS CONTRACTS*
---------------- --------- ----------
Selectively Hedged Global Equity Portfolio........... $ (238) $ (238) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
209
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings through the year ended October 31,
2017:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Forward currency contracts Net Realized Gain (Loss) on: Forward Currency Contracts
Change in Unrealized Appreciation (Depreciation) of:
Forward Currency Contracts
Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized
Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio................ $39,027 $ (132) $39,159
U.S. Large Cap Equity Portfolio...................... 9 -- 9*
U.S. Large Cap Value Portfolio....................... 18,720 -- 18,720*(1)
U.S. Targeted Value Portfolio........................ 17,659 -- 17,659
U.S. Small Cap Value Portfolio....................... 26,310 -- 26,310
U.S. Core Equity 1 Portfolio......................... 15,613 -- 15,613
U.S. Core Equity 2 Portfolio......................... 19,381 -- 19,381
U.S. Vector Equity Portfolio......................... 5,443 -- 5,443*
U.S. Small Cap Portfolio............................. 18,310 -- 18,310
U.S. Micro Cap Portfolio............................. 9,052 -- 9,052
U.S. High Relative Profitability Portfolio........... (394) -- (394)*
DFA Real Estate Securities Portfolio................. 8,131 -- 8,131
Large Cap International Portfolio.................... 4,534 -- 4,534
International Core Equity Portfolio.................. 22,487 -- 22,487
International Small Company Portfolio................ 11,549 -- 11,549(1)
Global Small Company Portfolio....................... 1 -- 1*(1)
DFA International Real Estate Securities Portfolio... 6,597 -- 6,597
DFA Global Real Estate Securities Portfolio.......... 149 -- 149*
DFA International Small Cap Value Portfolio.......... 14,572 -- 14,572
International Vector Equity Portfolio................ 158 -- 158*
International High Relative Profitability Portfolio.. (72) -- (72)*
World ex U.S. Value Portfolio........................ 262 -- 262*(1)
World ex U.S. Core Equity Portfolio.................. 68 -- 68*
Selectively Hedged Global Equity Portfolio........... 932 (1,466) 2,398
Emerging Markets Portfolio........................... 8,254 -- 8,254*(1)
Emerging Markets Small Cap Portfolio................. 9,252 -- 9,252*(1)
Emerging Markets Value Portfolio..................... 19,890 -- 19,890*(1)
Emerging Markets Core Equity Portfolio............... 29,430 -- 29,430
210
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio................ $15,186 $896 $14,290
U.S. Large Cap Value Portfolio....................... 10,896 -- 10,896*
U.S. Targeted Value Portfolio........................ 2,939 -- 2,939
U.S. Small Cap Value Portfolio....................... 9,284 -- 9,284
U.S. Core Equity 1 Portfolio......................... 10,034 -- 10,034
U.S. Core Equity 2 Portfolio......................... 11,212 -- 11,212
U.S. Vector Equity Portfolio......................... 835 -- 835*
U.S. Small Cap Portfolio............................. 10,124 -- 10,124
U.S. Micro Cap Portfolio............................. 2,595 -- 2,595
DFA Real Estate Securities Portfolio................. 3,862 -- 3,862
Large Cap International Portfolio.................... 1,881 -- 1,881
International Core Equity Portfolio.................. 11,863 -- 11,863
International Small Company Portfolio................ 5,699 -- 5,699
Japanese Small Company Portfolio..................... 1 -- 1*
DFA International Real Estate Securities Portfolio... 754 -- 754
DFA International Small Cap Value Portfolio.......... 9,407 -- 9,407
World ex U.S. Value Portfolio........................ 99 -- 99*
Selectively Hedged Global Equity Portfolio........... 2,129 775 1,354
Emerging Markets Portfolio........................... 1,186 -- 1,186*
Emerging Markets Small Cap Portfolio................. 854 -- 854*
Emerging Markets Value Portfolio..................... 3,766 -- 3,766*
Emerging Markets Core Equity Portfolio............... 9,334 -- 9,334
* As of October 31, 2017, there were no futures contracts outstanding. During
the year ended October 31, 2017, the Portfolio had limited activity in
futures contracts.
(1)The amount listed reflects allocated derivatives activity from the Master
Fund.
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 forward currency 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."
211
The following table presents the Portfolios' gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolios as of October 31, 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
---------------------------------------------------- -----------------------------------------------------
ENHANCED U.S. LARGE
COMPANY PORTFOLIO
Forward Currency
Contracts.......... $ 896 $ 896 -- -- $ 896 -- -- -- -- --
SELECTIVELY HEDGED
GLOBAL EQUITY PORTFOLIO
Forward Currency
Contracts.......... 1,662 1,662 (238) -- 1,424 238 238 (238) -- --
(a)No amounts have been netted against the gross amounts recognized in the
Statements of Assets and Liabilities.
(b)Represents the amount of assets that could be offset by liabilities with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(c)Represents the net amount due from counterparties in the event of default.
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
Note K contains information regarding securities lending amounts that are
subject to netting arrangements.
I. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 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.
212
For the year ended October 31, 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...................... 1.60% $11,046 20 $ 9 $47,676
Global Small Company Portfolio....................... 1.67% 73 17 -- 148
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................ 1.72% 388 5 -- 669
World ex U.S. Value Portfolio........................ 1.64% 101 29 -- 424
World ex U.S. Targeted Value Portfolio............... 1.71% 660 9 -- 2,089
World ex U.S. Core Equity Portfolio.................. 1.69% 3,702 21 4 9,302
World Core Equity Portfolio.......................... 1.57% 1,321 21 1 5,842
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 year ended October 31, 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 October 31, 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 year
ended October 31, 2017.
J. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 year ended October 31, 2017, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- -------- --------------------
U.S. Large Cap Equity Portfolio...................... $ 42,405 $ 23,274 $ (4,689)
U.S. Targeted Value Portfolio........................ 305,503 529,350 67,568
U.S. Small Cap Value Portfolio....................... 99,734 732,604 (12,452)
U.S. Core Equity 1 Portfolio......................... 373,556 268,146 (32,976)
U.S. Core Equity 2 Portfolio......................... 469,944 296,007 (1,236)
213
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- -------- --------------------
U.S. Vector Equity Portfolio......................... $ 87,740 $115,718 $ 22,766
U.S. Small Cap Portfolio............................. 556,558 273,834 32,087
U.S. Micro Cap Portfolio............................. 146,270 177,992 28,762
U.S. High Relative Profitability Portfolio........... 1,988 -- --
DFA Real Estate Securities Portfolio................. 15,426 4,252 (1,417)
Large Cap International Portfolio.................... 102,165 46,121 16,561
International Core Equity Portfolio.................. 284,493 57,520 (2,638)
DFA Global Real Estate Securities Portfolio.......... 12,509 -- --
DFA International Small Cap Value Portfolio.......... 26,500 555,488 153,528
International Vector Equity Portfolio................ 15,798 3,742 211
International High Relative Profitability Portfolio.. 2,918 45 --
World ex U.S. Targeted Value Portfolio............... 8,220 3,211 1,012
World ex U.S. Core Equity Portfolio.................. 24,450 4,760 272
Emerging Markets Core Equity Portfolio............... 33,416 6,850 (1,240)
K. SECURITIES LENDING:
As of October 31, 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.................... $ 10,219
U.S. Targeted Value Portfolio...................... 883,299
U.S. Small Cap Value Portfolio..................... 881,275
U.S. Core Equity 1 Portfolio....................... 1,483,099
U.S. Core Equity 2 Portfolio....................... 1,557,927
U.S. Vector Equity Portfolio....................... 373,243
U.S. Small Cap Portfolio........................... 1,387,244
U.S. Micro Cap Portfolio........................... 270,464
U.S. High Relative Profitability Portfolio......... 860
DFA Real Estate Securities Portfolio............... 195,400
Large Cap International Portfolio.................. 33,676
International Core Equity Portfolio................ 152,068
DFA International Real Estate Securities Portfolio. 3,285
DFA International Small Cap Value Portfolio........ 61,119
International Vector Equity Portfolio.............. 12,245
World ex U.S. Targeted Value Portfolio............. 3,763
World ex U.S. Core Equity Portfolio................ 30,231
Emerging Markets Core Equity Portfolio............. 957,824
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,
214
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. Income received from the Money
Market Series is netted with fees for securities lending and collateral
investment expenses, and other payments to and from borrowers of securities.
Each Portfolio also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Portfolio will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2017
------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
-------------- -------- ------------ -------- --------------
SECURITIES LENDING TRANSACTIONS
ENHANCED U.S. LARGE COMPANY PORTFOLIO
U.S. Treasury Obligations................. $ 3,027,311 -- -- -- $ 3,027,311
U.S. LARGE CAP EQUITY PORTFOLIO
Common Stocks............................. 41,252,845 -- -- -- 41,252,845
U.S. TARGETED VALUE PORTFOLIO
Common Stocks............................. 1,670,768,102 -- -- -- 1,670,768,102
U.S. SMALL CAP VALUE PORTFOLIO
Common Stocks............................. 1,834,293,538 -- -- -- 1,834,293,538
U.S. CORE EQUITY 1 PORTFOLIO
Common Stocks, Rights/Warrants............ 1,640,845,561 -- -- -- 1,640,845,561
U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants............ 2,291,390,829 -- -- -- 2,291,390,829
U.S. VECTOR EQUITY PORTFOLIO
Common Stocks, Rights/Warrants............ 572,203,152 -- -- -- 572,203,152
U.S. SMALL CAP PORTFOLIO
Common Stocks............................. 3,582,679,218 -- -- -- 3,582,679,218
U.S. MICRO CAP PORTFOLIO
Common Stocks............................. 1,087,255,757 -- -- -- 1,087,255,757
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
Common Stocks............................. 8,012,043 -- -- -- 8,012,043
DFA REAL ESTATE SECURITIES PORTFOLIO
Common Stocks............................. 416,958,424 -- -- -- 416,958,424
LARGE CAP INTERNATIONAL PORTFOLIO
Common Stocks............................. 273,685,666 -- -- -- 273,685,666
INTERNATIONAL CORE EQUITY PORTFOLIO
Common Stocks, Preferred Stocks,
Rights/Warrants......................... 1,710,859,480 -- -- -- 1,710,859,480
DFA INTERNATIONAL REAL ESTATE SECURITIES
PORTFOLIO
Common Stocks............................. 185,599,787 -- -- -- 185,599,787
215
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2017
------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
-------------- -------- ------------ -------- --------------
DFA GLOBAL REAL ESTATE SECURITIES
PORTFOLIO
Common Stocks............................ $ 107,840,139 -- -- -- $ 107,840,139
DFA INTERNATIONAL SMALL CAP VALUE
PORTFOLIO
Common Stocks, Rights/Warrants........... 910,020,857 -- -- -- 910,020,857
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Common Stocks, Rights/Warrants........... 169,224,337 -- -- -- 169,224,337
INTERNATIONAL HIGH RELATIVE PROFITABILITY
PORTFOLIO
Common Stocks............................ 1,942,864 -- -- -- 1,942,864
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Common Stocks............................ 7,173,015 -- -- -- 7,173,015
WORLD EX U.S. CORE EQUITY PORTFOLIO
Common Stocks, Preferred Stocks.......... 158,024,649 -- -- -- 158,024,649
EMERGING MARKETS CORE EQUITY PORTFOLIO
Common Stocks, Rights/Warrants........... 1,102,539,901 -- -- -- 1,102,539,901
L. SHAREHOLDER SERVICING FEES:
The Class R1 Shares pay a shareholder servicing fee in an amount up to 0.10%
and Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25% of
their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and
Emerging Markets Value Portfolio Class R2 Shares.
M. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
N. IN-KIND REDEMPTIONS:
During the year ended October 31, 2017, the following Portfolios realized
net gains (losses) on in-kind redemptions as follows:
U.S. Small Cap Value Portfolio............... $ 79,386
U.S. Small Cap Portfolio..................... 125,200
DFA International Small Cap Value Portfolio.. 82,012
O. RECENTLY ISSUED ACCOUNTING STANDARDS:
In October 2016, the U.S. Securities and Exchange Commission ("SEC") adopted
new rules and forms, and amendments to certain current rules and forms, to
modernize reporting and disclosure of information by registered investment
companies. The amendments to Regulation S-X require standardized, enhanced
disclosure about derivatives in investment company financial statements, and
also change the rules governing the form and content of such financial
statements. The amendments to Regulation S-X took effect on August 1, 2017, and
the financial statements have been modified accordingly, as applicable.
216
P. OTHER:
At October 31, 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 69%
U.S. Large Cap Equity Portfolio -- Institutional Class Shares......... 4 93%
U.S. Large Cap Value Portfolio -- Institutional Class Shares.......... 3 70%
U.S. Targeted Value Portfolio -- Class R1 Shares...................... 4 83%
U.S. Targeted Value Portfolio -- Class R2 Shares...................... 7 80%
U.S. Targeted Value Portfolio -- Institutional Class Shares........... 3 59%
U.S. Small Cap Value Portfolio -- Institutional Class Shares.......... 3 62%
U.S. Core Equity 1 Portfolio -- Institutional Class Shares............ 6 85%
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 52%
U.S. Micro Cap Portfolio -- Institutional Class Shares................ 4 75%
U.S. High Relative Profitability Portfolio -- Institutional
Class Shares........................................................ 3 97%
DFA Real Estate Securities Portfolio -- Institutional Class Shares.... 4 76%
Large Cap International Portfolio -- Institutional Class Shares....... 3 64%
International Core Equity Portfolio -- Institutional Class Shares..... 4 72%
International Small Company Portfolio -- Institutional Class Shares... 3 59%
Global Small Company Portfolio -- Institutional Class Shares.......... 3 94%
Japanese Small Company Portfolio -- Institutional Class Shares........ 4 87%
Asia Pacific Small Company Portfolio -- Institutional Class Shares.... 3 92%
United Kingdom Small Company Portfolio -- Institutional Class Shares.. 4 93%
Continental Small Company Portfolio -- Institutional Class Shares..... 3 92%
DFA International Real Estate Securities Portfolio -- Institutional
Class Shares........................................................ 4 89%
DFA Global Real Estate Securities Portfolio -- Institutional
Class Shares........................................................ 3 65%
DFA International Small Cap Value Portfolio -- Institutional
Class Shares........................................................ 4 70%
International Vector Equity Portfolio -- Institutional Class Shares... 4 89%
International High Relative Profitability Portfolio -- Institutional
Class Shares........................................................ 3 96%
World ex U.S. Value Portfolio -- Institutional Class Shares........... 6 93%
World ex U.S. Targeted Value Portfolio -- Institutional Class Shares.. 3 97%
217
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
World ex U.S. Core Equity Portfolio -- Institutional Class Shares..... 3 74%
World Core Equity Portfolio -- Institutional Class Shares............. 4 78%
Selectively Hedged Global Equity Portfolio -- Institutional
Class Shares........................................................ 4 96%
Emerging Markets Portfolio -- Institutional Class Shares.............. 4 63%
Emerging Markets Small Cap Portfolio -- Institutional Class Shares.... 3 53%
Emerging Markets Value Portfolio -- Class R2 Shares................... 4 96%
Emerging Markets Value Portfolio -- Institutional Class Shares........ 2 35%
Emerging Markets Core Equity Portfolio -- Institutional Class Shares.. 3 61%
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 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.
218
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.
Q. 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.
219
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of the Portfolios, as defined
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments/summary schedules of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity
Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S.
Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2
Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro
Cap Portfolio, U.S. High Relative Profitability Portfolio, DFA Real Estate
Securities Portfolio, Large Cap International Portfolio, International Core
Equity Portfolio, International Small Company Portfolio, Global Small Company
Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company
Portfolio, United Kingdom Small Company Portfolio, Continental Small Company
Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real
Estate Securities Portfolio, DFA International Small Cap Value Portfolio,
International Vector Equity Portfolio, International High Relative
Profitability Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted
Value Portfolio, World ex U.S. Core Equity Portfolio, World Core Equity
Portfolio, Selectively Hedged Global Equity Portfolio, Emerging Markets
Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value
Portfolio and Emerging Markets Core Equity Portfolio (thirty-four of the
portfolios constituting DFA Investment Dimensions Group Inc., hereafter
referred to as the "Portfolios") as of October 31, 2017, the results of each of
their operations, the changes in each of their net assets and the financial
highlights for each of the periods indicated, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolios' management. Our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities as of October 31, 2017 by
correspondence with the custodians, brokers and the transfer agents of the
investee funds, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
220
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. Each Portfolio will send (or has sent) shareholders a Form 1099-DIV
(or a financial intermediary should provide (or has provided) shareholders with
similar information) for the relevant calendar year informing shareholders how
to report these distributions for federal income tax purposes. As a result,
shareholders should not use the information provided in this notice for tax
reporting purposes.
% BREAKDOWN OF DISTRIBUTION SOURCES
---------------------------------------
NET INCOME
FOR THE
CURRENT OR ACCUMULATED
PRECEDING UNDISTRIBUTED
FISCAL YEAR, NET PROFITS
AND FROM THE SALE PAID-IN
ACCUMULATED OF SECURITIES SURPLUS OR
UNDISTRIBUTED OR OTHER OTHER CAPITAL
PORTFOLIO NAME NET INCOME PROPERTIES SOURCE
-------------- ------------- ------------- -------------
World Core Equity Portfolio
September 28, 2017....... 100% 0% 0%*
* Amount is less than 1%
The ultimate composition of these distribution 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.
221
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA COMMODITY STRATEGY PORTFOLIO VS.
BLOOMBERG COMMODITY INDEX TOTAL RETURN
NOVEMBER 9, 2010-OCTOBER 31, 2017
[CHART]
DFA Commodity Strategy Bloomberg Commodity
Portfolio Index Total Return
---------------------- --------------------
11/09/2010 $10,000 $10,000
11/30/2010 9,480 9,414
12/31/2010 10,464 10,420
1/31/2011 10,584 10,525
2/28/2011 10,804 10,664
3/31/2011 11,010 10,884
4/30/2011 11,440 11,261
5/31/2011 10,889 10,691
6/30/2011 10,337 10,152
7/31/2011 10,678 10,452
8/31/2011 10,788 10,557
9/30/2011 9,187 9,001
10/31/2011 9,798 9,597
11/30/2011 9,538 9,384
12/31/2011 9,199 9,032
1/31/2012 9,480 9,256
2/29/2012 9,752 9,506
3/31/2012 9,360 9,112
4/30/2012 9,299 9,074
5/31/2012 8,494 8,245
6/30/2012 8,889 8,698
7/31/2012 9,494 9,261
8/31/2012 9,676 9,381
9/30/2012 9,840 9,541
10/31/2012 9,497 9,171
11/30/2012 9,547 9,176
12/31/2012 9,321 8,937
1/31/2013 9,544 9,151
2/28/2013 9,169 8,777
3/31/2013 9,229 8,836
4/30/2013 8,996 8,590
5/31/2013 8,763 8,397
6/30/2013 8,304 8,001
7/31/2013 8,436 8,110
8/31/2013 8,730 8,386
9/30/2013 8,529 8,172
10/31/2013 8,438 8,051
11/30/2013 8,397 7,987
12/31/2013 8,473 8,086
1/31/2014 8,565 8,110
2/28/2014 9,156 8,616
3/31/2014 9,200 8,651
4/30/2014 9,435 8,862
5/31/2014 9,200 8,607
6/30/2014 9,271 8,658
7/31/2014 8,822 8,227
8/31/2014 8,750 8,141
9/30/2014 8,208 7,634
10/31/2014 8,178 7,573
11/30/2014 7,789 7,265
12/31/2014 7,234 6,711
1/31/2015 7,028 6,486
2/28/2015 7,203 6,654
3/31/2015 6,853 6,312
4/30/2015 7,234 6,674
5/31/2015 7,028 6,494
6/30/2015 7,141 6,606
7/31/2015 6,378 5,904
8/31/2015 6,306 5,850
9/30/2015 6,120 5,650
10/31/2015 6,120 5,625
11/30/2015 5,686 5,217
12/31/2015 5,509 5,056
1/31/2016 5,437 4,971
2/29/2016 5,364 4,890
3/31/2016 5,611 5,077
4/30/2016 6,056 5,509
5/31/2016 6,046 5,499
6/30/2016 6,334 5,726
7/31/2016 6,044 5,433
8/31/2016 5,930 5,337
9/30/2016 6,124 5,505
10/31/2016 6,104 5,478
11/30/2016 6,156 5,551
12/31/2016 6,268 5,651
1/31/2017 6,299 5,659
2/28/2017 6,341 5,670
3/31/2017 6,176 5,519
4/30/2017 6,103 5,436
5/31/2017 6,019 5,364
6/30/2017 6,011 5,354
7/31/2017 6,159 5,475
8/31/2017 6,190 5,497
9/30/2017 6,170 5,489
10/31/2017 6,296 5,606
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
--------------------------------------------------------- "Bloomberg data provided by Bloomberg
3.15% -7.89% -6.42% Finance L.P."
--------------------------------------------------------------------------------
222
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
COMMODITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
For the 12 months ended October 31, 2017, the Bloomberg Commodity Index
Total Return returned 2.35%. Sectors with positive returns included livestock,
which returned 30.58%, industrial metals, which returned 29.53%, and energy,
which returned 2.32%. Sectors with negative returns included agriculture, which
returned -14.60%, and precious metals, which returned -2.83%.
DFA COMMODITY STRATEGY PORTFOLIO
The DFA Commodity Strategy Portfolio seeks total return consisting of
capital appreciation and current income. The Portfolio generally invests in
commodity-linked derivative instruments and fixed income investments. The
Portfolio, through its wholly owned subsidiary Dimensional Cayman Commodity
Fund I LTD, gains exposure to commodities markets by investing in derivative
instruments such as commodity swap contracts, commodity futures and other
commodity-linked instruments. The Portfolio pursues commodity exposure based on
sector weights of the Bloomberg Commodity Index Total Return, the Portfolio's
benchmark. In pursuing the fixed income portion of the Portfolio's investment
strategy, Dimensional identifies a broadly diversified universe of eligible
U.S. and foreign fixed income securities with defined maturity ranges and
credit quality characteristics and then seeks to purchase a broad and diverse
portfolio of securities meeting these credit quality standards. The investment
strategy uses a variable maturity approach and shifts maturities based on
changes in the yield curve. The strategy uses current yields and identifies
favorable maturity ranges for risk-adjusted expected returns based on potential
buy and sell strategies.
The Portfolio, through the Dimensional Cayman Commodity Fund I LTD, gained
exposure to commodities primarily through the use of commodity swap contracts.
To a lesser extent, the Portfolio gained exposure to commodities through the
use of commodity futures. The Portfolio's commodity swaps provided exposure to
the 22 commodities included in the benchmark. For the period, the average
duration of the Portfolio's fixed income securities remained near 1.80 years.
For the 12 months ended October 31, 2017, the total return was 3.15% for the
Portfolio and 2.35% for the Bloomberg Commodity Index Total Return. The
Portfolio's outperformance can primarily be attributed to the premium realized
by targeting higher expected returns in longer-dated contracts along individual
commodity curves. The Portfolio also benefited from avoiding the liquidity
demands during the index prescribed roll periods by rolling exposure earlier
than the benchmark and rebalancing annually after the benchmark. Relative
outperformance is also attributable to the Portfolio's allocation to credit
relative to the financing costs associated with the commodity futures and swaps
exposure during a period with positive realized credit premiums.
223
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
DFA COMMODITY STRATEGY PORTFOLIO
--------------------------------
Actual Fund Return............... $1,000.00 $1,031.70 0.33% $1.69
Hypothetical 5% Annual Return.... $1,000.00 $1,023.54 0.33% $1.68
----------
* DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional
Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses
are equal to the fund's annualized expense ratio for the six-month period,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (184), then divided by the
number of days in the year (365) to reflect the six-month period.
224
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 29, 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.................................... 43.2%
Government................................... 23.6%
Foreign Corporate............................ 22.2%
Foreign Government........................... 10.4%
Supranational................................ 0.6%
------
100.0%
225
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (64.7%)
AUSTRALIA -- (5.5%)
Australia & New Zealand Banking Group, Ltd.
3.250%, 06/03/20............................. AUD 1,665 $ 1,297,910
Commonwealth Bank of Australia
2.300%, 09/06/19............................. 10,100 10,157,062
5.000%, 10/15/19............................. 10,000 10,548,117
7.250%, 02/05/20............................. AUD 12,000 10,152,341
## 2.250%, 03/10/20............................. 5,000 5,018,905
5.000%, 03/19/20............................. 5,000 5,325,437
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 4,500 4,548,372
National Australia Bank, Ltd.
## 2.400%, 12/09/19............................. 9,500 9,573,758
2.125%, 05/22/20............................. 745 744,999
Westpac Banking Corp.
2.250%, 07/30/18............................. 3,200 3,215,963
7.250%, 02/11/20............................. AUD 9,700 8,215,956
2.150%, 03/06/20............................. 5,000 5,010,027
2.300%, 05/26/20............................. 18,774 18,876,339
------------
TOTAL AUSTRALIA.................................. 92,685,186
------------
CANADA -- (7.9%)
Alberta, Province of Canada
1.900%, 12/06/19............................. 5,000 4,990,396
Bank of Montreal
2.375%, 01/25/19............................. 9,620 9,678,470
British Columbia, Province of Canada
4.650%, 12/18/18............................. CAD 10,000 8,029,222
Canada Housing Trust No 1
## 2.350%, 12/15/18............................. CAD 30,000 23,505,852
CPPIB Capital, Inc.
1.400%, 06/04/20............................. CAD 6,000 4,615,177
Potash Corp. of Saskatchewan, Inc.
6.500%, 05/15/19............................. 1,446 1,535,994
Province of Ontario Canada
1.650%, 09/27/19............................. 6,103 6,074,571
Quebec, Province of Canada
4.500%, 12/01/18............................. CAD 10,000 8,002,635
Royal Bank of Canada
1.500%, 01/16/18............................. 600 600,107
2.200%, 07/27/18............................. 1,005 1,009,236
1.800%, 07/30/18............................. 7,442 7,448,390
2.890%, 10/11/18............................. CAD 30,000 23,524,920
1.500%, 07/29/19............................. 4,625 4,593,636
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 10,000 9,992,713
2.125%, 07/02/19............................. 19,850 19,940,802
------------
TOTAL CANADA..................................... 133,542,121
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
FINLAND -- (0.4%)
Municipality Finance P.L.C.
1.250%, 04/18/19............................. 5,000 $ 4,961,700
1.750%, 05/21/19............................. 1,150 1,149,510
-----------
TOTAL FINLAND.................................... 6,111,210
-----------
FRANCE -- (1.3%)
BPCE SA
1.625%, 01/26/18............................. 1,950 1,949,723
Orange SA
1.625%, 11/03/19............................. 2,000 1,986,031
Total Capital International SA
2.100%, 06/19/19............................. 18,335 18,435,130
-----------
TOTAL FRANCE..................................... 22,370,884
-----------
GERMANY -- (1.5%)
Bayer U.S. Finance LLC
2.375%, 10/08/19............................. 1,500 1,507,833
Deutsche Bank AG
2.950%, 08/20/20............................. 7,018 7,085,217
Deutsche Telekom International Finance BV
## 1.500%, 09/19/19............................. 3,000 2,965,322
State of North Rhine-Westphalia
1.625%, 01/22/20............................. 3,650 3,626,257
Volkswagen Group of America Finance LLC
## 2.125%, 05/23/19............................. 10,000 9,993,819
-----------
TOTAL GERMANY.................................... 25,178,448
-----------
IRELAND -- (0.2%)
Medtronic, Inc.
1.375%, 04/01/18............................. 300 299,661
2.500%, 03/15/20............................. 3,750 3,800,841
-----------
TOTAL IRELAND.................................... 4,100,502
-----------
ITALY -- (0.2%)
Intesa Sanpaolo SpA
3.875%, 01/16/18............................. 1,500 1,506,065
3.875%, 01/15/19............................. 2,570 2,620,075
-----------
TOTAL ITALY...................................... 4,126,140
-----------
JAPAN -- (2.3%)
American Honda Finance Corp.
1.550%, 12/11/17............................. 2,575 2,575,293
2.250%, 08/15/19............................. 2,000 2,012,069
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
2.350%, 09/08/19............................. 850 853,946
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 1,034 1,043,425
226
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
JAPAN -- (Continued)
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 3,500 $ 3,520,007
Toyota Motor Credit Corp.
2.000%, 10/24/18............................. 4,149 4,163,203
1.400%, 05/20/19............................. 8,168 8,122,788
2.125%, 07/18/19............................. 1,080 1,085,362
1.550%, 10/18/19............................. 10,000 9,944,555
2.150%, 03/12/20............................. 5,550 5,576,369
-----------
TOTAL JAPAN...................................... 38,897,017
-----------
NETHERLANDS -- (4.4%)
Bank Nederlandse Gemeenten NV
## 1.750%, 10/05/20............................. 24,800 24,634,088
Cooperatieve Rabobank UA
1.700%, 03/19/18............................. 2,800 2,801,669
2.250%, 01/14/19............................. 9,665 9,714,825
ING Bank NV
## 2.500%, 10/01/19............................. 3,000 3,022,857
LyondellBasell Industries NV
5.000%, 04/15/19............................. 1,022 1,057,105
Nederlandse Waterschapsbank NV
1.625%, 03/04/20............................. 4,362 4,331,902
Shell International Finance BV
1.900%, 08/10/18............................. 4,000 4,010,777
2.000%, 11/15/18............................. 2,350 2,358,526
4.300%, 09/22/19............................. 12,204 12,702,980
4.375%, 03/25/20............................. 9,400 9,923,611
-----------
TOTAL NETHERLANDS................................ 74,558,340
-----------
NORWAY -- (0.7%)
Kommunalbanken A.S.
1.750%, 05/28/19............................. 5,000 4,997,970
1.625%, 01/15/20............................. 5,450 5,424,020
Statoil ASA
1.950%, 11/08/18............................. 1,035 1,037,383
-----------
TOTAL NORWAY..................................... 11,459,373
-----------
SPAIN -- (0.7%)
Iberdrola Finance Ireland, Ltd.
## 5.000%, 09/11/19............................. 2,000 2,101,697
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 4,992 5,022,778
Telefonica Emisiones SAU
3.192%, 04/27/18............................. 1,800 1,812,480
5.134%, 04/27/20............................. 2,200 2,351,325
-----------
TOTAL SPAIN...................................... 11,288,280
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.4%)
Council Of Europe Development Bank
1.750%, 11/14/19............................. 7,000 6,993,433
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWEDEN -- (3.1%)
Kommuninvest I Sverige AB
0.750%, 02/16/20............................. SEK 100,000 $12,183,751
Nordea Bank AB
2.375%, 04/04/19............................. 15,000 15,098,907
Svensk Exportkredit AB
1.875%, 06/17/19............................. 17,000 17,019,890
Svenska Handelsbanken AB
1.625%, 03/21/18............................. 2,900 2,901,177
2.250%, 06/17/19............................. 5,000 5,028,751
-----------
TOTAL SWEDEN..................................... 52,232,476
-----------
SWITZERLAND -- (1.2%)
Novartis Capital Corp.
4.400%, 04/24/20............................. 9,500 10,076,696
UBS AG
1.800%, 03/26/18............................. 3,350 3,353,748
2.375%, 08/14/19............................. 1,500 1,509,503
2.350%, 03/26/20............................. 6,000 6,037,772
-----------
TOTAL SWITZERLAND................................ 20,977,719
-----------
UNITED KINGDOM -- (0.7%)
AstraZeneca P.L.C.
1.750%, 11/16/18............................. 6,958 6,954,922
BP Capital Markets P.L.C.
4.750%, 03/10/19............................. 3,610 3,750,224
GlaxoSmithKline Capital, Inc.
5.650%, 05/15/18............................. 1,028 1,050,886
HSBC USA, Inc.
1.625%, 01/16/18............................. 820 820,071
-----------
TOTAL UNITED KINGDOM............................. 12,576,103
-----------
UNITED STATES -- (34.2%)
3M Co.
1.625%, 06/15/19............................. 3,200 3,199,539
Abbott Laboratories
5.125%, 04/01/19............................. 2,835 2,959,667
American International Group, Inc.
2.300%, 07/16/19............................. 1,500 1,506,607
AmerisourceBergen Corp.
4.875%, 11/15/19............................. 2,000 2,106,606
Amgen, Inc.
2.200%, 05/11/20............................. 9,990 10,009,803
Apple, Inc.
1.100%, 08/02/19............................. 4,045 4,004,482
1.900%, 02/07/20............................. 36,000 36,045,539
2.000%, 05/06/20............................. 4,522 4,534,796
Assurant, Inc.
2.500%, 03/15/18............................. 203 203,695
AT&T, Inc.
1.400%, 12/01/17............................. 3,400 3,400,000
2.300%, 03/11/19............................. 575 577,325
Bank of America Corp.
2.600%, 01/15/19............................. 4,000 4,026,100
227
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Bank of New York Mellon Corp. (The)
2.100%, 01/15/19............................. 1,000 $ 1,003,650
BB&T Corp.
1.450%, 01/12/18............................. 170 170,001
Berkshire Hathaway, Inc.
1.550%, 02/09/18............................. 2,500 2,500,731
2.100%, 08/14/19............................. 2,800 2,817,763
Boston Scientific Corp.
2.650%, 10/01/18............................. 1,000 1,007,060
Branch Banking & Trust Co.
2.300%, 10/15/18............................. 1,000 1,005,462
Burlington Northern Santa Fe LLC
4.700%, 10/01/19............................. 250 262,952
CA, Inc.
5.375%, 12/01/19............................. 5,245 5,561,728
Capital One Bank USA NA
2.300%, 06/05/19............................. 1,242 1,244,241
Capital One NA/Mclean
2.400%, 09/05/19............................. 6,536 6,559,388
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 6,000 6,042,785
7.050%, 10/01/18............................. 5,000 5,238,643
CBS Corp.
2.300%, 08/15/19............................. 1,500 1,509,254
Chevron Corp.
1.345%, 11/15/17............................. 3,435 3,435,393
1.718%, 06/24/18............................. 1,425 1,425,797
2.193%, 11/15/19............................. 15,000 15,113,449
1.961%, 03/03/20............................. 8,000 8,018,198
Cisco Systems, Inc.
1.400%, 02/28/18............................. 9,958 9,957,411
2.125%, 03/01/19............................. 10,000 10,054,098
1.400%, 09/20/19............................. 14,935 14,841,117
Citigroup, Inc.
2.050%, 12/07/18............................. 7,281 7,287,797
2.550%, 04/08/19............................. 750 756,382
Coca-Cola Co. (The)
2.600%, 06/09/20............................. AUD 3,350 2,577,106
Comcast Corp.
5.700%, 05/15/18............................. 732 748,056
Comerica, Inc.
2.125%, 05/23/19............................. 4,000 4,001,738
ConocoPhillips Co.
1.050%, 12/15/17............................. 3,000 2,998,718
CVS Health Corp.
2.250%, 12/05/18............................. 6,500 6,524,377
Danaher Corp.
1.650%, 09/15/18............................. 324 324,119
Dollar General Corp.
1.875%, 04/15/18............................. 2,334 2,334,482
Eastman Chemical Co.
2.700%, 01/15/20............................. 3,883 3,927,118
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 10,927 $11,251,749
Enterprise Products Operating LLC
1.650%, 05/07/18............................. 825 824,782
Exxon Mobil Corp.
1.305%, 03/06/18............................. 19,430 19,424,771
1.912%, 03/06/20............................. 3,950 3,955,130
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 1,500 1,525,855
2.551%, 10/05/18............................. 5,000 5,030,123
General Mills, Inc.
2.200%, 10/21/19............................. 3,500 3,513,759
General Motors Financial Co., Inc.
3.150%, 01/15/20............................. 5,000 5,091,221
Gilead Sciences, Inc.
1.850%, 09/04/18............................. 3,558 3,562,361
Goldman Sachs Group, Inc. (The)
7.500%, 02/15/19............................. 4,082 4,362,599
2.300%, 12/13/19............................. 600 601,687
6.000%, 06/15/20............................. 8,000 8,746,151
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 585 581,735
Harris Corp.
1.999%, 04/27/18............................. 6,500 6,507,251
Huntington Bancshares, Inc.
2.600%, 08/02/18............................. 2,600 2,615,700
Intel Corp.
1.350%, 12/15/17............................. 1,000 1,000,015
International Business Machines Corp.
# 1.950%, 02/12/19............................. 8,250 8,277,992
Jefferies Group LLC
5.125%, 04/13/18............................. 1,000 1,015,426
JPMorgan Chase & Co.
6.300%, 04/23/19............................. 3,500 3,718,609
KeyBank NA
2.350%, 03/08/19............................. 7,000 7,043,098
Kraft Heinz Foods Co.
2.800%, 07/02/20............................. 3,550 3,595,113
Kroger Co. (The)
2.300%, 01/15/19............................. 1,000 1,003,212
1.500%, 09/30/19............................. 1,565 1,548,093
Lam Research Corp.
2.750%, 03/15/20............................. 1,098 1,112,621
Mattel, Inc.
1.700%, 03/15/18............................. 7,000 6,965,700
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 4,417 4,440,909
McDonald's Corp.
5.350%, 03/01/18............................. 2,000 2,024,893
2.100%, 12/07/18............................. 8,000 8,036,050
McKesson Corp.
1.400%, 03/15/18............................. 614 613,480
2.284%, 03/15/19............................. 5,500 5,519,238
228
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Merck & Co., Inc.
1.850%, 02/10/20............................. 25,500 $25,490,880
Microsoft Corp.
1.100%, 08/08/19............................. 4,930 4,877,924
1.850%, 02/12/20............................. 7,000 7,001,682
Molson Coors Brewing Co.
## 2.250%, 03/15/20............................. 12,857 12,855,537
Mondelez International, Inc.
1.625%, 10/28/19............................. 2,000 1,979,895
Monsanto Co.
1.850%, 11/15/18............................. 6,700 6,701,854
Morgan Stanley
7.300%, 05/13/19............................. 6,000 6,465,116
Nasdaq, Inc.
5.550%, 01/15/20............................. 1,850 1,981,598
NetApp, Inc.
2.000%, 12/15/17............................. 5,700 5,700,798
NextEra Energy Capital Holdings, Inc.
2.700%, 09/15/19............................. 1,500 1,517,222
NiSource Finance Corp.
6.800%, 01/15/19............................. 307 324,147
Nucor Corp.
5.750%, 12/01/17............................. 3,019 3,028,576
Oracle Corp.
2.250%, 10/08/19............................. 31,780 32,090,799
PACCAR Financial Corp.
1.750%, 08/14/18............................. 1,900 1,902,002
Pfizer, Inc.
1.500%, 06/15/18............................. 1,000 1,000,130
2.100%, 05/15/19............................. 30,877 31,052,974
Philip Morris International, Inc.
5.650%, 05/16/18............................. 2,751 2,810,942
1.875%, 01/15/19............................. 2,500 2,502,998
Provident Cos., Inc.
7.000%, 07/15/18............................. 3,298 3,409,917
Prudential Financial, Inc.
6.000%, 12/01/17............................. 518 519,858
QUALCOMM, Inc.
1.400%, 05/18/18............................. 1,000 999,626
2.100%, 05/20/20............................. 4,991 5,002,282
Republic Services, Inc.
5.500%, 09/15/19............................. 1,167 1,241,482
Reynolds American, Inc.
2.300%, 06/12/18............................. 1,606 1,610,834
Roper Technologies, Inc.
2.050%, 10/01/18............................. 1,500 1,503,578
Ryder System, Inc.
2.550%, 06/01/19............................. 1,500 1,512,773
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 1,500 1,513,885
Southern Co. (The)
2.450%, 09/01/18............................. 2,324 2,336,243
Southern Power Co.
2.375%, 06/01/20............................. 1,645 1,644,342
Southwest Airlines Co.
2.750%, 11/06/19............................. 5,480 5,549,416
State Street Corp.
2.550%, 08/18/20............................. 1,160 1,180,848
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Stryker Corp.
1.300%, 04/01/18............................. 600 $ 599,263
2.000%, 03/08/19............................. 8,000 8,016,670
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 7,735 7,798,321
Target Corp.
2.300%, 06/26/19............................. 10,000 10,092,720
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 1,000 1,071,631
Thermo Fisher Scientific, Inc.
2.400%, 02/01/19............................. 3,000 3,015,858
Time Warner, Inc.
4.875%, 03/15/20............................. 2,985 3,164,137
Total System Services, Inc.
2.375%, 06/01/18............................. 5,500 5,513,924
UnitedHealth Group, Inc.
1.400%, 12/15/17............................. 956 956,013
1.625%, 03/15/19............................. 3,000 2,995,336
US Bank NA
1.400%, 04/26/19............................. 7,530 7,490,948
2.125%, 10/28/19............................. 5,000 5,023,062
Verizon Communications, Inc.
2.625%, 02/21/20............................. 1,288 1,307,045
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19............................. 470 474,938
Walt Disney Co. (The)
1.500%, 09/17/18............................. 255 254,840
Wells Fargo & Co.
1.500%, 01/16/18............................. 700 700,146
Whirlpool Co.
1.650%, 11/01/17............................. 7,000 7,000,000
--------------
TOTAL UNITED STATES................................ 578,117,506
--------------
TOTAL BONDS........................................ 1,095,214,738
--------------
U.S. TREASURY OBLIGATIONS -- (32.8%)
U.S. Treasury Notes
++ 1.375%, 06/30/18............................. 77,000 77,006,190
1.125%, 04/30/20............................. 6,000 5,918,672
1.375%, 05/31/20............................. 156,000 154,756,875
++ 1.625%, 07/31/20............................. 233,000 232,426,601
# 1.375%, 08/31/20............................. 45,000 44,565,820
2.000%, 09/30/20............................. 40,000 40,300,000
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 554,974,158
--------------
TOTAL INVESTMENT SECURITIES........................ 1,650,188,896
--------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (2.5%)
(S)@ DFA Short Term Investment Fund............... 3,665,082 42,408,663
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,699,316,689)............................ $1,692,597,559
==============
229
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
At October 31, 2017, DFA Commodity Strategy Portfolio had entered into the
following forward currency contracts and the net unrealized forward currency
gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ----------------------------- ---------- --------------
AUD 29,451,407 USD 22,534,449 Citibank, N.A. 11/02/17 $ 6,181
USD 2,644,569 AUD 3,382,519 Citibank, N.A. 11/02/17 55,759
USD 9,002,616 AUD 11,460,685 Citibank, N.A. 11/02/17 231,182
USD 11,490,577 AUD 14,608,203 Citibank, N.A. 11/02/17 310,191
USD 8,123,206 CAD 10,173,918 National Australia Bank Ltd. 11/17/17 235,996
USD 8,230,562 CAD 10,575,308 Barclays Capital 11/17/17 32,179
USD 16,236,178 CAD 20,259,242 Barclays Capital 11/17/17 530,439
USD 37,715,014 CAD 47,071,490 Citibank, N.A. 11/17/17 1,223,396
USD 12,742,192 SEK 102,973,708 Barclays Capital 01/12/18 385,215
----------
TOTAL APPRECIATION $3,010,538
USD 22,804,265 AUD 29,827,689 Citibank, N.A. 01/30/18 $ (6,379)
----------
TOTAL (DEPRECIATION) $ (6,379)
----------
TOTAL APPRECIATION
(DEPRECIATION) $3,004,159
==========
At October 31, 2017, DFA Commodity Strategy Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
Brent Crude Oil Futures....... 120 11/30/17 $ 6,599,656 $ 7,312,800 $ 713,144
CBT Wheat Futures............. 137 12/14/17 3,194,258 2,866,725 (327,533)
Coffee 'C' Futures............ 39 12/18/17 1,994,376 1,829,588 (164,788)
Copper Futures................ 104 12/27/17 7,587,373 8,062,600 475,227
Corn Futures.................. 361 12/14/17 6,536,122 6,240,787 (295,335)
Cotton No.2 Futures........... 34 12/06/17 1,153,006 1,162,460 9,454
Gasoline RBOB Futures......... 47 12/29/17 3,064,749 3,380,475 315,726
Gold 100 Oz Futures........... 83 12/27/17 10,575,697 10,545,150 (30,547)
Heating Oil Futures........... 46 12/29/17 3,393,668 3,632,933 239,265
KCB Wheat Futures............. 48 12/14/17 1,127,405 999,600 (127,805)
LME Nickel Futures............ 55 11/13/17 3,415,856 4,046,295 630,439
LME Nickel Futures............ 42 01/15/18 2,684,233 3,098,592 414,359
LME Prime Aluminum Futures.... 143 11/13/17 7,146,090 7,672,844 526,754
LME Prime Aluminum Futures.... 108 01/15/18 5,725,139 5,827,950 102,811
LME Zinc Futures.............. 53 11/13/17 3,859,653 4,384,425 524,772
LME Zinc Futures.............. 41 01/15/18 3,372,683 3,357,900 (14,783)
Lean Hogs Futures............. 71 12/14/17 1,635,337 1,931,200 295,863
Live Cattle Futures........... 76 12/29/17 3,417,059 3,819,000 401,941
Natural Gas Futures........... 212 12/27/17 6,820,706 6,415,120 (405,586)
Silver Futures................ 43 12/27/17 3,650,803 3,588,995 (61,808)
Soybean Futures............... 102 01/12/18 4,934,500 5,022,225 87,725
Soybean Meal Futures.......... 81 01/12/18 2,559,067 2,541,780 (17,287)
Soybean Oil Futures........... 117 01/12/18 2,314,191 2,451,384 137,193
Sugar #11 Futures............. 128 02/28/18 2,087,000 2,113,126 26,126
WTI Crude Futures............. 114 12/19/17 5,810,933 6,223,260 412,327
------------ ------------ ----------
TOTAL......................... $104,659,560 $108,527,214 $3,867,654
------------ ------------ ----------
230
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
SHORT POSITION CONTRACTS:
LME Nickel Futures............ (6) 01/15/18 $ (409,654) $ (442,656) $ (33,002)
LME Nickel Futures............ (55) 11/13/17 (3,531,376) (4,046,295) (514,919)
LME Prime Aluminum Futures.... (15) 01/15/18 (806,936) (809,437) (2,501)
LME Prime Aluminum Futures.... (143) 11/13/17 (7,499,416) (7,672,844) (173,428)
LME Zinc Futures.............. (5) 01/15/18 (395,228) (409,500) (14,272)
LME Zinc Futures.............. (53) 11/13/17 (4,294,666) (4,384,425) (89,759)
------------ ------------ ----------
TOTAL......................... $(16,937,276) $(17,765,157) $ (827,881)
------------ ------------ ----------
TOTAL FUTURES CONTRACTS....... $ 87,722,284 $ 90,762,057 $3,039,773
============ ============ ==========
At October 31, 2017, DFA Commodity Strategy Portfolio had entered into the
following outstanding Total Return Swaps:
PAYMENTS
RECEIVED UPFRONT UPFRONT UNREALIZED
REFERENCE NOTIONAL (PAID) BY EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
ENTITY COUNTERPARTY AMOUNT THE FUND DATE PAID RECEIVED VALUE (DEPRECIATION)
--------- --------------- ---------------- ----------- ---------- -------- -------- ---------- --------------
Custom Index* Bank of America
Corp. USD (194,041,395) (Fixed Rate) 12/19/17 -- -- $ 648,262 $ 648,262
Custom Index* Citibank, N.A. USD (218,510,063) (Fixed Rate) 12/21/17 -- -- 730,156 730,156
Custom Index* Citibank, N.A. USD (211,135,511) (Fixed Rate) 12/21/17 -- -- 488,967 488,967
Custom Index* Credit Suisse USD (185,905,082) (Fixed Rate) 11/28/17 -- -- 497,773 497,773
Custom Index* Credit Suisse USD (224,297,660) (Fixed Rate) 11/28/17 -- -- 364,334 364,334
Custom Index* Bank of America
Corp USD (154,840,049) (Fixed Rate) 12/19/17 -- -- 358,620 358,620
Custom Index* UBS AG USD (259,060,363) (Fixed Rate) 01/31/18 -- -- 935,330 935,330
Custom Index* UBS AG USD (102,081,505) (Fixed Rate) 01/31/18 -- -- 265,034 265,034
Custom Index* Deutsche Bank USD (75,727,062) (Fixed Rate) 11/28/17 -- -- 200,636 200,636
-- -- ---------- ----------
TOTAL -- -- $4,489,112 $4,489,112
== == ========== ==========
* Swap is exposed to the 22 commodities in the Bloomberg Commodity Index
Total Return.
Summary of the Portfolio's investments as of October 31, 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................................ -- $ 92,685,186 -- $ 92,685,186
Canada................................... -- 133,542,121 -- 133,542,121
Finland.................................. -- 6,111,210 -- 6,111,210
France................................... -- 22,370,884 -- 22,370,884
Germany.................................. -- 25,178,448 -- 25,178,448
Ireland.................................. -- 4,100,502 -- 4,100,502
Italy.................................... -- 4,126,140 -- 4,126,140
Japan.................................... -- 38,897,017 -- 38,897,017
Netherlands.............................. -- 74,558,340 -- 74,558,340
Norway................................... -- 11,459,373 -- 11,459,373
Spain.................................... -- 11,288,280 -- 11,288,280
Supranational Organization Obligations... -- 6,993,433 -- 6,993,433
Sweden................................... -- 52,232,476 -- 52,232,476
Switzerland.............................. -- 20,977,719 -- 20,977,719
231
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------- -------------- ------- --------------
United Kingdom........................... -- $ 12,576,103 -- $ 12,576,103
United States............................ -- 578,117,506 -- 578,117,506
U.S. Treasury Obligations................. -- 554,974,158 -- 554,974,158
Securities Lending Collateral............. -- 42,408,663 -- 42,408,663
Swap Agreements**......................... -- 4,489,112 -- 4,489,112
Futures Contracts**....................... $3,039,773 -- -- 3,039,773
Forward Currency Contracts**.............. -- 3,004,159 -- 3,004,159
---------- -------------- -- --------------
TOTAL..................................... $3,039,773 $1,700,090,830 -- $1,703,130,603
========== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
232
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investments at Value (including $41,578 of securities on loan).................. $ 1,650,189
Collateral from Securities on Loan Invested in Affiliate at Value (including
cost of $42,415)............................................................... 42,409
Segregated Cash for Swap Contracts.............................................. 10,152
Cash............................................................................ 56,218
Receivables:
Dividends, Interest and Tax Reclaims........................................... 9,339
Securities Lending Income...................................................... 12
Fund Shares Sold............................................................... 1,008
Futures Margin Variation....................................................... 1,223
Unrealized Gain on Swap Contracts............................................... 4,489
Unrealized Gain on Forward Currency Contracts................................... 3,011
Prepaid Expenses and Other Assets............................................... 46
--------------
Total Assets............................................................... 1,778,096
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................... 42,433
Fund Shares Redeemed........................................................... 1,231
Due to Advisor................................................................. 437
Segregated Cash for Swap Contracts.............................................. 5,532
Unrealized Loss on Forward Currency Contracts................................... 6
Accrued Expenses and Other Liabilities.......................................... 136
--------------
Total Liabilities.......................................................... 49,775
--------------
NET ASSETS...................................................................... $ 1,728,321
==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)......................................... 289,105,302
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE........................ $ 5.98
==============
Investments at Cost............................................................. $ 1,656,906
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................. $ 1,696,015
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)........................................................................ 30,284
Accumulated Net Realized Gain (Loss)............................................ (1,759)
Net Unrealized Foreign Exchange Gain (Loss)..................................... 2,975
Net Unrealized Appreciation (Depreciation)...................................... 806
--------------
NET ASSETS...................................................................... $ 1,728,321
==============
(1) NUMBER OF SHARES AUTHORIZED................................................. 1,800,000,000
==============
See accompanying Notes to Financial Statements.
233
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO#
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Interest........................................................................................... $24,768
Income from Securities Lending..................................................................... 202
-------
Total Investment Income........................................................................ 24,970
-------
EXPENSES
Investment Management Fees......................................................................... 6,065
Accounting & Transfer Agent Fees................................................................... 103
Custodian Fees..................................................................................... 54
Filing Fees........................................................................................ 108
Shareholders' Reports.............................................................................. 71
Directors'/Trustees' Fees & Expenses............................................................... 17
Professional Fees.................................................................................. 59
Other.............................................................................................. 45
-------
Total Expenses................................................................................. 6,522
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D).. (1,059)
Fees Paid Indirectly (Note C)...................................................................... (19)
-------
Net Expenses....................................................................................... 5,444
-------
NET INVESTMENT INCOME (LOSS)....................................................................... 19,526
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**..................................................................... (2,466)
Affiliated Investment Companies Shares Sold...................................................... (22)
Futures.......................................................................................... (4,294)
Swap Contracts................................................................................... 11,651
Foreign Currency Transactions.................................................................... (42)
Forward Currency Contracts....................................................................... 49
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................................................... (8,171)
Affiliated Investment Companies Shares........................................................... (4)
Futures.......................................................................................... 4,164
Swap Contracts................................................................................... 26,047
Translation of Foreign Currency Denominated Amounts.............................................. (30)
Forward Currency Contracts....................................................................... 3,005
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................................................ 29,887
-------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................... $49,413
=======
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
234
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA COMMODITY STRATEGY
PORTFOLIO
----------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................................... $ 19,526 $ 12,561
Net Realized Gain (Loss) on:
Investment Securities Sold*.................................................. (2,466) 484
Affiliated Investment Companies Shares Sold.................................. (22) --
Futures...................................................................... (4,294) 5,533
Swap Contracts............................................................... 11,651 22,428
Foreign Currency Transactions................................................ (42) --
Forward Currency Contracts................................................... 49 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................... (8,171) 1,678
Affiliated Investment Companies Shares....................................... (4) --
Futures...................................................................... 4,164 9
Swap Contracts............................................................... 26,047 (20,194)
Translation of Foreign Currency Denominated Amounts.......................... (30) --
Forward Currency Contracts................................................... 3,005 --
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations............ 49,413 22,499
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................................................... (22,518) (7,538)
Net Short-Term Gains:
Institutional Class Shares................................................... (875) --
Net Long-Term Gains:
Institutional Class Shares................................................... -- (155)
---------- ----------
Total Distributions........................................................ (23,393) (7,693)
---------- ----------
Capital Share Transactions (1):
Shares Issued.................................................................. 723,399 1,017,341
Shares Issued in Lieu of Cash Distributions.................................... 22,385 7,499
Shares Redeemed................................................................ (641,580) (648,620)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions.................... 104,204 376,220
---------- ----------
Total Increase (Decrease) in Net Assets.................................... 130,224 391,026
NET ASSETS
Beginning of Year.............................................................. 1,598,097 1,207,071
---------- ----------
End of Year.................................................................... $1,728,321 $1,598,097
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................................................. 123,067 183,938
Shares Issued in Lieu of Cash Distributions.................................... 3,816 1,318
Shares Redeemed................................................................ (109,656) (116,801)
---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed.................... 17,227 68,455
========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)........................................................................ $ 30,284 $ 32,632
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
235
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA COMMODITY STRATEGY PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................. $ 5.88 $ 5.93 $ 8.00 $ 8.30 $ 9.40
---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.07 0.05 0.05 0.06 0.06
Net Gains (Losses) on Securities (Realized and
Unrealized)...................................... 0.11 (0.07) (2.05) (0.31) (1.10)
---------- ---------- ---------- ---------- --------
Total from Investment Operations................. 0.18 (0.02) (2.00) (0.25) (1.04)
------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.08) (0.03) (0.06) (0.04) (0.04)
Net Realized Gains................................. -- -- (0.01) (0.01) (0.02)
---------- ---------- ---------- ---------- --------
Total Distributions.............................. (0.08) (0.03) (0.07) (0.05) (0.06)
------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year........................ $ 5.98 $ 5.88 $ 5.93 $ 8.00 $ 8.30
==================================================== ========== ========== ========== ========== ========
Total Return........................................ 3.15% (0.26)% (25.16)% (3.08)% (11.15)%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................. $1,728,321 $1,598,097 $1,207,071 $1,194,191 $786,314
Ratio of Expenses to Average Net Assets............. 0.33% 0.33% 0.34% 0.33% 0.34%
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% 0.40% 0.40% 0.39% 0.40%
Ratio of Net Investment Income to Average Net Assets 1.17% 0.95% 0.77% 0.65% 0.66%
Portfolio Turnover Rate............................. 102% 159% 124% 104% 64%
------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
236
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of one hundred 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
237
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 year ended October 31, 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 October 31, 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
238
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 October 31, 2017, the Portfolio held a $397,635,322 investment in the
Subsidiary, representing 23.01% of the Portfolio's total assets. The
accompanying consolidated financial statements include all assets, liabilities,
revenues and expenses of the Portfolio and its wholly-owned Subsidiary.
Intercompany balances and transactions have been eliminated in consolidation.
D. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the year ended October 31, 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 October 31,
2017, there were no previously waived fees/expenses assumed subject to future
recovery by the Advisor.
The Subsidiary has entered into a separate contract with the Advisor whereby
the Advisor or its affiliates provide investment advisory and other services to
the Subsidiary. For the investment advisory services it provides, the Advisor
is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's
average net assets on an annualized basis; however, pursuant to a contractual
agreement, the Advisor has agreed to waive the management fee of the Subsidiary.
For the year ended October 31, 2017, approximately $1,059 (in thousands) of
the Subsidiary's management fees were waived pursuant to the Subsidiary fee
waiver agreement.
239
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 year ended October 31, 2017, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Commodity Strategy Portfolio. $19
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2017, the total related amounts paid by the Fund
to the CCO were $303 (in thousands). The total related amounts paid by the
Portfolio are included in Other Expenses on the Statement of Operations.
E. DEFERRED COMPENSATION:
At October 31, 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. $24
F. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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. $1,138,550 $1,067,377 $582,484 $567,753
For the year ended October 31, 2017, transactions related to Affiliated
Investment Companies were as follows (amounts in thousands):
NET REALIZED DIVIDEND
GAIN/(LOSS) CHANGE IN INCOME FROM
ON SALES OF UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
DFA COMMODITY
STRATEGY PORTFOLIO
DFA Short Term
Investment Fund.... $102,403 $3,976,582 $4,036,550 $(22) $(4) $42,409 3,665 $1,332
-------- ---------- ---------- ---- --- ------- ----- ------
TOTAL............... $102,403 $3,976,582 $4,036,550 $(22) $(4) $42,409 3,665 $1,332
======== ========== ========== ==== === ======= ===== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
- -------------
DFA COMMODITY
STRATEGY PORTFOLIO
DFA Short Term
Investment Fund.... --
--
TOTAL............... --
==
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
240
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, 2017, primarily attributable
to adjustments between financial and tax reporting related to the Subsidiary,
the utilization of accumulated earnings and profits distributed to shareholders
on redemptions of shares as part of the dividends paid deduction for tax
purposes, reversal of book income/loss from controlled foreign corporation and
net foreign currency gains/losses, were reclassified to the following accounts.
These reclassifications had no effect on net assets or net asset value per
share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
DFA Commodity Strategy Portfolio. $5,774 $644 $(6,418)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2016 and October 31, 2017 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
DFA Commodity Strategy Portfolio
2016............................. $ 7,540 $154 $ 7,694
2017............................. 23,393 -- 23,393
At October 31, 2017, 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. $(5,774) -- $(5,774)
At October 31, 2017, 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. $39,616 -- $(1,758) $(5,453) $32,405
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, 2017, the
Portfolio had the following capital loss carryforwards available to offset
future realized capital gains through October 31 of the indicated expiration
dates, as applicable (amounts in thousands):
UNLIMITED TOTAL
--------- ------
DFA Commodity Strategy Portfolio. $1,758 $1,758
241
During the year ended October 31, 2017, the Portfolio did not utilize
capital loss carryforwards.
At October 31, 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. $1,708,552 $12,059 $(17,481) $(5,422)
ASC 740 Accounting for Uncertainty in Income Taxes sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
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.
242
4. Swap Agreements: The Portfolio may enter into swap agreements with
respect to commodities, interest rates and indexes of commodities or
securities, specific securities and commodities, and mortgage, credit and
event-linked swaps, and, to the extent the Portfolio may invest in
foreign-currency-denominated securities, the Portfolio may enter into swap
agreements with respect to foreign currencies.
The Portfolio may enter into swap transactions for any legal purpose
consistent with its investment objective and policies, such as for the purpose
of attempting to obtain or preserve a particular return or spread at a lower
cost than obtaining a return or spread through purchases and/or sales of
instruments in other markets, to seek to increase total return (speculation),
to protect against currency fluctuations, as a duration management technique,
to protect against any increase in the price of securities the Portfolio
anticipates purchasing at a later date, or to gain exposure to certain markets
in the most economical way possible.
A swap agreement may be negotiated bilaterally and traded over-the-counter
between the two parties (for an uncleared swap), while other swaps must be
transacted through a futures commission merchant ("FCM") and cleared through a
clearinghouse that serves as a central counterparty (for a cleared swap), and
may be traded on swap execution facilities (exchanges). Swap agreements are
contracts entered into primarily by institutional investors for periods ranging
from a few weeks to more than one year. In a standard "swap" transaction, two
parties agree to exchange the returns (or differentials in rates of return)
earned or realized on particular predetermined investments or instruments,
which may be adjusted for an interest factor. In an uncleared swap, the swap
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
243
requirements. Central clearing is intended to reduce counterparty credit risk
and increase liquidity, but central clearing does not eliminate these risks
completely. There is also a risk of loss by the Portfolio of the initial and
variation margin deposits in the event of bankruptcy of the FCM with which the
Portfolio has an open position, or the central counterparty in a swap contract.
The assets of the Portfolio may not be fully protected in the event of the
bankruptcy of the FCM or central counterparty because the Portfolio might be
limited to recovering only a pro rata share of all available funds and margin
segregated on behalf of an FCM's customers.
FUTURES ACTIVITIES:
The Portfolio may enter into commodity, foreign currency, interest rate and
commodity or securities index futures contracts and purchase and write (sell)
related options traded on exchanges designated by the CFTC or, consistent with
CFTC regulations, on foreign exchanges.
5. Futures Contracts: A commodity futures contract provides for the future
sale by one party and the future purchase by the other party of a specified
amount of a commodity, such as an energy, agricultural or metal commodity, at a
specified price, date, time and place. A foreign currency futures contract
provides for the future sale by one party and the future purchase by the other
party of a certain amount of a specified non-U.S. currency at a specified
price, date, time and place. An interest rate futures contract provides for the
future sale by one party and the purchase by the other party of a certain
amount of a specific interest rate sensitive financial instrument (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
244
writer of the option is required upon exercise to assume an offsetting futures
position (a short position if the option is a call and a long position if the
option is a put). Upon exercise of an option, the delivery of the futures
position by the writer of the option to the holder of the option will be
accompanied by delivery of the accumulated balance in the writer's futures
margin account, which represents the amount by which the market price of the
futures contract exceeds, in the case of a call, or is less than, in the case
of a put, the exercise price of the option on the futures contract. The
potential loss related to the purchase of an option on a futures contract is
limited to the premium paid for the option (plus transaction costs). The value
of the option changes daily, and that change is reflected in the net asset
value of the Portfolio.
The Portfolio may enter into options and futures transactions for several
purposes, including generating current income to offset expenses or increase
return, and as hedges to reduce investment risk, generally by making an
investment expected to move in the opposite direction of a portfolio position.
A hedge is designed to offset a loss in a portfolio position with a gain in the
hedged position; at the same time, however, a properly correlated hedge will
result in a gain in the portfolio position being offset by a loss in the hedged
position.
The Subsidiary's securities have been segregated as collateral for open
futures contracts.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2017 (amounts in thousands):
FORWARD
CURRENCY SWAP
CONTRACTS FUTURES CONTRACTS
--------- -------- ----------
DFA Commodity Strategy Portfolio. $17,238 $133,656 $1,519,367
The following is a summary of the location of derivatives on the Portfolio's
Statement of Assets and Liabilities as of October 31, 2017:
LOCATION ON THE STATEMENT OF ASSETS AND LIABILITIES
---------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------------ ------------------------
Forward Currency Unrealized Gain on Unrealized Loss on
Contracts Forward Currency Forward Currency
Contracts Contracts
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 October 31, 2017 (amounts in
thousands):
ASSET DERIVATIVES VALUE
---------------------------------------------------------
TOTAL VALUE FORWARD COMMODITY
AT CURRENCY EQUITY FUTURES SWAP
OCTOBER 31, 2017 CONTRACTS CONTRACTS CONTRACTS* CONTRACTS
---------------- --------- --------- ---------- ---------
DFA Commodity Strategy Portfolio. $12,813 $3,011 -- $ 5,313 $4,489
LIABILITY DERIVATIVES VALUE
---------------------------------------------------------
TOTAL VALUE FORWARD COMMODITY
AT CURRENCY EQUITY FUTURES SWAP
OCTOBER 31, 2017 CONTRACTS CONTRACTS CONTRACTS* CONTRACTS
---------------- --------- --------- ---------- ---------
DFA Commodity Strategy Portfolio. $(2,279) $ (6) -- $(2,273) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
245
The following is a summary of the location on the Portfolio's Statement of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings for the year ended October 31, 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
Forward Currency Contracts Net Realized Gain (Loss) on: Forward Currency Contracts
Change in Unrealized Appreciation (Depreciation) of:
Forward Currency Contracts
Swap Contracts Net Realized Gain (Loss) on: Swap Contracts
Change in Unrealized Appreciation (Depreciation) of:
Swap Contracts
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES
-------------------------------------
FORWARD COMMODITY
CURRENCY FUTURES SWAP
TOTAL CONTRACTS CONTRACTS CONTRACTS
------- --------- --------- ---------
DFA Commodity Strategy Portfolio. $ 7,406 $ 49 $(4,294) $11,651
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
-------------------------------------
FORWARD COMMODITY
CURRENCY FUTURES SWAP
TOTAL CONTRACTS CONTRACTS CONTRACTS
------- --------- --------- ---------
DFA Commodity Strategy Portfolio. $33,216 $3,005 $ 4,164 $26,047
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 forward currency 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."
