================================================================================
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 811-3258
--------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, President and General Counsel
DFA Investment Dimensions Group Inc.,
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 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
[LOGO]
Annual Report
YEAR ENDED: OCTOBER 31, 2017
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME PORTFOLIO DFA LTIP PORTFOLIO
DFA TWO-YEAR GLOBAL FIXED INCOME DFA INFLATION-PROTECTED SECURITIES
PORTFOLIO PORTFOLIO
DFA SELECTIVELY HEDGED GLOBAL FIXED DFA SHORT-DURATION REAL RETURN
INCOME PORTFOLIO PORTFOLIO
DFA FIVE-YEAR GLOBAL FIXED INCOME DFA MUNICIPAL REAL RETURN PORTFOLIO
PORTFOLIO DFA MUNICIPAL BOND PORTFOLIO
DFA WORLD EX U.S. GOVERNMENT FIXED DFA SHORT-TERM MUNICIPAL BOND
INCOME PORTFOLIO PORTFOLIO
DFA SHORT-TERM GOVERNMENT PORTFOLIO DFA INTERMEDIATE-TERM MUNICIPAL BOND
DFA INTERMEDIATE GOVERNMENT FIXED PORTFOLIO
INCOME PORTFOLIO DFA CALIFORNIA SHORT-TERM MUNICIPAL
DFA SHORT-TERM EXTENDED QUALITY BOND PORTFOLIO
PORTFOLIO DFA CALIFORNIA INTERMEDIATE-TERM
DFA INTERMEDIATE-TERM EXTENDED MUNICIPAL BOND PORTFOLIO
QUALITY PORTFOLIO DFA NY MUNICIPAL BOND PORTFOLIO
DFA TARGETED CREDIT PORTFOLIO DFA MN MUNICIPAL BOND PORTFOLIO
DFA INVESTMENT GRADE PORTFOLIO
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
[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
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
------
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........................... 1
Performance Charts................................................ 3
Management's Discussion and Analysis.............................. 15
Disclosure of Fund Expenses....................................... 23
Disclosure of Portfolio Holdings.................................. 27
Schedules of Investments
DFA One-Year Fixed Income Portfolio........................... 29
DFA Two-Year Global Fixed Income Portfolio.................... 34
DFA Selectively Hedged Global Fixed Income Portfolio.......... 40
DFA Five-Year Global Fixed Income Portfolio................... 47
DFA World ex U.S. Government Fixed Income Portfolio........... 55
DFA Short-Term Government Portfolio........................... 58
DFA Intermediate Government Fixed Income Portfolio............ 60
DFA Short-Term Extended Quality Portfolio..................... 62
DFA Intermediate-Term Extended Quality Portfolio.............. 72
DFA Targeted Credit Portfolio................................. 79
DFA Investment Grade Portfolio................................ 88
DFA Diversified Fixed Income Portfolio........................ 103
DFA LTIP Portfolio............................................ 104
DFA Inflation-Protected Securities Portfolio.................. 105
DFA Short-Duration Real Return Portfolio...................... 106
DFA Municipal Real Return Portfolio........................... 116
DFA Municipal Bond Portfolio.................................. 125
DFA Short-Term Municipal Bond Portfolio....................... 134
DFA Intermediate-Term Municipal Bond Portfolio................ 144
DFA California Short-Term Municipal Bond Portfolio............ 157
DFA California Intermediate-Term Municipal Bond Portfolio..... 164
DFA NY Municipal Bond Portfolio............................... 172
DFA MN Municipal Bond Portfolio............................... 177
Statements of Assets and Liabilities.............................. 180
Statements of Operations.......................................... 186
Statements of Changes in Net Assets............................... 192
Financial Highlights.............................................. 198
Notes to Financial Statements..................................... 210
Report of Independent Registered Public Accounting Firm........... 232
Section 19(a) Notice.............................................. 233
FUND MANAGEMENT...................................................... 234
VOTING PROXIES ON FUND PORTFOLIO SECURITIES.......................... 240
NOTICE TO SHAREHOLDERS............................................... 241
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Abbreviations
AGM Assured Guaranty Municipal Corporation
AMBAC American Municipal Bond Assurance Corporation
ASSURED GTY Assured Guaranty
CP Certificate Participation
ETM Escrowed to Maturity
FGIC Federal Guaranty Insurance Corporation
GO General Obligation
GO OF AUTH General Obligation of Authority
GO OF CMNWLTH General Obligation of Commonwealth
GO OF UNIV General Obligation of University
NATL-RE Credit rating enhanced by guaranty or insurance from National Public Finance
Guarantee Corp.
P.L.C. Public Limited Company
PSF-GTD Public School Fund Guarantee
RB Revenue Bond
SA Special Assessment
SCH BD RES FD School Board Resolution Fund
SCH BD GTY School Bond Guaranty
SCSDE South Carolina State Department of Education
SD CRED PROG School District Credit Program
ST AID WITHHLDG State Aid Withholding
AUD Australian Dollars
CAD Canadian Dollars
DKK Danish Krone
EUR Euro
GBP British Pounds
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollars
SEK Swedish Krona
SGD Singapore Dollars
USD United States Dollars
1
DFA INVESTMENT DIMENSIONS GROUP INC.
CONTINUED
Investment Footnotes
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
^ Denominated in USD, unless otherwise noted.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of October 31, 2017.
(currency) Pre-refunded bonds are collateralized by U.S. Government or other eligible securities which are held in
escrow and used to pay principal and interest and retire the bonds at the earliest refunding date
(payment date) and/or whose interest rates vary with changes in a designated base rate (such as the
prime interest rate).
## 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.
^^^ Face Amount of security is not adjusted for inflation.
++ Security pledged as collateral for Swap Agreements.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Underlying Funds.
(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
N/A Does not apply to this fund.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
(a) Commencement of Operations.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME PORTFOLIO VS.
ICE BOFAML US 6-MONTH TREASURY BILL INDEX,
ICE BOFAML 1-YEAR US TREASURY NOTE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA One-Year Fixed ICE BofAML US 6-Month ICE BofAML 1-Year US
Income Portfolio Treasury Bill Index Treasury Note Index
--------------------- ----------------------- -----------------------
10/31/2007 $10,000 $10,000 $10,000
11/30/2007 10,032 10,068 10,100
12/31/2007 10,077 10,097 10,122
1/31/2008 10,117 10,181 10,252
2/29/2008 10,143 10,209 10,305
3/31/2008 10,162 10,235 10,337
4/30/2008 10,177 10,247 10,317
5/31/2008 10,198 10,248 10,312
6/30/2008 10,229 10,261 10,318
7/31/2008 10,253 10,293 10,352
8/31/2008 10,276 10,315 10,381
9/30/2008 10,230 10,362 10,427
10/31/2008 10,301 10,404 10,487
11/30/2008 10,374 10,440 10,553
12/31/2008 10,482 10,458 10,602
1/31/2009 10,492 10,457 10,592
2/28/2009 10,482 10,459 10,575
3/31/2009 10,521 10,469 10,601
4/30/2009 10,553 10,483 10,622
5/31/2009 10,593 10,488 10,631
6/30/2009 10,622 10,490 10,636
7/31/2009 10,629 10,498 10,649
8/31/2009 10,663 10,505 10,663
9/30/2009 10,685 10,511 10,671
10/31/2009 10,692 10,514 10,682
11/30/2009 10,721 10,518 10,701
12/31/2009 10,684 10,519 10,687
1/31/2010 10,715 10,524 10,711
2/28/2010 10,729 10,525 10,716
3/31/2010 10,725 10,526 10,713
4/30/2010 10,731 10,529 10,719
5/31/2010 10,737 10,534 10,725
6/30/2010 10,763 10,537 10,741
7/31/2010 10,780 10,541 10,753
8/31/2010 10,797 10,545 10,763
9/30/2010 10,802 10,548 10,768
10/31/2010 10,819 10,553 10,775
11/30/2010 10,803 10,553 10,773
12/31/2010 10,807 10,557 10,775
1/31/2011 10,818 10,560 10,785
2/28/2011 10,821 10,561 10,788
3/31/2011 10,827 10,564 10,792
4/30/2011 10,852 10,569 10,803
5/31/2011 10,868 10,571 10,810
6/30/2011 10,863 10,574 10,813
7/31/2011 10,878 10,573 10,810
8/31/2011 10,882 10,581 10,829
9/30/2011 10,875 10,581 10,827
10/31/2011 10,881 10,583 10,831
11/30/2011 10,874 10,584 10,834
12/31/2011 10,871 10,585 10,837
1/31/2012 10,903 10,585 10,839
2/29/2012 10,907 10,585 10,837
3/31/2012 10,912 10,586 10,837
4/30/2012 10,927 10,588 10,842
5/31/2012 10,922 10,590 10,844
6/30/2012 10,937 10,591 10,841
7/31/2012 10,953 10,594 10,851
8/31/2012 10,957 10,596 10,853
9/30/2012 10,962 10,597 10,856
10/31/2012 10,966 10,598 10,855
11/30/2012 10,971 10,601 10,859
12/31/2012 10,973 10,603 10,863
1/31/2013 10,983 10,605 10,865
2/28/2013 10,986 10,605 10,867
3/31/2013 10,989 10,608 10,871
4/30/2013 10,993 10,611 10,876
5/31/2013 10,986 10,612 10,876
6/30/2013 10,989 10,613 10,875
7/31/2013 10,992 10,615 10,882
8/31/2013 10,995 10,617 10,883
9/30/2013 11,009 10,619 10,889
10/31/2013 11,013 10,619 10,889
11/30/2013 11,015 10,619 10,889
12/31/2013 11,010 10,622 10,890
1/31/2014 11,021 10,625 10,893
2/28/2014 11,032 10,626 10,895
3/31/2014 11,025 10,627 10,899
4/30/2014 11,028 10,628 10,904
5/31/2014 11,041 10,629 10,906
6/30/2014 11,033 10,629 10,907
7/31/2014 11,036 10,630 10,908
8/31/2014 11,038 10,632 10,914
9/30/2014 11,041 10,634 10,917
10/31/2014 11,044 10,633 10,919
11/30/2014 11,057 10,634 10,921
12/31/2014 11,038 10,635 10,910
1/31/2015 11,060 10,638 10,922
2/28/2015 11,062 10,640 10,919
3/31/2015 11,066 10,640 10,922
4/30/2015 11,069 10,644 10,929
5/31/2015 11,073 10,645 10,932
6/30/2015 11,076 10,647 10,933
7/31/2015 11,080 10,646 10,936
8/31/2015 11,073 10,647 10,935
9/30/2015 11,088 10,658 10,945
10/31/2015 11,093 10,654 10,943
11/30/2015 11,078 10,654 10,926
12/31/2015 11,073 10,658 10,927
1/31/2016 11,100 10,668 10,949
2/29/2016 11,104 10,671 10,951
3/31/2016 11,122 10,681 10,966
4/30/2016 11,128 10,688 10,977
5/31/2016 11,124 10,689 10,972
6/30/2016 11,163 10,702 10,998
7/31/2016 11,159 10,706 10,997
8/31/2016 11,156 10,707 10,997
9/30/2016 11,162 10,716 11,004
10/31/2016 11,171 10,723 11,009
11/30/2016 11,157 10,725 11,002
12/31/2016 11,166 10,730 11,009
1/31/2017 11,184 10,738 11,025
2/28/2017 11,192 10,744 11,032
3/31/2017 11,202 10,744 11,027
4/30/2017 11,211 10,752 11,036
5/31/2017 11,222 10,759 11,039
6/30/2017 11,233 10,769 11,042
7/31/2017 11,244 10,780 11,057
8/31/2017 11,257 10,795 11,068
9/30/2017 11,266 10,803 11,070
10/31/2017 11,267 10,813 11,074 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.
--------------------------------------------------------------- ICE BofAML index data copyright 2017
0.86% 0.54% 1.20% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
CITI WORLD GOVERNMENT BOND INDEX, 1-2 YEARS, CURRENCY-HEDGED IN USD TERMS
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA Two-Year Citi World Government Bond Index,
Global Fixed 1-2 Years, Currency-Hedged in
Income Portfolio USD Terms
---------------- -------------------------------------------
10/31/2007 $10,000 $10,000
11/30/2007 10,029 10,083
12/31/2007 10,082 10,114
1/31/2008 10,121 10,220
2/29/2008 10,140 10,268
3/31/2008 10,150 10,272
4/30/2008 10,180 10,247
5/31/2008 10,199 10,229
6/30/2008 10,227 10,241
7/31/2008 10,256 10,287
8/31/2008 10,286 10,324
9/30/2008 10,253 10,389
10/31/2008 10,322 10,501
11/30/2008 10,392 10,564
12/31/2008 10,493 10,630
1/31/2009 10,493 10,649
2/28/2009 10,493 10,656
3/31/2009 10,524 10,689
4/30/2009 10,565 10,699
5/31/2009 10,606 10,719
6/30/2009 10,626 10,730
7/31/2009 10,636 10,753
8/31/2009 10,668 10,774
9/30/2009 10,695 10,790
10/31/2009 10,705 10,798
11/30/2009 10,747 10,819
12/31/2009 10,711 10,805
1/31/2010 10,753 10,830
2/28/2010 10,774 10,851
3/31/2010 10,775 10,850
4/30/2010 10,786 10,840
5/31/2010 10,796 10,871
6/30/2010 10,828 10,877
7/31/2010 10,860 10,892
8/31/2010 10,881 10,908
9/30/2010 10,891 10,903
10/31/2010 10,901 10,910
11/30/2010 10,891 10,897
12/31/2010 10,898 10,907
1/31/2011 10,909 10,910
2/28/2011 10,909 10,911
3/31/2011 10,920 10,910
4/30/2011 10,941 10,924
5/31/2011 10,963 10,944
6/30/2011 10,963 10,946
7/31/2011 10,973 10,950
8/31/2011 10,995 10,992
9/30/2011 10,992 10,994
10/31/2011 10,992 10,989
11/30/2011 10,981 10,982
12/31/2011 10,983 11,031
1/31/2012 11,005 11,053
2/29/2012 11,016 11,068
3/31/2012 11,027 11,069
4/30/2012 11,038 11,074
5/31/2012 11,038 11,071
6/30/2012 11,050 11,080
7/31/2012 11,071 11,095
8/31/2012 11,082 11,114
9/30/2012 11,085 11,122
10/31/2012 11,085 11,127
11/30/2012 11,096 11,137
12/31/2012 11,097 11,144
1/31/2013 11,097 11,150
2/28/2013 11,108 11,161
3/31/2013 11,119 11,166
4/30/2013 11,130 11,180
5/31/2013 11,119 11,176
6/30/2013 11,108 11,171
7/31/2013 11,119 11,185
8/31/2013 11,119 11,185
9/30/2013 11,130 11,198
10/31/2013 11,141 11,211
11/30/2013 11,152 11,219
12/31/2013 11,148 11,218
1/31/2014 11,159 11,231
2/28/2014 11,159 11,237
3/31/2014 11,160 11,238
4/30/2014 11,171 11,243
5/31/2014 11,182 11,252
6/30/2014 11,176 11,258
7/31/2014 11,164 11,261
8/31/2014 11,176 11,270
9/30/2014 11,176 11,272
10/31/2014 11,198 11,280
11/30/2014 11,209 11,290
12/31/2014 11,190 11,284
1/31/2015 11,224 11,308
2/28/2015 11,212 11,304
3/31/2015 11,224 11,314
4/30/2015 11,224 11,318
5/31/2015 11,235 11,324
6/30/2015 11,238 11,324
7/31/2015 11,238 11,331
8/31/2015 11,238 11,331
9/30/2015 11,260 11,345
10/31/2015 11,260 11,346
11/30/2015 11,238 11,339
12/31/2015 11,226 11,339
1/31/2016 11,272 11,371
2/29/2016 11,272 11,381
3/31/2016 11,295 11,390
4/30/2016 11,306 11,400
5/31/2016 11,306 11,401
6/30/2016 11,340 11,435
7/31/2016 11,340 11,435
8/31/2016 11,340 11,435
9/30/2016 11,340 11,451
10/31/2016 11,351 11,453
11/30/2016 11,328 11,445
12/31/2016 11,333 11,460
1/31/2017 11,345 11,473
2/28/2017 11,367 11,485
3/31/2017 11,377 11,487
4/30/2017 11,400 11,498
5/31/2017 11,411 11,509
6/30/2017 11,413 11,507
7/31/2017 11,436 11,527
8/31/2017 11,459 11,545
9/30/2017 11,447 11,545
10/31/2017 11,459 11,556 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.
--------------------------------------------------------------- Citi fixed income indices copyright 2017
0.95% 0.67% 1.37% by Citigroup.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO VS.