246
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 October 31, 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
---------------------------------------------------- -----------------------------------------------------
DFA COMMODITY
STRATEGY PORTFOLIO
Forward Currency
Contracts.......... $3,011 $3,011 $(6) -- $3,005 $ 6 $ 6 $(6) -- --
Swap Contracts...... 4,489 4,489 -- $(1,063) 3,426 -- -- -- -- --
(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.
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 year ended October 31, 2017.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolio may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in
247
the program only if and to the extent that such participation is consistent
with its investment objectives and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice.
The Portfolio did not utilize the interfund lending program during the year
ended October 31, 2017.
J. SECURITIES LENDING:
As of October 31, 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
which the Advisor receives a management fee of 0.05% of the average daily net
assets of the Money Market Series. Income received from the Money Market Series
is netted with fees for securities lending and collateral investment expenses,
and other payments to and from borrowers of securities. The Portfolio also may
invest the cash collateral received for the loaned securities in securities of
the U.S. government or its agencies, repurchase agreements collateralized by
securities of the U.S. government or its agencies, and affiliated and
unaffiliated registered and unregistered money market funds. For purposes of
this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, the Portfolio will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 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. $42,408,663 -- -- -- $42,408,663
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.
248
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. RECENTLY ISSUED ACCOUNTING STANDARDS:
In October 2016, the U.S. Securities and Exchange Commission ("SEC") adopted
new rules and forms, and amendments to certain current rules and forms, to
modernize reporting and disclosure of information by registered investment
companies. The amendments to Regulation S-X require standardized, enhanced
disclosure about derivatives in investment company financial statements, and
also change the rules governing the form and content of such financial
statements. The amendments to Regulation S-X took effect on August 1, 2017, and
the financial statements have been modified accordingly, as applicable.
M. OTHER:
At October 31, 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.
N. 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.
249
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of DFA Commodity Strategy Portfolio
In our opinion, the accompanying consolidated statement of assets and
liabilities, including the consolidated schedule of investments, and the
related consolidated statements of operations and of changes in net assets and
the consolidated financial highlights present fairly, in all material respects,
the financial position of DFA Commodity Strategy Portfolio (one of the
portfolios constituting DFA Investment Dimensions Group Inc., hereafter
referred to as the "Portfolio") as of October 31, 2017, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the financial highlights for each of
the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities as of October 31, 2017 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
250
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO -- CLASS R2 VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
APRIL 30, 2008-OCTOBER 31, 2017
[CHART]
DFA International Value MSCI World ex USA Index
Portfolio - Class R2 (net dividends)
----------------------- ------------------------
4/30/2008 $10,000 $10,000
5/31/2008 10,000 10,152
6/30/2008 9,006 9,362
7/31/2008 8,752 9,029
8/31/2008 8,381 8,680
9/30/2008 7,404 7,427
10/31/2008 5,537 5,882
11/30/2008 5,194 5,563
12/31/2008 5,594 5,856
1/31/2009 4,819 5,310
2/28/2009 4,220 4,772
3/31/2009 4,686 5,087
4/30/2009 5,539 5,743
5/31/2009 6,361 6,469
6/30/2009 6,268 6,402
7/31/2009 7,007 7,003
8/31/2009 7,404 7,339
9/30/2009 7,789 7,641
10/31/2009 7,467 7,519
11/30/2009 7,685 7,705
12/31/2009 7,769 7,828
1/31/2010 7,316 7,461
2/28/2010 7,340 7,453
3/31/2010 7,920 7,933
4/30/2010 7,781 7,815
5/31/2010 6,874 6,952
6/30/2010 6,751 6,852
7/31/2010 7,584 7,485
8/31/2010 7,209 7,261
9/30/2010 7,990 7,958
10/31/2010 8,259 8,241
11/30/2010 7,836 7,892
12/31/2010 8,567 8,528
1/31/2011 8,931 8,712
2/28/2011 9,224 9,035
3/31/2011 8,966 8,854
4/30/2011 9,443 9,336
5/31/2011 9,097 9,059
6/30/2011 8,968 8,930
7/31/2011 8,679 8,783
8/31/2011 7,744 8,040
9/30/2011 6,896 7,233
10/31/2011 7,555 7,936
11/30/2011 7,306 7,569
12/31/2011 7,106 7,487
1/31/2012 7,579 7,891
2/29/2012 7,974 8,325
3/31/2012 7,907 8,263
4/30/2012 7,622 8,123
5/31/2012 6,676 7,197
6/30/2012 7,146 7,669
7/31/2012 7,112 7,764
8/31/2012 7,407 7,986
9/30/2012 7,665 8,228
10/31/2012 7,759 8,286
11/30/2012 7,877 8,460
12/31/2012 8,263 8,716
1/31/2013 8,646 9,144
2/28/2013 8,382 9,053
3/31/2013 8,408 9,125
4/30/2013 8,817 9,541
5/31/2013 8,707 9,327
6/30/2013 8,400 8,978
7/31/2013 8,968 9,455
8/31/2013 8,902 9,333
9/30/2013 9,570 9,993
10/31/2013 9,901 10,328
11/30/2013 9,931 10,391
12/31/2013 10,149 10,548
1/31/2014 9,775 10,122
2/28/2014 10,328 10,675
3/31/2014 10,249 10,627
4/30/2014 10,420 10,794
5/31/2014 10,529 10,961
6/30/2014 10,661 11,117
7/31/2014 10,419 10,919
8/31/2014 10,419 10,928
9/30/2014 9,956 10,479
10/31/2014 9,782 10,312
11/30/2014 9,787 10,439
12/31/2014 9,412 10,092
1/31/2015 9,348 10,056
2/28/2015 10,014 10,657
3/31/2015 9,801 10,479
4/30/2015 10,334 10,933
5/31/2015 10,334 10,838
6/30/2015 10,032 10,530
7/31/2015 9,934 10,697
8/31/2015 9,191 9,917
9/30/2015 8,557 9,417
10/31/2015 9,216 10,125
11/30/2015 9,091 9,964
12/31/2015 8,798 9,785
1/31/2016 8,107 9,112
2/29/2016 7,843 8,985
3/31/2016 8,438 9,594
4/30/2016 8,841 9,903
5/31/2016 8,675 9,791
6/30/2016 8,356 9,493
7/31/2016 8,727 9,960
8/31/2016 8,958 9,970
9/30/2016 9,063 10,091
10/31/2016 9,176 9,895
11/30/2016 9,215 9,736
12/31/2016 9,517 10,054
1/31/2017 9,926 10,354
2/28/2017 9,852 10,473
3/31/2017 10,071 10,739
4/30/2017 10,214 10,967
5/31/2017 10,385 11,333
6/30/2017 10,493 11,343
7/31/2017 10,985 11,681
8/31/2017 10,967 11,678 Past performance is not predictive of
9/30/2017 11,357 11,981 future performance.
10/31/2017 11,561 12,145 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR YEARS INCEPTION redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2017, all
25.99% 8.30% 1.54% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA International Value MSCI World ex USA Index
Portfolio - Institutional Class (net dividends)
------------------------------- -----------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,392 9,609
12/31/2007 9,188 9,428
1/31/2008 8,444 8,578
2/29/2008 8,334 8,734
3/31/2008 8,434 8,609
4/30/2008 8,809 9,088
5/31/2008 8,812 9,225
6/30/2008 7,938 8,508
7/31/2008 7,713 8,205
8/31/2008 7,387 7,888
9/30/2008 6,525 6,749
10/31/2008 4,888 5,345
11/30/2008 4,588 5,055
12/31/2008 4,931 5,322
1/31/2009 4,252 4,825
2/28/2009 3,730 4,337
3/31/2009 4,135 4,623
4/30/2009 4,894 5,219
5/31/2009 5,622 5,879
6/30/2009 5,537 5,818
7/31/2009 6,193 6,364
8/31/2009 6,544 6,669
9/30/2009 6,881 6,944
10/31/2009 6,604 6,833
11/30/2009 6,797 7,002
12/31/2009 6,876 7,113
1/31/2010 6,477 6,780
2/28/2010 6,497 6,773
3/31/2010 7,015 7,209
4/30/2010 6,894 7,102
5/31/2010 6,083 6,318
6/30/2010 5,977 6,227
7/31/2010 6,723 6,802
8/31/2010 6,391 6,599
9/30/2010 7,075 7,232
10/31/2010 7,326 7,489
11/30/2010 6,952 7,172
12/31/2010 7,603 7,750
1/31/2011 7,926 7,917
2/28/2011 8,186 8,210
3/31/2011 7,961 8,046
4/30/2011 8,384 8,484
5/31/2011 8,081 8,232
6/30/2011 7,968 8,115
7/31/2011 7,711 7,981
8/31/2011 6,884 7,307
9/30/2011 6,131 6,573
10/31/2011 6,721 7,212
11/30/2011 6,496 6,879
12/31/2011 6,322 6,804
1/31/2012 6,747 7,171
2/29/2012 7,094 7,565
3/31/2012 7,039 7,509
4/30/2012 6,785 7,382
5/31/2012 5,947 6,540
6/30/2012 6,366 6,969
7/31/2012 6,340 7,056
8/31/2012 6,598 7,257
9/30/2012 6,833 7,477
10/31/2012 6,921 7,530
11/30/2012 7,027 7,688
12/31/2012 7,372 7,920
1/31/2013 7,714 8,310
2/28/2013 7,483 8,227
3/31/2013 7,505 8,292
4/30/2013 7,875 8,670
5/31/2013 7,777 8,476
6/30/2013 7,503 8,158
7/31/2013 8,015 8,592
8/31/2013 7,956 8,482
9/30/2013 8,556 9,081
10/31/2013 8,852 9,386
11/30/2013 8,884 9,443
12/31/2013 9,077 9,586
1/31/2014 8,742 9,199
2/28/2014 9,241 9,701
3/31/2014 9,175 9,657
4/30/2014 9,328 9,809
5/31/2014 9,430 9,961
6/30/2014 9,544 10,103
7/31/2014 9,331 9,923
8/31/2014 9,331 9,931
9/30/2014 8,923 9,523
10/31/2014 8,766 9,371
11/30/2014 8,771 9,487
12/31/2014 8,442 9,171
1/31/2015 8,385 9,139
2/28/2015 8,983 9,685
3/31/2015 8,791 9,523
4/30/2015 9,274 9,935
5/31/2015 9,279 9,849
6/30/2015 9,009 9,569
7/31/2015 8,921 9,721
8/31/2015 8,254 9,013
9/30/2015 7,690 8,558
10/31/2015 8,277 9,201
11/30/2015 8,170 9,055
12/31/2015 7,909 8,893
1/31/2016 7,288 8,280
2/29/2016 7,056 8,165
3/31/2016 7,588 8,719
4/30/2016 7,955 8,999
5/31/2016 7,806 8,898
6/30/2016 7,520 8,627
7/31/2016 7,858 9,052
8/31/2016 8,065 9,060
9/30/2016 8,159 9,170
10/31/2016 8,261 8,992
11/30/2016 8,301 8,848
12/31/2016 8,574 9,137
1/31/2017 8,943 9,409
2/28/2017 8,881 9,517
3/31/2017 9,083 9,759
4/30/2017 9,211 9,967
5/31/2017 9,370 10,299
6/30/2017 9,469 10,308
7/31/2017 9,912 10,615
8/31/2017 9,901 10,613 Past performance is not predictive of
9/30/2017 10,255 10,888 future performance.
10/31/2017 10,438 11,037 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2017, all
26.36% 8.56% 0.43% rights reserved.
--------------------------------------------------------------------------------
251
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Large Company
Portfolio S&P 500 Index
------------------ -------------
10/31/2007 $10,000 $10,000
11/30/2007 9,580 9,582
12/31/2007 9,520 9,515
1/31/2008 8,947 8,944
2/29/2008 8,657 8,654
3/31/2008 8,625 8,616
4/30/2008 9,041 9,036
5/31/2008 9,157 9,154
6/30/2008 8,389 8,382
7/31/2008 8,322 8,311
8/31/2008 8,439 8,432
9/30/2008 7,696 7,680
10/31/2008 6,409 6,390
11/30/2008 5,955 5,932
12/31/2008 6,020 5,995
1/31/2009 5,519 5,490
2/28/2009 4,932 4,905
3/31/2009 5,364 5,335
4/30/2009 5,878 5,845
5/31/2009 6,211 6,172
6/30/2009 6,219 6,185
7/31/2009 6,692 6,652
8/31/2009 6,933 6,892
9/30/2009 7,193 7,150
10/31/2009 7,055 7,017
11/30/2009 7,478 7,438
12/31/2009 7,623 7,581
1/31/2010 7,353 7,309
2/28/2010 7,579 7,535
3/31/2010 8,038 7,990
4/30/2010 8,161 8,116
5/31/2010 7,506 7,468
6/30/2010 7,114 7,077
7/31/2010 7,612 7,573
8/31/2010 7,271 7,231
9/30/2010 7,918 7,876
10/31/2010 8,217 8,176
11/30/2010 8,217 8,177
12/31/2010 8,766 8,724
1/31/2011 8,978 8,930
2/28/2011 9,279 9,236
3/31/2011 9,290 9,240
4/30/2011 9,557 9,514
5/31/2011 9,450 9,406
6/30/2011 9,290 9,249
7/31/2011 9,102 9,061
8/31/2011 8,612 8,569
9/30/2011 8,002 7,966
10/31/2011 8,881 8,837
11/30/2011 8,854 8,818
12/31/2011 8,950 8,908
1/31/2012 9,348 9,307
2/29/2012 9,746 9,709
3/31/2012 10,072 10,029
4/30/2012 10,009 9,966
5/31/2012 9,401 9,367
6/30/2012 9,790 9,753
7/31/2012 9,927 9,888
8/31/2012 10,145 10,111
9/30/2012 10,407 10,372
10/31/2012 10,215 10,181
11/30/2012 10,279 10,240
12/31/2012 10,366 10,333
1/31/2013 10,902 10,869
2/28/2013 11,050 11,016
3/31/2013 11,465 11,429
4/30/2013 11,687 11,649
5/31/2013 11,956 11,922
6/30/2013 11,800 11,762
7/31/2013 12,396 12,360
8/31/2013 12,033 12,002
9/30/2013 12,412 12,379
10/31/2013 12,983 12,948
11/30/2013 13,376 13,342
12/31/2013 13,717 13,680
1/31/2014 13,237 13,207
2/28/2014 13,849 13,811
3/31/2014 13,962 13,927
4/30/2014 14,066 14,030
5/31/2014 14,387 14,360
6/30/2014 14,684 14,656
7/31/2014 14,484 14,454
8/31/2014 15,064 15,032
9/30/2014 14,850 14,822
10/31/2014 15,212 15,184
11/30/2014 15,623 15,592
12/31/2014 15,574 15,553
1/31/2015 15,103 15,086
2/28/2015 15,977 15,953
3/31/2015 15,723 15,701
4/30/2015 15,867 15,851
5/31/2015 16,070 16,055
6/30/2015 15,763 15,744
7/31/2015 16,092 16,074
8/31/2015 15,124 15,104
9/30/2015 14,750 14,731
10/31/2015 15,986 15,973
11/30/2015 16,045 16,021
12/31/2015 15,789 15,768
1/31/2016 14,998 14,985
2/29/2016 14,988 14,965
3/31/2016 16,001 15,980
4/30/2016 16,060 16,042
5/31/2016 16,349 16,330
6/30/2016 16,384 16,373
7/31/2016 16,994 16,976
8/31/2016 17,014 17,000
9/30/2016 17,023 17,003
10/31/2016 16,712 16,693
11/30/2016 17,324 17,312
12/31/2016 17,667 17,654
1/31/2017 18,002 17,989
2/28/2017 18,723 18,703
3/31/2017 18,737 18,725
4/30/2017 18,931 18,917
5/31/2017 19,196 19,183
6/30/2017 19,311 19,303
7/31/2017 19,711 19,700 Past performance is not predictive of
8/31/2017 19,762 19,760 future performance.
9/30/2017 20,174 20,168 The returns shown do not reflect the
10/31/2017 20,647 20,638 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Copyright 2017 S&P Dow Jones Indices
-------------------------------------------- LLC, a division of S&P Global. All rights
23.55% 15.11% 7.52% reserved.
--------------------------------------------------------------------------------
252
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
Performance of non-U.S. developed markets was positive for the period. As
measured by the MSCI World ex USA indices, small-cap stocks outperformed
large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
RETURN IN U.S. DOLLARS
- ----------------------
MSCI World ex USA Index........... 22.74%
MSCI World ex USA Small Cap Index. 25.86%
MSCI World ex USA Value Index..... 23.05%
MSCI World ex USA Growth Index.... 22.40%
For the 12 months ended October 31, 2017, the U.S. dollar depreciated
against currencies of most other developed markets. Overall, currency movements
had a positive impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. 27.38% 17.80%
United Kingdom.................... 11.80% 21.60%
France............................ 25.50% 33.37%
Canada............................ 11.32% 15.73%
Germany........................... 22.29% 29.96%
Switzerland....................... 21.26% 20.30%
Australia......................... 16.30% 17.18%
Hong Kong......................... 18.75% 18.09%
Netherlands....................... 25.39% 32.59%
Spain............................. 20.43% 27.98%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2017, all rights reserved
Emerging markets had positive performance for the period, outperforming both
the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and growth
stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
RETURN IN U.S. DOLLARS
- ----------------------
MSCI Emerging Markets Index........... 26.45%
MSCI Emerging Markets Small Cap Index. 20.72%
MSCI Emerging Markets Value Index..... 20.70%
MSCI Emerging Markets Growth Index.... 32.25%
For the 12 months ended October 31, 2017, the U.S. dollar depreciated
against some emerging markets currencies, but appreciated against others.
Overall, currency movements had a positive impact on the U.S.
dollar-denominated returns of emerging markets.
253
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
China........................ 41.71% 41.06%
Korea........................ 37.49% 40.42%
Taiwan....................... 20.17% 25.74%
India........................ 19.48% 23.20%
Brazil....................... 13.32% 9.67%
South Africa................. 16.76% 11.32%
Russia....................... 9.16% 16.56%
Mexico....................... 4.11% 2.35%
Indonesia.................... 10.16% 5.98%
Malaysia..................... 7.08% 6.11%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2017, all rights reserved.
For funds investing in non-U.S. equities traded outside of the U.S. market
time zone, differences in the valuation timing and methodology between a
portfolio and its benchmark may impact relative performance over the referenced
period. The portfolios price foreign exchange rates at the closing of the U.S.
market, while their benchmark indices use rates at 4 p.m. London time. The
portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2017,
these differences generally benefited the portfolios' relative performance.
DFA INTERNATIONAL VALUE PORTFOLIO
The DFA International Value Portfolio is designed to capture the returns of
developed ex U.S. large company value stocks by purchasing shares of the DFA
International Value Series, a Master Fund managed by Dimensional that invests
in such securities. Value is measured primarily by price-to-book ratio. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Master Fund held approximately 510 securities in 22
eligible developed markets. In general, average cash exposure throughout the
year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2017, total returns were 25.99% for the
Portfolio's Class R2 shares, 26.36% for the Portfolio's Institutional
Class shares, and 22.74% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. With low relative price (value) stocks outperforming high relative
price (growth) stocks for the period, the Master Fund's emphasis on value
stocks contributed positively to performance relative to the benchmark. The
Master Fund's general exclusion of real estate investment trusts (REITs) and
certain utilities had a positive impact on relative performance, as REITs and
utilities underperformed the benchmark.
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
U.S. equities had positive returns for the period. The broad U.S. equity
market, as measured by the Russell 3000(R) Index, gained approximately 24.0%.
Small-cap stocks outperformed large-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2017
-------------------------------------------------
Russell 3000(R) Index........................ 23.98%
Russell Microcap(R) Index (micro-cap stocks). 29.52%
Russell 2000(R) Index (small-cap stocks)..... 27.85%
Russell 1000(R) Index (large-cap stocks)..... 23.67%
Dow Jones U.S. Select REIT Index/SM/......... 3.94%
Value stocks underperformed growth stocks as measured by the Russell
indices. However, when measured by price-to-book ratio, deeper value stocks
outperformed other value stocks.
254
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2017
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 24.81%
Russell 2000(R) Growth Index (small-cap growth stocks). 31.00%
Russell 1000(R) Value Index (large-cap value stocks)... 17.78%
Russell 1000(R) Growth Index (large-cap growth stocks). 29.71%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE COMPANY PORTFOLIO
The U.S. Large Company Portfolio seeks to approximate the returns of the S&P
500(R) Index by investing in S&P 500(R) Index securities in approximately the
same proportions as they are represented in the Index. As of October 31, 2017,
the Portfolio held approximately 500 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, the total return was 23.55% for
the Portfolio and 23.63% for the S&P 500(R) Index, the Portfolio's benchmark.
The Portfolio performed in line with the benchmark before fees and expenses.
255
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,131.90 0.68% $3.65
Institutional Class Shares......... $1,000.00 $1,133.20 0.43% $2.31
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.78 0.68% $3.47
Institutional Class Shares......... $1,000.00 $1,023.04 0.43% $2.19
256
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE COMPANY PORTFOLIO
----------------------------
Actual Fund Return............ $1,000.00 $1,090.70 0.08% $0.42
Hypothetical 5% Annual Return. $1,000.00 $1,024.80 0.08% $0.41
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (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).
257
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 29, 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....................... 11.9%
Consumer Staples............................. 7.9%
Energy....................................... 5.9%
Financials................................... 14.7%
Health Care.................................. 14.1%
Industrials.................................. 10.0%
Information Technology....................... 24.5%
Materials.................................... 3.0%
Real Estate.................................. 2.9%
Telecommunication Services................... 1.9%
Utilities.................................... 3.2%
-----
100.0%
258
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The
DFA Investment Trust Company.............................. $9,848,536,734
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $9,848,536,734
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2017,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
259
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (97.4%)
Consumer Discretionary -- (11.6%)
* Amazon.com, Inc................... 143,914 $ 159,065,266 2.0%
Comcast Corp. Class A............. 1,697,273 61,152,746 0.8%
Home Depot, Inc. (The)............ 425,419 70,525,962 0.9%
McDonald's Corp................... 292,122 48,758,083 0.6%
* Priceline Group, Inc. (The)....... 17,730 33,899,051 0.4%
Walt Disney Co. (The)............. 556,803 54,460,901 0.7%
Other Securities.................. 517,379,956 6.4%
-------------- -----
Total Consumer Discretionary.......... 945,241,965 11.8%
-------------- -----
Consumer Staples -- (7.7%)
Altria Group, Inc................. 691,854 44,430,864 0.5%
Coca-Cola Co. (The)............... 1,385,181 63,690,622 0.8%
PepsiCo, Inc...................... 515,367 56,808,904 0.7%
Philip Morris International, Inc.. 560,394 58,639,628 0.7%
Procter & Gamble Co. (The)........ 920,414 79,468,545 1.0%
Wal-Mart Stores, Inc.............. 527,866 46,087,981 0.6%
Other Securities.................. 282,006,147 3.6%
-------------- -----
Total Consumer Staples................ 631,132,691 7.9%
-------------- -----
Energy -- (5.8%)
Chevron Corp...................... 683,991 79,267,717 1.0%
Exxon Mobil Corp.................. 1,529,419 127,477,074 1.6%
Other Securities.................. 264,460,405 3.3%
-------------- -----
Total Energy.......................... 471,205,196 5.9%
-------------- -----
Financials -- (14.3%)
Bank of America Corp.............. 3,541,605 97,004,561 1.2%
* Berkshire Hathaway, Inc. Class B.. 694,514 129,832,447 1.6%
Citigroup, Inc.................... 983,300 72,272,550 0.9%
JPMorgan Chase & Co............... 1,270,152 127,789,993 1.6%
Wells Fargo & Co.................. 1,612,539 90,527,939 1.1%
Other Securities.................. 652,273,989 8.2%
-------------- -----
Total Financials...................... 1,169,701,479 14.6%
-------------- -----
Health Care -- (13.7%)
Abbott Laboratories............... 627,915 34,051,830 0.4%
AbbVie, Inc....................... 575,050 51,898,263 0.6%
Amgen, Inc........................ 263,152 46,109,493 0.6%
Bristol-Myers Squibb Co........... 591,348 36,462,518 0.5%
Gilead Sciences, Inc.............. 471,964 35,378,421 0.4%
Johnson & Johnson................. 968,776 135,057,062 1.7%
Medtronic P.L.C................... 488,485 39,332,812 0.5%
Merck & Co., Inc.................. 986,916 54,369,202 0.7%
Pfizer, Inc....................... 2,154,043 75,520,748 0.9%
UnitedHealth Group, Inc........... 348,941 73,354,377 0.9%
Other Securities.................. 538,916,727 6.8%
-------------- -----
Total Health Care..................... 1,120,451,453 14.0%
-------------- -----
Industrials -- (9.8%)
3M Co............................. 215,221 49,541,722 0.6%
Boeing Co. (The).................. 200,419 51,704,094 0.6%
General Electric Co............... 3,124,518 62,990,283 0.8%
260
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Honeywell International, Inc.................................. 275,537 $ 39,721,414 0.5%
Other Securities.............................................. 594,062,809 7.5%
-------------- ------
Total Industrials................................................... 798,020,322 10.0%
-------------- ------
Information Technology -- (23.8%)
* Alphabet, Inc. Class A........................................ 107,578 111,132,377 1.4%
* Alphabet, Inc. Class C........................................ 108,955 110,768,011 1.4%
Apple, Inc.................................................... 1,864,362 315,151,753 3.9%
Broadcom, Ltd................................................. 146,621 38,694,748 0.5%
Cisco Systems, Inc............................................ 1,804,117 61,610,596 0.8%
* Facebook, Inc. Class A........................................ 855,559 154,051,954 1.9%
Intel Corp.................................................... 1,695,778 77,140,941 1.0%
International Business Machines Corp.......................... 312,602 48,159,464 0.6%
Mastercard, Inc. Class A...................................... 336,778 50,102,463 0.6%
Microsoft Corp................................................ 2,780,085 231,247,470 2.9%
NVIDIA Corp................................................... 216,362 44,745,825 0.6%
Oracle Corp................................................... 1,089,326 55,446,693 0.7%
Texas Instruments, Inc........................................ 357,047 34,522,874 0.4%
# Visa, Inc. Class A............................................ 660,208 72,609,676 0.9%
Other Securities.............................................. 542,679,450 6.8%
-------------- ------
Total Information Technology........................................ 1,948,064,295 24.4%
-------------- ------
Materials -- (2.9%)
DowDuPont, Inc................................................ 841,839 60,873,378 0.8%
Other Securities.............................................. 180,037,814 2.2%
-------------- ------
Total Materials..................................................... 240,911,192 3.0%
-------------- ------
Real Estate -- (2.9%)
Other Securities.............................................. 233,976,658 2.9%
-------------- ------
Telecommunication Services -- (1.8%)
AT&T, Inc..................................................... 2,216,171 74,574,154 0.9%
Verizon Communications, Inc................................... 1,472,250 70,476,607 0.9%
Other Securities.............................................. 6,646,994 0.1%
-------------- ------
Total Telecommunication Services.................................... 151,697,755 1.9%
-------------- ------
Utilities -- (3.1%)
Other Securities.............................................. 252,274,717 3.2%
-------------- ------
TOTAL COMMON STOCKS................................................. 7,962,677,723 99.6%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 7,962,677,723
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 28,357,388 28,357,388 0.4%
-------------- ------
SECURITIES LENDING COLLATERAL -- (2.3%)
(S)@ DFA Short Term Investment Fund................................ 16,039,538 185,593,492 2.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,792,238,294).............................................. $8,176,628,603 102.3%
============== ======
261
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
At October 31, 2017, U.S. Large Company Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R).... 262 12/15/17 $33,619,653 $33,702,370 $82,717
----------- ----------- -------
TOTAL FUTURES CONTRACTS... $33,619,653 $33,702,370 $82,717
=========== =========== =======
Summary of the Fund's investments as of October 31, 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......... $ 945,241,965 -- -- $ 945,241,965
Consumer Staples............... 631,132,691 -- -- 631,132,691
Energy......................... 471,205,196 -- -- 471,205,196
Financials..................... 1,169,701,479 -- -- 1,169,701,479
Health Care.................... 1,120,451,453 -- -- 1,120,451,453
Industrials.................... 798,020,322 -- -- 798,020,322
Information Technology......... 1,948,064,295 -- -- 1,948,064,295
Materials...................... 240,911,192 -- -- 240,911,192
Real Estate.................... 233,976,658 -- -- 233,976,658
Telecommunication Services..... 151,697,755 -- -- 151,697,755
Utilities...................... 252,274,717 -- -- 252,274,717
Temporary Cash Investments...... 28,357,388 -- -- 28,357,388
Securities Lending Collateral... -- $185,593,492 -- 185,593,492
Futures Contracts**............. 82,717 -- -- 82,717
-------------- ------------ -- --------------
TOTAL........................... $7,991,117,828 $185,593,492 -- $8,176,711,320
============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
262
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(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....................................... $ 9,848,537 --
Investments at Value (including $0 and $407,857 of securities on loan, respectively)........ -- $ 7,962,678
Temporary Cash Investments at Value & Cost.................................................. -- 28,357
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0 and
$185,581).................................................................................. -- 185,593
Segregated Cash for Futures Contracts....................................................... -- 252
Receivables:
Dividends, Interest and Tax Reclaims...................................................... -- 6,652
Securities Lending Income................................................................. -- 65
Fund Shares Sold.......................................................................... 5,854 4,879
Futures Margin Variation.................................................................. -- 59
Prepaid Expenses and Other Assets........................................................... 93 98
-------------- ------------
Total Assets........................................................................... 9,854,484 8,188,633
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................................................... -- 185,555
Fund Shares Redeemed...................................................................... 11,102 5,619
Due to Advisor............................................................................ 1,655 378
Accrued Expenses and Other Liabilities...................................................... 588 903
-------------- ------------
Total Liabilities...................................................................... 13,345 192,455
-------------- ------------
NET ASSETS.................................................................................. $ 9,841,139 $ 7,996,178
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $3,508 and $0 and shares outstanding of
176,386 and 0, respectively................................................................ $ 19.89 N/A
============== ============
NUMBER OF SHARES AUTHORIZED................................................................. 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $9,837,631 and $7,996,178 and shares
outstanding of 493,369,218 and 398,901,388, respectively................................... $ 19.94 $ 20.05
============== ============
NUMBER OF SHARES AUTHORIZED................................................................. 1,500,000,000 900,000,000
============== ============
Investments at Cost......................................................................... N/A $ 3,578,301
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................................. $ 8,259,000 $ 3,752,856
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...... 30,626 8,050
Accumulated Net Realized Gain (Loss)........................................................ (75,739) (149,204)
Net Unrealized Foreign Exchange Gain (Loss)................................................. (40) --
Net Unrealized Appreciation (Depreciation).................................................. 1,627,292 4,384,476
-------------- ------------
NET ASSETS.................................................................................. $ 9,841,139 $ 7,996,178
============== ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
263
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
DFA U.S. LARGE
INTERNATIONAL COMPANY
VALUE PORTFOLIO*# PORTFOLIO#
----------------- ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $24,693 and $0, respectively)....... $ 296,868 --
Income from Securities Lending.................................................. 7,241 --
Expenses Allocated from Affiliated Investment Company........................... (18,105) --
---------- ----------
Total Net Investment Income Received from Affiliated Investment Companies...... 286,004 --
---------- ----------
FUND INVESTMENT INCOME
Dividends......................................................................... -- $ 151,436
Income from Securities Lending.................................................... -- 844
---------- ----------
Total Investment Income........................................................ -- 152,280
---------- ----------
FUND EXPENSES
Investment Management Fees........................................................ 34,266 4,420
Accounting & Transfer Agent Fees.................................................. 244 429
S&P 500(R) Fees................................................................... -- 102
Custodian Fees.................................................................... -- 96
Shareholder Servicing Fees
Class R2 Shares................................................................. 10 --
Filing Fees....................................................................... 334 166
Shareholders' Reports............................................................. 334 149
Directors'/Trustees' Fees & Expenses.............................................. 82 72
Professional Fees................................................................. 183 217
Other............................................................................. 43 218
---------- ----------
Total Expenses................................................................. 35,496 5,869
---------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor (Note C)................................................................. -- 24
Institutional Class Shares...................................................... (17,125) --
Class R2 Shares................................................................. (8) --
---------- ----------
Net Expenses...................................................................... 18,363 5,893
---------- ----------
NET INVESTMENT INCOME (LOSS)...................................................... 267,641 146,387
---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................... 104,748 25,596
Affiliated Investment Companies Shares Sold..................................... -- 21
Futures......................................................................... 12,673 4,571
Foreign Currency Transactions................................................... (1,987) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................... 1,639,175 1,352,486
Affiliated Investment Companies Shares.......................................... -- (37)
Futures......................................................................... 2,759 181
Translation of Foreign Currency Denominated Amounts............................. 803 --
---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................... 1,758,171 1,382,818
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... $2,025,812 $1,529,205
========== ==========
----------
* 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.
264
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE U.S. LARGE COMPANY
PORTFOLIO PORTFOLIO
------------------------ ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................. $ 267,641 $ 229,798 $ 146,387 $ 131,507
Net Realized Gain (Loss) on:
Investment Securities Sold*................................. 104,748 (189,967) 25,596 44,973
Affiliated Investment Companies Shares Sold................. -- -- 21 --
Futures..................................................... 12,673 4,316 4,571 (5,349)
Foreign Currency Transactions............................... (1,987) 4,081 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 1,639,175 3,950 1,352,486 140,290
Affiliated Investment Companies Shares...................... -- -- (37) --
Futures..................................................... 2,759 (482) 181 (356)
Translation of Foreign Currency Denominated Amounts......... 803 (650) -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ 2,025,812 51,046 1,529,205 311,065
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares............................................. (109) (336) -- --
Institutional Class Shares.................................. (277,230) (224,465) (154,814) (125,202)
Net Short-Term Gains:
Institutional Class Shares.................................. -- -- (124) --
Net Long-Term Gains:
Institutional Class Shares.................................. -- -- (38,779) (47,852)
----------- ----------- ----------- -----------
Total Distributions........................................ (277,339) (224,801) (193,717) (173,054)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................................. 1,967,887 2,442,715 1,555,398 1,529,402
Shares Issued in Lieu of Cash Distributions................... 269,559 218,177 171,570 150,286
Shares Redeemed............................................... (1,418,753) (2,019,049) (1,432,214) (1,262,506)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share Transactions.... 818,693 641,843 294,754 417,182
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets.................... 2,567,166 468,088 1,630,242 555,193
NET ASSETS
Beginning of Year............................................. 7,273,973 6,805,885 6,365,936 5,810,743
----------- ----------- ----------- -----------
End of Year................................................... $ 9,841,139 $ 7,273,973 $ 7,996,178 $ 6,365,936
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................. 109,955 158,003 84,803 96,985
Shares Issued in Lieu of Cash Distributions................... 14,996 14,327 9,395 9,320
Shares Redeemed............................................... (77,571) (128,304) (77,231) (78,179)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 47,380 44,026 16,967 28,126
=========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)...................................... $ 30,626 $ 40,507 $ 8,050 $ 19,630
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
265
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 SHARES
----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $16.27 $16.93 $ 18.48 $ 19.46 $15.72
------ ------ ------- ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.55 0.53 0.51 0.74 0.49
Net Gains (Losses) on Securities (Realized and Unrealized). 3.61 (0.65) (1.55) (0.93) 3.77
------ ------ ------- ------- ------
Total from Investment Operations......................... 4.16 (0.12) (1.04) (0.19) 4.26
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.54) (0.54) (0.51) (0.79) (0.52)
------ ------ ------- ------- ------
Total Distributions...................................... (0.54) (0.54) (0.51) (0.79) (0.52)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $19.89 $16.27 $ 16.93 $ 18.48 $19.46
=========================================================== ======== ======== ======== ======== ========
Total Return................................................ 25.99% (0.43)% (5.78)% (1.21)% 27.61%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $3,508 $3,308 $10,404 $11,200 $5,517
Ratio of Expenses to Average Net Assets (B)................. 0.68% 0.68% 0.68% 0.68% 0.69%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................. 0.88% 0.88% 0.73% 0.68% 0.69%
Ratio of Net Investment Income to Average Net Assets........ 3.07% 3.42% 2.81% 3.79% 2.84%
--------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
266
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 16.30 $ 16.92 $ 18.47 $ 19.45 $ 15.72
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.56 0.55 0.56 0.84 0.52
Net Gains (Losses) on Securities (Realized and Unrealized). 3.66 (0.63) (1.56) (0.98) 3.78
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 4.22 (0.08) (1.00) (0.14) 4.30
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.58) (0.54) (0.55) (0.84) (0.57)
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.58) (0.54) (0.55) (0.84) (0.57)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 19.94 $ 16.30 $ 16.92 $ 18.47 $ 19.45
=========================================================== ========== ========== ========== ========== ==========
Total Return................................................ 26.36% (0.20)% (5.58)% (0.97)% 27.90%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $9,837,631 $7,270,665 $6,795,481 $6,991,214 $6,522,355
Ratio of Expenses to Average Net Assets (B)................. 0.43% 0.43% 0.43% 0.43% 0.43%
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).... 0.63% 0.63% 0.49% 0.43% 0.43%
Ratio of Net Investment Income to Average Net Assets........ 3.12% 3.51% 3.10% 4.29% 3.00%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
267
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 16.67 $ 16.42 $ 15.94 $ 13.87 $ 11.15
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.37 0.35 0.33 0.29 0.27
Net Gains (Losses) on Securities (Realized and Unrealized). 3.50 0.38 0.47 2.07 2.71
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 3.87 0.73 0.80 2.36 2.98
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.39) (0.34) (0.32) (0.29) (0.26)
Net Realized Gains......................................... (0.10) (0.14) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.49) (0.48) (0.32) (0.29) (0.26)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 20.05 $ 16.67 $ 16.42 $ 15.94 $ 13.87
=========================================================== ========== ========== ========== ========== ==========
Total Return................................................ 23.55% 4.54% 5.09% 17.17% 27.10%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $7,996,178 $6,365,936 $5,810,743 $5,668,374 $4,917,336
Ratio of Expenses to Average Net Assets..................... 0.08% 0.08% 0.08% 0.08% 0.09%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................. 0.08% 0.08% 0.09% 0.08% 0.10%
Ratio of Net Investment Income to Average Net Assets........ 1.99% 2.17% 2.05% 1.95% 2.13%
Portfolio Turnover Rate..................................... 7% 9% 2% 3% 3%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
268
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of 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 October 31, 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
269
adopted by the Board of Directors of the Fund. Fair value pricing may also be
used if events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Portfolio may differ from the quoted
or published prices for the same securities on their primary markets or
exchanges. These securities are generally categorized as Level 2 in the
hierarchy.
Futures contracts held by U.S. Large Company Portfolio are valued using the
settlement price established each day on the exchange on which they are traded.
These valuations are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Summary
Schedule of Portfolio Holdings/Schedule of Investments. The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the year ended October 31, 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 October 31, 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.
270
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the year ended October 31, 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 year ended
October 31, 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/expenses assumed subject to future recovery by the
Advisor and the net amount of waived fees/expenses assumed (recovered
previously waived fees/expenses assumed) during the year ended October 31,
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.
PREVIOUSLY NET WAIVED FEES/
RECOVERY WAIVED FEES/ EXPENSES ASSUMED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED (RECOVERED PREVIOUSLY
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE WAIVED FEES/
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY EXPENSES ASSUMED)
-------------------------- ---------- ---------------- ----------------- ---------------------
DFA International Value Portfolio (1). 0.40% -- -- $17,125
U.S. Large Company Portfolio (2)...... 0.08% $155 $798 (24)
CLASS R2 SHARES
---------------
DFA International Value Portfolio (1). 0.79% -- -- 8
(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 Portfolio are less than the Annualized Expense Ratio identified
above, the Advisor retains the right to recover any
271
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 year ended October 31, 2017, the total related amounts paid by the Fund
to the CCO were $31 (in thousands). The total related amounts paid by each
Portfolio are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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. $287
U.S. Large Company Portfolio...... 331
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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. $754,842 $486,082
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2017, transactions related to Affiliated
Investment Companies were as follows (amounts in thousands):
NET REALIZED DIVIDEND CAPITAL GAIN
GAIN/(LOSS) CHANGE IN INCOME FROM DISTRIBUTIONS
ON SALES OF UNREALIZED AFFILIATED FROM
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT AFFILIATED
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES INVESTMENT
---------- ---------- ---------- ------------ ------------- ---------- ------------ ----------- -------------
U.S. LARGE COMPANY
PORTFOLIO
DFA Short Term
Investment Fund... $336,122 $1,609,675 $1,760,188 $21 $(37) $185,593 16,040 $2,628 --
-------- ---------- ---------- --- ---- -------- ------ ------ --
TOTAL.............. $336,122 $1,609,675 $1,760,188 $21 $(37) $185,593 16,040 $2,628 --
======== ========== ========== === ==== ======== ====== ====== ==
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
272
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, 2017, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax reclass and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
DFA International Value Portfolio. $ 322 $ (183) $(139)
U.S. Large Company Portfolio...... 3,250 (3,153) (97)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2016 and October 31, 2017 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
DFA International Value Portfolio
2016.............................. $224,802 -- $224,802
2017.............................. 277,339 -- 277,339
U.S. Large Company Portfolio
2016.............................. 125,202 $47,852 173,054
2017.............................. 154,938 38,779 193,717
At October 31, 2017, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
DFA International Value Portfolio. $ (322) -- $ (322)
U.S. Large Company Portfolio...... (2,859) $(391) (3,250)
At October 31, 2017, 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. $54,032 -- $(54,014) $1,582,630 $1,582,648
U.S. Large Company Portfolio...... 10,562 $19,857 -- 4,213,230 4,243,649
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
273
enactment. As of October 31, 2017, the Portfolios had the following capital
loss carryforwards available to offset future realized capital gains through
October 31 of the indicated expiration dates, as applicable (amounts in
thousands):
UNLIMITED TOTAL
--------- -------
DFA International Value Portfolio. $54,014 $54,014
U.S. Large Company Portfolio...... -- --
During the year ended October 31, 2017, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
DFA International Value Portfolio. 122,423
At October 31, 2017, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
DFA International Value Portfolio. $8,265,907 $1,582,630 -- $1,582,630
U.S. Large Company Portfolio...... 3,963,481 4,295,875 $(82,645) 4,213,230
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 Accounting for Uncertainty in Income Taxes sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
YEAR ENDED YEAR ENDED
OCT. 31, 2017 OCT. 31, 2016
-------------------- ---------------------
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- --------
DFA INTERNATIONAL VALUE PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 3,212 182 $ 2,205 144
Shares Issued in Lieu of Cash Distributions.......... 109 6 336 22
Shares Redeemed...................................... (3,910) (215) (8,814) (578)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ (589) (27) $ (6,273) (412)
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 1,964,675 109,773 $ 2,440,510 157,859
Shares Issued in Lieu of Cash Distributions.......... 269,450 14,990 217,841 14,305
Shares Redeemed...................................... (1,414,843) (77,356) (2,010,235) (127,726)
----------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ 819,282 47,407 $ 648,116 44,438
=========== ======= =========== ========
274
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
1. Futures Contracts: The Portfolios may purchase or sell futures
contracts and options on futures contracts for equity securities and indices to
adjust market exposure based on actual or expected cash inflows to or outflows
from the Portfolios. The Portfolios, however, do not intend to sell futures
contracts to establish short positions in individual securities. Upon entering
into a futures contract, the Portfolios deposit cash or pledge U.S. government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Portfolios as unrealized gains
or losses until the contracts are closed. When the contracts are closed, the
Portfolios record a realized gain or loss, which is presented in the Statements
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
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.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2017 (amounts in thousands):
FUTURES
-------
U.S. Large Company Portfolio. $24,879
The following is a summary of the location of derivatives on the U.S. Large
Company Portfolio's Statements of Assets and Liabilities as of October 31, 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 U.S. Large Company Portfolio's derivative
instrument holdings categorized by primary risk exposure as of October 31, 2017
(amounts in thousands):
ASSET DERIVATIVES VALUE
- ---------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2017 CONTRACTS*
---------------- ----------
U.S. Large Company Portfolio. $83 $83
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
275
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 year ended October 31, 2017:
LOCATION OF GAIN (LOSS)
ON DERIVATIVES
DERIVATIVE TYPE RECOGNIZED IN INCOME
--------------- -----------------------
Equity contracts Net Realized Gain (Loss)
on: Futures
Change in Unrealized
Appreciation
(Depreciation) of:
Futures
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 year ended
October 31, 2017 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-------------------
EQUITY
TOTAL CONTRACTS
------- ---------
DFA International Value Portfolio. $12,673 $12,673(1)
U.S. Large Company Portfolio...... 4,571 4,571
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION)
ON DERIVATIVES
-------------------
EQUITY
TOTAL CONTRACTS
------- ---------
DFA International Value Portfolio. $ 2,759 $ 2,759(1)
U.S. Large Company Portfolio...... 181 181
(1)The amount listed reflects allocated derivatives activity from the Master
Fund.
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 year ended October 31, 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. 1.74% $18,062 36 $32 $73,831
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2017, that the Portfolio's available line
of credit was utilized.
276
There were no outstanding borrowings by the Portfolios under the lines of
credit as of October 31, 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 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 year ended October 31, 2017.
J. SECURITIES LENDING:
As of October 31, 2017, the 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 $232,181 (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. Income received from the Money Market Series is netted with fees for
securities lending and collateral investment expenses, and other payments to
and from borrowers of securities. 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.
277
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2017
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
U.S. LARGE COMPANY PORTFOLIO
Common Stocks.................. $185,593,492 -- -- -- $185,593,492
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.
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. RECENTLY ISSUED ACCOUNTING STANDARDS:
In October 2016, the U.S. Securities and Exchange Commission ("SEC") adopted
new rules and forms, and amendments to certain current rules and forms, to
modernize reporting and disclosure of information by registered investment
companies. The amendments to Regulation S-X require standardized, enhanced
disclosure about derivatives in investment company financial statements, and
also change the rules governing the form and content of such financial
statements. The amendments to Regulation S-X took effect on August 1, 2017, and
the financial statements have been modified accordingly, as applicable.
N. OTHER:
At October 31, 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
------------ -------------
DFA International Value Portfolio-Class R2 Shares... 4 98%
DFA International Value Portfolio-Institutional
Class Shares...................................... 4 74%
U.S. Large Company Portfolio........................ 4 76%
O. 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.
278
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and
Shareholders of the Portfolios, as defined
In our opinion, the accompanying statements of assets and liabilities,
including the schedule of investments/summary schedule of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of DFA International Value Portfolio and U.S. Large Company Portfolio
(two of the portfolios constituting Dimensional Investment Group Inc.,
hereafter referred to as the "Portfolios") as of October 31, 2017, the results
of each of their operations for the year then ended, the changes in each of
their net assets for each of the two years in the period then ended and the
financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the
Portfolios' management. Our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities as of October 31, 2017 by correspondence with the custodian,
broker and the transfer agents of the investee funds, provide a reasonable
basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
279
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The U.S. Large Cap Russell 1000 Value
Value Series Index
-------------------- ------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,441 9,511
12/31/2007 9,410 9,419
1/31/2008 9,050 9,042
2/29/2008 8,773 8,663
3/31/2008 8,691 8,598
4/30/2008 9,239 9,017
5/31/2008 9,460 9,003
6/30/2008 8,423 8,141
7/31/2008 8,332 8,112
8/31/2008 8,493 8,250
9/30/2008 7,730 7,644
10/31/2008 5,992 6,320
11/30/2008 5,405 5,867
12/31/2008 5,580 5,949
1/31/2009 4,918 5,265
2/28/2009 4,229 4,561
3/31/2009 4,647 4,951
4/30/2009 5,398 5,482
5/31/2009 5,812 5,821
6/30/2009 5,741 5,778
7/31/2009 6,287 6,251
8/31/2009 6,714 6,578
9/30/2009 7,008 6,832
10/31/2009 6,705 6,623
11/30/2009 7,083 6,996
12/31/2009 7,279 7,120
1/31/2010 7,110 6,920
2/28/2010 7,417 7,138
3/31/2010 7,995 7,603
4/30/2010 8,248 7,800
5/31/2010 7,541 7,158
6/30/2010 6,972 6,755
7/31/2010 7,519 7,213
8/31/2010 7,066 6,904
9/30/2010 7,755 7,440
10/31/2010 8,044 7,663
11/30/2010 7,982 7,622
12/31/2010 8,760 8,224
1/31/2011 9,040 8,410
2/28/2011 9,529 8,720
3/31/2011 9,574 8,755
4/30/2011 9,818 8,988
5/31/2011 9,676 8,893
6/30/2011 9,507 8,711
7/31/2011 9,071 8,422
8/31/2011 8,306 7,896
9/30/2011 7,466 7,299
10/31/2011 8,502 8,135
11/30/2011 8,431 8,093
12/31/2011 8,497 8,256
1/31/2012 8,920 8,568
2/29/2012 9,436 8,910
3/31/2012 9,609 9,174
4/30/2012 9,413 9,081
5/31/2012 8,746 8,548
6/30/2012 9,218 8,972
7/31/2012 9,307 9,065
8/31/2012 9,676 9,262
9/30/2012 10,032 9,556
10/31/2012 10,058 9,509
11/30/2012 10,080 9,505
12/31/2012 10,387 9,702
1/31/2013 11,112 10,332
2/28/2013 11,254 10,480
3/31/2013 11,792 10,896
4/30/2013 11,917 11,060
5/31/2013 12,406 11,344
6/30/2013 12,268 11,244
7/31/2013 13,002 11,851
8/31/2013 12,619 11,402
9/30/2013 12,988 11,687
10/31/2013 13,647 12,199
11/30/2013 14,220 12,540
12/31/2013 14,598 12,857
1/31/2014 14,020 12,401
2/28/2014 14,496 12,937
3/31/2014 14,838 13,246
4/30/2014 14,936 13,372
5/31/2014 15,265 13,567
6/30/2014 15,679 13,922
7/31/2014 15,568 13,685
8/31/2014 16,061 14,187
9/30/2014 15,665 13,895
10/31/2014 15,785 14,207
11/30/2014 15,972 14,498
12/31/2014 16,092 14,587
1/31/2015 15,296 14,004
2/28/2015 16,377 14,681
3/31/2015 16,066 14,482
4/30/2015 16,390 14,617
5/31/2015 16,572 14,793
6/30/2015 16,306 14,497
7/31/2015 16,266 14,561
8/31/2015 15,278 13,694
9/30/2015 14,789 13,280
10/31/2015 15,994 14,282
11/30/2015 16,057 14,337
12/31/2015 15,554 14,029
1/31/2016 14,496 13,304
2/29/2016 14,523 13,300
3/31/2016 15,581 14,258
4/30/2016 16,003 14,558
5/31/2016 16,221 14,784
6/30/2016 16,203 14,912
7/31/2016 16,764 15,345
8/31/2016 16,964 15,463
9/30/2016 17,044 15,431
10/31/2016 16,755 15,192
11/30/2016 18,071 16,060
12/31/2016 18,525 16,461
1/31/2017 18,791 16,578
2/28/2017 19,365 17,174
3/31/2017 19,183 16,999
4/30/2017 19,316 16,967
5/31/2017 19,294 16,951
6/30/2017 19,618 17,228
7/31/2017 19,952 17,457 Past performance is not predictive of
8/31/2017 19,765 17,253 future performance.
9/30/2017 20,530 17,764 The returns shown do not reflect the
10/31/2017 20,828 17,893 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
---------------------------------------------------- Investment Group 1995-2017, all rights
24.31% 15.67% 7.61% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The DFA International MSCI World ex
Value Series USA Index (net dividends)
--------------------- -------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,394 9,609
12/31/2007 9,192 9,428
1/31/2008 8,447 8,578
2/29/2008 8,340 8,734
3/31/2008 8,440 8,609
4/30/2008 8,817 9,088
5/31/2008 8,821 9,225
6/30/2008 7,949 8,508
7/31/2008 7,724 8,205
8/31/2008 7,401 7,888
9/30/2008 6,536 6,749
10/31/2008 4,897 5,345
11/30/2008 4,597 5,055
12/31/2008 4,945 5,322
1/31/2009 4,262 4,825
2/28/2009 3,738 4,337
3/31/2009 4,146 4,623
4/30/2009 4,910 5,219
5/31/2009 5,640 5,879
6/30/2009 5,554 5,818
7/31/2009 6,215 6,364
8/31/2009 6,571 6,669
9/30/2009 6,906 6,944
10/31/2009 6,631 6,833
11/30/2009 6,829 7,002
12/31/2009 6,906 7,113
1/31/2010 6,507 6,780
2/28/2010 6,533 6,773
3/31/2010 7,048 7,209
4/30/2010 6,927 7,102
5/31/2010 6,116 6,318
6/30/2010 6,009 6,227
7/31/2010 6,760 6,802
8/31/2010 6,430 6,599
9/30/2010 7,121 7,232
10/31/2010 7,370 7,489
11/30/2010 7,000 7,172
12/31/2010 7,653 7,750
1/31/2011 7,979 7,917
2/28/2011 8,245 8,210
3/31/2011 8,018 8,046
4/30/2011 8,447 8,484
5/31/2011 8,142 8,232
6/30/2011 8,031 8,115
7/31/2011 7,773 7,981
8/31/2011 6,940 7,307
9/30/2011 6,181 6,573
10/31/2011 6,777 7,212
11/30/2011 6,554 6,879
12/31/2011 6,378 6,804
1/31/2012 6,807 7,171
2/29/2012 7,164 7,565
3/31/2012 7,103 7,509
4/30/2012 6,850 7,382
5/31/2012 6,005 6,540
6/30/2012 6,430 6,969
7/31/2012 6,404 7,056
8/31/2012 6,670 7,257
9/30/2012 6,906 7,477
10/31/2012 6,992 7,530
11/30/2012 7,103 7,688
12/31/2012 7,451 7,920
1/31/2013 7,803 8,310
2/28/2013 7,567 8,227
3/31/2013 7,593 8,292
4/30/2013 7,966 8,670
5/31/2013 7,872 8,476
6/30/2013 7,593 8,158
7/31/2013 8,112 8,592
8/31/2013 8,056 8,482
9/30/2013 8,662 9,081
10/31/2013 8,962 9,386
11/30/2013 8,996 9,443
12/31/2013 9,194 9,586
1/31/2014 8,859 9,199
2/28/2014 9,365 9,701
3/31/2014 9,297 9,657
4/30/2014 9,456 9,809
5/31/2014 9,563 9,961
6/30/2014 9,679 10,103
7/31/2014 9,464 9,923
8/31/2014 9,468 9,931
9/30/2014 9,052 9,523
10/31/2014 8,898 9,371
11/30/2014 8,902 9,487
12/31/2014 8,571 9,171
1/31/2015 8,516 9,139
2/28/2015 9,125 9,685
3/31/2015 8,932 9,523
4/30/2015 9,421 9,935
5/31/2015 9,426 9,849
6/30/2015 9,155 9,569
7/31/2015 9,065 9,721
8/31/2015 8,391 9,013
9/30/2015 7,820 8,558
10/31/2015 8,421 9,201
11/30/2015 8,310 9,055
12/31/2015 8,043 8,893
1/31/2016 7,417 8,280
2/29/2016 7,181 8,165
3/31/2016 7,726 8,719
4/30/2016 8,099 8,999
5/31/2016 7,949 8,898
6/30/2016 7,661 8,627
7/31/2016 8,001 9,052
8/31/2016 8,215 9,060
9/30/2016 8,305 9,170
10/31/2016 8,413 8,992
11/30/2016 8,451 8,848
12/31/2016 8,734 9,137
1/31/2017 9,108 9,409
2/28/2017 9,048 9,517
3/31/2017 9,250 9,759
4/30/2017 9,383 9,967
5/31/2017 9,546 10,299
6/30/2017 9,649 10,308
7/31/2017 10,104 10,615
8/31/2017 10,095 10,613 Past performance is not predictive of
9/30/2017 10,456 10,888 future performance.
10/31/2017 10,644 11,037 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2017, all
26.53% 8.77% 0.63% rights reserved.
--------------------------------------------------------------------------------
280
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The Japanese Small Company MSCI Japan Small Cap Index
Series (net dividends)
------------------------- --------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,770 9,580
12/31/2007 9,163 9,006
1/31/2008 8,902 8,564
2/29/2008 8,839 8,658
3/31/2008 9,017 8,661
4/30/2008 9,079 8,768
5/31/2008 9,414 9,039
6/30/2008 8,975 8,484
7/31/2008 8,724 8,206
8/31/2008 8,243 7,843
9/30/2008 7,709 7,077
10/31/2008 7,144 6,330
11/30/2008 7,333 6,589
12/31/2008 8,086 7,102
1/31/2009 7,531 6,730
2/28/2009 6,559 5,845
3/31/2009 6,851 6,051
4/30/2009 7,134 6,361
5/31/2009 8,013 7,139
6/30/2009 8,546 7,593
7/31/2009 8,724 7,784
8/31/2009 9,184 8,220
9/30/2009 9,090 8,187
10/31/2009 8,766 7,888
11/30/2009 8,410 7,606
12/31/2009 8,379 7,464
1/31/2010 8,494 7,625
2/28/2010 8,661 7,770
3/31/2010 9,100 8,123
4/30/2010 9,372 8,343
5/31/2010 8,588 7,764
6/30/2010 8,724 7,799
7/31/2010 8,881 7,893
8/31/2010 8,640 7,726
9/30/2010 9,017 8,042
10/31/2010 8,828 7,976
11/30/2010 9,048 8,131
12/31/2010 9,885 8,952
1/31/2011 10,115 9,058
2/28/2011 10,586 9,423
3/31/2011 9,927 8,841
4/30/2011 9,874 8,849
5/31/2011 9,707 8,718
6/30/2011 10,199 9,042
7/31/2011 10,575 9,418
8/31/2011 10,293 9,033
9/30/2011 10,241 9,041
10/31/2011 9,718 8,708
11/30/2011 9,874 8,472
12/31/2011 9,822 8,604
1/31/2012 10,450 8,957
2/29/2012 10,460 9,054
3/31/2012 10,764 9,296
4/30/2012 10,544 9,161
5/31/2012 9,665 8,401
6/30/2012 10,178 8,759
7/31/2012 9,833 8,622
8/31/2012 9,843 8,573
9/30/2012 9,979 8,810
10/31/2012 9,770 8,619
11/30/2012 9,916 8,679
12/31/2012 10,282 8,949
1/31/2013 10,607 9,284
2/28/2013 10,868 9,599
3/31/2013 11,705 10,374
4/30/2013 12,322 11,056
5/31/2013 11,318 10,180
6/30/2013 11,423 10,152
7/31/2013 11,695 10,318
8/31/2013 11,433 10,178
9/30/2013 12,730 11,337
10/31/2013 12,762 11,291
11/30/2013 12,667 11,216
12/31/2013 12,762 11,306
1/31/2014 12,636 11,273
2/28/2014 12,584 11,023
3/31/2014 12,646 11,051
4/30/2014 12,458 10,846
5/31/2014 12,782 11,202
6/30/2014 13,692 11,995
7/31/2014 13,609 12,059
8/31/2014 13,734 11,973
9/30/2014 13,316 11,573
10/31/2014 13,075 11,263
11/30/2014 12,584 11,136
12/31/2014 12,699 11,253
1/31/2015 13,013 11,630
2/28/2015 13,546 12,049
3/31/2015 13,724 12,282
4/30/2015 14,059 12,512
5/31/2015 14,205 12,660
6/30/2015 14,498 12,844
7/31/2015 14,414 12,795
8/31/2015 13,975 12,357
9/30/2015 13,546 11,913
10/31/2015 14,257 12,708
11/30/2015 14,582 12,870
12/31/2015 14,529 12,977
1/31/2016 13,808 12,151
2/29/2016 13,326 12,025
3/31/2016 14,195 12,775
4/30/2016 14,372 13,331
5/31/2016 14,738 13,335
6/30/2016 14,676 13,255
7/31/2016 15,471 13,966
8/31/2016 15,105 13,472
9/30/2016 16,025 14,198
10/31/2016 16,328 14,387
11/30/2016 15,805 13,711
12/31/2016 15,931 13,959
1/31/2017 16,632 14,486
2/28/2017 17,197 14,931
3/31/2017 17,291 14,904
4/30/2017 17,490 15,159
5/31/2017 18,149 15,716
6/30/2017 18,556 15,864
7/31/2017 19,153 16,287
8/31/2017 19,571 16,590 Past performance is not predictive of
9/30/2017 20,010 16,853 future performance.
10/31/2017 20,753 17,430 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2017, all
27.10% 16.26% 7.57% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The Asia Pacific MSCI Pacific ex Japan
Small Company Series Small Cap Index (net dividends)
-------------------- -------------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,341 9,197
12/31/2007 9,183 9,070
1/31/2008 8,261 7,855
2/29/2008 8,516 8,321
3/31/2008 8,103 7,796
4/30/2008 8,671 8,318
5/31/2008 9,050 8,408
6/30/2008 8,161 7,467
7/31/2008 7,682 7,124
8/31/2008 7,145 6,545
9/30/2008 5,918 5,267
10/31/2008 3,952 3,407
11/30/2008 3,572 3,035
12/31/2008 3,963 3,388
1/31/2009 3,475 3,015
2/28/2009 3,284 2,827
3/31/2009 3,794 3,233
4/30/2009 4,362 3,811
5/31/2009 5,489 4,725
6/30/2009 5,533 4,858
7/31/2009 6,333 5,560
8/31/2009 6,621 5,846
9/30/2009 7,139 6,335
10/31/2009 7,300 6,487
11/30/2009 7,641 6,674
12/31/2009 7,843 6,940
1/31/2010 7,419 6,496
2/28/2010 7,552 6,578
3/31/2010 8,175 7,120
4/30/2010 8,289 7,319
5/31/2010 7,142 6,214
6/30/2010 7,056 6,179
7/31/2010 7,840 6,807
8/31/2010 7,832 6,792
9/30/2010 9,020 7,812
10/31/2010 9,410 8,159
11/30/2010 9,286 8,050
12/31/2010 10,197 8,862
1/31/2011 9,981 8,604
2/28/2011 10,044 8,651
3/31/2011 10,258 8,917
4/30/2011 10,695 9,278
5/31/2011 10,379 9,065
6/30/2011 10,030 8,743
7/31/2011 10,197 8,872
8/31/2011 9,488 8,255
9/30/2011 7,718 6,754
10/31/2011 8,926 7,860
11/30/2011 8,687 7,324
12/31/2011 8,181 7,090
1/31/2012 9,028 7,826
2/29/2012 9,709 8,434
3/31/2012 9,571 8,170
4/30/2012 9,532 8,214
5/31/2012 8,344 7,148
6/30/2012 8,521 7,248
7/31/2012 8,649 7,486
8/31/2012 8,939 7,606
9/30/2012 9,382 8,011
10/31/2012 9,593 8,176
11/30/2012 9,731 8,257
12/31/2012 10,188 8,464
1/31/2013 10,701 8,912
2/28/2013 10,748 9,018
3/31/2013 10,795 9,041
4/30/2013 10,618 8,969
5/31/2013 9,831 8,309
6/30/2013 9,136 7,598
7/31/2013 9,587 7,902
8/31/2013 9,665 7,971
9/30/2013 10,343 8,584
10/31/2013 10,645 8,734
11/30/2013 10,271 8,365
12/31/2013 10,399 8,405
1/31/2014 9,909 8,016
2/28/2014 10,482 8,447
3/31/2014 10,637 8,603
4/30/2014 10,665 8,659
5/31/2014 10,676 8,730
6/30/2014 10,759 8,777
7/31/2014 10,986 8,968
8/31/2014 11,158 9,037
9/30/2014 10,130 8,207
10/31/2014 10,277 8,304
11/30/2014 9,873 8,041
12/31/2014 9,587 7,839
1/31/2015 9,360 7,685
2/28/2015 9,817 8,058
3/31/2015 9,682 7,912
4/30/2015 10,465 8,366
5/31/2015 10,582 8,325
6/30/2015 9,837 7,726
7/31/2015 9,358 7,377
8/31/2015 8,560 6,690
9/30/2015 8,438 6,551
10/31/2015 9,061 7,086
11/30/2015 9,034 7,027
12/31/2015 9,286 7,146
1/31/2016 8,613 6,525
2/29/2016 8,743 6,685
3/31/2016 9,787 7,457
4/30/2016 9,920 7,590
5/31/2016 9,812 7,464
6/30/2016 9,975 7,515
7/31/2016 10,665 8,070
8/31/2016 10,590 8,010
9/30/2016 10,906 8,178
10/31/2016 10,573 7,834
11/30/2016 10,368 7,708
12/31/2016 10,258 7,681
1/31/2017 10,723 7,929
2/28/2017 11,027 8,155
3/31/2017 11,216 8,275
4/30/2017 11,108 8,242
5/31/2017 11,097 8,293
6/30/2017 11,512 8,549
7/31/2017 11,880 8,759
8/31/2017 12,008 8,859 Past performance is not predictive of
9/30/2017 12,013 8,913 future performance.
10/31/2017 12,287 9,146 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2017, all
16.21% 5.08% 2.08% rights reserved.