CITI WORLD GOVERNMENT BOND INDEX,
1-3 YEARS, IN USD TERMS (UNHEDGED)
JANUARY 9, 2008-OCTOBER 31, 2017
[CHART]
DFA Selectively Hedged Global Citi World Government Bond Index,
Fixed Income Portfolio 1-3 Years, in USD Terms (Unhedged)
------------------------------ ----------------------------------
1/09/2008 $10,000 $10,000
1/31/2008 10,050 10,199
2/29/2008 10,140 10,433
3/31/2008 10,176 10,754
4/30/2008 10,216 10,485
5/31/2008 10,236 10,415
6/30/2008 10,266 10,466
7/31/2008 10,226 10,427
8/31/2008 9,845 10,188
9/30/2008 9,585 10,126
10/31/2008 8,933 10,032
11/30/2008 8,843 10,177
12/31/2008 9,113 10,732
1/31/2009 8,803 10,481
2/28/2009 8,742 10,160
3/31/2009 9,103 10,334
4/30/2009 9,184 10,379
5/31/2009 9,605 10,791
6/30/2009 9,615 10,735
7/31/2009 9,745 10,869
8/31/2009 9,825 11,016
9/30/2009 9,976 11,225
10/31/2009 10,026 11,251
11/30/2009 10,106 11,525
12/31/2009 10,044 11,076
1/31/2010 10,024 11,065
2/28/2010 10,054 11,084
3/31/2010 10,094 10,915
4/30/2010 10,144 10,843
5/31/2010 9,953 10,675
6/30/2010 9,984 10,776
7/31/2010 10,204 11,084
8/31/2010 10,134 11,116
9/30/2010 10,355 11,381
10/31/2010 10,435 11,578
11/30/2010 10,264 11,202
12/31/2010 10,522 11,426
1/31/2011 10,532 11,470
2/28/2011 10,603 11,508
3/31/2011 10,684 11,555
4/30/2011 10,959 11,838
5/31/2011 10,908 11,747
6/30/2011 10,918 11,794
7/31/2011 11,041 11,949
8/31/2011 10,990 12,038
9/30/2011 10,522 11,700
10/31/2011 10,837 11,827
11/30/2011 10,654 11,681
12/31/2011 10,611 11,654
1/31/2012 10,779 11,769
2/29/2012 10,895 11,675
3/31/2012 10,832 11,595
4/30/2012 10,853 11,690
5/31/2012 10,527 11,482
6/30/2012 10,758 11,544
7/31/2012 10,832 11,555
8/31/2012 10,916 11,649
9/30/2012 10,990 11,755
10/31/2012 10,969 11,692
11/30/2012 11,011 11,634
12/31/2012 11,058 11,565
1/31/2013 11,069 11,507
2/28/2013 11,015 11,353
3/31/2013 11,069 11,268
4/30/2013 11,156 11,300
5/31/2013 10,940 11,115
6/30/2013 10,680 11,136
7/31/2013 10,832 11,255
8/31/2013 10,691 11,228
9/30/2013 10,961 11,365
10/31/2013 11,026 11,398
11/30/2013 10,950 11,317
12/31/2013 10,936 11,293
1/31/2014 10,892 11,289
2/28/2014 11,057 11,390
3/31/2014 11,111 11,369
4/30/2014 11,166 11,422
5/31/2014 11,199 11,400
6/30/2014 11,243 11,441
7/31/2014 11,122 11,318
8/31/2014 11,177 11,261
9/30/2014 10,958 10,985
10/31/2014 10,947 10,923
11/30/2014 10,914 10,794
12/31/2014 10,764 10,659
1/31/2015 10,653 10,500
2/28/2015 10,686 10,455
3/31/2015 10,630 10,325
4/30/2015 10,831 10,475
5/31/2015 10,675 10,340
6/30/2015 10,597 10,412
7/31/2015 10,464 10,355
8/31/2015 10,341 10,405
9/30/2015 10,364 10,421
10/31/2015 10,464 10,396
11/30/2015 10,419 10,216
12/31/2015 10,423 10,311
1/31/2016 10,423 10,303
2/29/2016 10,468 10,461
3/31/2016 10,749 10,649
4/30/2016 10,794 10,774
5/31/2016 10,693 10,586
6/30/2016 10,895 10,749
7/31/2016 10,962 10,765
8/31/2016 10,940 10,715
9/30/2016 10,974 10,792
10/31/2016 10,929 10,607
11/30/2016 10,783 10,331
12/31/2016 10,764 10,278
1/31/2017 10,901 10,433
2/28/2017 10,935 10,402
3/31/2017 10,924 10,429
4/30/2017 10,935 10,494
5/31/2017 11,004 10,617
6/30/2017 11,050 10,640
7/31/2017 11,118 10,810
8/31/2017 11,118 10,850
9/30/2017 11,095 10,790
10/31/2017 11,038 10,710 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.
----------------------------------------------------------------- Citi fixed income indices copyright 2017
1.00% 0.13% 1.01% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
CITI WORLD GOVERNMENT BOND INDEX,
1-5 YEARS, CURRENCY-HEDGED IN USD TERMS
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Citi World Government Bond Index,
DFA Five-Year Global 1-5 Years, Currency-Hedged
Fixed Income Portfolio in USD Terms
---------------------- ----------------------------------
10/31/2007 $10,000 $10,000
11/30/2007 10,028 10,109
12/31/2007 10,075 10,138
1/31/2008 10,132 10,289
2/29/2008 10,169 10,357
3/31/2008 10,179 10,354
4/30/2008 10,103 10,286
5/31/2008 10,075 10,227
6/30/2008 10,103 10,228
7/31/2008 10,160 10,303
8/31/2008 10,216 10,367
9/30/2008 10,111 10,434
10/31/2008 10,168 10,586
11/30/2008 10,320 10,699
12/31/2008 10,481 10,806
1/31/2009 10,461 10,811
2/28/2009 10,452 10,833
3/31/2009 10,490 10,889
4/30/2009 10,557 10,891
5/31/2009 10,576 10,895
6/30/2009 10,640 10,913
7/31/2009 10,727 10,953
8/31/2009 10,824 10,991
9/30/2009 10,897 11,025
10/31/2009 10,955 11,036
11/30/2009 11,091 11,095
12/31/2009 10,920 11,054
1/31/2010 11,059 11,096
2/28/2010 11,128 11,142
3/31/2010 11,120 11,138
4/30/2010 11,200 11,143
5/31/2010 11,269 11,215
6/30/2010 11,343 11,244
7/31/2010 11,513 11,285
8/31/2010 11,653 11,338
9/30/2010 11,697 11,330
10/31/2010 11,777 11,341
11/30/2010 11,657 11,286
12/31/2010 11,499 11,273
1/31/2011 11,531 11,265
2/28/2011 11,520 11,255
3/31/2011 11,531 11,248
4/30/2011 11,679 11,281
5/31/2011 11,816 11,336
6/30/2011 11,816 11,342
7/31/2011 12,006 11,382
8/31/2011 12,091 11,481
9/30/2011 12,068 11,485
10/31/2011 12,100 11,469
11/30/2011 11,918 11,446
12/31/2011 12,017 11,534
1/31/2012 12,138 11,583
2/29/2012 12,161 11,603
3/31/2012 12,194 11,593
4/30/2012 12,238 11,617
5/31/2012 12,315 11,627
6/30/2012 12,322 11,639
7/31/2012 12,477 11,678
8/31/2012 12,522 11,708
9/30/2012 12,542 11,729
10/31/2012 12,553 11,736
11/30/2012 12,597 11,766
12/31/2012 12,594 11,776
1/31/2013 12,537 11,766
2/28/2013 12,616 11,793
3/31/2013 12,639 11,805
4/30/2013 12,707 11,843
5/31/2013 12,594 11,803
6/30/2013 12,439 11,767
7/31/2013 12,518 11,799
8/31/2013 12,450 11,782
9/30/2013 12,552 11,823
10/31/2013 12,631 11,862
11/30/2013 12,654 11,880
12/31/2013 12,543 11,849
1/31/2014 12,681 11,900
2/28/2014 12,705 11,916
3/31/2014 12,642 11,914
4/30/2014 12,712 11,935
5/31/2014 12,805 11,970
6/30/2014 12,790 11,983
7/31/2014 12,755 11,985
8/31/2014 12,836 12,019
9/30/2014 12,778 12,017
10/31/2014 12,871 12,046
11/30/2014 12,952 12,076
12/31/2014 12,903 12,074
1/31/2015 13,115 12,141
2/28/2015 13,021 12,123
3/31/2015 13,080 12,149
4/30/2015 13,092 12,146
5/31/2015 13,092 12,154
6/30/2015 13,026 12,135
7/31/2015 13,074 12,167
8/31/2015 13,062 12,165
9/30/2015 13,169 12,205
10/31/2015 13,157 12,209
11/30/2015 13,133 12,205
12/31/2015 13,090 12,195
1/31/2016 13,246 12,286
2/29/2016 13,282 12,321
3/31/2016 13,393 12,334
4/30/2016 13,405 12,335
5/31/2016 13,381 12,340
6/30/2016 13,552 12,422
7/31/2016 13,588 12,426
8/31/2016 13,527 12,412
9/30/2016 13,552 12,436
10/31/2016 13,503 12,411
11/30/2016 13,310 12,352
12/31/2016 13,324 12,377
1/31/2017 13,361 12,380
2/28/2017 13,410 12,410
3/31/2017 13,425 12,413
4/30/2017 13,512 12,448
5/31/2017 13,561 12,475
6/30/2017 13,532 12,457
7/31/2017 13,594 12,488
8/31/2017 13,668 12,530
9/30/2017 13,606 12,509
10/31/2017 13,631 12,526 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.
--------------------------------------------------------------- Citi fixed income indices copyright 2017
0.95% 1.66% 3.15% by Citigroup.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO VS.
CITI NON-USD WORLD GOVERNMENT BOND INDEX, CURRENCY-HEDGED IN USD TERMS
DECEMBER 6, 2011-OCTOBER 31, 2017
[CHART]
DFA World Ex U.S. Citi Non-USD World
Government Fixed Income Government Bond Index,
Portfolio Currency-Hedged in USD Terms
-------------------------- ----------------------------
12/06/2011 $10,000 $10,000
12/31/2011 10,095 10,085
1/31/2012 10,145 10,165
2/29/2012 10,175 10,216
3/31/2012 10,165 10,218
4/30/2012 10,246 10,246
5/31/2012 10,506 10,370
6/30/2012 10,427 10,329
7/31/2012 10,648 10,436
8/31/2012 10,658 10,456
9/30/2012 10,656 10,515
10/31/2012 10,666 10,538
11/30/2012 10,757 10,623
12/31/2012 10,771 10,641
1/31/2013 10,606 10,608
2/28/2013 10,730 10,670
3/31/2013 10,834 10,776
4/30/2013 10,968 10,899
5/31/2013 10,741 10,744
6/30/2013 10,524 10,638
7/31/2013 10,587 10,690
8/31/2013 10,483 10,668
9/30/2013 10,576 10,745
10/31/2013 10,690 10,852
11/30/2013 10,680 10,857
12/31/2013 10,538 10,792
1/31/2014 10,780 10,963
2/28/2014 10,811 11,013
3/31/2014 10,848 11,051
4/30/2014 10,933 11,119
5/31/2014 11,081 11,203
6/30/2014 11,143 11,273
7/31/2014 11,239 11,343
8/31/2014 11,474 11,505
9/30/2014 11,431 11,500
10/31/2014 11,538 11,562
11/30/2014 11,730 11,712
12/31/2014 11,832 11,847
1/31/2015 12,152 12,060
2/28/2015 12,072 12,013
3/31/2015 12,186 12,113
4/30/2015 12,038 12,005
5/31/2015 11,946 11,904
6/30/2015 11,694 11,726
7/31/2015 11,889 11,902
8/31/2015 11,820 11,868
9/30/2015 11,957 11,961
10/31/2015 11,992 12,031
11/30/2015 12,038 12,064
12/31/2015 11,932 12,030
1/31/2016 12,239 12,269
2/29/2016 12,424 12,442
3/31/2016 12,460 12,531
4/30/2016 12,337 12,504
5/31/2016 12,485 12,614
6/30/2016 12,841 12,920
7/31/2016 12,989 12,965
8/31/2016 13,001 12,936
9/30/2016 13,013 12,934
10/31/2016 12,743 12,752
11/30/2016 12,510 12,601
12/31/2016 12,594 12,648
1/31/2017 12,430 12,487
2/28/2017 12,657 12,622
3/31/2017 12,632 12,603
4/30/2017 12,758 12,684
5/31/2017 12,872 12,741
6/30/2017 12,720 12,679
7/31/2017 12,720 12,709
8/31/2017 12,910 12,833
9/30/2017 12,784 12,767
10/31/2017 12,910 12,863 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.
------------------------------------------------------------ Citi fixed income indices copyright 2017
1.31% 3.89% 4.42% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SHORT-TERM GOVERNMENT PORTFOLIO VS.
ICE BOFAML 1-5 YEAR US TREASURY & AGENCY INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA Short-Term Government ICE BofAML 1-5 Year US Treasury
Portfolio & Agency Index
--------------------------- ---------------------------------
10/31/2007 $10,000 $10,000
11/30/2007 10,038 10,198
12/31/2007 10,079 10,232
1/31/2008 10,108 10,441
2/29/2008 10,216 10,551
3/31/2008 10,258 10,586
4/30/2008 10,042 10,480
5/31/2008 9,944 10,416
6/30/2008 9,996 10,453
7/31/2008 10,065 10,502
8/31/2008 10,164 10,560
9/30/2008 10,246 10,631
10/31/2008 10,365 10,730
11/30/2008 10,673 10,952
12/31/2008 10,921 11,089
1/31/2009 10,811 11,025
2/28/2009 10,811 11,016
3/31/2009 10,923 11,106
4/30/2009 10,913 11,080
5/31/2009 10,913 11,083
6/30/2009 10,920 11,058
7/31/2009 10,950 11,088
8/31/2009 11,021 11,150
9/30/2009 11,088 11,191
10/31/2009 11,119 11,219
11/30/2009 11,241 11,322
12/31/2009 11,081 11,190
1/31/2010 11,184 11,299
2/28/2010 11,236 11,335
3/31/2010 11,194 11,290
4/30/2010 11,256 11,338
5/31/2010 11,339 11,418
6/30/2010 11,459 11,505
7/31/2010 11,553 11,568
8/31/2010 11,595 11,616
9/30/2010 11,626 11,646
10/31/2010 11,710 11,689
11/30/2010 11,637 11,645
12/31/2010 11,574 11,578
1/31/2011 11,585 11,612
2/28/2011 11,563 11,588
3/31/2011 11,579 11,583
4/30/2011 11,675 11,664
5/31/2011 11,772 11,743
6/30/2011 11,758 11,747
7/31/2011 11,834 11,829
8/31/2011 11,920 11,916
9/30/2011 11,907 11,900
10/31/2011 11,918 11,912
11/30/2011 11,940 11,927
12/31/2011 11,967 11,947
1/31/2012 12,022 11,985
2/29/2012 12,000 11,956
3/31/2012 12,009 11,934
4/30/2012 12,053 11,989
5/31/2012 12,053 12,010
6/30/2012 12,071 12,002
7/31/2012 12,116 12,049
8/31/2012 12,149 12,056
9/30/2012 12,144 12,057
10/31/2012 12,144 12,044
11/30/2012 12,166 12,070
12/31/2012 12,157 12,064
1/31/2013 12,146 12,050
2/28/2013 12,168 12,077
3/31/2013 12,173 12,083
4/30/2013 12,207 12,110
5/31/2013 12,127 12,049
6/30/2013 12,038 11,999
7/31/2013 12,083 12,027
8/31/2013 12,027 11,994
9/30/2013 12,106 12,055
10/31/2013 12,140 12,086
11/30/2013 12,163 12,101
12/31/2013 12,103 12,044
1/31/2014 12,160 12,096
2/28/2014 12,171 12,113
3/31/2014 12,150 12,076
4/30/2014 12,172 12,106
5/31/2014 12,218 12,154
6/30/2014 12,205 12,142
7/31/2014 12,182 12,116
8/31/2014 12,205 12,157
9/30/2014 12,195 12,136
10/31/2014 12,241 12,195
11/30/2014 12,286 12,234
12/31/2014 12,254 12,194
1/31/2015 12,369 12,315
2/28/2015 12,312 12,255
3/31/2015 12,375 12,305
4/30/2015 12,375 12,309
5/31/2015 12,386 12,320
6/30/2015 12,379 12,309
7/31/2015 12,402 12,331
8/31/2015 12,390 12,330
9/30/2015 12,465 12,394
10/31/2015 12,442 12,367
11/30/2015 12,396 12,331
12/31/2015 12,375 12,313
1/31/2016 12,515 12,444
2/29/2016 12,550 12,474
3/31/2016 12,581 12,503
4/30/2016 12,570 12,503
5/31/2016 12,546 12,485
6/30/2016 12,671 12,603
7/31/2016 12,671 12,598
8/31/2016 12,612 12,560
9/30/2016 12,639 12,581
10/31/2016 12,616 12,557
11/30/2016 12,498 12,444
12/31/2016 12,497 12,447
1/31/2017 12,521 12,468
2/28/2017 12,533 12,487
3/31/2017 12,553 12,494
4/30/2017 12,589 12,532
5/31/2017 12,613 12,559
6/30/2017 12,591 12,541
7/31/2017 12,626 12,576
8/31/2017 12,674 12,618
9/30/2017 12,627 12,577
10/31/2017 12,603 12,565 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.
------------------------------------------------------------- ICE BofAML index data copyright 2017
-0.10% 0.75% 2.34% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. GOVERNMENT BOND INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA Intermediate Government Bloomberg Barclays U.S.
Fixed Income Portfolio Government Bond Index
--------------------------- ------------------------
10/31/2007 $10,000 $10,000
11/30/2007 10,313 10,275
12/31/2007 10,363 10,298
1/31/2008 10,646 10,544
2/29/2008 10,734 10,644
3/31/2008 10,810 10,715
4/30/2008 10,650 10,564
5/31/2008 10,490 10,449
6/30/2008 10,535 10,509
7/31/2008 10,598 10,555
8/31/2008 10,706 10,663
9/30/2008 10,704 10,711
10/31/2008 10,595 10,682
11/30/2008 11,195 11,188
12/31/2008 11,699 11,573
1/31/2009 11,420 11,286
2/28/2009 11,356 11,255
3/31/2009 11,535 11,459
4/30/2009 11,423 11,307
5/31/2009 11,395 11,221
6/30/2009 11,414 11,206
7/31/2009 11,489 11,260
8/31/2009 11,584 11,349
9/30/2009 11,691 11,433
10/31/2009 11,729 11,435
11/30/2009 11,901 11,581
12/31/2009 11,614 11,319
1/31/2010 11,818 11,483
2/28/2010 11,886 11,531
3/31/2010 11,812 11,444
4/30/2010 11,939 11,553
5/31/2010 12,114 11,730
6/30/2010 12,340 11,930
7/31/2010 12,468 12,011
8/31/2010 12,684 12,224
9/30/2010 12,718 12,230
10/31/2010 12,768 12,222
11/30/2010 12,658 12,140
12/31/2010 12,418 11,944
1/31/2011 12,418 11,944
2/28/2011 12,418 11,937
3/31/2011 12,420 11,934
4/30/2011 12,573 12,064
5/31/2011 12,776 12,236
6/30/2011 12,721 12,199
7/31/2011 12,967 12,402
8/31/2011 13,285 12,717
9/30/2011 13,405 12,912
10/31/2011 13,332 12,820
11/30/2011 13,436 12,906
12/31/2011 13,588 13,021
1/31/2012 13,683 13,078
2/29/2012 13,620 12,993
3/31/2012 13,526 12,875
4/30/2012 13,737 13,049
5/31/2012 13,906 13,253
6/30/2012 13,876 13,214
7/31/2012 14,025 13,340
8/31/2012 14,078 13,327
9/30/2012 14,086 13,292
10/31/2012 14,064 13,273
11/30/2012 14,161 13,338
12/31/2012 14,092 13,284
1/31/2013 13,984 13,184
2/28/2013 14,092 13,251
3/31/2013 14,095 13,264
4/30/2013 14,214 13,375
5/31/2013 13,942 13,158
6/30/2013 13,632 13,014
7/31/2013 13,654 13,001
8/31/2013 13,512 12,939
9/30/2013 13,693 13,030
10/31/2013 13,770 13,091
11/30/2013 13,748 13,053
12/31/2013 13,596 12,939
1/31/2014 13,829 13,109
2/28/2014 13,863 13,145
3/31/2014 13,826 13,109
4/30/2014 13,915 13,181
5/31/2014 14,060 13,302
6/30/2014 14,042 13,284
7/31/2014 14,008 13,263
8/31/2014 14,142 13,397
9/30/2014 14,048 13,327
10/31/2014 14,184 13,453
11/30/2014 14,319 13,558
12/31/2014 14,301 13,576
1/31/2015 14,699 13,915
2/28/2015 14,460 13,709
3/31/2015 14,590 13,793
4/30/2015 14,556 13,724
5/31/2015 14,533 13,702
6/30/2015 14,417 13,586
7/31/2015 14,543 13,695
8/31/2015 14,543 13,701
9/30/2015 14,702 13,818
10/31/2015 14,644 13,770
11/30/2015 14,598 13,715
12/31/2015 14,553 13,692
1/31/2016 14,915 13,976
2/29/2016 15,044 14,096
3/31/2016 15,093 14,119
4/30/2016 15,082 14,105
5/31/2016 15,070 14,105
6/30/2016 15,424 14,407
7/31/2016 15,471 14,463
8/31/2016 15,365 14,387
9/30/2016 15,376 14,370
10/31/2016 15,222 14,218
11/30/2016 14,737 13,850
12/31/2016 14,721 13,835
1/31/2017 14,768 13,867
2/28/2017 14,852 13,935
3/31/2017 14,862 13,929
4/30/2017 14,994 14,025
5/31/2017 15,090 14,115
6/30/2017 15,034 14,093
7/31/2017 15,094 14,117
8/31/2017 15,263 14,267
9/30/2017 15,093 14,147
10/31/2017 15,081 14,131 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.
----------------------------------------------------------- Bloomberg Barclays data provided by
-0.93% 1.41% 4.19% Bloomberg.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO VS.
ICE BOFAML 1-5 YEAR US CORPORATE & GOVERNMENT INDEX
MARCH 4, 2009-OCTOBER 31, 2017
[CHART]
DFA Short-Term Extended ICE BofAML 1-5 Year US Corporate
Quality Portfolio & Government Index
----------------------- ----------------------------------
3/04/2009 $10,000 $10,000
3/31/2009 10,030 10,077
4/30/2009 10,135 10,138
5/31/2009 10,251 10,223
6/30/2009 10,348 10,251
7/31/2009 10,501 10,329
8/31/2009 10,602 10,414
9/30/2009 10,681 10,476
10/31/2009 10,749 10,524
11/30/2009 10,880 10,628
12/31/2009 10,774 10,522
1/31/2010 10,918 10,641
2/28/2010 10,964 10,679
3/31/2010 10,958 10,655
4/30/2010 11,041 10,712
5/31/2010 11,047 10,754
6/30/2010 11,135 10,837
7/31/2010 11,258 10,922
8/31/2010 11,347 10,980
9/30/2010 11,404 11,022
10/31/2010 11,473 11,072
11/30/2010 11,403 11,024
12/31/2010 11,329 10,960
1/31/2011 11,381 11,002
2/28/2011 11,381 10,992
3/31/2011 11,383 10,994
4/30/2011 11,500 11,083
5/31/2011 11,575 11,159
6/30/2011 11,564 11,157
7/31/2011 11,671 11,241
8/31/2011 11,691 11,290
9/30/2011 11,648 11,250
10/31/2011 11,692 11,287
11/30/2011 11,615 11,269
12/31/2011 11,660 11,300
1/31/2012 11,768 11,373
2/29/2012 11,808 11,374
3/31/2012 11,817 11,370
4/30/2012 11,859 11,420
5/31/2012 11,866 11,429
6/30/2012 11,885 11,439
7/31/2012 11,989 11,507
8/31/2012 12,021 11,530
9/30/2012 12,062 11,551
10/31/2012 12,069 11,554
11/30/2012 12,087 11,578
12/31/2012 12,083 11,579
1/31/2013 12,072 11,574
2/28/2013 12,112 11,606
3/31/2013 12,125 11,614
4/30/2013 12,171 11,649
5/31/2013 12,111 11,590
6/30/2013 12,013 11,521
7/31/2013 12,062 11,561
8/31/2013 12,021 11,533
9/30/2013 12,108 11,599
10/31/2013 12,164 11,644
11/30/2013 12,190 11,664
12/31/2013 12,132 11,615
1/31/2014 12,211 11,672
2/28/2014 12,242 11,699
3/31/2014 12,213 11,667
4/30/2014 12,251 11,702
5/31/2014 12,311 11,757
6/30/2014 12,304 11,752
7/31/2014 12,284 11,726
8/31/2014 12,321 11,768
9/30/2014 12,290 11,744
10/31/2014 12,339 11,798
11/30/2014 12,388 11,835
12/31/2014 12,336 11,791
1/31/2015 12,474 11,905
2/28/2015 12,431 11,862
3/31/2015 12,471 11,909
4/30/2015 12,486 11,917
5/31/2015 12,487 11,928
6/30/2015 12,446 11,910
7/31/2015 12,474 11,931
8/31/2015 12,456 11,924
9/30/2015 12,530 11,980
10/31/2015 12,522 11,968
11/30/2015 12,519 11,940
12/31/2015 12,479 11,914
1/31/2016 12,572 12,020
2/29/2016 12,574 12,044
3/31/2016 12,696 12,106
4/30/2016 12,748 12,124
5/31/2016 12,731 12,112
6/30/2016 12,855 12,225
7/31/2016 12,887 12,237
8/31/2016 12,858 12,213
9/30/2016 12,875 12,231
10/31/2016 12,859 12,212
11/30/2016 12,724 12,099
12/31/2016 12,736 12,107
1/31/2017 12,774 12,135
2/28/2017 12,815 12,166
3/31/2017 12,838 12,175
4/30/2017 12,892 12,218
5/31/2017 12,936 12,254
6/30/2017 12,933 12,242
7/31/2017 12,988 12,285
8/31/2017 13,023 12,327
9/30/2017 12,999 12,296
10/31/2017 13,012 12,292 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.
-------------------------------------------------------------- ICE BofAML index data copyright 2017
1.19% 1.52% 3.09% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. CREDIT BOND INDEX
JULY 20, 2010-OCTOBER 31, 2017
[CHART]
DFA Intermediate-Term Bloomberg Barclays U.S.
Extended Quality Portfolio Credit Bond Index
-------------------------- ------------------------
7/20/2010 $10,000 $10,000
7/31/2010 10,020 10,093
8/31/2010 10,230 10,296
9/30/2010 10,282 10,362
10/31/2010 10,315 10,376
11/30/2010 10,195 10,273
12/31/2010 9,963 10,169
1/31/2011 9,983 10,191
2/28/2011 10,018 10,264
3/31/2011 10,015 10,260
4/30/2011 10,184 10,434
5/31/2011 10,363 10,594
6/30/2011 10,278 10,516
7/31/2011 10,583 10,769
8/31/2011 10,745 10,808
9/30/2011 10,773 10,835
10/31/2011 10,825 10,993
11/30/2011 10,683 10,809
12/31/2011 10,897 11,019
1/31/2012 11,085 11,248
2/29/2012 11,133 11,333
3/31/2012 11,032 11,243
4/30/2012 11,228 11,394
5/31/2012 11,359 11,471
6/30/2012 11,356 11,520
7/31/2012 11,607 11,832
8/31/2012 11,644 11,857
9/30/2012 11,715 11,928
10/31/2012 11,819 12,061
11/30/2012 11,850 12,061
12/31/2012 11,798 12,051
1/31/2013 11,658 11,946
2/28/2013 11,770 12,030
3/31/2013 11,804 12,030
4/30/2013 11,989 12,247
5/31/2013 11,676 11,958
6/30/2013 11,290 11,617
7/31/2013 11,362 11,700
8/31/2013 11,224 11,605
9/30/2013 11,364 11,701
10/31/2013 11,509 11,870
11/30/2013 11,448 11,838
12/31/2013 11,348 11,809
1/31/2014 11,657 12,007
2/28/2014 11,730 12,138
3/31/2014 11,715 12,153
4/30/2014 11,855 12,297
5/31/2014 12,052 12,471
6/30/2014 12,051 12,481
7/31/2014 12,035 12,476
8/31/2014 12,223 12,656
9/30/2014 12,070 12,478
10/31/2014 12,189 12,611
11/30/2014 12,310 12,697
12/31/2014 12,263 12,697
1/31/2015 12,720 13,057
2/28/2015 12,563 12,927
3/31/2015 12,629 12,972
4/30/2015 12,579 12,896
5/31/2015 12,498 12,822
6/30/2015 12,275 12,598
7/31/2015 12,373 12,677
8/31/2015 12,288 12,602
9/30/2015 12,473 12,665
10/31/2015 12,513 12,725
11/30/2015 12,502 12,697
12/31/2015 12,420 12,600
1/31/2016 12,547 12,666
2/29/2016 12,642 12,771
3/31/2016 12,918 13,093
4/30/2016 13,054 13,253
5/31/2016 13,037 13,247
6/30/2016 13,346 13,549
7/31/2016 13,500 13,727
8/31/2016 13,484 13,754
9/30/2016 13,477 13,716
10/31/2016 13,340 13,599
11/30/2016 12,885 13,228
12/31/2016 12,921 13,309
1/31/2017 12,971 13,354
2/29/2017 13,110 13,502
3/31/2017 13,112 13,481
4/30/2017 13,278 13,616
5/31/2017 13,410 13,763
6/30/2017 13,396 13,799
7/31/2017 13,515 13,900
8/31/2017 13,653 14,016
9/30/2017 13,553 13,985 Past performance is not predictive of
10/31/2017 13,614 14,032 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 Barclays data provided by
2.05% 2.87% 4.33% Bloomberg.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA TARGETED CREDIT PORTFOLIO VS.
BLOOMBERG BARCLAYS GLOBAL AGGREGATE CREDIT 1-5 YEAR (HEDGED TO USD)
MAY 20, 2015-OCTOBER 31, 2017
[CHART]
Bloomberg Barclays Global Aggregate
DFA Targeted Credit 1-5 year Bond Index
Credit Portfolio (Hedged to USD)
------------------ -----------------------------------
5/20/2015 $10,000 $10,000
5/31/2015 10,000 10,015
6/30/2015 9,941 9,980
7/31/2015 9,973 10,006
8/31/2015 9,957 9,991
9/30/2015 10,022 10,003
10/31/2015 10,018 10,028
11/30/2015 10,013 10,031
12/31/2015 9,969 10,008
1/31/2016 10,016 10,054
2/29/2016 10,018 10,071
3/31/2016 10,149 10,157
4/30/2016 10,205 10,195
5/31/2016 10,200 10,205
6/30/2016 10,320 10,278
7/31/2016 10,379 10,323
8/31/2016 10,366 10,335
9/30/2016 10,380 10,350
10/31/2016 10,358 10,343
11/30/2016 10,222 10,276
12/31/2016 10,238 10,298
1/31/2017 10,271 10,328
2/29/2017 10,319 10,377
3/31/2017 10,331 10,383
4/30/2017 10,400 10,428
5/31/2017 10,451 10,468
6/30/2017 10,443 10,460
7/31/2017 10,514 10,512
8/31/2017 10,546 10,550
9/30/2017 10,535 10,542
10/31/2017 10,559 10,569 Past performance is not predictive of
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.
-------------------------------------------------------------- Bloomberg Barclays data provided by
1.94% 2.25% Bloomberg.
--------------------------------------------------------------------------------
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INVESTMENT GRADE PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX
MARCH 7, 2011-OCTOBER 31, 2017
[CHART]
DFA Investment Grade Bloomberg Barclays U.S.
Portfolio Aggregate Bond Index
--------------------------- -------------------------
3/07/2011 $10,000 $10,000
3/31/2011 10,040 10,026
4/30/2011 10,180 10,153
5/31/2011 10,330 10,285
6/30/2011 10,273 10,255
7/31/2011 10,505 10,418
8/31/2011 10,686 10,570
9/30/2011 10,725 10,647
10/31/2011 10,735 10,658
11/30/2011 10,694 10,649
12/31/2011 10,831 10,766
1/31/2012 10,953 10,861
2/29/2012 10,963 10,858
3/31/2012 10,899 10,799
4/30/2012 11,042 10,919
5/31/2012 11,145 11,017
6/30/2012 11,140 11,022
7/31/2012 11,295 11,174
8/31/2012 11,336 11,181
9/30/2012 11,371 11,196
10/31/2012 11,402 11,218
11/30/2012 11,443 11,236
12/31/2012 11,406 11,220
1/31/2013 11,322 11,142
2/28/2013 11,396 11,197
3/31/2013 11,418 11,206
4/30/2013 11,533 11,320
5/31/2013 11,313 11,118
6/30/2013 11,045 10,946
7/31/2013 11,098 10,961
8/31/2013 10,982 10,905
9/30/2013 11,116 11,008
10/31/2013 11,222 11,097
11/30/2013 11,180 11,055
12/31/2013 11,078 10,993
1/31/2014 11,314 11,155
2/28/2014 11,367 11,215
3/31/2014 11,349 11,196
4/30/2014 11,446 11,290
5/31/2014 11,596 11,419
6/30/2014 11,583 11,424
7/31/2014 11,561 11,396
8/31/2014 11,702 11,522
9/30/2014 11,595 11,443
10/31/2014 11,704 11,556
11/30/2014 11,801 11,638
12/31/2014 11,768 11,649
1/31/2015 12,119 11,893
2/28/2015 11,976 11,781
3/31/2015 12,053 11,836
4/30/2015 12,020 11,793
5/31/2015 11,987 11,765
6/30/2015 11,847 11,637
7/31/2015 11,936 11,718
8/31/2015 11,891 11,701
9/30/2015 12,028 11,780
10/31/2015 12,028 11,782
11/30/2015 12,017 11,751
12/31/2015 11,957 11,713
1/31/2016 12,125 11,874
2/29/2016 12,204 11,958
3/31/2016 12,358 12,068
4/30/2016 12,415 12,114
5/31/2016 12,392 12,117
6/30/2016 12,645 12,335
7/31/2016 12,713 12,413
8/31/2016 12,668 12,399
9/30/2016 12,686 12,392
10/31/2016 12,583 12,297
11/30/2016 12,253 12,006
12/31/2016 12,265 12,023
1/31/2017 12,299 12,047
2/29/2017 12,391 12,127
3/31/2017 12,398 12,121
4/30/2017 12,513 12,215
5/31/2017 12,606 12,309
6/30/2017 12,583 12,296
7/31/2017 12,664 12,349
8/31/2017 12,780 12,460
9/30/2017 12,680 12,401 Past performance is not predictive of
10/31/2017 12,692 12,408 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 Barclays data provided by
0.86% 2.17% 3.65% Bloomberg.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA DIVERSIFIED FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. INTERMEDIATE GOVERNMENT BOND INDEX
AUGUST 10, 2016-OCTOBER 31, 2017
[CHART]
DFA Diversified Fixed Bloomberg Barclays U.S. Intermediate
Income Portfolio Government Bond Index
----------------------- ------------------------------------
8/10/2016 $10,000 $10,000
8/31/2016 9,980 9,968
9/30/2016 9,996 9,985
10/31/2016 9,936 9,937
11/30/2016 9,755 9,770
12/31/2016 9,755 9,767
1/31/2017 9,785 9,787
2/28/2017 9,825 9,815
3/31/2017 9,829 9,820
4/30/2017 9,880 9,871
5/31/2017 9,920 9,910
6/30/2017 9,895 9,884
7/31/2017 9,925 9,916
8/31/2017 9,996 9,976
9/30/2017 9,910 9,918
10/31/2017 9,930 9,906 Past performance is not predictive of
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.