--------------------------------------------------------------------------------
281
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The United Kingdom MSCI UK Small Cap
Small Company Series Index (net dividends)
-------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 8,844 8,843
12/31/2007 8,377 8,399
1/31/2008 7,814 7,723
2/29/2008 7,929 7,985
3/31/2008 7,899 7,884
4/30/2008 8,032 8,031
5/31/2008 8,055 8,069
6/30/2008 7,414 7,517
7/31/2008 7,154 7,217
8/31/2008 7,039 7,029
9/30/2008 5,952 5,736
10/31/2008 4,354 4,145
11/30/2008 4,046 3,760
12/31/2008 3,956 3,665
1/31/2009 3,860 3,645
2/28/2009 3,701 3,524
3/31/2009 3,862 3,728
4/30/2009 4,671 4,585
5/31/2009 5,149 5,069
6/30/2009 5,175 5,105
7/31/2009 5,623 5,574
8/31/2009 6,062 6,112
9/30/2009 6,239 6,253
10/31/2009 6,248 6,262
11/30/2009 6,230 6,197
12/31/2009 6,361 6,350
1/31/2010 6,299 6,320
2/28/2010 6,083 6,037
3/31/2010 6,593 6,569
4/30/2010 6,837 6,832
5/31/2010 6,064 6,010
6/30/2010 6,179 6,036
7/31/2010 7,014 6,762
8/31/2010 6,756 6,579
9/30/2010 7,478 7,304
10/31/2010 7,869 7,615
11/30/2010 7,483 7,298
12/31/2010 8,248 8,061
1/31/2011 8,368 8,139
2/28/2011 8,621 8,354
3/31/2011 8,462 8,210
4/30/2011 9,211 8,962
5/31/2011 9,156 8,849
6/30/2011 8,864 8,551
7/31/2011 8,807 8,527
8/31/2011 7,929 7,657
9/30/2011 7,129 6,850
10/31/2011 7,885 7,598
11/30/2011 7,646 7,303
12/31/2011 7,409 7,060
1/31/2012 8,064 7,776
2/29/2012 8,722 8,498
3/31/2012 8,913 8,526
4/30/2012 9,067 8,671
5/31/2012 8,046 7,597
6/30/2012 8,441 7,959
7/31/2012 8,584 8,103
8/31/2012 9,055 8,532
9/30/2012 9,522 8,988
10/31/2012 9,731 9,174
11/30/2012 9,793 9,177
12/31/2012 10,333 9,599
1/31/2013 10,517 9,852
2/28/2013 10,614 9,907
3/31/2013 10,931 10,174
4/30/2013 11,209 10,428
5/31/2013 11,315 10,569
6/30/2013 11,067 10,188
7/31/2013 12,005 11,037
8/31/2013 12,092 11,188
9/30/2013 12,910 12,028
10/31/2013 13,372 12,451
11/30/2013 13,678 12,744
12/31/2013 14,434 13,360
1/31/2014 14,094 13,076
2/28/2014 15,361 14,344
3/31/2014 14,890 13,827
4/30/2014 14,646 13,496
5/31/2014 14,634 13,522
6/30/2014 14,623 13,490
7/31/2014 14,170 13,109
8/31/2014 14,386 13,247
9/30/2014 13,566 12,469
10/31/2014 13,536 12,390
11/30/2014 13,432 12,394
12/31/2014 13,651 12,598
1/31/2015 13,345 12,255
2/28/2015 14,600 13,465
3/31/2015 13,844 12,845
4/30/2015 14,717 13,669
5/31/2015 15,460 14,296
6/30/2015 15,421 14,314
7/31/2015 15,453 14,416
8/31/2015 14,805 13,849
9/30/2015 14,359 13,338
10/31/2015 14,883 13,929
11/30/2015 14,860 13,816
12/31/2015 14,703 13,669
1/31/2016 13,540 12,342
2/29/2016 13,299 12,213
3/31/2016 14,097 13,074
4/30/2016 14,170 13,249
5/31/2016 14,400 13,631
6/30/2016 12,586 11,693
7/31/2016 13,267 12,366
8/31/2016 13,552 12,573
9/30/2016 13,570 12,680
10/31/2016 12,529 11,716
11/30/2016 12,830 11,978
12/31/2016 13,078 12,240
1/31/2017 13,497 12,519
2/28/2017 13,703 12,812
3/31/2017 14,057 13,017
4/30/2017 15,124 14,061
5/31/2017 15,290 14,345
6/30/2017 14,989 14,021
7/31/2017 15,579 14,633
8/31/2017 15,299 14,469 Past performance is not predictive of
9/30/2017 16,099 15,202 future performance.
10/31/2017 16,271 15,480 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------- MSCI data copyright MSCI 2017, all
29.87% 10.83% 4.99% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The Continental Small MSCI Europe ex UK Small
Company Series Cap Index (net dividends)
--------------------- -------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,262 9,285
12/31/2007 9,085 9,096
1/31/2008 8,220 8,001
2/29/2008 8,574 8,485
3/31/2008 8,846 8,658
4/30/2008 8,953 8,806
5/31/2008 9,126 8,943
6/30/2008 8,357 8,116
7/31/2008 7,915 7,655
8/31/2008 7,699 7,446
9/30/2008 6,360 5,905
10/31/2008 4,662 4,243
11/30/2008 4,299 3,891
12/31/2008 4,748 4,251
1/31/2009 4,209 3,869
2/28/2009 3,846 3,529
3/31/2009 4,125 3,802
4/30/2009 4,800 4,593
5/31/2009 5,495 5,278
6/30/2009 5,428 5,211
7/31/2009 5,860 5,679
8/31/2009 6,352 6,261
9/30/2009 6,896 6,861
10/31/2009 6,703 6,674
11/30/2009 6,907 6,811
12/31/2009 6,886 6,842
1/31/2010 6,772 6,751
2/28/2010 6,629 6,559
3/31/2010 7,122 7,091
4/30/2010 7,055 7,046
5/31/2010 6,053 5,956
6/30/2010 6,015 5,867
7/31/2010 6,735 6,570
8/31/2010 6,427 6,258
9/30/2010 7,311 7,223
10/31/2010 7,734 7,687
11/30/2010 7,134 7,104
12/31/2010 8,059 8,099
1/31/2011 8,289 8,282
2/28/2011 8,432 8,422
3/31/2011 8,717 8,707
4/30/2011 9,306 9,315
5/31/2011 8,993 8,960
6/30/2011 8,703 8,670
7/31/2011 8,212 8,144
8/31/2011 7,369 7,293
9/30/2011 6,260 6,198
10/31/2011 6,902 6,877
11/30/2011 6,447 6,339
12/31/2011 6,194 6,124
1/31/2012 6,784 6,731
2/29/2012 7,219 7,248
3/31/2012 7,233 7,189
4/30/2012 7,065 7,069
5/31/2012 6,100 6,100
6/30/2012 6,368 6,400
7/31/2012 6,304 6,378
8/31/2012 6,592 6,656
9/30/2012 6,940 7,014
10/31/2012 7,060 7,135
11/30/2012 7,155 7,244
12/31/2012 7,588 7,635
1/31/2013 8,163 8,256
2/28/2013 8,082 8,231
3/31/2013 7,901 8,020
4/30/2013 8,227 8,331
5/31/2013 8,380 8,520
6/30/2013 8,104 8,141
7/31/2013 8,810 8,881
8/31/2013 8,822 8,865
9/30/2013 9,594 9,623
10/31/2013 10,143 10,202
11/30/2013 10,327 10,384
12/31/2013 10,618 10,653
1/31/2014 10,552 10,565
2/28/2014 11,481 11,488
3/31/2014 11,540 11,498
4/30/2014 11,653 11,546
5/31/2014 11,701 11,676
6/30/2014 11,599 11,562
7/31/2014 10,922 10,880
8/31/2014 10,792 10,793
9/30/2014 10,217 10,198
10/31/2014 9,915 9,865
11/30/2014 10,153 10,154
12/31/2014 9,831 9,911
1/31/2015 9,898 9,934
2/28/2015 10,582 10,667
3/31/2015 10,531 10,560
4/30/2015 11,094 11,124
5/31/2015 11,108 11,051
6/30/2015 10,876 10,789
7/31/2015 11,182 11,190
8/31/2015 10,764 10,757
9/30/2015 10,385 10,393
10/31/2015 10,887 10,988
11/30/2015 10,869 10,959
12/31/2015 11,007 11,121
1/31/2016 10,261 10,242
2/29/2016 10,245 10,278
3/31/2016 11,119 11,199
4/30/2016 11,349 11,339
5/31/2016 11,374 11,388
6/30/2016 10,751 10,648
7/31/2016 11,463 11,339
8/31/2016 11,612 11,436
9/30/2016 11,901 11,710
10/31/2016 11,551 11,275
11/30/2016 11,124 10,816
12/31/2016 11,701 11,388
1/31/2017 12,215 11,833
2/28/2017 12,345 11,968
3/31/2017 12,876 12,465
4/30/2017 13,675 13,232
5/31/2017 14,427 13,945
6/30/2017 14,434 13,876
7/31/2017 14,988 14,505
8/31/2017 15,025 14,629 Past performance is not predictive of
9/30/2017 15,532 15,129 future performance.
10/31/2017 15,510 15,134 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2017, all
34.27% 17.05% 4.49% rights reserved.
--------------------------------------------------------------------------------
282
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE CANADIAN SMALL COMPANY SERIES VS.
MSCI CANADA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The MSCI Canada Small Cap
Canadian Small Company Series Index (net dividends)
------------------------------- -----------------------
10/31/2007 $10,000 $10,000
11/30/2007 8,477 8,410
12/31/2007 8,792 8,644
1/31/2008 7,962 7,865
2/29/2008 8,585 8,615
3/31/2008 7,915 7,936
4/30/2008 8,108 8,213
5/31/2008 8,569 8,640
6/30/2008 8,169 8,345
7/31/2008 7,469 7,606
8/31/2008 7,162 7,415
9/30/2008 5,531 5,841
10/31/2008 3,692 3,899
11/30/2008 3,215 3,548
12/31/2008 3,462 3,723
1/31/2009 3,485 3,761
2/28/2009 3,169 3,466
3/31/2009 3,369 3,664
4/30/2009 4,077 4,253
5/31/2009 4,877 5,152
6/30/2009 4,577 4,840
7/31/2009 5,154 5,443
8/31/2009 5,323 5,649
9/30/2009 6,085 6,347
10/31/2009 5,969 6,389
11/30/2009 6,477 6,925
12/31/2009 6,892 7,332
1/31/2010 6,569 7,027
2/28/2010 6,962 7,495
3/31/2010 7,515 8,134
4/30/2010 7,785 8,473
5/31/2010 7,038 7,726
6/30/2010 6,715 7,364
7/31/2010 7,262 7,963
8/31/2010 7,177 7,938
9/30/2010 8,023 8,807
10/31/2010 8,546 9,341
11/30/2010 8,962 9,734
12/31/2010 9,877 10,629
1/31/2011 9,831 10,504
2/28/2011 10,508 11,199
3/31/2011 10,523 11,202
4/30/2011 10,723 11,541
5/31/2011 10,277 11,077
6/30/2011 9,708 10,512
7/31/2011 9,854 10,790
8/31/2011 9,108 10,149
9/30/2011 7,385 8,291
10/31/2011 8,569 9,473
11/30/2011 8,269 9,226
12/31/2011 8,138 9,036
1/31/2012 8,838 9,776
2/29/2012 9,177 10,126
3/31/2012 8,769 9,591
4/30/2012 8,569 9,514
5/31/2012 7,569 8,405
6/30/2012 7,585 8,378
7/31/2012 7,792 8,668
8/31/2012 8,123 9,028
9/30/2012 8,469 9,485
10/31/2012 8,354 9,314
11/30/2012 8,215 9,106
12/31/2012 8,408 9,255
1/31/2013 8,654 9,444
2/28/2013 8,231 8,986
3/31/2013 8,469 9,199
4/30/2013 8,192 8,991
5/31/2013 8,062 8,770
6/30/2013 7,731 8,229
7/31/2013 8,300 8,862
8/31/2013 8,223 8,763
9/30/2013 8,592 9,101
10/31/2013 8,831 9,306
11/30/2013 8,715 9,079
12/31/2013 8,931 9,305
1/31/2014 8,654 8,991
2/28/2014 9,208 9,616
3/31/2014 9,338 9,702
4/30/2014 9,746 10,072
5/31/2014 9,762 10,081
6/30/2014 10,500 10,938
7/31/2014 10,008 10,460
8/31/2014 10,354 10,820
9/30/2014 9,169 9,675
10/31/2014 8,492 9,027
11/30/2014 8,254 8,774
12/31/2014 8,062 8,546
1/31/2015 7,246 7,735
2/28/2015 7,692 8,170
3/31/2015 7,346 7,818
4/30/2015 8,154 8,585
5/31/2015 7,869 8,297
6/30/2015 7,546 8,013
7/31/2015 6,623 7,227
8/31/2015 6,438 6,858
9/30/2015 5,977 6,447
10/31/2015 6,369 6,795
11/30/2015 6,131 6,601
12/31/2015 5,838 6,134
1/31/2016 5,569 5,860
2/29/2016 6,038 6,347
3/31/2016 6,685 7,083
4/30/2016 7,662 7,952
5/31/2016 7,369 7,663
6/30/2016 7,731 7,986
7/31/2016 7,969 8,322
8/31/2016 7,800 8,064
9/30/2016 7,962 8,166
10/31/2016 7,692 7,818
11/30/2016 7,885 7,880
12/31/2016 8,085 8,028
1/31/2017 8,446 8,367
2/28/2017 8,262 8,282
3/31/2017 8,408 8,373
4/30/2017 8,077 8,085
5/31/2017 7,969 8,020
6/30/2017 8,315 8,340
7/31/2017 8,562 8,544
8/31/2017 8,669 8,635 Past performance is not predictive of
9/30/2017 8,823 8,773 future performance.
10/31/2017 8,623 8,644 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2017, all
12.10% 0.64% -1.47% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The MSCI Emerging Markets Index
Emerging Markets Series (net dividends)
----------------------- ---------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,348 9,291
12/31/2007 9,315 9,324
1/31/2008 8,504 8,160
2/29/2008 8,776 8,762
3/31/2008 8,504 8,299
4/30/2008 9,113 8,972
5/31/2008 9,167 9,139
6/30/2008 8,227 8,227
7/31/2008 8,120 7,917
8/31/2008 7,638 7,284
9/30/2008 6,577 6,010
10/31/2008 4,845 4,365
11/30/2008 4,407 4,036
12/31/2008 4,752 4,351
1/31/2009 4,388 4,070
2/28/2009 4,104 3,841
3/31/2009 4,697 4,392
4/30/2009 5,394 5,123
5/31/2009 6,314 5,999
6/30/2009 6,260 5,918
7/31/2009 6,978 6,583
8/31/2009 7,003 6,560
9/30/2009 7,622 7,155
10/31/2009 7,463 7,164
11/30/2009 7,910 7,472
12/31/2009 8,196 7,767
1/31/2010 7,749 7,334
2/28/2010 7,844 7,360
3/31/2010 8,502 7,954
4/30/2010 8,554 8,050
5/31/2010 7,760 7,342
6/30/2010 7,772 7,288
7/31/2010 8,457 7,895
8/31/2010 8,262 7,742
9/30/2010 9,202 8,602
10/31/2010 9,482 8,852
11/30/2010 9,270 8,618
12/31/2010 10,025 9,233
1/31/2011 9,765 8,983
2/28/2011 9,698 8,899
3/31/2011 10,239 9,422
4/30/2011 10,597 9,714
5/31/2011 10,304 9,460
6/30/2011 10,183 9,314
7/31/2011 10,105 9,273
8/31/2011 9,288 8,444
9/30/2011 7,883 7,213
10/31/2011 8,871 8,168
11/30/2011 8,564 7,624
12/31/2011 8,315 7,532
1/31/2012 9,206 8,386
2/29/2012 9,706 8,889
3/31/2012 9,455 8,592
4/30/2012 9,286 8,489
5/31/2012 8,286 7,537
6/30/2012 8,698 7,828
7/31/2012 8,768 7,981
8/31/2012 8,827 7,954
9/30/2012 9,321 8,434
10/31/2012 9,274 8,383
11/30/2012 9,395 8,490
12/31/2012 9,947 8,905
1/31/2013 9,998 9,027
2/28/2013 9,883 8,914
3/31/2013 9,743 8,760
4/30/2013 9,854 8,827
5/31/2013 9,535 8,600
6/30/2013 8,936 8,053
7/31/2013 9,068 8,137
8/31/2013 8,856 7,997
9/30/2013 9,488 8,517
10/31/2013 9,922 8,931
11/30/2013 9,774 8,800
12/31/2013 9,675 8,673
1/31/2014 9,004 8,110
2/28/2014 9,331 8,378
3/31/2014 9,661 8,636
4/30/2014 9,718 8,664
5/31/2014 10,049 8,967
6/30/2014 10,329 9,205
7/31/2014 10,453 9,383
8/31/2014 10,780 9,595
9/30/2014 9,988 8,883
10/31/2014 10,095 8,988
11/30/2014 9,998 8,893
12/31/2014 9,547 8,483
1/31/2015 9,611 8,534
2/28/2015 9,905 8,798
3/31/2015 9,700 8,673
4/30/2015 10,350 9,340
5/31/2015 9,934 8,966
6/30/2015 9,696 8,733
7/31/2015 9,074 8,128
8/31/2015 8,325 7,393
9/30/2015 8,103 7,170
10/31/2015 8,595 7,682
11/30/2015 8,297 7,382
12/31/2015 8,070 7,218
1/31/2016 7,733 6,750
2/29/2016 7,686 6,738
3/31/2016 8,704 7,630
4/30/2016 8,757 7,672
5/31/2016 8,418 7,385
6/30/2016 8,862 7,681
7/31/2016 9,319 8,067
8/31/2016 9,432 8,268
9/30/2016 9,558 8,374
10/31/2016 9,578 8,394
11/30/2016 9,082 8,008
12/31/2016 9,087 8,025
1/31/2017 9,630 8,464
2/28/2017 9,955 8,723
3/31/2017 10,276 8,944
4/30/2017 10,477 9,139
5/31/2017 10,792 9,410
6/30/2017 10,895 9,504
7/31/2017 11,471 10,071
8/31/2017 11,714 10,296 Past performance is not predictive of
9/30/2017 11,603 10,255 future performance.
10/31/2017 11,998 10,614 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2017, all
25.26% 5.29% 1.84% rights reserved.
--------------------------------------------------------------------------------
283
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The Emerging Markets MSCI Emerging Markets
Small Cap Series Index (net dividends)
-------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,202 9,291
12/31/2007 9,310 9,324
1/31/2008 8,193 8,160
2/29/2008 8,430 8,762
3/31/2008 8,038 8,299
4/30/2008 8,528 8,972
5/31/2008 8,480 9,139
6/30/2008 7,503 8,227
7/31/2008 7,390 7,917
8/31/2008 6,944 7,284
9/30/2008 5,694 6,010
10/31/2008 3,969 4,365
11/30/2008 3,729 4,036
12/31/2008 4,258 4,351
1/31/2009 3,934 4,070
2/28/2009 3,693 3,841
3/31/2009 4,202 4,392
4/30/2009 5,054 5,123
5/31/2009 6,202 5,999
6/30/2009 6,172 5,918
7/31/2009 6,962 6,583
8/31/2009 7,045 6,560
9/30/2009 7,634 7,155
10/31/2009 7,628 7,164
11/30/2009 8,082 7,472
12/31/2009 8,528 7,767
1/31/2010 8,154 7,334
2/28/2010 8,295 7,360
3/31/2010 9,005 7,954
4/30/2010 9,154 8,050
5/31/2010 8,237 7,342
6/30/2010 8,458 7,288
7/31/2010 9,238 7,895
8/31/2010 9,284 7,742
9/30/2010 10,414 8,602
10/31/2010 10,830 8,852
11/30/2010 10,541 8,618
12/31/2010 11,148 9,233
1/31/2011 10,680 8,983
2/28/2011 10,370 8,899
3/31/2011 10,949 9,422
4/30/2011 11,528 9,714
5/31/2011 11,271 9,460
6/30/2011 11,269 9,314
7/31/2011 11,399 9,273
8/31/2011 10,320 8,444
9/30/2011 8,488 7,213
10/31/2011 9,429 8,168
11/30/2011 8,973 7,624
12/31/2011 8,735 7,532
1/31/2012 9,723 8,386
2/29/2012 10,521 8,889
3/31/2012 10,255 8,592
4/30/2012 10,010 8,489
5/31/2012 9,099 7,537
6/30/2012 9,447 7,828
7/31/2012 9,335 7,981
8/31/2012 9,580 7,954
9/30/2012 10,141 8,434
10/31/2012 10,107 8,383
11/30/2012 10,287 8,490
12/31/2012 10,923 8,905
1/31/2013 11,128 9,027
2/28/2013 11,246 8,914
3/31/2013 11,198 8,760
4/30/2013 11,427 8,827
5/31/2013 11,269 8,600
6/30/2013 10,294 8,053
7/31/2013 10,346 8,137
8/31/2013 9,918 7,997
9/30/2013 10,647 8,517
10/31/2013 11,058 8,931
11/30/2013 10,905 8,800
12/31/2013 10,820 8,673
1/31/2014 10,360 8,110
2/28/2014 10,826 8,378
3/31/2014 11,200 8,636
4/30/2014 11,293 8,664
5/31/2014 11,681 8,967
6/30/2014 11,988 9,205
7/31/2014 12,018 9,383
8/31/2014 12,392 9,595
9/30/2014 11,781 8,883
10/31/2014 11,677 8,988
11/30/2014 11,550 8,893
12/31/2014 11,198 8,483
1/31/2015 11,381 8,534
2/28/2015 11,675 8,798
3/31/2015 11,590 8,673
4/30/2015 12,417 9,340
5/31/2015 12,250 8,966
6/30/2015 11,834 8,733
7/31/2015 11,112 8,128
8/31/2015 10,028 7,393
9/30/2015 10,014 7,170
10/31/2015 10,577 7,682
11/30/2015 10,362 7,382
12/31/2015 10,269 7,218
1/31/2016 9,662 6,750
2/29/2016 9,622 6,738
3/31/2016 10,808 7,630
4/30/2016 11,086 7,672
5/31/2016 10,627 7,385
6/30/2016 11,216 7,681
7/31/2016 11,870 8,067
8/31/2016 11,948 8,268
9/30/2016 12,149 8,374
10/31/2016 12,105 8,394
11/30/2016 11,373 8,008
12/31/2016 11,444 8,025
1/31/2017 12,113 8,464
2/28/2017 12,752 8,723
3/31/2017 13,152 8,944
4/30/2017 13,323 9,139
5/31/2017 13,380 9,410
6/30/2017 13,468 9,504
7/31/2017 14,039 10,071
8/31/2017 14,363 10,296 Past performance is not predictive of
9/30/2017 14,300 10,255 future performance.
10/31/2017 14,713 10,614 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
--------------------------------------------------- MSCI data copyright MSCI 2017, all
21.55% 7.80% 3.94% rights reserved.
--------------------------------------------------------------------------------
284
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
U.S. equities had positive returns for the period. The broad U.S. equity
market, as measured by the Russell 3000(R) Index, gained approximately 24.0%.
Small-cap stocks outperformed large-cap stocks as measured by the Russell
indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2017
-------------------------------------------------
Russell 3000(R) Index........................ 23.98%
Russell Microcap(R) Index (micro-cap stocks). 29.52%
Russell 2000(R) Index (small-cap stocks)..... 27.85%
Russell 1000(R) Index (large-cap stocks)..... 23.67%
Dow Jones U.S. Select REIT Index/SM/......... 3.94%
Value stocks underperformed growth stocks as measured by the Russell
indices. However when measured by price-to-book ratio, deeper value stocks
outperformed other value stocks.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2017
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... 24.81%
Russell 2000(R) Growth Index (small-cap growth stocks). 31.00%
Russell 1000(R) Value Index (large-cap value stocks)... 17.78%
Russell 1000(R) Growth Index (large-cap growth stocks). 29.71%
----------
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large company low relative price (value) stocks. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2017, the Series held approximately
300 securities. In general, average cash exposure throughout the year was less
than 1% of the Series' assets.
For the 12 months ended October 31, 2017, total returns were 24.31% for the
Series and 17.78% for the Russell 1000(R) Value Index, the Series' benchmark.
As a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Series' greater emphasis on
smaller stocks within the large-cap universe contributed positively to
performance relative to the benchmark, as those stocks generally outperformed
the benchmark. With the lowest relative price (deep value) stocks outperforming
among value stocks, the Series' greater emphasis on deep value stocks also
benefited relative performance. Within the value portion of the market, stocks
with higher profitability outperformed stocks with lower profitability, and the
Series' greater emphasis on stocks with higher profitability contributed to
relative performance. At the sector level, the Series' general exclusion of
real estate investment trusts (REITs) and certain utilities had a positive
impact on relative performance, as REITs and utilities underperformed the
benchmark.
285
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
Performance of non-U.S. developed markets was positive for the period. As
measured by the MSCI World ex USA indices, small-cap stocks outperformed
large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index........... 22.74%
MSCI World ex USA Small Cap Index. 25.86%
MSCI World ex USA Value Index..... 23.05%
MSCI World ex USA Growth Index.... 22.40%
For the 12 months ended October 31, 2017, the U.S. dollar depreciated
against currencies of most other developed markets. Overall, currency movements
had a positive impact on the U.S. dollar-nominated returns of developed markets.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. 27.38% 17.80%
United Kingdom.................... 11.80% 21.60%
France............................ 25.50% 33.37%
Canada............................ 11.32% 15.73%
Germany........................... 22.29% 29.96%
Switzerland....................... 21.26% 20.30%
Australia......................... 16.30% 17.18%
Hong Kong......................... 18.75% 18.09%
Netherlands....................... 25.39% 32.59%
Spain............................. 20.43% 27.98%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2017, all rights reserved
Emerging markets had positive performance for the period, outperforming both
the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and growth
stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index........... 26.45%
MSCI Emerging Markets Small Cap Index. 20.72%
MSCI Emerging Markets Value Index..... 20.70%
MSCI Emerging Markets Growth Index.... 32.25%
286
For the 12 months ended October 31, 2017, the U.S. dollar depreciated
against some emerging markets currencies, but appreciated against others.
Overall, currency movements had a positive impact on the U.S.
dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
China........................ 41.71% 41.06%
Korea........................ 37.49% 40.42%
Taiwan....................... 20.17% 25.74%
India........................ 19.48% 23.20%
Brazil....................... 13.32% 9.67%
South Africa................. 16.76% 11.32%
Russia....................... 9.16% 16.56%
Mexico....................... 4.11% 2.35%
Indonesia.................... 10.16% 5.98%
Malaysia..................... 7.08% 6.11%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2017, all rights reserved.
For portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
portfolio and its benchmark index may impact relative performance over the
referenced period. The portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2017,
these differences generally benefited the portfolios relative performance.
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series is designed to capture the returns of
developed ex U.S. large company value stocks. Value is measured primarily by
price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2017, the Series held approximately
510 securities in 22 eligible developed markets. In general, average cash
exposure throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2017, total returns were 26.53% for the
Series and 22.74% for the MSCI World ex USA Index (net dividends), the Series'
benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in developed ex U.S.
equity markets rather than by the behavior of a limited number of stocks. With
low relative price (value) stocks outperforming high relative price (growth)
stocks for the period, the Series' focus on value stocks contributed positively
to performance relative to the benchmark. The Series' general exclusion of real
estate investment trusts (REITs) and certain utilities also had a positive
impact on relative performance, as REITs and utilities underperformed the
benchmark.
THE JAPANESE SMALL COMPANY SERIES
The Japanese Small Company Series is designed to capture the returns of
Japanese small company stocks. The Series generally excludes stocks with the
lowest profitability and highest relative price. Relative price is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Series held over 1,700 securities.
In general, cash exposure was low throughout the year with an average cash
balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2017, total returns were 27.10% for the
Series and 21.15% for the MSCI Japan Small Cap Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in the Japanese equity
market rather than by the behavior of a limited number of stocks. The Series'
greater allocation to micro-cap stocks benefited
287
performance relative to the benchmark, as micro-caps generally outperformed
other small-cap stocks in Japan. At the sector level, the Series generally
excludes real estate investment trusts (REITs). This exclusion also contributed
positively to the Series' relative performance, as REITs underperformed most
other sectors for the period.
THE ASIA PACIFIC SMALL COMPANY SERIES
The Asia Pacific Small Company Series is designed to capture the returns of
small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The
Series generally excludes stocks with the lowest profitability and highest
relative price. Relative price is measured primarily by book-to-market ratio.
In assessing profitability, Dimensional may consider such factors as earnings
or profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Series held approximately 900 securities across the
eligible countries. In general, average cash exposure throughout the year was
less than 1% of the Series' assets.
For the 12 months ended October 31, 2017, total returns were 16.21% for the
Series and 16.75% for the MSCI Pacific ex Japan Small Cap Index (net
dividends), the Series' benchmark. As a result of the Series' diversified
investment approach, performance was determined principally by broad trends in
Asia Pacific equity markets rather than by the behavior of a limited number of
stocks. The Series' greater emphasis on micro-cap stocks and consequent lesser
allocation to other small-cap stocks detracted from performance relative to the
benchmark, as micro-cap stocks generally underperformed in Asia Pacific equity
markets. Conversely, the Series' exclusion of companies with the lowest
profitability and highest relative price contributed positively to relative
performance, as those companies underperformed for the period.
THE UNITED KINGDOM SMALL COMPANY SERIES
The United Kingdom Small Company Series is designed to capture the returns
of small company stocks in the U.K. The Series generally excludes stocks with
the lowest profitability and highest relative price. Relative price is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Series held approximately 330
securities. In general, average cash exposure throughout the year was less than
1% of the Series' assets.
For the 12 months ended October 31, 2017, total returns were 29.87% for the
Series and 32.13% for the MSCI UK Small Cap Index (net dividends), the Series'
benchmark. By design, the Series provides consistent and diversified exposure
to small companies in the U.K. Due to differences in methodology, the Series
may invest in or hold small-cap securities that the benchmark does not hold.
The Series' holdings of these securities underperformed for the period and
detracted from the Series' performance relative to the benchmark. Additionally,
the Series may exclude securities that are included in the benchmark but listed
on exchanges not yet approved for investment by Dimensional. The Series'
exclusion of these securities also detracted from relative performance, as
those stocks generally outperformed for the period. The Series' general
exclusions of real estate investment trusts (REITs) and companies with the
lowest profitability and highest relative price contributed positively to
relative performance, as those securities generally underperformed for the
period.
THE CONTINENTAL SMALL COMPANY SERIES
The Continental Small Company Series is designed to capture the returns of
small company stocks in the developed markets of Europe (excluding the U.K.)
and Israel. The Series generally excludes stocks with the lowest profitability
and highest relative price. Relative price is measured primarily by
book-to-market ratio. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Series held approximately 1,200
securities in 15 eligible countries. In general, average cash exposure
throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2017, total returns were 34.27% for the
Series and 34.23% for the MSCI Europe ex UK Small Cap Index (net dividends),
the Series' benchmark. At the sector level, the Series' exclusion of real
estate investment trusts (REITs) contributed positively to performance relative
to the benchmark, as those
288
securities underperformed for the period. Due to differences in methodology,
the Series and the benchmark may have different definitions for the maximum
market capitalization of small-cap securities on a country-by-country basis. As
a result, the Series and benchmark may invest in or hold securities that the
other does not hold. Differences in holdings of these securities detracted from
the Series' relative performance.
THE CANADIAN SMALL COMPANY SERIES
The Canadian Small Company Series is designed to capture the returns of
small company stocks in Canada. The Series generally excludes stocks with the
lowest profitability and highest relative price. Relative price is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process-driven, emphasizing broad
diversification. As of October 31, 2017, the Series held approximately 350
securities. In general, average cash exposure throughout the year was less than
1% of the Series' assets.
For the 12 months ended October 31, 2017, total returns were 12.10% for the
Series and 10.56% for the MSCI Canada Small Cap Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in the Canadian equity
market rather than by the behavior of a limited number of stocks. The Series'
exclusion of companies with the lowest profitability and highest relative price
contributed positively to performance relative to the benchmark, as those
companies underperformed for the period.
THE EMERGING MARKETS SERIES
The Emerging Markets Series is designed to capture the returns of large-cap
stocks in selected emerging markets countries. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2017, the
Series held approximately 1,100 securities across 21 eligible emerging markets.
In general, average cash exposure throughout the year was less than 1% of the
Series' assets.
For the 12 months ended October 31, 2017, total returns were 25.26% for the
Series and 26.45% for the MSCI Emerging Markets Index (net dividends), the
Series' benchmark. As a result of the Series' diversified approach, performance
was generally determined by broad trends in emerging markets rather than by the
behavior of a limited number of stocks. The Series' greater emphasis on smaller
market cap stocks within the large-cap space detracted from performance
relative to the benchmark (which is composed of mostly mid- and large-cap
stocks), as smaller stocks within the large-cap space generally underperformed
other large caps for the period. At the country level, the Series' lesser
allocation to China detracted from relative performance, as China was among the
strongest-performing countries in the benchmark. Conversely, the Series' lack
of exposure to Qatar and the UAE (both of which were included in the benchmark)
contributed positively to relative performance, as those countries
underperformed.
THE EMERGING MARKETS SMALL CAP SERIES
The Emerging Markets Small Cap Series is designed to capture the returns of
small company stocks in selected emerging markets. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2017, the
Series held approximately 4,000 securities across 17 eligible emerging markets.
In general, average cash exposure throughout the year was less than 1% of the
Series' assets.
For the 12 months ended October 31, 2017, total returns were 21.55% for the
Series and 26.45% for the MSCI Emerging Markets Index (net dividends), the
Series' benchmark. As a result of the Series' diversified approach, performance
was principally determined by broad trends in emerging markets rather than by
the behavior of a limited number of stocks. With small-caps generally
underperforming large-caps for the year, the Series' focus on small-caps was
the primary driver of underperformance relative to the benchmark (which is
composed of mostly mid- and large-cap stocks). At the country level, the
Series' lesser allocation to China detracted from relative performance, as
China was among the strongest-performing countries in the benchmark.
289
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return................. $1,000.00 $1,078.30 0.11% $0.58
Hypothetical 5% Annual Return...... $1,000.00 $1,024.65 0.11% $0.56
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $1,134.50 0.21% $1.13
Hypothetical 5% Annual Return...... $1,000.00 $1,024.15 0.21% $1.07
290
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
THE JAPANESE SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $1,186.60 0.13% $0.72
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
THE ASIA PACIFIC SMALL COMPANY SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,106.20 0.13% $0.69
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,075.80 0.11% $0.58
Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56
THE CONTINENTAL SMALL COMPANY SERIES
------------------------------------
Actual Fund Return...................... $1,000.00 $1,134.20 0.13% $0.70
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
THE CANADIAN SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $1,067.60 0.12% $0.63
Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return...................... $1,000.00 $1,144.90 0.15% $0.81
Hypothetical 5% Annual Return........... $1,000.00 $1,024.45 0.15% $0.77
THE EMERGING MARKETS SMALL CAP SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,104.20 0.27% $1.49
Hypothetical 5% Annual Return........... $1,000.00 $1,023.79 0.27% $1.43
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
291
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 29, 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....................... 13.6%
Consumer Staples............................. 6.6%
Energy....................................... 11.6%
Financials................................... 24.8%
Health Care.................................. 12.4%
Industrials.................................. 8.3%
Information Technology....................... 15.0%
Materials.................................... 3.4%
Real Estate.................................. 0.1%
Telecommunication Services................... 4.0%
Utilities.................................... 0.2%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary....................... 15.3%
Consumer Staples............................. 1.9%
Energy....................................... 15.3%
Financials................................... 31.7%
Health Care.................................. 1.9%
Industrials.................................. 8.3%
Information Technology....................... 2.8%
Materials.................................... 15.0%
Real Estate.................................. 2.3%
Telecommunication Services................... 3.7%
Utilities.................................... 1.8%
-----
100.0%
THE JAPANESE SMALL COMPANY SERIES
Consumer Discretionary....................... 19.6%
Consumer Staples............................. 8.1%
Energy....................................... 1.1%
Financials................................... 8.5%
Health Care.................................. 4.5%
Industrials.................................. 28.9%
Information Technology....................... 14.8%
Materials.................................... 11.2%
Real Estate.................................. 2.2%
Telecommunication Services................... 0.1%
Utilities.................................... 1.0%
-----
100.0%
292
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
THE ASIA PACIFIC SMALL COMPANY SERIES
Consumer Discretionary....................... 24.0%
Consumer Staples............................. 6.7%
Energy....................................... 3.4%
Financials................................... 10.5%
Health Care.................................. 5.2%
Industrials.................................. 16.0%
Information Technology....................... 8.5%
Materials.................................... 13.8%
Real Estate.................................. 6.5%
Telecommunication Services................... 2.6%
Utilities.................................... 2.8%
-----
100.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
Consumer Discretionary....................... 21.3%
Consumer Staples............................. 4.9%
Energy....................................... 4.2%
Financials................................... 15.1%
Health Care.................................. 3.9%
Industrials.................................. 26.4%
Information Technology....................... 11.2%
Materials.................................... 7.6%
Real Estate.................................. 2.4%
Telecommunication Services................... 1.4%
Utilities.................................... 1.6%
-----
100.0%
THE CONTINENTAL SMALL COMPANY SERIES
Consumer Discretionary....................... 13.4%
Consumer Staples............................. 5.5%
Energy....................................... 2.9%
Financials................................... 12.2%
Health Care.................................. 7.3%
Industrials.................................. 26.3%
Information Technology....................... 11.1%
Materials.................................... 9.3%
Real Estate.................................. 5.7%
Telecommunication Services................... 3.2%
Utilities.................................... 3.1%
-----
100.0%
THE CANADIAN SMALL COMPANY SERIES
Consumer Discretionary....................... 9.0%
Consumer Staples............................. 4.9%
Energy....................................... 21.7%
Financials................................... 7.7%
Health Care.................................. 1.6%
Industrials.................................. 12.6%
Information Technology....................... 4.5%
Materials.................................... 29.0%
Real Estate.................................. 3.3%
Utilities.................................... 5.7%
-----
100.0%
THE EMERGING MARKETS SERIES
Consumer Discretionary....................... 9.6%
Consumer Staples............................. 7.4%
Energy....................................... 6.7%
Financials................................... 22.1%
Health Care.................................. 2.3%
Industrials.................................. 6.8%
Information Technology....................... 25.8%
Materials.................................... 9.6%
Real Estate.................................. 2.1%
Telecommunication Services................... 4.8%
Utilities.................................... 2.8%
-----
100.0%
THE EMERGING MARKETS SMALL CAP SERIES
Consumer Discretionary....................... 17.1%
Consumer Staples............................. 7.2%
Energy....................................... 1.4%
Financials................................... 8.5%
Health Care.................................. 6.4%
Industrials.................................. 14.8%
Information Technology....................... 18.1%
Materials.................................... 12.9%
Real Estate.................................. 7.8%
Telecommunication Services................... 0.9%
Utilities.................................... 4.9%
-----
100.0%
293
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (97.2%)
Consumer Discretionary -- (13.2%)
* Charter Communications, Inc. Class A.......... 996,600 $ 333,033,822 1.2%
Comcast Corp. Class A......................... 21,211,780 764,260,433 2.8%
# Ford Motor Co................................. 16,011,353 196,459,301 0.7%
General Motors Co............................. 6,055,833 260,279,702 0.9%
* Mohawk Industries, Inc........................ 535,570 140,190,803 0.5%
Royal Caribbean Cruises, Ltd.................. 1,461,968 180,947,779 0.7%
Time Warner, Inc.............................. 3,804,556 373,949,809 1.3%
Other Securities.............................. 1,469,072,188 5.3%
-------------- -----
Total Consumer Discretionary...................... 3,718,193,837 13.4%
-------------- -----
Consumer Staples -- (6.3%)
CVS Health Corp............................... 4,700,064 322,095,386 1.2%
Mondelez International, Inc. Class A.......... 3,546,887 146,947,528 0.5%
Tyson Foods, Inc. Class A..................... 1,959,828 142,891,060 0.5%
Wal-Mart Stores, Inc.......................... 5,670,262 495,070,575 1.8%
Walgreens Boots Alliance, Inc................. 2,539,242 168,275,567 0.6%
Other Securities.............................. 517,524,270 1.9%
-------------- -----
Total Consumer Staples............................ 1,792,804,386 6.5%
-------------- -----
Energy -- (11.3%)
Chevron Corp.................................. 4,451,136 515,842,151 1.9%
ConocoPhillips................................ 2,989,939 152,935,380 0.6%
Exxon Mobil Corp.............................. 12,856,443 1,071,584,524 3.9%
Occidental Petroleum Corp..................... 2,196,166 141,806,439 0.5%
Valero Energy Corp............................ 2,810,052 221,685,002 0.8%
Other Securities.............................. 1,083,981,612 3.8%
-------------- -----
Total Energy...................................... 3,187,835,108 11.5%
-------------- -----
Financials -- (24.1%)
American International Group, Inc............. 2,219,588 143,407,581 0.5%
Bank of America Corp.......................... 18,827,362 515,681,445 1.9%
Bank of New York Mellon Corp. (The)........... 4,487,177 230,865,257 0.8%
Capital One Financial Corp.................... 2,121,034 195,516,914 0.7%
Citigroup, Inc................................ 8,095,404 595,012,194 2.1%
Goldman Sachs Group, Inc. (The)............... 1,076,397 261,004,745 0.9%
Hartford Financial Services Group, Inc. (The). 2,672,826 147,139,071 0.5%
JPMorgan Chase & Co........................... 11,460,834 1,153,074,509 4.2%
Morgan Stanley................................ 5,499,651 274,982,550 1.0%
PNC Financial Services Group, Inc. (The)...... 1,370,488 187,469,053 0.7%
Travelers Cos., Inc. (The).................... 1,165,331 154,348,091 0.6%
Wells Fargo & Co.............................. 15,424,411 865,926,434 3.1%
Other Securities.............................. 2,067,096,534 7.5%
-------------- -----
Total Financials.................................. 6,791,524,378 24.5%
-------------- -----
Health Care -- (12.1%)
Abbott Laboratories........................... 4,721,513 256,047,650 0.9%
Aetna, Inc.................................... 1,805,018 306,907,211 1.1%
Anthem, Inc................................... 1,447,321 302,794,026 1.1%
Danaher Corp.................................. 2,176,662 200,840,603 0.7%
* Express Scripts Holding Co.................... 2,740,464 167,963,039 0.6%
Humana, Inc................................... 708,361 180,879,981 0.7%
Medtronic P.L.C............................... 4,257,228 342,791,999 1.2%
Pfizer, Inc................................... 16,341,666 572,938,810 2.1%
294
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc................................. 1,050,474 $ 203,613,375 0.7%
Other Securities.............................................. 867,988,265 3.2%
--------------- ------
Total Health Care................................................... 3,402,764,959 12.3%
--------------- ------
Industrials -- (8.1%)
Delta Air Lines, Inc.......................................... 2,950,569 147,616,967 0.5%
Eaton Corp. P.L.C............................................. 1,814,900 145,228,298 0.5%
FedEx Corp.................................................... 624,040 140,914,472 0.5%
Norfolk Southern Corp......................................... 1,546,984 203,304,637 0.7%
Stanley Black & Decker, Inc................................... 1,079,268 174,355,745 0.6%
Other Securities.............................................. 1,463,355,372 5.4%
--------------- ------
Total Industrials................................................... 2,274,775,491 8.2%
--------------- ------
Information Technology -- (14.6%)
Cisco Systems, Inc............................................ 23,284,393 795,162,021 2.9%
HP, Inc....................................................... 9,619,949 207,309,901 0.8%
Intel Corp.................................................... 22,965,227 1,044,688,176 3.8%
# Lam Research Corp............................................. 1,017,170 212,151,147 0.8%
* Micron Technology, Inc........................................ 5,266,057 233,338,986 0.8%
QUALCOMM, Inc................................................. 5,296,483 270,173,598 1.0%
Other Securities.............................................. 1,346,251,749 4.8%
--------------- ------
Total Information Technology........................................ 4,109,075,578 14.9%
--------------- ------
Materials -- (3.3%)
Other Securities.............................................. 937,357,935 3.4%
--------------- ------
Real Estate -- (0.1%)
Other Securities.............................................. 28,033,652 0.1%
--------------- ------
Telecommunication Services -- (3.9%)
# AT&T, Inc..................................................... 26,708,783 898,750,548 3.2%
Other Securities.............................................. 191,599,940 0.8%
--------------- ------
Total Telecommunication Services.................................... 1,090,350,488 4.0%
--------------- ------
Utilities -- (0.2%)
Other Securities.............................................. 62,978,242 0.2%
--------------- ------
TOTAL COMMON STOCKS................................................. 27,395,694,054 99.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 199,056 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 27,395,893,110
---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 272,071,006 272,071,006 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (1.8%)
(S)@ DFA Short Term Investment Fund................................ 45,149,193 522,421,314 1.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $19,400,546,693).......................................... $28,190,385,430 101.9%
=============== ======
295
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
At October 31, 2017, The U.S. Large Cap Value Series had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500 Emini Index(R).... 1,472 12/15/17 $181,290,778 $189,350,720 $8,059,942
------------ ------------ ----------
TOTAL FUTURES CONTRACTS... $181,290,778 $189,350,720 $8,059,942
============ ============ ==========
Summary of the Series' investments as of October 31, 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......... $ 3,718,193,837 -- -- $ 3,718,193,837
Consumer Staples............... 1,792,804,386 -- -- 1,792,804,386
Energy......................... 3,187,835,108 -- -- 3,187,835,108
Financials..................... 6,791,524,378 -- -- 6,791,524,378
Health Care.................... 3,402,764,959 -- -- 3,402,764,959
Industrials.................... 2,274,775,491 -- -- 2,274,775,491
Information Technology......... 4,109,075,578 -- -- 4,109,075,578
Materials...................... 937,357,935 -- -- 937,357,935
Real Estate.................... 28,033,652 -- -- 28,033,652
Telecommunication Services..... 1,090,350,488 -- -- 1,090,350,488
Utilities...................... 62,978,242 -- -- 62,978,242
Rights/Warrants................. -- $ 199,056 -- 199,056
Temporary Cash Investments...... 272,071,006 -- -- 272,071,006
Securities Lending Collateral... -- 522,421,314 -- 522,421,314
Futures Contracts**............. 8,059,942 -- -- 8,059,942
--------------- ------------ -- ---------------
TOTAL........................... $27,675,825,002 $522,620,370 -- $28,198,445,372
=============== ============ == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
296
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (94.5%)
AUSTRALIA -- (5.7%)
# Australia & New Zealand Banking Group, Ltd.. 6,120,380 $ 140,453,824 1.1%
BHP Billiton, Ltd........................... 6,597,392 135,832,357 1.1%
# BHP Billiton, Ltd. Sponsored ADR............ 1,510,491 61,899,921 0.5%
Woodside Petroleum, Ltd..................... 2,846,042 67,089,785 0.5%
Other Securities............................ 343,438,930 2.7%
-------------- ----
TOTAL AUSTRALIA................................. 748,714,817 5.9%
-------------- ----
AUSTRIA -- (0.1%)
Other Securities............................ 13,284,762 0.1%
-------------- ----
BELGIUM -- (1.0%)
Other Securities............................ 129,560,360 1.0%
-------------- ----
CANADA -- (7.7%)
Bank of Montreal............................ 1,746,675 133,812,772 1.1%
Suncor Energy, Inc.......................... 3,911,426 132,796,279 1.0%
Other Securities............................ 745,440,840 5.9%
-------------- ----
TOTAL CANADA.................................... 1,012,049,891 8.0%
-------------- ----
DENMARK -- (1.7%)
Other Securities............................ 222,737,552 1.8%
-------------- ----
FINLAND -- (0.9%)
Other Securities............................ 115,389,730 0.9%
-------------- ----
FRANCE -- (9.2%)
AXA SA...................................... 2,859,375 86,319,921 0.7%
BNP Paribas SA.............................. 2,361,620 184,323,068 1.5%
# Engie SA.................................... 5,125,526 86,631,897 0.7%
Orange SA................................... 5,424,781 89,116,543 0.7%
Peugeot SA.................................. 2,829,994 67,143,170 0.5%
Renault SA.................................. 914,987 90,733,026 0.7%
Societe Generale SA......................... 1,935,625 107,726,187 0.8%
Total SA.................................... 5,355,467 298,503,517 2.3%
Other Securities............................ 195,514,428 1.6%
-------------- ----
TOTAL FRANCE.................................... 1,206,011,757 9.5%
-------------- ----
GERMANY -- (7.2%)
Allianz SE.................................. 309,762 72,316,665 0.6%
# Allianz SE Sponsored ADR.................... 2,622,354 61,364,132 0.5%
Bayerische Motoren Werke AG................. 1,144,525 117,382,755 0.9%
Daimler AG.................................. 3,058,631 255,353,316 2.0%
Other Securities............................ 448,990,129 3.5%
-------------- ----
TOTAL GERMANY................................... 955,406,997 7.5%
-------------- ----
HONG KONG -- (2.5%)
CK Hutchison Holdings, Ltd.................. 6,770,984 86,003,062 0.7%
Other Securities............................ 237,434,522 1.8%
-------------- ----
TOTAL HONG KONG................................. 323,437,584 2.5%
-------------- ----
IRELAND -- (0.2%)
Other Securities............................ 30,764,664 0.2%
-------------- ----
297
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
ISRAEL -- (0.4%)
Other Securities...................... $ 48,328,428 0.4%
-------------- -----
ITALY -- (1.9%)
Fiat Chrysler Automobiles NV.......... 4,223,093 73,022,663 0.6%
* UniCredit SpA......................... 4,382,253 83,747,614 0.6%
Other Securities...................... 89,724,183 0.7%
-------------- -----
TOTAL ITALY............................... 246,494,460 1.9%
-------------- -----
JAPAN -- (21.7%)
Hitachi, Ltd.......................... 10,761,000 85,693,558 0.7%
Honda Motor Co., Ltd.................. 4,402,100 137,948,849 1.1%
Mitsubishi UFJ Financial Group, Inc... 17,854,906 121,112,359 1.0%
Mizuho Financial Group, Inc........... 32,106,400 58,333,486 0.5%
# Nissan Motor Co., Ltd................. 6,443,700 62,667,395 0.5%
Sumitomo Mitsui Financial Group, Inc.. 2,854,200 114,347,007 0.9%
Toyota Motor Corp..................... 3,590,490 222,703,923 1.8%
Other Securities...................... 2,055,894,920 16.0%
-------------- -----
TOTAL JAPAN............................... 2,858,701,497 22.5%
-------------- -----
NETHERLANDS -- (3.1%)
ING Groep NV.......................... 5,655,087 104,502,975 0.8%
Other Securities...................... 305,269,728 2.4%
-------------- -----
TOTAL NETHERLANDS......................... 409,772,703 3.2%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities...................... 15,999,490 0.1%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 104,297,070 0.8%
-------------- -----
PORTUGAL -- (0.0%)
Other Securities...................... 4,474,616 0.0%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities...................... 130,679,480 1.0%
-------------- -----
SPAIN -- (2.8%)
Banco Santander SA.................... 30,252,813 205,093,196 1.6%
Repsol SA............................. 5,254,339 98,463,132 0.8%
Other Securities...................... 66,397,472 0.5%
-------------- -----
TOTAL SPAIN............................... 369,953,800 2.9%
-------------- -----
SWEDEN -- (2.5%)
Nordea Bank AB........................ 7,285,616 88,044,529 0.7%
Other Securities...................... 243,042,505 1.9%
-------------- -----
TOTAL SWEDEN.............................. 331,087,034 2.6%
-------------- -----
SWITZERLAND -- (7.4%)
Adecco Group AG....................... 747,305 59,289,170 0.5%
Cie Financiere Richemont SA........... 1,177,332 108,533,855 0.8%
Novartis AG........................... 1,704,593 140,593,520 1.1%
Swiss Re AG........................... 821,038 77,268,128 0.6%
UBS Group AG.......................... 3,507,610 59,675,333 0.5%
Zurich Insurance Group AG............. 417,577 127,429,914 1.0%
Other Securities...................... 397,917,168 3.1%
-------------- -----
TOTAL SWITZERLAND......................... 970,707,088 7.6%
-------------- -----
298
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (16.6%)
# Anglo American P.L.C............................ 5,924,428 $ 111,752,548 0.9%
BP P.L.C. Sponsored ADR......................... 8,731,578 355,113,277 2.8%
Glencore P.L.C.................................. 22,334,025 107,721,452 0.9%
HSBC Holdings P.L.C............................. 19,975,015 195,058,378 1.5%
# HSBC Holdings P.L.C. Sponsored ADR.............. 2,963,067 144,508,777 1.1%
Lloyds Banking Group P.L.C...................... 143,997,641 130,523,854 1.0%
Royal Dutch Shell P.L.C. Class A................ 2,374,989 74,764,137 0.6%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 3,844,392 242,312,004 1.9%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 3,852,485 251,798,420 2.0%
Vodafone Group P.L.C............................ 58,351,986 166,906,425 1.3%
# Vodafone Group P.L.C. Sponsored ADR............. 4,011,201 116,244,613 0.9%
Other Securities................................ 290,308,288 2.3%
--------------- ------
TOTAL UNITED KINGDOM.................................. 2,187,012,173 17.2%
--------------- ------
TOTAL COMMON STOCKS................................... 12,434,865,953 97.6%
--------------- ------
PREFERRED STOCKS -- (1.0%)
GERMANY -- (1.0%)
Volkswagen AG................................... 601,796 110,190,738 0.9%
Other Securities................................ 26,544,560 0.2%
--------------- ------
TOTAL GERMANY......................................... 136,735,298 1.1%
--------------- ------
TOTAL PREFERRED STOCKS................................ 136,735,298 1.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities................................ 1,612,210 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES........................... 12,573,213,461
---------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (4.5%)
(S)@ DFA Short Term Investment Fund.................. 51,323,210 593,860,860 4.7%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $11,050,403,930)............................ $13,167,074,321 103.4%
=============== ======
At October 31, 2017, The DFA International Value Series had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
MSCI EAFE Index Future... 381 12/15/17 $ 37,262,799 $ 38,240,970 $ 978,171
S&P 500 Emini Index(R)... 554 12/15/17 69,357,696 71,263,790 1,906,094
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.. $106,620,495 $109,504,760 $2,884,265
============ ============ ==========
299
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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................... $ 66,171,450 $ 682,543,367 -- $ 748,714,817
Austria..................... -- 13,284,762 -- 13,284,762
Belgium..................... -- 129,560,360 -- 129,560,360
Canada...................... 1,012,049,891 -- -- 1,012,049,891
Denmark..................... -- 222,737,552 -- 222,737,552
Finland..................... 3,512,957 111,876,773 -- 115,389,730
France...................... 90,389 1,205,921,368 -- 1,206,011,757
Germany..................... 121,435,557 833,971,440 -- 955,406,997
Hong Kong................... -- 323,437,584 -- 323,437,584
Ireland..................... 7,455,562 23,309,102 -- 30,764,664
Israel...................... -- 48,328,428 -- 48,328,428
Italy....................... 41,309,073 205,185,387 -- 246,494,460
Japan....................... 65,681,064 2,793,020,433 -- 2,858,701,497
Netherlands................. 46,587,082 363,185,621 -- 409,772,703
New Zealand................. -- 15,999,490 -- 15,999,490
Norway...................... 3,986,233 100,310,837 -- 104,297,070
Portugal.................... -- 4,474,616 -- 4,474,616
Singapore................... -- 130,679,480 -- 130,679,480
Spain....................... 1,208,347 368,745,453 -- 369,953,800
Sweden...................... 3,437,406 327,649,628 -- 331,087,034
Switzerland................. 43,586,047 927,121,041 -- 970,707,088
United Kingdom.............. 1,184,084,036 1,002,928,137 -- 2,187,012,173
Preferred Stocks
Germany..................... -- 136,735,298 -- 136,735,298
Rights/Warrants
Spain....................... -- 1,612,210 -- 1,612,210
Securities Lending Collateral. -- 593,860,860 -- 593,860,860
Futures Contracts**........... 2,884,265 -- -- 2,884,265
-------------- --------------- -- ---------------
TOTAL......................... $2,603,479,359 $10,566,479,227 -- $13,169,958,586
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
300
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (90.8%)
Consumer Discretionary -- (17.8%)
Aoyama Trading Co., Ltd............... 307,500 $ 11,394,402 0.3%
# Resorttrust, Inc...................... 507,200 9,986,546 0.3%
Wacoal Holdings Corp.................. 338,000 9,660,986 0.3%
Other Securities...................... 742,584,862 18.5%
-------------- -----
Total Consumer Discretionary.............. 773,626,796 19.4%
-------------- -----
Consumer Staples -- (7.4%)
Megmilk Snow Brand Co., Ltd........... 321,100 8,988,272 0.2%
Morinaga Milk Industry Co., Ltd....... 243,400 9,344,287 0.2%
Nippon Suisan Kaisha, Ltd............. 1,832,600 11,212,866 0.3%
Takara Holdings, Inc.................. 1,048,200 10,253,490 0.3%
Other Securities...................... 282,326,095 7.1%
-------------- -----
Total Consumer Staples.................... 322,125,010 8.1%
-------------- -----
Energy -- (1.0%)
Other Securities...................... 43,983,248 1.1%
-------------- -----
Financials -- (7.7%)
77 Bank, Ltd. (The)................... 392,952 9,986,545 0.3%
Daishi Bank, Ltd. (The)............... 207,100 10,141,558 0.3%
Jafco Co., Ltd........................ 190,600 9,420,141 0.2%
Nishi-Nippon Financial Holdings, Inc.. 773,100 9,020,926 0.2%
Other Securities...................... 299,008,703 7.5%
-------------- -----
Total Financials.......................... 337,577,873 8.5%
-------------- -----
Health Care -- (4.1%)
Nihon Kohden Corp..................... 407,000 9,060,324 0.2%
Nipro Corp............................ 630,500 9,192,086 0.2%
Sawai Pharmaceutical Co., Ltd......... 197,500 11,202,256 0.3%
Other Securities...................... 148,315,169 3.7%
-------------- -----
Total Health Care......................... 177,769,835 4.4%
-------------- -----
Industrials -- (26.3%)
Aica Kogyo Co., Ltd................... 264,800 9,261,490 0.2%
DMG Mori Co., Ltd..................... 619,700 12,496,608 0.3%
Glory, Ltd............................ 243,900 9,121,396 0.2%
Hanwa Co., Ltd........................ 244,200 9,268,572 0.2%
Hazama Ando Corp...................... 1,180,700 9,626,535 0.3%
# Japan Steel Works, Ltd. (The)......... 398,400 10,097,965 0.3%
Nagase & Co., Ltd..................... 535,500 9,095,948 0.2%
Nikkon Holdings Co., Ltd.............. 356,800 9,138,051 0.2%
Nishi-Nippon Railroad Co., Ltd........ 406,600 10,869,438 0.3%
Nishimatsu Construction Co., Ltd...... 358,800 10,832,245 0.3%
# Nisshinbo Holdings, Inc............... 911,080 10,939,879 0.3%
OKUMA Corp............................ 169,800 10,437,221 0.3%
Penta-Ocean Construction Co., Ltd..... 1,890,000 12,503,434 0.3%
Pilot Corp............................ 221,300 11,188,873 0.3%
Sankyu, Inc........................... 250,200 10,344,070 0.3%
# Tadano, Ltd........................... 658,100 10,029,797 0.3%
TechnoPro Holdings, Inc............... 217,600 9,976,612 0.3%
Ushio, Inc............................ 657,700 9,129,387 0.2%
Other Securities...................... 959,790,164 23.9%
-------------- -----
Total Industrials......................... 1,144,147,685 28.7%
-------------- -----
301
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Information Technology -- (13.4%)
Amano Corp............................ 391,500 $ 9,633,436 0.3%
Citizen Watch Co., Ltd................ 1,479,400 10,876,479 0.3%
# Hitachi Kokusai Electric, Inc......... 332,500 9,210,643 0.2%
Taiyo Yuden Co., Ltd.................. 678,700 11,849,631 0.3%
Tokyo Seimitsu Co., Ltd............... 240,800 9,572,803 0.3%
Topcon Corp........................... 662,200 14,001,261 0.4%
Other Securities...................... 520,379,508 12.9%
-------------- ------
Total Information Technology................ 585,523,761 14.7%
-------------- ------
Materials -- (10.1%)
ADEKA Corp............................ 544,000 9,396,399 0.2%
Nihon Parkerizing Co., Ltd............ 581,400 9,531,034 0.2%
Nippon Light Metal Holdings Co., Ltd.. 3,567,200 10,499,570 0.3%
NOF Corp.............................. 435,000 12,571,633 0.3%
Sumitomo Bakelite Co., Ltd............ 1,112,000 9,042,991 0.2%
Sumitomo Osaka Cement Co., Ltd........ 2,368,000 10,844,854 0.3%
Tokai Carbon Co., Ltd................. 1,289,000 12,880,783 0.3%
# Tokuyama Corp......................... 462,998 13,138,460 0.3%
Toyobo Co., Ltd....................... 568,800 10,956,472 0.3%
Other Securities...................... 342,221,667 8.7%
-------------- ------
Total Materials............................. 441,083,863 11.1%
-------------- ------
Real Estate -- (2.0%)
Leopalace21 Corp...................... 1,598,200 11,934,140 0.3%
Other Securities...................... 73,820,456 1.8%
-------------- ------
Total Real Estate........................... 85,754,596 2.1%
-------------- ------
Telecommunication Services -- (0.1%)
Other Securities...................... 4,632,664 0.1%
-------------- ------
Utilities -- (0.9%)
* Hokkaido Electric Power Co., Inc...... 1,189,200 9,371,339 0.2%
# Hokuriku Electric Power Co............ 1,087,400 9,608,330 0.3%
Other Securities...................... 20,333,472 0.5%
-------------- ------
Total Utilities............................. 39,313,141 1.0%
-------------- ------
TOTAL COMMON STOCKS......................... 3,955,538,472 99.2%
-------------- ------
TOTAL INVESTMENT SECURITIES................. 3,955,538,472
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (9.2%)
(S)@ DFA Short Term Investment Fund........ 34,516,023 399,384,904 10.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,314,290,953)................... $4,354,923,376 109.2%
============== ======
302
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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......... -- $ 773,626,796 -- $ 773,626,796
Consumer Staples............... -- 322,125,010 -- 322,125,010
Energy......................... -- 43,983,248 -- 43,983,248
Financials..................... -- 337,577,873 -- 337,577,873
Health Care.................... -- 177,769,835 -- 177,769,835
Industrials.................... -- 1,144,147,685 -- 1,144,147,685
Information Technology......... -- 585,523,761 -- 585,523,761
Materials...................... -- 441,083,863 -- 441,083,863
Real Estate.................... -- 85,754,596 -- 85,754,596
Telecommunication Services..... -- 4,632,664 -- 4,632,664
Utilities...................... -- 39,313,141 -- 39,313,141
Securities Lending Collateral... -- 399,384,904 -- 399,384,904
-- -------------- -- --------------
TOTAL........................... -- $4,354,923,376 -- $4,354,923,376
== ============== == ==============
See accompanying Notes to Financial Statements.
303
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (87.5%)
AUSTRALIA -- (47.2%)
# Adelaide Brighton, Ltd................ 3,668,074 $ 17,462,503 1.0%
Ansell, Ltd........................... 830,803 15,292,658 0.8%
Beach Energy, Ltd..................... 16,720,311 12,508,369 0.7%
# Blackmores, Ltd....................... 82,235 10,057,671 0.6%
BT Investment Management, Ltd......... 1,061,631 8,782,885 0.5%
# carsales.com, Ltd..................... 1,702,940 17,883,224 1.0%
Cleanaway Waste Management, Ltd....... 10,618,818 12,220,420 0.7%
CSR, Ltd.............................. 3,680,857 13,388,457 0.7%
Downer EDI, Ltd....................... 3,622,856 19,439,855 1.1%
DuluxGroup, Ltd....................... 3,101,823 17,518,012 1.0%
Fairfax Media, Ltd.................... 15,303,894 12,891,987 0.7%
# G8 Education, Ltd..................... 2,577,771 9,004,963 0.5%
Iluka Resources, Ltd.................. 1,852,267 13,347,308 0.7%
InvoCare, Ltd......................... 920,100 11,962,615 0.7%
# IOOF Holdings, Ltd.................... 2,368,404 19,535,461 1.1%
IRESS, Ltd............................ 1,175,824 10,600,488 0.6%
# JB Hi-Fi, Ltd......................... 962,791 16,902,328 0.9%
Link Administration Holdings, Ltd..... 1,477,619 9,330,538 0.5%
# Metcash, Ltd.......................... 5,204,963 10,752,406 0.6%
Mineral Resources, Ltd................ 1,168,088 15,587,838 0.9%
# Monadelphous Group, Ltd............... 813,595 10,577,940 0.6%
nib holdings, Ltd..................... 2,841,283 13,723,457 0.8%
Northern Star Resources, Ltd.......... 4,806,957 19,116,115 1.1%
Nufarm, Ltd........................... 1,407,770 9,406,021 0.5%
Orora, Ltd............................ 5,866,371 15,297,175 0.8%
OZ Minerals, Ltd...................... 2,198,276 13,574,508 0.7%
# Perpetual, Ltd........................ 356,426 13,246,567 0.7%
Sims Metal Management, Ltd............ 1,382,214 14,015,094 0.8%
Spark Infrastructure Group............ 9,691,872 18,867,222 1.0%
Tabcorp Holdings, Ltd................. 4,718,586 16,235,426 0.9%
# Vocus Group, Ltd...................... 4,330,071 9,564,561 0.5%
#* Whitehaven Coal, Ltd.................. 4,143,411 11,842,782 0.7%
* WorleyParsons, Ltd.................... 1,194,746 12,850,207 0.7%
Other Securities...................... 519,117,725 28.4%
------------ -----
TOTAL AUSTRALIA........................... 971,904,786 53.5%
------------ -----
CHINA -- (0.1%)
Other Securities...................... 1,037,587 0.1%
------------ -----
HONG KONG -- (24.1%)
Dah Sing Financial Holdings, Ltd...... 1,483,344 9,968,172 0.6%
#* Esprit Holdings, Ltd.................. 14,828,050 8,972,221 0.5%
Hopewell Holdings, Ltd................ 3,366,000 12,946,497 0.7%
# IGG, Inc.............................. 7,041,000 9,453,202 0.5%
Johnson Electric Holdings, Ltd........ 2,358,750 9,516,625 0.5%
Luk Fook Holdings International, Ltd.. 3,243,000 13,718,512 0.8%
Man Wah Holdings, Ltd................. 11,957,600 10,803,091 0.6%
NagaCorp, Ltd......................... 11,248,000 9,087,661 0.5%
Orient Overseas International, Ltd.... 1,483,500 14,287,148 0.8%
Vitasoy International Holdings, Ltd... 5,557,000 12,849,073 0.7%
VTech Holdings, Ltd................... 820,400 11,663,361 0.7%
Xinyi Glass Holdings, Ltd............. 13,352,000 12,938,386 0.7%
304
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (Continued)
Other Securities.................. $ 359,743,544 19.7%
-------------- ------
TOTAL HONG KONG......................... 495,947,493 27.3%
-------------- ------
NEW ZEALAND -- (6.0%)
* a2 Milk Co., Ltd.................. 1,860,803 11,047,609 0.6%
# Mainfreight, Ltd.................. 536,356 8,978,181 0.5%
SKYCITY Entertainment Group, Ltd.. 5,461,701 14,539,711 0.8%
Other Securities.................. 88,218,204 4.9%
-------------- ------
TOTAL NEW ZEALAND....................... 122,783,705 6.8%
-------------- ------
SINGAPORE -- (10.1%)
# Singapore Post, Ltd............... 10,457,500 9,858,175 0.6%
Venture Corp., Ltd................ 1,597,200 22,831,474 1.3%
Other Securities.................. 176,269,027 9.6%
-------------- ------
TOTAL SINGAPORE......................... 208,958,676 11.5%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities.................. 73,767 0.0%
-------------- ------
TOTAL COMMON STOCKS..................... 1,800,706,014 99.2%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................. 431,607 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities.................. 4,043 0.0%
-------------- ------
NEW ZEALAND -- (0.0%)
Other Securities.................. 1,010 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................... 436,660 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............. 1,801,142,674
--------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund.... 22,292,852 257,950,593 14.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,978,371,714)............... $2,059,093,267 113.4%
============== ======
305
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...................... -- $ 971,904,786 -- $ 971,904,786
China.......................... -- 1,037,587 -- 1,037,587
Hong Kong...................... $573,686 495,373,807 -- 495,947,493
New Zealand.................... -- 122,783,705 -- 122,783,705
Singapore...................... -- 208,958,676 -- 208,958,676
United Kingdom................. 73,767 -- -- 73,767
Rights/Warrants
Australia...................... -- 431,607 -- 431,607
Hong Kong...................... -- 4,043 -- 4,043
New Zealand.................... -- 1,010 -- 1,010
Securities Lending Collateral... -- 257,950,593 -- 257,950,593
-------- -------------- -- --------------
TOTAL........................... $647,453 $2,058,445,814 -- $2,059,093,267
======== ============== == ==============
See accompanying Notes to Financial Statements.