------------------------------------------------------------- Bloomberg Barclays data provided by
-0.05% -0.57% Bloomberg.
--------------------------------------------------------------------------------
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA LTIP PORTFOLIO - INSTITUTIONAL CLASS VS.
CITI U.S. INFLATION-LINKED SECURITIES INDEX, 20+ YEARS
MARCH 7, 2012-OCTOBER 31, 2017
[CHART]
Citi U.S. Inflation-
DFA LTIP Portfolio - Linked Securities Index,
Institutional Class 20+ Years
--------------------- -------------------------
3/07/2012 $10,000 $10,000
3/31/2012 9,770 9,821
4/30/2012 10,310 10,266
5/31/2012 10,890 10,921
6/30/2012 10,751 10,847
7/31/2012 11,403 11,424
8/31/2012 11,152 11,175
9/30/2012 11,092 11,148
10/31/2012 11,423 11,432
11/30/2012 11,464 11,528
12/31/2012 11,239 11,314
1/31/2013 10,847 10,952
2/28/2013 10,817 10,947
3/31/2013 10,666 10,809
4/30/2013 11,159 11,318
5/31/2013 9,842 10,024
6/30/2013 9,044 9,391
7/31/2013 9,014 9,290
8/31/2013 8,659 9,022
9/30/2013 8,881 9,195
10/31/2013 8,963 9,258
11/30/2013 8,545 8,887
12/31/2013 8,309 8,696
1/31/2014 8,963 9,275
2/28/2014 8,983 9,321
3/31/2014 9,075 9,416
4/30/2014 9,423 9,747
5/31/2014 9,893 10,169
6/30/2014 9,981 10,258
7/31/2014 10,097 10,411
8/31/2014 10,432 10,698
9/30/2014 9,762 10,063
10/31/2014 10,059 10,362
11/30/2014 10,281 10,486
12/31/2014 10,356 10,637
1/31/2015 10,727 11,406
2/28/2015 10,282 11,024
3/31/2015 10,176 10,893
4/30/2015 10,123 10,835
5/31/2015 9,700 10,453
6/30/2015 9,318 10,049
7/31/2015 9,562 10,241
8/31/2015 9,318 10,045
9/30/2015 9,058 9,719
10/31/2015 9,250 9,907
11/30/2015 9,271 9,917
12/31/2015 9,047 9,745
1/31/2016 9,346 9,990
2/29/2016 9,623 10,295
3/31/2016 10,028 10,694
4/30/2016 10,071 10,753
5/31/2016 9,911 10,618
6/30/2016 10,499 11,143
7/31/2016 10,918 11,584
8/31/2016 10,929 11,607
9/30/2016 10,920 11,496
10/31/2016 10,628 11,277
11/30/2016 10,086 10,824
12/31/2016 9,986 10,665
1/31/2017 10,118 10,803
2/28/2017 10,260 10,975
3/31/2017 10,176 10,892
4/30/2017 10,275 11,033
5/31/2017 10,264 11,027
6/30/2017 10,112 10,848
7/31/2017 10,123 10,848
8/31/2017 10,444 11,173
9/30/2017 10,293 11,054 Past performance is not predictive of
10/31/2017 10,360 11,110 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.
-------------------------------------------------------- Citi fixed income indices copyright 2017
-2.52% -1.94% 0.63% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. TIPS INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA Inflation-Protected Bloomberg Barclays
Securities Portfolio U.S. TIPS Index
------------------------- --------------------
10/31/2007 $10,000 $10,000
11/30/2007 10,425 10,397
12/31/2007 10,385 10,380
1/31/2008 10,833 10,792
2/29/2008 11,018 10,924
3/31/2008 11,041 10,918
4/30/2008 10,776 10,688
5/31/2008 10,766 10,722
6/30/2008 10,979 10,887
7/31/2008 10,909 10,832
8/31/2008 10,989 10,920
9/30/2008 10,540 10,502
10/31/2008 9,601 9,589
11/30/2008 9,632 9,657
12/31/2008 10,238 10,136
1/31/2009 10,362 10,307
2/28/2009 10,114 10,105
3/31/2009 10,764 10,695
4/30/2009 10,599 10,496
5/31/2009 10,754 10,717
6/30/2009 10,764 10,766
7/31/2009 10,795 10,774
8/31/2009 10,899 10,868
9/30/2009 11,126 11,097
10/31/2009 11,301 11,233
11/30/2009 11,611 11,546
12/31/2009 11,366 11,293
1/31/2010 11,543 11,474
2/28/2010 11,439 11,342
3/31/2010 11,423 11,356
4/30/2010 11,726 11,626
5/31/2010 11,716 11,625
6/30/2010 11,907 11,791
7/31/2010 11,917 11,808
8/31/2010 12,128 12,011
9/30/2010 12,258 12,083
10/31/2010 12,576 12,404
11/30/2010 12,375 12,194
12/31/2010 12,140 12,005
1/31/2011 12,204 12,029
2/28/2011 12,279 12,132
3/31/2011 12,391 12,255
4/30/2011 12,704 12,563
5/31/2011 12,791 12,601
6/30/2011 12,903 12,703
7/31/2011 13,443 13,200
8/31/2011 13,575 13,308
9/30/2011 13,523 13,276
10/31/2011 13,757 13,524
11/30/2011 13,890 13,628
12/31/2011 13,905 13,633
1/31/2012 14,223 13,946
2/29/2012 14,178 13,900
3/31/2012 14,030 13,751
4/30/2012 14,348 14,029
5/31/2012 14,576 14,264
6/30/2012 14,493 14,184
7/31/2012 14,746 14,453
8/31/2012 14,746 14,412
9/30/2012 14,850 14,485
10/31/2012 14,953 14,610
11/30/2012 15,045 14,680
12/31/2012 14,941 14,585
1/31/2013 14,836 14,486
2/28/2013 14,859 14,491
3/31/2013 14,906 14,532
4/30/2013 15,023 14,647
5/31/2013 14,357 14,009
6/30/2013 13,721 13,507
7/31/2013 13,874 13,605
8/31/2013 13,616 13,407
9/30/2013 13,897 13,602
10/31/2013 13,968 13,676
11/30/2013 13,814 13,528
12/31/2013 13,556 13,329
1/31/2014 13,875 13,593
2/28/2014 13,923 13,654
3/31/2014 13,816 13,589
4/30/2014 14,017 13,772
5/31/2014 14,325 14,064
6/30/2014 14,365 14,106
7/31/2014 14,353 14,110
8/31/2014 14,425 14,172
9/30/2014 14,040 13,818
10/31/2014 14,161 13,936
11/30/2014 14,221 13,972
12/31/2014 14,012 13,814
1/31/2015 14,519 14,249
2/28/2015 14,314 14,078
3/31/2015 14,266 14,011
4/30/2015 14,374 14,114
5/31/2015 14,241 13,998
6/30/2015 14,109 13,862
7/31/2015 14,181 13,891
8/31/2015 14,048 13,785
9/30/2015 13,998 13,703
10/31/2015 14,022 13,738
11/30/2015 13,998 13,725
12/31/2015 13,841 13,616
1/31/2016 14,108 13,818
2/29/2016 14,279 13,972
3/31/2016 14,534 14,223
4/30/2016 14,571 14,272
5/31/2016 14,449 14,171
6/30/2016 14,786 14,466
7/31/2016 14,871 14,591
8/31/2016 14,786 14,526
9/30/2016 14,931 14,605
10/31/2016 14,858 14,547
11/30/2016 14,501 14,268
12/31/2016 14,487 14,254
1/31/2017 14,648 14,373
2/29/2017 14,710 14,441
3/31/2017 14,704 14,433
4/30/2017 14,816 14,519
5/31/2017 14,816 14,513
6/30/2017 14,655 14,375
7/31/2017 14,767 14,439
8/31/2017 14,930 14,593
9/30/2017 14,781 14,499 Past performance is not predictive of
10/31/2017 14,818 14,530 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.
--------------------------------------------------------- Bloomberg Barclays data provided by
-0.26% -0.18% 4.01% Bloomberg.
--------------------------------------------------------------------------------
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA SHORT DURATION REAL RETURN PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. TIPS 1-5 YEARS INDEX
NOVEMBER 5, 2013-OCTOBER 31, 2017
[CHART]
DFA Short Duration Real Bloomberg Barclays U.S. TIPS
Return Portfolio 1-5 Years Index
------------------------- ------------------------------
11/05/2013 $10,000 $10,000
11/30/2013 9,990 10,020
12/31/2013 9,930 9,969
1/31/2014 9,980 10,009
2/28/2014 10,040 10,037
3/31/2014 10,020 9,989
4/30/2014 10,060 10,050
5/31/2014 10,170 10,135
6/30/2014 10,221 10,171
7/31/2014 10,160 10,136
8/31/2014 10,140 10,121
9/30/2014 10,030 10,015
10/31/2014 10,020 10,019
11/30/2014 9,990 10,004
12/31/2014 9,836 9,856
1/31/2015 9,957 9,968
2/28/2015 9,967 9,938
3/31/2015 9,906 9,901
4/30/2015 9,987 9,978
5/31/2015 9,967 9,971
6/30/2015 9,927 9,963
7/31/2015 9,896 9,930
8/31/2015 9,856 9,902
9/30/2015 9,856 9,892
10/31/2015 9,896 9,890
11/30/2015 9,896 9,870
12/31/2015 9,881 9,842
1/31/2016 9,891 9,912
2/29/2016 9,891 9,938
3/31/2016 10,055 10,054
4/30/2016 10,086 10,058
5/31/2016 10,065 10,038
6/30/2016 10,157 10,149
7/31/2016 10,167 10,140
8/31/2016 10,157 10,104
9/30/2016 10,229 10,177
10/31/2016 10,260 10,182
11/30/2016 10,188 10,118
12/31/2016 10,240 10,151
1/31/2017 10,302 10,205
2/29/2017 10,333 10,214
3/31/2017 10,343 10,230
4/30/2017 10,333 10,231
5/31/2017 10,323 10,222
6/30/2017 10,292 10,171
7/31/2017 10,333 10,203
8/31/2017 10,354 10,234
9/30/2017 10,375 10,219 Past performance is not predictive of
10/31/2017 10,406 10,236 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.
----------------------------------------------------- Bloomberg Barclays data provided by
1.42% 1.00% Bloomberg.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA MUNICIPAL REAL RETURN PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
NOVEMBER 4, 2014-OCTOBER 31, 2017
[CHART]
S&P Intermediate Term
DFA Municipal Real National AMT-Free Municipal
Return Portfolio Bond Index
-------------------- ---------------------------
11/04/2014 $10,000 $10,000
11/30/2014 9,910 10,027
12/31/2014 9,760 10,067
1/31/2015 9,950 10,213
2/28/2015 9,894 10,121
3/31/2015 9,786 10,138
4/30/2015 9,832 10,103
5/31/2015 9,760 10,067
6/30/2015 9,798 10,063
7/31/2015 9,756 10,130
8/31/2015 9,753 10,144
9/30/2015 9,711 10,211
10/31/2015 9,802 10,247
11/30/2015 9,838 10,280
12/31/2015 9,866 10,344
1/31/2016 9,911 10,460
2/29/2016 9,917 10,466
3/31/2016 9,990 10,488
4/30/2016 10,050 10,551
5/31/2016 9,977 10,557
6/30/2016 10,057 10,692
7/31/2016 10,068 10,695
8/31/2016 10,087 10,711
9/30/2016 10,135 10,670
10/31/2016 10,136 10,592
11/30/2016 9,890 10,260
12/31/2016 10,021 10,358
1/31/2017 10,126 10,408
2/28/2017 10,155 10,467
3/31/2017 10,180 10,488
4/30/2017 10,211 10,560
5/31/2017 10,253 10,691
6/30/2017 10,182 10,655
7/31/2017 10,255 10,729
8/31/2017 10,279 10,811 Past performance is not predictive of
9/30/2017 10,257 10,768 future performance.
10/31/2017 10,280 10,776 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 Copyright 2017 S&P Dow Jones Indices
------------------------------------------------------ LLC, a division of S&P Global. All rights
1.42% 0.93% reserved.
--------------------------------------------------------------------------------
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
MARCH 10, 2015-OCTOBER 31, 2017
[CHART]
S&P Intermediate Term
DFA Municipal National AMT-Free Municipal
Bond Portfolio Bond Index
---------------- ---------------------------
3/10/2015 $10,000 $10,000
3/31/2015 10,060 10,072
4/30/2015 10,024 10,037
5/31/2015 9,984 10,001
6/30/2015 9,994 9,997
7/31/2015 10,052 10,065
8/31/2015 10,062 10,078
9/30/2015 10,132 10,145
10/31/2015 10,183 10,181
11/30/2015 10,180 10,213
12/31/2015 10,211 10,277
1/31/2016 10,358 10,392
2/29/2016 10,385 10,398
3/31/2016 10,348 10,419
4/30/2016 10,398 10,482
5/31/2016 10,377 10,488
6/30/2016 10,457 10,622
7/31/2016 10,477 10,626
8/31/2016 10,475 10,642
9/30/2016 10,440 10,601
10/31/2016 10,409 10,523
11/30/2016 10,184 10,193
12/31/2016 10,242 10,291
1/31/2017 10,306 10,340
2/28/2017 10,364 10,399
3/31/2017 10,357 10,419
4/30/2017 10,417 10,491
5/31/2017 10,489 10,622
6/30/2017 10,458 10,586
7/31/2017 10,510 10,660 Past performance is not predictive of
8/31/2017 10,552 10,740 future performance.
9/30/2017 10,498 10,698 The returns shown do not reflect the
10/31/2017 10,488 10,706 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 Copyright 2017 S&P Dow Jones Indices
------------------------------------------------------ LLC, a division of S&P Global. All rights
0.76% 1.82% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS.