306
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (97.7%)
Consumer Discretionary -- (20.8%)
B&M European Value Retail SA...... 3,556,127 $ 18,764,210 0.8%
Bellway P.L.C..................... 662,602 32,126,797 1.4%
GVC Holdings P.L.C................ 1,474,855 18,364,234 0.8%
Inchcape P.L.C.................... 2,337,053 24,258,271 1.0%
SSP Group P.L.C................... 2,150,632 16,701,979 0.7%
UBM P.L.C......................... 2,150,381 20,089,069 0.9%
WH Smith P.L.C.................... 660,318 17,952,522 0.8%
William Hill P.L.C................ 4,390,122 15,064,779 0.6%
Other Securities.................. 329,733,378 14.2%
------------ -----
Total Consumer Discretionary.......... 493,055,239 21.2%
------------ -----
Consumer Staples -- (4.8%)
Booker Group P.L.C................ 8,370,700 22,363,754 1.0%
Tate & Lyle P.L.C................. 2,718,312 23,351,051 1.0%
Other Securities.................. 68,237,724 2.9%
------------ -----
Total Consumer Staples................ 113,952,529 4.9%
------------ -----
Energy -- (4.2%)
John Wood Group P.L.C............. 3,479,405 32,900,578 1.4%
#* Tullow Oil P.L.C.................. 7,033,116 17,017,662 0.7%
Other Securities.................. 48,239,755 2.1%
------------ -----
Total Energy.......................... 98,157,995 4.2%
------------ -----
Financials -- (14.8%)
Beazley P.L.C..................... 2,911,016 19,527,655 0.8%
Close Brothers Group P.L.C........ 842,028 15,529,712 0.7%
Hiscox, Ltd....................... 1,547,072 29,336,860 1.3%
IG Group Holdings P.L.C........... 1,926,366 16,715,603 0.7%
Intermediate Capital Group P.L.C.. 1,606,829 20,747,945 0.9%
Jupiter Fund Management P.L.C..... 2,283,894 18,021,025 0.8%
Man Group P.L.C................... 9,157,327 23,548,762 1.0%
Phoenix Group Holdings............ 2,000,670 20,109,594 0.9%
TP ICAP P.L.C..................... 2,829,016 20,454,412 0.9%
Other Securities.................. 166,813,983 7.0%
------------ -----
Total Financials...................... 350,805,551 15.0%
------------ -----
Health Care -- (3.8%)
* BTG P.L.C......................... 1,883,903 18,858,989 0.8%
* Indivior P.L.C.................... 3,837,838 18,938,519 0.8%
UDG Healthcare P.L.C.............. 1,295,217 15,903,433 0.7%
Other Securities.................. 36,656,028 1.6%
------------ -----
Total Health Care..................... 90,356,969 3.9%
------------ -----
Industrials -- (25.8%)
Aggreko P.L.C..................... 1,334,788 16,611,140 0.7%
BBA Aviation P.L.C................ 5,990,848 25,309,196 1.1%
* Cobham P.L.C...................... 12,408,518 22,901,572 1.0%
Hays P.L.C........................ 8,341,552 20,648,960 0.9%
HomeServe P.L.C................... 1,383,521 15,731,024 0.7%
Howden Joinery Group P.L.C........ 3,763,658 20,496,619 0.9%
IMI P.L.C......................... 1,368,653 22,207,186 1.0%
Meggitt P.L.C..................... 3,799,091 26,153,041 1.1%
Melrose Industries P.L.C.......... 9,415,164 27,500,308 1.2%
307
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Industrials -- (Continued)
Rentokil Initial P.L.C.......... 4,056,594 $ 18,089,762 0.8%
Spirax-Sarco Engineering P.L.C.. 367,759 27,595,228 1.2%
Travis Perkins P.L.C............ 853,860 17,236,813 0.7%
Weir Group P.L.C. (The)......... 633,437 16,421,638 0.7%
Other Securities................ 335,262,817 14.3%
-------------- ------
Total Industrials...................... 612,165,304 26.3%
-------------- ------
Information Technology -- (10.9%)
Auto Trader Group P.L.C......... 3,741,417 17,013,390 0.7%
Electrocomponents P.L.C......... 2,762,938 25,482,641 1.1%
Halma P.L.C..................... 1,908,645 29,948,327 1.3%
* Paysafe Group P.L.C............. 2,424,051 18,868,212 0.8%
Playtech P.L.C.................. 1,462,260 19,106,906 0.8%
Rightmove P.L.C................. 468,485 25,845,606 1.1%
Spectris P.L.C.................. 701,125 23,837,173 1.0%
Other Securities................ 98,875,117 4.3%
-------------- ------
Total Information Technology........... 258,977,372 11.1%
-------------- ------
Materials -- (7.4%)
DS Smith P.L.C.................. 3,354,420 23,198,985 1.0%
* KAZ Minerals P.L.C.............. 1,433,524 15,478,418 0.7%
RPC Group P.L.C................. 2,253,573 28,202,447 1.2%
Victrex P.L.C................... 482,843 15,374,148 0.7%
Other Securities................ 93,920,109 4.0%
-------------- ------
Total Materials........................ 176,174,107 7.6%
-------------- ------
Real Estate -- (2.3%)
Other Securities................ 54,350,850 2.3%
-------------- ------
Telecommunication Services -- (1.3%)
Inmarsat P.L.C.................. 2,371,810 19,563,902 0.9%
Other Securities................ 12,151,612 0.5%
-------------- ------
Total Telecommunication Services....... 31,715,514 1.4%
-------------- ------
Utilities -- (1.6%)
Pennon Group P.L.C.............. 2,236,812 23,590,729 1.0%
Other Securities................ 13,858,087 0.6%
-------------- ------
Total Utilities........................ 37,448,816 1.6%
-------------- ------
TOTAL COMMON STOCKS.................... 2,317,160,246 99.5%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 2,317,160,246
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (2.3%)
(S)@ DFA Short Term Investment Fund.. 4,640,939 53,700,300 2.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,951,561,258).............. $2,370,860,546 101.8%
============== ======
308
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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......... -- $ 493,055,239 -- $ 493,055,239
Consumer Staples............... -- 113,952,529 -- 113,952,529
Energy......................... -- 98,157,995 -- 98,157,995
Financials..................... -- 350,805,551 -- 350,805,551
Health Care.................... -- 90,356,969 -- 90,356,969
Industrials.................... -- 612,165,304 -- 612,165,304
Information Technology......... -- 258,977,372 -- 258,977,372
Materials...................... -- 176,174,107 -- 176,174,107
Real Estate.................... -- 54,350,850 -- 54,350,850
Telecommunication Services..... -- 31,715,514 -- 31,715,514
Utilities...................... -- 37,448,816 -- 37,448,816
Securities Lending Collateral... -- 53,700,300 -- 53,700,300
-- -------------- -- --------------
TOTAL........................... -- $2,370,860,546 -- $2,370,860,546
== ============== == ==============
See accompanying Notes to Financial Statements.
309
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.6%)
AUSTRIA -- (3.2%)
ANDRITZ AG................ 351,021 $ 19,848,846 0.4%
Other Securities.......... 177,396,677 3.0%
------------ -----
TOTAL AUSTRIA................. 197,245,523 3.4%
------------ -----
BELGIUM -- (4.2%)
Ackermans & van Haaren NV. 134,719 23,072,545 0.4%
* Galapagos NV.............. 220,186 21,413,464 0.4%
Umicore SA................ 703,600 31,444,010 0.6%
Other Securities.......... 183,087,877 3.1%
------------ -----
TOTAL BELGIUM................. 259,017,896 4.5%
------------ -----
DENMARK -- (4.8%)
GN Store Nord A.S......... 855,243 28,303,028 0.5%
Jyske Bank A.S............ 434,014 24,525,321 0.4%
TDC A.S................... 5,173,971 30,589,544 0.5%
* Topdanmark A.S............ 491,266 20,195,323 0.4%
Other Securities.......... 192,193,095 3.3%
------------ -----
TOTAL DENMARK................. 295,806,311 5.1%
------------ -----
FINLAND -- (6.0%)
Elisa Oyj................. 674,321 27,152,966 0.5%
Huhtamaki Oyj............. 574,099 24,453,639 0.4%
Metso Oyj................. 654,668 23,776,410 0.4%
Nokian Renkaat Oyj........ 659,051 30,215,607 0.5%
Outokumpu Oyj............. 2,921,503 27,616,847 0.5%
Other Securities.......... 238,617,463 4.2%
------------ -----
TOTAL FINLAND................. 371,832,932 6.5%
------------ -----
FRANCE -- (12.9%)
# Edenred................... 1,222,953 35,256,073 0.6%
Faurecia.................. 306,467 22,278,725 0.4%
Groupe Eurotunnel SE...... 1,656,217 20,813,393 0.4%
# Ingenico Group SA......... 301,300 29,258,749 0.5%
Lagardere SCA............. 673,857 22,190,928 0.4%
Orpea..................... 178,098 21,337,715 0.4%
Rexel SA.................. 1,596,995 28,477,648 0.5%
# Rubis SCA................. 466,180 29,254,014 0.5%
Teleperformance........... 253,057 36,957,477 0.7%
* Ubisoft Entertainment SA.. 521,852 39,817,112 0.7%
Other Securities.......... 512,562,878 8.8%
------------ -----
TOTAL FRANCE.................. 798,204,712 13.9%
------------ -----
GERMANY -- (14.8%)
Duerr AG.................. 143,919 19,916,912 0.4%
* Evotec AG................. 1,078,504 22,950,178 0.4%
Freenet AG................ 763,964 25,583,539 0.5%
# Hugo Boss AG.............. 314,787 28,154,350 0.5%
# K+S AG.................... 1,020,067 24,799,642 0.4%
Lanxess AG................ 471,353 36,958,137 0.6%
LEG Immobilien AG......... 331,263 33,743,929 0.6%
MTU Aero Engines AG....... 144,099 24,384,649 0.4%
310
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
OSRAM Licht AG................ 280,364 $ 21,467,400 0.4%
# QIAGEN NV..................... 701,160 23,788,035 0.4%
Rheinmetall AG................ 234,011 27,793,104 0.5%
Other Securities.............. 629,683,762 10.9%
------------ -----
TOTAL GERMANY..................... 919,223,637 16.0%
------------ -----
HONG KONG -- (0.1%)
Other Securities.............. 3,147,046 0.1%
------------ -----
IRELAND -- (1.2%)
Kingspan Group P.L.C.......... 734,997 30,725,971 0.5%
Other Securities.............. 46,011,856 0.8%
------------ -----
TOTAL IRELAND..................... 76,737,827 1.3%
------------ -----
ISRAEL -- (2.5%)
Other Securities.............. 153,649,964 2.7%
------------ -----
ITALY -- (10.2%)
#* Banco BPM SpA................. 9,344,575 32,536,729 0.6%
FinecoBank Banca Fineco SpA... 2,170,080 20,296,722 0.4%
Moncler SpA................... 730,401 20,735,047 0.4%
Prysmian SpA.................. 907,443 31,224,581 0.6%
# Unione di Banche Italiane SpA. 6,512,755 30,567,169 0.5%
Other Securities.............. 498,381,755 8.5%
------------ -----
TOTAL ITALY....................... 633,742,003 11.0%
------------ -----
NETHERLANDS -- (5.7%)
Aalberts Industries NV........ 633,462 31,236,489 0.6%
ASM International NV.......... 339,707 22,765,126 0.4%
Boskalis Westminster.......... 594,181 21,239,893 0.4%
SBM Offshore NV............... 1,217,053 21,719,672 0.4%
Other Securities.............. 257,243,164 4.3%
------------ -----
TOTAL NETHERLANDS................. 354,204,344 6.1%
------------ -----
NORWAY -- (2.2%)
Other Securities.............. 138,286,028 2.4%
------------ -----
PORTUGAL -- (1.1%)
Other Securities.............. 67,632,440 1.2%
------------ -----
SPAIN -- (5.2%)
Cellnex Telecom SA............ 909,420 22,573,590 0.4%
Other Securities.............. 298,606,877 5.2%
------------ -----
TOTAL SPAIN....................... 321,180,467 5.6%
------------ -----
SWEDEN -- (6.9%)
Other Securities.............. 429,210,166 7.5%
------------ -----
SWITZERLAND -- (10.6%)
# ams AG........................ 316,689 28,893,663 0.5%
Georg Fischer AG.............. 24,221 29,841,965 0.5%
Helvetia Holding AG........... 37,722 20,278,728 0.4%
Logitech International SA..... 744,066 26,607,319 0.5%
Temenos Group AG.............. 307,521 35,509,903 0.6%
311
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Other Securities................ $ 515,114,990 8.9%
-------------- ------
TOTAL SWITZERLAND...................... 656,246,568 11.4%
-------------- ------
TOTAL COMMON STOCKS.................... 5,675,367,864 98.7%
-------------- ------
PREFERRED STOCKS -- (0.8%)
GERMANY -- (0.8%)
Other Securities................ 46,412,310 0.8%
-------------- ------
TOTAL PREFERRED STOCKS................. 46,412,310 0.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
FRANCE -- (0.0%)
Other Securities................ 2,585 0.0%
-------------- ------
ISRAEL -- (0.0%)
Other Securities................ 10 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 978,996 0.0%
-------------- ------
SWITZERLAND -- (0.0%)
Other Securities................ 105,912 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 1,087,503 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 5,722,867,677
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (7.6%)
(S)@ DFA Short Term Investment Fund.. 40,695,303 470,885,347 8.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,482,764,364).............. $6,193,753,024 107.7%
============== ======
312
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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........................ -- $ 197,245,523 -- $ 197,245,523
Belgium........................ $ 2,677,761 256,340,135 -- 259,017,896
Denmark........................ 8,784,672 287,021,639 -- 295,806,311
Finland........................ -- 371,832,932 -- 371,832,932
France......................... 32,312 798,172,400 -- 798,204,712
Germany........................ -- 919,223,637 -- 919,223,637
Hong Kong...................... -- 3,147,046 -- 3,147,046
Ireland........................ -- 76,737,827 -- 76,737,827
Israel......................... -- 153,649,964 -- 153,649,964
Italy.......................... 109,325 633,632,678 -- 633,742,003
Netherlands.................... -- 354,204,344 -- 354,204,344
Norway......................... -- 138,286,028 -- 138,286,028
Portugal....................... -- 67,632,440 -- 67,632,440
Spain.......................... -- 321,180,467 -- 321,180,467
Sweden......................... 24,911 429,185,255 -- 429,210,166
Switzerland.................... -- 656,246,568 -- 656,246,568
Preferred Stocks
Germany........................ -- 46,412,310 -- 46,412,310
Rights/Warrants
France......................... -- 2,585 -- 2,585
Israel......................... -- 10 -- 10
Spain.......................... -- 978,996 -- 978,996
Switzerland.................... -- 105,912 -- 105,912
Securities Lending Collateral... -- 470,885,347 -- 470,885,347
----------- -------------- -- --------------
TOTAL........................... $11,628,981 $6,182,124,043 -- $6,193,753,024
=========== ============== == ==============
See accompanying Notes to Financial Statements.
313
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (84.8%)
Consumer Discretionary -- (7.6%)
# Cineplex, Inc............................ 293,783 $ 8,885,678 0.7%
Enercare, Inc............................ 592,559 9,236,774 0.8%
* Great Canadian Gaming Corp............... 333,138 7,917,224 0.7%
#* Stars Group, Inc. (The).................. 545,738 10,985,827 0.9%
Other Securities......................... 69,811,273 5.9%
------------ -----
Total Consumer Discretionary................. 106,836,776 9.0%
------------ -----
Consumer Staples -- (4.2%)
Cott Corp................................ 845,649 12,677,197 1.1%
Jean Coutu Group PJC, Inc. (The) Class A. 416,076 7,895,156 0.7%
North West Co., Inc. (The)............... 316,536 7,723,861 0.6%
Premium Brands Holdings Corp............. 150,162 12,151,703 1.0%
Other Securities......................... 18,290,744 1.5%
------------ -----
Total Consumer Staples....................... 58,738,661 4.9%
------------ -----
Energy -- (18.4%)
Enerflex, Ltd............................ 567,158 7,715,389 0.7%
Enerplus Corp............................ 1,353,175 12,408,387 1.0%
Gibson Energy, Inc....................... 757,539 10,299,383 0.9%
* NuVista Energy, Ltd...................... 1,310,626 8,147,601 0.7%
#* Paramount Resources, Ltd. Class A........ 498,213 8,526,895 0.7%
* Parex Resources, Inc..................... 826,302 10,990,886 0.9%
Parkland Fuel Corp....................... 542,825 11,023,963 0.9%
Pembina Pipeline Corp.................... 448,593 14,830,223 1.2%
# Whitecap Resources, Inc.................. 1,837,501 13,189,101 1.1%
Other Securities......................... 160,468,709 13.5%
------------ -----
Total Energy................................. 257,600,537 21.6%
------------ -----
Financials -- (6.5%)
# Canadian Western Bank.................... 528,680 14,892,048 1.2%
# Genworth MI Canada, Inc.................. 322,580 10,024,209 0.8%
# Laurentian Bank of Canada................ 221,346 10,294,365 0.9%
TMX Group, Ltd........................... 218,158 11,919,973 1.0%
Other Securities......................... 43,967,142 3.8%
------------ -----
Total Financials............................. 91,097,737 7.7%
------------ -----
Health Care -- (1.4%)
Other Securities......................... 18,694,077 1.6%
------------ -----
Industrials -- (10.7%)
Maxar Technologies, Ltd.................. 184,072 11,644,148 1.0%
New Flyer Industries, Inc................ 253,571 10,759,225 0.9%
Russel Metals, Inc....................... 356,806 7,976,347 0.7%
# Stantec, Inc............................. 522,729 14,935,114 1.3%
TFI International, Inc................... 475,353 11,473,911 1.0%
Toromont Industries, Ltd................. 425,013 18,735,361 1.6%
Transcontinental, Inc. Class A........... 366,376 8,133,485 0.7%
Other Securities......................... 66,087,239 5.4%
------------ -----
Total Industrials............................ 149,744,830 12.6%
------------ -----
Information Technology -- (3.8%)
* Descartes Systems Group, Inc. (The)...... 393,056 11,394,694 1.0%
314
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Information Technology -- (Continued)
Other Securities................... $ 42,132,447 3.5%
-------------- ------
Total Information Technology............. 53,527,141 4.5%
-------------- ------
Materials -- (24.6%)
Alamos Gold, Inc. Class A.......... 1,820,687 11,530,125 1.0%
* B2Gold Corp........................ 5,370,434 13,653,999 1.1%
* Canfor Corp........................ 502,970 10,004,039 0.8%
* Centerra Gold, Inc................. 1,552,135 10,539,264 0.9%
* Detour Gold Corp................... 965,461 10,289,969 0.9%
Dominion Diamond Corp.............. 554,107 7,885,749 0.7%
HudBay Minerals, Inc............... 1,477,086 10,979,966 0.9%
* IAMGOLD Corp....................... 3,203,040 17,578,113 1.5%
Kirkland Lake Gold, Ltd............ 913,033 10,707,844 0.9%
* New Gold, Inc...................... 3,504,251 11,598,443 1.0%
# OceanaGold Corp.................... 3,671,560 9,846,987 0.8%
# Osisko Gold Royalties, Ltd......... 739,341 9,306,945 0.8%
Pan American Silver Corp........... 847,173 13,842,653 1.2%
Stella-Jones, Inc.................. 241,271 9,425,671 0.8%
Yamana Gold, Inc................... 4,803,883 12,474,233 1.1%
Other Securities................... 174,581,152 14.5%
-------------- ------
Total Materials.......................... 344,245,152 28.9%
-------------- ------
Real Estate -- (2.8%)
Colliers International Group, Inc.. 174,095 10,203,335 0.9%
FirstService Corp.................. 177,734 12,372,909 1.0%
Other Securities................... 16,673,204 1.4%
-------------- ------
Total Real Estate........................ 39,249,448 3.3%
-------------- ------
Utilities -- (4.8%)
# Capital Power Corp................. 550,609 10,426,616 0.9%
# Northland Power, Inc............... 562,788 10,761,941 0.9%
# Superior Plus Corp................. 849,685 8,555,467 0.7%
TransAlta Corp..................... 1,716,509 10,151,898 0.8%
Other Securities................... 27,790,664 2.4%
-------------- ------
Total Utilities.......................... 67,686,586 5.7%
-------------- ------
TOTAL COMMON STOCKS...................... 1,187,420,945 99.8%
-------------- ------
TOTAL INVESTMENT SECURITIES.............. 1,187,420,945
--------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (15.2%)
(S)@ DFA Short Term Investment Fund..... 18,401,076 212,918,854 17.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,494,062,372)................ $1,400,339,799 117.7%
============== ======
315
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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.......... $ 106,829,755 $ 7,021 -- $ 106,836,776
Consumer Staples................ 58,738,661 -- -- 58,738,661
Energy.......................... 257,600,528 9 -- 257,600,537
Financials...................... 91,097,737 -- -- 91,097,737
Health Care..................... 18,487,331 206,746 -- 18,694,077
Industrials..................... 149,744,830 -- -- 149,744,830
Information Technology.......... 53,527,141 -- -- 53,527,141
Materials....................... 344,243,948 1,204 -- 344,245,152
Real Estate..................... 39,249,448 -- -- 39,249,448
Utilities....................... 67,686,586 -- -- 67,686,586
Securities Lending Collateral.... -- 212,918,854 -- 212,918,854
-------------- ------------ -- --------------
TOTAL............................ $1,187,205,965 $213,133,834 -- $1,400,339,799
============== ============ == ==============
See accompanying Notes to Financial Statements.
316
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (94.6%)
BRAZIL -- (4.7%)
Ambev SA ADR........................................ 5,984,451 $ 37,881,575 0.6%
Vale SA............................................. 3,249,364 31,884,747 0.5%
Other Securities.................................... 248,614,139 3.6%
-------------- -----
TOTAL BRAZIL............................................ 318,380,461 4.7%
-------------- -----
CHILE -- (1.4%)
Other Securities.................................... 98,260,753 1.5%
-------------- -----
CHINA -- (17.3%)
#* Alibaba Group Holding, Ltd. Sponsored ADR........... 649,851 120,150,951 1.8%
* Baidu, Inc. Sponsored ADR........................... 125,340 30,575,440 0.5%
Bank of China, Ltd. Class H......................... 47,544,181 23,760,810 0.4%
China Construction Bank Corp. Class H............... 62,246,590 55,630,710 0.8%
#* China Evergrande Group.............................. 4,670,000 18,013,843 0.3%
# China Mobile, Ltd. Sponsored ADR.................... 918,178 46,322,080 0.7%
China Overseas Land & Investment, Ltd............... 5,600,000 18,183,289 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 56,271,185 44,773,013 0.7%
NetEase, Inc. ADR................................... 73,351 20,679,114 0.3%
Ping An Insurance Group Co. of China, Ltd. Class H.. 4,622,500 40,622,247 0.6%
Tencent Holdings, Ltd............................... 4,551,400 204,563,081 3.0%
Other Securities.................................... 558,976,798 8.2%
-------------- -----
TOTAL CHINA............................................. 1,182,251,376 17.6%
-------------- -----
COLOMBIA -- (0.4%)
Other Securities.................................... 25,767,212 0.4%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 13,518,733 0.2%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 7,144,752 0.1%
-------------- -----
GREECE -- (0.2%)
Other Securities.................................... 15,325,110 0.2%
-------------- -----
HUNGARY -- (0.5%)
Other Securities.................................... 32,247,803 0.5%
-------------- -----
INDIA -- (11.8%)
HDFC Bank, Ltd...................................... 1,441,144 40,301,596 0.6%
Hindustan Unilever, Ltd............................. 1,148,145 21,969,730 0.3%
Housing Development Finance Corp., Ltd.............. 1,501,415 39,446,931 0.6%
Infosys, Ltd........................................ 1,886,232 26,860,653 0.4%
ITC, Ltd............................................ 4,896,443 20,115,143 0.3%
Reliance Industries, Ltd............................ 3,083,335 44,979,899 0.7%
Tata Consultancy Services, Ltd...................... 702,461 28,417,240 0.4%
Vedanta, Ltd........................................ 3,450,645 17,722,576 0.3%
Other Securities.................................... 567,116,279 8.4%
-------------- -----
TOTAL INDIA............................................. 806,930,047 12.0%
-------------- -----
INDONESIA -- (2.6%)
Bank Central Asia Tbk PT............................ 13,354,500 20,571,814 0.3%
317
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
INDONESIA -- (Continued)
Other Securities......................... $ 156,958,031 2.3%
-------------- -----
TOTAL INDONESIA.............................. 177,529,845 2.6%
-------------- -----
MALAYSIA -- (2.7%)
Other Securities......................... 184,723,116 2.8%
-------------- -----
MEXICO -- (4.0%)
America Movil S.A.B. de C.V. Series L.... 48,207,854 41,565,106 0.6%
# Grupo Mexico S.A.B. de C.V. Series B..... 6,360,255 20,684,700 0.3%
Other Securities......................... 209,133,974 3.1%
-------------- -----
TOTAL MEXICO................................. 271,383,780 4.0%
-------------- -----
PERU -- (0.3%)
Other Securities......................... 19,090,586 0.3%
-------------- -----
PHILIPPINES -- (1.3%)
Other Securities......................... 89,567,005 1.3%
-------------- -----
POLAND -- (1.8%)
Polski Koncern Naftowy Orlen SA.......... 649,675 22,978,685 0.3%
Other Securities......................... 103,346,844 1.6%
-------------- -----
TOTAL POLAND................................. 126,325,529 1.9%
-------------- -----
RUSSIA -- (1.6%)
Sberbank of Russia PJSC Sponsored ADR.... 1,818,206 26,095,273 0.4%
Other Securities......................... 81,085,956 1.2%
-------------- -----
TOTAL RUSSIA................................. 107,181,229 1.6%
-------------- -----
SOUTH AFRICA -- (7.1%)
MTN Group, Ltd........................... 3,775,818 32,785,832 0.5%
Naspers, Ltd. Class N.................... 407,281 99,226,886 1.5%
Sasol, Ltd. Sponsored ADR................ 777,405 22,630,260 0.3%
Standard Bank Group, Ltd................. 2,023,352 23,495,927 0.4%
Other Securities......................... 305,387,361 4.5%
-------------- -----
TOTAL SOUTH AFRICA........................... 483,526,266 7.2%
-------------- -----
SOUTH KOREA -- (17.6%)
Hana Financial Group, Inc................ 584,969 25,035,987 0.4%
Hyundai Mobis Co., Ltd................... 74,326 17,686,287 0.3%
Hyundai Motor Co......................... 181,576 26,122,725 0.4%
KB Financial Group, Inc.................. 382,135 19,979,647 0.3%
Kia Motors Corp.......................... 609,598 19,295,378 0.3%
NAVER Corp............................... 37,790 30,204,488 0.5%
POSCO.................................... 72,961 21,267,067 0.3%
Samsung Electronics Co., Ltd............. 102,618 252,964,114 3.8%
Samsung Electronics Co., Ltd. GDR........ 52,509 64,740,101 1.0%
Shinhan Financial Group Co., Ltd......... 490,366 22,026,353 0.3%
SK Hynix, Inc............................ 821,484 60,570,209 0.9%
Other Securities......................... 643,455,294 9.4%
-------------- -----
TOTAL SOUTH KOREA............................ 1,203,347,650 17.9%
-------------- -----
TAIWAN -- (15.1%)
Advanced Semiconductor Engineering, Inc.. 14,704,564 17,777,425 0.3%
Hon Hai Precision Industry Co., Ltd...... 17,961,653 66,762,435 1.0%
Largan Precision Co., Ltd................ 133,860 25,374,450 0.4%
318
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co., Ltd............ 25,317,808 $ 204,676,736 3.1%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 1,982,786 83,931,331 1.3%
# United Microelectronics Corp........................... 39,656,000 20,466,664 0.3%
Other Securities....................................... 610,822,017 8.9%
-------------- ------
TOTAL TAIWAN................................................. 1,029,811,058 15.3%
-------------- ------
THAILAND -- (2.6%)
PTT PCL................................................ 1,643,400 20,777,483 0.3%
Other Securities....................................... 160,175,545 2.4%
-------------- ------
TOTAL THAILAND............................................... 180,953,028 2.7%
-------------- ------
TURKEY -- (1.3%)
Other Securities....................................... 91,224,396 1.4%
-------------- ------
TOTAL COMMON STOCKS.......................................... 6,464,489,735 96.2%
-------------- ------
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA...................................... 2,738,905 29,035,926 0.4%
Itau Unibanco Holding SA............................... 4,804,227 61,754,576 0.9%
Other Securities....................................... 65,733,433 1.0%
-------------- ------
TOTAL BRAZIL................................................. 156,523,935 2.3%
-------------- ------
CHILE -- (0.0%)
Other Securities....................................... 715,129 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities....................................... 5,885,683 0.1%
-------------- ------
TOTAL PREFERRED STOCKS....................................... 163,124,747 2.4%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities....................................... 10,028 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities....................................... 52,355 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities....................................... 93,963 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities....................................... 75,776 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS........................................ 232,122 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.................................. 6,627,846,604
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (3.0%)
(S)@ DFA Short Term Investment Fund......................... 17,515,266 202,669,148 3.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,566,935,653).................................... $6,830,515,752 101.6%
============== ======
319
THE EMERGING MARKETS SERIES
CONTINUED
At October 31, 2017, The Emerging Markets Series had entered into the following
outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R)........ 650 12/15/17 $35,955,789 $36,536,500 $580,711
S&P 500 Emini Index(R)................ 210 12/15/17 26,931,354 27,013,350 81,996
----------- ----------- --------
TOTAL FUTURES CONTRACTS............... $62,887,143 $63,549,850 $662,707
=========== =========== ========
Summary of the Series' investments as of October 31, 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......................... $ 318,380,461 -- -- $ 318,380,461
Chile.......................... 50,271,128 $ 47,989,625 -- 98,260,753
China.......................... 328,382,382 853,868,994 -- 1,182,251,376
Colombia....................... 25,767,212 -- -- 25,767,212
Czech Republic................. -- 13,518,733 -- 13,518,733
Egypt.......................... 713,024 6,431,728 -- 7,144,752
Greece......................... -- 15,325,110 -- 15,325,110
Hungary........................ -- 32,247,803 -- 32,247,803
India.......................... 30,846,816 776,083,231 -- 806,930,047
Indonesia...................... 5,910,911 171,618,934 -- 177,529,845
Malaysia....................... -- 184,723,116 -- 184,723,116
Mexico......................... 271,383,780 -- -- 271,383,780
Peru........................... 19,090,586 -- -- 19,090,586
Philippines.................... 1,951,565 87,615,440 -- 89,567,005
Poland......................... -- 126,325,529 -- 126,325,529
Russia......................... 10,166,767 97,014,462 -- 107,181,229
South Africa................... 51,161,864 432,364,402 -- 483,526,266
South Korea.................... 32,069,959 1,171,277,691 -- 1,203,347,650
Taiwan......................... 94,853,278 934,957,780 -- 1,029,811,058
Thailand....................... 180,953,028 -- -- 180,953,028
Turkey......................... 693,339 90,531,057 -- 91,224,396
Preferred Stocks
Brazil......................... 156,523,935 -- -- 156,523,935
Chile.......................... -- 715,129 -- 715,129
Colombia....................... 5,885,683 -- -- 5,885,683
Rights/Warrants
Brazil......................... -- 10,028 -- 10,028
Malaysia....................... -- 52,355 -- 52,355
South Korea.................... -- 93,963 -- 93,963
Taiwan......................... -- 75,776 -- 75,776
Securities Lending Collateral... -- 202,669,148 -- 202,669,148
Futures Contracts**............. 662,707 -- -- 662,707
-------------- -------------- -- --------------
TOTAL........................... $1,585,668,425 $5,245,510,034 -- $6,831,178,459
============== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
320
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.1%)
BRAZIL -- (7.1%)
BR Malls Participacoes SA.......................... 7,687,922 $ 29,799,423 0.4%
Cia Hering......................................... 1,540,736 13,752,787 0.2%
* Cia Siderurgica Nacional SA........................ 4,532,630 11,680,393 0.2%
EDP - Energias do Brasil SA........................ 3,285,014 14,460,368 0.2%
Equatorial Energia SA.............................. 1,983,958 36,994,907 0.5%
Estacio Participacoes SA........................... 3,387,190 30,369,053 0.4%
Fleury SA.......................................... 1,463,812 12,922,964 0.2%
Localiza Rent a Car SA............................. 1,566,678 27,714,870 0.4%
Odontoprev SA...................................... 2,594,796 12,484,972 0.2%
Qualicorp SA....................................... 2,251,805 24,092,310 0.3%
* Rumo SA............................................ 4,264,474 16,555,749 0.2%
Smiles Fidelidade SA............................... 505,800 13,219,790 0.2%
Sul America SA..................................... 2,998,354 16,433,980 0.2%
Totvs SA........................................... 1,185,526 11,807,062 0.2%
Transmissora Alianca de Energia Eletrica SA........ 2,006,218 12,572,210 0.2%
Other Securities................................... 265,659,317 3.6%
-------------- -----
TOTAL BRAZIL........................................... 550,520,155 7.6%
-------------- -----
CHILE -- (1.7%)
Engie Energia Chile SA............................. 5,451,139 11,556,388 0.2%
Parque Arauco SA................................... 6,290,103 18,176,686 0.3%
Other Securities................................... 103,823,373 1.4%
-------------- -----
TOTAL CHILE............................................ 133,556,447 1.9%
-------------- -----
CHINA -- (15.8%)
China Everbright, Ltd.............................. 6,106,000 14,488,746 0.2%
China Jinmao Holdings Group, Ltd................... 27,318,300 12,276,931 0.2%
China Medical System Holdings, Ltd................. 7,095,500 13,120,483 0.2%
# China National Building Material Co., Ltd. Class H. 21,806,000 18,404,872 0.3%
#* GCL-Poly Energy Holdings, Ltd...................... 85,046,000 14,622,998 0.2%
Haitian International Holdings, Ltd................ 4,300,000 12,876,638 0.2%
#* Kaisa Group Holdings, Ltd.......................... 17,438,000 11,142,615 0.2%
Kingboard Chemical Holdings, Ltd................... 4,126,921 24,489,376 0.4%
Minth Group, Ltd................................... 2,713,000 14,656,852 0.2%
Nexteer Automotive Group, Ltd...................... 5,949,000 11,650,664 0.2%
Shanghai Industrial Holdings, Ltd.................. 3,608,000 11,083,655 0.2%
Shenzhen International Holdings, Ltd............... 7,554,367 14,438,734 0.2%
* Sohu.com, Inc...................................... 194,172 11,112,464 0.2%
* YY, Inc. ADR....................................... 220,940 19,970,767 0.3%
Other Securities................................... 1,022,760,281 13.7%
-------------- -----
TOTAL CHINA............................................ 1,227,096,076 16.9%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities................................... 14,911,455 0.2%
-------------- -----
GREECE -- (0.3%)
Other Securities................................... 25,217,545 0.4%
-------------- -----
HONG KONG -- (0.0%)
Other Securities................................... 1,157,333 0.0%
-------------- -----
321
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HUNGARY -- (0.1%)
Other Securities.................................... $ 8,961,022 0.1%
-------------- -----
INDIA -- (13.6%)
Crompton Greaves Consumer Electricals, Ltd.......... 3,446,457 11,755,789 0.2%
Dewan Housing Finance Corp., Ltd.................... 1,161,690 11,518,467 0.2%
Federal Bank, Ltd................................... 8,667,989 16,334,905 0.2%
IIFL Holdings, Ltd.................................. 1,475,192 14,013,643 0.2%
L&T Finance Holdings, Ltd........................... 3,759,476 11,709,043 0.2%
Other Securities.................................... 989,640,789 13.6%
-------------- -----
TOTAL INDIA............................................. 1,054,972,636 14.6%
-------------- -----
INDONESIA -- (2.9%)
Other Securities.................................... 221,254,087 3.1%
-------------- -----
MALAYSIA -- (3.4%)
Other Securities.................................... 263,868,179 3.6%
-------------- -----
MEXICO -- (2.2%)
# Alsea S.A.B. de C.V................................. 5,090,080 15,404,250 0.2%
# Grupo Aeroportuario del Centro Norte S.A.B. de C.V.. 2,457,934 12,416,754 0.2%
Other Securities.................................... 143,456,023 2.0%
-------------- -----
TOTAL MEXICO............................................ 171,277,027 2.4%
-------------- -----
PHILIPPINES -- (1.3%)
Other Securities.................................... 96,386,183 1.3%
-------------- -----
POLAND -- (1.4%)
CD Projekt SA....................................... 461,488 15,285,919 0.2%
Other Securities.................................... 95,934,650 1.3%
-------------- -----
TOTAL POLAND............................................ 111,220,569 1.5%
-------------- -----
SOUTH AFRICA -- (5.8%)
AVI, Ltd............................................ 3,164,277 22,063,405 0.3%
Barloworld, Ltd..................................... 2,208,890 20,834,788 0.3%
Clicks Group, Ltd................................... 2,664,483 29,843,514 0.4%
Foschini Group, Ltd. (The).......................... 2,114,828 20,270,606 0.3%
#* Northam Platinum, Ltd............................... 3,415,807 12,708,838 0.2%
SPAR Group, Ltd. (The).............................. 1,254,291 14,763,402 0.2%
# Truworths International, Ltd........................ 2,334,913 12,440,085 0.2%
Other Securities.................................... 311,924,595 4.2%
-------------- -----
TOTAL SOUTH AFRICA...................................... 444,849,233 6.1%
-------------- -----
SOUTH KOREA -- (14.1%)
Other Securities.................................... 1,092,923,395 15.1%
-------------- -----
TAIWAN -- (16.2%)
#* Epistar Corp........................................ 7,530,000 12,203,016 0.2%
#* Macronix International.............................. 9,266,820 16,945,643 0.3%
Sino-American Silicon Products, Inc................. 3,975,000 11,099,536 0.2%
Other Securities.................................... 1,215,353,939 16.6%
-------------- -----
TOTAL TAIWAN............................................ 1,255,602,134 17.3%
-------------- -----
THAILAND -- (3.4%)
Other Securities.................................... 263,653,427 3.6%
-------------- -----
322
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TURKEY -- (1.6%)
Other Securities................ $ 125,969,893 1.7%
-------------- ------
TOTAL COMMON STOCKS.................... 7,063,396,796 97.4%
-------------- ------
PREFERRED STOCKS -- (1.4%)
BRAZIL -- (1.3%)
Cia Energetica de Minas Gerais.. 5,525,729 13,057,159 0.2%
Other Securities................ 86,332,841 1.1%
-------------- ------
TOTAL BRAZIL........................... 99,390,000 1.3%
-------------- ------
CHILE -- (0.1%)
Other Securities................ 4,195,197 0.1%
-------------- ------
COLOMBIA -- (0.0%)
Other Securities................ 2,738,763 0.0%
-------------- ------
INDIA -- (0.0%)
Other Securities................ 143,762 0.0%
-------------- ------
TOTAL PREFERRED STOCKS................. 106,467,722 1.4%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities................ 327,212 0.0%
-------------- ------
CHILE -- (0.0%)
Other Securities................ 222,147 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities................ 10,653 0.0%
-------------- ------
INDIA -- (0.0%)
Other Securities................ 312,585 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 53,996 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 427,461 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................ 40,793 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................ 1,229,207 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 2,624,054 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 7,172,488,572
--------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (7.5%)
(S)@ DFA Short Term Investment Fund.. 50,518,649 584,551,292 8.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,644,318,658).............. $7,757,039,864 106.9%
============== ======
323
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
At October 31, 2017, The Emerging Markets Small Cap Series had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R)........ 650 12/15/17 $35,838,323 $36,536,500 $ 698,177
S&P 500 Emini Index(R)................ 115 12/15/17 14,359,518 14,793,025 433,507
----------- ----------- ----------
TOTAL FUTURES CONTRACTS............... $50,197,841 $51,329,525 $1,131,684
=========== =========== ==========
Summary of the Series' investments as of October 31, 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.......................... $ 550,520,155 -- -- $ 550,520,155
Chile........................... 981,740 $ 132,574,707 -- 133,556,447
China........................... 89,180,547 1,137,915,529 -- 1,227,096,076
Colombia........................ 14,911,455 -- -- 14,911,455
Greece.......................... -- 25,217,545 -- 25,217,545
Hong Kong....................... -- 1,157,333 -- 1,157,333
Hungary......................... -- 8,961,022 -- 8,961,022
India........................... 11,232,946 1,043,739,690 -- 1,054,972,636
Indonesia....................... 807,023 220,447,064 -- 221,254,087
Malaysia........................ 71,943 263,796,236 -- 263,868,179
Mexico.......................... 170,986,135 290,892 -- 171,277,027
Philippines..................... -- 96,386,183 -- 96,386,183
Poland.......................... -- 111,220,569 -- 111,220,569
South Africa.................... 5,028,616 439,820,617 -- 444,849,233
South Korea..................... 1,107,748 1,091,815,647 -- 1,092,923,395
Taiwan.......................... 1,180,409 1,254,421,725 -- 1,255,602,134
Thailand........................ 263,170,583 482,844 -- 263,653,427
Turkey.......................... -- 125,969,893 -- 125,969,893
Preferred Stocks
Brazil.......................... 99,390,000 -- -- 99,390,000
Chile........................... -- 4,195,197 -- 4,195,197
Colombia........................ 2,738,763 -- -- 2,738,763
India........................... 143,762 -- -- 143,762
Rights/Warrants
Brazil.......................... -- 327,212 -- 327,212
Chile........................... -- 222,147 -- 222,147
Hong Kong....................... -- 10,653 -- 10,653
India........................... -- 312,585 -- 312,585
Malaysia........................ -- 53,996 -- 53,996
South Korea..................... -- 427,461 -- 427,461
Taiwan.......................... -- 40,793 -- 40,793
Thailand........................ -- 1,229,207 -- 1,229,207
Securities Lending Collateral.... -- 584,551,292 -- 584,551,292
Futures Contracts**.............. 1,131,684 -- -- 1,131,684
-------------- -------------- -- --------------
TOTAL............................ $1,212,583,509 $6,545,588,039 -- $7,758,171,548
============== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
324
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(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 $1,536,545, $671,908,
$390,734 and $282,545 of securities on loan,
respectively).................................................... $27,395,893 $12,573,213 $3,955,538 $1,801,143
Temporary Cash Investments at Value & Cost........................ 272,071 -- -- --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $522,384, $593,874, $399,455 and
$257,992)........................................................ 522,421 593,861 399,385 257,951
Segregated Cash for Futures Contracts............................. 6,624 3,846 -- --
Foreign Currencies at Value....................................... -- 52,788 3,373 12,033
Cash.............................................................. -- 53,297 5,475 5,737
Receivables:
Investment Securities Sold...................................... 21,871 5,948 9,285 1,407
Dividends, Interest and Tax Reclaims............................ 30,022 44,910 20,385 1,336
Securities Lending Income....................................... 273 795 1,101 520
Futures Margin Variation........................................ 324 265 -- --
----------- ----------- ---------- ----------
Total Assets................................................. 28,249,499 13,328,923 4,394,542 2,080,127
----------- ----------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 522,365 593,795 399,359 257,926
Investment Securities Purchased................................. 46,685 -- 5,562 6,220
Due to Advisor.................................................. 2,336 2,141 330 152
Accrued Expenses and Other Liabilities............................ 1,567 837 242 124
----------- ----------- ---------- ----------
Total Liabilities............................................ 572,953 596,773 405,493 264,422
----------- ----------- ---------- ----------
NET ASSETS........................................................ $27,676,546 $12,732,150 $3,989,049 $1,815,705
=========== =========== ========== ==========
Investments at Cost............................................... $18,606,092 $10,456,529 $2,914,836 $1,720,380
=========== =========== ========== ==========
Foreign Currencies at Cost........................................ -- $ 53,423 $ 3,377 $ 12,068
=========== =========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
325
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
THE
THE UNITED CONTINENTAL THE CANADIAN
KINGDOM SMALL SMALL SMALL THE EMERGING THE EMERGING
COMPANY COMPANY COMPANY MARKETS MARKETS SMALL
SERIES* SERIES* SERIES* SERIES* CAP SERIES*
------------- ----------- ------------ ------------ -------------
ASSETS:
Investments at Value (including $50,801,
$449,175, $202,843, $281,971 and
$1,035,360 of securities on loan,
respectively).................................. $2,317,160 $5,722,868 $1,187,421 $6,627,847 $7,172,489
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $53,698,
$470,951, $212,911, $202,665 and
$584,516)...................................... 53,700 470,885 212,919 202,669 584,551
Segregated Cash for Futures Contracts........... -- -- -- 2,310 2,153
Foreign Currencies at Value..................... 1,567 545 326 21,834 63,514
Cash............................................ 5,346 23,509 2,172 67,755 2,828
Receivables:
Investment Securities Sold.................... 3,691 6,287 710 907 14,730
Dividends, Interest and Tax Reclaims.......... 6,292 8,794 666 4,294 5,717
Securities Lending Income..................... 162 1,142 577 396 4,780
Futures Margin Variation...................... -- -- -- 361 358
Unrealized Gain on Foreign Currency
Contracts...................................... -- 3 -- -- 1
---------- ---------- ---------- ---------- ----------
Total Assets............................... 2,387,918 6,234,033 1,404,791 6,928,373 7,851,121
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............. 53,695 470,911 212,885 202,666 584,493
Investment Securities Purchased............... 3,978 11,196 1,498 1,466 11,095
Due to Advisor................................ 195 488 103 562 1,219
Unrealized Loss on Foreign Currency
Contracts...................................... -- -- -- -- 16
Accrued Expenses and Other Liabilities.......... 138 379 83 472 841
---------- ---------- ---------- ---------- ----------
Total Liabilities.......................... 58,006 482,974 214,569 205,166 597,664
---------- ---------- ---------- ---------- ----------
NET ASSETS...................................... $2,329,912 $5,751,059 $1,190,222 $6,723,207 $7,253,457
========== ========== ========== ========== ==========
Investments at Cost............................. $1,897,863 $4,011,813 $1,281,151 $4,364,270 $6,059,802
========== ========== ========== ========== ==========
Foreign Currencies at Cost...................... $ 1,563 $ 546 $ 329 $ 21,926 $ 63,467
========== ========== ========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
326
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
THE DFA THE JAPANESE THE ASIA
THE U.S. INTERNATIONAL SMALL PACIFIC SMALL
LARGE CAP VALUE COMPANY COMPANY
VALUE SERIES# SERIES# SERIES# SERIES#
------------- ------------- ------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1, $32,179,
$6,690 and $1,082, respectively)......................... $ 565,477 $ 332,211 $ 60,907 $ 54,721
Non Cash Income........................................... -- 55,069 -- 5,065
Income from Securities Lending............................ 2,756 9,477 8,951 5,373
---------- ---------- -------- --------
Total Investment Income................................ 568,233 396,757 69,858 65,159
---------- ---------- -------- --------
EXPENSES
Investment Management Fees................................ 24,712 22,418 3,441 1,650
Accounting & Transfer Agent Fees.......................... 1,102 509 157 84
Custodian Fees............................................ 255 962 583 302
Directors'/Trustees' Fees & Expenses...................... 241 108 33 16
Professional Fees......................................... 369 229 60 29
Other..................................................... 574 345 116 58
---------- ---------- -------- --------
Total Expenses......................................... 27,253 24,571 4,390 2,139
---------- ---------- -------- --------
Fees Paid Indirectly (Note C)............................. -- (877) (61) (25)
---------- ---------- -------- --------
Net Expenses.............................................. 27,253 23,694 4,329 2,114
---------- ---------- -------- --------
NET INVESTMENT INCOME (LOSS).............................. 540,980 373,063 65,529 63,045
---------- ---------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................ 1,415,252 133,582 174,661 57,205
Affiliated Investment Companies Shares Sold............. (4) 55 70 63
Futures................................................. 22,013 16,570 -- --
Foreign Currency Transactions........................... -- (2,679) (2,843) (697)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 3,199,777 2,126,222 616,328 131,297
Affiliated Investment Companies Shares.................. (95) (73) (116) (85)
Futures................................................. 11,932 3,736 -- --
Translation of Foreign Currency Denominated Amounts..... -- 1,069 489 (7)
---------- ---------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................... 4,648,875 2,278,482 788,589 187,776
---------- ---------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................. $5,189,855 $2,651,545 $854,118 $250,821
========== ========== ======== ========
----------
**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.
327
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(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
$74, $16,318, $3,604, $18,315 and $16,255,
respectively)................................... $ 59,839 $ 106,902 $ 20,545 $ 132,530 $ 147,058
Non Cash Income.................................. 9,789 -- -- -- --
Income from Securities Lending................... 1,338 14,125 5,521 4,405 46,044
-------- ---------- -------- ---------- ----------
Total Investment Income....................... 70,966 121,027 26,066 136,935 193,102
-------- ---------- -------- ---------- ----------
EXPENSES
Investment Management Fees....................... 2,020 4,928 1,157 5,755 12,668
Accounting & Transfer Agent Fees................. 94 229 52 266 292
Custodian Fees................................... 110 840 96 2,249 3,873
Directors'/Trustees' Fees & Expenses............. 19 46 11 54 60
Professional Fees................................ 35 102 19 174 221
Other............................................ 61 151 39 181 208
-------- ---------- -------- ---------- ----------
Total Expenses................................ 2,339 6,296 1,374 8,679 17,322
-------- ---------- -------- ---------- ----------
Fees Paid Indirectly (Note C).................... (57) (142) (46) (246) (256)
-------- ---------- -------- ---------- ----------
Net Expenses..................................... 2,282 6,154 1,328 8,433 17,066
-------- ---------- -------- ---------- ----------
NET INVESTMENT INCOME (LOSS)..................... 68,684 114,873 24,738 128,502 176,036
-------- ---------- -------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................... 68,209 217,209 (39,064) (7,795) 173,946
Affiliated Investment Companies Shares
Sold.......................................... 2 32 21 (8) 23
Futures........................................ -- -- -- 8,355 9,284
Foreign Currency Transactions.................. 330 992 (26) (35) 79
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency...................................... 383,963 1,106,864 137,860 1,213,036 923,325
Affiliated Investment Companies Shares......... (8) (119) (28) (19) (73)
Futures........................................ -- -- -- 929 843
Translation of Foreign Currency Denominated
Amounts....................................... 206 303 (7) (69) (193)
-------- ---------- -------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS).......... 452,702 1,325,281 98,756 1,214,394 1,107,234
-------- ---------- -------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS......................... $521,386 $1,440,154 $123,494 $1,342,896 $1,283,270
======== ========== ======== ========== ==========
----------
**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.
328
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL THE JAPANESE SMALL
SERIES VALUE SERIES COMPANY SERIES
------------------------ ----------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017 2016
----------- ----------- ----------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ 540,980 $ 464,438 $ 373,063 $ 332,006 $ 65,529 $ 54,226
Net Realized Gain (Loss) on:
Investment Securities Sold*......... 1,415,252 567,193 133,582 (261,808) 174,661 122,152
Affiliated Investment Companies
Shares Sold........................ (4) -- 55 -- 70 --
Futures............................. 22,013 21,037 16,570 5,988 -- --
Foreign Currency
Transactions....................... -- -- (2,679) 5,590 (2,843) 2,170
Forward Currency Contracts.......... -- -- -- 8 -- (36)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency................... 3,199,777 (57,128) 2,126,222 (32,753) 616,328 214,787
Affiliated Investment Companies
Shares............................. (95) -- (73) -- (116) --
Futures............................. 11,932 (3,872) 3,736 (852) -- --
Translation of Foreign Currency
Denominated Amounts................ -- -- 1,069 (908) 489 (688)
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................ 5,189,855 991,668 2,651,545 47,271 854,118 392,611
----------- ----------- ----------- ---------- ---------- ----------
Transactions in Interest:
Contributions......................... 2,626,519 1,812,211 995,812 1,394,282 195,960 224,138
Withdrawals........................... (1,056,396) (981,368) (644,747) (939,918) (193,623) (115,843)
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest.......... 1,570,123 830,843 351,065 454,364 2,337 108,295
----------- ----------- ----------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets........................ 6,759,978 1,822,511 3,002,610 501,635 856,455 500,906
NET ASSETS
Beginning of Year..................... 20,916,568 19,094,057 9,729,540 9,227,905 3,132,594 2,631,688
----------- ----------- ----------- ---------- ---------- ----------
End of Year........................... $27,676,546 $20,916,568 $12,732,150 $9,729,540 $3,989,049 $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.
329
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE ASIA PACIFIC SMALL THE UNITED KINGDOM SMALL THE CONTINENTAL SMALL
COMPANY SERIES COMPANY SERIES COMPANY SERIES
---------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 63,045 $ 55,379 $ 68,684 $ 79,465 $ 114,873 $ 98,312
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 57,205 (8,246) 68,209 71,244 217,209 122,507
Affiliated Investment Companies
Shares Sold.......................... 63 -- 2 -- 32 --
Futures............................... -- -- -- -- -- 687
Foreign Currency Transactions......... (697) 309 330 (1,277) 992 (394)
Forward Currency Contracts............ -- (18) -- -- -- (5)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 131,297 168,801 383,963 (469,059) 1,106,864 27,064
Affiliated Investment Companies
Shares............................... (85) -- (8) -- (119) --
Futures............................... -- -- -- -- -- 19
Translation of Foreign Currency
Denominated Amounts.................. (7) 22 206 (215) 303 (32)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 250,821 216,247 521,386 (319,842) 1,440,154 248,158
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 110,964 137,711 158,197 112,811 303,976 441,553
Withdrawals............................. (101,816) (26,496) (33,136) (193,617) (140,996) (195,529)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 9,148 111,215 125,061 (80,806) 162,980 246,024
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 259,969 327,462 646,447 (400,648) 1,603,134 494,182
NET ASSETS
Beginning of Year....................... 1,555,736 1,228,274 1,683,465 2,084,113 4,147,925 3,653,743
---------- ---------- ---------- ---------- ---------- ----------
End of Year............................. $1,815,705 $1,555,736 $2,329,912 $1,683,465 $5,751,059 $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.
330
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE CANADIAN SMALL THE EMERGING MARKETS THE EMERGING MARKETS
COMPANY SERIES SERIES SMALL CAP SERIES
-------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017 2016
---------- -------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 24,738 $ 18,822 $ 128,502 $ 110,781 $ 176,036 $ 144,191
Net Realized Gain (Loss) on:
Investment Securities Sold*........... (39,064) (24,152) (7,795) (106,229) 173,946 140,851
Affiliated Investment Companies
Shares Sold.......................... 21 -- (8) -- 23 --
Futures............................... -- -- 8,355 5,752 9,284 4,055
Foreign Currency Transactions......... (26) 229 (35) 975 79 457
Forward Currency Contracts............ -- -- -- (4) -- (116)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 137,860 135,836 1,213,036 512,891 923,325 400,224
Affiliated Investment Companies
Shares............................... (28) -- (19) -- (73) --
Futures............................... -- -- 929 (266) 843 289
Translation of Foreign Currency
Denominated Amounts.................. (7) (6) (69) 207 (193) 586
---------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 123,494 130,729 1,342,896 524,107 1,283,270 690,537
---------- -------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 269,073 187,903 738,457 471,019 959,649 448,086
Withdrawals............................. (135,609) (8,500) (355,877) (400,950) (505,109) (521,283)
---------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 133,464 179,403 382,580 70,069 454,540 (73,197)
---------- -------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 256,958 310,132 1,725,476 594,176 1,737,810 617,340
NET ASSETS
Beginning of Year....................... 933,264 623,132 4,997,731 4,403,555 5,515,647 4,898,307
---------- -------- ---------- ---------- ---------- ----------
End of Year............................. $1,190,222 $933,264 $6,723,207 $4,997,731 $7,253,457 $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.
331
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------
Total Return......................................... 24.31% 4.75% 1.32% 15.67% 35.68%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $27,676,546 $20,916,568 $19,094,057 $18,376,682 $14,838,988
Ratio of Expenses to Average Net Assets.............. 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets. 2.19% 2.39% 2.20% 1.90% 1.98%
Portfolio Turnover Rate.............................. 15% 15% 16% 15% 15%
----------------------------------------------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES
---------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014
------------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. 26.53% (0.10)% (5.35)% (0.72)%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $12,732,150 $9,729,540 $9,227,905 $9,343,666
Ratio of Expenses to Average Net Assets.................................. 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets..................... 3.33% 3.72% 3.31% 4.50%
Portfolio Turnover Rate.................................................. 17% 17% 21% 17%
------------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2013
-------------------------------------------------------------------------------------
Total Return............................................................. 28.18%
-------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $8,792,130
Ratio of Expenses to Average Net Assets.................................. 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.22%
Ratio of Net Investment Income to Average Net Assets..................... 3.20%
Portfolio Turnover Rate.................................................. 15%
-------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
332
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE JAPANESE SMALL COMPANY SERIES
-----------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014
--------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. 27.10% 14.53% 9.04% 2.46%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $3,989,049 $3,132,594 $2,631,688 $2,505,409
Ratio of Expenses to Average Net Assets.................................. 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets..................... 1.90% 1.99% 1.69% 1.71%
Portfolio Turnover Rate.................................................. 13% 10% 6% 9%
--------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2013
-------------------------------------------------------------------------------------
Total Return............................................................. 30.62%
-------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $2,281,624
Ratio of Expenses to Average Net Assets.................................. 0.14%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.14%
Ratio of Net Investment Income to Average Net Assets..................... 1.87%
Portfolio Turnover Rate.................................................. 16%
-------------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES
-------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014
----------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. 16.21% 16.69% (11.83)% (3.46)%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $1,815,705 $1,555,736 $1,228,274 $1,453,786
Ratio of Expenses to Average Net Assets.................................. 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets..................... 3.82% 4.00% 4.17% 3.96%
Portfolio Turnover Rate.................................................. 14% 10% 7% 7%
----------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2013
-------------------------------------------------------------------------------------
Total Return............................................................. 10.97%
-------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $1,265,498
Ratio of Expenses to Average Net Assets.................................. 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.15%
Ratio of Net Investment Income to Average Net Assets..................... 4.64%
Portfolio Turnover Rate.................................................. 9%
-------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
333
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE UNITED KINGDOM SMALL COMPANY SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 29.87% (15.82)% 9.95% 1.22% 37.42%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $2,329,912 $1,683,465 $2,084,113 $1,995,898 $1,988,287
Ratio of Expenses to Average Net Assets....................... 0.12% 0.12% 0.11% 0.11% 0.12%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly).................................................. 0.12% 0.12% 0.11% 0.11% 0.12%
Ratio of Net Investment Income to Average Net Assets.......... 3.40% 4.36% 3.44% 2.98% 3.29%
Portfolio Turnover Rate....................................... 9% 15% 10% 8% 17%
---------------------------------------------------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 34.27% 6.10% 9.81% (2.25)% 43.67%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................... $5,751,059 $4,147,925 $3,653,743 $3,152,277 $3,217,766
Ratio of Expenses to Average Net Assets....................... 0.13% 0.13% 0.13% 0.13% 0.14%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly).................................................. 0.13% 0.13% 0.13% 0.13% 0.14%
Ratio of Net Investment Income to Average Net Assets.......... 2.33% 2.49% 2.44% 2.40% 2.67%
Portfolio Turnover Rate....................................... 13% 9% 14% 13% 13%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
334
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE CANADIAN SMALL COMPANY SERIES
----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. 12.10% 20.77% (25.00)% (3.83)% 5.71%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $1,190,222 $933,264 $623,132 $849,429 $741,204
Ratio of Expenses to Average Net Assets.................................. 0.12% 0.12% 0.12% 0.12% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.12% 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average Net Assets..................... 2.14% 2.52% 2.73% 2.42% 2.99%
Portfolio Turnover Rate.................................................. 22% 8% 18% 5% 14%
-------------------------------------------------------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES
------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014
---------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. 25.26% 11.44% (14.86)% 1.74%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $6,723,207 $4,997,731 $4,403,555 $4,185,451
Ratio of Expenses to Average Net Assets.................................. 0.15% 0.15% 0.16% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.15% 0.15% 0.16% 0.15%
Ratio of Net Investment Income to Average Net Assets..................... 2.23% 2.45% 2.39% 2.51%
Portfolio Turnover Rate.................................................. 8% 5% 9% 5%
---------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2013
-------------------------------------------------------------------------------------
Total Return............................................................. 6.99%
-------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $3,766,160
Ratio of Expenses to Average Net Assets.................................. 0.16%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.16%
Ratio of Net Investment Income to Average Net Assets..................... 2.38%
Portfolio Turnover Rate.................................................. 4%
-------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
335
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SMALL CAP SERIES
------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014
---------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. 21.55% 14.45% (9.42)% 5.60%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $7,253,457 $5,515,647 $4,898,307 $4,921,438
Ratio of Expenses to Average Net Assets.................................. 0.27% 0.26% 0.26% 0.26%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.27% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to Average Net Assets..................... 2.78% 2.89% 2.62% 2.48%
Portfolio Turnover Rate.................................................. 15% 18% 18% 9%
---------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2013
-------------------------------------------------------------------------------------
Total Return............................................................. 9.41%
-------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $4,091,523
Ratio of Expenses to Average Net Assets.................................. 0.29%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.29%
Ratio of Net Investment Income to Average Net Assets..................... 2.37%
Portfolio Turnover Rate.................................................. 11%
-------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
336
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios are presented in separate reports. The Series are investment
companies, and accordingly, follow the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
DOMESTIC EQUITY PORTFOLIO INTERNATIONAL EQUITY PORTFOLIOS
------------------------- -------------------------------
The U.S. Large Cap Value Series The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Domestic Equity Portfolio and the International
Equity Portfolios, including over-the-counter securities, are valued at the
last quoted sale price of the day. International equity securities are subject
to a fair value factor, as described later in this note. Securities held by the
Domestic Equity Portfolio and the International Equity Portfolios that are
listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If
there is no last reported sale price or NOCP for the day, the Domestic Equity
Portfolio and the International Equity Portfolios value the securities within
the range of the most recent quoted bid and asked prices. Price information on
listed securities is taken from the exchange where the security is primarily
traded. Generally, securities issued by open-end management investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
337
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 year ended October 31, 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.
338
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 October 31, 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.
339
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 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 year ended October 31, 2017, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series...... $877
The Japanese Small Company Series....... 61
The Asia Pacific Small Company Series... 25
The United Kingdom Small Company Series. 57
The Continental Small Company Series.... 142
The Canadian Small Company Series....... 46
The Emerging Markets Series............. 246
The Emerging Markets Small Cap Series... 256
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended October 31, 2017, the total related amounts paid by the Trust to
the CCO were $85 (in thousands). The total related amounts paid by each of the
Series are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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......... $633
The DFA International Value Series...... 391
The Japanese Small Company Series....... 96
The Asia Pacific Small Company Series... 49
The United Kingdom Small Company Series. 63
The Continental Small Company Series.... 125
The Canadian Small Company Series....... 30
The Emerging Markets Series............. 158
The Emerging Markets Small Cap Series... 136
340
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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......... $5,711,924 $3,550,329
The DFA International Value Series...... 2,380,334 1,837,613
The Japanese Small Company Series....... 500,531 438,549
The Asia Pacific Small Company Series... 312,003 236,969
The United Kingdom Small Company Series. 381,315 174,465
The Continental Small Company Series.... 921,278 640,361
The Canadian Small Company Series....... 442,511 257,115
The Emerging Markets Series............. 950,150 468,047
The Emerging Markets Small Cap Series... 1,540,584 924,340
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2017, transactions related to Affiliated
Investment Companies were as follows (amounts in thousands):
NET REALIZED DIVIDEND
GAIN/(LOSS) CHANGE IN INCOME FROM
ON SALES OF UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES
---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
THE U.S. LARGE CAP VALUE
SERIES
DFA Short Term Investment
Fund....................... $820,651 $6,008,173 $6,306,304 $(4) $ (95) $522,421 45,149 $7,598
-------- ---------- ---------- --- ----- -------- ------ ------
TOTAL $820,651 $6,008,173 $6,306,304 $(4) $ (95) $522,421 45,149 $7,598
======== ========== ========== === ===== ======== ====== ======
THE DFA INTERNATIONAL VALUE
SERIES
DFA Short Term Investment
Fund....................... $370,103 $6,085,206 $5,861,430 $55 $ (73) $593,861 51,323 $5,741
-------- ---------- ---------- --- ----- -------- ------ ------
TOTAL $370,103 $6,085,206 $5,861,430 $55 $ (73) $593,861 51,323 $5,741
======== ========== ========== === ===== ======== ====== ======
THE JAPANESE SMALL COMPANY
SERIES
DFA Short Term Investment
Fund....................... $280,962 $1,095,593 $ 977,123 $70 $(116) $399,385 34,516 $3,315
-------- ---------- ---------- --- ----- -------- ------ ------
TOTAL $280,962 $1,095,593 $ 977,123 $70 $(116) $399,385 34,516 $3,315
======== ========== ========== === ===== ======== ====== ======
THE ASIA PACIFIC SMALL
COMPANY SERIES
DFA Short Term Investment
Fund....................... $261,843 $ 552,723 $ 556,593 $63 $ (85) $257,951 22,293 $2,514
-------- ---------- ---------- --- ----- -------- ------ ------
TOTAL $261,843 $ 552,723 $ 556,593 $63 $ (85) $257,951 22,293 $2,514
======== ========== ========== === ===== ======== ====== ======
THE UNITED KINGDOM SMALL
COMPANY SERIES
DFA Short Term Investment
Fund....................... $ 56,584 $ 338,586 $ 341,464 $ 2 $ (8) $ 53,700 4,641 $ 764
-------- ---------- ---------- --- ----- -------- ------ ------
TOTAL $ 56,584 $ 338,586 $ 341,464 $ 2 $ (8) $ 53,700 4,641 $ 764
======== ========== ========== === ===== ======== ====== ======
THE CONTINENTAL SMALL
COMPANY SERIES
DFA Short Term Investment
Fund....................... $350,190 $1,496,894 $1,376,112 $32 $(119) $470,885 40,695 $4,826
-------- ---------- ---------- --- ----- -------- ------ ------
TOTAL $350,190 $1,496,894 $1,376,112 $32 $(119) $470,885 40,695 $4,826
======== ========== ========== === ===== ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
-------------
THE U.S. LARGE CAP VALUE
SERIES
DFA Short Term Investment
Fund....................... --
--
TOTAL --
==
THE DFA INTERNATIONAL VALUE
SERIES
DFA Short Term Investment
Fund....................... --
--
TOTAL --
==
THE JAPANESE SMALL COMPANY
SERIES
DFA Short Term Investment
Fund....................... --
--
TOTAL --
==
THE ASIA PACIFIC SMALL
COMPANY SERIES
DFA Short Term Investment
Fund....................... --
--
TOTAL --
==
THE UNITED KINGDOM SMALL
COMPANY SERIES
DFA Short Term Investment
Fund....................... --
--
TOTAL --
==
THE CONTINENTAL SMALL
COMPANY SERIES
DFA Short Term Investment
Fund....................... --
--
TOTAL --
==
341
NET REALIZED DIVIDEND
GAIN/(LOSS) CHANGE IN INCOME FROM
ON SALES OF UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES
---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
THE CANADIAN SMALL COMPANY
SERIES
DFA Short Term Investment
Fund....................... $214,142 $1,260,703 $1,261,918 $21 $(29) $212,919 18,401 $2,017
-------- ---------- ---------- --- ---- -------- ------ ------
TOTAL $214,142 $1,260,703 $1,261,918 $21 $(29) $212,919 18,401 $2,017
======== ========== ========== === ==== ======== ====== ======
THE EMERGING MARKETS SERIES
DFA Short Term Investment
Fund....................... $143,647 $ 885,441 $ 826,392 $(8) $(19) $202,669 17,515 $1,743
-------- ---------- ---------- --- ---- -------- ------ ------
TOTAL $143,647 $ 885,441 $ 826,392 $(8) $(19) $202,669 17,515 $1,743
======== ========== ========== === ==== ======== ====== ======
THE EMERGING MARKETS SMALL
CAP SERIES
DFA Short Term Investment
Fund....................... $648,631 $ 797,021 $ 861,051 $23 $(73) $584,551 50,519 $5,293
-------- ---------- ---------- --- ---- -------- ------ ------
TOTAL $648,631 $ 797,021 $ 861,051 $23 $(73) $584,551 50,519 $5,293
======== ========== ========== === ==== ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
-------------
THE CANADIAN SMALL COMPANY
SERIES
DFA Short Term Investment
Fund....................... --
--
TOTAL --
==
THE EMERGING MARKETS SERIES
DFA Short Term Investment
Fund....................... --
--
TOTAL --
==
THE EMERGING MARKETS SMALL
CAP SERIES
DFA Short Term Investment
Fund....................... --
--
TOTAL --
==
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 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......... $19,581,837 $9,370,063 $(544,402) $8,825,661
The DFA International Value Series...... 11,157,024 2,649,548 (529,994) 2,119,554
The Japanese Small Company Series....... 3,314,291 1,213,062 (172,429) 1,040,633
The Asia Pacific Small Company Series... 1,978,372 445,114 (364,392) 80,722
The United Kingdom Small Company Series. 1,951,561 635,021 (215,722) 419,299
The Continental Small Company Series.... 4,482,764 2,083,885 (372,897) 1,710,988
The Canadian Small Company Series....... 1,494,062 199,811 (293,534) (93,723)
The Emerging Markets Series............. 4,629,823 2,541,436 (277,193) 2,264,243
The Emerging Markets Small Cap Series... 6,694,516 1,889,950 (776,097) 1,113,853
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 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.
342
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.
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
Statement of Operations as the change in unrealized appreciation or
depreciation from translation of foreign-currency-denominated amounts. When the
contract is closed or offset with the same counterparty, the Series records a
realized gain or loss equal to the change in the value of the contract when it
was opened and the value at the time it was closed or offset. This is presented
in the Statement of Operations as a net realized gain or loss on foreign
currency transactions. At October 31, 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 year ended October 31, 2017 (amounts in thousands):
FUTURES
--------
The U.S. Large Cap Value Series....... $167,432
The DFA International Value Series.... 89,210
The Emerging Markets Series........... 44,417
The Emerging Markets Small Cap Series. 42,694
343
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of October 31, 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 Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2017 (amounts in
thousands):
ASSET DERIVATIVES VALUE
- ---------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2017 CONTRACTS*
- ---------------- ----------
The U.S. Large Cap Value Series....... $8,060 $8,060
The DFA International Value Series.... 2,884 2,884
The Emerging Markets Series........... 663 663
The Emerging Markets Small Cap Series. 1,132 1,132
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the year ended October 31, 2017:
LOCATION OF GAIN (LOSS)
DERIVATIVE TYPE ON DERIVATIVES
--------------- ------------------------
Equity contracts Net Realized Gain (Loss)
on: Futures
Change in Unrealized
Appreciation
(Depreciation) of:
Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the year ended October 31, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------- ---------
The U.S. Large Cap Value Series....... $22,013 $22,013
The DFA International Value Series.... 16,570 16,570
The Emerging Markets Series........... 8,355 8,355
The Emerging Markets Small Cap Series. 9,284 9,284
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
- -----------------------
EQUITY
TOTAL CONTRACTS
- ------- ---------
The U.S. Large Cap Value Series....... $11,932 $11,932
The DFA International Value Series.... 3,736 3,736
The Emerging Markets Series........... 929 929
The Emerging Markets Small Cap Series. 843 843
344
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
For the year ended October 31, 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..... 1.77% $16,525 6 $ 5 $25,222
The Asia Pacific Small Company Series. 1.76% 1,241 34 2 9,913
The Continental Small Company Series.. 1.91% 120 1 -- 120
The Canadian Small Company Series..... 1.88% 15,022 3 2 44,993
The Emerging Markets Series........... 1.77% 6,211 9 3 15,381
The Emerging Markets Small Cap Series. 1.44% 20,990 10 8 35,873
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 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 October 31, 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 year
ended October 31, 2017.
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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
345
of investment companies, or between a series of an investment company and
another entity, that are or could be considered affiliates by virtue of having
a common investment adviser (or affiliated investment advisers), common
trustees and/or common officers. At its regularly scheduled meetings, the Board
reviews such transactions for compliance with the requirements and restrictions
set forth by Rule 17a-7 under the 1940 Act.
For the year ended October 31, 2017, cross trades by the Series under Rule
17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- -------- --------------------
The U.S. Large Cap Value Series........ $442,838 $204,015 $30,650
The DFA International Value Series..... 135,129 76,512 4,425
The Japanese Small Company Series...... 44,207 28,558 14,108
The Asia Pacific Small Company Series.. 28,263 33,425 14,632
The Continental Small Company Series... 63,808 21,763 9,250
The Canadian Small Company Series...... 46,995 27,027 4,703
The Emerging Markets Series............ 7,463 2,540 241
The Emerging Markets Small Cap Series.. 7,987 9,824 1,251
J. SECURITIES LENDING:
As of October 31, 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....... $1,052,697
The DFA International Value Series.... 124,520
The Japanese Small Company Series..... 11,439
The Asia Pacific Small Company Series. 54,797
The Continental Small Company Series.. 10,247
The Canadian Small Company Series..... 1,883
The Emerging Markets Series........... 106,638
The Emerging Markets Small Cap Series. 535,339
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. Income received from the Money Market Series is netted with fees for
securities lending and collateral investment expenses, and other payments to
and from borrowers of
346
securities. Such Series also may invest the cash collateral received for the
loaned securities in securities of the U.S. government or its agencies,
repurchase agreements collateralized by securities of the U.S. government or
its agencies, and affiliated and unaffiliated registered and unregistered money
market funds. For purposes of this paragraph, agencies include both agency
debentures and agency mortgage-backed securities. In addition, each Series will
be able to terminate the loan at any time and will receive reasonable interest
on the loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 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.......... $522,421,314 -- -- -- $522,421,314
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks........................... 593,860,860 -- -- -- 593,860,860
THE JAPANESE SMALL COMPANY SERIES
Common Stocks........................... 399,384,904 -- -- -- 399,384,904
THE ASIA PACIFIC SMALL COMPANY SERIES
Common Stocks........................... 257,950,593 -- -- -- 257,950,593
THE UNITED KINGDOM SMALL COMPANY SERIES
Common Stocks........................... 53,700,300 -- -- -- 53,700,300
THE CONTINENTAL SMALL COMPANY SERIES
Common Stocks, Preferred Stocks, Rights/
Warrants.............................. 470,885,347 -- -- -- 470,885,347
THE CANADIAN SMALL COMPANY SERIES
Common Stocks........................... 212,918,854 -- -- -- 212,918,854
THE EMERGING MARKETS SERIES
Common Stocks........................... 202,669,148 -- -- -- 202,669,148
THE EMERGING MARKETS SMALL CAP SERIES
Common Stocks, Rights/Warrants.......... 584,551,292 -- -- -- 584,551,292
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. RECENTLY ISSUED ACCOUNTING STANDARDS:
In October 2016, the U.S. Securities and Exchange Commission ("SEC") adopted
new rules and forms, and amendments to certain current rules and forms, to
modernize reporting and disclosure of information by registered investment
companies. The amendments to Regulation S-X require standardized, enhanced
disclosure about derivatives in investment company financial statements, and
also change the rules governing the form and content of such financial
statements. The amendments to Regulation S-X took effect on August 1, 2017, and
the financial statements have been modified accordingly, as applicable.
347
M. 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"). 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.
N. 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.
348
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of the Series, as defined
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series, The DFA International Value Series, The
Japanese Small Company Series, The Asia Pacific Small Company Series, The
United Kingdom Small Company Series, The Continental Small Company Series, The
Canadian Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series (nine of the portfolios constituting The DFA
Investment Trust Company, hereafter referred to as the "Series") as of
October 31, 2017, the results of each of their operations for the year then
ended, the changes in each of their net assets for each of the two years in the
period then ended and the financial highlights for each of the five years in
the period then ended, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Series' management. Our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities as of October 31, 2017 by correspondence with the
custodians, brokers and the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
349
DIMENSIONAL EMERGING MARKETS VALUE FUND
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DIMENSIONAL EMERGING MARKETS VALUE FUND VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Dimensional Emerging MSCI Emerging Markets
Markets Value Fund Index (net dividends)
-------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,274 9,291
12/31/2007 9,262 9,324
1/31/2008 8,344 8,160
2/29/2008 8,680 8,762
3/31/2008 8,390 8,299
4/30/2008 9,039 8,972
5/31/2008 9,120 9,139
6/30/2008 8,062 8,227
7/31/2008 7,906 7,917
8/31/2008 7,233 7,284
9/30/2008 5,986 6,010
10/31/2008 4,129 4,365
11/30/2008 3,817 4,036
12/31/2008 4,288 4,351
1/31/2009 3,903 4,070
2/28/2009 3,571 3,841
3/31/2009 4,191 4,392
4/30/2009 5,016 5,123
5/31/2009 6,147 5,999
6/30/2009 6,073 5,918
7/31/2009 6,890 6,583
8/31/2009 6,944 6,560
9/30/2009 7,587 7,155
10/31/2009 7,409 7,164
11/30/2009 7,884 7,472
12/31/2009 8,278 7,767
1/31/2010 7,810 7,334
2/28/2010 7,873 7,360
3/31/2010 8,567 7,954
4/30/2010 8,625 8,050
5/31/2010 7,725 7,342
6/30/2010 7,774 7,288
7/31/2010 8,497 7,895
8/31/2010 8,345 7,742
9/30/2010 9,350 8,602
10/31/2010 9,673 8,852
11/30/2010 9,363 8,618
12/31/2010 10,145 9,233
1/31/2011 9,829 8,983
2/28/2011 9,670 8,899
3/31/2011 10,228 9,422
4/30/2011 10,596 9,714
5/31/2011 10,195 9,460
6/30/2011 9,988 9,314
7/31/2011 9,908 9,273
8/31/2011 8,906 8,444
9/30/2011 7,310 7,213
10/31/2011 8,274 8,168
11/30/2011 7,857 7,624
12/31/2011 7,578 7,532
1/31/2012 8,632 8,386
2/29/2012 9,159 8,889
3/31/2012 8,768 8,592
4/30/2012 8,486 8,489
5/31/2012 7,549 7,537
6/30/2012 7,892 7,828
7/31/2012 7,845 7,981
8/31/2012 7,957 7,954
9/30/2012 8,471 8,434
10/31/2012 8,364 8,383
11/30/2012 8,460 8,490
12/31/2012 9,080 8,905
1/31/2013 9,229 9,027
2/28/2013 9,078 8,914
3/31/2013 9,003 8,760
4/30/2013 9,084 8,827
5/31/2013 8,828 8,600
6/30/2013 8,087 8,053
7/31/2013 8,248 8,137
8/31/2013 8,076 7,997
9/30/2013 8,674 8,517
10/31/2013 9,070 8,931
11/30/2013 8,856 8,800
12/31/2013 8,770 8,673
1/31/2014 8,160 8,110
2/28/2014 8,343 8,378
3/31/2014 8,718 8,636
4/30/2014 8,778 8,664
5/31/2014 9,138 8,967
6/30/2014 9,380 9,205
7/31/2014 9,560 9,383
8/31/2014 9,775 9,595
9/30/2014 8,979 8,883
10/31/2014 8,971 8,988
11/30/2014 8,825 8,893
12/31/2014 8,418 8,483
1/31/2015 8,351 8,534
2/28/2015 8,651 8,798
3/31/2015 8,411 8,673
4/30/2015 9,248 9,340
5/31/2015 8,840 8,966
6/30/2015 8,562 8,733
7/31/2015 7,880 8,128
8/31/2015 7,166 7,393
9/30/2015 6,929 7,170
10/31/2015 7,361 7,682
11/30/2015 7,077 7,382
12/31/2015 6,866 7,218
1/31/2016 6,483 6,750
2/29/2016 6,524 6,738
3/31/2016 7,489 7,630
4/30/2016 7,691 7,672
5/31/2016 7,195 7,385
6/30/2016 7,591 7,681
7/31/2016 8,071 8,067
8/31/2016 8,222 8,268
9/30/2016 8,340 8,374
10/31/2016 8,523 8,394
11/30/2016 8,228 8,008
12/31/2016 8,265 8,025
1/31/2017 8,791 8,464
2/28/2017 9,195 8,723
3/31/2017 9,449 8,944
4/30/2017 9,522 9,139
5/31/2017 9,696 9,410
6/30/2017 9,725 9,504
7/31/2017 10,247 10,071
8/31/2017 10,508 10,296 Past performance is not predictive of
9/30/2017 10,278 10,255 future performance.
10/31/2017 10,644 10,614 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------ MSCI data copyright MSCI 2017, all
24.89% 4.94% 0.63% rights reserved.
--------------------------------------------------------------------------------
350
DIMENSIONAL EMERGING MARKETS VALUE FUND
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
Performance of non-U.S. developed markets was positive for the period. As
measured by the MSCI World ex USA indices, small-cap stocks outperformed
large-cap stocks, and value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
RETURN IN U.S. DOLLARS
- ----------------------
MSCI World ex USA Index........... 22.74%
MSCI World ex USA Small Cap Index. 25.86%
MSCI World ex USA Value Index..... 23.05%
MSCI World ex USA Growth Index.... 22.40%
For the 12 months ended October 31, 2017, the U.S. dollar depreciated
against currencies of most other developed markets. Overall, currency movements
had a positive impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................. 27.38% 17.80%
United Kingdom.................... 11.80% 21.60%
France............................ 25.50% 33.37%
Canada............................ 11.32% 15.73%
Germany........................... 22.29% 29.96%
Switzerland....................... 21.26% 20.30%
Australia......................... 16.30% 17.18%
Hong Kong......................... 18.75% 18.09%
Netherlands....................... 25.39% 32.59%
Spain............................. 20.43% 27.98%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2017, all rights reserved
Emerging markets had positive performance for the period, outperforming both
the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and growth
stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
RETURN IN U.S. DOLLARS
- ----------------------
MSCI Emerging Markets Index........... 26.45%
MSCI Emerging Markets Small Cap Index. 20.72%
MSCI Emerging Markets Value Index..... 20.70%
MSCI Emerging Markets Growth Index.... 32.25%
351
For the 12 months ended October 31, 2017, the U.S. dollar depreciated
against some emerging markets currencies, but appreciated against others.
Overall, currency movements had a positive impact on the U.S.
dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
China........................ 41.71% 41.06%
Korea........................ 37.49% 40.42%
Taiwan....................... 20.17% 25.74%
India........................ 19.48% 23.20%
Brazil....................... 13.32% 9.67%
South Africa................. 16.76% 11.32%
Russia....................... 9.16% 16.56%
Mexico....................... 4.11% 2.35%
Indonesia.................... 10.16% 5.98%
Malaysia..................... 7.08% 6.11%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2017, all rights reserved.
For portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
portfolio and its benchmark index may impact relative performance over the
referenced period. The portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The funds also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2017,
these differences generally benefited the portfolios' relative performance.
DIMENSIONAL EMERGING MARKETS VALUE FUND
The Dimensional Emerging Markets Value Fund is designed to capture the
returns of value stocks of large and small companies in selected emerging
markets. Value is measured primarily by price-to-book ratio. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Fund held approximately 2,400 securities across 19
eligible emerging markets. In general, average cash exposure throughout the
year was less than 1% of the Fund's assets.
For the 12 months ended October 31, 2017, total returns were 24.89% for the
Fund and 26.45% for the MSCI Emerging Markets Index (net dividends), the Fund's
benchmark. As a result of the Fund's diversified investment approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. With low relative price
(value) underperforming high relative price (growth) stocks among large caps
for the period, the Fund's focus on value stocks had a negative impact on
performance relative to the style-neutral benchmark. At the country level, the
Fund's lesser allocation to China detracted from relative performance, as China
was among the strongest-performing countries in the benchmark. Conversely, the
Fund's greater focus on value securities in India had a positive impact on
relative performance, as these securities outperformed.
352
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
DIMENSIONAL EMERGING MARKETS VALUE FUND
---------------------------------------
Actual Fund Return $1,000.00 $1,117.80 0.16% $0.85
Hypothetical 5% Annual Return $1,000.00 $1,024.40 0.16% $0.82
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
353
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-Q filing must be made within 60 days
of the end of the quarter. Dimensional Emerging Markets Value Fund filed its
most recent Form N-Q with the SEC on September 29, 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....................... 9.5%
Consumer Staples............................. 3.3%
Energy....................................... 13.7%
Financials................................... 28.6%
Health Care.................................. 0.4%
Industrials.................................. 9.0%
Information Technology....................... 9.6%
Materials.................................... 17.8%
Real Estate.................................. 4.0%
Telecommunication Services................... 2.5%
Utilities.................................... 1.6%
-----
100.0%
354
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (95.0%)
BRAZIL -- (6.0%)
Banco do Brasil SA.................................. 9,323,902 $ 98,161,338 0.5%
* Petroleo Brasileiro SA Sponsored ADR................ 14,614,044 155,639,569 0.8%
Vale SA............................................. 26,500,917 260,043,235 1.3%
# Vale SA Sponsored ADR............................... 25,156,364 246,280,802 1.3%
Other Securities.................................... 435,720,877 2.2%
-------------- -----
TOTAL BRAZIL............................................ 1,195,845,821 6.1%
-------------- -----
CHILE -- (1.6%)
Other Securities.................................... 316,996,496 1.6%
-------------- -----
CHINA -- (16.6%)
Bank of China, Ltd. Class H......................... 441,292,817 220,541,705 1.1%
China Construction Bank Corp. Class H............... 619,669,101 553,807,555 2.8%
China Overseas Land & Investment, Ltd............... 26,952,000 87,513,573 0.5%
China Petroleum & Chemical Corp. ADR................ 1,159,521 85,387,112 0.4%
China Petroleum & Chemical Corp. Class H............ 113,421,575 83,287,527 0.4%
#* China Unicom Hong Kong, Ltd. ADR.................... 6,973,434 98,534,622 0.5%
CNOOC, Ltd.......................................... 60,746,000 82,942,156 0.4%
Industrial & Commercial Bank of China, Ltd. Class H. 498,032,996 396,267,428 2.0%
PetroChina Co., Ltd. Class H........................ 136,138,000 88,993,181 0.5%
Other Securities.................................... 1,632,486,299 8.4%
-------------- -----
TOTAL CHINA............................................. 3,329,761,158 17.0%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities.................................... 41,417,612 0.2%
-------------- -----
CZECH REPUBLIC -- (0.3%)
Other Securities.................................... 56,931,518 0.3%
-------------- -----
GREECE -- (0.0%)
Other Securities.................................... 5,400,787 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 1,799,742 0.0%
-------------- -----
HUNGARY -- (0.4%)
Other Securities.................................... 76,715,301 0.4%
-------------- -----
INDIA -- (12.9%)
Bharti Airtel, Ltd.................................. 11,108,283 85,474,747 0.5%
ICICI Bank, Ltd. Sponsored ADR...................... 15,014,286 137,380,716 0.7%
JSW Steel, Ltd...................................... 20,551,299 82,414,526 0.4%
Larsen & Toubro, Ltd................................ 4,214,051 79,664,841 0.4%
Reliance Industries, Ltd............................ 33,999,334 495,984,582 2.5%
* Tata Motors, Ltd.................................... 14,885,959 98,573,279 0.5%
Vedanta, Ltd........................................ 19,014,264 97,657,605 0.5%
Other Securities.................................... 1,504,036,963 7.7%
-------------- -----
TOTAL INDIA............................................. 2,581,187,259 13.2%
-------------- -----
INDONESIA -- (2.8%)
Bank Mandiri Persero Tbk PT......................... 168,163,062 87,344,213 0.5%
355
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
INDONESIA -- (Continued)
Other Securities.................................... $ 469,499,241 2.3%
-------------- -----
TOTAL INDONESIA......................................... 556,843,454 2.8%
-------------- -----
MALAYSIA -- (2.8%)
Other Securities.................................... 566,662,777 2.9%
-------------- -----
MEXICO -- (3.8%)
* Cemex S.A.B. de C.V. Sponsored ADR.................. 14,473,498 117,380,072 0.6%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 1,186,961 104,155,828 0.5%
# Grupo Financiero Banorte S.A.B. de C.V. Class O..... 18,334,815 108,640,838 0.6%
Grupo Mexico S.A.B. de C.V. Series B................ 39,173,644 127,399,779 0.7%
Other Securities.................................... 304,466,151 1.5%
-------------- -----
TOTAL MEXICO............................................ 762,042,668 3.9%
-------------- -----
PHILIPPINES -- (1.0%)
Other Securities.................................... 201,045,379 1.0%
-------------- -----
POLAND -- (1.6%)
Polski Koncern Naftowy Orlen SA..................... 2,350,371 83,131,467 0.4%
Other Securities.................................... 241,389,226 1.3%
-------------- -----
TOTAL POLAND............................................ 324,520,693 1.7%
-------------- -----
RUSSIA -- (1.7%)
Gazprom PJSC Sponsored ADR.......................... 32,989,361 141,702,963 0.7%
Lukoil PJSC Sponsored ADR........................... 1,526,223 81,070,481 0.4%
Other Securities.................................... 112,719,494 0.6%
-------------- -----
TOTAL RUSSIA............................................ 335,492,938 1.7%
-------------- -----
SOUTH AFRICA -- (6.3%)
MTN Group, Ltd...................................... 16,070,670 139,543,349 0.7%
Sasol, Ltd.......................................... 4,145,981 121,136,352 0.6%
Standard Bank Group, Ltd............................ 16,807,621 195,176,437 1.0%
# Steinhoff International Holdings NV................. 23,998,309 104,178,800 0.5%
Other Securities.................................... 712,292,549 3.7%
-------------- -----
TOTAL SOUTH AFRICA...................................... 1,272,327,487 6.5%
-------------- -----
SOUTH KOREA -- (16.9%)
Hana Financial Group, Inc........................... 3,054,677 130,736,577 0.7%
Hyundai Mobis Co., Ltd.............................. 626,470 149,072,036 0.8%
Hyundai Motor Co.................................... 1,779,390 255,994,819 1.3%
# KB Financial Group, Inc. ADR........................ 2,889,524 151,728,905 0.8%
Kia Motors Corp..................................... 3,544,702 112,199,131 0.6%
# LG Electronics, Inc................................. 1,692,217 137,757,291 0.7%
POSCO............................................... 622,870 181,557,522 0.9%
POSCO Sponsored ADR................................. 1,500,406 109,499,630 0.6%
Shinhan Financial Group Co., Ltd.................... 3,697,574 166,088,332 0.9%
SK Innovation Co., Ltd.............................. 879,496 161,335,394 0.8%
Other Securities.................................... 1,818,106,611 9.1%
-------------- -----
TOTAL SOUTH KOREA....................................... 3,374,076,248 17.2%
-------------- -----
TAIWAN -- (16.1%)
CTBC Financial Holding Co., Ltd..................... 133,426,073 85,427,628 0.5%
First Financial Holding Co., Ltd.................... 146,060,158 94,231,411 0.5%
# Fubon Financial Holding Co., Ltd.................... 88,710,471 141,378,692 0.7%
356
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (Continued)
Hon Hai Precision Industry Co., Ltd.. 25,539,240 $ 94,927,894 0.5%
Mega Financial Holding Co., Ltd...... 123,127,796 96,790,402 0.5%
# United Microelectronics Corp......... 209,748,681 108,252,366 0.6%
Other Securities..................... 2,596,129,660 13.1%
--------------- ------
TOTAL TAIWAN............................... 3,217,138,053 16.4%
--------------- ------
THAILAND -- (2.7%)
PTT PCL.............................. 15,428,250 195,059,151 1.0%
Other Securities..................... 338,333,044 1.7%
--------------- ------
TOTAL THAILAND............................. 533,392,195 2.7%
--------------- ------
TURKEY -- (1.3%)
Other Securities..................... 269,950,479 1.4%
--------------- ------
TOTAL COMMON STOCKS........................ 19,019,548,065 97.0%
--------------- ------
PREFERRED STOCKS -- (2.0%)
BRAZIL -- (1.9%)
* Petroleo Brasileiro SA Sponsored ADR. 17,627,348 180,680,317 0.9%
Other Securities..................... 199,670,542 1.0%
--------------- ------
TOTAL BRAZIL............................... 380,350,859 1.9%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities..................... 15,823,558 0.1%
--------------- ------
TOTAL PREFERRED STOCKS..................... 396,174,417 2.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities..................... 11,917 0.0%
--------------- ------
CHILE -- (0.0%)
Other Securities..................... 135,065 0.0%
--------------- ------
HONG KONG -- (0.0%)
Other Securities..................... 13,068 0.0%
--------------- ------
INDIA -- (0.0%)
Other Securities..................... 250,493 0.0%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities..................... 364,648 0.0%
--------------- ------
SOUTH KOREA -- (0.0%)
Other Securities..................... 288,398 0.0%
--------------- ------
TAIWAN -- (0.0%)
Other Securities..................... 562,570 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS...................... 1,626,159 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES................ 19,417,348,641
---------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (3.0%)
(S)@ DFA Short Term Investment Fund....... 51,154,322 591,906,661 3.0%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,266,162,347)................. $20,009,255,302 102.0%
=============== ======
357
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
At October 31, 2017, Dimensional Emerging Markets Value Fund had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R)........ 650 12/15/17 $ 35,810,203 $ 36,536,500 $ 726,297
S&P 500 Emini Index(R)................ 795 12/15/17 99,611,195 102,264,825 2,653,630
------------ ------------ ----------
TOTAL FUTURES CONTRACTS............... $135,421,398 $138,801,325 $3,379,927
============ ============ ==========
Summary of the Fund's investments as of October 31, 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......................... $1,195,845,821 -- -- $ 1,195,845,821
Chile.......................... 80,372,052 $ 236,624,444 -- 316,996,496
China.......................... 258,179,357 3,071,581,801 -- 3,329,761,158
Colombia....................... 41,417,612 -- -- 41,417,612
Czech Republic................. -- 56,931,518 -- 56,931,518
Greece......................... -- 5,400,787 -- 5,400,787
Hong Kong...................... -- 1,799,742 -- 1,799,742
Hungary........................ -- 76,715,301 -- 76,715,301
India.......................... 189,194,146 2,391,993,113 -- 2,581,187,259
Indonesia...................... 576,682 556,266,772 -- 556,843,454
Malaysia....................... -- 566,662,777 -- 566,662,777
Mexico......................... 762,042,668 -- -- 762,042,668
Philippines.................... -- 201,045,379 -- 201,045,379
Poland......................... -- 324,520,693 -- 324,520,693
Russia......................... 92,681,201 242,811,737 -- 335,492,938
South Africa................... 142,269,666 1,130,057,821 -- 1,272,327,487
South Korea.................... 383,240,328 2,990,835,920 -- 3,374,076,248
Taiwan......................... 41,063,307 3,176,074,746 -- 3,217,138,053
Thailand....................... 533,366,579 25,616 -- 533,392,195
Turkey......................... -- 269,950,479 -- 269,950,479
Preferred Stocks
Brazil......................... 380,350,859 -- -- 380,350,859
Colombia....................... 15,823,558 -- -- 15,823,558
Rights/Warrants
Brazil......................... -- 11,917 -- 11,917
Chile.......................... -- 135,065 -- 135,065
Hong Kong...................... -- 13,068 -- 13,068
India.......................... -- 250,493 -- 250,493
Malaysia....................... -- 364,648 -- 364,648
South Korea.................... -- 288,398 -- 288,398
Taiwan......................... -- 562,570 -- 562,570
Securities Lending Collateral... -- 591,906,661 -- 591,906,661
Futures Contracts**............. 3,379,927 -- -- 3,379,927
-------------- --------------- -- ---------------
TOTAL........................... $4,119,803,763 $15,892,831,466 -- $20,012,635,229
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
358
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $1,060,625 of securities on loan)*............................. $19,417,349
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $591,888). 591,907
Segregated Cash for Futures Contracts.......................................................... 4,943
Foreign Currencies at Value.................................................................... 171,305
Cash........................................................................................... 10,932
Receivables:
Investment Securities Sold................................................................... 28,687
Dividends, Interest and Tax Reclaims......................................................... 2,079
Securities Lending Income.................................................................... 2,406
Futures Margin Variation..................................................................... 490
-----------
Total Assets.............................................................................. 20,230,098
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 591,870
Investment Securities Purchased.............................................................. 21,691
Due to Advisor............................................................................... 1,655
Unrealized Loss on Foreign Currency Contracts.................................................. 4
Accrued Expenses and Other Liabilities......................................................... 2,667
-----------
Total Liabilities......................................................................... 617,887
-----------
NET ASSETS..................................................................................... $19,612,211
===========
Investments at Cost............................................................................ $16,674,275
===========
Foreign Currencies at Cost..................................................................... $ 171,212
===========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
359
DIMENSIONAL EMERGING MARKETS VALUE FUND#
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $64,385).......... $ 479,417
Income from Securities Lending................................ 24,656
----------
Total Investment Income.................................... 504,073
----------
EXPENSES
Investment Management Fees.................................... 18,034
Accounting & Transfer Agent Fees.............................. 859
Custodian Fees................................................ 8,568
Directors'/Trustees' Fees & Expenses.......................... 175
Professional Fees............................................. 741
Other......................................................... 659
----------
Total Expenses............................................. 29,036
----------
Fees Paid Indirectly (Note C)................................. (398)
----------
Net Expenses.................................................. 28,638
----------
NET INVESTMENT INCOME (LOSS).................................. 475,435
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold*................................. (259,529)
Affiliated Investment Companies Shares Sold................. 1
Futures..................................................... 20,081
Foreign Currency Transactions............................... 2,950
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 3,780,573
Affiliated Investment Companies Shares...................... (79)
Futures..................................................... 3,775
Translation of Foreign Currency Denominated Amounts......... (53)
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 3,547,719
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $4,023,154
==========
----------
* Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
360
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DIMENSIONAL EMERGING
MARKETS VALUE FUND
------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 475,435 $ 407,052
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... (259,529) (88,448)
Affiliated Investment Companies Shares Sold......................... 1 --
Futures............................................................. 20,081 11,480
Foreign Currency Transactions....................................... 2,950 3,764
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 3,780,573 1,983,912
Affiliated Investment Companies Shares.............................. (79) --
Futures............................................................. 3,775 (395)
Translation of Foreign Currency Denominated Amounts................. (53) 48
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 4,023,154 2,317,413
----------- -----------
Transactions in Interest:
Contributions......................................................... 842,290 1,192,055
Withdrawals........................................................... (1,900,740) (1,950,019)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.............. (1,058,450) (757,964)
----------- -----------
Total Increase (Decrease) in Net Assets............................ 2,964,704 1,559,449
NET ASSETS
Beginning of Year..................................................... 16,647,507 15,088,058
----------- -----------
End of Year........................................................... $19,612,211 $16,647,507
=========== ===========
----------
* Net of foreign capital gain taxes withheld of $0 and $145, respectively.
See accompanying Notes to Financial Statements.
361
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
DIMENSIONAL EMERGING MARKETS VALUE FUND
-----------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014
--------------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. 24.89% 15.80% (17.95)% (1.09)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $19,612,211 $16,647,507 $15,088,058 $18,927,517
Ratio of Expenses to Average Net Assets.................................. 0.16% 0.16% 0.15% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.16% 0.16% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets..................... 2.64% 2.72% 2.54% 2.76%
Portfolio Turnover Rate.................................................. 14% 12% 14% 12%
--------------------------------------------------------------------------------------------------------------------------------
------------
YEAR
ENDED
OCT. 31,
2013
--------------------------------------------------------------------------------------
Total Return............................................................. 8.43%
--------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $19,427,286
Ratio of Expenses to Average Net Assets.................................. 0.16%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.16%
Ratio of Net Investment Income to Average Net Assets..................... 2.32%
Portfolio Turnover Rate.................................................. 6%
--------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
362
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund (the "Fund") is an open-end
management investment company registered under the Investment Company Act of
1940. The Fund meets the definition as an investment company and follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies." The Fund consists of one series.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Fund utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
Securities held by the Fund, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq
Official Closing Price ("NOCP"). If there is no last reported sale price or
NOCP for the day, the Fund values the securities within the range of the most
recent quoted bid and asked prices. Price information on listed securities is
taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Fund is calculated. When fair value pricing is used, the
prices of securities used by the Fund may differ from the quoted or published
prices for the same securities on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
The Fund will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the
close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset
value of the Fund is computed. Due to the time differences between the closings
of the relevant foreign
363
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 year ended October 31, 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 October 31,
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 $621 (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
364
first deferral election. If a Trustee who elects to defer fees fails to
designate in the Notice a time or date as of which payment of the Trustee's
deferred fee account shall commence, payment of such amount shall commence as
of the first business day of January following the year in which the Trustee
ceases to be a member of the Board (unless the Trustee files an amended Notice
selecting a different distribution date). As of October 31, 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 year ended October 31, 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, the Fund has entered into an arrangement with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Fund's custody expense. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of the Fund's net assets.
During the year ended October 31, 2017, expenses reduced were $398 (amount in
thousands).
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Fund; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For
the year ended October 31, 2017, the total related amounts paid by the Fund to
the CCO were $16 (in thousands). The total related amounts paid by the Fund are
included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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. $2,578,607 $3,151,688
365
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2017, transactions related to Affiliated
Investment Companies were as follows (amounts in thousands):
NET REALIZED DIVIDEND CAPITAL GAIN
GAIN/(LOSS) CHANGE IN INCOME FROM DISTRIBUTIONS
BALANCE ON SALES OF UNREALIZED BALANCE AFFILIATED FROM
AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ AT SHARES AS OF INVESTMENT AFFILIATED
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES INVESTMENT
-------- ---------- ---------- ------------ ------------- -------- ------------ ----------- -------------
DIMENSIONAL EMERGING
MARKETS VALUE FUND
DFA Short Term
Investment Fund..... $592,349 $2,532,742 $2,533,106 $ 1 $(79) $591,907 51,154 $6,167 --
-------- ---------- ---------- ---- ---- -------- ------ ------ --
TOTAL $592,349 $2,532,742 $2,533,106 $ 1 $(79) $591,907 51,154 $6,167 --
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund is treated
as a partnership for federal income tax purposes. Any net investment income and
realized and unrealized gains and losses have been deemed to have been "passed
down" to their respective partners.
At October 31, 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..................... $17,401,584 $4,615,842 $(1,869,369) $2,746,473
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 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.
366
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.
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.
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
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 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 Statement of Operations as a net realized gain or loss on foreign
currency transactions. At October 31, 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 year ended October 31, 2017 (amounts in thousands):
FUTURES
--------
Dimensional Emerging Markets Value Fund............................... $107,048
The following is a summary of the location of derivatives on the Fund's
Statements of Assets and Liabilities as of October 31, 2017:
LOCATION ON THE
STATEMENTS OF ASSETS AND
LIABILITIES
------------------------
DERIVATIVE TYPE ASSET DERIVATIVES
--------------- ------------------------
Equity contracts Receivables: Futures
Margin Variation
367
The following is a summary of the Fund's derivative instrument holdings
categorized by primary risk exposure as of October 31, 2017 (amounts in
thousands):
ASSET DERIVATIVES VALUE
---------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2017 CONTRACTS*
---------------- ----------
Dimensional Emerging Markets Value Fund......................................... $3,380 $3,380
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location on the Fund's Statement of
Operations of realized and change in unrealized gains and losses from the
Fund's derivative instrument holdings through the year ended October 31, 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 year ended October 31, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------- ---------
Dimensional Emerging Markets Value Fund..................... $20,081 $20,081
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------- ---------
Dimensional Emerging Markets Value Fund..................... $ 3,775 $ 3,775
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.
368
For the year ended October 31, 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
AVERAGE AVERAGE DAYS EXPENSE
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED
------------- ------------ ------------ --------
Dimensional Emerging Markets Value Fund......................................... 1.53% $18,696 33 $26
MAXIMUM AMOUNT
BORROWED DURING
THE PERIOD
---------------
Dimensional Emerging Markets Value Fund......................................... $82,809
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2017, that the Fund's available line of
credit was utilized.
There were no outstanding borrowings by the Fund under the lines of credit
as of October 31, 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 year ended
October 31, 2017.
H. AFFILIATED TRADES:
Cross trades for the year ended October 31, 2017, if any, were executed by
the Fund pursuant to procedures adopted by the Board of Trustees 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 trustees and/or common officers. At its regularly scheduled
meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the year ended October 31, 2017, cross trades by the Fund under Rule
17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------- --------------------
Dimensional Emerging Markets Value Fund......................................... $2,885 $34,578 $9,733
I. SECURITIES LENDING:
As of October 31, 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 $585,916 (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
369
such collateral insufficiency is not the result of investment losses, the
lending agent has agreed to pay the amount of the shortfall to the Fund or, at
the option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Fund could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policy, the Fund will generally invest the
cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses, and other payments to and from
borrowers of securities. The Fund also may invest the cash collateral received
for the loaned securities in securities of the U.S. government or its agencies,
repurchase agreements collateralized by securities of the U.S. government or
its agencies, and affiliated and unaffiliated registered and unregistered money
market funds. For purposes of this paragraph, agencies include both agency
debentures and agency mortgage-backed securities. In addition, the Fund will be
able to terminate the loan at any time and will receive reasonable interest on
the loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2017:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2017
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
DIMENSIONAL EMERGING MARKETS VALUE FUND
Common Stocks............................................... $591,906,661 -- -- -- $591,906,661
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. RECENTLY ISSUED ACCOUNTING STANDARDS:
In October 2016, the U.S. Securities and Exchange Commission ("SEC") adopted
new rules and forms, and amendments to certain current rules and forms, to
modernize reporting and disclosure of information by registered investment
companies. The amendments to Regulation S-X require standardized, enhanced
disclosure about derivatives in investment company financial statements, and
also change the rules governing the form and content of such financial
statements. The amendments to Regulation S-X took effect on August 1, 2017, and
the financial statements have been modified accordingly, as applicable.
L. 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.
370
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value
Fund
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Dimensional
Emerging Markets Value Fund (the "Fund") as of October 31, 2017, the results of
its operations for the year then ended, the changes in its net assets for each
of the two years in the period then ended and the financial highlights for each
of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities as of October 31, 2017 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
371
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2017.
Each Board's Nominating Committee is composed of George M. Constantinides,
Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J. Smith. Each
member of the Nominating Committee is a disinterested Trustee/Director. The
Nominating Committee for each Board makes recommendations for nominations of
disinterested and interested members on the Board to the full Board. The
Nominating Committee evaluates a candidate's qualification for Board membership
and the independence of such candidate from the Advisor and other principal
service providers. The Nominating Committee met one time during the fiscal year
ended October 31, 2017.
Each Board's Strategy Committee is composed of Douglas W. Diamond, Edward P.
Lazear, and Myron S. Scholes. Each member of the Strategy Committee is a
disinterested Trustee/Director. The Strategy Committee assists the Board in
carrying out its fiduciary duties with respect to the oversight of the Fund and
its performance. At the request of the Board or the Advisor, the Strategy
Committee may (i) review the design of possible new series of the Fund,
(ii) review performance of existing portfolios of the Fund and discuss and
recommend possible enhancements to the portfolios' investment strategies,
(iii) review proposals by the Advisor to modify or enhance the investment
strategies or policies of each portfolio, and (iv) consider issues relating to
investment services for each portfolio of the Fund. There were three Strategy
Committee meetings held during the fiscal year ended October 31, 2017.
Certain biographical information for each disinterested Trustee/Director and
interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at http://us.dimensional.com.
372
TERM OF PORTFOLIOS WITHIN
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND
AND LENGTH OF COMPLEX/2/
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN
-------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
------------------------------------------------------------------------------------------------------------------
George M. Director of DFAIDG- Leo Melamed Professor of Finance, 126 portfolios in
Constantinides DFAIDG Since 1983 University of Chicago Booth School of 4 investment
University of and DIG DIG- Since Business (since 1978). companies
Chicago Booth Trustee 1993
School of Business of DFAITC-
5807 S. Woodlawn DFAITC Since 1992
Avenue and DEM- Since
Chicago, IL 60637 DEM 1993
1947
-------------------------------------------------------------------------------------------------------------------
Douglas W. Director DFAIDG- Merton H. Miller Distinguished Service 126 portfolios in
Diamond of Since June Professor of Finance, University of Chicago 4 investment
University of DFAIDG 2017 Booth School of Business (since companies
Chicago Booth and DIG DIG- Since 1988). Visiting Scholar, Federal Reserve
School of Trustee June 2017 Bank of Richmond (since 1990). Formerly,
Business of DFAITC- Fischer Black Visiting Professor of Financial
5807 S. Woodlawn DFAITC Since June Economics, Alfred P. Sloan School of
Avenue and 2017 Management, Massachusetts Institute of
Chicago, IL 60637 DEM DEM- Since Technology (2015 to 2016).
1953 June 2017
-------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Director DFAIDG- Professor in Practice Emeritus of Finance, 126 portfolios in
Yale School of of Since 1981 Yale School of Management (since 1984). 4 investment
Management DFAIDG DIG- Since Chairman, CIO and Partner, Zebra Capital companies
P.O. Box 208200 and DIG 1993 Management, LLC (hedge fund and asset
New Haven, CT Trustee DFAITC- manager) (since 2001). Formerly, Consultant
06520-8200 of Since 1992 to Morningstar, Inc. (2006-2016).
1943 DFAITC DEM- Since
and 1993
DEM
-------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Director DFAIDG- Distinguished Visiting Fellow, Becker 126 portfolios in
Stanford University of Since 2010 Friedman Institute for Research in 4 investment
Graduate School of DFAIDG DIG- Since Economics, University of Chicago (since companies
Business and DIG 2010 2015). Morris Arnold Cox Senior Fellow,
Knight Management Trustee DFAITC- Hoover Institution (since 2002). Jack Steele
Center, E346 of Since 2010 Parker Professor of Human Resources
Stanford, CA DFAITC DEM- Since Management and Economics, Graduate
94305 and 2010 School of Business, Stanford University
1948 DEM (since 1995). Cornerstone Research (expert
testimony and economic and financial
analysis) (since 2009).
-------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Director DFAIDG- Chief Investment Strategist, Janus 126 portfolios in
c/o Dimensional of Since 1981 Henderson Investors (since 2014). Frank E. 4 investment
Fund Advisors LP DFAIDG DIG- Since Buck Professor of Finance, Emeritus, companies
6300 Bee Cave and DIG 1993 Graduate School of Business, Stanford
Road, Building One Trustee DFAITC- University (since 1981).
Austin, TX 78746 of Since 1992
1941 DFAITC DEM- Since
and 1993
DEM
OTHER
DIRECTORSHIPS OF
PUBLIC COMPANIES
HELD DURING
PRINCIPAL OCCUPATION DURING PAST 5 YEARS PAST 5 YEARS
-------------------------------------------------------------------
---------------------
Leo Melamed Professor of Finance, None
University of Chicago Booth School of
Business (since 1978).
-------------------------------------------------------------------
Merton H. Miller Distinguished Service None
Professor of Finance, University of Chicago
Booth School of Business (since
1988). Visiting Scholar, Federal Reserve
Bank of Richmond (since 1990). Formerly,
Fischer Black Visiting Professor of Financial
Economics, Alfred P. Sloan School of
Management, Massachusetts Institute of
Technology (2015 to 2016).
-------------------------------------------------------------------
Professor in Practice Emeritus of Finance, None
Yale School of Management (since 1984).
Chairman, CIO and Partner, Zebra Capital
Management, LLC (hedge fund and asset
manager) (since 2001). Formerly, Consultant
to Morningstar, Inc. (2006-2016).
-------------------------------------------------------------------
Distinguished Visiting Fellow, Becker None
Friedman Institute for Research in
Economics, University of Chicago (since
2015). Morris Arnold Cox Senior Fellow,
Hoover Institution (since 2002). Jack Steele
Parker Professor of Human Resources
Management and Economics, Graduate
School of Business, Stanford University
(since 1995). Cornerstone Research (expert
testimony and economic and financial
analysis) (since 2009).
-------------------------------------------------------------------
Chief Investment Strategist, Janus Formerly, Adviser,
Henderson Investors (since 2014). Frank E. Kuapay, Inc.
Buck Professor of Finance, Emeritus, (2013-2014).
Graduate School of Business, Stanford Formerly, Director,
University (since 1981). American Century
Fund Complex
(registered
investment
companies) (43
Portfolios) (1980-
2014).
373
TERM OF PORTFOLIOS WITHIN
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND
AND LENGTH OF COMPLEX/2/
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN
------------------------------------------------------------------------------------------------------------
Abbie J. Smith Director DFAIDG- Boris and Irene Stern Distinguished Service 126 portfolios in
University of of Since 2000 Professor of Accounting, University of 4 investment
Chicago Booth DFAIDG DIG- Since Chicago Booth School of Business (since companies
School of and DIG 2000 1980).
Business Trustee DFAITC-
5807 S. Woodlawn of Since 2000
Avenue DFAITC DEM- Since
Chicago, IL 60637 and 2000
1953 DEM
OTHER
DIRECTORSHIPS OF
PUBLIC COMPANIES
HELD DURING
PRINCIPAL OCCUPATION DURING PAST 5 YEARS PAST 5 YEARS
-------------------------------------------------------------------
Boris and Irene Stern Distinguished Service Lead Director,
Professor of Accounting, University of (beginning May
Chicago Booth School of Business (since 2014) and Director
1980). (since 2000), HNI
Corporation
(formerly known as
HON Industries
Inc.) (office
furniture); Director,
Ryder System Inc.
(transportation,
logistics and
supply-chain
management)
(since 2003); and
Trustee, UBS
Funds (3
investment
companies within
the fund complex)
(24 portfolios)
(since 2009).
374
TERM OF PORTFOLIOS WITHIN
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND
AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN
-----------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
----------------------------------------------------------------------------------------------------------------
David G. Booth Chairman DFAIDG- Chairman, Director/Trustee, and formerly, 126 portfolios in 4
6300 Bee Cave Director of Since 1981 President and Co-Chief Executive Officer investment
Road, Building One DFAIDG DIG- Since (each until March 2017) of Dimensional companies
Austin, TX 78746 and DIG 1992 Emerging Markets Value Fund ("DEM"),
1946 Trustee of DFAITC- DFAIDG, Dimensional Investment Group
DFAITC Since 1992 Inc. ("DIG") and The DFA Investment Trust
and DEM DEM- Since Company ("DFAITC"). Executive
1993 Chairman, and formerly, President and
Co-Chief Executive Officer (each until
February 2017) of Dimensional Holdings
Inc., Dimensional Fund Advisors LP and
DFA Securities LLC (collectively with DEM,
DFAIDG, DIG and DFAITC, the "DFA
Entities"). Chairman and Director (since
2009) and formerly Co-Chief Executive
Officer (2010- June 2017) of Dimensional
Fund Advisors Canada ULC. Trustee,
University of Chicago (since 2002).
Trustee, University of Kansas Endowment
Association (since 2005). Formerly,
Director of Dimensional Fund Advisors Ltd.
(2002-July 2017), DFA Australia Limited
(1994-July 2017), Dimensional Advisors
Ltd. (2012-July 2017), Dimensional Funds
plc (2006-July 2017) and Dimensional
Funds II plc (2006-July 2017). Formerly,
Director and President of Dimensional
Japan Ltd. (2012-April 2017). Formerly,
President, Dimensional SmartNest (US)
LLC (2009-2014); and Limited Partner,
VSC Investors, LLC (2007 to 2015).
Formerly, Chairman, Director, President
and Co-Chief Executive Officer of
Dimensional Cayman Commodity Fund I
Ltd. (2010-September 2017).
OTHER
DIRECTORSHIPS OF
PUBLIC COMPANIES
PRINCIPAL OCCUPATION DURING HELD DURING
PAST 5 YEARS PAST 5 YEARS
-------------------------------------------------------------
------------------
Chairman, Director/Trustee, and formerly, None
President and Co-Chief Executive Officer
(each until March 2017) of Dimensional
Emerging Markets Value Fund ("DEM"),
DFAIDG, Dimensional Investment Group
Inc. ("DIG") and The DFA Investment Trust
Company ("DFAITC"). Executive
Chairman, and formerly, President and
Co-Chief Executive Officer (each until
February 2017) of Dimensional Holdings
Inc., Dimensional Fund Advisors LP and
DFA Securities LLC (collectively with DEM,
DFAIDG, DIG and DFAITC, the "DFA
Entities"). Chairman and Director (since
2009) and formerly Co-Chief Executive
Officer (2010- June 2017) of Dimensional
Fund Advisors Canada ULC. Trustee,
University of Chicago (since 2002).
Trustee, University of Kansas Endowment
Association (since 2005). Formerly,
Director of Dimensional Fund Advisors Ltd.
(2002-July 2017), DFA Australia Limited
(1994-July 2017), Dimensional Advisors
Ltd. (2012-July 2017), Dimensional Funds
plc (2006-July 2017) and Dimensional
Funds II plc (2006-July 2017). Formerly,
Director and President of Dimensional
Japan Ltd. (2012-April 2017). Formerly,
President, Dimensional SmartNest (US)
LLC (2009-2014); and Limited Partner,
VSC Investors, LLC (2007 to 2015).
Formerly, Chairman, Director, President
and Co-Chief Executive Officer of
Dimensional Cayman Commodity Fund I
Ltd. (2010-September 2017).
/1/ Each Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Director is a director or trustee of each of the four registered
investment companies within the DFA Fund Complex, which include: DFAIDG;
DIG; DFAITC; and DEM. Each disinterested Director also serves on the
Independent Review Committee of the Dimensional Funds, mutual funds
registered in the provinces of Canada and managed by the Advisor's
affiliate, Dimensional Fund Advisors Canada ULC.
* The Interested Trustee/Director is described as such because he is deemed to
be an "interested person," as that term is defined under the Investment
Company Act of 1940, as amended, due to his position with the Advisor.
375
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF
OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
1967 Assistant Secretary Australia Limited, Dimensional Fund Advisors Ltd., Dimensional
Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte. Ltd.
and Dimensional Hong Kong Limited. Director, Vice President and
Assistant Secretary of Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------------------------
David P. Butler Co-Chief Executive Since 2017 Co-Chief Executive Officer of all the DFA entities (since 2017);
1964 Officer Director of Dimensional Holdings Inc. (since February 2017),
Dimensional Fund Advisors Canada ULC (since March 2017),
Dimensional Japan Ltd. (since April 2017), Dimensional Advisors Ltd.
(since July 2017), DFA Australia Limited (since July 2017) and
Dimensional Fund Advisors Ltd. (since August 2017); Director and
Co-Chief Executive Officer of Dimensional Cayman Commodity Fund I
Ltd. (since September 13, 2017). Formerly, Vice President (October
2007 to February 2017), of all the DFA Entities. Head of Global
Financial Advisor Services (since October 2007) for Dimensional Fund
Advisors LP.
---------------------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Executive Vice President Since 2017 Executive Vice President (since March 2017) and formerly, Vice
1972 President (2004 to March 2017), of all the DFA Entities. Director and
Vice President (since February 2016) of Dimensional Japan Ltd.
President and Director (since February 2016) of Dimensional Fund
Advisors Canada ULC. Vice President (since April 2008) and Director
(since October 2016) of DFA Australia Limited. Director (since April
2016) of Dimensional Advisors Ltd., Dimensional Fund Advisors Pte.
Ltd., and Dimensional Hong Kong Limited. Vice President (since June
2016) of Dimensional Fund Advisors Pte. Ltd. Head of Global
Institutional Services (since January 2014) for Dimensional Fund
Advisors LP. Formerly, Vice President (December 2010-February
2016) of Dimensional Fund Advisors Canada ULC; and Head of
Institutional, North America (March 2012 to December 2013) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------------------------
Christopher S. Vice President and Since 2004 Vice President and Global Chief Compliance Officer of all the DFA
Crossan Global Chief Compliance Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd.
1965 Officer Chief Compliance Officer and Chief Privacy Officer of Dimensional
Fund Advisors Canada ULC (since October 2006 and March 2015,
respectively), Chief Compliance Officer of Dimensional Fund Advisors
Pte. Ltd. (since October 2012) and Dimensional Japan Ltd. (since
February 2017). Formerly, Vice President and Global Chief
Compliance Officer (October 2010- 2014) for Dimensional SmartNest
(US) LLC.
---------------------------------------------------------------------------------------------------------------------------------
(Michael) Sam Executive Vice President Since 2017 Executive Vice President and Chief Operating Officer of the DFA Fund
Gilliland Complex (since March 2017). Executive Vice President (since
1962 February 2017), Senior Advisor and Chief Operating Officer (since
February 2016) of Dimensional Funds Advisors LP, Dimensional
Holdings Inc. and Dimensional Investment LLC. Executive Vice
President (since February 2017) of DFA Securities LLC. Director of
Dimensional Advisors Ltd. (since February 2017), Dimensional Hong
Kong Limited (since February 2017) and DFA Australia Limited (since
October 2016). Formerly, Consultant for MSG Consulting (August
2013-February 2017), and Chairman and Chief Executive Officer of
Sabre Holdings (December 2003-August 2013).
376
TERM OF
OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Chief Since 2015 Vice President, Chief Financial Officer, and Treasurer of all
1958 Financial Officer, and the DFA Entities. Chief Financial Officer, Treasurer and Vice
Treasurer President of Dimensional Advisors Ltd., Dimensional Fund
Advisors Ltd., Dimensional Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors Canada ULC,
Dimensional Fund Advisors Pte. Ltd and DFA Australia Limited.
Director (since August 2016) for Dimensional Funds plc and
Dimensional Funds II plc. Formerly, interim Chief Financial
Officer and interim Treasurer of all the DFA Entities (April
2016-September 2016); interim Chief Financial Officer and
interim Treasurer (April 2016-July 2016) of Dimensional Fund
Advisors LP, Dimensional Fund Advisors Ltd., DFA Australia
Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors
Pte. Ltd, Dimensional Hong Kong Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors Canada ULC;
Controller (August 2015-September 2016) of all the DFA Entities;
Controller (August 2015-July 2016) Dimensional Fund Advisors LP;
Vice President of T. Rowe Price Group, Inc. and Director of
Investment Treasury and Treasurer of the T. Rowe Price Funds
(March 2008-July 2015).
-----------------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President and Vice President Vice President and Assistant Secretary (since 2004 and March
1973 Assistant Secretary since 2004 and 2017, respectively) of all the DFA Entities and Dimensional
Assistant Cayman Commodity Fund I Ltd.
Secretary since
2017
-----------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
1972 Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------------------------
Catherine L. President and General Since 2017 President and General Counsel (since March 2017), and formerly,
Newell Counsel Vice President and Secretary (1997 and 2000, respectively, to
1964 March 2017), of all the DFA Entities. Director, Vice President
and Secretary of DFA Australia Limited and Dimensional Fund
Advisors Ltd. (since February 2002, April 1997, and May 2002,
respectively). Vice President and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003), Dimensional Cayman
Commodity Fund I Ltd., Dimensional Japan Ltd (since February
2012), Dimensional Advisors Ltd. (since March 2012) and
Dimensional Fund Advisors Pte. Ltd. (since June 2012). Director
of Dimensional Funds plc and Dimensional Funds II plc (since
2002 and 2006, respectively). Director of Dimensional Japan
Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte.
Ltd. and Dimensional Hong Kong Limited (since August 2012 and
July 2012). Formerly, Vice President and Secretary (October
2010-November 2014) of Dimensional SmartNest (US) LLC.
-----------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer of all the
1961 Deputy Chief DFA Entities. Deputy Chief Compliance Officer (since December
Compliance Officer 2012) of Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President and Vice President Vice President and Secretary (since 2010 and March 2017,
1974 Secretary since 2010 and respectively) of all the DFA Entities, Dimensional Cayman
Secretary since Commodity Fund I Ltd., and Dimensional Fund Advisors Canada ULC
2017 (since April 2016).
377
TERM OF
OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Co-Chief Executive Since 2017 Co-Chief Executive Officer and Chief Investment Officer of DFAIDG,
1976 Officer and Chief DFAITC, DIG and DEM (since September, 2017) and Dimensional
Investment Officer Holdings Inc., Dimensional Fund Advisors LP, DFA Securities LLC
and Dimensional Fund Advisors Canada ULC (since September,
2017); Chief Investment Officer and Director of DFA Australia Limited
(since September, 2017 and October 2017, respectively); Director,
Co-Chief Executive Officer and Chief Investment Officer of
Dimensional Cayman Commodity Fund I Ltd. (since September,
2017); Director of Dimensional Funds plc and Dimensional Fund II plc
(since August 2014) and Dimensional Fund Advisors Pte. Ltd. (since
June 2017); Co-Chief Investment Officer and Vice President (since
February 2016) of Dimensional Japan Ltd. Formerly, Executive Vice
President (March 2017-September, 2017), Co-Chief Investment
Officer (June 2014-September, 2017) and Vice President (January
2007-March 2017) of DFAIDG, DFAITC, DIG and DEM; Executive
Vice President (February 2017-September, 2017), Co-Chief
Investment Officer (June 2014-September, 2017) and Vice President
(January 2007-February 2017) of Dimensional Holdings Inc.,
Dimensional Fund Advisors LP and DFA Securities LLC; Vice
President and Co-Chief Investment Officer (April 2014-September,
2017) of Dimensional Fund Advisors Canada ULC; Co-Chief
Investment Officer of DFA Australia Limited (April 2014-September,
2017); Co-Chief Investment Officer of DFA Securities LLC,
Dimensional Fund Advisors LP, and Dimensional Holdings LLC (April
2014-September, 2017).
378
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.
379
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2017 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2017
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2016 to October 31, 2017, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS
DFA INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF TAX-EXEMPT TOTAL RECEIVED
DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1)
--------------------------------- ------------- ------------- ------------- --------- ---------- ------------- -------------
Enhanced U.S. Large Company
Portfolio....................... 20% 32% 48% -- -- 100% 100%
U.S. Large Cap Equity Portfolio.. 100% -- -- -- -- 100% 100%
U.S. Large Cap Value Portfolio... 46% -- 54% -- -- 100% 100%
U.S. Targeted Value Portfolio.... 25% 4% 71% -- -- 100% 100%
U.S. Small Cap Value Portfolio... 17% 1% 82% -- -- 100% 100%
U.S. Core Equity 1 Portfolio..... 81% -- 19% -- -- 100% 100%
U.S. Core Equity 2 Portfolio..... 72% -- 28% -- -- 100% 100%
U.S. Vector Equity Portfolio..... 35% -- 65% -- -- 100% 100%
U.S. Small Cap Portfolio......... 29% 3% 68% -- -- 100% 100%
U.S. Micro Cap Portfolio......... 15% -- 85% -- -- 100% 100%
U.S. High Relative Profitability
Portfolio....................... 100% -- -- -- -- 100% 100%
DFA Real Estate Securities
Portfolio....................... 77% -- 23% -- -- 100% 100%
Large Cap International
Portfolio....................... 100% -- -- -- -- 100% 100%
International Core Equity
Portfolio....................... 100% -- -- -- -- 100% 100%
International Small Company
Portfolio....................... 43% 4% 53% -- -- 100% 100%
Global Small Company
Portfolio....................... -- -- -- -- -- -- 100%
Japanese Small Company
Portfolio....................... 100% -- -- -- -- 100% 100%
Asia Pacific Small Company
Portfolio....................... 100% -- -- -- -- 100% 100%
United Kingdom Small Company
Portfolio....................... 44% -- 56% -- -- 100% 100%
Continental Small Company
Portfolio....................... 99% -- 1% -- -- 100% 100%
QUALIFYING
SHORT-
QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM
DFA INVESTMENT DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL
DIMENSIONS GROUP INC. INCOME (2) INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
--------------------------------- ---------- ------------ ---------- ---------- ---------- ----------
Enhanced U.S. Large Company
Portfolio....................... 100% 7% -- -- 100% 100%
U.S. Large Cap Equity Portfolio.. 100% -- -- -- 100% 100%
U.S. Large Cap Value Portfolio... 100% -- -- 7% 100% 100%
U.S. Targeted Value Portfolio.... 100% -- -- -- 100% 100%
U.S. Small Cap Value Portfolio... 100% -- -- -- 100% 100%
U.S. Core Equity 1 Portfolio..... 100% -- -- -- 100% 100%
U.S. Core Equity 2 Portfolio..... 100% -- -- -- 100% 100%
U.S. Vector Equity Portfolio..... 100% -- -- -- 100% 100%
U.S. Small Cap Portfolio......... 100% -- -- -- 100% 100%
U.S. Micro Cap Portfolio......... 100% -- -- -- 100% 100%
U.S. High Relative Profitability
Portfolio....................... 100% -- -- -- 100% 100%
DFA Real Estate Securities
Portfolio....................... 100% -- -- -- 100% 100%
Large Cap International
Portfolio....................... 100% -- -- -- 100% 100%
International Core Equity
Portfolio....................... 100% -- 5% 100% 100% 100%
International Small Company
Portfolio....................... 100% -- 5% 93% 100% 100%
Global Small Company
Portfolio....................... 100% -- 2% 100% 100% 100%
Japanese Small Company
Portfolio....................... 100% -- 6% 70% 100% 100%
Asia Pacific Small Company
Portfolio....................... 100% -- 1% 84% 100% 100%
United Kingdom Small Company
Portfolio....................... 100% -- -- 99% 100% 100%
Continental Small Company
Portfolio....................... 100% -- 10% 100% 100% 100%
See accompanying Notes to Financial Statements.