ICE BOFAML 1-3 YEAR US MUNICIPAL SECURITIES INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA Short-Term Municipal ICE BofAML 1-3 Year
Bond Portfolio US Municipal
Securities Index
-------------------------- -----------------------
10/31/2007 $10,000 $10,000
11/30/2007 10,026 10,057
12/31/2007 10,059 10,115
1/31/2008 10,109 10,287
2/29/2008 10,090 10,202
3/31/2008 10,127 10,320
4/30/2008 10,132 10,324
5/31/2008 10,156 10,360
6/30/2008 10,139 10,336
7/31/2008 10,184 10,426
8/31/2008 10,229 10,484
9/30/2008 10,155 10,401
10/31/2008 10,190 10,448
11/30/2008 10,274 10,553
12/31/2008 10,351 10,638
1/31/2009 10,474 10,769
2/28/2009 10,447 10,758
3/31/2009 10,493 10,810
4/30/2009 10,523 10,840
5/31/2009 10,511 10,864
6/30/2009 10,518 10,885
7/31/2009 10,619 10,956
8/31/2009 10,606 10,960
9/30/2009 10,665 11,021
10/31/2009 10,629 11,022
11/30/2009 10,729 11,076
12/31/2009 10,733 11,085
1/31/2010 10,764 11,115
2/28/2010 10,796 11,143
3/31/2010 10,736 11,112
4/30/2010 10,764 11,147
5/31/2010 10,812 11,185
6/30/2010 10,838 11,211
7/31/2010 10,917 11,259
8/31/2010 10,964 11,282
9/30/2010 10,925 11,270
10/31/2010 10,920 11,276
11/30/2010 10,892 11,247
12/31/2010 10,851 11,228
1/31/2011 10,851 11,249
2/28/2011 10,874 11,276
3/31/2011 10,912 11,303
4/30/2011 10,957 11,333
5/31/2011 11,004 11,379
6/30/2011 11,018 11,403
7/31/2011 11,056 11,433
8/31/2011 11,113 11,462
9/30/2011 11,084 11,457
10/31/2011 11,055 11,446
11/30/2011 11,067 11,461
12/31/2011 11,109 11,494
1/31/2012 11,142 11,522
2/29/2012 11,163 11,550
3/31/2012 11,134 11,543
4/30/2012 11,158 11,556
5/31/2012 11,160 11,564
6/30/2012 11,173 11,572
7/31/2012 11,187 11,590
8/31/2012 11,198 11,598
9/30/2012 11,200 11,610
10/31/2012 11,200 11,611
11/30/2012 11,200 11,620
12/31/2012 11,190 11,612
1/31/2013 11,201 11,636
2/28/2013 11,209 11,658
3/31/2013 11,210 11,664
4/30/2013 11,219 11,671
5/31/2013 11,216 11,669
6/30/2013 11,192 11,643
7/31/2013 11,201 11,669
8/31/2013 11,198 11,674
9/30/2013 11,216 11,697
10/31/2013 11,247 11,721
11/30/2013 11,244 11,733
12/31/2013 11,242 11,736
1/31/2014 11,275 11,760
2/28/2014 11,300 11,784
3/31/2014 11,254 11,766
4/30/2014 11,273 11,783
5/31/2014 11,303 11,800
6/30/2014 11,301 11,806
7/31/2014 11,309 11,811
8/31/2014 11,350 11,822
9/30/2014 11,336 11,820
10/31/2014 11,345 11,827
11/30/2014 11,353 11,833
12/31/2014 11,305 11,821
1/31/2015 11,405 11,857
2/28/2015 11,355 11,858
3/31/2015 11,355 11,851
4/30/2015 11,351 11,853
5/31/2015 11,326 11,843
6/30/2015 11,357 11,853
7/31/2015 11,388 11,880
8/31/2015 11,396 11,897
9/30/2015 11,427 11,920
10/31/2015 11,459 11,937
11/30/2015 11,439 11,913
12/31/2015 11,436 11,911
1/31/2016 11,517 11,966
2/29/2016 11,545 11,994
3/31/2016 11,501 11,971
4/30/2016 11,530 11,993
5/31/2016 11,517 11,985
6/30/2016 11,570 12,027
7/31/2016 11,602 12,051
8/31/2016 11,588 12,044
9/30/2016 11,550 12,006
10/31/2016 11,537 12,007
11/30/2016 11,421 11,932
12/31/2016 11,441 11,950
1/31/2017 11,507 12,003
2/28/2017 11,549 12,054
3/31/2017 11,539 12,047
4/30/2017 11,570 12,074
5/31/2017 11,614 12,103
6/30/2017 11,589 12,087
7/31/2017 11,621 12,123
8/31/2017 11,643 12,157 Past performance is not predictive of
9/30/2017 11,626 12,138 future performance.
10/31/2017 11,614 12,127 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.
---------------------------------------------------------- ICE BofAML index data copyright 2017
0.67% 0.73% 1.51% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
MARCH 1, 2012-OCTOBER 31, 2017
[CHART]
DFA Intermediate-Term Municipal S&P Intermediate Term National
Bond Portfolio AMT-Free Municipal Bond Index
------------------------------- --------------------------------
3/1/2012 $10,000 $10,000
3/31/2012 9,860 9,930
4/30/2012 9,957 10,029
5/31/2012 10,012 10,093
6/30/2012 9,974 10,082
7/31/2012 10,066 10,209
8/31/2012 10,055 10,219
9/30/2012 10,106 10,278
10/31/2012 10,113 10,288
11/30/2012 10,225 10,425
12/31/2012 10,114 10,292
1/31/2013 10,124 10,338
2/28/2013 10,160 10,378
3/31/2013 10,128 10,329
4/30/2013 10,227 10,420
5/31/2013 10,053 10,300
6/30/2013 9,828 10,061
7/31/2013 9,828 10,026
8/31/2013 9,704 9,911
9/30/2013 9,928 10,084
10/31/2013 10,022 10,163
11/30/2013 9,954 10,143
12/31/2013 9,907 10,116
1/31/2014 10,070 10,278
2/28/2014 10,177 10,379
3/31/2014 10,101 10,359
4/30/2014 10,228 10,467
5/31/2014 10,325 10,560
6/30/2014 10,299 10,552
7/31/2014 10,324 10,573
8/31/2014 10,430 10,676
9/30/2014 10,392 10,672
10/31/2014 10,457 10,718
11/30/2014 10,459 10,724
12/31/2014 10,450 10,767
1/31/2015 10,658 10,923
2/28/2015 10,526 10,825
3/31/2015 10,540 10,843
4/30/2015 10,510 10,805
5/31/2015 10,471 10,767
6/30/2015 10,472 10,763
7/31/2015 10,536 10,835
8/31/2015 10,559 10,850
9/30/2015 10,634 10,921
10/31/2015 10,679 10,960
11/30/2015 10,678 10,994
12/31/2015 10,722 11,063
1/31/2016 10,858 11,187
2/29/2016 10,887 11,194
3/31/2016 10,850 11,217
4/30/2016 10,913 11,285
5/31/2016 10,882 11,291
6/30/2016 10,989 11,435
7/31/2016 11,012 11,439
8/31/2016 11,002 11,456
9/30/2016 10,958 11,412
10/31/2016 10,917 11,328
11/30/2016 10,652 10,973
12/31/2016 10,706 11,078
1/31/2017 10,782 11,132
2/28/2017 10,846 11,194
3/31/2017 10,851 11,217
4/30/2017 10,915 11,294
5/31/2017 11,014 11,435
6/30/2017 10,962 11,396
7/31/2017 11,028 11,476
8/31/2017 11,074 11,562 Past performance is not predictive of
9/30/2017 11,008 11,517 future performance.
10/31/2017 11,000 11,525 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
0.75% 1.69% 1.70% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS.
ICE BOFAML 1-3 YEAR CALIFORNIA INCLUDING PUERTO RICO MUNICIPAL SECURITIES INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA California Short-Term ICE BofAML 1-3 Year
Municipal Bond Portfolio California including Puerto Rico
Municipal Securities Index
-------------------------- --------------------------------
10/31/2007 $10,000 $10,000
11/30/2007 10,033 10,052
12/31/2007 10,063 10,111
1/31/2008 10,123 10,275
2/29/2008 10,100 10,194
3/31/2008 10,148 10,307
4/30/2008 10,145 10,313
5/31/2008 10,161 10,354
6/30/2008 10,148 10,333
7/31/2008 10,196 10,425
8/31/2008 10,255 10,489
9/30/2008 10,154 10,400
10/31/2008 10,178 10,427
11/30/2008 10,284 10,521
12/31/2008 10,377 10,579
1/31/2009 10,521 10,694
2/28/2009 10,497 10,701
3/31/2009 10,533 10,749
4/30/2009 10,575 10,799
5/31/2009 10,563 10,830
6/30/2009 10,551 10,834
7/31/2009 10,663 10,912
8/31/2009 10,673 10,916
9/30/2009 10,742 10,993
10/31/2009 10,678 10,988
11/30/2009 10,789 11,051
12/31/2009 10,784 11,060
1/31/2010 10,815 11,086
2/28/2010 10,850 11,115
3/31/2010 10,791 11,092
4/30/2010 10,842 11,131
5/31/2010 10,878 11,170
6/30/2010 10,905 11,198
7/31/2010 10,997 11,257
8/31/2010 11,044 11,291
9/30/2010 11,018 11,283
10/31/2010 11,013 11,284
11/30/2010 10,954 11,238
12/31/2010 10,913 11,206
1/31/2011 10,923 11,232
2/28/2011 10,948 11,271
3/31/2011 10,987 11,302
4/30/2011 11,025 11,327
5/31/2011 11,084 11,374
6/30/2011 11,099 11,408
7/31/2011 11,136 11,444
8/31/2011 11,188 11,473
9/30/2011 11,170 11,468
10/31/2011 11,132 11,455
11/30/2011 11,152 11,471
12/31/2011 11,205 11,502
1/31/2012 11,238 11,529
2/29/2012 11,260 11,556
3/31/2012 11,243 11,549
4/30/2012 11,257 11,559
5/31/2012 11,270 11,567
6/30/2012 11,273 11,580
7/31/2012 11,299 11,599
8/31/2012 11,309 11,605
9/30/2012 11,311 11,611
10/31/2012 11,311 11,615
11/30/2012 11,320 11,627
12/31/2012 11,311 11,608
1/31/2013 11,321 11,638
2/28/2013 11,328 11,659
3/31/2013 11,339 11,661
4/30/2013 11,349 11,667
5/31/2013 11,337 11,663
6/30/2013 11,302 11,636
7/31/2013 11,321 11,670
8/31/2013 11,307 11,661
9/30/2013 11,348 11,669
10/31/2013 11,390 11,690
11/30/2013 11,387 11,700
12/31/2013 11,384 11,700
1/31/2014 11,418 11,718
2/28/2014 11,443 11,743
3/31/2014 11,398 11,727
4/30/2014 11,427 11,746
5/31/2014 11,458 11,770
6/30/2014 11,455 11,779
7/31/2014 11,462 11,780
8/31/2014 11,503 11,790
9/30/2014 11,487 11,794
10/31/2014 11,506 11,797
11/30/2014 11,502 11,803
12/31/2014 11,475 11,796
1/31/2015 11,565 11,830
2/28/2015 11,522 11,835
3/31/2015 11,522 11,830
4/30/2015 11,506 11,834
5/31/2015 11,479 11,827
6/30/2015 11,508 11,824
7/31/2015 11,538 11,856
8/31/2015 11,545 11,872
9/30/2015 11,586 11,900
10/31/2015 11,606 11,914
11/30/2015 11,596 11,886
12/31/2015 11,592 11,883
1/31/2016 11,672 11,940
2/29/2016 11,700 11,967
3/31/2016 11,666 11,944
4/30/2016 11,696 11,961
5/31/2016 11,670 11,955
6/30/2016 11,723 11,996
7/31/2016 11,754 12,017
8/31/2016 11,739 12,013
9/30/2016 11,711 11,970
10/31/2016 11,698 11,972
11/30/2016 11,581 11,893
12/31/2016 11,600 11,910
1/31/2017 11,655 11,967
2/28/2017 11,695 12,014
3/31/2017 11,685 12,005
4/30/2017 11,726 12,032
5/31/2017 11,769 12,059
6/30/2017 11,744 12,042
7/31/2017 11,785 12,076
8/31/2017 11,808 12,105
9/30/2017 11,780 12,087 Past performance is not predictive of
10/31/2017 11,778 12,075 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.
-------------------------------------------------------------- ICE BofAML index data copyright 2017
0.68% 0.81% 1.65% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM CALIFORNIA AMT-FREE MUNICIPAL BOND INDEX
NOVEMBER 29, 2011-OCTOBER 31, 2017
[CHART]
DFA California Intermediate-Term S&P Intermediate Term California
Municipal Bond Portfolio AMT-Free Municipal Bond Index
-------------------------------- --------------------------------
11/29/2011 $10,000 $10,000
11/30/2011 10,000 10,005
12/31/2011 10,155 10,197
1/31/2012 10,255 10,401
2/29/2012 10,226 10,408
3/31/2012 10,114 10,321
4/30/2012 10,216 10,424
5/31/2012 10,268 10,495
6/30/2012 10,262 10,480
7/31/2012 10,373 10,610
8/31/2012 10,366 10,628
9/30/2012 10,419 10,703
10/31/2012 10,421 10,718
11/30/2012 10,556 10,874
12/31/2012 10,441 10,745
1/31/2013 10,471 10,798
2/28/2013 10,491 10,839
3/31/2013 10,462 10,790
4/30/2013 10,546 10,881
5/31/2013 10,425 10,759
6/30/2013 10,213 10,505
7/31/2013 10,236 10,471
8/31/2013 10,145 10,388
9/30/2013 10,343 10,607
10/31/2013 10,430 10,699
11/30/2013 10,381 10,681
12/31/2013 10,365 10,663
1/31/2014 10,530 10,859
2/28/2014 10,618 10,984
3/31/2014 10,531 10,971
4/30/2014 10,681 11,094
5/31/2014 10,780 11,208
6/30/2014 10,776 11,204
7/31/2014 10,802 11,233
8/31/2014 10,922 11,349
9/30/2014 10,875 11,352
10/31/2014 10,932 11,399
11/30/2014 10,947 11,402
12/31/2014 10,930 11,454
1/31/2015 11,149 11,624
2/28/2015 11,031 11,522
3/31/2015 11,047 11,543
4/30/2015 11,019 11,500
5/31/2015 10,970 11,474
6/30/2015 10,984 11,469
7/31/2015 11,051 11,548
8/31/2015 11,065 11,575
9/30/2015 11,154 11,655
10/31/2015 11,200 11,690
11/30/2015 11,190 11,726
12/31/2015 11,235 11,799
1/31/2016 11,365 11,924
2/29/2016 11,396 11,936
3/31/2016 11,359 11,965
4/30/2016 11,424 12,034
5/31/2016 11,395 12,038
6/30/2016 11,504 12,190
7/31/2016 11,528 12,187
8/31/2016 11,520 12,206
9/30/2016 11,476 12,150
10/31/2016 11,435 12,058
11/30/2016 11,145 11,668
12/31/2016 11,201 11,782
1/31/2017 11,290 11,843
2/28/2017 11,355 11,911
3/31/2017 11,360 11,934
4/30/2017 11,426 12,009
5/31/2017 11,526 12,153
6/30/2017 11,485 12,119
7/31/2017 11,563 12,196
8/31/2017 11,599 12,272 Past performance is not predictive of
9/30/2017 11,543 12,223 future performance.
10/31/2017 11,546 12,237 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
0.97% 2.07% 2.46% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA NY MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NEW YORK AMT-FREE MUNICIPAL BOND INDEX
JUNE 16, 2015-OCTOBER 31, 2017
[CHART]
S&P Intermediate Term
DFA NY Municipal New York AMT-Free Municipal
Bond Portfolio Bond Index
------------------ ---------------------------
6/16/2015 $10,000 $10,000
6/30/2015 10,000 10,015
7/31/2015 10,052 10,090
8/31/2015 10,072 10,112
9/30/2015 10,143 10,177
10/31/2015 10,175 10,216
11/30/2015 10,184 10,251
12/31/2015 10,212 10,321
1/31/2016 10,340 10,442
2/29/2016 10,358 10,450
3/31/2016 10,330 10,469
4/30/2016 10,389 10,539
5/31/2016 10,368 10,543
6/30/2016 10,447 10,687
7/31/2016 10,466 10,685
8/31/2016 10,454 10,697
9/30/2016 10,429 10,657
10/31/2016 10,408 10,568
11/30/2016 10,253 10,226
12/31/2016 10,281 10,333
1/31/2017 10,331 10,389
2/28/2017 10,379 10,444
3/31/2017 10,381 10,465
4/30/2017 10,430 10,545
5/31/2017 10,501 10,682
6/30/2017 10,469 10,643
7/31/2017 10,520 10,715
8/31/2017 10,551 10,781 Past performance is not predictive of
9/30/2017 10,506 10,736 future performance.
10/31/2017 10,506 10,735 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 Copyright 2017 S&P Dow Jones Indices
----------------------------------------------------- LLC, a division of S&P Global. All rights
0.94% 2.10% reserved.
--------------------------------------------------------------------------------
13
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA MN MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
JULY 25, 2017-OCTOBER 31, 2017
[CHART]
DFA MN Municipal Bond S&P Intermediate Term National
Portfolio AMT-Free Municipal Bond Index
----------------------- -------------------------------
7/25/2017 $10,000 $10,000
7/31/2017 9,990 10,000 Past performance is not predictive of
8/31/2017 10,030 10,076 future performance.
9/30/2017 9,963 10,036 The returns shown do not reflect the
10/31/2017 9,972 10,044 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL SINCE redemption of fund shares.
TOTAL RETURN INCEPTION Copyright 2017 S&P Dow Jones Indices
------------------------------------------------------- LLC, a division of S&P Global. All rights
-0.28% reserved.
--------------------------------------------------------------------------------
14
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
Interest rates in both U.S. and developed international fixed income markets
generally increased across their respective yield curves for the 12 months
ended October 31, 2017. In the U.S., the yield curve flattened as yields on
shorter-term bonds increased more than yields on longer-term bonds. The
Eurozone, U.K., and Japan also saw an increase in bond yields across the curve.
While longer-term government bonds underperformed shorter-term government
bonds, the same was not true for investment grade corporate bonds and municipal
bonds. Credit spreads were positive during the period and generally narrowed.
As a result, longer-term bonds outperformed shorter-term bonds across the U.S.
municipal, U.S. investment grade credit, and developed international fixed
income credit markets. In particular, municipal bonds with maturities of 10
years and longer outperformed shorter maturity bonds. In the U.S. investment
grade credit and developed international fixed income credit markets, bonds
with maturities of 15 years and longer outperformed shorter maturity bonds. For
example, the Bloomberg Barclays U.S. Credit Index Long, which contains U.S.
credit securities with maturities beyond 10 years, returned 5.81%, while the
Bloomberg Barclays U.S. Credit Index 1-5 Years returned 1.70% for the period.
The one-month U.S. Treasury bill yield increased to 0.98% during the period,
while the yield on 10-year U.S. Treasury notes increased to 2.38%.
OCTOBER 31, 2016 OCTOBER 31, 2017 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.17% 0.98% 0.81%
Ten-Year U.S. Treasury Notes (yield). 1.83% 2.38% 0.55%
----------
Source: Bloomberg
OCTOBER 31, 2016 OCTOBER 31, 2017 CHANGE
---------------- ---------------- ------
Bloomberg Barclays US Credit Index 1-5 Years (yield). 1.81% 2.24% 0.43%
Bloomberg Barclays US Credit Index Long (yield)...... 4.24% 4.16% -0.08%
----------
Source: Bloomberg
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the 12 months
ended October 31, 2017, the total return was 0.73% for three-month U.S.
Treasury bills, -1.54% for five-year U.S. Treasury notes, and -3.83% for
30-year U.S. Treasury bonds.
----------
Source: Bloomberg Barclays US Treasury Bellwethers.
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies a maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities may
be lengthened to position a portfolio to seek the higher expected returns
associated with longer maturities. These higher returns may be achieved by
capital appreciation (from holding bonds through an upwardly sloped term
structure) as well as by earning higher current yields. During the period under
review, the portfolios employing a variable maturity approach continued to take
term risk, reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio to seek the higher expected returns
associated with increased credit risk. Credit spreads generally narrowed
throughout the 12 months ending October 31, 2017. As a result, the portfolios
employing a variable-credit approach increased their allocation to
higher-quality bonds and held less than market weight in single-A and BBB-rated
bonds.
15
DFA ONE-YEAR FIXED INCOME PORTFOLIO
The DFA One-Year Fixed Income Portfolio is designed to achieve a stable real
return in excess of the rate of inflation by generally investing in
high-quality fixed income securities with an average maturity of one year or
less. The investment strategy uses a variable maturity approach and shifts
maturities based on changes in the yield curve. The strategy uses current
yields and identifies favorable maturity ranges for risk-adjusted expected
returns based on potential buy and sell strategies. Maturity targets are
shifted based on Dimensional expectations for term premia. The average maturity
of the Portfolio increased to 343 days as of October 31, 2017, from 324 days as
of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 0.86% for the
Portfolio, 0.84% for the ICE BofAML US 6-Month Treasury Bill Index, and 0.58%
for the ICE BofAML 1-Year US Treasury Note Index, the Portfolio's benchmarks.
As the yield curve remained upwardly sloped, the Portfolio's maturity structure
remained extended. Interest rates increased across the eligible maturity range
during the period, as yields on the two-year U.S. Treasury note increased from
approximately 0.73% to 0.84%. While two-year rates moved higher, negatively
impacting performance, relative to the benchmark, the Portfolio benefited from
capital appreciation, as bonds were held through the upwardly sloped term
structure. The Portfolio's exposure to corporate bonds and floating rate notes
also contributed positively to performance relative to the government bond-only
benchmark during a period in which credit premiums were positive.
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Two-Year Global Fixed Income Portfolio is designed to maximize
risk-adjusted total returns consistent with the preservation of capital by
investing in U.S. and foreign government securities, high-quality corporate
securities, and global fixed income instruments maturing in three years or less
(under normal circumstances, the Portfolio will invest at least 80% of its net
assets in fixed income securities that mature within two years from the date of
settlement). The Portfolio hedges substantially all of the currency exposure of
its non-U.S. dollar-denominated securities. As of the date of this report,
eligible countries for investment by the Portfolio include but are not limited
to Australia, Canada, Denmark, certain countries in the Economic and Monetary
Union of the European Union ("EMU"), Japan, New Zealand, Norway, Singapore,
Sweden, Switzerland, the U.K., and the U.S. The investment strategy uses a
variable-maturity approach and shifts maturities and country allocations based
on changes in the eligible yield curves. The strategy uses current yields and
identifies favorable maturity ranges for risk-adjusted expected returns based
on potential buy and sell strategies for each eligible country. Maturity
targets and country allocations are shifted based on the Advisor's expectations
for term premia. The average maturity of the Portfolio increased to 1.62 years
as of October 31, 2017, from 1.21 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 0.95% for the
Portfolio and 0.90% for the Citi World Government Bond Index, 1-2 Years,
Currency-Hedged in USD Terms, the Portfolio's benchmark. The Portfolio's
greater weight in U.S. dollar-denominated securities contributed positively to
performance relative to the benchmark. Conversely, the Portfolio's lack of
exposure to euro-denominated and Japanese yen-denominated government bonds
detracted from the Portfolio's relative performance, as those sovereign debt
markets outperformed.
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
The DFA Selectively Hedged Global Fixed Income Portfolio is designed to
maximize total returns by investing in U.S. and foreign government securities,
investment grade corporate securities, and global fixed income instruments
maturing in five years or less from the date of settlement. The Portfolio
hedges foreign currency exposure on a selective basis to capture higher
interest rates that may be offered in foreign yield curves. As of the date of
this report, eligible countries for investment by the Portfolio include but are
not limited to Australia, Canada, Denmark, certain EMU countries, Japan, New
Zealand, Norway, Singapore, Sweden, Switzerland, the U.K., and the U.S. The
investment strategy uses both variable-maturity and variable-credit approaches
and shifts maturities and country allocations based on changes in the eligible
yield curves for each country. Using current yield curves, the strategy
identifies the countries and maturity ranges offering favorable risk-adjusted
expected returns. Maturity targets and country allocations are shifted as
expected return premia change. The portfolio also uses a variable
16
credit approach and generally emphasizes investment grade obligations rated in
the lower half of the investment grade spectrum, except when Dimensional
believes the expected credit premium for holding such bonds is low. The average
maturity of the Portfolio increased to 2.89 years as of October 31, 2017, from
2.83 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 1.00% for the
Portfolio and 0.97% for the Citi World Government Bond Index, 1-3 Years, in USD
Terms (unhedged), the Portfolio's benchmark. The Portfolio was positioned to
capture term and credit premiums primarily in U.S. dollar-denominated
securities during the period. The Portfolio took unhedged positions in the
Australian dollar and New Zealand dollar to capture expected premiums observed
in their higher short-term interest rates relative to U.S. dollar short-term
interest rates. Foreign currencies generally appreciated relative to the U.S.
dollar during the period. The Portfolio's lack of euro exposure was the primary
driver of underperformance relative to the benchmark during a period in which
the euro appreciated against the U.S. dollar. The Portfolio's exposure to
investment grade corporate bonds benefited relative performance during a period
in which credit spreads narrowed.
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Five-Year Global Fixed Income Portfolio is designed to provide a
market rate of return by investing in U.S. and foreign government securities,
high-quality corporate fixed income securities, and currency-hedged global
fixed income instruments maturing in five years or less. The currency exposure
associated with non-U.S. dollar-denominated securities within the Portfolio is
generally hedged back to the U.S. dollar. As of the date of this report,
eligible countries for investment by the Portfolio include but are not limited
to Australia, Canada, Denmark, certain EMU countries, Japan, New Zealand,
Norway, Singapore, Sweden, Switzerland, the U.K., and the U.S. The investment
strategy uses a variable maturity approach and shifts maturities and country
allocations based on changes in the eligible yield curves. The strategy uses
current yields and identifies favorable maturity ranges for risk-adjusted
expected returns based on potential buy and sell strategies for each eligible
country. Maturity targets and country allocations are shifted based on
Dimensional's expectations for term premia. The average maturity of the
Portfolio increased to 3.96 years as of October 31, 2017, from 3.58 years as of
October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 0.95% for the
Portfolio and 0.92% for the Citi World Government Bond Index, 1-5 Years,
Currency-Hedged in USD Terms, the Portfolio's benchmark. Approximately 96% of
the Portfolio's assets were in U.S. dollar-denominated securities and the
majority of the remainder was invested in currency-hedged euro- and Swedish
krona-denominated bonds. The Portfolio's greater exposure to U.S.
dollar-denominated corporate bonds contributed positively to performance, as
these bonds had positive performance for the period. Conversely, the
Portfolio's lack of exposure to lower credit quality government securities in
Italy and Spain, which are included in the benchmark, detracted from relative
performance, as those securities outperformed for the period.
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
The DFA World ex U.S. Government Fixed Income Portfolio is designed to
maximize total returns by investing in high-quality debt securities issued
primarily by non-U.S. government issuers and supranational organizations and
their agencies. The average maturity of the Portfolio increased to 10.38 years
as of October 31, 2017, from 10.10 years as of October 31, 2016. The Portfolio
primarily invests in securities that mature within 15 years from the date of
settlement and maintains average portfolio maturity between three and 12 years.
The Portfolio hedges substantially all of its foreign currency exposure.
For the 12 months ended October 31, 2017, the total return was 1.31% for the
Portfolio and 0.87% for the Citi Non-USD World Government Bond Index,
Currency-Hedged in USD Terms, the Portfolio's benchmark. The Portfolio's lesser
weight in Japanese yen-denominated bonds contributed positively to performance
relative to the benchmark, as Japanese government bond yields increased across
the curve. The Portfolio's greater weight and shorter duration in British
pound-denominated securities also benefited relative performance, as
intermediate-term pound-denominated bonds outperformed long-term
pound-denominated bonds for the period.
DFA SHORT-TERM GOVERNMENT PORTFOLIO
The DFA Short-Term Government Portfolio is designed to maximize
risk-adjusted total returns by investing in U.S. government and U.S. government
agency securities maturing in five years or less. The investment strategy
17
uses a variable-maturity approach and shifts maturities based on changes in the
yield curve. The strategy uses current yields and identifies favorable maturity
ranges for risk-adjusted expected returns based on potential buy and sell
strategies. Maturity targets are shifted based on Dimensional's expectations
for term premiums. The average maturity of the Portfolio was 2.89 years as of
October 31, 2017, which was unchanged from the previous year.
For the 12 months ended October 31, 2017, the total return was -0.10% for
the Portfolio and 0.07% for the ICE BofAML 1-5 Year U.S. Treasury and Agency
Index, the Portfolio's benchmark. The Portfolio's lesser weight in securities
with maturities less than 2 years was the primary driver of underperformance
relative to the benchmark as this portion of the yield curve outperformed the
benchmark for the period.
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
The DFA Intermediate Government Fixed Income Portfolio is designed to
provide current income consistent with the preservation of capital from
investing generally in U.S. Treasury and government agency issues with
maturities of between five and 15 years. The average maturity of the Portfolio
decreased to 7.20 years as of October 31, 2017, from 7.52 years as of
October 31, 2016. The Portfolio will ordinarily have an average weighted
maturity between three and 10 years.
For the 12 months ended October 31, 2017, the total return was -0.93% for
the Portfolio and -0.62% for the Bloomberg Barclays U.S. Government Bond Index,
the Portfolio's benchmark. The Portfolio's focus on the intermediate portion of
the yield curve detracted from performance relative to the benchmark (whose
constituents span the entire range of government securities).
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
The DFA Short-Term Extended Quality Portfolio is designed to maximize total
returns by investing in U.S. and foreign corporate debt securities with an
investment grade credit rating. The Portfolio uses both variable maturity and
variable credit approaches and generally emphasizes investment grade
obligations rated in the lower half of the investment grade spectrum except
when Dimensional believes the credit risk premium does not warrant investment
in these lower-rated securities. The Portfolio primarily invests in securities
that mature within five years from the date of settlement and maintains an
average portfolio maturity and duration of three years or less. The Portfolio
hedges substantially all of its foreign currency exposure. The average maturity
of the Portfolio decreased to 2.87 years as of October 31, 2017, from 2.92
years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 1.19% for the
Portfolio and 0.66% for The ICE BofAML 1-5 Year U.S. Corporate & Government
Index, the Portfolio's benchmark. The Portfolio and the benchmark maintained a
similar average maturity during the period. The Portfolio's greater allocation
to corporate securities was the primary driver of outperformance relative to
the benchmark during a period in which credit premiums were positive.
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
The DFA Intermediate-Term Extended Quality Portfolio is designed to maximize
total returns by investing in U.S. and foreign corporate debt securities with
an investment grade credit rating. The Portfolio uses a variable credit
approach and generally emphasizes investment grade obligations rated in the
lower half of the investment grade spectrum, except when Dimensional believes
the credit risk premium does not warrant investment in these lower-rated
securities. The Portfolio primarily invests in securities that mature within 15
years from the date of settlement and maintains average portfolio duration
between three and 10 years. The Portfolio hedges substantially all of its
foreign currency exposure. The average duration of the Portfolio decreased to
7.01 years as of October 31, 2017, from 7.13 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 2.05% for the
Portfolio and 3.18% for the Bloomberg Barclays U.S. Credit Bond Index, the
Portfolio's benchmark. The Portfolio maintained duration similar to the
benchmark but focused on the intermediate portion of the yield curve. Credit
spreads remained relatively narrow during the period, which led to the
Portfolio targeting a lower-than-market weight to BBB-rated securities. This
allocation difference detracted from the Portfolio's performance relative to
the benchmark during a period in which credit premiums were positive. The
Portfolio's lack of exposure to securities with maturities longer than 15 years
also detracted from relative performance, as those securities outperformed for
the period.
18
DFA TARGETED CREDIT PORTFOLIO
The DFA Targeted Credit Portfolio seeks to maximize total returns by
investing in U.S. and foreign corporate debt securities rated in the lower half
of the investment grade spectrum as well as BB-rated securities that mature
within five years from the date of settlement. Non-U.S. dollar-denominated
securities held by the Portfolio are currency-hedged. The investment strategy
uses both variable maturity and variable credit approaches and shifts
maturities and country allocations based on changes in the eligible yield
curves. The strategy uses current yields and identifies favorable maturity
ranges for risk-adjusted expected returns based on potential buy and sell
strategies for each eligible country. Maturity targets and country allocations
are shifted based on the Dimensional's expectations for term premiums. While
the Portfolio targets debt securities rated single-A, BBB, and BB, it may vary
its exposure to credit within this range. The average maturity of the Portfolio
increased to 3.69 years as of October 31, 2017, from 3.51 years as of October
31, 2016.
For the 12 months ended October 31, 2017, the total return was 1.94% for the
Portfolio and 2.19% for the Bloomberg Barclays Global Aggregate Credit 1-5 Year
(hedged to USD), the Portfolio's benchmark. Approximately 98% of the
Portfolio's assets were in U.S. dollar-denominated securities and approximately
1% were in currency-hedged euro-denominated bonds. The Portfolio's lesser
weight in euro-denominated bonds detracted from performance relative to the
benchmark, as these bonds outperformed for the period.
DFA INVESTMENT GRADE PORTFOLIO
The DFA Investment Grade Portfolio is designed to maximize total returns
through exposure to a broad portfolio of investment grade debt securities of
U.S. and non-U.S. corporate and government issuers using a variable credit
approach. The Portfolio emphasizes investment grade obligations rated in the
lower half of the investment grade spectrum, except when Dimensional believes
the credit risk premium does not warrant investment in these lower-rated
securities. The average duration of the Portfolio increased to 5.94 years as of
October 31, 2017, from 5.45 years as of October 31, 2016. The Portfolio's
average sector allocation as of October 31, 2017, was approximately 51% in
corporate securities and 49% in government securities.
For the 12 months ended October 31, 2017, the total return was 0.86% for the
Portfolio and 0.90% for the Bloomberg Barclays U.S. Aggregate Bond Index, the
Portfolio's benchmark. The Portfolio maintained duration similar to the
benchmark for the period but focused on the intermediate portion of the yield
curve. The Portfolio's lack of exposure to corporate bonds with maturities
greater than 15 years detracted from performance relative to the benchmark, as
those securities outperformed for the period.
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
The DFA Diversified Fixed Income Portfolio is designed to provide a market
rate of return for a fixed income portfolio with low relative volatility by
investing directly or through other funds managed by Dimensional ("Underlying
Funds") in a universe of U.S. and foreign debt securities, including
inflation-protected securities. The Underlying Funds may include the DFA
Two-Year Global Fixed Income Portfolio and DFA Intermediate Government Fixed
Income Portfolio and/or other Underlying Funds. Generally, the Portfolio or the
Underlying Funds will purchase debt securities that mature within 20 years from
the date of settlement. The average maturity of the Portfolio decreased to 5.00
years as of October 31, 2017, from 5.05 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was -0.05% for
the Portfolio and -0.31% for the Bloomberg Barclays U.S. Intermediate
Government Bond Index, the Portfolio's benchmark. The Portfolio's exposure to
corporate securities was the primary driver of outperformance relative to the
benchmark during a period in which credit premiums were positive.
DFA LTIP PORTFOLIO
The LTIP Portfolio seeks to provide total return composed of income and
capital appreciation consistent with inflation protected long-term instruments.
The Portfolio generally invests in inflation-protected securities issued by the
U.S. government and its agencies and instrumentalities with maturities greater
than 10 years. The average maturity of the Portfolio decreased to 27.03 years
as of October 31, 2017, from 27.61 years as of October 31, 2016.
19
For the 12 months ended October 31, 2017, the total return was -2.52% for
the Portfolio and -1.48% for the Citi U.S. Inflation-Linked Securities Index,
20+ Years, the Portfolio's benchmark. The Portfolio's longer duration than the
benchmark was the primary driver of underperformance during a period of rising
real yields.