380
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS
DFA INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF TAX-EXEMPT TOTAL RECEIVED
DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1)
--------------------------------- ------------- ------------- ------------- --------- ---------- ------------- -------------
DFA International Real Estate
Securities Portfolio............ 100% -- -- -- -- 100% 100%
DFA Global Real Estate
Securities Portfolio............ 91% 1% 8% -- -- 100% 100%
DFA International Small Cap
Value Portfolio................. 33% 1% 66% -- -- 100% 100%
International Vector Equity
Portfolio....................... 92% -- 8% -- -- 100% 100%
International High Relative
Profitability Portfolio......... 100% -- -- -- -- 100% 100%
World ex U.S. Value Portfolio.... 100% -- -- -- -- 100% 100%
World ex U.S. Targeted Value
Portfolio....................... 97% -- 3% -- -- 100% 100%
World ex U.S. Core Equity
Portfolio....................... 100% -- -- -- -- 100% 100%
World Core Equity Portfolio...... 86% 2% 12% -- -- 100% 100%
Selectively Hedged Global Equity
Portfolio....................... 70% 4% 26% -- -- 100% 100%
Emerging Markets Portfolio....... 100% -- -- -- -- 100% 100%
Emerging Markets Small Cap
Portfolio....................... 53% 4% 43% -- -- 100% 100%
Emerging Markets Value
Portfolio....................... 100% -- -- -- -- 100% 100%
Emerging Markets Core Equity
Portfolio....................... 100% -- -- -- -- 100% 100%
DFA Commodity Strategy
Portfolio....................... 97% 3% -- -- -- 100% 100%
DFA International Value
Portfolio....................... 100% -- -- -- -- 100% 100%
U.S. Large Company Portfolio..... 80% -- 20% -- -- 100% 100%
QUALIFYING
SHORT-
QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM
DFA INVESTMENT DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL
DIMENSIONS GROUP INC. INCOME (2) INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
--------------------------------- ---------- ------------ ---------- ---------- ---------- ----------
DFA International Real Estate
Securities Portfolio............ 100% -- 4% 99% 100% 100%
DFA Global Real Estate
Securities Portfolio............ 100% -- 2% 57% 100% 100%
DFA International Small Cap
Value Portfolio................. 100% -- -- -- 100% 100%
International Vector Equity
Portfolio....................... 100% -- 5% 98% 100% 100%
International High Relative
Profitability Portfolio......... 100% -- -- -- 100% 100%
World ex U.S. Value Portfolio.... 100% -- 5% 100% 100% 100%
World ex U.S. Targeted Value
Portfolio....................... 100% -- 8% 100% 100% 100%
World ex U.S. Core Equity
Portfolio....................... 100% -- 7% 100% 100% 100%
World Core Equity Portfolio...... 100% -- 3% 59% 100% 100%
Selectively Hedged Global Equity
Portfolio....................... 100% -- 4% 73% 100% 100%
Emerging Markets Portfolio....... 100% -- 7% 100% 100% 100%
Emerging Markets Small Cap
Portfolio....................... 100% -- 3% 86% 100% 100%
Emerging Markets Value
Portfolio....................... 100% -- 6% 100% 100% 100%
Emerging Markets Core Equity
Portfolio....................... 100% -- 5% 11% 100% 100%
DFA Commodity Strategy
Portfolio....................... 100% 15% -- -- 100% 100%
DFA International Value
Portfolio....................... 100% -- 4% 100% 100% 100%
U.S. Large Company Portfolio..... 100% -- -- -- 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
See accompanying Notes to Financial Statements.
381
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
See accompanying Notes to Financial Statements.
382
DFA103117-001A
[LOGO] 00202776
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
Co-Principal Executive Officers and Principal Financial Officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees has determined that Abbie J. Smith possesses
the technical attributes to qualify as an "audit committee financial expert"
serving on the Registrant's Audit Committee and has designated Ms. Smith as the
"audit committee financial expert." Ms. Smith earned a Ph.D. in Accounting, and
has taught Accounting at the graduate level since 1980. Ms. Smith's education
and career have provided her with an understanding of generally accepted
accounting principles and financial statements; the ability to assess the
general application of such principles in connection with the accounting for
estimates, accruals and reserves; and experience preparing, analyzing and
evaluating financial statements that present a breadth and level of complexity
of issues that can reasonably be expected to be raised by the Registrant's
financial statements. In addition, Ms. Smith has served on the boards of
directors and audit committees of entities other than the Registrant. Ms. Smith
is independent under the standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2017: $19,780
Fiscal Year Ended October 31, 2016: $19,576
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended October 31, 2017: $1,635
Fiscal Year Ended October 31, 2016: $1,642
For fiscal years ended October 31, 2017 and October 31, 2016, Audit-Related
Fees included fees for services related to limited procedures performed in
connection with the production of the Registrant's semi-annual financial
statements.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended October 31, 2017: $191,500
Fiscal Year Ended October 31, 2016: $187,500
For the fiscal years ended October 31, 2017 and October 31, 2016,
Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii)
of Rule 2-01 of Regulation S-X included fees for services rendered in
connection with the issuance of a Type II SSAE 16 over controls at the
Registrant's investment adviser.
(c) Tax Fees
Fees for Registrant Fiscal Year Ended October 31, 2017: $4,642
Fiscal Year Ended October 31, 2016: $4,609
Tax Fees included, for the fiscal years ended October 31, 2017 and
October 31, 2016, fees for tax services in connection with the Registrant's
excise tax calculations, review of the Registrant's applicable tax returns
and review of the Registrant's tax equalization calculations.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(d) All Other Fees
Fees for Registrant Fiscal Year Ended October 31, 2017: $0
Fiscal Year Ended October 31, 2016: $0
There were no "All Other Fees" required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(e)(1) Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC") require
that the Funds' Audit Committees (together, the "Committee") pre-approve all
audit services and non-audit services provided to the Funds by their
independent registered public accounting firm (the "Auditor"). The Act and
the Rules also require that the Committee pre-approve all non-audit services
provided by the Auditor to Dimensional Fund Advisors LP ("Dimensional"), the
Funds' investment advisor, and to affiliates of Dimensional that provide
ongoing services to the Funds (with Dimensional, together the "Service
Affiliates") if the services directly impact the Funds' operations and
financial reporting.
The following policies and procedures govern the ways in which the Committee
will pre-approve audit and various types of non-audit services that the
Auditor provides to the Funds and to Service Affiliates. These policies and
procedures do not apply in the case of audit services that the Auditor
provides to Service Affiliates, nor do they apply to services that an audit
firm other than the Auditor provides to such entities.
These policies and procedures comply with the requirements for pre-approval,
but also provide mechanisms by which management of the Funds may request and
secure pre-approval of audit and non-audit services in an orderly manner
with minimal disruption to normal business operations. Pre-approval of
non-audit services may be achieved through a combination of the procedures
described in Sections C and D below.
A. General
1. The Committee must pre-approve all audit services and non-audit
services that the Auditor provides to the Funds.
2. The Committee must pre-approve any engagement of the Auditor to
provide non-audit services to any Service Affiliate during the period
of the Auditor's engagement to provide audit services to the Funds,
if the non-audit services to the Service Affiliate directly impact
the Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an independent
registered public accounting firm to certify the Funds' financial
statements for each fiscal year (the "Engagement"). The approval of
the Engagement shall not be delegated to a Designated Member (as that
term is defined in Section D below). In approving the Engagement, the
Committee shall obtain, review and consider sufficient information
concerning the proposed Auditor to enable the Committee to make a
reasonable evaluation of the Auditor's qualifications and
independence. The Committee also shall consider the Auditor's
proposed fees for the Engagement, in light of the scope and nature of
the audit services that the Funds will receive.
2. The Committee shall report to the Boards of Directors/Trustees of the
Funds (together, the "Board") regarding its approval of the
Engagement and of the proposed fees for the Engagement, and the basis
for such approval.
3. Unless otherwise in accordance with applicable law, the Engagement,
in any event, shall require that the Auditor be selected by the vote,
cast in person, of a majority of the members of the Board who are not
"interested persons" of the Funds (as that term is defined in
Section 2(a)(19) of the Investment Company Act of 1940) (the
"Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services (including
tax services) to the Funds and their Service Affiliates pursuant to
this Section C.
2. Annually, at such time as the Committee considers the Engagement of
the Auditor, management of the Funds, in consultation with the
Auditor, shall provide to the Committee, for its consideration and
action, the following: (a) a list of those types of non-audit
services, if any, that the Funds may request from the Auditor during
the fiscal year; and (b) a list of those types of non-audit services
directly impacting the Funds' operations and financial reporting that
Service Affiliates may request from the Auditor during the fiscal
year.
3. The lists submitted to the Committee shall describe the types of
non-audit services in reasonable detail (which may include a range of
tax services) and shall include an estimated budget (or budgeted
range) of fees, where possible, and such other information as the
Committee may request. If management and the Auditor desire the
Committee to preapprove the furnishing of a range of tax services,
the Auditor shall provide an estimated range of fees for such tax
services for the consideration and approval by the Committee.
4. The Committee's pre-approval of the types of non-audit services
submitted pursuant to this Section C shall constitute authorization
for management of the Funds to utilize the Auditor for the types of
non-audit services so pre-approved, if needed or desired during the
fiscal year.
5. A list of the types of non-audit services pre-approved by the
Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate partners of
the Auditor. Periodically, the Auditor will discuss with the
Committee those non-audit services that have been or are being
provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor, may submit
either to the Committee or to the Designated Member, as provided in
this Section D, for their consideration and action, a pre-approval
request identifying one or more non-audit service projects. The
request so submitted shall describe the project(s) in reasonable
detail and shall include an estimated budget (or budgeted range) of
fees and such other information as the Committee or the Designated
Member, as appropriate, shall request.
3. The Committee, from time to time, shall designate one or more of its
members who are Independent Directors (each a "Designated Member") to
consider, on the Committee's behalf, any non-audit services, whether
to the Funds or to any Service Affiliate, that have not been
pre-approved by the Committee. The Designated Member also shall
review, on the Committee's behalf, any proposed material change in
the nature or extent of any non-audit services previously approved.
The Funds' management, in consultation with the Auditor, shall
explain why such non-audit services or material change in non-audit
services are necessary and appropriate and the anticipated costs
thereof.
4. The Designated Member will review the requested non-audit services or
proposed material change in such services and will either:
(a) pre-approve, pre-approve subject to conditions, or disapprove
any such requested services, or any proposed material change in
services, whether to the Funds or to a Service Affiliate; or
(b) refer such matter to the full Committee for its consideration
and action.
In considering any requested non-audit services or proposed material
change in such services, the Designated Member's authority shall be
limited to approving non-audit services or proposed material changes
that do not exceed $10,000 in value.
5. The Designated Member's pre-approval (or pre-approval subject to
conditions) of the requested non-audit services or proposed material
change in services pursuant to this Section D shall constitute
authorization for the management of the Funds or the Service
Affiliate, as the case may be, to utilize the Auditor for the
non-audit services so pre-approved. Any action by the Designated
Member in approving a requested non-audit service shall be presented
for ratification by the Committee not later than at its next
scheduled meeting. If the Designated Member does not approve the
Auditor providing the requested non-audit service, the matter may be
presented to the full Committee for its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions made by
the Committee or by a Designated Member pursuant to these procedures,
together with appropriate supporting materials.
2. In connection with the approval of any non-audit service pursuant to
the de minimis exception provided in the Rules, a record shall be
made indicating that each of the conditions for this exception, as
set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of the fiscal year in which the
actions recorded were taken, for at least the first two years in an
easily accessible location.
(e)(2)The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the
Registrant's Audit Committee but not pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the
fiscal year ended October 31, 2017 that were attributed to work
performed by persons other than the principal accountant's full
time, permanent employees was not greater than 50%.
---
(g) Aggregate Non-Audit Fees
Fiscal Year Ended October 31, 2017: $1,557,179
Fiscal Year Ended October 31, 2016: $1,408,203
(h) The Registrant's Audit Committee has considered whether the
provision of non-audit services that were rendered to the
Registrant's investment adviser, and any entity controlling,
controlled by, or under common control with the investment adviser
that provides ongoing services to the Registrant, that were not
pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) The Registrant's schedule of investments is provided below.
DIMENSIONAL EMERGING MARKETS VALUE FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (95.0%)
BRAZIL -- (6.0%)
* Aliansce Shopping Centers SA 796,814 $ 4,272,344 0.0%
* B2W Cia Digital 193,784 1,257,615 0.0%
B3 SA - Brasil Bolsa Balcao 1,710,130 12,494,148 0.1%
Banco Alfa de Investimento SA 39,700 69,903 0.0%
Banco Bradesco SA 90,100 902,845 0.0%
Banco do Brasil SA 9,323,902 98,161,338 0.5%
Banco Santander Brasil SA 1,119,293 9,789,066 0.1%
Banco Santander Brasil SA 52,100 452,749 0.0%
* Brasil Brokers Participacoes SA 1,941,457 658,765 0.0%
BrasilAgro - Co. Brasileira de Propriedades Agricolas 80,384 312,808 0.0%
* Cia Siderurgica Nacional SA 3,185,998 8,210,180 0.0%
* Construtora Tenda SA 286,402 1,497,103 0.0%
* Cosan Logistica SA(BR17H74) 32,200 92,034 0.0%
* Cosan Logistica SA(BF0KYP7) 8,339 23,707 0.0%
Cosan SA Industria e Comercio 1,126,226 12,875,876 0.1%
Cyrela Brazil Realty SA Empreendimentos e Participacoes 3,676,417 14,385,149 0.1%
* Direcional Engenharia SA 1,626,261 2,908,210 0.0%
Duratex SA 4,219,212 12,330,164 0.1%
Embraer SA 1,693,862 8,113,844 0.0%
Embraer SA Sponsored ADR 905,586 17,332,916 0.1%
* Eternit SA 658,302 217,334 0.0%
* Even Construtora e Incorporadora SA 3,919,275 6,469,625 0.0%
Ez Tec Empreendimentos e Participacoes SA 1,172,726 7,707,517 0.0%
Fibria Celulose SA 1,148,310 18,372,679 0.1%
Fibria Celulose SA Sponsored ADR 2,450,371 39,058,914 0.2%
# Gafisa SA ADR 169,012 1,538,007 0.0%
Gerdau SA 1,775,763 5,884,288 0.0%
# Gerdau SA Sponsored ADR 10,901,719 36,084,690 0.2%
Guararapes Confeccoes SA 55,400 2,650,353 0.0%
* Helbor Empreendimentos SA 1,782,686 1,122,591 0.0%
International Meal Co. Alimentacao SA 496,100 1,569,601 0.0%
Iochpe Maxion SA 1,652,393 11,309,595 0.1%
JBS SA 12,439,175 28,670,981 0.2%
* JHSF Participacoes SA 1,382,074 933,691 0.0%
* Kepler Weber SA 12,200 83,278 0.0%
Kroton Educacional SA 11,250,514 61,870,433 0.3%
Magnesita Refratarios SA 643,250 9,045,181 0.1%
* Marisa Lojas SA 18,900 45,354 0.0%
* Mills Estruturas e Servicos de Engenharia SA 627,446 820,918 0.0%
MRV Engenharia e Participacoes SA 5,312,557 20,543,468 0.1%
* Paranapanema SA 1,903,243 861,064 0.0%
* Petro Rio SA 19,400 336,607 0.0%
* Petroleo Brasileiro SA 6,183,583 32,928,199 0.2%
* Petroleo Brasileiro SA Sponsored ADR 14,614,044 155,639,569 0.8%
Porto Seguro SA 613,581 6,697,942 0.0%
* Profarma Distribuidora de Produtos Farmaceuticos SA 51,700 129,436 0.0%
QGEP Participacoes SA 1,551,066 4,006,514 0.0%
* Rodobens Negocios Imobiliarios SA 208,475 358,791 0.0%
* Santos Brasil Participacoes SA 1,221,500 1,306,896 0.0%
Sao Carlos Empreendimentos e Participacoes SA 56,800 708,763 0.0%
Sao Martinho SA 146,289 823,275 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
BRAZIL -- (Continued)
SLC Agricola SA 941,091 $ 6,328,983 0.0%
* Springs Global Participacoes SA 37,300 136,712 0.0%
Sul America SA 2,156,138 11,817,796 0.1%
Technos SA 39,400 52,031 0.0%
* Tecnisa SA 2,537,514 1,807,357 0.0%
* TPI - Triunfo Participacoes e Investimentos SA 528,200 621,640 0.0%
Tupy SA 391,985 2,088,558 0.0%
* Usinas Siderurgicas de Minas Gerais SA 527,800 1,940,951 0.0%
Vale SA 26,500,917 260,043,235 1.3%
# Vale SA Sponsored ADR 25,156,364 246,280,802 1.3%
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao SA 15,290 85,627 0.0%
Via Varejo SA(B7VY430) 116,124 269,783 0.0%
Via Varejo SA(BGSHPP4) 63,198 436,028 0.0%
-------------- ---
TOTAL BRAZIL 1,195,845,821 6.1%
-------------- ---
CHILE -- (1.6%)
Besalco SA 512,877 600,165 0.0%
CAP SA 938,489 10,177,473 0.1%
Cementos BIO BIO SA 665,307 837,796 0.0%
Cencosud SA 11,043,156 32,949,762 0.2%
* Cia Sud Americana de Vapores SA 73,319,581 4,174,284 0.0%
Cristalerias de Chile SA 264,624 2,845,236 0.0%
Embotelladora Andina SA Class A ADR 1,397 37,160 0.0%
Empresa Nacional de Telecomunicaciones SA 145,718 1,685,249 0.0%
Empresas CMPC SA 15,736,853 50,400,502 0.3%
Empresas COPEC SA 2,936,259 45,220,980 0.2%
Empresas Hites SA 1,868,082 2,054,817 0.0%
* Empresas La Polar SA 6,640,668 770,247 0.0%
Enel Americas SA 10,922,839 2,342,244 0.0%
Enel Americas SA ADR 3,841,992 40,725,115 0.2%
Enel Chile SA 3,949,232 23,260,976 0.1%
Grupo Security SA 1,507,692 684,595 0.0%
Inversiones Aguas Metropolitanas SA 4,866,454 8,706,219 0.1%
Itau CorpBanca(45033E105) 3,677 50,669 0.0%
Itau CorpBanca(BYT25P4) 694,240,669 6,532,464 0.0%
Latam Airlines Group SA 2,156,062 29,771,142 0.2%
Latam Airlines Group SA Sponsored ADR 1,200,157 16,298,132 0.1%
* Masisa SA 43,018,684 3,264,845 0.0%
PAZ Corp. SA 2,189,657 3,784,033 0.0%
Ripley Corp. SA 12,474,248 13,130,506 0.1%
Salfacorp SA 3,369,406 5,796,171 0.0%
Sigdo Koppers SA 87,684 169,490 0.0%
Sociedad Matriz SAAM SA 53,555,204 5,469,840 0.0%
Socovesa SA 5,888,997 3,718,368 0.0%
Vina Concha y Toro SA 871,791 1,538,016 0.0%
-------------- ---
TOTAL CHILE 316,996,496 1.6%
-------------- ---
CHINA -- (16.6%)
361 Degrees International, Ltd. 6,885,000 2,622,567 0.0%
* A8 New Media Group, Ltd. 986,000 69,502 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
CHINA -- (Continued)
# Agile Group Holdings, Ltd. 17,218,999 $ 25,121,768 0.1%
Agricultural Bank of China, Ltd. Class H 145,256,000 68,414,544 0.4%
Air China, Ltd. Class H 4,062,000 3,873,124 0.0%
Ajisen China Holdings, Ltd. 1,344,000 630,927 0.0%
AMVIG Holdings, Ltd. 5,303,100 1,502,177 0.0%
Angang Steel Co., Ltd. Class H 6,518,640 5,714,372 0.0%
Anhui Conch Cement Co., Ltd. Class H 862,500 3,694,685 0.0%
#* Anton Oilfield Services Group 6,626,000 791,339 0.0%
* Anxin-China Holdings, Ltd. 6,152,000 56,935 0.0%
Asia Cement China Holdings Corp. 6,539,000 2,280,438 0.0%
#* Asian Citrus Holdings, Ltd. 4,633,000 66,810 0.0%
AVIC International Holdings, Ltd. Class H 3,150,000 2,940,269 0.0%
# BAIC Motor Corp., Ltd. Class H 6,834,000 8,010,462 0.1%
Bank of China, Ltd. Class H 441,292,817 220,541,705 1.1%
Bank of Chongqing Co., Ltd. Class H 2,050,500 1,663,846 0.0%
Bank of Communications Co., Ltd. Class H 36,795,574 27,778,206 0.2%
* Baoye Group Co., Ltd. Class H 2,813,120 1,974,821 0.0%
# BBMG Corp. Class H 12,369,000 6,172,641 0.0%
Beijing Capital Land, Ltd. Class H 9,413,060 5,072,343 0.0%
Beijing Enterprises Holdings, Ltd. 2,932,500 17,434,468 0.1%
Beijing North Star Co., Ltd. Class H 3,118,000 1,160,301 0.0%
* Beijing Properties Holdings, Ltd. 456,000 19,893 0.0%
#* Boer Power Holdings, Ltd. 1,115,000 287,413 0.0%
Bosideng International Holdings, Ltd. 12,864,000 1,137,844 0.0%
#* Boyaa Interactive International, Ltd. 1,434,000 594,494 0.0%
* C C Land Holdings, Ltd. 25,150,429 5,547,785 0.0%
Cabbeen Fashion, Ltd. 496,000 135,419 0.0%
* Capital Environment Holdings, Ltd. 3,762,000 176,274 0.0%
Carrianna Group Holdings Co., Ltd. 3,880,391 457,748 0.0%
* CECEP COSTIN New Materials Group, Ltd. 132,000 1,903 0.0%
#* Central China Real Estate, Ltd. 6,491,350 3,111,509 0.0%
* Century Sunshine Group Holdings, Ltd. 14,780,000 470,153 0.0%
#* CGN Meiya Power Holdings Co., Ltd. 12,076,000 1,812,510 0.0%
Changshouhua Food Co., Ltd. 91,000 44,702 0.0%
# Chaowei Power Holdings, Ltd. 3,508,000 1,979,947 0.0%
* Chigo Holding, Ltd. 33,836,000 620,384 0.0%
# China Aerospace International Holdings, Ltd. 22,358,000 2,810,163 0.0%
China Agri-Industries Holdings, Ltd. 17,758,500 8,678,961 0.1%
China Aoyuan Property Group, Ltd. 11,044,000 6,695,229 0.0%
China BlueChemical, Ltd. Class H 11,854,878 3,543,500 0.0%
China Cinda Asset Management Co., Ltd. Class H 58,538,000 22,747,454 0.1%
China CITIC Bank Corp., Ltd. Class H 41,970,112 27,043,280 0.2%
# China Coal Energy Co., Ltd. Class H 11,883,000 5,442,458 0.0%
China Communications Construction Co., Ltd. Class H 22,404,327 27,212,205 0.2%
China Communications Services Corp., Ltd. Class H 20,989,071 12,737,856 0.1%
China Construction Bank Corp. Class H 619,669,101 553,807,555 2.8%
China Dongxiang Group Co., Ltd. 15,765,000 2,931,705 0.0%
China Electronics Optics Valley Union Holding Co., Ltd. 1,692,000 160,768 0.0%
* China Environmental Technology and Bioenergy Holdings, Ltd. 690,000 21,583 0.0%
China Everbright Bank Co., Ltd. Class H 17,214,000 8,125,734 0.1%
China Everbright, Ltd. 6,847,869 16,249,105 0.1%
* China Fiber Optic Network System Group, Ltd. 3,598,000 60,555 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
CHINA -- (Continued)
China Financial Services Holdings, Ltd. 1,884,000 $ 164,116 0.0%
China Foods, Ltd. 3,304,000 2,089,816 0.0%
* China Glass Holdings, Ltd. 7,390,000 721,092 0.0%
China Greenfresh Group Co., Ltd. 1,919,000 332,111 0.0%
* China Harmony New Energy Auto Holding, Ltd. 5,399,000 3,190,005 0.0%
* China High Precision Automation Group, Ltd. 429,000 12,579 0.0%
# China High Speed Transmission Equipment Group Co., Ltd. 1,517,000 1,653,576 0.0%
#* China Hongqiao Group, Ltd. 10,475,000 12,579,269 0.1%
China Huarong Asset Management Co., Ltd. Class H 23,522,000 11,064,841 0.1%
#* China Huiyuan Juice Group, Ltd. 5,909,983 1,878,922 0.0%
China International Capital Corp., Ltd. Class H 1,824,000 3,761,165 0.0%
# China International Marine Containers Group Co., Ltd.
Class H 408,700 814,773 0.0%
* China ITS Holdings Co., Ltd. 5,486,147 359,024 0.0%
# China Jinmao Holdings Group, Ltd. 40,786,580 18,329,619 0.1%
China Lesso Group Holdings, Ltd. 3,067,000 2,049,537 0.0%
* China Longevity Group Co., Ltd. 1,152,649 37,971 0.0%
China Machinery Engineering Corp. Class H 1,166,000 714,878 0.0%
China Merchants Bank Co., Ltd. Class H 1,056,500 4,034,412 0.0%
# China Merchants Land, Ltd. 12,070,000 2,275,993 0.0%
China Merchants Port Holdings Co., Ltd. 8,569,333 26,806,323 0.1%
China Minsheng Banking Corp., Ltd. Class H 25,625,000 24,823,413 0.1%
China Mobile, Ltd. 5,164,500 51,946,425 0.3%
China Mobile, Ltd. Sponsored ADR 357,064 18,013,879 0.1%
# China National Building Material Co., Ltd. Class H 29,650,000 25,025,426 0.1%
China National Materials Co., Ltd. Class H 13,545,000 9,349,698 0.1%
* China New Town Development Co., Ltd. 11,705,522 540,688 0.0%
# China Oil & Gas Group, Ltd. 6,680,000 454,023 0.0%
China Oilfield Services, Ltd. Class H 8,572,000 7,609,625 0.1%
China Oriental Group Co., Ltd. 444,000 290,538 0.0%
# China Overseas Grand Oceans Group, Ltd. 6,641,000 3,895,195 0.0%
China Overseas Land & Investment, Ltd. 26,952,000 87,513,573 0.5%
China Petroleum & Chemical Corp. ADR 1,159,521 85,387,112 0.4%
China Petroleum & Chemical Corp. Class H 113,421,575 83,287,527 0.4%
* China Properties Group, Ltd. 5,232,000 1,173,631 0.0%
China Railway Construction Corp., Ltd. Class H 17,771,014 22,317,466 0.1%
China Railway Group, Ltd. Class H 14,488,000 11,645,500 0.1%
* China Rare Earth Holdings, Ltd. 7,886,600 587,080 0.0%
China Reinsurance Group Corp. Class H 13,794,000 3,061,777 0.0%
China Resources Cement Holdings, Ltd. 15,678,000 10,596,750 0.1%
China Resources Land, Ltd. 21,434,000 63,969,495 0.3%
* China Rundong Auto Group, Ltd. 22,000 9,026 0.0%
* China Saite Group Co., Ltd. 2,082,000 160,391 0.0%
# China Sanjiang Fine Chemicals Co., Ltd. 2,913,000 1,244,292 0.0%
China SCE Property Holdings, Ltd. 11,959,000 5,399,032 0.0%
* China Shengmu Organic Milk, Ltd. 542,000 93,095 0.0%
China Shenhua Energy Co., Ltd. Class H 23,276,000 55,682,428 0.3%
China Shineway Pharmaceutical Group, Ltd. 781,000 732,012 0.0%
China Silver Group, Ltd. 1,932,000 663,918 0.0%
# China Singyes Solar Technologies Holdings, Ltd. 6,572,200 2,359,792 0.0%
China South City Holdings, Ltd. 24,622,000 6,882,864 0.0%
China Starch Holdings, Ltd. 27,170,000 1,062,905 0.0%
China Sunshine Paper Holdings Co., Ltd. 552,000 165,625 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
* China Taifeng Beddings Holdings, Ltd. 640,000 $ 16,612 0.0%
China Taiping Insurance Holdings Co., Ltd. 3,210,400 10,587,105 0.1%
China Travel International Investment Hong Kong, Ltd. 20,917,631 7,755,469 0.1%
#* China Unicom Hong Kong, Ltd. ADR 6,973,434 98,534,622 0.5%
China XLX Fertiliser, Ltd. 567,000 205,009 0.0%
#* China Yurun Food Group, Ltd. 6,534,000 787,505 0.0%
China ZhengTong Auto Services Holdings, Ltd. 7,283,000 7,668,119 0.1%
# China Zhongwang Holdings, Ltd. 17,672,154 10,424,867 0.1%
Chongqing Machinery & Electric Co., Ltd. Class H 12,300,000 1,497,950 0.0%
Chongqing Rural Commercial Bank Co., Ltd. Class H 20,425,000 13,884,916 0.1%
* Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 1,188,000 121,812 0.0%
Chu Kong Shipping Enterprise Group Co., Ltd. 526,000 134,104 0.0%
CIFI Holdings Group Co., Ltd. 102,000 56,866 0.0%
* CIMC Enric Holdings, Ltd. 442,000 299,326 0.0%
* CITIC Dameng Holdings, Ltd. 2,855,000 181,319 0.0%
# CITIC Resources Holdings, Ltd. 8,084,000 881,732 0.0%
CITIC Securities Co., Ltd. Class H 3,112,500 6,915,648 0.0%
CITIC, Ltd. 25,564,483 37,450,300 0.2%
Clear Media, Ltd. 101,000 114,926 0.0%
CNOOC, Ltd. 60,746,000 82,942,156 0.4%
# CNOOC, Ltd. Sponsored ADR 156,136 21,343,791 0.1%
Comba Telecom Systems Holdings, Ltd. 10,450,683 1,915,576 0.0%
Concord New Energy Group, Ltd. 35,200,000 1,715,669 0.0%
* Coolpad Group, Ltd. 5,720,600 286,030 0.0%
COSCO SHIPPING Energy Transportation Co., Ltd. Class H 3,494,000 2,046,758 0.0%
# COSCO SHIPPING International Hong Kong Co., Ltd. 5,564,000 2,311,563 0.0%
COSCO SHIPPING Ports, Ltd. 15,915,786 18,444,595 0.1%
* Coslight Technology International Group Co., Ltd. 2,026,000 888,577 0.0%
CPMC Holdings, Ltd. 1,489,000 1,248,445 0.0%
# CRCC High-Tech Equipment Corp., Ltd. Class H 1,399,000 457,480 0.0%
* DaChan Food Asia, Ltd. 3,195,000 245,719 0.0%
Dah Chong Hong Holdings, Ltd. 7,795,000 3,659,041 0.0%
* Daphne International Holdings, Ltd. 2,812,000 191,000 0.0%
* Dongfang Electric Corp., Ltd. Class H 471,600 460,209 0.0%
Dongfeng Motor Group Co., Ltd. Class H 15,208,000 20,875,866 0.1%
Dongyue Group, Ltd. 3,950,000 2,877,119 0.0%
#* Dynasty Fine Wines Group, Ltd. 9,228,600 319,394 0.0%
E-Commodities Holdings, Ltd. 732,000 71,364 0.0%
#* eHi Car Services, Ltd. Sponsored ADR 8,185 93,882 0.0%
Embry Holdings, Ltd. 539,000 172,654 0.0%
EVA Precision Industrial Holdings, Ltd. 5,442,000 755,392 0.0%
# Everbright Securities Co., Ltd. Class H 489,600 675,889 0.0%
Evergreen International Holdings, Ltd. 1,393,000 126,781 0.0%
Fantasia Holdings Group Co., Ltd. 22,432,015 3,194,554 0.0%
Far East Horizon, Ltd. 583,000 579,335 0.0%
Fosun International, Ltd. 18,277,683 45,347,078 0.2%
Fufeng Group, Ltd. 6,758,000 4,871,058 0.0%
# Future Land Development Holdings, Ltd. 8,274,000 3,983,164 0.0%
#* GCL-Poly Energy Holdings, Ltd. 83,998,000 14,442,802 0.1%
Gemdale Properties & Investment Corp., Ltd. 7,566,000 776,066 0.0%
#* Glorious Property Holdings, Ltd. 28,204,000 3,073,348 0.0%
Goldlion Holdings, Ltd. 1,962,000 769,764 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
CHINA -- (Continued)
Goldpac Group, Ltd. 744,000 $ 226,223 0.0%
# GOME Retail Holdings, Ltd. 80,257,000 10,292,111 0.1%
Greenland Hong Kong Holdings, Ltd. 5,214,575 2,500,188 0.0%
# Greentown China Holdings, Ltd. 5,845,591 7,301,870 0.0%
Guangdong Yueyun Transportation Co., Ltd. Class H 46,000 29,491 0.0%
Guangshen Railway Co., Ltd. Sponsored ADR 369,715 10,729,129 0.1%
Guangzhou R&F Properties Co., Ltd. Class H 10,476,714 22,339,674 0.1%
#* Guodian Technology & Environment Group Corp., Ltd. Class H 4,780,000 349,364 0.0%
Guolian Securities Co., Ltd. Class H 171,500 84,044 0.0%
Guorui Properties, Ltd. 94,000 27,738 0.0%
Haitong Securities Co., Ltd. Class H 3,648,400 5,776,149 0.0%
* Hanergy Thin Film Power Group, Ltd. 14,642,000 74,565 0.0%
* Harbin Bank Co., Ltd. Class H 1,128,000 340,013 0.0%
Harbin Electric Co., Ltd. Class H 6,567,474 3,092,195 0.0%
Hengdeli Holdings, Ltd. 20,508,000 1,051,220 0.0%
* Hi Sun Technology China, Ltd. 2,022,000 464,262 0.0%
# Hilong Holding, Ltd. 7,074,000 1,126,637 0.0%
# HKC Holdings, Ltd. 1,144,155 935,913 0.0%
HNA Infrastructure Co., Ltd. Class H 1,469,000 1,584,674 0.0%
* Honghua Group, Ltd. 2,791,000 272,221 0.0%
Honworld Group, Ltd. 293,000 143,142 0.0%
Hopefluent Group Holdings, Ltd. 1,556,000 697,681 0.0%
Hopson Development Holdings, Ltd. 8,384,000 8,578,947 0.1%
#* Hua Han Health Industry Holdings, Ltd. 23,012,000 1,563,355 0.0%
Hua Hong Semiconductor, Ltd. 1,910,000 3,338,587 0.0%
Huaneng Renewables Corp., Ltd. Class H 33,002,000 11,349,525 0.1%
# Huishang Bank Corp., Ltd. Class H 1,112,000 562,878 0.0%
#* Hydoo International Holding, Ltd. 1,112,000 107,406 0.0%
Industrial & Commercial Bank of China, Ltd. Class H 498,032,996 396,267,428 2.0%
Inner Mongolia Yitai Coal Co., Ltd. Class H 10,500 12,373 0.0%
# Jiangnan Group, Ltd. 10,330,000 861,075 0.0%
Jiangxi Copper Co., Ltd. Class H 7,197,000 11,491,851 0.1%
#* JinkoSolar Holding Co., Ltd. ADR 250,524 6,671,454 0.0%
Joy City Property, Ltd. 3,830,000 668,373 0.0%
Ju Teng International Holdings, Ltd. 10,482,249 3,737,499 0.0%
K Wah International Holdings, Ltd. 1,186,233 681,469 0.0%
* Kai Yuan Holdings, Ltd. 41,600,000 287,607 0.0%
* Kaisa Group Holdings, Ltd. 9,883,632 6,315,489 0.0%
Kangda International Environmental Co., Ltd. 4,453,000 1,125,023 0.0%
* Kasen International Holdings, Ltd. 1,807,000 282,738 0.0%
Kingboard Chemical Holdings, Ltd. 7,352,845 43,632,187 0.2%
# Kunlun Energy Co., Ltd. 27,274,000 25,293,448 0.1%
KWG Property Holding, Ltd. 11,271,000 11,190,175 0.1%
* Labixiaoxin Snacks Group, Ltd. 2,175,000 167,349 0.0%
Le Saunda Holdings, Ltd. 120,000 21,066 0.0%
Legend Holdings Corp. Class H 697,900 1,835,062 0.0%
Leoch International Technology, Ltd. 1,981,000 388,846 0.0%
#* Lianhua Supermarket Holdings Co., Ltd. Class H 310,000 131,251 0.0%
# Logan Property Holdings Co., Ltd. 540,000 500,254 0.0%
Longfor Properties Co., Ltd. 9,529,000 22,259,023 0.1%
Lonking Holdings, Ltd. 17,717,000 7,971,773 0.1%
* Maanshan Iron & Steel Co., Ltd. Class H 1,522,000 715,233 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
CHINA -- (Continued)
Maoye International Holdings, Ltd. 13,022,000 $ 1,503,102 0.0%
# Metallurgical Corp. of China, Ltd. Class H 201,000 66,533 0.0%
* MIE Holdings Corp. 5,252,000 444,572 0.0%
MIN XIN Holdings, Ltd. 708,418 470,620 0.0%
* Mingfa Group International Co., Ltd. 608,000 17,535 0.0%
Minmetals Land, Ltd. 13,489,205 1,990,513 0.0%
MOBI Development Co., Ltd. 379,000 74,487 0.0%
Modern Land China Co., Ltd. 2,015,200 395,126 0.0%
#* Munsun Capital Group, Ltd. 22,260,000 205,477 0.0%
* Nature Home Holding Co., Ltd. 154,000 20,531 0.0%
* New World Department Store China, Ltd. 3,867,000 847,804 0.0%
Nine Dragons Paper Holdings, Ltd. 7,384,000 13,571,779 0.1%
#* North Mining Shares Co., Ltd. 7,230,000 148,280 0.0%
# NVC Lighting Holdings, Ltd. 3,397,000 370,564 0.0%
* Ourgame International Holdings, Ltd. 329,000 94,523 0.0%
Overseas Chinese Town Asia Holdings, Ltd. 852,000 328,778 0.0%
Parkson Retail Group, Ltd. 11,262,000 1,704,806 0.0%
# PAX Global Technology, Ltd. 2,303,000 1,165,449 0.0%
People's Insurance Co. Group of China, Ltd. (The) Class H 38,160,000 18,162,500 0.1%
PetroChina Co., Ltd. ADR 75,718 4,959,529 0.0%
PetroChina Co., Ltd. Class H 136,138,000 88,993,181 0.5%
#* Phoenix New Media, Ltd. ADR 10,300 56,032 0.0%
# Poly Culture Group Corp., Ltd. Class H 220,200 527,131 0.0%
#* Poly Property Group Co., Ltd. 20,990,488 10,173,579 0.1%
Pou Sheng International Holdings, Ltd. 1,775,000 325,418 0.0%
Powerlong Real Estate Holdings, Ltd. 13,203,000 6,279,865 0.0%
#* Prosperity International Holdings HK, Ltd. 17,080,000 186,064 0.0%
#* PW Medtech Group, Ltd. 771,000 161,105 0.0%
Qingdao Port International Co., Ltd. Class H 17,000 12,018 0.0%
Qingling Motors Co., Ltd. Class H 9,012,000 3,061,326 0.0%
* Qinhuangdao Port Co., Ltd. Class H 1,594,000 543,960 0.0%
* Qunxing Paper Holdings Co., Ltd. 5,020,071 243,237 0.0%
* Real Gold Mining, Ltd. 3,137,500 105,771 0.0%
* Real Nutriceutical Group, Ltd. 4,895,000 210,136 0.0%
Red Star Macalline Group Corp., Ltd. Class H 442,800 529,689 0.0%
#* Renhe Commercial Holdings Co., Ltd. 43,919,000 1,030,802 0.0%
#* REXLot Holdings, Ltd. 84,066,621 679,287 0.0%
#* Ronshine China Holdings, Ltd. 535,500 603,248 0.0%
* Sany Heavy Equipment International Holdings Co., Ltd. 4,972,000 880,188 0.0%
* Scud Group, Ltd. 3,368,000 84,185 0.0%
# Seaspan Corp. 418,925 2,932,475 0.0%
#* Semiconductor Manufacturing International Corp. 19,816,698 30,407,401 0.2%
#* Semiconductor Manufacturing International Corp. ADR 1,226,271 9,307,397 0.1%
# Shandong Chenming Paper Holdings, Ltd. Class H 998,818 1,816,874 0.0%
* Shanghai Electric Group Co., Ltd. Class H 1,266,000 574,631 0.0%
Shanghai Industrial Holdings, Ltd. 5,405,918 16,606,799 0.1%
# Shanghai Industrial Urban Development Group, Ltd. 10,568,000 2,278,110 0.0%
Shanghai Jin Jiang International Hotels Group Co., Ltd.
Class H 8,296,000 2,989,782 0.0%
Shanghai Prime Machinery Co., Ltd. Class H 7,968,000 1,624,295 0.0%
Shengjing Bank Co., Ltd. Class H 306,000 239,340 0.0%
Shenguan Holdings Group, Ltd. 3,610,000 196,736 0.0%
Shenzhen International Holdings, Ltd. 4,510,039 8,620,081 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
Shenzhen Investment, Ltd. 34,722,650 $15,490,301 0.1%
Shimao Property Holdings, Ltd. 12,917,035 27,076,373 0.2%
* Shougang Concord International Enterprises Co., Ltd. 26,852,208 788,824 0.0%
# Shougang Fushan Resources Group, Ltd. 21,640,594 4,665,646 0.0%
Shui On Land, Ltd. 34,228,803 8,476,957 0.1%
#* Shunfeng International Clean Energy, Ltd. 12,878,000 859,030 0.0%
* Silver Grant International Industries, Ltd. 9,776,804 1,429,865 0.0%
#* Silverman Holdings, Ltd. 286,000 26,371 0.0%
SIM Technology Group, Ltd. 8,253,000 449,993 0.0%
Sino Harbour Holdings Group, Ltd. 144,000 13,667 0.0%
Sino-Ocean Group Holding, Ltd. 29,056,602 18,975,312 0.1%
#* Sinofert Holdings, Ltd. 7,620,000 1,348,944 0.0%
#* Sinolink Worldwide Holdings, Ltd. 10,762,508 1,614,251 0.0%
#* SinoMedia Holding, Ltd. 110,000 27,087 0.0%
Sinopec Engineering Group Co., Ltd. Class H 3,444,500 2,954,786 0.0%
Sinopec Kantons Holdings, Ltd. 5,900,000 3,822,528 0.0%
# Sinotrans Shipping, Ltd. 10,048,416 2,872,390 0.0%
Sinotrans, Ltd. Class H 11,619,000 5,585,279 0.0%
# Sinotruk Hong Kong, Ltd. 6,660,335 8,856,962 0.1%
# Skyworth Digital Holdings, Ltd. 17,965,083 8,273,235 0.1%
SOHO China, Ltd. 19,194,888 11,120,128 0.1%
Springland International Holdings, Ltd. 1,823,000 332,067 0.0%
#* SPT Energy Group, Inc. 2,484,000 188,037 0.0%
* SRE Group, Ltd. 21,316,285 552,468 0.0%
#* Taung Gold International, Ltd. 7,700,000 69,160 0.0%
TCC International Holdings, Ltd. 20,912,583 9,703,842 0.1%
# TCL Multimedia Technology Holdings, Ltd. 785,000 422,642 0.0%
#* Technovator International, Ltd. 1,612,000 502,395 0.0%
# Tenwow International Holdings, Ltd. 2,441,000 547,858 0.0%
Texhong Textile Group, Ltd. 373,000 514,674 0.0%
* Tian An China Investment Co., Ltd. 5,275,000 3,940,524 0.0%
# Tiangong International Co., Ltd. 13,493,944 1,591,820 0.0%
Tianjin Port Development Holdings, Ltd. 21,737,657 3,405,231 0.0%
Tianyi Summi Holdings, Ltd. 4,508,000 647,407 0.0%
# Tomson Group, Ltd. 2,200,825 1,015,659 0.0%
Tonly Electronics Holdings, Ltd. 75,330 92,792 0.0%
Top Spring International Holdings, Ltd. 108,000 65,962 0.0%
TPV Technology, Ltd. 9,036,496 1,542,031 0.0%
Trigiant Group, Ltd. 2,036,000 271,596 0.0%
* Trony Solar Holdings Co., Ltd. 8,775,000 132,726 0.0%
#* United Energy Group, Ltd. 2,258,000 123,062 0.0%
#* V1 Group, Ltd. 6,864,000 224,551 0.0%
# Wasion Group Holdings, Ltd. 4,350,000 2,237,228 0.0%
Weichai Power Co., Ltd. Class H 6,104,000 7,600,848 0.1%
Weiqiao Textile Co. Class H 5,279,500 2,761,241 0.0%
Welling Holding, Ltd. 1,456,000 296,868 0.0%
* West China Cement, Ltd. 26,720,000 4,247,858 0.0%
# Wisdom Sports Group 361,000 50,472 0.0%
* Wuzhou International Holdings, Ltd. 496,000 59,140 0.0%
Xiamen International Port Co., Ltd. Class H 10,408,000 2,014,298 0.0%
* Xinchen China Power Holdings, Ltd. 5,080,000 749,523 0.0%
Xingda International Holdings, Ltd. 9,640,842 3,682,734 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
CHINA -- (Continued)