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
The DFA Inflation-Protected Securities Portfolio is designed to provide
inflation protection and current income by investing in inflation-protected
securities (TIPS) issued by the U.S. government and its agencies and
instrumentalities with maturities of between five and 20 years. The average
maturity of the Portfolio decreased to 8.28 years as of October 31, 2017, from
8.54 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was -0.26% for
the Portfolio and -0.11% for the Bloomberg Barclays U.S. TIPS Index, the
Portfolio's benchmark. The Portfolio's emphasis on the intermediate segment of
the real yield curve was the primary driver of underperformance relative to the
benchmark, as the intermediate segment underperformed the combination of the
long and short ends of the real yield curve for the period.
DFA SHORT-DURATION REAL RETURN PORTFOLIO
The DFA Short-Duration Real Return Portfolio is designed to seek inflation
protection and maximize total returns. The strategy pursues its investment
objective by using both variable maturity and variable credit approaches and
investing in a combination of investment grade debt securities,
inflation-protected securities that mature within five years from the date of
settlement, and derivative instruments such as inflation swaps. The Portfolio
maintains an average portfolio duration of three years or less. The average
duration of the Portfolio increased to 2.86 years as of October 31, 2017, from
2.77 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 1.42% for the
Portfolio and 0.52% for the Bloomberg Barclays U.S. TIPS 1-5 Years Index, the
Portfolio's benchmark. The Portfolio's greater allocation to U.S. and foreign
corporate debt securities was the primary driver of outperformance relative to
the benchmark during a period in which credit premiums were positive.
DFA MUNICIPAL REAL RETURN PORTFOLIO
The DFA Municipal Real Return Portfolio seeks to provide inflation
protection and current income by investing in a universe of investment grade
municipal securities, including inflation-protected municipal securities, and
in derivative instruments to provide inflation protection. The average duration
of the Portfolio increased to 4.82 years as of October 31, 2017, from 4.77
years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 1.42% for the
Portfolio and 1.74% for the S&P Intermediate Term National AMT-Free Municipal
Bond Index, the Portfolio's benchmark. The Portfolio's lesser weight in bonds
with maturities greater than 10 years detracted from performance relative to
the benchmark during a period in which term premiums were positive. Conversely,
the Portfolio's inflation protection contributed positively to relative
performance as inflation rose more than expected during the period.
DFA MUNICIPAL BOND PORTFOLIO
The DFA Municipal Bond Portfolio is designed to provide current income
exempt from federal personal income tax by investing in a universe of
investment grade municipal securities. The average duration of the Portfolio
increased to 3.27 years as of October 31, 2017, from 3.20 years as of October
31, 2016.
For the 12 months ended October 31, 2017, the total return was 0.76% for the
Portfolio and 1.74% for S&P Intermediate Term National AMT-Free Municipal Bond
Index, the Portfolio's benchmark. The Portfolio maintained an average duration
below that of the benchmark, as the municipal yield curve remained relatively
flat throughout the period. The Portfolio's shorter duration detracted from
performance relative to the benchmark, as longer-term municipal securities
outperformed their shorter-term counterparts.
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
The DFA Short-Term Municipal Bond Portfolio seeks to provide current income
exempt from federal personal income tax by investing in high-quality municipal
securities. The investment strategy uses a variable maturity
20
approach to determine where to invest cash flows. The weighted average maturity
of the Portfolio generally will not exceed three years. The average maturity of
the Portfolio decreased to 1.62 years as of October 31, 2017, from 2.26 years
as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 0.67% for the
Portfolio and 1.00% for the ICE BofAML 1-3 Year US Municipal Securities Index,
the Portfolio's benchmark. The Portfolio maintained an average duration below
that of the benchmark, as the municipal yield curve remained relatively flat
throughout the period. The Portfolio's shorter duration detracted from
performance relative to the benchmark, as longer maturity municipal securities
outperformed their shorter-term counterparts. The Portfolio's lesser allocation
to A- and BBB-rated securities also had a negative impact on relative
performance during a period in which credit premiums in municipal bonds were
positive.
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
The DFA Intermediate-Term Municipal Bond Portfolio is designed to provide
current income exempt from federal personal income tax by investing in
high-quality municipal securities. The average duration of the Portfolio
decreased to 3.78 years as of October 31, 2017, from 3.86 years as of October
31, 2016.
For the 12 months ended October 31, 2017, the total return was 0.75% for the
Portfolio and 1.74% for the S&P Intermediate Term National AMT-Free Municipal
Bond Index, the Portfolio's benchmark. The Portfolio maintained an average
duration below that of the benchmark, as the municipal yield curve remained
relatively flat throughout the period. The Portfolio's shorter duration
detracted from performance relative to the benchmark, as longer maturity
municipal securities outperformed their shorter-term counterparts.
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
The DFA California Short-Term Municipal Bond Portfolio is designed to
provide current income that is exempt from both federal personal income taxes
and California state personal income taxes by investing primarily in a universe
of municipal securities issued by or on behalf of California state or local
governments and their agencies, instrumentalities, and regional governmental
authorities. The average maturity of the Portfolio decreased to 1.75 years as
of October 31, 2017, from 2.19 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 0.68% for the
Portfolio and 0.87% for the ICE BofAML 1-3 Year California including Puerto
Rico Municipal Securities Index, the Portfolio's benchmark. The Portfolio
maintained an average duration below that of the benchmark, as the municipal
yield curve remained relatively flat throughout the period. The Portfolio's
shorter duration detracted from performance relative to the benchmark, as
longer-term municipal securities outperformed their shorter-term counterparts.
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
The DFA California Intermediate-Term Municipal Bond Portfolio is designed to
provide current income that is exempt from both federal personal income taxes
and California state personal income taxes by investing primarily in a universe
of municipal securities issued by or on behalf of California state or local
governments and their agencies, instrumentalities, and regional governmental
authorities. The average duration of the Portfolio decreased to 3.58 years as
of October 31, 2017, from 3.74 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 0.97% for the
Portfolio and 1.48% for the S&P Intermediate Term California AMT-Free Municipal
Bond Index, the Portfolio's benchmark. The Portfolio maintained an average
duration below that of the benchmark, as the municipal yield curve remained
relatively flat throughout the period. The Portfolio's shorter duration
detracted from performance relative to the benchmark, as longer maturity
municipal securities outperformed their shorter-term counterparts.
DFA NY MUNICIPAL BOND PORTFOLIO
The DFA NY Municipal Bond Portfolio seeks to provide current income that is
exempt from both federal personal income taxes and New York state personal
income taxes by investing primarily in a universe of municipal securities
issued by or on behalf of New York state or local governments and their
agencies, instrumentalities, and regional governmental authorities. The average
maturity of the Portfolio decreased to 2.52 years as of October 31, 2017, from
2.83 years as of October 31, 2016.
21
For the 12 months ended October 31, 2017, the total return was 0.94% for the
Portfolio and 1.57% for the S&P Intermediate Term New York AMT-Free Municipal
Bond Index, the Portfolio's benchmark. The Portfolio maintained an average
duration below that of the benchmark, as the municipal yield curve remained
relatively flat throughout the period. The Portfolio's shorter duration
detracted from performance relative to the benchmark, as longer-term municipal
securities outperformed their shorter-term counterparts.
DFA MN MUNICIPAL BOND PORTFOLIO
The DFA MN Municipal Bond Portfolio seeks to provide current income that is
exempt from federal personal income taxes and Minnesota state personal income
taxes by investing primarily in a universe of municipal securities issued by or
on behalf of Minnesota state or local governments and their agencies,
instrumentalities and regional governmental authorities. The average maturity
of the Portfolio was 4.22 years as of October 31, 2017.
Since inception on July 25, 2017, through October 31, 2017, the total return
was -0.28% for the Portfolio and 0.44% for the S&P Intermediate Term National
AMT-Free Municipal Bond Index. The Portfolio maintained an average duration
below that of the benchmark, as the municipal yield curve remained relatively
flat throughout the period. The Portfolio's shorter duration detracted from
performance relative to the benchmark, as longer-term municipal securities
outperformed their shorter-term counterparts.
22
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*
--------- --------- ---------- --------
DFA ONE-YEAR FIXED INCOME PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,005.00 0.17% $0.86
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,024.35 0.17% $0.87
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
------------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,005.20 0.17% $0.86
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,024.35 0.17% $0.87
23
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
----------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,009.40 0.17% $0.86
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.35 0.17% $0.87
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
-------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,008.80 0.27% $1.37
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,023.84 0.27% $1.38
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
---------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,011.90 0.20% $1.01
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.20 0.20% $1.02
DFA SHORT-TERM GOVERNMENT PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,001.10 0.19% $0.96
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.25 0.19% $0.97
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,005.80 0.12% $0.61
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.60 0.12% $0.61
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
-----------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,009.30 0.22% $1.11
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.10 0.22% $1.12
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,025.30 0.22% $1.12
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.10 0.22% $1.12
DFA TARGETED CREDIT PORTFOLIO
-----------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,015.30 0.20% $1.02
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.20 0.20% $1.02
24
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INVESTMENT GRADE PORTFOLIO
------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,014.30 0.22% $1.12
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.10 0.22% $1.12
DFA DIVERSIFIED FIXED INCOME PORTFOLIO**
----------------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,005.10 0.15% $0.76
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.45 0.15% $0.77
DFA LTIP PORTFOLIO
------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,008.20 0.15% $0.76
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.45 0.15% $0.77
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
--------------------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,000.20 0.12% $0.60
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.60 0.12% $0.61
DFA SHORT-DURATION REAL RETURN PORTFOLIO
----------------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,007.00 0.24% $1.21
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.00 0.24% $1.22
DFA MUNICIPAL REAL RETURN PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,006.80 0.24% $1.21
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.00 0.24% $1.22
DFA MUNICIPAL BOND PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,006.90 0.23% $1.16
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.05 0.23% $1.17
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------
Actual Fund Return
Institutional Class Shares.................. $1,000.00 $1,003.80 0.22% $1.11
Hypothetical 5% Annual Return
Institutional Class Shares.................. $1,000.00 $1,024.10 0.22% $1.12
25
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
----------------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $1,007.70 0.23% $1.16
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,024.05 0.23% $1.17
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $1,004.40 0.22% $1.11
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,024.10 0.22% $1.12
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $1,010.50 0.23% $1.17
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,024.05 0.23% $1.17
DFA NY MUNICIPAL BOND PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $1,007.30 0.25% $1.26
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.95 0.25% $1.28
DFA MN MUNICIPAL BOND PORTFOLIO***
----------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $ 997.20 0.32% $0.86
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,012.57 0.32% $0.86
----------
* 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.
** DFA Diversified Fixed Income Portfolio invests directly and indirectly
through other funds. The expenses shown reflect the direct expenses of the
Portfolio and the Portfolio's portion of the expenses of its Underlying
Funds (Affiliated Investment Companies).
***DFA MN Municipal Bond Portfolio commenced operations on July 25, 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 (98), 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.
26
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).
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.
FIXED INCOME PORTFOLIOS
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Corporate.................................... 17.6%
Government................................... 17.0%
Foreign Corporate............................ 27.0%
Foreign Government........................... 31.4%
Supranational................................ 7.0%
-----
100.0%
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Corporate.................................... 11.7%
Government................................... 10.3%
Foreign Corporate............................ 25.1%
Foreign Government........................... 44.2%
Supranational................................ 8.7%
-----
100.0%
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
Corporate.................................... 43.2%
Government................................... 1.2%
Foreign Corporate............................ 28.1%
Foreign Government........................... 23.5%
Supranational................................ 4.0%
-----
100.0%
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Corporate.................................... 28.1%
Foreign Corporate............................ 29.1%
Foreign Government........................... 37.6%
Supranational................................ 5.2%
-----
100.0%
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
Government................................... 0.6%
Foreign Government........................... 86.4%
Supranational................................ 13.0%
-----
100.0%
DFA SHORT-TERM GOVERNMENT PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
Corporate.................................... 47.6%
Government................................... 0.7%
Foreign Corporate............................ 27.3%
Foreign Government........................... 20.7%
Supranational................................ 3.7%
-----
100.0%
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
Corporate.................................... 74.0%
Government................................... 5.0%
Foreign Corporate............................ 20.3%
Foreign Government........................... 0.5%
Supranational................................ 0.2%
-----
100.0%
DFA TARGETED CREDIT PORTFOLIO
Corporate.................................... 69.0%
Foreign Corporate............................ 29.7%
Foreign Government........................... 1.3%
-----
100.0%
DFA INVESTMENT GRADE PORTFOLIO
Corporate.................................... 41.4%
Government................................... 47.1%
Foreign Corporate............................ 9.6%
Foreign Government........................... 1.7%
Supranational................................ 0.2%
-----
100.0%
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
Government................................... 19.9%
Affiliated Investment Companies.............. 80.1%
-----
100.0%
27
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DFA LTIP PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Corporate.................................... 46.6%
Government................................... 3.2%
Foreign Corporate............................ 27.0%
Foreign Government........................... 20.0%
Supranational................................ 3.2%
-----
100.0%
DFA MUNICIPAL REAL RETURN PORTFOLIO
Muni G.O. Local.............................. 51.4%
Muni G.O. State.............................. 27.4%
Muni Revenue................................. 20.7%
Muni Pre-Refunded............................ 0.5%
-----
100.0%
DFA MUNICIPAL BOND PORTFOLIO
Muni G.O. Local.............................. 46.7%
Muni G.O. State.............................. 18.8%
Muni Revenue................................. 27.3%
Muni Pre-Refunded............................ 7.2%
-----
100.0%
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Corporate.................................... 0.2%
Muni G.O. Local.............................. 43.4%
Muni G.O. State.............................. 28.1%
Muni Revenue................................. 19.8%
Muni Pre-Refunded............................ 8.5%
-----
100.0%
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
Corporate.................................... 0.1%
Muni G.O. Local.............................. 47.6%
Muni G.O. State.............................. 33.4%
Muni Revenue................................. 17.5%
Muni Pre-Refunded............................ 1.4%
-----
100.0%
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni G.O. Local.............................. 39.1%
Muni G.O. State.............................. 17.9%
Muni Revenue................................. 18.1%
Muni Pre-Refunded............................ 24.9%
-----
100.0%
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND
PORTFOLIO
Muni G.O. Local.............................. 49.3%
Muni G.O. State.............................. 19.5%
Muni Revenue................................. 21.8%
Muni Pre-Refunded............................ 9.4%
-----
100.0%
DFA NY MUNICIPAL BOND PORTFOLIO
Muni G.O. Local.............................. 46.7%
Muni G.O. State.............................. 1.5%
Muni Revenue................................. 30.3%
Muni Pre-Refunded............................ 21.5%
-----
100.0%
DFA MN MUNICIPAL BOND PORTFOLIO
Muni G.O. Local.............................. 60.9%
Muni G.O. State.............................. 14.3%
Muni Revenue................................. 21.1%
Muni Pre-Refunded............................ 3.7%
-----
100.0%
28
DFA ONE-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (8.2%)
Federal Home Loan Bank
0.875%, 10/01/18............................. $ 52,500 $ 52,210,252
1.750%, 12/14/18............................. 70,730 70,857,314
1.250%, 01/16/19............................. 40,000 39,852,000
1.500%, 03/08/19............................. 30,000 29,976,000
1.375%, 03/18/19............................. 5,000 4,985,785
1.375%, 05/28/19............................. 20,000 19,934,500
1.625%, 06/14/19............................. 33,300 33,311,489
2.000%, 09/13/19............................. 40,000 40,250,480
1.500%, 10/21/19............................. 25,000 24,932,000
Federal Home Loan Mortgage Corp.
0.875%, 10/12/18............................. 30,000 29,835,540
1.250%, 10/02/19............................. 25,000 24,813,525
Federal National Mortgage Association
1.875%, 09/18/18............................. 75,000 75,261,075
1.125%, 10/19/18............................. 70,000 69,771,100
1.125%, 12/14/18............................. 65,000 64,709,840
1.375%, 01/28/19............................. 14,500 14,469,739
0.875%, 08/02/19............................. 10,000 9,870,070
1.750%, 09/12/19............................. 16,573 16,603,726
------------
TOTAL AGENCY OBLIGATIONS........................... 621,644,435
------------
BONDS -- (73.9%)
African Development Bank
1.625%, 10/02/18............................. 9,000 9,000,990
# 1.000%, 11/02/18............................. 6,550 6,509,587
1.000%, 05/15/19............................. 367 363,015
1.125%, 09/20/19............................. 19,000 18,776,760
Agence Francaise de Developpement
1.375%, 08/02/19............................. 15,600 15,443,906
ANZ New Zealand International Ltd.
2.600%, 09/23/19............................. 3,427 3,461,569
Apple, Inc.
1.000%, 05/03/18............................. 14,245 14,213,588
1.550%, 02/08/19............................. 23,884 23,863,436
1.700%, 02/22/19............................. 4,000 4,003,011
2.100%, 05/06/19............................. 5,000 5,032,456
# 1.500%, 09/12/19............................. 102,300 101,962,475
Apple, Inc. Floating Rate Note 3M USD LIBOR +
0.080%, FRN
#(r) 1.392%, 02/08/19............................. 29,550 29,569,745
(r) 1.612%, 05/06/19............................. 15,600 15,669,973
Asian Development Bank
1.875%, 10/23/18............................. 10,000 10,027,049
Australia & New Zealand Banking Group, Ltd.