* Xingfa Aluminium Holdings, Ltd. 435,000 $ 314,462 0.0%
Xinhua Winshare Publishing and Media Co., Ltd. Class H 1,050,000 911,789 0.0%
* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 2,692,000 369,654 0.0%
Xinyuan Real Estate Co., Ltd. ADR 8,494 47,481 0.0%
# XTEP International Holdings, Ltd. 1,360,500 450,230 0.0%
* Yanchang Petroleum International, Ltd. 21,400,000 375,999 0.0%
Yanzhou Coal Mining Co., Ltd. Class H 8,546,000 8,529,690 0.1%
# Yanzhou Coal Mining Co., Ltd. Sponsored ADR 10,382 102,574 0.0%
Yip's Chemical Holdings, Ltd. 842,000 316,779 0.0%
* Youyuan International Holdings, Ltd. 3,376,251 2,129,508 0.0%
* Yuanda China Holdings, Ltd. 1,702,000 32,985 0.0%
* YuanShengTai Dairy Farm, Ltd. 658,000 34,592 0.0%
Yuexiu Property Co., Ltd. 62,040,786 12,022,866 0.1%
Yuzhou Properties Co., Ltd. 14,172,960 7,000,925 0.0%
Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 424,600 239,973 0.0%
* Zhong An Real Estate, Ltd. 14,937,600 1,975,116 0.0%
Zhuhai Holdings Investment Group, Ltd. 1,312,000 196,924 0.0%
# Zoomlion Heavy Industry Science and Technology Co., Ltd.
Class H 9,018,200 4,376,181 0.0%
-------------- ----
TOTAL CHINA 3,329,761,158 17.0%
-------------- ----
COLOMBIA -- (0.2%)
Almacenes Exito SA 1,309,883 7,035,876 0.1%
Constructora Conconcreto SA 86,988 28,338 0.0%
Ecopetrol SA 2,498,142 1,367,304 0.0%
# Ecopetrol SA Sponsored ADR 530,625 5,884,631 0.0%
Grupo Argos SA 1,075,684 7,015,523 0.0%
Grupo de Inversiones Suramericana SA 1,441,262 18,297,378 0.1%
Grupo Nutresa SA 195,348 1,735,114 0.0%
Mineros SA 65,037 53,448 0.0%
-------------- ----
TOTAL COLOMBIA 41,417,612 0.2%
-------------- ----
CZECH REPUBLIC -- (0.3%)
CEZ A.S. 1,529,292 33,533,251 0.2%
# Unipetrol A.S. 1,371,042 23,398,267 0.1%
-------------- ----
TOTAL CZECH REPUBLIC 56,931,518 0.3%
-------------- ----
GREECE -- (0.0%)
* Alpha Bank AE 121,090 241,444 0.0%
Bank of Greece 26,513 432,321 0.0%
* Ellaktor SA 1,053,403 2,003,111 0.0%
* GEK Terna Holding Real Estate Construction SA 343,754 1,698,187 0.0%
* Intracom Holdings SA 1,511,057 1,020,886 0.0%
* Piraeus Bank SA 1,682 4,838 0.0%
-------------- ----
TOTAL GREECE 5,400,787 0.0%
-------------- ----
HONG KONG -- (0.0%)
Lai Fung Holdings, Ltd. 1,067,635 1,799,742 0.0%
-------------- ----
HUNGARY -- (0.4%)
MOL Hungarian Oil & Gas P.L.C. 2,457,408 29,429,130 0.2%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
HUNGARY -- (Continued)
OTP Bank P.L.C. 1,172,897 $47,286,171 0.2%
----------- ---
TOTAL HUNGARY 76,715,301 0.4%
----------- ---
INDIA -- (12.9%)
* 5Paisa Capital, Ltd. 111,720 450,615 0.0%
Aarti Industries 30,129 438,746 0.0%
* Aban Offshore, Ltd. 315,580 981,640 0.0%
ACC, Ltd. 309,155 8,638,116 0.1%
Adani Enterprises, Ltd. 3,374,526 6,910,908 0.1%
* Adani Power, Ltd. 8,001,954 4,062,913 0.0%
* Adani Transmissions, Ltd. 2,722,454 8,748,495 0.1%
* Aditya Birla Capital, Ltd. 1,689,688 4,639,574 0.0%
* Aditya Birla Fashion and Retail, Ltd. 3,745,622 9,042,502 0.1%
Alembic, Ltd. 417,234 253,203 0.0%
* Allahabad Bank 1,291,820 1,566,380 0.0%
Allcargo Logistics, Ltd. 423,285 1,139,262 0.0%
* Alok Industries, Ltd. 1,000,620 53,403 0.0%
Ambuja Cements, Ltd. 2,267,838 9,855,264 0.1%
* Amtek Auto, Ltd. 1,425,705 546,969 0.0%
Anant Raj, Ltd. 841,579 781,252 0.0%
* Andhra Bank 2,343,184 2,399,069 0.0%
Apar Industries, Ltd. 148,591 1,757,355 0.0%
Apollo Tyres, Ltd. 3,884,806 14,781,809 0.1%
* Arvind SmartSpaces, Ltd. 43,351 108,189 0.0%
Arvind, Ltd. 2,298,009 14,253,986 0.1%
Ashoka Buildcon, Ltd. 198,807 655,171 0.0%
Astra Microwave Products, Ltd. 107,891 198,737 0.0%
Atul, Ltd. 1,109 41,013 0.0%
Axis Bank, Ltd. 9,476,893 76,915,366 0.4%
Bajaj Finserv, Ltd. 180,320 14,070,895 0.1%
Bajaj Holdings & Investment, Ltd. 402,184 18,515,699 0.1%
Balkrishna Industries, Ltd. 72,381 1,917,717 0.0%
* Ballarpur Industries, Ltd. 3,056,548 661,690 0.0%
Balmer Lawrie & Co., Ltd. 835,603 3,053,341 0.0%
Balrampur Chini Mills, Ltd. 2,088,771 5,539,465 0.0%
Banco Products India, Ltd. 10,176 34,822 0.0%
Bank of Baroda 4,157,896 10,935,451 0.1%
* Bank of India 667,860 1,981,548 0.0%
* Bank Of Maharashtra 969,657 415,703 0.0%
BEML, Ltd. 52,357 1,385,980 0.0%
* BGR Energy Systems, Ltd. 169,812 377,297 0.0%
Bharat Electronics, Ltd. 328,702 934,747 0.0%
Bharat Heavy Electricals, Ltd. 9,090,087 13,762,684 0.1%
Bharti Airtel, Ltd. 11,108,283 85,474,747 0.5%
Biocon, Ltd. 998,256 5,546,202 0.0%
Birla Corp., Ltd. 172,475 3,049,218 0.0%
Bombay Dyeing & Manufacturing Co., Ltd. 1,308,130 3,923,394 0.0%
* Bombay Rayon Fashions, Ltd. 18,941 38,935 0.0%
Brigade Enterprises, Ltd. 171,015 694,468 0.0%
Canara Bank 1,065,655 6,703,709 0.1%
Ceat, Ltd. 348,178 9,001,139 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
* CG Power and Industrial Solutions, Ltd. 1,981,665 $ 2,541,031 0.0%
Chambal Fertilizers and Chemicals, Ltd. 2,614,619 6,113,459 0.0%
Chennai Super Kings Cricket, Ltd. 5,080,767 33,095 0.0%
Cipla, Ltd. 22,485 217,533 0.0%
City Union Bank, Ltd. 1,406,373 3,518,068 0.0%
* Coffee Day Enterprises, Ltd. 3,599 12,340 0.0%
Container Corp. Of India, Ltd. 98,594 2,102,161 0.0%
Coromandel International, Ltd. 209,529 1,665,556 0.0%
* Corp. Bank 1,646,469 1,149,491 0.0%
Cox & Kings, Ltd. 1,236,012 4,986,877 0.0%
Crompton Greaves Consumer Electricals, Ltd. 1,356,518 4,627,053 0.0%
Cyient, Ltd. 113,103 944,083 0.0%
Dalmia Bharat Sugar & Industries, Ltd. 14,037 39,889 0.0%
Dalmia Bharat, Ltd. 113,205 5,246,829 0.0%
* DB Realty, Ltd. 873,103 509,319 0.0%
DCB Bank, Ltd. 2,586,080 7,100,876 0.1%
DCM Shriram, Ltd. 435,661 3,535,970 0.0%
Deepak Fertilisers & Petrochemicals Corp., Ltd. 509,809 3,733,657 0.0%
Deepak Nitrite, Ltd. 1,173 3,946 0.0%
Delta Corp., Ltd. 501,826 2,058,757 0.0%
* DEN Networks, Ltd. 377,359 500,180 0.0%
* Dena Bank 507,403 217,655 0.0%
Dewan Housing Finance Corp., Ltd. 1,806,956 17,916,452 0.1%
Dhampur Sugar Mills, Ltd. 41,650 203,585 0.0%
* Dishman Carbogen Amcis, Ltd. 1,414,095 6,467,772 0.1%
DLF, Ltd. 2,544,960 7,934,647 0.1%
Dredging Corp. Of India, Ltd. 28,211 243,977 0.0%
Edelweiss Financial Services, Ltd. 2,585,583 11,234,147 0.1%
EID Parry India, Ltd. 1,012,210 5,827,606 0.0%
EIH, Ltd. 1,066,648 2,530,061 0.0%
Electrosteel Castings, Ltd. 894,946 442,335 0.0%
Engineers India, Ltd. 895,520 2,571,410 0.0%
* Eros International Media, Ltd. 382,259 1,236,153 0.0%
Escorts, Ltd. 580,894 6,826,090 0.1%
Essel Propack, Ltd. 706,018 3,108,866 0.0%
* Eveready Industries India, Ltd. 101,492 529,112 0.0%
Exide Industries, Ltd. 789,280 2,555,968 0.0%
FDC, Ltd. 37,976 112,063 0.0%
Federal Bank, Ltd. 12,197,858 22,986,976 0.1%
Finolex Cables, Ltd. 584,263 5,541,242 0.0%
Finolex Industries, Ltd. 111,226 1,228,801 0.0%
* Firstsource Solutions, Ltd. 2,887,525 1,964,240 0.0%
* Fortis Healthcare, Ltd. 823,646 1,834,584 0.0%
Future Enterprises, Ltd. 1,276,134 1,016,841 0.0%
* Future Retail, Ltd. 1,365,526 10,957,211 0.1%
GAIL India, Ltd. 4,690,248 33,693,412 0.2%
Gateway Distriparks, Ltd. 162,889 662,068 0.0%
Gati, Ltd. 546,110 1,008,451 0.0%
Genus Power Infrastructures, Ltd. 88,739 84,480 0.0%
GHCL, Ltd. 209,712 735,349 0.0%
GIC Housing Finance, Ltd. 98,306 735,673 0.0%
GOCL Corp., Ltd. 23,887 196,060 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
Graphite India, Ltd. 427,320 $ 3,282,378 0.0%
Grasim Industries, Ltd. 1,206,920 22,930,747 0.1%
Great Eastern Shipping Co., Ltd. (The) 977,791 5,885,470 0.0%
Gujarat Alkalies & Chemicals, Ltd. 390,143 4,791,112 0.0%
Gujarat Ambuja Exports, Ltd. 15,060 40,721 0.0%
Gujarat Fluorochemicals, Ltd. 387,110 5,565,907 0.0%
Gujarat Mineral Development Corp., Ltd. 1,331,276 3,608,199 0.0%
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 739,622 5,953,717 0.0%
Gujarat Pipavav Port, Ltd. 26,370 57,560 0.0%
Gujarat State Fertilizers & Chemicals, Ltd. 2,186,080 5,437,397 0.0%
Gujarat State Petronet, Ltd. 2,550,125 8,041,989 0.1%
* Hathway Cable & Datacom, Ltd. 64,819 30,578 0.0%
HBL Power Systems, Ltd. 74,867 74,196 0.0%
* HCL Infosystems, Ltd. 462,162 341,669 0.0%
HCL Technologies, Ltd. 53,109 701,445 0.0%
* HEG, Ltd. 120,919 3,207,286 0.0%
HeidelbergCement India, Ltd. 362,751 833,900 0.0%
Hikal, Ltd. 91,934 360,461 0.0%
* Himachal Futuristic Communications, Ltd. 7,434,134 3,398,562 0.0%
Himatsingka Seide, Ltd. 406,842 2,311,970 0.0%
Hindalco Industries, Ltd. 11,830,581 48,940,608 0.3%
Hinduja Global Solutions, Ltd. 62,937 560,699 0.0%
Hindustan Media Ventures, Ltd. 11,103 40,656 0.0%
* Housing Development & Infrastructure, Ltd. 2,719,300 2,465,546 0.0%
HSIL, Ltd. 393,601 2,570,310 0.0%
HT Media, Ltd. 546,085 865,631 0.0%
Huhtamaki PPL, Ltd. 6,913 27,648 0.0%
ICICI Bank, Ltd. Sponsored ADR 15,014,286 137,380,716 0.7%
* IDBI Bank, Ltd. 1,878,469 1,826,572 0.0%
Idea Cellular, Ltd. 13,787,345 19,756,346 0.1%
IDFC Bank, Ltd. 5,019,981 4,389,784 0.0%
IDFC, Ltd. 6,397,237 6,228,955 0.0%
* IFCI, Ltd. 9,728,752 3,659,620 0.0%
IIFL Holdings, Ltd. 2,793,003 26,532,238 0.2%
* IL&FS Transportation Networks, Ltd. 429,254 593,314 0.0%
India Cements, Ltd. (The) 2,685,958 8,075,506 0.1%
Indiabulls Housing Finance, Ltd. 1,561,102 29,994,075 0.2%
* Indiabulls Real Estate, Ltd. 1,715,543 5,996,532 0.0%
Indian Bank 1,030,313 4,984,315 0.0%
Indian Hotels Co., Ltd. (The) 5,075,478 8,914,600 0.1%
INEOS Styrolution India, Ltd. 31,624 481,296 0.0%
Infosys, Ltd. 303,831 4,326,668 0.0%
Ingersoll-Rand India, Ltd. 4,634 57,069 0.0%
* Inox Wind, Ltd. 15,251 34,762 0.0%
* Intellect Design Arena, Ltd. 476,136 1,033,505 0.0%
Ipca Laboratories, Ltd. 23,144 190,824 0.0%
J Kumar Infraprojects, Ltd. 53,829 220,408 0.0%
Jai Corp., Ltd. 29,123 57,473 0.0%
Jain Irrigation Systems, Ltd. 5,361,908 8,517,641 0.1%
* Jaiprakash Associates, Ltd. 17,658,065 5,049,594 0.0%
* Jammu & Kashmir Bank, Ltd. (The) 3,148,970 4,013,379 0.0%
* Jaypee Infratech, Ltd. 6,353,217 1,322,518 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
JB Chemicals & Pharmaceuticals, Ltd. 509,846 $ 2,261,290 0.0%
JBF Industries, Ltd. 440,696 1,510,725 0.0%
Jindal Poly Films, Ltd. 324,821 2,017,371 0.0%
Jindal Saw, Ltd. 2,065,551 3,979,427 0.0%
* Jindal Steel & Power, Ltd. 4,783,550 12,077,789 0.1%
* JITF Infralogistics, Ltd. 114,725 67,125 0.0%
JK Cement, Ltd. 213,375 3,277,755 0.0%
JK Lakshmi Cement, Ltd. 420,350 2,798,906 0.0%
JK Paper, Ltd. 103,296 180,561 0.0%
JK Tyre & Industries, Ltd. 880,284 1,982,039 0.0%
JM Financial, Ltd. 4,615,123 11,735,351 0.1%
JSW Energy, Ltd. 5,451,141 7,164,628 0.1%
* JSW Holdings, Ltd. 2,820 82,057 0.0%
JSW Steel, Ltd. 20,551,299 82,414,526 0.4%
Jubilant Life Sciences, Ltd. 993,088 9,827,913 0.1%
Kalpataru Power Transmission, Ltd. 760,173 4,398,816 0.0%
Kalyani Steels, Ltd. 28,587 185,135 0.0%
Karnataka Bank, Ltd. (The) 2,303,013 5,795,734 0.0%
Karur Vysya Bank, Ltd. (The) 1,891,790 3,705,702 0.0%
Kaveri Seed Co., Ltd. 108,771 962,807 0.0%
KCP, Ltd. 37,400 70,887 0.0%
KEC International, Ltd. 1,056,359 4,770,086 0.0%
Kirloskar Brothers, Ltd. 11,195 43,605 0.0%
Kirloskar Oil Engines, Ltd. 296,633 1,630,761 0.0%
Kolte-Patil Developers, Ltd. 89,111 348,176 0.0%
KPIT Technologies, Ltd. 1,339,109 3,035,248 0.0%
KRBL, Ltd. 301,431 3,014,423 0.0%
L&T Finance Holdings, Ltd. 1,300,526 4,050,542 0.0%
Lakshmi Machine Works, Ltd. 5,679 514,391 0.0%
Lakshmi Vilas Bank, Ltd. (The) 355,564 826,981 0.0%
Larsen & Toubro, Ltd. 4,214,051 79,664,841 0.4%
LIC Housing Finance, Ltd. 711,208 6,584,950 0.1%
LT Foods, Ltd. 39,519 41,661 0.0%
Magma Fincorp, Ltd. 127,558 348,026 0.0%
Maharashtra Seamless, Ltd. 109,042 847,797 0.0%
Mahindra & Mahindra Financial Services, Ltd. 952,055 6,368,912 0.0%
Mahindra & Mahindra, Ltd. 1,893,788 39,379,585 0.2%
* Mahindra CIE Automotive, Ltd. 29,954 116,058 0.0%
Mahindra Lifespace Developers, Ltd. 236,010 1,616,465 0.0%
Man Infraconstruction, Ltd. 74,313 73,138 0.0%
Manappuram Finance, Ltd. 3,368,567 5,262,795 0.0%
McLeod Russel India, Ltd. 735,546 1,877,392 0.0%
Meghmani Organics, Ltd. 117,920 214,737 0.0%
Mercator, Ltd. 228,177 160,538 0.0%
Merck, Ltd. 79,792 1,371,487 0.0%
MindTree, Ltd. 74,555 552,961 0.0%
MOIL, Ltd. 177,496 723,881 0.0%
Mphasis, Ltd. 516,057 5,497,578 0.0%
MRF, Ltd. 13,874 14,257,341 0.1%
Muthoot Finance, Ltd. 312,747 2,383,298 0.0%
* Nagarjuna Fertilizers & Chemicals, Ltd. 1,812,637 506,289 0.0%
National Aluminium Co., Ltd. 4,964,081 7,321,136 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
Nava Bharat Ventures, Ltd. 221,036 $ 480,921 0.0%
* Navkar Corp., Ltd. 3,743 11,128 0.0%
NCC, Ltd. 5,820,195 9,825,481 0.1%
Nectar Lifesciences, Ltd. 268,595 115,593 0.0%
NIIT Technologies, Ltd. 531,141 5,540,832 0.0%
* NIIT, Ltd. 542,835 879,067 0.0%
Nilkamal, Ltd. 59,356 1,474,896 0.0%
NOCIL, Ltd. 63,951 181,466 0.0%
Oberoi Realty, Ltd. 701,136 5,139,143 0.0%
OCL India, Ltd. 105,395 2,343,621 0.0%
Omaxe, Ltd. 553,097 1,748,417 0.0%
OnMobile Global, Ltd. 309,728 285,141 0.0%
Orient Cement, Ltd. 616,163 1,602,439 0.0%
* Oriental Bank of Commerce 975,550 2,123,208 0.0%
* Parsvnath Developers, Ltd. 163,025 57,572 0.0%
PC Jeweller, Ltd. 1,220,290 6,595,397 0.1%
Persistent Systems, Ltd. 103,950 1,051,680 0.0%
Petronet LNG, Ltd. 5,383,098 21,620,236 0.1%
Phillips Carbon Black, Ltd. 7,518 107,305 0.0%
Piramal Enterprises, Ltd. 702,850 29,733,058 0.2%
* Polaris Consulting & Services, Ltd. 78,121 341,718 0.0%
Polyplex Corp., Ltd. 7,729 67,393 0.0%
Power Finance Corp., Ltd. 6,211,801 13,374,041 0.1%
Prabhat Dairy, Ltd. 18,509 40,653 0.0%
Praj Industries, Ltd. 1,021,567 1,246,834 0.0%
* Prakash Industries, Ltd. 100,349 229,584 0.0%
Prestige Estates Projects, Ltd. 294,794 1,397,531 0.0%
PTC India Financial Services, Ltd. 2,531,201 1,591,871 0.0%
PTC India, Ltd. 3,755,156 7,133,881 0.1%
* Punjab National Bank 2,525,346 7,709,845 0.1%
Puravankara, Ltd. 460,912 688,743 0.0%
Radico Khaitan, Ltd. 681,924 2,308,044 0.0%
Rain Industries, Ltd. 1,419,913 5,929,099 0.0%
Rajesh Exports, Ltd. 17,376 209,860 0.0%
Ramco Cements, Ltd. (The) 229,438 2,545,644 0.0%
Ramkrishna Forgings, Ltd. 1,752 20,718 0.0%
Rashtriya Chemicals & Fertilizers, Ltd. 657,223 916,700 0.0%
Ratnamani Metals & Tubes, Ltd. 3,941 53,901 0.0%
Raymond, Ltd. 408,303 5,625,657 0.0%
Redington India, Ltd. 2,049,822 4,978,621 0.0%
Reliance Capital, Ltd. 1,214,767 10,808,927 0.1%
* Reliance Communications, Ltd. 16,993,662 4,501,941 0.0%
* Reliance Home Finance, Ltd. 1,766,396 2,352,149 0.0%
Reliance Industries, Ltd. 33,999,334 495,984,582 2.5%
Reliance Industries, Ltd. GDR 98,068 2,815,075 0.0%
* Reliance Naval and Engineering, Ltd. 22,287 18,658 0.0%
* Reliance Power, Ltd. 9,323,446 5,869,304 0.0%
* Rolta India, Ltd. 712,187 620,719 0.0%
RSWM, Ltd. 2,943 17,404 0.0%
* Ruchi Soya Industries, Ltd. 758,436 282,123 0.0%
Rural Electrification Corp., Ltd. 9,208,929 24,691,470 0.1%
Sangam India, Ltd. 2,135 6,381 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
Sanghvi Movers, Ltd. 45,111 $ 118,571 0.0%
* Shipping Corp. of India, Ltd. 1,762,665 2,512,482 0.0%
Shriram City Union Finance, Ltd. 5,127 182,545 0.0%
Shriram Transport Finance Co., Ltd. 756,375 13,686,797 0.1%
Simplex Infrastructures, Ltd. 55,412 454,313 0.0%
Sintex Industries, Ltd. 3,215,837 1,325,711 0.0%
* Sintex Plastics Technology, Ltd. 7,846,946 11,266,819 0.1%
Siyaram Silk Mills, Ltd. 3,315 30,390 0.0%
Sobha, Ltd. 817,815 6,442,036 0.1%
Sonata Software, Ltd. 219,589 608,985 0.0%
South Indian Bank, Ltd. (The) 11,772,339 5,581,634 0.0%
SREI Infrastructure Finance, Ltd. 1,890,601 3,365,332 0.0%
SRF, Ltd. 250,941 6,545,168 0.1%
State Bank of India 11,298,960 53,493,423 0.3%
* Steel Authority of India, Ltd. 2,740,577 3,290,434 0.0%
Sterlite Technologies, Ltd. 1,708,053 7,573,565 0.1%
Sunteck Realty, Ltd. 117,718 638,558 0.0%
* Surya Roshni, Ltd. 20,979 120,164 0.0%
Suven Life Sciences, Ltd. 19,227 63,941 0.0%
* Syndicate Bank 2,092,900 2,656,069 0.0%
TAKE Solutions, Ltd. 296,764 793,269 0.0%
Tamil Nadu Newsprint & Papers, Ltd. 293,748 1,654,214 0.0%
Tata Chemicals, Ltd. 1,763,982 19,967,916 0.1%
Tata Global Beverages, Ltd. 5,236,799 18,423,932 0.1%
* Tata Motors, Ltd. 14,885,959 98,573,279 0.5%
* Tata Motors, Ltd. Sponsored ADR 103,766 3,399,374 0.0%
Tata Steel, Ltd. 4,969,642 54,028,006 0.3%
Tech Mahindra, Ltd. 1,342,973 10,012,042 0.1%
* Techno Electric & Engineering Co., Ltd. 51,231 285,078 0.0%
Texmaco Rail & Engineering, Ltd. 53,182 95,211 0.0%
TI Financial Holdings, Ltd. 592,499 5,388,566 0.0%
Tide Water Oil Co India, Ltd. 144 14,283 0.0%
Time Technoplast, Ltd. 1,093,465 3,155,772 0.0%
Titagarh Wagons, Ltd. 128,465 285,834 0.0%
Transport Corp. of India, Ltd. 53,738 233,089 0.0%
Trident, Ltd. 83,632 132,875 0.0%
* Tube Investments of India, Ltd. 592,499 2,224,687 0.0%
TV Today Network, Ltd. 29,230 160,817 0.0%
* TV18 Broadcast, Ltd. 6,567,720 4,417,869 0.0%
* UCO Bank 3,123,377 1,558,508 0.0%
Uflex, Ltd. 490,316 3,456,336 0.0%
UFO Moviez India, Ltd. 14,533 96,770 0.0%
Unichem Laboratories, Ltd. 393,258 1,869,106 0.0%
* Union Bank of India 1,978,762 5,407,604 0.0%
* Unitech, Ltd. 14,523,445 1,505,578 0.0%
UPL, Ltd. 2,892,553 35,729,287 0.2%
VA Tech Wabag, Ltd. 35,046 317,575 0.0%
Vardhman Textiles, Ltd. 253,985 5,052,408 0.0%
Vedanta, Ltd. 19,014,264 97,657,605 0.5%
Vedanta, Ltd. ADR 1,149,890 23,687,742 0.1%
* Videocon Industries, Ltd. 333,596 82,474 0.0%
Vijaya Bank 2,481,438 2,535,180 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
INDIA -- (Continued)
Vindhya Telelinks, Ltd. 6,236 $ 132,521 0.0%
Welspun Corp., Ltd. 1,610,561 3,660,222 0.0%
Welspun Enterprises, Ltd. 861,475 2,169,182 0.0%
Welspun India, Ltd. 941,794 975,093 0.0%
West Coast Paper Mills, Ltd. 19,816 57,165 0.0%
Wipro, Ltd. 5,562,832 25,340,389 0.1%
Wockhardt, Ltd. 276,374 2,764,027 0.0%
* Zee Media Corp., Ltd. 62,079 40,987 0.0%
Zensar Technologies, Ltd. 165,883 2,016,704 0.0%
Zuari Agro Chemicals, Ltd. 23,149 228,134 0.0%
-------------- ----
TOTAL INDIA 2,581,187,259 13.2%
-------------- ----
INDONESIA -- (2.8%)
Adaro Energy Tbk PT 269,775,200 36,304,960 0.2%
Adhi Karya Persero Tbk PT 22,958,000 3,706,446 0.0%
Agung Podomoro Land Tbk PT 117,372,400 2,267,741 0.0%
Alam Sutera Realty Tbk PT 189,446,600 5,676,263 0.0%
* Aneka Tambang Persero Tbk PT 119,968,977 5,705,620 0.0%
Asahimas Flat Glass Tbk PT 4,905,700 2,424,459 0.0%
Astra Agro Lestari Tbk PT 2,624,567 2,820,781 0.0%
Astra Graphia Tbk PT 436,900 42,813 0.0%
* Bakrie and Brothers Tbk PT 444,511,450 393,300 0.0%
* Bakrie Telecom Tbk PT 238,934,800 88,087 0.0%
Bank Bukopin Tbk 64,881,433 2,655,975 0.0%
Bank Danamon Indonesia Tbk PT 35,689,154 13,425,148 0.1%
Bank Mandiri Persero Tbk PT 168,163,062 87,344,213 0.5%
Bank Negara Indonesia Persero Tbk PT 100,847,241 56,531,865 0.3%
* Bank Pan Indonesia Tbk PT 128,383,401 10,321,253 0.1%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 35,750,100 6,458,541 0.0%
Bank Pembangunan Daerah Jawa Timur Tbk PT 17,210,100 882,054 0.0%
Bank Rakyat Indonesia Persero Tbk PT 373,800 430,057 0.0%
Bank Tabungan Negara Persero Tbk PT 70,905,827 14,429,239 0.1%
* Barito Pacific Tbk PT 46,009,400 6,854,200 0.1%
Bekasi Fajar Industrial Estate Tbk PT 44,305,000 928,674 0.0%
* Benakat Integra Tbk PT 142,047,100 880,815 0.0%
BISI International Tbk PT 13,394,400 1,619,671 0.0%
Blue Bird Tbk PT 51,500 17,314 0.0%
Bumi Serpong Damai Tbk PT 76,490,900 9,708,328 0.1%
Ciputra Development Tbk PT 169,606,478 15,133,951 0.1%
* Clipan Finance Indonesia Tbk PT 2,995,500 68,500 0.0%
* Eagle High Plantations Tbk PT 119,310,400 2,147,048 0.0%
Elnusa Tbk PT 51,940,700 1,181,057 0.0%
Erajaya Swasembada Tbk PT 16,502,000 961,126 0.0%
* Eureka Prima Jakarta Tbk PT 1,297,300 9,469 0.0%
* Ever Shine Textile Tbk PT 19,200,815 130,447 0.0%
Gajah Tunggal Tbk PT 28,846,300 1,478,989 0.0%
* Garuda Indonesia Persero Tbk PT 45,666,781 1,231,450 0.0%
Global Mediacom Tbk PT 107,307,100 4,628,171 0.0%
* Hanson International Tbk PT 48,742,700 424,239 0.0%
* Harum Energy Tbk PT 13,302,800 2,305,813 0.0%
Hexindo Adiperkasa Tbk PT 721,744 184,631 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
INDONESIA -- (Continued)
* Holcim Indonesia Tbk PT 26,217,400 $ 1,595,721 0.0%
Indah Kiat Pulp & Paper Corp. Tbk PT 40,055,800 15,580,631 0.1%
* Indika Energy Tbk PT 5,814,600 964,879 0.0%
Indo Tambangraya Megah Tbk PT 4,073,100 6,667,814 0.1%
Indocement Tunggal Prakarsa Tbk PT 333,500 551,839 0.0%
Indofood Sukses Makmur Tbk PT 66,605,200 40,266,352 0.2%
Intiland Development Tbk PT 108,938,600 3,118,202 0.0%
Japfa Comfeed Indonesia Tbk PT 44,723,050 4,535,585 0.0%
Jaya Real Property Tbk PT 120,228,000 8,022,026 0.1%
Kawasan Industri Jababeka Tbk PT 305,878,056 6,856,213 0.1%
KMI Wire & Cable Tbk PT 3,902,200 126,608 0.0%
* Krakatau Steel Persero Tbk PT 6,016,800 218,272 0.0%
* Lippo Cikarang Tbk PT 3,467,500 972,859 0.0%
Lippo Karawaci Tbk PT 296,566,849 15,090,725 0.1%
Malindo Feedmill Tbk PT 331,200 21,495 0.0%
* Matahari Putra Prima Tbk PT 4,231,700 180,982 0.0%
* Medco Energi Internasional Tbk PT 102,598,300 5,983,052 0.0%
Media Nusantara Citra Tbk PT 4,453,700 512,181 0.0%
Metrodata Electronics Tbk PT 1,590,750 69,887 0.0%
Mitra Pinasthika Mustika Tbk PT 1,984,700 158,722 0.0%
* MNC Investama Tbk PT 332,569,700 2,402,560 0.0%
Modernland Realty Tbk PT 89,667,000 2,183,223 0.0%
Multipolar Tbk PT 68,776,700 867,564 0.0%
* Nirvana Development Tbk PT 1,000,000 4,360 0.0%
* Nusantara Infrastructure Tbk PT 177,497,800 2,484,837 0.0%
Pabrik Kertas Tjiwi Kimia Tbk PT 929,000 198,667 0.0%
Pan Brothers Tbk PT 41,873,350 1,500,432 0.0%
* Panin Financial Tbk PT 204,627,100 3,562,317 0.0%
* Paninvest Tbk PT 30,871,000 1,910,525 0.0%
Pembangunan Perumahan Persero Tbk PT 18,587,900 3,907,568 0.0%
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 55,752,684 6,207,546 0.0%
Ramayana Lestari Sentosa Tbk PT 44,156,000 2,979,790 0.0%
Salim Ivomas Pratama Tbk PT 53,850,300 2,064,535 0.0%
Sampoerna Agro PT 11,967,241 2,197,884 0.0%
Selamat Sempurna Tbk PT 36,748,000 3,493,923 0.0%
Semen Baturaja Persero Tbk PT 11,844,200 2,436,507 0.0%
Semen Indonesia Persero Tbk PT 16,728,000 13,439,795 0.1%
* Sentul City Tbk PT 143,325,300 1,510,664 0.0%
Sinar Mas Agro Resources & Technology Tbk PT 7,767,600 2,205,629 0.0%
Sri Rejeki Isman Tbk PT 126,718,200 3,401,467 0.0%
Summarecon Agung Tbk PT 2,382,800 181,879 0.0%
Surya Semesta Internusa Tbk PT 57,696,900 2,510,412 0.0%
Tambang Batubara Bukit Asam Persero Tbk PT 288,900 244,495 0.0%
* Tiga Pilar Sejahtera Food Tbk 33,271,822 2,391,279 0.0%
Timah Persero Tbk PT 50,498,860 3,053,185 0.0%
Tiphone Mobile Indonesia Tbk PT 7,827,700 643,570 0.0%
Trias Sentosa Tbk PT 336,500 9,920 0.0%
* Truba Alam Manunggal Engineering PT 129,244,500 95,295 0.0%
Tunas Baru Lampung Tbk PT 23,314,400 2,397,954 0.0%
Tunas Ridean Tbk PT 35,397,000 3,001,107 0.0%
Ultrajaya Milk Industry & Trading Co. Tbk PT 29,222,100 2,813,841 0.0%
Unggul Indah Cahaya Tbk PT 319,635 89,477 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDONESIA -- (Continued)
United Tractors Tbk PT 21,207,700 $ 54,200,036 0.3%
* Vale Indonesia Tbk PT 33,906,100 7,353,598 0.1%
* Visi Media Asia Tbk PT 2,959,500 61,541 0.0%
Wijaya Karya Beton Tbk PT 5,307,100 256,454 0.0%
Wijaya Karya Persero Tbk PT 11,818,200 1,716,856 0.0%
* XL Axiata Tbk PT 14,306,900 3,566,009 0.0%
------------ ---
TOTAL INDONESIA 556,843,454 2.8%
------------ ---
MALAYSIA -- (2.8%)
Affin Holdings Bhd 10,815,350 6,539,295 0.1%
AirAsia Bhd 17,722,900 13,985,723 0.1%
Alliance Bank Malaysia Bhd 15,784,300 13,755,629 0.1%
Allianz Malaysia Bhd 28,800 95,607 0.0%
AMMB Holdings Bhd 22,760,762 23,017,456 0.1%
Ann Joo Resources Bhd 1,766,700 1,564,964 0.0%
APM Automotive Holdings Bhd 721,300 622,018 0.0%
Batu Kawan Bhd 2,070,050 9,681,846 0.1%
Benalec Holdings Bhd 6,473,100 657,417 0.0%
#* Berjaya Assets BHD 404,600 102,347 0.0%
#* Berjaya Corp. Bhd 38,465,178 3,043,506 0.0%
* Berjaya Land Bhd 13,220,000 1,186,321 0.0%
BIMB Holdings Bhd 895,707 928,927 0.0%
Boustead Holdings Bhd 13,017,191 9,283,506 0.1%
Boustead Plantations Bhd 1,724,000 655,648 0.0%
#* Bumi Armada Bhd 25,619,100 4,422,128 0.0%
Can-One Bhd 401,400 270,243 0.0%
# CB Industrial Product Holding Bhd 1,722,100 785,490 0.0%
Chin Teck Plantations Bhd 309,100 576,408 0.0%
CIMB Group Holdings Bhd 31,548,927 45,756,564 0.3%
Coastal Contracts Bhd 3,357,500 1,007,511 0.0%
# CSC Steel Holdings Bhd 2,078,256 849,344 0.0%
Cypark Resources Bhd 125,100 78,216 0.0%
* Daya Materials Bhd 7,220,400 136,312 0.0%
* Dayang Enterprise Holdings Bhd 2,480,000 506,954 0.0%
# DRB-Hicom Bhd 10,460,600 4,202,122 0.0%
Eastern & Oriental Bhd 10,894,880 3,965,399 0.0%
#* Eco World Development Group Bhd 3,275,100 1,199,818 0.0%
# Ekovest Bhd 2,099,400 575,246 0.0%
# Evergreen Fibreboard Bhd 6,576,589 1,196,103 0.0%
FAR East Holdings Bhd 403,800 869,703 0.0%
# Felda Global Ventures Holdings Bhd 15,387,000 6,940,029 0.1%
# Gadang Holdings Bhd 1,721,700 512,655 0.0%
Genting Bhd 22,035,500 47,102,707 0.3%
# Genting Malaysia Bhd 22,720,300 27,004,962 0.2%
Glomac Bhd 6,061,500 937,990 0.0%
Goldis Bhd 3,223,995 2,120,884 0.0%
GuocoLand Malaysia Bhd 2,797,700 773,525 0.0%
HAP Seng Consolidated Bhd 4,949,882 10,854,460 0.1%
Hap Seng Plantations Holdings Bhd 3,368,400 2,124,571 0.0%
Hiap Teck Venture Bhd 6,113,800 613,796 0.0%
* Hibiscus Petroleum Bhd 7,456,700 1,253,767 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
MALAYSIA -- (Continued)
Hong Leong Financial Group Bhd 2,819,234 $11,123,820 0.1%
Hong Leong Industries Bhd 620,900 1,408,757 0.0%
Hua Yang Bhd 2,298,310 423,413 0.0%
I-Bhd 84,900 11,633 0.0%
IJM Corp. Bhd 40,200,218 30,291,470 0.2%
Insas Bhd 7,583,200 1,764,029 0.0%
IOI Properties Group Bhd 5,276,025 2,481,874 0.0%
* Iris Corp. Bhd 21,281,900 829,610 0.0%
#* Iskandar Waterfront City Bhd 1,175,800 388,832 0.0%
#* JAKS Resources Bhd 3,549,700 1,241,385 0.0%
# Jaya Tiasa Holdings Bhd 5,549,833 1,533,977 0.0%
JCY International Bhd 8,654,300 1,104,322 0.0%
Keck Seng Malaysia Bhd 2,504,000 2,832,880 0.0%
Kenanga Investment Bank Bhd 2,020,487 255,449 0.0%
Kian JOO CAN Factory Bhd 4,626,680 3,224,035 0.0%
Kimlun Corp. Bhd 872,895 476,619 0.0%
#* KNM Group Bhd 25,164,290 1,665,783 0.0%
Kretam Holdings Bhd 3,429,400 453,371 0.0%
#* KSL Holdings Bhd 8,770,851 2,609,236 0.0%
Kumpulan Fima Bhd 2,063,300 818,838 0.0%
Kumpulan Perangsang Selangor Bhd 2,397,900 804,424 0.0%
* Kwantas Corp. Bhd 288,400 100,718 0.0%
Land & General Bhd 35,334,220 1,836,111 0.0%
* Landmarks Bhd 2,119,208 365,804 0.0%
# LBS Bina Group Bhd 3,885,900 1,762,167 0.0%
#* Lion Industries Corp. Bhd 1,409,700 449,614 0.0%
# Magnum Bhd 5,656,400 2,338,062 0.0%
# Mah Sing Group Bhd 13,716,962 4,995,660 0.0%
Malayan Banking Bhd 4,389,686 9,591,470 0.1%
Malayan Flour Mills Bhd 3,150,650 1,443,966 0.0%
* Malayan United Industries Bhd 403,500 21,433 0.0%
Malaysia Airports Holdings Bhd 1,837,754 3,593,120 0.0%
Malaysia Building Society Bhd 9,670,436 2,534,511 0.0%
* Malaysia Marine and Heavy Engineering Holdings Bhd 2,930,500 568,160 0.0%
* Malaysian Bulk Carriers Bhd 4,604,925 961,584 0.0%
Malaysian Pacific Industries Bhd 383,775 1,261,934 0.0%
# Malaysian Resources Corp. Bhd 29,613,600 7,413,592 0.1%
Malton Bhd 4,431,000 1,296,823 0.0%
MBM Resources Bhd 2,625,103 1,277,086 0.0%
Media Prima Bhd 6,626,700 1,307,096 0.0%
Mega First Corp. Bhd 1,619,300 1,342,839 0.0%
MISC Bhd 14,779,004 24,241,613 0.1%
Mitrajaya Holdings Bhd 158,900 35,276 0.0%
* MK Land Holdings Bhd 5,184,800 330,511 0.0%
MKH Bhd 4,214,878 2,060,599 0.0%
MMC Corp. Bhd 13,700,180 6,439,470 0.1%
* MNRB Holdings Bhd 2,425,750 1,317,683 0.0%
* Mudajaya Group Bhd 4,184,700 1,187,715 0.0%
# Muhibbah Engineering M Bhd 4,143,300 2,788,608 0.0%
* Mulpha International Bhd 2,200,960 1,299,904 0.0%
* Naim Holdings Bhd 2,076,600 574,207 0.0%
# Oriental Holdings Bhd 3,531,579 5,462,792 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
# OSK Holdings Bhd 7,687,071 $ 2,869,475 0.0%
Pacific & Orient Bhd 334,330 100,254 0.0%
Panasonic Manufacturing Malaysia BHD 314,180 2,894,965 0.0%
Pantech Group Holdings Bhd 4,446,309 724,803 0.0%
Paramount Corp. Bhd 1,682,125 694,958 0.0%
* Parkson Holdings Bhd 6,785,728 1,042,030 0.0%
PPB Group Bhd 6,148,766 24,381,556 0.1%
Protasco Bhd 4,079,350 1,098,569 0.0%
RHB Bank Bhd 11,889,600 14,266,899 0.1%
* Rimbunan Sawit Bhd 6,810,000 659,406 0.0%
* Salcon Bhd 695,083 69,785 0.0%
Sapura Energy Bhd 33,855,300 12,811,962 0.1%
# Sarawak Oil Palms Bhd 665,267 719,760 0.0%
* Scomi Group Bhd 19,808,300 773,752 0.0%
Selangor Dredging Bhd 1,352,800 338,437 0.0%
Selangor Properties Bhd 75,300 85,373 0.0%
Shangri-La Hotels Malaysia Bhd 603,800 741,650 0.0%
SHL Consolidated Bhd 331,800 218,955 0.0%
# SP Setia Bhd Group 5,845,823 4,519,692 0.0%
Star Media Group Bhd 1,607,100 641,574 0.0%
* Sumatec Resources Bhd 2,855,100 33,762 0.0%
# Sunway Bhd 22,072,071 9,014,305 0.1%
# Supermax Corp. Bhd 6,599,800 2,759,368 0.0%
Suria Capital Holdings Bhd 824,400 391,232 0.0%
Symphony Life Bhd 735,324 151,126 0.0%
# Ta Ann Holdings Bhd 2,344,326 2,043,452 0.0%
TA Enterprise Bhd 20,370,200 3,081,008 0.0%
TA Global Bhd 15,532,980 1,393,044 0.0%
TAN Chong Motor Holdings Bhd 4,267,600 1,633,689 0.0%
TDM Bhd 13,722,720 1,701,368 0.0%
TH Plantations Bhd 900,500 233,954 0.0%
Thong Guan Industries Bhd 79,000 83,415 0.0%
Time dotCom Bhd 3,785,380 8,209,880 0.1%
# Tiong NAM Logistics Holdings 1,581,462 556,331 0.0%
Tropicana Corp. Bhd 8,252,589 1,948,404 0.0%
# UEM Edgenta Bhd 1,330,200 829,561 0.0%
#* UEM Sunrise Bhd 20,717,345 5,433,812 0.0%
* UMW Holdings Bhd 982,200 1,215,771 0.0%
#* UMW Oil & Gas Corp. Bhd 16,557,528 1,253,022 0.0%
Unisem M Bhd 5,494,600 5,192,670 0.0%
United Malacca Bhd 960,500 1,533,665 0.0%
United Plantations Bhd 84,600 548,050 0.0%
# UOA Development Bhd 7,856,700 4,734,583 0.0%
* Vivocom International Holdings Bhd 2,235,400 73,933 0.0%
Wah Seong Corp. Bhd 4,284,583 951,163 0.0%
#* WCT Holdings Bhd 13,209,362 5,177,664 0.0%
WTK Holdings Bhd 5,577,950 1,066,661 0.0%
* YNH Property Bhd 6,875,925 2,293,851 0.0%
YTL Corp. Bhd 84,654,542 25,396,423 0.1%
* YTL Land & Development Bhd 2,842,800 372,753 0.0%
------------ ---
TOTAL MALAYSIA 566,662,777 2.9%
------------ ---
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MEXICO -- (3.8%)
# Alfa S.A.B. de C.V. Class A 35,173,331 $ 36,729,568 0.2%
# Alpek S.A.B. de C.V. 4,125,775 4,327,687 0.0%
#* Axtel S.A.B. de C.V. 8,140,014 1,762,023 0.0%
* Bio Pappel S.A.B. de C.V. 439,582 532,861 0.0%
* Cemex S.A.B. de C.V. Sponsored ADR 14,473,498 117,380,072 0.6%
# Coca-Cola Femsa S.A.B. de C.V. Series L 1,424,609 9,630,280 0.1%
# Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 139,424 9,542,179 0.1%
Consorcio ARA S.A.B. de C.V. Series * 9,308,776 3,301,716 0.0%
* Corp Interamericana de Entretenimiento S.A.B. de C.V.
Class B 1,560,786 1,459,287 0.0%
Corp. Actinver S.A.B. de C.V. 105,133 71,289 0.0%
Credito Real S.A.B. de C.V. SOFOM ER 948,801 1,524,278 0.0%
Dine S.A.B. de C.V. 1,027,267 584,047 0.0%
# El Puerto de Liverpool S.A.B. de C.V. Class C1 74,271 506,949 0.0%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 1,186,961 104,155,828 0.5%
* Grupo Aeromexico S.A.B. de C.V. 1,308,745 2,088,203 0.0%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 139,667 13,257,191 0.1%
# Grupo Carso S.A.B. de C.V. Series A1 6,907,030 22,387,254 0.1%
Grupo Cementos de Chihuahua S.A.B. de C.V. 2,562,124 12,163,967 0.1%
Grupo Comercial Chedraui S.A. de C.V. 2,778,782 5,486,035 0.0%
# Grupo Elektra S.A.B. de C.V. 260,305 10,431,752 0.1%
#* Grupo Famsa S.A.B. de C.V. Class A 2,831,479 1,544,839 0.0%
# Grupo Financiero Banorte S.A.B. de C.V. Class O 18,334,815 108,640,838 0.6%
# Grupo Financiero Inbursa S.A.B. de C.V. Class O 14,810,011 25,476,765 0.1%
Grupo Financiero Interacciones SA de C.V. Class O 837,669 3,809,145 0.0%
# Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 4,513,225 7,584,916 0.0%
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 1,632,369 13,744,547 0.1%
* Grupo Gigante S.A.B. de C.V. Series * 471,076 1,056,569 0.0%
# Grupo Herdez S.A.B. de C.V. Series * 1,008,213 2,156,127 0.0%
Grupo Industrial Saltillo S.A.B. de C.V. 1,346,804 2,528,276 0.0%
Grupo KUO S.A.B. de C.V. Series B 2,034,528 4,169,500 0.0%
Grupo Mexico S.A.B. de C.V. Series B 39,173,644 127,399,779 0.7%
* Grupo Pochteca S.A.B. de C.V. 67,810 25,997 0.0%
* Grupo Posadas S.A.B. de C.V. 335,413 612,331 0.0%
Grupo Rotoplas S.A.B. de C.V. 17,266 26,784 0.0%
# Grupo Sanborns S.A.B. de C.V. 1,333,379 1,465,401 0.0%
* Grupo Simec S.A.B. de C.V. Series B 1,107,215 3,629,162 0.0%
* Grupo Sports World S.A.B. de C.V. 293,561 290,931 0.0%
Industrias Bachoco S.A.B. de C.V. Series B 1,808,048 8,904,554 0.1%
Industrias Bachoco S.A.B. de C.V. Sponsored ADR 40,783 2,401,711 0.0%
#* Industrias CH S.A.B. de C.V. Series B 2,003,630 7,984,526 0.1%
Industrias Penoles S.A.B. de C.V. 156,507 3,649,048 0.0%
#* La Comer S.A.B. de C.V. 5,414,652 5,253,173 0.0%
Medica Sur S.A.B. de C.V. Series B 1,000 2,021 0.0%
Mexichem S.A.B. de C.V. 9,891,710 25,477,728 0.1%
#* Minera Frisco S.A.B. de C.V. Class A1 7,198,230 4,246,455 0.0%
# Nemak S.A.B. de C.V. 1,531,002 1,152,339 0.0%
# Organizacion Cultiba S.A.B. de C.V. 170,021 141,006 0.0%
#* Organizacion Soriana S.A.B. de C.V. Class B 14,600,653 30,615,163 0.2%
Promotora y Operadora de Infraestructura S.A.B. de C.V. 87,521 832,218 0.0%
Qualitas Controladora S.A.B. de C.V. 1,569,014 2,598,417 0.0%
# TV Azteca S.A.B. de C.V. 9,523,719 1,723,750 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
MEXICO -- (Continued)
Vitro S.A.B. de C.V. Series A 1,503,590 $ 5,576,186 0.0%
------------ ---
TOTAL MEXICO 762,042,668 3.9%
------------ ---
PHILIPPINES -- (1.0%)
A Soriano Corp. 6,260,400 854,596 0.0%
ACR Mining Corp. 105,455 6,856 0.0%
* Alliance Global Group, Inc. 33,546,206 10,405,828 0.1%
Alsons Consolidated Resources, Inc. 20,894,000 557,876 0.0%
* Atlas Consolidated Mining & Development Corp. 5,351,500 518,012 0.0%
Ayala Corp. 46,260 923,123 0.0%
Bank of the Philippine Islands 234,470 445,554 0.0%
BDO Unibank, Inc. 13,922,319 37,099,183 0.2%
Belle Corp. 2,569,000 189,138 0.0%
Cebu Air, Inc. 2,448,710 5,172,329 0.0%
Century Properties Group, Inc. 28,217,400 278,723 0.0%
China Banking Corp. 773,532 502,286 0.0%
Cosco Capital, Inc. 12,347,200 2,038,613 0.0%
East West Banking Corp. 1,354,100 850,157 0.0%
* EEI Corp. 1,495,700 356,695 0.0%
Emperador, Inc. 1,168,700 163,042 0.0%
* Empire East Land Holdings, Inc. 24,178,000 313,905 0.0%
Energy Development Corp. 1,330,669 148,826 0.0%
Filinvest Development Corp. 142,800 20,887 0.0%
Filinvest Land, Inc. 185,465,031 7,121,775 0.0%
First Philippine Holdings Corp. 4,538,830 5,616,786 0.0%
GT Capital Holdings, Inc. 132,470 3,030,774 0.0%
Integrated Micro-Electronics, Inc. 121,600 41,690 0.0%
JG Summit Holdings, Inc. 9,945,800 14,830,659 0.1%
Lopez Holdings Corp. 34,562,600 3,890,618 0.0%
LT Group, Inc. 17,034,500 5,934,119 0.0%
Megaworld Corp. 127,188,400 13,131,798 0.1%
Metro Retail Stores Group, Inc. 1,545,000 120,566 0.0%
Metropolitan Bank & Trust Co. 6,332,020 10,625,577 0.1%
Nickel Asia Corp. 5,436,300 737,641 0.0%
Pepsi-Cola Products Philippines, Inc. 709,000 39,629 0.0%
Petron Corp. 18,447,500 3,482,939 0.0%
Philex Mining Corp. 390,300 57,582 0.0%
* Philippine National Bank 4,769,173 5,401,396 0.0%
* Philippine National Construction Corp. 398,900 7,101 0.0%
Philippine Savings Bank 1,213,273 2,118,343 0.0%
Phinma Corp. 424,267 79,592 0.0%
Phinma Energy Corp. 25,692,000 846,727 0.0%
Phoenix Petroleum Philippines, Inc. 1,456,600 324,499 0.0%
RFM Corp. 976,000 88,415 0.0%
Rizal Commercial Banking Corp. 4,615,348 5,280,338 0.0%
Robinsons Land Corp. 27,952,750 13,676,047 0.1%
Robinsons Retail Holdings, Inc. 208,450 391,876 0.0%
San Miguel Corp. 6,803,466 13,581,790 0.1%
San Miguel Pure Foods Co., Inc. 69,390 413,994 0.0%
Security Bank Corp. 1,769,464 8,434,607 0.1%
* SSI Group, Inc. 2,648,000 198,993 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
PHILIPPINES -- (Continued)
STI Education Systems Holdings, Inc. 11,885,000 $ 414,173 0.0%
* Top Frontier Investment Holdings, Inc. 628,532 3,630,213 0.0%
Travellers International Hotel Group, Inc. 2,808,200 212,530 0.0%
Union Bank of the Philippines 4,413,349 7,447,502 0.0%
Vista Land & Lifescapes, Inc. 76,219,768 8,989,461 0.1%
------------ ---
TOTAL PHILIPPINES 201,045,379 1.0%
------------ ---
POLAND -- (1.6%)
* Agora SA 550,169 2,479,254 0.0%
* Alior Bank SA 170,730 3,391,408 0.0%
# Asseco Poland SA 1,157,946 15,180,779 0.1%
Bank Handlowy w Warszawie SA 30,090 615,323 0.0%
* Bank Millennium SA 4,362,944 9,562,253 0.1%
* Ciech SA 109,007 1,853,210 0.0%
Cyfrowy Polsat SA 53,028 369,352 0.0%
Enea SA 2,423,548 9,274,070 0.1%
Firma Oponiarska Debica SA 68,764 1,911,121 0.0%
* Getin Holding SA 2,977,249 1,316,479 0.0%
#* Getin Noble Bank SA 1,094,168 483,925 0.0%
Grupa Azoty SA 195,063 3,911,063 0.0%
Grupa Kety SA 65,947 7,145,745 0.0%
# Grupa Lotos SA 1,539,194 27,912,401 0.2%
* Impexmetal SA 3,891,720 4,585,696 0.0%
Kernel Holding SA 429,522 5,770,623 0.0%
KGHM Polska Miedz SA 1,458,614 49,302,474 0.3%
LC Corp. SA 1,199,107 909,798 0.0%
Lubelski Wegiel Bogdanka SA 23,588 478,018 0.0%
* mBank SA 4,616 583,679 0.0%
Netia SA 4,419,154 4,977,233 0.0%
Orbis SA 472,091 11,341,234 0.1%
* PGE Polska Grupa Energetyczna SA 11,049,608 39,618,735 0.2%
* PKP Cargo SA 26,477 377,880 0.0%
Polski Koncern Naftowy Orlen SA 2,350,371 83,131,467 0.4%
* Powszechna Kasa Oszczednosci Bank Polski SA 2,478,550 26,379,983 0.1%
* Tauron Polska Energia SA 10,676,446 10,322,963 0.1%
Trakcja SA 605,353 1,283,503 0.0%
* Vistula Group SA 54,605 51,024 0.0%
------------ ---
TOTAL POLAND 324,520,693 1.7%
------------ ---
RUSSIA -- (1.7%)
* AFI Development P.L.C. GDR 31,827 5,753 0.0%
Gazprom PJSC Sponsored ADR 32,989,361 141,702,963 0.7%
Lukoil PJSC Sponsored ADR(BYZDW2900) 1,526,223 81,070,481 0.4%
Lukoil PJSC Sponsored ADR(69343P105) 1,476,808 78,315,128 0.4%
Magnitogorsk Iron & Steel Works PJSC Sponsored GDR 921,089 8,975,264 0.0%
Ros Agro P.L.C. GDR 2,630 31,560 0.0%
Rosneft Oil Co. PJSC GDR 2,615,787 14,334,513 0.1%
RusHydro PJSC ADR 8,257,380 11,057,276 0.1%
------------ ---
TOTAL RUSSIA 335,492,938 1.7%
------------ ---
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SOUTH AFRICA -- (6.3%)
Adcorp Holdings, Ltd. 928,995 $ 935,825 0.0%
Aeci, Ltd. 1,631,841 12,196,168 0.1%
African Oxygen, Ltd. 47,765 82,753 0.0%
* African Phoenix Investments, Ltd. 9,264,952 446,260 0.0%
African Rainbow Minerals, Ltd. 1,736,757 15,241,434 0.1%
Alexander Forbes Group Holdings, Ltd. 2,306,885 1,188,752 0.0%
* Allied Electronics Corp., Ltd. Class A 13,724 11,944 0.0%
Alviva Holdings, Ltd. 902,939 1,254,217 0.0%
* Anglo American Platinum, Ltd. 305,225 8,493,700 0.1%
AngloGold Ashanti, Ltd. 1,352,622 12,479,982 0.1%
AngloGold Ashanti, Ltd. Sponsored ADR 2,757,572 25,645,420 0.1%
#* ArcelorMittal South Africa, Ltd. 2,390,579 1,075,718 0.0%
Ascendis Health, Ltd. 85,210 105,378 0.0%
Assore, Ltd. 4,497 98,377 0.0%
* Aveng, Ltd. 7,283,572 1,299,493 0.0%
# Barclays Africa Group, Ltd. 6,638,790 65,764,239 0.3%
# Barloworld, Ltd. 4,642,126 43,785,661 0.2%
Blue Label Telecoms, Ltd. 2,410,396 2,940,419 0.0%
#* Brait SE 2,567,253 9,596,285 0.1%
Caxton and CTP Publishers and Printers, Ltd. 3,089,885 2,865,590 0.0%
Clover Industries, Ltd. 1,450,164 1,465,482 0.0%
* Consolidated Infrastructure Group, Ltd. 703,402 567,415 0.0%
# DataTec, Ltd. 3,584,698 15,201,282 0.1%
# DRDGOLD, Ltd. 5,384,649 1,833,838 0.0%
* enX Group, Ltd. 361,828 355,598 0.0%
EOH Holdings, Ltd. 37,329 278,305 0.0%
Evraz Highveld Steel and Vanadium, Ltd. 120,337 226 0.0%
* eXtract Group, Ltd. 7,742,391 32,805 0.0%
Exxaro Resources, Ltd. 2,328,068 23,658,148 0.1%
Gold Fields, Ltd. 3,080,433 12,261,926 0.1%
Gold Fields, Ltd. Sponsored ADR 13,333,101 52,932,411 0.3%
* Grindrod, Ltd. 7,514,882 8,279,345 0.1%
Group Five, Ltd. 1,708,539 1,571,769 0.0%
Harmony Gold Mining Co., Ltd. 1,956,999 3,346,413 0.0%
# Harmony Gold Mining Co., Ltd. Sponsored ADR 491,788 850,793 0.0%
Hudaco Industries, Ltd. 125,552 1,119,446 0.0%
Hulamin, Ltd. 1,953,365 995,513 0.0%
#* Impala Platinum Holdings, Ltd. 5,228,472 14,507,788 0.1%
Imperial Holdings, Ltd. 2,207,724 31,663,204 0.2%
Investec, Ltd. 3,265,876 22,272,969 0.1%
Invicta Holdings, Ltd. 54,751 212,137 0.0%
KAP Industrial Holdings, Ltd. 1,435,506 862,985 0.0%
# Kumba Iron Ore, Ltd. 677,648 13,037,639 0.1%
Lewis Group, Ltd. 1,795,179 3,450,130 0.0%
Liberty Holdings, Ltd. 1,721,995 13,536,859 0.1%
Merafe Resources, Ltd. 24,698,057 3,109,925 0.0%
Metair Investments, Ltd. 1,477,712 1,985,419 0.0%
MMI Holdings, Ltd. 17,679,587 23,490,357 0.1%
Mpact, Ltd. 2,726,445 4,985,092 0.0%
MTN Group, Ltd. 16,070,670 139,543,349 0.7%
Murray & Roberts Holdings, Ltd. 6,953,858 7,876,178 0.0%
* Nampak, Ltd. 4,024,193 5,297,561 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SOUTH AFRICA -- (Continued)
# Nedbank Group, Ltd. 3,003,198 $ 44,011,183 0.2%
Novus Holdings, Ltd. 24,983 12,402 0.0%
Omnia Holdings, Ltd. 631,666 6,516,598 0.0%
Peregrine Holdings, Ltd. 979,249 1,963,973 0.0%
#* PPC, Ltd. 3,590,145 1,873,277 0.0%
Raubex Group, Ltd. 2,163,575 3,107,463 0.0%
RCL Foods, Ltd. 101,638 107,887 0.0%
Reunert, Ltd. 674,555 3,316,857 0.0%
* Royal Bafokeng Platinum, Ltd. 469,845 1,083,226 0.0%
Sappi, Ltd. 7,529,980 50,424,547 0.3%
Sasol, Ltd. 4,145,981 121,136,352 0.6%
Sasol, Ltd. Sponsored ADR 1,735,363 50,516,417 0.3%
Sibanye-Sillwater 4,052,195 5,246,115 0.0%
# Sibanye-Sillwater Sponsored ADR 2,402,461 12,324,625 0.1%
Standard Bank Group, Ltd. 16,807,621 195,176,437 1.0%
* Stefanutti Stocks Holdings, Ltd. 526,548 108,065 0.0%
# Steinhoff International Holdings NV 23,998,309 104,178,800 0.5%
* Super Group, Ltd. 4,457,294 12,598,763 0.1%
Telkom SA SOC, Ltd. 5,017,373 18,792,731 0.1%
Tongaat Hulett, Ltd. 1,511,221 12,312,171 0.1%
# Trencor, Ltd. 1,552,783 4,836,198 0.0%
Tsogo Sun Holdings, Ltd. 735,058 1,080,036 0.0%
Wilson Bayly Holmes-Ovcon, Ltd. 515,024 5,513,442 0.0%
-------------- ---
TOTAL SOUTH AFRICA 1,272,327,487 6.5%
-------------- ---
SOUTH KOREA -- (16.9%)
#* Ace Technologies Corp. 237,396 793,370 0.0%
AJ Networks Co., Ltd. 6,134 40,126 0.0%
#* AJ Rent A Car Co., Ltd. 212,132 2,455,619 0.0%
#* Ajin Industrial Co., Ltd. 29,353 165,173 0.0%
* APS Holdings Corp. 28,103 250,536 0.0%
# Asia Cement Co., Ltd. 16,176 1,246,773 0.0%
# ASIA Holdings Co., Ltd. 20,708 2,125,600 0.0%
# Asia Paper Manufacturing Co., Ltd. 71,806 1,249,496 0.0%
* Asiana Airlines, Inc. 1,099,873 4,546,388 0.0%
#* AUK Corp. 396,786 971,136 0.0%
# Austem Co., Ltd. 233,223 1,075,014 0.0%
Autech Corp. 5,279 44,157 0.0%
# Avaco Co., Ltd. 73,660 455,075 0.0%
Bluecom Co., Ltd. 72,667 485,042 0.0%
BNK Financial Group, Inc. 3,089,635 27,413,424 0.2%
* Bohae Brewery Co., Ltd. 28,463 26,565 0.0%
# Bookook Securities Co., Ltd. 30,913 759,640 0.0%
* Bubang Co., Ltd. 6,672 19,454 0.0%
# BYC Co., Ltd. 752 214,888 0.0%
Byucksan Corp. 264,421 804,558 0.0%
#* Capro Corp. 87,634 645,941 0.0%
* Chemtronics Co., Ltd. 2,758 16,067 0.0%
* China Great Star International, Ltd. 502,390 477,599 0.0%
Chinyang Holdings Corp. 96,249 267,262 0.0%
# Chokwang Paint, Ltd. 80,857 761,354 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SOUTH KOREA -- (Continued)
Chongkundang Holdings Corp. 5,257 $ 323,162 0.0%
Chosun Refractories Co., Ltd. 9,716 753,897 0.0%
CJ Hellovision Co., Ltd. 256,919 1,676,754 0.0%
CJ O Shopping Co., Ltd. 3,953 698,069 0.0%
# CKD Bio Corp. 22,971 447,422 0.0%
# Cosmax BTI, Inc. 20,454 677,114 0.0%
# CROWNHAITAI Holdings Co., Ltd. 8,941 142,641 0.0%
# Dae Dong Industrial Co., Ltd. 160,688 1,088,939 0.0%
Dae Han Flour Mills Co., Ltd. 14,612 2,211,072 0.0%
Dae Hyun Co., Ltd. 338,986 861,258 0.0%
# Dae Won Kang Up Co., Ltd. 258,207 939,990 0.0%
#* Dae Young Packaging Co., Ltd. 1,221,445 954,210 0.0%
# Dae-Il Corp. 71,782 606,012 0.0%
#* Daechang Co., Ltd. 656,070 598,105 0.0%
Daechang Forging Co., Ltd. 3,535 193,904 0.0%
Daeduck Electronics Co. 361,983 3,316,081 0.0%
# Daeduck GDS Co., Ltd. 276,425 4,348,118 0.0%
# Daegu Department Store 71,060 776,953 0.0%
# Daehan Steel Co., Ltd. 227,655 2,247,317 0.0%
Daekyo Co., Ltd. 184,455 1,351,849 0.0%
Daelim B&Co Co., Ltd. 17,858 107,547 0.0%
Daelim C&S Co., Ltd. 10,158 133,329 0.0%
Daelim Industrial Co., Ltd. 324,018 24,148,838 0.1%
Daesang Corp. 202,772 4,312,693 0.0%
# Daesang Holdings Co., Ltd. 171,184 1,508,243 0.0%
# Daesung Holdings Co., Ltd. 42,463 320,680 0.0%
Daewon San Up Co., Ltd. 43,799 292,046 0.0%
* Daewoo Engineering & Construction Co., Ltd. 264,196 1,735,964 0.0%
* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 49,100 804,200 0.0%
* Dahaam E-Tec Co., Ltd. 3,535 10,649 0.0%
Daishin Securities Co., Ltd. 617,189 7,445,635 0.1%
# Daou Data Corp. 57,164 552,072 0.0%
# Daou Technology, Inc. 400,563 6,571,885 0.1%
#* Dasan Networks, Inc. 134,840 698,909 0.0%
Dayou Automotive Seat Technology Co., Ltd. 89,977 92,024 0.0%
* Dayou Plus Co., Ltd. 51,812 33,823 0.0%
DCM Corp. 5,497 62,317 0.0%
DGB Financial Group, Inc. 1,725,819 16,096,849 0.1%
# Display Tech Co., Ltd. 43,544 152,628 0.0%
Dong Ah Tire & Rubber Co., Ltd. 114,363 2,490,701 0.0%
# Dong-A Socio Holdings Co., Ltd. 5,512 601,023 0.0%
# Dong-Ah Geological Engineering Co., Ltd. 147,896 1,722,623 0.0%
Dong-Il Corp. 18,581 922,803 0.0%
# Dongbang Transport Logistics Co., Ltd. 302,271 476,026 0.0%
* DONGBU Co., Ltd. 496,039 347,692 0.0%
* Dongbu Corp. 2,090 21,638 0.0%
* Dongbu Securities Co., Ltd. 426,397 1,330,119 0.0%
# Dongil Industries Co., Ltd. 19,362 1,097,677 0.0%
* Dongkook Industrial Co., Ltd. 445,064 499,189 0.0%
Dongkuk Industries Co., Ltd. 398,112 1,493,804 0.0%
Dongkuk Steel Mill Co., Ltd. 1,053,070 10,218,387 0.1%
DONGSUNG Corp. 221,292 1,130,149 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
Dongwha Enterprise Co., Ltd. 6,886 $ 218,494 0.0%
# Dongwha Pharm Co., Ltd. 80,144 632,627 0.0%
Dongwon Development Co., Ltd. 347,547 1,758,933 0.0%
Dongwon Industries Co., Ltd. 1,010 257,442 0.0%
#* Dongwoo Farm To Table Co., Ltd. 14,971 55,220 0.0%
# Dongyang E&P, Inc. 35,199 380,066 0.0%
Doosan Corp. 109,063 13,059,729 0.1%
* Doosan Engine Co., Ltd. 161,211 607,803 0.0%
# Doosan Heavy Industries & Construction Co., Ltd. 720,354 11,271,537 0.1%
#* Doosan Infracore Co., Ltd. 2,476,230 20,460,539 0.1%
# DRB Holding Co., Ltd. 121,656 920,173 0.0%
DY Corp. 249,776 1,702,108 0.0%
e-LITECOM Co., Ltd. 87,616 557,747 0.0%
E-MART, Inc. 218,300 43,699,129 0.2%
# Eagon Industrial, Ltd. 74,065 533,594 0.0%
Easy Bio, Inc. 321,794 1,784,573 0.0%
# Elentec Co., Ltd. 167,314 639,565 0.0%
# Eugene Corp. 881,606 4,278,028 0.0%
#* Eugene Investment & Securities Co., Ltd. 1,113,895 2,957,134 0.0%
Eusu Holdings Co., Ltd. 61,491 355,619 0.0%
# EVERDIGM Corp. 28,689 265,184 0.0%
#* FarmStory Co., Ltd. 501,701 576,050 0.0%
Feelux Co., Ltd. 28,046 72,431 0.0%
Fila Korea, Ltd. 3,853 232,846 0.0%
# Fine Technix Co., Ltd. 194,816 480,194 0.0%
Fursys, Inc. 28,479 856,532 0.0%
# Gaon Cable Co., Ltd. 28,266 598,010 0.0%
#* Global Display Co., Ltd. 32,534 74,631 0.0%
# GMB Korea Corp. 15,077 100,777 0.0%
# GOLFZONNEWDIN Co., Ltd. 248,196 1,169,727 0.0%
#* GS Engineering & Construction Corp. 587,759 13,649,295 0.1%
#* GS Global Corp. 832,882 2,323,278 0.0%
GS Holdings Corp. 714,906 42,329,744 0.2%
Gwangju Shinsegae Co., Ltd. 6,147 1,313,792 0.0%
* Halla Corp. 156,291 576,491 0.0%
Halla Holdings Corp. 116,348 7,038,294 0.1%
Han Kuk Carbon Co., Ltd. 231,961 1,214,007 0.0%
Hana Financial Group, Inc. 3,054,677 130,736,577 0.7%
#* Hana Micron, Inc. 122,707 555,989 0.0%
Handsome Co., Ltd. 135,984 3,642,405 0.0%
Hanil Cement Co., Ltd. 56,106 6,716,463 0.1%
#* Hanjin Heavy Industries & Construction Co., Ltd. 571,915 1,950,794 0.0%
* Hanjin Heavy Industries & Construction Holdings Co., Ltd. 186,144 787,530 0.0%
* Hanjin Kal Corp. 388,211 7,503,172 0.1%
# Hanjin Transportation Co., Ltd. 131,754 3,377,018 0.0%
Hankook Tire Co., Ltd. 37,562 1,812,954 0.0%
# Hankuk Glass Industries, Inc. 17,640 488,894 0.0%
# Hankuk Paper Manufacturing Co., Ltd. 38,692 913,555 0.0%
HanmiGlobal Co., Ltd. 13,645 116,843 0.0%
# Hanshin Construction 59,082 846,590 0.0%
#* Hansol Holdings Co., Ltd. 640,929 3,543,090 0.0%
#* Hansol HomeDeco Co., Ltd. 1,150,526 1,509,419 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# Hansol Paper Co., Ltd. 178,393 $ 2,620,146 0.0%
Hanwha Chemical Corp. 1,784,550 48,611,717 0.3%
Hanwha Corp. 799,678 31,908,273 0.2%
#* Hanwha Galleria Timeworld Co., Ltd. 2,375 76,237 0.0%
Hanwha General Insurance Co., Ltd. 362,033 2,637,971 0.0%
#* Hanwha Investment & Securities Co., Ltd. 992,208 2,564,601 0.0%
Hanwha Life Insurance Co., Ltd. 3,173,440 22,422,280 0.1%
#* Hanwha Techwin Co.,Ltd. 204,078 6,995,208 0.1%
# Hanyang Securities Co., Ltd. 97,444 705,194 0.0%
# Harim Co., Ltd. 17,163 53,878 0.0%
# Harim Holdings Co., Ltd. 280,830 951,688 0.0%
# Heung-A Shipping Co., Ltd. 2,252,941 2,523,157 0.0%
#* Heungkuk Fire & Marine Insurance Co., Ltd. 53,448 294,660 0.0%
Hitejinro Holdings Co., Ltd. 120,661 1,169,227 0.0%
# HMC Investment Securities Co., Ltd. 262,724 2,735,999 0.0%
# HS R&A Co., Ltd. 510,664 1,073,826 0.0%
# Humax Co., Ltd. 224,139 1,886,101 0.0%
# Huons Global Co., Ltd. 24,120 913,377 0.0%
# Huvis Corp. 110,534 769,532 0.0%
# Hwa Shin Co., Ltd. 247,915 1,105,234 0.0%
# Hwacheon Machine Tool Co., Ltd. 14,514 672,633 0.0%
Hwangkum Steel & Technology Co., Ltd. 95,104 808,454 0.0%
HwaSung Industrial Co., Ltd. 105,670 1,428,750 0.0%
# Hy-Lok Corp. 39,077 862,337 0.0%
# Hyundai BNG Steel Co., Ltd. 165,551 1,842,149 0.0%
#* Hyundai Construction Equipment Co., Ltd. 1,831 612,426 0.0%
# Hyundai Corp Holdings Inc. 16,233 211,072 0.0%
Hyundai Corp. 98,959 1,952,065 0.0%
Hyundai Department Store Co., Ltd. 198,364 16,199,417 0.1%
Hyundai Development Co-Engineering & Construction 84,573 3,030,284 0.0%
#* Hyundai Electric & Energy System Co., Ltd. 4,000 843,135 0.0%
Hyundai Engineering & Construction Co., Ltd. 965,642 32,666,819 0.2%
Hyundai Engineering Plastics Co., Ltd. 66,962 433,423 0.0%
# Hyundai Greenfood Co., Ltd. 274,621 3,920,206 0.0%
* Hyundai Heavy Industries Co., Ltd. 66,829 9,347,145 0.1%
Hyundai Home Shopping Network Corp. 27,751 3,024,311 0.0%
Hyundai Hy Communications & Networks Co., Ltd. 359,916 1,172,562 0.0%
#* Hyundai Mipo Dockyard Co., Ltd. 132,218 12,823,939 0.1%
Hyundai Mobis Co., Ltd. 626,470 149,072,036 0.8%
Hyundai Motor Co. 1,779,390 255,994,819 1.3%
* Hyundai Robotics Co., Ltd. 129,701 52,339,945 0.3%
* Hyundai Rotem Co., Ltd. 37,925 664,375 0.0%
Hyundai Steel Co. 1,208,457 62,108,892 0.3%
# Hyundai Wia Corp. 216,602 12,482,166 0.1%
# Ilji Technology Co., Ltd. 16,833 67,587 0.0%
# Iljin Electric Co., Ltd. 254,612 1,045,131 0.0%
Iljin Holdings Co., Ltd. 11,969 55,502 0.0%
# Ilshin Spinning Co., Ltd. 18,983 2,034,335 0.0%
# Ilsung Pharmaceuticals Co., Ltd. 9,407 1,155,123 0.0%
iMarketKorea, Inc. 88,170 754,355 0.0%
Industrial Bank of Korea 2,438,696 33,413,193 0.2%
* InnoWireless, Inc. 1,805 19,581 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# Intergis Co., Ltd. 49,180 $ 131,370 0.0%
Interpark Holdings Corp. 464,572 1,736,026 0.0%
INTOPS Co., Ltd. 179,814 1,687,083 0.0%
# Inzi Controls Co., Ltd. 89,540 482,572 0.0%
# INZI Display Co., Ltd. 244,705 441,336 0.0%
IS Dongseo Co., Ltd. 15,881 490,038 0.0%
# ISU Chemical Co., Ltd. 198,380 3,038,621 0.0%
# IsuPetasys Co., Ltd. 353,456 1,397,460 0.0%
Jahwa Electronics Co., Ltd. 41,865 796,750 0.0%
JB Financial Group Co., Ltd. 1,189,093 6,251,131 0.1%
Kangnam Jevisco Co., Ltd. 41,716 1,359,221 0.0%
KAON Media Co., Ltd. 3,470 29,981 0.0%
KB Financial Group, Inc. 483,937 25,302,309 0.2%
# KB Financial Group, Inc. ADR 2,889,524 151,728,905 0.8%
# KC Green Holdings Co., Ltd. 61,539 287,633 0.0%
# KCC Corp. 60,607 21,119,107 0.1%
KCC Engineering & Construction Co., Ltd. 30,139 227,651 0.0%
#* KEC Corp. 509,327 602,587 0.0%
# Keyang Electric Machinery Co., Ltd. 217,110 881,152 0.0%
# KG Chemical Corp. 93,477 1,360,506 0.0%
# KG Eco Technology Service Co., Ltd. 301,386 1,073,800 0.0%
# KGMobilians Co., Ltd. 78,356 483,695 0.0%
# KH Vatec Co., Ltd. 153,792 1,559,417 0.0%
Kia Motors Corp. 3,544,702 112,199,131 0.6%
KISCO Corp. 69,721 2,357,457 0.0%
# KISCO Holdings Co., Ltd. 12,649 902,462 0.0%
# Kishin Corp. 107,298 471,795 0.0%
KISWIRE, Ltd. 89,965 2,828,431 0.0%
KIWOOM Securities Co., Ltd. 2,856 182,867 0.0%
* KleanNara Co., Ltd. 110,992 425,883 0.0%
* KMH Co., Ltd. 51,803 432,322 0.0%
Kodaco Co., Ltd. 23,489 64,327 0.0%
Kolao Holdings 162,310 724,159 0.0%
# Kolon Corp. 3,481 239,216 0.0%
Kolon Global Corp. 15,746 137,788 0.0%
# Kolon Industries, Inc. 282,187 19,086,575 0.1%
# Komelon Corp. 33,167 288,538 0.0%
* KONA I Co., Ltd. 2,101 19,909 0.0%
# Kook Soon Dang Brewery Co., Ltd. 112,565 615,960 0.0%
# Korea Alcohol Industrial Co., Ltd. 100,980 734,293 0.0%
Korea Cast Iron Pipe Industries Co., Ltd. 6,205 55,708 0.0%
# Korea Circuit Co., Ltd. 151,297 2,251,716 0.0%
Korea Electric Terminal Co., Ltd. 7,650 478,427 0.0%
Korea Export Packaging Industrial Co., Ltd. 5,290 74,627 0.0%
# Korea Flange Co., Ltd. 67,906 645,840 0.0%
Korea Investment Holdings Co., Ltd. 470,340 26,624,875 0.2%
* Korea Line Corp. 3,927 114,920 0.0%
Korea Petrochemical Ind Co., Ltd. 300 67,064 0.0%
* Korean Air Lines Co., Ltd. 121,126 3,428,895 0.0%
Korean Reinsurance Co. 986,239 9,860,551 0.1%
Kortek Corp. 127,952 1,657,479 0.0%
# KPX Chemical Co., Ltd. 19,742 1,326,772 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
KSS LINE, Ltd. 111,744 $ 970,092 0.0%
KT Submarine Co., Ltd. 22,384 91,436 0.0%
* KTB Investment & Securities Co., Ltd. 723,978 2,236,419 0.0%
KTCS Corp. 285,608 613,242 0.0%
Ktis Corp. 98,526 269,465 0.0%
# Kukdo Chemical Co., Ltd. 57,511 3,026,018 0.0%
Kukdong Oil & Chemicals Co., Ltd. 26,930 76,675 0.0%
#* Kumho Electric Co., Ltd. 44,161 320,190 0.0%
# Kumho Industrial Co., Ltd. 12,566 108,449 0.0%
#* Kumho Tire Co., Inc. 677,297 3,964,876 0.0%
Kumkang Kind Co., Ltd. 9,649 264,316 0.0%
Kwang Dong Pharmaceutical Co., Ltd. 32,278 233,366 0.0%
Kwangju Bank Co., Ltd. 218,721 2,303,517 0.0%
#* Kyeryong Construction Industrial Co., Ltd. 39,360 628,836 0.0%
Kyobo Securities Co., Ltd. 276,707 2,250,848 0.0%
# Kyung-In Synthetic Corp. 145,273 616,922 0.0%
# Kyungbang, Ltd. 147,608 1,918,509 0.0%
# Kyungchang Industrial Co., Ltd. 28,508 105,336 0.0%
# LEADCORP, Inc. (The) 163,684 976,213 0.0%
Lee Ku Industrial Co., Ltd. 79,592 163,955 0.0%
LF Corp. 271,845 6,265,383 0.1%
LG Corp. 770,618 59,252,637 0.3%
# LG Display Co., Ltd. 1,493,377 39,067,594 0.2%
# LG Display Co., Ltd. ADR 4,048,932 52,595,627 0.3%
# LG Electronics, Inc. 1,692,217 137,757,291 0.7%
LG Hausys, Ltd. 66,810 5,425,006 0.0%
LG International Corp. 310,174 8,049,879 0.1%
LG Uplus Corp. 906,497 10,408,986 0.1%
# LMS Co., Ltd. 45,792 415,228 0.0%
Lotte Chilsung Beverage Co., Ltd. 65 80,342 0.0%
* Lotte Confectionery Co., Ltd. 54 8,899 0.0%
Lotte Corp. 145,169 9,665,764 0.1%
LOTTE Fine Chemical Co., Ltd. 118,061 4,246,938 0.0%
Lotte Food Co., Ltd. 1,329 710,568 0.0%
LOTTE Himart Co., Ltd. 116,741 7,727,803 0.1%
# Lotte Non-Life Insurance Co., Ltd. 600,439 1,773,247 0.0%
Lotte Shopping Co., Ltd. 110,124 22,132,565 0.1%
LS Corp. 191,625 13,530,263 0.1%
* Lumens Co., Ltd. 399,034 1,288,205 0.0%
MegaStudy Co., Ltd. 8,592 238,846 0.0%
MegaStudyEdu Co., Ltd. 2,475 90,924 0.0%
* Melfas, Inc. 10,068 33,585 0.0%
Meritz Financial Group, Inc. 61,217 891,441 0.0%
Meritz Securities Co., Ltd. 115,713 461,045 0.0%
Mi Chang Oil Industrial Co., Ltd. 6,317 491,349 0.0%
# Mirae Asset Daewoo Co., Ltd. 2,750,009 24,955,378 0.1%
Mirae Asset Life Insurance Co., Ltd. 583,539 3,050,420 0.0%
# MK Electron Co., Ltd. 206,303 2,038,820 0.0%
#* MNTech Co., Ltd. 271,879 1,192,978 0.0%
Mobase Co., Ltd. 100,149 630,934 0.0%
# Moorim P&P Co., Ltd. 336,041 1,260,332 0.0%
#* Moorim Paper Co., Ltd. 210,130 469,359 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# Motonic Corp. 90,580 $ 746,768 0.0%
Muhak Co., Ltd. 18,261 296,326 0.0%
* Namsun Aluminum Co., Ltd. 686,526 674,646 0.0%
Namyang Dairy Products Co., Ltd. 4,087 2,395,616 0.0%
#* Neowiz 44,731 467,890 0.0%
* NEOWIZ HOLDINGS Corp. 76,012 895,895 0.0%
# Nexen Corp. 222,004 1,615,546 0.0%
Nexen Tire Corp. 102,318 1,174,186 0.0%
NH Investment & Securities Co., Ltd. 1,704,238 21,403,565 0.1%
* NHN Entertainment Corp. 89,316 5,474,906 0.0%
# Nong Shim Holdings Co., Ltd. 26,369 2,696,757 0.0%
NongShim Co., Ltd. 19,522 6,062,296 0.1%
NOROO Paint & Coatings Co., Ltd. 101,901 824,399 0.0%
# NPC 116,690 627,583 0.0%
# OCI Co., Ltd. 224,722 22,703,523 0.1%
Opto Device Technology Co., Ltd. 40,255 253,531 0.0%
#* Paik Kwang Industrial Co., Ltd. 23,328 56,693 0.0%
* Pan Ocean Co., Ltd. 1,075,661 5,052,980 0.0%
Pang Rim Co., Ltd. 3,201 57,744 0.0%
#* PaperCorea, Inc. 34,086 61,483 0.0%
# Poongsan Corp. 350,209 15,359,364 0.1%
Poongsan Holdings Corp. 61,601 2,987,057 0.0%
POSCO 622,870 181,557,522 0.9%
POSCO Sponsored ADR 1,500,406 109,499,630 0.6%
POSCO Coated & Color Steel Co., Ltd. 31,646 791,748 0.0%
Posco Daewoo Corp. 417,495 7,243,311 0.1%
#* Power Logics Co., Ltd. 285,879 1,266,534 0.0%
# Pyeong Hwa Automotive Co., Ltd. 202,264 2,069,389 0.0%
#* RFTech Co., Ltd. 180,410 845,038 0.0%
* S&T Dynamics Co., Ltd. 365,883 2,734,589 0.0%
# S&T Holdings Co., Ltd. 113,868 1,682,029 0.0%
S&T Motiv Co., Ltd. 44,437 1,811,383 0.0%
# S-Energy Co., Ltd. 28,801 192,845 0.0%
Sajo Industries Co., Ltd. 33,796 2,206,788 0.0%
Sam Young Electronics Co., Ltd. 167,169 2,030,302 0.0%
# Sambo Motors Co., Ltd. 14,459 70,301 0.0%
Samho Development Co., Ltd. 180,616 685,217 0.0%
* Samho International Co., Ltd. 5,198 75,784 0.0%
# SAMHWA Paints Industrial Co., Ltd. 91,345 629,445 0.0%
# Samick Musical Instruments Co., Ltd. 423,017 738,987 0.0%
#* Samji Electronics Co., Ltd. 106,216 731,227 0.0%
#* Samjin LND Co., Ltd. 92,054 214,567 0.0%
Samkee Automotive Co., Ltd. 78,254 248,993 0.0%
Samkwang Glass 3,085 138,814 0.0%
Sammok S-Form Co., Ltd. 108,827 1,267,775 0.0%
* SAMPYO Cement Co., Ltd. 100,012 277,660 0.0%
Samsung Card Co., Ltd. 243,496 7,978,395 0.1%
Samsung Fire & Marine Insurance Co., Ltd. 17,422 4,251,178 0.0%
#* Samsung Heavy Industries Co., Ltd. 2,756,952 29,056,636 0.2%
Samsung Life Insurance Co., Ltd. 607,230 73,210,280 0.4%
Samsung SDI Co., Ltd. 402,146 74,094,763 0.4%
Samsung Securities Co., Ltd. 581,556 18,497,563 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# Samyang Corp. 27,078 $ 2,344,582 0.0%
Samyang Holdings Corp. 52,762 4,257,896 0.0%
Samyang Tongsang Co., Ltd. 20,565 805,284 0.0%
* Samyoung Chemical Co., Ltd. 258,455 263,199 0.0%
# SAVEZONE I&C Corp. 90,870 417,626 0.0%
SBS Media Holdings Co., Ltd. 488,064 1,322,624 0.0%
Seah Besteel Corp. 224,325 6,369,172 0.1%
# SeAH Holdings Corp. 12,963 1,821,744 0.0%
SeAH Steel Corp. 56,393 4,625,620 0.0%
Sebang Co., Ltd. 153,120 1,859,103 0.0%
Sebang Global Battery Co., Ltd. 83,910 2,536,231 0.0%
Sebo Manufacturing Engineer Corp. 1,816 17,531 0.0%
# Sejong Industrial Co., Ltd. 165,414 1,149,352 0.0%
# Sejoong Co., Ltd. 74,223 227,029 0.0%
Sekonix Co., Ltd. 16,980 203,331 0.0%
Seohan Co., Ltd. 136,134 261,396 0.0%
Seohee Construction Co., Ltd. 2,349,665 2,320,109 0.0%
Seoyon Co., Ltd. 131,812 944,062 0.0%
Seoyon E-Hwa Co., Ltd. 26,796 287,354 0.0%
Sewon Precision Industry Co., Ltd. 3,019 46,061 0.0%
#* SG Corp. 59,208 52,373 0.0%
#* SG&G Corp. 410,142 1,110,926 0.0%
Shinhan Financial Group Co., Ltd. 3,697,574 166,088,332 0.9%
# Shinhan Financial Group Co., Ltd. ADR 1,508,501 68,289,840 0.4%
Shinsegae Engineering & Construction Co., Ltd. 6,127 153,949 0.0%
# Shinsegae Information & Communication Co., Ltd. 13,644 938,295 0.0%
Shinsegae International, Inc. 1,892 104,425 0.0%
# Shinsegae, Inc. 109,224 22,328,355 0.1%
#* Shinsung Tongsang Co., Ltd. 920,641 806,758 0.0%
# Shinwha Intertek Corp. 115,964 275,333 0.0%
#* Shinwon Corp. 181,086 312,967 0.0%
Shinyoung Securities Co., Ltd. 44,009 2,334,272 0.0%
#* Signetics Corp. 784,046 994,188 0.0%
# Silla Co., Ltd. 65,927 903,553 0.0%
#* SIMMTECH HOLDINGS Co., Ltd. 3,959 9,552 0.0%
SIMPAC, Inc. 73,823 286,758 0.0%
Sindoh Co., Ltd. 58,026 3,263,958 0.0%
SJM Co., Ltd. 11,075 51,713 0.0%
# SK Chemicals Co., Ltd. 183,940 12,145,133 0.1%
# SK Gas, Ltd. 57,310 4,787,460 0.0%
SK Innovation Co., Ltd. 879,496 161,335,394 0.8%
SK Networks Co., Ltd. 1,836,089 10,909,816 0.1%
#* SK Securities Co., Ltd. 2,262,158 2,516,078 0.0%
SKC Co., Ltd. 303,426 10,779,577 0.1%
SL Corp. 267,832 5,488,211 0.0%
Ssangyong Cement Industrial Co., Ltd. 317,964 4,600,108 0.0%
* Ssangyong Motor Co. 135,978 638,809 0.0%
# Sun Kwang Co., Ltd. 27,066 483,311 0.0%
# Sunchang Corp. 54,825 389,943 0.0%
# Sung Kwang Bend Co., Ltd. 156,885 1,391,684 0.0%
# Sungchang Enterprise Holdings, Ltd. 326,002 799,080 0.0%
# Sungdo Engineering & Construction Co., Ltd. 136,143 803,771 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
SOUTH KOREA -- (Continued)
#* Sungshin Cement Co., Ltd. 274,430 $ 1,313,741 0.0%
Sungwoo Hitech Co., Ltd. 539,442 3,231,840 0.0%
# Tae Kyung Industrial Co., Ltd. 120,772 558,233 0.0%
Taekwang Industrial Co., Ltd. 5,129 5,224,276 0.0%
#* Taewoong Co., Ltd. 117,534 1,876,809 0.0%
* Taeyoung Engineering & Construction Co., Ltd. 608,502 4,662,699 0.0%
Tailim Packaging Co., Ltd. 26,989 55,406 0.0%
* TBH Global Co., Ltd. 191,949 1,507,949 0.0%
#* Thinkware Systems Corp. 74,264 693,448 0.0%
#* TK Chemical Corp. 661,683 1,198,186 0.0%
TK Corp. 115,733 1,038,760 0.0%
# Tong Yang Moolsan Co., Ltd. 435,710 675,010 0.0%
Tongyang Life Insurance Co., Ltd. 562,313 4,442,634 0.0%
Tongyang pile, Inc. 11,171 54,348 0.0%
Tongyang, Inc. 358,717 624,724 0.0%
# Top Engineering Co., Ltd. 133,135 828,660 0.0%
Tovis Co., Ltd. 122,385 885,419 0.0%
# TS Corp. 71,881 1,668,887 0.0%
# Ubiquoss Holdings, Inc. 92,075 566,557 0.0%
* Ubiquoss, Inc. 738 10,851 0.0%
UIL Co., Ltd. 71,884 473,130 0.0%
Uju Electronics Co., Ltd. 57,585 717,672 0.0%
Unid Co., Ltd. 75,492 3,119,533 0.0%
# Uniquest Corp. 20,797 132,381 0.0%
Visang Education, Inc. 41,698 439,546 0.0%
#* WillBes & Co. (The) 913,044 1,413,149 0.0%
# Wiscom Co., Ltd. 32,980 124,944 0.0%
* Wonik Holdings Co., Ltd. 139,712 943,889 0.0%
* Woongjin Co., Ltd. 243,455 502,954 0.0%
* Woongjin Thinkbig Co., Ltd. 79,599 491,767 0.0%
Woori Bank 2,521,985 36,907,229 0.2%
# Woori Bank Sponsored ADR 7,135 313,227 0.0%
# Wooshin Systems Co., Ltd. 26,128 201,625 0.0%
# WooSung Feed Co., Ltd. 255,261 710,862 0.0%
# Y G-1 Co., Ltd. 99,506 1,244,333 0.0%
YESCO Co., Ltd. 32,554 1,104,004 0.0%
# Yoosung Enterprise Co., Ltd. 194,315 644,400 0.0%
# YooSung T&S Co., Ltd. 196,580 744,671 0.0%
Youlchon Chemical Co., Ltd. 155,731 2,315,014 0.0%
Young Poong Corp. 4,017 3,997,411 0.0%
Young Poong Precision Corp. 130,166 1,054,588 0.0%
# Youngone Corp. 25,981 798,517 0.0%
Youngone Holdings Co., Ltd. 10,026 501,189 0.0%
#* Yuanta Securities Korea Co., Ltd. 556,284 1,678,825 0.0%
# YuHwa Securities Co., Ltd. 29,804 469,804 0.0%
# Zeus Co., Ltd. 55,149 825,423 0.0%
-------------- ----
TOTAL SOUTH KOREA 3,374,076,248 17.2%
-------------- ----
TAIWAN -- (16.1%)
# Ability Enterprise Co., Ltd. 2,861,330 1,991,994 0.0%
# AcBel Polytech, Inc. 941,000 716,381 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
# Acer, Inc. 30,455,109 $15,759,803 0.1%
# ACES Electronic Co., Ltd. 1,304,000 1,178,299 0.0%
# Advanced Connectek, Inc. 2,107,000 642,947 0.0%
Advanced International Multitech Co., Ltd. 384,000 476,184 0.0%
# Advanced Optoelectronic Technology, Inc. 216,000 252,400 0.0%
Advancetek Enterprise Co., Ltd. 106,639 64,340 0.0%
#* AGV Products Corp. 6,174,211 1,541,859 0.0%
# AimCore Technology Co., Ltd. 762,223 619,401 0.0%
Airmate Cayman International Co., Ltd. 26,000 24,374 0.0%
#* Alchip Technologies, Ltd. 102,000 396,936 0.0%
# Alcor Micro Corp. 522,000 382,732 0.0%
# Allis Electric Co., Ltd. 1,250,000 456,030 0.0%
# Alpha Networks, Inc. 4,590,313 3,568,026 0.0%
# Altek Corp. 3,407,365 3,297,302 0.0%
# Ambassador Hotel (The) 1,236,000 942,379 0.0%
Ampire Co., Ltd. 350,000 203,730 0.0%
# AMPOC Far-East Co., Ltd. 1,402,000 1,227,481 0.0%
# AmTRAN Technology Co., Ltd. 10,964,956 5,621,643 0.1%
# Apacer Technology, Inc. 384,210 502,742 0.0%
# APCB, Inc. 1,991,000 1,968,812 0.0%
# Apex International Co., Ltd. 1,054,263 746,508 0.0%
Apex Medical Corp. 15,000 15,303 0.0%
Apex Science & Engineering 211,536 59,413 0.0%
# Arcadyan Technology Corp. 1,941,675 3,057,481 0.0%
Ardentec Corp. 5,512,058 5,224,532 0.0%
Asia Cement Corp. 23,873,589 21,301,575 0.1%
* Asia Pacific Telecom Co., Ltd. 6,816,000 2,256,342 0.0%
Asia Plastic Recycling Holding, Ltd. 2,776,048 1,183,386 0.0%
# Asia Polymer Corp. 5,372,075 3,341,273 0.0%
# Asia Vital Components Co., Ltd. 4,376,984 4,153,990 0.0%
ASROCK, Inc. 113,000 307,127 0.0%
Asustek Computer, Inc. 2,633,000 22,802,019 0.1%
# AU Optronics Corp. 60,247,812 24,687,599 0.1%
# AU Optronics Corp. Sponsored ADR 9,234,402 37,953,392 0.2%
# Audix Corp. 1,338,332 1,982,077 0.0%
# Avermedia Technologies 2,630,000 1,138,746 0.0%
* Avision, Inc. 1,540,555 349,313 0.0%
# AVY Precision Technology, Inc. 606,959 998,944 0.0%
# Bank of Kaohsiung Co., Ltd. 6,299,617 1,930,160 0.0%
#* BenQ Materials Corp. 1,013,000 662,027 0.0%
# BES Engineering Corp. 20,381,443 4,673,425 0.0%
#* Biostar Microtech International Corp. 2,187,055 1,055,782 0.0%
# Boardtek Electronics Corp. 136,000 117,289 0.0%
# Bright Led Electronics Corp. 1,691,000 965,136 0.0%
# C Sun Manufacturing, Ltd. 1,803,837 1,715,973 0.0%
# Cameo Communications, Inc. 2,551,197 705,598 0.0%
# Capital Futures Corp. 174,000 268,309 0.0%
Capital Securities Corp. 27,099,447 9,394,291 0.1%
# Career Technology MFG. Co., Ltd. 3,498,000 4,080,733 0.0%
* Carnival Industrial Corp. 4,823,000 773,140 0.0%
# Casetek Holdings, Ltd. 1,759,000 6,596,076 0.1%
# Cathay Chemical Works 812,000 449,569 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
Cathay Financial Holding Co., Ltd. 47,762,000 $78,922,795 0.4%
Cathay Real Estate Development Co., Ltd. 9,867,694 5,514,868 0.0%
# Celxpert Energy Corp. 332,000 503,167 0.0%
# Central Reinsurance Co., Ltd. 1,626,016 846,697 0.0%
# Chain Chon Industrial Co., Ltd. 513,000 320,868 0.0%
ChainQui Construction Development Co., Ltd. 1,158,173 802,519 0.0%
* Champion Building Materials Co., Ltd. 5,918,828 1,509,380 0.0%
Chang Hwa Commercial Bank, Ltd. 92,745,383 50,284,850 0.3%
Chang Wah Electromaterials, Inc. 46,800 218,942 0.0%
# Channel Well Technology Co., Ltd. 651,000 738,677 0.0%
Charoen Pokphand Enterprise 977,825 2,066,045 0.0%
CHC Healthcare Group 274,000 339,044 0.0%
# Cheng Loong Corp. 12,510,659 7,325,077 0.1%
# Cheng Uei Precision Industry Co., Ltd. 6,662,635 10,841,693 0.1%
# Chenming Mold Industry Corp. 435,000 278,977 0.0%
# Chia Chang Co., Ltd. 1,615,000 1,286,526 0.0%
# Chia Hsin Cement Corp. 6,869,191 2,757,966 0.0%
Chien Kuo Construction Co., Ltd. 4,304,247 1,599,082 0.0%
#* Chimei Materials Technology Corp. 2,619,000 1,194,576 0.0%
Chin-Poon Industrial Co., Ltd. 2,610,815 5,448,871 0.0%
* China Airlines, Ltd. 48,091,353 19,618,552 0.1%
China Bills Finance Corp. 2,295,000 1,152,840 0.0%
# China Chemical & Pharmaceutical Co., Ltd. 4,190,264 2,487,225 0.0%
China Development Financial Holding Corp. 131,947,734 40,451,777 0.2%
#* China Electric Manufacturing Corp. 4,019,200 1,261,245 0.0%
China General Plastics Corp. 5,533,541 5,187,428 0.0%
# China Glaze Co., Ltd. 1,794,799 762,104 0.0%
China Life Insurance Co., Ltd. 13,687,085 12,888,583 0.1%
# China Man-Made Fiber Corp. 13,030,303 3,796,068 0.0%
# China Metal Products 4,364,969 4,014,942 0.0%
# China Motor Corp. 6,030,749 5,400,314 0.0%
#* China Petrochemical Development Corp. 29,095,397 12,984,636 0.1%
# China Steel Corp. 95,630,320 77,872,176 0.4%
# China Steel Structure Co., Ltd. 1,457,219 944,785 0.0%
China Synthetic Rubber Corp. 9,207,233 12,830,149 0.1%
China Wire & Cable Co., Ltd. 1,580,600 1,415,255 0.0%
# Chinese Maritime Transport, Ltd. 1,338,270 1,255,584 0.0%
Chipbond Technology Corp. 6,695,000 13,066,299 0.1%
# ChipMOS TECHNOLOGIES, Inc. 1,181,229 1,178,148 0.0%
# ChipMOS TECHNOLOGIES, Inc. ADR 37,146 742,920 0.0%
Chong Hong Construction Co., Ltd. 121,000 295,864 0.0%
# Chun YU Works & Co., Ltd. 3,273,000 1,551,432 0.0%
Chun Yuan Steel 6,542,287 2,452,185 0.0%
* Chung Hung Steel Corp. 5,577,000 2,137,695 0.0%
# Chung Hwa Pulp Corp. 6,040,353 2,144,411 0.0%
# Chung-Hsin Electric & Machinery Manufacturing Corp. 5,875,250 4,102,006 0.0%
* Chunghwa Picture Tubes, Ltd. 51,746,412 4,753,580 0.0%
Chyang Sheng Dyeing & Finishing Co., Ltd. 96,000 85,421 0.0%
Clevo Co. 1,405,000 1,445,880 0.0%
#* CMC Magnetics Corp. 31,911,621 4,734,377 0.0%
#* CoAsia Microelectronics Corp. 421,797 217,804 0.0%
Coland Holdings, Ltd. 116,000 133,311 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
Collins Co., Ltd. 2,011,224 $ 740,633 0.0%
Compal Electronics, Inc. 72,346,332 53,266,415 0.3%
Compeq Manufacturing Co., Ltd. 15,830,000 18,625,910 0.1%
Concord Securities Co., Ltd. 1,769,000 493,966 0.0%
# Continental Holdings Corp. 6,414,540 3,073,084 0.0%
# Contrel Technology Co., Ltd. 339,000 176,660 0.0%
Coretronic Corp. 6,522,800 7,811,730 0.1%
# Coxon Precise Industrial Co., Ltd. 2,026,000 1,811,120 0.0%
# Creative Sensor, Inc. 475,000 410,452 0.0%
#* CSBC Corp. Taiwan 6,395,654 2,735,652 0.0%
CTBC Financial Holding Co., Ltd. 133,426,073 85,427,628 0.5%
CviLux Corp. 70,000 76,273 0.0%
CX Technology Co., Ltd. 42,162 41,009 0.0%
Cyberlink Corp. 35,000 77,416 0.0%
CyberTAN Technology, Inc. 969,000 593,301 0.0%
# D-Link Corp. 10,457,552 3,924,272 0.0%
# DA CIN Construction Co., Ltd. 2,403,579 1,430,709 0.0%
Da-Li Development Co., Ltd. 91,077 101,181 0.0%
* Danen Technology Corp. 816,000 207,175 0.0%
# Darfon Electronics Corp. 3,762,950 3,308,238 0.0%
# Darwin Precisions Corp. 6,140,635 6,650,101 0.1%
# Delpha Construction Co., Ltd. 1,614,016 730,754 0.0%
# Depo Auto Parts Ind Co., Ltd. 268,000 716,386 0.0%
Dimerco Express Corp. 188,000 139,285 0.0%
#* Dynamic Electronics Co., Ltd. 4,422,324 1,716,645 0.0%
Dynapack International Technology Corp. 482,000 818,496 0.0%
E Ink Holdings, Inc. 6,622,000 9,249,570 0.1%
* E-Ton Solar Tech Co., Ltd. 3,546,443 1,161,770 0.0%
E.Sun Financial Holding Co., Ltd. 93,934,033 57,176,460 0.3%
# Edimax Technology Co., Ltd. 3,008,902 1,033,355 0.0%
#* Edison Opto Corp. 1,362,000 704,999 0.0%
# Edom Technology Co., Ltd. 731,046 380,789 0.0%
# Elite Semiconductor Memory Technology, Inc. 576,000 950,564 0.0%
#* Elitegroup Computer Systems Co., Ltd. 5,247,395 4,109,047 0.0%
Emerging Display Technologies Corp. 45,000 14,930 0.0%
ENG Electric Co., Ltd. 1,796,997 727,261 0.0%
# EnTie Commercial Bank Co., Ltd. 2,271,232 953,048 0.0%
#* Epistar Corp. 13,810,869 22,381,708 0.1%
# Eson Precision Ind. Co., Ltd. 327,000 579,915 0.0%
Eternal Materials Co., Ltd. 1,763,256 1,780,560 0.0%
* Etron Technology, Inc. 643,000 357,624 0.0%
Eva Airways Corp. 19,763,174 9,741,427 0.1%
# Everest Textile Co., Ltd. 3,689,802 1,804,769 0.0%
Evergreen International Storage & Transport Corp. 8,972,000 4,165,757 0.0%
* Evergreen Marine Corp. Taiwan, Ltd. 18,671,607 11,184,404 0.1%
# Everlight Chemical Industrial Corp. 484,950 303,982 0.0%
# Everlight Electronics Co., Ltd. 2,262,000 3,455,679 0.0%
# Excelsior Medical Co., Ltd. 1,478,726 2,204,138 0.0%
# EZconn Corp. 173,000 241,780 0.0%
Far Eastern Department Stores, Ltd. 9,572,445 4,714,894 0.0%
Far Eastern International Bank 30,027,089 9,321,664 0.1%
Far Eastern New Century Corp. 18,712,528 16,048,617 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
TAIWAN -- (Continued)
#* Farglory F T Z Investment Holding Co., Ltd. 1,258,000 $ 598,709 0.0%
Farglory Land Development Co., Ltd. 3,192,264 3,489,246 0.0%
# Federal Corp. 7,585,160 3,558,814 0.0%
Feng Hsin Steel Co., Ltd. 209,000 361,162 0.0%
* First Copper Technology Co., Ltd. 2,726,750 959,360 0.0%
First Financial Holding Co., Ltd. 146,060,158 94,231,411 0.5%
# First Hotel 1,722,157 888,013 0.0%
# First Insurance Co., Ltd. (The) 3,911,064 1,737,854 0.0%
* First Steamship Co., Ltd. 9,048,360 2,397,190 0.0%
# FocalTech Systems Co., Ltd. 874,000 941,756 0.0%
Forest Water Environment Engineering Co., Ltd. 32,000 62,866 0.0%
# Formosa Advanced Technologies Co., Ltd. 2,188,000 2,425,751 0.0%
Formosa Chemicals & Fibre Corp. 2,260,000 6,865,913 0.1%
Formosa Laboratories, Inc. 168,000 458,467 0.0%
Formosa Taffeta Co., Ltd. 8,831,511 9,064,069 0.1%
# Formosan Rubber Group, Inc. 6,066,957 2,988,259 0.0%
# Formosan Union Chemical 3,240,572 1,982,886 0.0%
# Fortune Electric Co., Ltd. 513,000 327,543 0.0%
# Founding Construction & Development Co., Ltd. 3,491,418 1,799,993 0.0%
Foxconn Technology Co., Ltd. 8,452,142 26,957,749 0.2%
# Foxlink Image Technology Co., Ltd. 1,568,000 1,047,801 0.0%
# Froch Enterprise Co., Ltd. 2,358,734 1,263,887 0.0%
# FSP Technology, Inc. 1,976,292 1,540,398 0.0%
# Fubon Financial Holding Co., Ltd. 88,710,471 141,378,692 0.7%
Fulgent Sun International Holding Co., Ltd. 41,922 106,088 0.0%
# Fullerton Technology Co., Ltd. 1,517,200 1,202,325 0.0%
# Fulltech Fiber Glass Corp. 5,152,690 2,717,752 0.0%
Fwusow Industry Co., Ltd. 2,842,119 1,653,470 0.0%
# G Shank Enterprise Co., Ltd. 2,144,902 1,867,185 0.0%
Gallant Precision Machining Co., Ltd. 858,000 678,573 0.0%
# Gemtek Technology Corp. 4,459,962 3,607,541 0.0%
* Genesis Photonics, Inc. 1,071,810 92,625 0.0%
Getac Technology Corp. 4,437,065 6,197,027 0.1%
# Giantplus Technology Co., Ltd. 3,199,100 2,484,417 0.0%
Gigabyte Technology Co., Ltd. 8,176,287 12,676,128 0.1%
#* Gigastorage Corp. 5,165,600 3,300,529 0.0%
#* Gintech Energy Corp. 8,128,044 5,100,168 0.0%
Global Brands Manufacture, Ltd. 4,691,951 2,164,239 0.0%
# Global Lighting Technologies, Inc. 1,009,000 1,459,792 0.0%
Global Mixed Mode Technology, Inc. 73,000 167,992 0.0%
Globe Union Industrial Corp. 3,254,625 2,176,604 0.0%
Gloria Material Technology Corp. 7,458,116 4,922,392 0.0%
#* Gold Circuit Electronics, Ltd. 6,858,965 2,344,696 0.0%
#* Goldsun Building Materials Co., Ltd. 18,172,261 5,437,794 0.0%
# Good Will Instrument Co., Ltd. 552,746 466,604 0.0%
Grand Ocean Retail Group, Ltd. 357,000 265,371 0.0%
# Grand Pacific Petrochemical 14,804,000 11,223,035 0.1%
# Great China Metal Industry 902,000 762,824 0.0%
# Great Wall Enterprise Co., Ltd. 6,865,597 7,808,574 0.1%
#* Green Energy Technology, Inc. 3,762,880 2,417,689 0.0%
# Green Seal Holding, Ltd. 769,000 1,825,848 0.0%
# GTM Holdings Corp. 1,899,000 1,080,674 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
# Hannstar Board Corp. 5,208,635 $ 3,154,725 0.0%
# HannStar Display Corp. 40,927,435 15,895,671 0.1%
* HannsTouch Solution, Inc. 3,013,481 1,055,076 0.0%
Hanpin Electron Co., Ltd. 237,000 245,338 0.0%
#* Harvatek Corp. 2,874,553 1,606,741 0.0%
# Hey Song Corp. 2,920,500 3,011,691 0.0%
# Highwealth Construction Corp. 1,650,000 2,207,419 0.0%
# Hiroca Holdings, Ltd. 838,000 3,211,442 0.0%
* HiTi Digital, Inc. 127,000 50,960 0.0%
# Hitron Technology, Inc. 2,134,885 1,551,979 0.0%
#* Ho Tung Chemical Corp. 12,183,475 3,681,772 0.0%
#* Hocheng Corp. 4,163,300 1,290,605 0.0%
Hold-Key Electric Wire & Cable Co., Ltd. 118,124 37,442 0.0%
Holy Stone Enterprise Co., Ltd. 2,141,055 3,191,048 0.0%
Hon Hai Precision Industry Co., Ltd. 25,539,240 94,927,894 0.5%
# Hong Pu Real Estate Development Co., Ltd. 3,669,655 2,465,223 0.0%
Hong TAI Electric Industrial 3,067,000 1,073,177 0.0%
Hong YI Fiber Industry Co. 638,000 473,064 0.0%
* Horizon Securities Co., Ltd. 5,718,000 1,483,662 0.0%
# Hsin Kuang Steel Co., Ltd. 3,124,124 3,115,334 0.0%
Hsing TA Cement Co. 1,771,542 740,113 0.0%
#* HTC Corp. 6,559,000 14,719,813 0.1%
* HUA ENG Wire & Cable Co., Ltd. 5,679,035 1,893,119 0.0%
Hua Nan Financial Holdings Co., Ltd. 62,273,363 34,080,014 0.2%
# Huaku Development Co., Ltd. 2,020,000 4,534,159 0.0%
# Huang Hsiang Construction Corp. 1,195,000 1,237,164 0.0%
Hung Ching Development & Construction Co., Ltd. 1,843,468 1,226,555 0.0%
# Hung Sheng Construction, Ltd. 6,699,892 5,295,336 0.0%
# Huxen Corp. 275,281 400,756 0.0%
* Hwacom Systems, Inc. 333,000 154,631 0.0%
#* I-Chiun Precision Industry Co., Ltd. 2,708,000 1,014,914 0.0%
#* Ichia Technologies, Inc. 2,144,260 1,167,188 0.0%
Ideal Bike Corp. 80,271 29,949 0.0%
Infortrend Technology, Inc. 1,077,000 498,186 0.0%
# Innolux Corp. 150,377,544 65,911,366 0.4%
Inpaq Technology Co., Ltd. 315,000 295,286 0.0%
# Inventec Corp. 31,534,277 24,505,557 0.1%
ITE Technology, Inc. 1,908,479 2,284,647 0.0%
# Jarllytec Co., Ltd. 530,000 955,673 0.0%
Jentech Precision Industrial Co., Ltd. 38,000 97,476 0.0%
Jess-Link Products Co., Ltd. 1,003,500 1,128,530 0.0%
Jih Sun Financial Holdings Co., Ltd. 8,359,814 2,219,764 0.0%
# Jinli Group Holdings, Ltd. 1,292,856 1,237,764 0.0%
Johnson Health Tech Co., Ltd. 150,000 164,181 0.0%
# K Laser Technology, Inc. 1,894,601 1,014,914 0.0%
# Kang Na Hsiung Enterprise Co., Ltd. 1,687,078 626,716 0.0%
Kaori Heat Treatment Co., Ltd. 38,000 50,553 0.0%
# Kaulin Manufacturing Co., Ltd. 2,357,656 1,543,700 0.0%
KEE TAI Properties Co., Ltd. 1,968,000 685,516 0.0%
# Kenmec Mechanical Engineering Co., Ltd. 1,954,000 671,047 0.0%
Kindom Construction Corp. 5,773,000 3,688,461 0.0%
King Chou Marine Technology Co., Ltd. 190,100 210,301 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
# King Yuan Electronics Co., Ltd. 16,246,805 $17,230,238 0.1%
# King's Town Bank Co., Ltd. 11,404,012 12,463,576 0.1%
* King's Town Construction Co., Ltd. 169,380 127,743 0.0%
# Kinko Optical Co., Ltd. 1,853,000 2,868,211 0.0%
# Kinpo Electronics 19,880,375 6,857,239 0.1%
# Kinsus Interconnect Technology Corp. 2,670,000 6,736,349 0.1%
# KS Terminals, Inc. 92,880 247,166 0.0%
# Kung Sing Engineering Corp. 3,441,000 1,312,495 0.0%
#* Kuo Toong International Co., Ltd. 1,048,160 631,383 0.0%
# Kuoyang Construction Co., Ltd. 6,707,840 2,714,430 0.0%
Kwong Fong Industries Corp. 1,529,649 1,085,379 0.0%
Kwong Lung Enterprise Co., Ltd. 58,000 82,444 0.0%
#* KYE Systems Corp. 4,044,909 1,368,677 0.0%
# L&K Engineering Co., Ltd. 2,117,000 2,651,592 0.0%
* LAN FA Textile 3,125,713 883,379 0.0%
Lanner Electronics, Inc. 79,000 112,121 0.0%
# LCY Chemical Corp. 2,528,000 3,455,363 0.0%
# Leader Electronics, Inc. 1,966,056 642,300 0.0%
#* Lealea Enterprise Co., Ltd. 11,750,941 4,403,308 0.0%
# Ledtech Electronics Corp. 660,000 306,495 0.0%
LEE CHI Enterprises Co., Ltd. 3,199,900 1,300,232 0.0%
* Leofoo Development Co., Ltd. 4,911,908 1,304,791 0.0%
* LES Enphants Co., Ltd. 877,000 333,094 0.0%
#* Lextar Electronics Corp. 5,217,000 3,159,085 0.0%
#* Li Peng Enterprise Co., Ltd. 9,229,381 2,642,135 0.0%
# Lien Hwa Industrial Corp. 8,919,904 9,465,259 0.1%
# Lingsen Precision Industries, Ltd. 6,068,480 3,243,680 0.0%
# Lite-On Semiconductor Corp. 3,397,729 4,277,282 0.0%
Lite-On Technology Corp. 29,285,738 41,356,767 0.2%
Long Bon International Co., Ltd. 329,000 153,247 0.0%
# Long Chen Paper Co., Ltd. 11,155,971 16,435,294 0.1%
# Longwell Co. 1,200,000 2,917,491 0.0%
Lotes Co., Ltd. 189,000 1,166,668 0.0%
# Lucky Cement Corp. 3,348,000 967,088 0.0%
#* LuxNet Corp. 382,000 352,036 0.0%
Macroblock, Inc. 72,300 163,117 0.0%
#* Macronix International 24,995,677 45,708,001 0.3%
# Marketech International Corp. 1,965,000 2,557,124 0.0%
# Masterlink Securities Corp. 17,714,489 4,959,020 0.0%
# Mayer Steel Pipe Corp. 2,350,456 1,079,681 0.0%
# Maywufa Co., Ltd. 252,070 112,458 0.0%
MediaTek, Inc. 3,309,000 37,654,807 0.2%
Mega Financial Holding Co., Ltd. 123,127,796 96,790,402 0.5%
Meiloon Industrial Co. 1,183,648 1,297,222 0.0%
Mercuries & Associates Holding, Ltd. 2,944,736 2,383,577 0.0%
* Mercuries Life Insurance Co., Ltd. 8,268,468 4,361,902 0.0%
MIN AIK Technology Co., Ltd. 1,687,000 1,571,800 0.0%
# Mitac Holdings Corp. 9,144,754 11,375,265 0.1%
* Mosel Vitelic, Inc. 279,067 186,175 0.0%
#* Motech Industries, Inc. 6,728,658 5,257,772 0.0%
MPI Corp. 13,000 31,443 0.0%
Nan Ren Lake Leisure Amusement Co., Ltd. 1,652,000 410,312 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
Nan Ya Printed Circuit Board Corp. 3,428,000 $ 3,104,140 0.0%
# Nantex Industry Co., Ltd. 1,811,390 1,315,791 0.0%
#* Neo Solar Power Corp. 5,692,056 2,890,215 0.0%
New Asia Construction & Development Corp. 1,810,304 391,438 0.0%
New Era Electronics Co., Ltd. 203,000 129,939 0.0%
Nichidenbo Corp. 76,000 71,964 0.0%
Nien Hsing Textile Co., Ltd. 2,158,061 2,144,165 0.0%
# Nishoku Technology, Inc. 324,000 772,845 0.0%
* Ocean Plastics Co., Ltd. 265,000 252,670 0.0%
* Optimax Technology Corp. 499,597 72,737 0.0%
# OptoTech Corp. 6,895,387 4,762,261 0.0%
* Orient Semiconductor Electronics, Ltd. 1,853,000 565,634 0.0%
Oriental Union Chemical Corp. 1,085,000 934,144 0.0%
P-Two Industries, Inc. 28,000 17,788 0.0%
# Pacific Construction Co. 2,487,452 846,264 0.0%
Pan Jit International, Inc. 5,163,837 5,176,899 0.0%
# Pan-International Industrial Corp. 5,339,444 4,537,650 0.0%
# Paragon Technologies Co., Ltd. 889,191 1,032,202 0.0%
# Pegatron Corp. 25,556,998 66,224,545 0.4%
#* Phihong Technology Co., Ltd. 3,918,882 1,677,758 0.0%
Plastron Precision Co., Ltd. 32,560 22,243 0.0%
Plotech Co., Ltd. 330,000 197,064 0.0%
Pou Chen Corp. 14,326,550 18,055,343 0.1%
# Powertech Industrial Co., Ltd. 124,000 73,036 0.0%
#* President Securities Corp. 13,605,324 6,475,204 0.1%
* Prime Electronics & Satellitics, Inc. 406,000 122,942 0.0%
Prince Housing & Development Corp. 6,506,018 2,395,449 0.0%
Promate Electronic Co., Ltd. 103,000 95,288 0.0%
#* Promise Technology, Inc. 909,000 365,108 0.0%
Qisda Corp. 27,278,171 19,925,978 0.1%
Qualipoly Chemical Corp. 276,756 319,873 0.0%
# Quanta Storage, Inc. 2,218,000 2,880,802 0.0%
# Quintain Steel Co., Ltd. 4,592,684 1,386,104 0.0%
# Radiant Opto-Electronics Corp. 4,795,000 10,665,514 0.1%
* Radium Life Tech Co., Ltd. 9,154,124 4,098,644 0.0%
# Rich Development Co., Ltd. 7,252,054 2,239,567 0.0%
#* Ritek Corp. 26,085,669 4,337,177 0.0%
#* Rotam Global Agrosciences, Ltd. 415,693 424,647 0.0%
#* Ruentex Development Co., Ltd. 5,405,200 5,551,234 0.0%
Sampo Corp. 6,669,925 3,074,304 0.0%
San Fang Chemical Industry Co., Ltd. 23,000 26,924 0.0%
San Far Property, Ltd. 71,000 26,613 0.0%
Sanyang Motor Co., Ltd. 2,641,624 1,910,100 0.0%
SCI Pharmtech, Inc. 91,000 176,568 0.0%
# Sesoda Corp. 1,687,713 1,640,247 0.0%
Shan-Loong Transportation Co., Ltd. 223,000 236,675 0.0%
Sharehope Medicine Co., Ltd. 66,150 82,487 0.0%
Sheng Yu Steel Co., Ltd. 2,081,000 2,313,748 0.0%
# ShenMao Technology, Inc. 1,202,000 1,070,550 0.0%
# Shih Her Technologies, Inc. 411,000 538,453 0.0%
* Shih Wei Navigation Co., Ltd. 3,113,288 905,280 0.0%
# Shihlin Electric & Engineering Corp. 4,496,000 6,194,951 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
# Shin Kong Financial Holding Co., Ltd. 116,891,430 $37,402,048 0.2%
# Shin Zu Shing Co., Ltd. 1,507,000 4,178,730 0.0%
* Shining Building Business Co., Ltd. 294,945 102,230 0.0%
# Shinkong Insurance Co., Ltd. 3,543,412 3,101,231 0.0%
Shinkong Synthetic Fibers Corp. 22,698,754 7,316,738 0.1%
# Shuttle, Inc. 4,367,015 1,745,951 0.0%
Sigurd Microelectronics Corp. 6,337,047 5,510,029 0.0%
#* Silicon Integrated Systems Corp. 4,978,808 1,504,132 0.0%
#* Silitech Technology Corp. 824,803 536,288 0.0%
Simplo Technology Co., Ltd. 434,000 2,498,088 0.0%
Sincere Navigation Corp. 5,084,740 3,665,870 0.0%
Sinher Technology, Inc. 179,000 295,751 0.0%
Sino-American Silicon Products, Inc. 8,372,000 23,377,438 0.1%
# Sinon Corp. 5,819,877 3,425,980 0.0%
SinoPac Financial Holdings Co., Ltd. 126,503,133 38,811,578 0.2%
Sinphar Pharmaceutical Co., Ltd. 18,000 13,072 0.0%
Sirtec International Co., Ltd. 276,000 447,529 0.0%
# Siward Crystal Technology Co., Ltd. 2,519,875 1,651,097 0.0%
* Solar Applied Materials Technology Co. 2,393,438 1,135,481 0.0%
#* Solartech Energy Corp. 4,352,165 2,274,821 0.0%
Solomon Technology Corp. 396,000 313,436 0.0%
Solteam Electronics Co., Ltd. 39,390 53,109 0.0%
Southeast Cement Co., Ltd. 3,220,700 1,559,961 0.0%
# Spirox Corp. 505,563 344,432 0.0%
Standard Chemical & Pharmaceutical Co., Ltd. 114,000 121,720 0.0%
Stark Technology, Inc. 1,468,160 1,662,264 0.0%
Sunko INK Co., Ltd. 76,000 32,518 0.0%
# Sunplus Technology Co., Ltd. 7,000,620 4,221,035 0.0%
Sunrex Technology Corp. 1,497,949 884,850 0.0%
# Sunspring Metal Corp. 649,000 840,472 0.0%
# Supreme Electronics Co., Ltd. 4,785,441 5,155,591 0.0%
Swancor Holding Co., Ltd. 105,000 263,328 0.0%
Sweeten Real Estate Development Co., Ltd. 1,174,925 541,503 0.0%
Syncmold Enterprise Corp. 68,000 157,667 0.0%
Synnex Technology International Corp. 5,999,550 7,605,165 0.1%
Sysage Technology Co., Ltd. 134,186 129,949 0.0%
Systex Corp. 1,007,801 1,978,997 0.0%
# T-Mac Techvest PCB Co., Ltd. 1,603,000 654,020 0.0%
T3EX Global Holdings Corp. 235,499 189,956 0.0%
# TA Chen Stainless Pipe 9,303,909 5,895,756 0.1%
#* Ta Ya Electric Wire & Cable 7,029,329 2,166,644 0.0%
# TA-I Technology Co., Ltd. 1,472,170 1,202,360 0.0%
# Tah Hsin Industrial Corp. 1,477,900 1,237,256 0.0%
TAI Roun Products Co., Ltd. 63,000 21,514 0.0%
# Tai Tung Communication Co., Ltd. 360,000 243,183 0.0%
Tai-Saw Technology Co., Ltd. 37,000 22,093 0.0%
# Taichung Commercial Bank Co., Ltd. 34,308,654 10,989,675 0.1%
# Taiflex Scientific Co., Ltd. 838,960 1,347,076 0.0%
# Tainan Enterprises Co., Ltd. 1,134,183 880,212 0.0%
# Tainan Spinning Co., Ltd. 18,416,485 8,279,053 0.1%
#* Tainergy Tech Co., Ltd. 2,172,000 995,215 0.0%
Taishin Financial Holding Co., Ltd. 125,257,679 54,839,668 0.3%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
TAIWAN -- (Continued)
#* Taisun Enterprise Co., Ltd. 1,776,410 $ 1,093,050 0.0%
#* Taita Chemical Co., Ltd. 2,678,864 950,909 0.0%
# Taiwan Business Bank 60,840,385 16,808,089 0.1%
# Taiwan Cement Corp. 50,647,440 56,294,730 0.3%
# Taiwan Chinsan Electronic Industrial Co., Ltd. 365,000 674,286 0.0%
# Taiwan Cogeneration Corp. 2,535,333 1,984,071 0.0%
Taiwan Cooperative Financial Holding Co., Ltd. 106,921,111 57,807,027 0.3%
# Taiwan Fertilizer Co., Ltd. 5,159,000 6,741,986 0.1%
Taiwan Fire & Marine Insurance Co., Ltd. 1,343,000 899,458 0.0%
Taiwan FU Hsing Industrial Co., Ltd. 667,000 848,158 0.0%
#* Taiwan Glass Industry Corp. 13,321,982 6,876,237 0.1%
Taiwan Hon Chuan Enterprise Co., Ltd. 596,932 1,079,065 0.0%
# Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,732,000 1,097,186 0.0%
#* Taiwan Land Development Corp. 10,031,322 3,359,166 0.0%
Taiwan Line Tek Electronic 146,771 168,653 0.0%
#* Taiwan Mask Corp. 2,775,250 1,708,619 0.0%
* Taiwan Navigation Co., Ltd. 1,597,000 826,067 0.0%
Taiwan PCB Techvest Co., Ltd. 3,813,946 4,168,455 0.0%
#* Taiwan Prosperity Chemical Corp. 800,000 488,389 0.0%
#* Taiwan Pulp & Paper Corp. 4,239,660 2,679,272 0.0%
Taiwan Sakura Corp. 293,177 379,463 0.0%
Taiwan Shin Kong Security Co., Ltd. 39,000 50,106 0.0%
# Taiwan Styrene Monomer 3,118,647 2,110,920 0.0%
Taiwan Surface Mounting Technology Corp. 3,083,991 2,931,212 0.0%
# Taiwan TEA Corp. 8,595,092 4,575,112 0.0%
# Taiyen Biotech Co., Ltd. 1,855,217 1,734,908 0.0%
#* Tatung Co., Ltd. 30,477,342 14,066,026 0.1%
Te Chang Construction Co., Ltd. 80,260 53,409 0.0%
Teco Electric and Machinery Co., Ltd. 26,978,725 25,197,373 0.1%
# Test Rite International Co., Ltd. 1,514,266 1,150,119 0.0%
* Tex-Ray Industrial Co., Ltd. 444,000 162,666 0.0%
Thye Ming Industrial Co., Ltd. 26,000 33,247 0.0%
Ton Yi Industrial Corp. 3,205,600 1,451,177 0.0%
# Tong-Tai Machine & Tool Co., Ltd. 3,410,447 2,313,534 0.0%
# Topoint Technology Co., Ltd. 2,297,288 1,638,335 0.0%
* TPK Holding Co., Ltd. 3,478,000 11,489,473 0.1%
Tripod Technology Corp. 2,937,000 10,816,424 0.1%
# TrueLight Corp. 287,000 323,750 0.0%
Tsann Kuen Enterprise Co., Ltd. 134,000 103,521 0.0%
* TSEC Corp. 1,576,000 601,503 0.0%
# Tung Ho Steel Enterprise Corp. 12,861,274 10,345,590 0.1%
TXC Corp. 1,169,000 1,563,259 0.0%
# TYC Brother Industrial Co., Ltd. 1,472,723 1,685,320 0.0%
* Tycoons Group Enterprise 7,363,938 1,482,034 0.0%
Tyntek Corp. 3,017,097 1,392,146 0.0%
U-Ming Marine Transport Corp. 1,121,000 1,330,313 0.0%
UDE Corp. 268,000 535,137 0.0%
# Unimicron Technology Corp. 23,602,363 13,469,973 0.1%
# Union Bank Of Taiwan 13,025,837 3,887,602 0.0%
# Unitech Computer Co., Ltd. 1,606,739 1,060,618 0.0%
#* Unitech Printed Circuit Board Corp. 7,109,281 3,361,569 0.0%
# United Microelectronics Corp. 209,748,681 108,252,366 0.6%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
United Radiant Technology 95,000 $ 49,468 0.0%
# Unity Opto Technology Co., Ltd. 2,924,000 1,154,457 0.0%
Univacco Technology, Inc. 46,000 29,137 0.0%
# Universal Cement Corp. 6,004,583 4,649,688 0.0%
# Unizyx Holding Corp. 4,362,000 2,084,357 0.0%
UPC Technology Corp. 12,688,214 7,052,700 0.1%
USI Corp. 7,573,184 3,743,521 0.0%
# Usun Technology Co., Ltd. 217,000 385,654 0.0%
# Ve Wong Corp. 1,616,806 1,337,298 0.0%
# Victory New Materials, Ltd. Co. 744,700 1,165,875 0.0%
#* Wafer Works Corp. 5,100,092 6,376,215 0.1%
* Wah Hong Industrial Corp. 395,516 281,320 0.0%
Wah Lee Industrial Corp. 2,043,000 3,584,696 0.0%
# Walsin Lihwa Corp. 38,942,412 19,904,702 0.1%
Walsin Technology Corp. 6,026,797 15,562,834 0.1%
# Walton Advanced Engineering, Inc. 3,931,853 2,089,909 0.0%
Wan Hai Lines, Ltd. 8,094,000 4,902,683 0.0%
Waterland Financial Holdings Co., Ltd. 33,910,112 10,289,060 0.1%
# Weikeng Industrial Co., Ltd. 2,190,072 1,300,096 0.0%
# Well Shin Technology Co., Ltd. 1,009,080 2,091,849 0.0%
Wha Yu Industrial Co., Ltd. 302,000 180,475 0.0%
# Winbond Electronics Corp. 41,546,885 36,027,727 0.2%
Winstek Semiconductor Co., Ltd. 31,000 25,576 0.0%
Wintek Corp. 20,783,484 236,437 0.0%
# Wisdom Marine Lines Co., Ltd. 2,809,956 2,516,959 0.0%
Wistron Corp. 44,012,309 36,762,632 0.2%
WPG Holdings, Ltd. 8,603,092 11,785,926 0.1%
WT Microelectronics Co., Ltd. 6,744,751 10,667,535 0.1%
WUS Printed Circuit Co., Ltd. 3,213,739 2,020,679 0.0%
Xxentria Technology Materials Corp. 259,000 549,810 0.0%
Yageo Corp. 1,037,050 8,237,827 0.1%
* Yang Ming Marine Transport Corp. 8,787,215 3,603,418 0.0%
# YC Co., Ltd. 6,822,177 3,110,665 0.0%
YC INOX Co., Ltd. 4,977,833 4,252,683 0.0%
YeaShin International Development Co., Ltd. 258,147 138,662 0.0%
# Yeong Guan Energy Technology Group Co., Ltd. 1,020,000 2,355,269 0.0%
#* YFY, Inc. 20,003,847 7,829,691 0.1%
# Yi Jinn Industrial Co., Ltd. 3,038,142 1,259,365 0.0%
# Yieh Phui Enterprise Co., Ltd. 17,489,347 6,675,463 0.1%
#* Young Fast Optoelectronics Co., Ltd. 1,696,000 973,660 0.0%
* Young Optics, Inc. 31,000 67,592 0.0%
# Youngtek Electronics Corp. 943,047 1,761,063 0.0%
Yuanta Financial Holding Co., Ltd. 116,044,918 51,609,544 0.3%
# Yulon Motor Co., Ltd. 12,352,572 10,329,398 0.1%
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 243,687 642,691 0.0%
Yungshin Construction & Development Co., Ltd. 22,000 23,292 0.0%
# Zenitron Corp. 2,976,000 1,845,370 0.0%
# Zero One Technology Co., Ltd. 376,000 248,818 0.0%
# Zhen Ding Technology Holding, Ltd. 3,478,000 8,727,484 0.1%
# Zig Sheng Industrial Co., Ltd. 6,749,352 2,721,870 0.0%
Zinwell Corp. 890,000 896,793 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
TAIWAN -- (Continued)
# ZongTai Real Estate Development Co., Ltd. 1,366,844 $ 839,543 0.0%
-------------- ----
TOTAL TAIWAN 3,217,138,053 16.4%
-------------- ----
THAILAND -- (2.7%)
AAPICO Hitech PCL(B013L48) 681,760 754,205 0.0%
AAPICO Hitech PCL(B013KZ2) 123,300 136,402 0.0%
AJ Plast PCL 1,441,800 603,282 0.0%
Amata Corp. PCL 2,978,590 1,927,745 0.0%
AP Thailand PCL 18,476,230 4,949,983 0.0%
Asia Aviation PCL(B86KK09) 405,600 78,141 0.0%
Asia Aviation PCL(B8J72C3) 4,322,900 832,828 0.0%
Asia Plus Group Holdings PCL 5,164,800 640,547 0.0%
Bangchak Corp. PCL 7,893,100 9,919,835 0.1%
Bangkok Airways PCL 2,538,700 1,406,143 0.0%
Bangkok Bank PCL 1,741,253 10,116,250 0.1%
Bangkok Insurance PCL 212,828 2,312,791 0.0%
Bangkok Land PCL 119,029,296 6,628,663 0.1%
Bangkok Ranch PCL 203,100 49,522 0.0%
Banpu PCL 18,451,650 9,720,165 0.1%
Cal-Comp Electronics Thailand PCL Class F 30,197,914 3,163,418 0.0%
Charoen Pokphand Foods PCL 18,236,100 14,272,685 0.1%
Charoong Thai Wire & Cable PCL Class F 1,255,800 381,806 0.0%
Eastern Water Resources Development and Management PCL
Class F 408,100 151,103 0.0%
* G J Steel PCL 27,256,975 344,610 0.0%
Golden Land Property Development PCL 502,200 145,127 0.0%
Hana Microelectronics PCL 1,775,300 2,605,234 0.0%
ICC International PCL 2,663,700 3,026,932 0.0%
IRPC PCL 83,697,900 16,250,796 0.1%
Kasikornbank PCL 1,348,800 8,932,450 0.1%
KGI Securities Thailand PCL 11,247,700 1,516,848 0.0%
Khon Kaen Sugar Industry PCL 9,372,854 1,269,652 0.0%
Kiatnakin Bank PCL 3,677,800 8,386,314 0.1%
Krung Thai Bank PCL 35,910,100 19,673,805 0.1%
Laguna Resorts & Hotels PCL 1,022,500 800,271 0.0%
Lanna Resources PCL 846,100 366,762 0.0%
LH Financial Group PCL 15,379,446 814,805 0.0%
LPN Development PCL 3,789,001 1,494,157 0.0%
MBK PCL 221,600 156,761 0.0%
* MCOT PCL 1,028,300 380,737 0.0%
* Millcon Steel PCL 1,176,300 61,612 0.0%
MK Real Estate Development PCL 2,855,400 324,907 0.0%
* Nation Multimedia Group PCL 2,644,800 48,565 0.0%
Padaeng Industry PCL 453,900 406,488 0.0%
Polyplex Thailand PCL 4,398,525 1,853,683 0.0%
* Precious Shipping PCL 9,750,850 3,140,701 0.0%
Property Perfect PCL 36,884,900 1,032,600 0.0%
Pruksa Holding PCL 2,267,200 1,723,263 0.0%
PTT Exploration & Production PCL 20,043,700 52,040,010 0.3%
PTT Global Chemical PCL 17,297,941 41,656,691 0.2%
PTT PCL 15,428,250 195,059,151 1.0%
Quality Houses PCL 23,229,797 2,055,858 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
THAILAND -- (Continued)
* Regional Container Lines PCL 4,736,500 $ 1,190,541 0.0%
Rojana Industrial Park PCL 4,881,273 888,974 0.0%
Saha Pathana Inter-Holding PCL 2,801,300 5,818,474 0.0%
Saha Pathanapibul PCL 1,594,833 2,484,425 0.0%
Saha-Union PCL 2,662,200 3,586,197 0.0%
Sahaviriya Steel Industries PCL 90,527,440 25,616 0.0%
Sansiri PCL 78,474,966 5,669,474 0.0%
SC Asset Corp PCL 30,414,653 3,112,878 0.0%
Siam Commercial Bank PCL (The) 42,700 188,307 0.0%
Siam Future Development PCL 6,903,546 1,506,644 0.0%
Siamgas & Petrochemicals PCL 4,174,500 2,827,401 0.0%
Somboon Advance Technology PCL 2,839,900 1,752,497 0.0%
Sri Ayudhya Capital PCL 85,100 77,492 0.0%
Sri Trang Agro-Industry PCL 7,623,240 2,914,363 0.0%
Srithai Superware PCL 18,906,200 990,271 0.0%
STP & I PCL 892,700 180,045 0.0%
* Tata Steel Thailand PCL 49,821,100 1,499,732 0.0%
* Thai Airways International PCL 15,586,511 8,726,945 0.1%
Thai Oil PCL 7,829,200 24,039,085 0.1%
Thai Rayon PCL 58,700 100,719 0.0%
Thai Stanley Electric PCL 43,100 291,917 0.0%
Thai Stanley Electric PCL Class F 174,600 1,182,571 0.0%
Thai Wacoal PCL 85,000 121,538 0.0%
Thaicom PCL 4,055,500 1,684,705 0.0%
Thanachart Capital PCL 7,494,700 12,352,042 0.1%
Thitikorn PCL 1,644,100 861,148 0.0%
Thoresen Thai Agencies PCL 8,442,578 2,465,172 0.0%
TMB Bank PCL 52,182,700 4,052,720 0.0%
TPI Polene PCL 68,159,640 4,595,954 0.0%
* True Corp. PCL 3,240,400 599,893 0.0%
Vinythai PCL 6,403,517 3,990,151 0.0%
------------ ---
TOTAL THAILAND 533,392,195 2.7%
------------ ---
TURKEY -- (1.3%)
Adana Cimento Sanayii TAS Class A 181,309 306,461 0.0%
Akbank Turk A.S. 14,768,312 39,067,773 0.2%
#* Akenerji Elektrik Uretim A.S. 2,703,487 657,266 0.0%
# Alarko Holding A.S. 903,603 1,779,317 0.0%
Albaraka Turk Katilim Bankasi A.S. 3,428,318 1,176,702 0.0%
Anadolu Anonim Turk Sigorta Sirketi 3,903,864 2,945,731 0.0%
Anadolu Cam Sanayii A.S. 3,357,069 2,118,550 0.0%
#* Bagfas Bandirma Gubre Fabrikalari A.S. 428,414 1,185,217 0.0%
#* Baticim Bati Anadolu Cimento Sanayii A.S. 406,172 892,166 0.0%
#* Bera Holding A.S. 152,219 94,451 0.0%
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 678,783 2,012,260 0.0%
* Boyner Perakende Ve Tekstil Yatirimlari A.S. 93,735 209,308 0.0%
#* Dogan Sirketler Grubu Holding A.S. 16,723,595 4,066,304 0.0%
# Eczacibasi Yatirim Holding Ortakligi A.S. 344,745 1,040,917 0.0%
# EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi
ve Ticaret A.S. 1,908,942 2,325,430 0.0%
Enka Insaat ve Sanayi A.S. 2,591,764 3,935,228 0.0%
#* Global Yatirim Holding A.S. 2,120,952 1,831,527 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
TURKEY -- (Continued)
#* GSD Holding AS 3,856,556 $ 794,580 0.0%
#* Ihlas Holding A.S. 16,028,190 2,586,502 0.0%
#* Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S. 1,550,008 2,492,157 0.0%
* Is Finansal Kiralama A.S. 2,221,500 932,321 0.0%
Is Yatirim Menkul Degerler A.S. Class A 538,445 302,732 0.0%
* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 2,493,147 1,659,609 0.0%
* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 808,610 636,514 0.0%
* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 8,730,378 5,585,147 0.1%
* Koza Anadolu Metal Madencilik Isletmeleri A.S. 846,192 1,372,910 0.0%
#* Metro Ticari ve Mali Yatirimlar Holding A.S. 3,616,994 955,504 0.0%
* NET Holding A.S. 13,395 7,312 0.0%
#* Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 702,352 785,029 0.0%
#* Pegasus Hava Tasimaciligi A.S. 325,850 2,578,851 0.0%
Pinar Entegre Et ve Un Sanayi A.S. 244,757 629,934 0.0%
Pinar SUT Mamulleri Sanayii A.S. 77,164 273,709 0.0%
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 1,944,028 1,503,761 0.0%
#* Sekerbank TAS 4,091,870 1,654,298 0.0%
Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 2,158,674 2,095,127 0.0%
Trakya Cam Sanayii A.S. 6,814,075 7,394,626 0.1%
#* Turcas Petrol A.S. 195,565 144,153 0.0%
#* Turk Hava Yollari AO 7,297,121 20,025,812 0.1%
Turkiye Garanti Bankasi A.S. 14,090,688 38,821,256 0.2%
Turkiye Halk Bankasi A.S. 6,898,361 20,152,001 0.1%
Turkiye Is Bankasi Class C 24,882,081 46,961,801 0.3%
Turkiye Sinai Kalkinma Bankasi A.S. 11,719,466 4,234,442 0.0%
Turkiye Sise ve Cam Fabrikalari A.S. 11,514,227 13,528,788 0.1%
Turkiye Vakiflar Bankasi TAO Class D 9,665,839 16,168,176 0.1%
#* Yapi ve Kredi Bankasi A.S. 8,071,436 9,816,875 0.1%
#* Zorlu Enerji Elektrik Uretim A.S. 491,785 211,944 0.0%
--------------- ----
TOTAL TURKEY 269,950,479 1.4%
--------------- ----
TOTAL COMMON STOCKS 19,019,548,065 97.0%
--------------- ----
PREFERRED STOCKS -- (2.0%)
BRAZIL -- (1.9%)
Banco ABC Brasil SA 1,554,213 8,528,146 0.1%
Banco Bradesco SA 59,900 635,017 0.0%
Banco Bradesco SA ADR 85,538 904,137 0.0%
Banco do Estado do Rio Grande do Sul SA Class B 2,116,568 9,860,452 0.1%
* Banco Pan SA 1,793,392 1,085,476 0.0%
* Banco Pine SA 427,430 423,340 0.0%
* Cia Brasileira de Distribuicao 1,458,456 33,972,533 0.2%
Cia Ferro Ligas da Bahia--FERBASA 972,034 5,021,666 0.0%
Eucatex SA Industria e Comercio 353,288 398,506 0.0%
Marcopolo SA 4,407,645 5,349,051 0.0%
* Petroleo Brasileiro SA 12,755,690 65,390,799 0.3%
* Petroleo Brasileiro SA Sponsored ADR 17,627,348 180,680,317 0.9%
Randon SA Implementos e Participacoes 2,784,800 5,933,438 0.0%
Suzano Papel e Celulose SA Class A 6,173,656 38,367,140 0.2%
Unipar Carbocloro SA Class B 925,874 3,713,344 0.0%
* Usinas Siderurgicas de Minas Gerais SA Class A 6,425,866 17,305,621 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
BRAZIL -- (Continued)
Vale SA 305,997 $ 2,781,876 0.0%
------------ ---
TOTAL BRAZIL 380,350,859 1.9%
------------ ---
COLOMBIA -- (0.1%)
Avianca Holdings SA 1,199,797 1,053,059 0.0%
Grupo Argos SA 314,215 1,900,546 0.0%
Grupo de Inversiones Suramericana SA 1,042,360 12,869,953 0.1%
------------ ---
TOTAL COLOMBIA 15,823,558 0.1%
------------ ---
TOTAL PREFERRED STOCKS 396,174,417 2.0%
------------ ---
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
* Helbor Empreendimentos SA Rights 11/16/17 779,694 11,917 0.0%
------------ ---
CHILE -- (0.0%)
* Cia Sud Americana de Vapores SA Rights 11/08/17 14,569,868 135,065 0.0%
------------ ---
HONG KONG -- (0.0%)
* Shougang Concord International Enterprises Co., Ltd. Rights
11/08/17 25,488,208 13,068 0.0%
------------ ---
INDIA -- (0.0%)
* HCL Infosystems, Ltd. Rights 10/31/17 220,077 2,718 0.0%
* Karur Vysya Bank, Ltd. (The) Rights 11/10/17 315,298 247,775 0.0%
------------ ---
TOTAL INDIA 250,493 0.0%
------------ ---
MALAYSIA -- (0.0%)
* Sunway Bhd Warrants 10/03/24 2,412,092 364,648 0.0%
------------ ---
POLAND -- (0.0%)
* Hawe SA Rights 09/30/15 952,876 -- 0.0%
------------ ---
SOUTH KOREA -- (0.0%)
* Dongkook Industrial Co., Ltd. Rights 12/05/17 361,655 102,329 0.0%
* Hanwha Non Life Insurance Co., Ltd Rights 11/02/17 82,988 70,370 0.0%
* Harim Co., Ltd. Rights 12/05/17 10,499 9,559 0.0%
* Hyundai Construction Equipment Co., Ltd. Rights 11/14/17 571 50,711 0.0%
* Hyundai Electric & Energy System Co., Ltd. Rights 11/11/17 1,242 55,429 0.0%
------------ ---
TOTAL SOUTH KOREA 288,398 0.0%
------------ ---
TAIWAN -- (0.0%)
* CTBC Financial Holding Co., Ltd. Rights 12/15/17 1,821,482 -- 0.0%
* Ta Chen Stainless PIpe Co. Rights 12/11/17 733,702 26,760 0.0%
* TSEC Corp. Rights 11/15/17 147,685 4,897 0.0%
* Winbond Electronics Corp. Rights 12/11/17 3,713,688 504,853 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
TAIWAN -- (Continued)
* Yang Ming Marine Transport Corp. Rights 11/17/17 2,245,544 $ 26,060 0.0%
--------------- -----
TOTAL TAIWAN 562,570 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS 1,626,159 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES 19,417,348,641
---------------
VALUE+
---------------
SECURITIES LENDING COLLATERAL -- (3.0%)
(S)@ DFA Short Term Investment Fund 51,154,322 591,906,661 3.0%
--------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $17,266,162,347) $20,009,255,302 102.0%
=============== =====
At October 31, 2017, Dimensional Emerging Markets Value Fund had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
Mini MSCI Emerging Markets Index(R) 650 12/15/17 $ 35,810,203 $ 36,536,500 $ 726,297
S&P 500 Emini Index(R) 795 12/15/17 99,611,195 102,264,825 2,653,630
------------ ------------ ----------
TOTAL FUTURES CONTRACTS $135,421,398 $138,801,325 $3,379,927
============ ============ ==========
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of October 31, 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 $1,195,845,821 -- -- $ 1,195,845,821
Chile 80,372,052 $ 236,624,444 -- 316,996,496
China 258,179,357 3,071,581,801 -- 3,329,761,158
Colombia 41,417,612 -- -- 41,417,612
Czech Republic -- 56,931,518 -- 56,931,518
Greece -- 5,400,787 -- 5,400,787
Hong Kong -- 1,799,742 -- 1,799,742
Hungary -- 76,715,301 -- 76,715,301
India 189,194,146 2,391,993,113 -- 2,581,187,259
Indonesia 576,682 556,266,772 -- 556,843,454
Malaysia -- 566,662,777 -- 566,662,777
Mexico 762,042,668 -- -- 762,042,668
Philippines -- 201,045,379 -- 201,045,379
Poland -- 324,520,693 -- 324,520,693
Russia 92,681,201 242,811,737 -- 335,492,938
South Africa 142,269,666 1,130,057,821 -- 1,272,327,487
South Korea 383,240,328 2,990,835,920 -- 3,374,076,248
Taiwan 41,063,307 3,176,074,746 -- 3,217,138,053
Thailand 533,366,579 25,616 -- 533,392,195
Turkey -- 269,950,479 -- 269,950,479
Preferred Stocks
Brazil 380,350,859 -- -- 380,350,859
Colombia 15,823,558 -- -- 15,823,558
Rights/Warrants
Brazil -- 11,917 -- 11,917
Chile -- 135,065 -- 135,065
Hong Kong -- 13,068 -- 13,068
India -- 250,493 -- 250,493
Malaysia -- 364,648 -- 364,648
South Korea -- 288,398 -- 288,398
Taiwan -- 562,570 -- 562,570
Securities Lending Collateral -- 591,906,661 -- 591,906,661
Futures Contracts** 3,379,927 -- -- 3,379,927
-------------- --------------- -- ---------------
TOTAL $4,119,803,763 $15,892,831,466 -- $20,012,635,229
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value
Fund
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights (included
in Item 1 of this Form N-CSR) and the schedule of investments (included in Item
6 of this Form N-CSR) present fairly, in all material respects, the financial
position of Dimensional Emerging Markets Value Fund (the "Fund") as of
October 31, 2017, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended
and the financial highlights for each of the five years in the period then
ended, in conformity with accounting principles generally accepted in the
United States of America. These financial statements, financial highlights, and
schedule of investments (hereafter referred to as "financial statements") are
the responsibility of the Fund's management. Our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities as of October 31, 2017 by correspondence with the
custodian, brokers and the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
(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) Code of Ethics is filed herewith.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Emerging Markets Value Fund
By: /s/ David P. Butler
--------------------------
David P. Butler
Co-Chief Executive Officer
Date: January 8, 2018
By: /s/ Gerard K. O'Reilly
------------------------------
Gerard K. O'Reilly
Co-Chief Executive Officer and
Chief Investment Officer
Date: January 8, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David P. Butler
---------------------------------------
David P. Butler
Co-Principal Executive Officer
Dimensional Emerging Markets Value Fund
Date: January 8, 2018
By: /s/ Gerard K. O'Reilly
---------------------------------------
Gerard K. O'Reilly
Co-Principal Executive Officer
Dimensional Emerging Markets Value Fund
Date: January 8, 2018
By: /s/ Gregory K. Hinkle
---------------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Emerging Markets Value Fund
Date: January 8, 2018