1.450%, 05/15/18............................. 3,501 3,499,328
FACE
AMOUNT VALUE+
------ ------
(000)
2.000%, 11/16/18............................. $12,359 $12,387,543
2.250%, 06/13/19............................. 4,150 4,168,952
1.600%, 07/15/19............................. 3,600 3,580,130
Australia & New Zealand Banking Group, Ltd.
Floating Rate Note 3M USD LIBOR + 0.440%, FRN
(r)## 1.799%, 01/16/18............................. 20,000 20,017,463
(r)## 2.064%, 11/16/18............................. 45,630 45,912,567
(r)## 1.988%, 09/23/19............................. 3,145 3,170,470
Bank Nederlandse Gemeenten NV
1.375%, 03/19/18............................. 15,500 15,492,436
## 1.125%, 05/25/18............................. 18,500 18,455,729
# ## 1.000%, 09/20/18............................. 24,500 24,360,350
1.375%, 01/28/19............................. 45,000 44,808,030
## 1.500%, 02/15/19............................. 12,082 12,047,617
1.500%, 02/15/19............................. 20,600 20,542,938
1.875%, 06/11/19............................. 24,686 24,722,906
Bank of Montreal
# 1.400%, 04/10/18............................. 5,000 4,997,572
# 1.350%, 08/28/18............................. 4,000 3,990,043
Bank of Montreal Floating Rate Note 3M USD LIBOR +
0.600%, FRN
(r) 1.950%, 04/09/18............................. 15,000 15,031,437
Bank of Nova Scotia (The)
# 2.050%, 10/30/18............................. 42,000 42,130,520
Berkshire Hathaway Finance Corp.
1.450%, 03/07/18............................. 8,600 8,599,492
Berkshire Hathaway Finance Corp. Floating Rate Note
3M USD LIBOR + 0.300%, FRN
(r) 1.657%, 01/12/18............................. 16,000 16,009,651
(r) 1.867%, 03/07/18............................. 50,782 50,880,768
(r) 2.010%, 03/15/19............................. 7,000 7,065,461
(r) 1.575%, 08/15/19............................. 9,000 9,029,334
Caisse d'Amortissement de la Dette Sociale
## 1.500%, 01/28/19............................. 20,000 19,936,140
1.500%, 01/28/19............................. 36,512 36,388,809
Caisse d'Amortissement de la Dette Sociale Floating
Rate Note 3M USD LIBOR + 0.380%, FRN
(r)## 1.700%, 03/15/18............................. 50,000 50,063,022
Caisse des Depots et Consignations
1.125%, 11/13/17............................. 3,400 3,399,490
1.250%, 06/04/18............................. 15,000 14,962,200
Chevron Corp.
1.344%, 11/09/17............................. 14,725 14,724,787
1.365%, 03/02/18............................. 39,877 39,871,176
29
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
1.790%, 11/16/18............................. $26,037 $26,072,885
# 1.686%, 02/28/19............................. 12,240 12,236,083
# 1.561%, 05/16/19............................. 26,400 26,328,495
Chevron Corp. Floating Rate Note 3M USD LIBOR +
0.500%, FRN
(r) 1.814%, 05/16/18............................. 15,192 15,231,272
(r) 1.824%, 11/16/18............................. 5,000 5,023,526
(r) 1.407%, 02/28/19............................. 15,350 15,350,004
Cisco Systems, Inc.
1.400%, 02/28/18............................. 54,371 54,367,783
# 1.650%, 06/15/18............................. 22,414 22,444,126
2.125%, 03/01/19............................. 34,580 34,767,070
1.400%, 09/20/19............................. 23,787 23,637,473
Commonwealth Bank of Australia
1.625%, 03/12/18............................. 950 950,663
# ## 1.375%, 09/06/18............................. 40,990 40,885,904
# 1.375%, 09/06/18............................. 7,000 6,982,223
2.500%, 09/20/18............................. 57,978 58,401,151
1.750%, 11/02/18............................. 3,200 3,197,735
2.250%, 03/13/19............................. 7,400 7,440,171
2.300%, 09/06/19............................. 13,969 14,047,920
Commonwealth Bank of Australia Floating Rate Note
3M USD LIBOR + 0.790%, FRN
(r)## 2.167%, 11/02/18............................. 24,325 24,483,722
#(r) 2.380%, 03/15/19............................. 25,115 25,397,620
(r) 1.866%, 09/06/19............................. 13,094 13,163,355
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 55,738 56,025,339
1.375%, 08/09/19............................. 22,620 22,406,809
Council Of Europe Development Bank
# 1.000%, 02/04/19............................. 12,000 11,900,595
1.500%, 05/17/19............................. 58,200 58,011,432
Dexia Credit Local SA
2.250%, 01/30/19............................. 9,706 9,743,659
Erste Abwicklungsanstalt
1.250%, 03/15/18............................. 15,000 14,968,650
1.375%, 10/30/19............................. 8,600 8,485,620
European Bank for Reconstruction & Development
1.625%, 11/15/18............................. 46,761 46,719,897
European Investment Bank
1.125%, 08/15/18............................. 44,000 43,839,048
1.875%, 03/15/19............................. 68,900 69,094,987
2.125%, 03/15/19............................. 29,372 29,553,166
# 1.250%, 05/15/19............................. 50,500 50,155,590
# 1.125%, 08/15/19............................. 22,000 21,775,424
Export Development Canada
1.500%, 10/03/18............................. 10,000 9,988,200
1.000%, 11/01/18............................. 9,000 8,941,883
1.750%, 08/19/19............................. 66,300 66,324,156
1.000%, 09/13/19............................. 23,335 23,014,915
FACE
AMOUNT VALUE+
------ ------
(000)
Exxon Mobil Corp.
1.439%, 03/01/18............................. $68,040 $68,050,264
1.708%, 03/01/19............................. 21,000 21,017,095
Exxon Mobil Corp. Floating Rate Note 3M USD LIBOR
+ 0.050%, FRN
#(r) 1.366%, 03/01/18............................. 92,725 92,759,382
FMS Wertmanagement AoeR
1.500%, 08/09/19............................. 5,000 4,978,895
1.000%, 08/16/19............................. 98,000 96,675,040
General Electric Co.
6.000%, 08/07/19............................. 6,644 7,124,340
General Electric Co.
# 5.250%, 12/06/17............................. 38,610 38,747,862
1.625%, 04/02/18............................. 5,850 5,852,417
5.625%, 05/01/18............................. 53,827 54,899,749
# 2.300%, 01/14/19............................. 2,500 2,515,922
General Electric Co. Floating Rate Note 3M USD
LIBOR + 0.270%, FRN
(r) 1.582%, 08/07/18............................. 5,000 5,006,370
Inter-American Development Bank
1.125%, 09/12/19............................. 18,979 18,771,370
1.750%, 10/15/19............................. 2,500 2,500,545
Inter-American Development Bank Floating Rate Note
1M USD LIBOR + 0.040%, FRN
(r) 1.280%, 11/26/18............................. 11,151 11,146,324
International Bank for Reconstruction & Development
1.000%, 10/05/18............................. 22,000 21,903,838
1.875%, 03/15/19............................. 50,000 50,160,550
1.875%, 10/07/19............................. 15,000 15,040,260
International Business Machines Corp.
1.250%, 02/08/18............................. 2,942 2,940,503
Kommunalbanken A.S.
1.000%, 03/15/18............................. 6,000 5,989,056
1.125%, 05/23/18............................. 14,500 14,466,186
## 1.125%, 05/23/18............................. 1,700 1,695,911
2.125%, 03/15/19............................. 77,140 77,525,700
1.750%, 05/28/19............................. 42,700 42,682,664
1.500%, 09/09/19............................. 5,000 4,972,610
1.500%, 10/22/19............................. 22,268 22,121,031
Kommunalbanken A.S. Floating Rate Note 3M USD
LIBOR + 0.180%, FRN
(r) 1.496%, 02/20/18............................. 9,026 9,031,199
Kommunekredit
1.125%, 03/15/18............................. 3,778 3,772,892
1.500%, 01/15/19............................. 4,000 3,988,364
1.125%, 08/23/19............................. 63,700 62,935,345
Kommuninvest I Sverige AB
1.125%, 10/09/18............................. 35,860 35,689,235
1.000%, 11/13/18............................. 28,000 27,816,964
1.125%, 09/17/19............................. 13,900 13,723,081
30
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Kommuninvest I Sverige AB Floating Rate Note 3M USD
LIBOR + 0.140%, FRN
(r) 1.454%, 08/17/18............................. $ 19,000 $ 19,020,520
Kreditanstalt fuer Wiederaufbau
1.500%, 02/06/19............................. 147,290 146,948,287
1.875%, 04/01/19............................. 39,800 39,899,898
# 1.500%, 09/09/19............................. 33,500 33,337,860
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.000%, 04/23/18............................. 8,750 8,727,110
1.625%, 02/01/19............................. 18,125 18,103,612
Landwirtschaftliche Rentenbank
1.750%, 04/15/19............................. 12,500 12,508,875
Manitoba, Province of Canada
# 1.750%, 05/30/19............................. 16,940 16,913,852
Merck & Co., Inc. Floating Rate Note 3M USD LIBOR +
0.360%, FRN
(r) 1.677%, 05/18/18............................. 19,430 19,466,803
Microsoft Corp.
# 1.300%, 11/03/18............................. 12,709 12,675,481
4.200%, 06/01/19............................. 5,000 5,194,565
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 14,475 14,447,787
## 1.250%, 09/10/18............................. 104,500 104,137,803
1.250%, 09/10/18............................. 48,520 48,351,830
1.250%, 04/18/19............................. 25,150 24,957,351
1.750%, 05/21/19............................. 23,800 23,789,861
National Australia Bank, Ltd.
1.875%, 07/23/18............................. 12,180 12,200,857
2.000%, 01/14/19............................. 4,500 4,508,124
# ## 2.250%, 07/01/19............................. 12,000 12,068,326
1.375%, 07/12/19............................. 24,500 24,282,763
National Australia Bank, Ltd. Floating Rate Note 3M
USD LIBOR + 0.640%, FRN
(r)## 2.003%, 07/23/18............................. 12,450 12,499,078
(r) 2.003%, 07/23/18............................. 8,750 8,784,493
(r) 2.139%, 01/14/19............................. 2,500 2,517,220
(r)## 1.607%, 07/25/19............................. 50,000 49,981,299
(r)## 1.557%, 08/29/19............................. 41,600 41,583,006
Nederlandse Waterschapsbank NV
## 1.500%, 04/16/18............................. 4,200 4,198,807
0.875%, 07/13/18............................. 10,000 9,948,700
# ## 1.500%, 01/23/19............................. 82,950 82,716,081
1.875%, 03/13/19............................. 67,703 67,794,941
1.750%, 09/05/19............................. 39,400 39,341,097
## 1.250%, 09/09/19............................. 4,050 4,006,240
1.250%, 09/09/19............................. 2,500 2,472,988
Nordea Bank AB
## 1.875%, 09/17/18............................. 3,118 3,122,455
FACE
AMOUNT VALUE+
------ ------
(000)
Nordea Bank AB Floating Rate Note 3M USD LIBOR +
0.840%, FRN
(r)## 2.161%, 09/17/18............................. $ 14,410 $ 14,505,826
(r) 2.161%, 09/17/18............................. 3,000 3,019,950
Nordic Investment Bank
1.125%, 03/19/18............................. 11,000 10,986,811
0.875%, 09/27/18............................. 9,500 9,437,226
NRW Bank
1.250%, 10/01/18............................. 4,954 4,934,248
1.875%, 07/01/19............................. 7,907 7,911,412
1.250%, 07/29/19............................. 11,734 11,612,260
Oesterreichische Kontrollbank AG
1.125%, 05/29/18............................. 24,400 24,349,221
1.625%, 03/12/19............................. 6,000 5,993,280
1.125%, 04/26/19............................. 22,926 22,700,761
Ontario, Province of Canada
# 3.000%, 07/16/18............................. 15,060 15,204,856
# 2.000%, 09/27/18............................. 61,780 61,956,447
# 1.625%, 01/18/19............................. 15,000 14,970,741
2.000%, 01/30/19............................. 33,297 33,380,669
# 1.250%, 06/17/19............................. 39,780 39,393,338
Oracle Corp.
2.375%, 01/15/19............................. 4,100 4,133,655
Oracle Corp. Floating Rate Note 3M USD LIBOR +
0.580%, FRN
(r) 1.939%, 01/15/19............................. 1,000 1,006,670
Pfizer, Inc.
# 1.200%, 06/01/18............................. 109,500 109,334,800
2.100%, 05/15/19............................. 28,742 28,905,806
Province of Ontario Canada
1.200%, 02/14/18............................. 36,000 35,962,920
1.650%, 09/27/19............................. 14,500 14,432,456
Quebec, Province of Canada Floating Rate Note 3M
USD LIBOR + 0.280%, FRN
(r) 1.643%, 07/21/19............................. 80,786 81,081,224
Quebec, Province of Canada
4.625%, 05/14/18............................. 15,491 15,739,390
Royal Bank of Canada
# 1.500%, 06/07/18............................. 52,000 51,974,976
# 2.200%, 07/27/18............................. 25,318 25,424,706
1.800%, 07/30/18............................. 11,915 11,925,230
2.000%, 12/10/18............................. 11,635 11,663,714
2.150%, 03/15/19............................. 12,318 12,384,187
1.625%, 04/15/19............................. 3,000 2,991,265
1.500%, 07/29/19............................. 14,913 14,811,868
Royal Bank of Canada Floating Rate Note 3M USD
LIBOR + 0.400%, FRN
(r) 1.780%, 10/31/18............................. 45,000 45,044,513
(r) 1.800%, 01/10/19............................. 3,000 3,009,747
Shell International Finance BV
1.900%, 08/10/18............................. 17,000 17,045,801
# 1.625%, 11/10/18............................. 27,970 27,960,167
31
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
2.000%, 11/15/18............................. $ 11,517 $ 11,558,786
1.375%, 05/10/19............................. 19,990 19,881,668
1.375%, 09/12/19............................. 34,769 34,502,327
4.300%, 09/22/19............................. 3,058 3,183,031
Shell International Finance BV Floating Rate Note
3M USD LIBOR + 0.580%, FRN
(r) 1.889%, 11/10/18............................. 21,560 21,683,340
(r) 1.660%, 09/12/19............................. 11,305 11,367,946
State of North Rhine- Westphalia Germany
1.375%, 01/30/19............................. 3,500 3,480,750
1.875%, 06/17/19............................. 16,500 16,508,547
1.625%, 07/25/19............................. 17,200 17,133,109
1.250%, 09/16/19............................. 10,000 9,883,780
State of North Rhine- Westphalia Germany Floating
Rate Note 3M USD LIBOR + 0.170%, FRN
(r) 1.484%, 11/23/18............................. 113,900 114,056,840
Statoil ASA
1.250%, 11/09/17............................. 5,000 4,999,716
# 1.150%, 05/15/18............................. 8,200 8,183,105
1.950%, 11/08/18............................. 14,520 14,553,429
Statoil ASA Floating Rate Note 3M USD LIBOR +
0.290%, FRN
(r) 1.605%, 05/15/18............................. 5,835 5,842,193
Svensk Exportkredit AB
1.125%, 04/05/18............................. 91,060 90,912,960
1.250%, 04/12/19............................. 6,500 6,453,208
1.875%, 06/17/19............................. 21,800 21,825,506
Svensk Exportkredit AB Floating Rate Note 3M USD
LIBOR + 0.100%, FRN
(r) 1.436%, 10/04/18............................. 24,630 24,652,603
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 43,223 43,559,519
2.250%, 06/17/19............................. 6,210 6,245,709
Svenska Handelsbanken AB Floating Rate Note 3M
USD LIBOR + 0.490%, FRN
(r) 1.811%, 06/17/19............................. 1,580 1,587,981
(r) 1.806%, 09/06/19............................. 3,386 3,403,614
Swedbank AB
## 2.375%, 02/27/19............................. 15,000 15,073,320
Toronto-Dominion Bank (The)
# 1.400%, 04/30/18............................. 37,471 37,443,693
1.750%, 07/23/18............................. 4,785 4,789,132
1.450%, 09/06/18............................. 28,000 27,945,191
2.625%, 09/10/18............................. 44,926 45,282,998
1.950%, 01/22/19............................. 36,548 36,618,020
2.125%, 07/02/19............................. 7,218 7,251,018
1.900%, 10/24/19............................. 34,000 33,965,276
FACE
AMOUNT VALUE+
------ ------
(000)
Toronto-Dominion Bank (The) Floating Rate Note 3M
USD LIBOR + 0.840%, FRN
(r) 2.203%, 01/22/19............................. $ 5,000 $ 5,043,903
(r) 1.959%, 08/13/19............................. 9,500 9,580,126
Total Capital International SA
2.125%, 01/10/19............................. 13,000 13,066,767
Total Capital International SA Floating Rate Note
3M USD LIBOR + 0.350%, FRN
#(r) 1.674%, 06/19/19............................. 4,633 4,650,508
Total Capital SA
2.125%, 08/10/18............................. 6,000 6,018,528
Toyota Motor Credit Corp.
1.550%, 07/13/18............................. 2,100 2,100,010
2.000%, 10/24/18............................. 6,865 6,888,500
# 1.700%, 01/09/19............................. 42,001 41,974,255
2.100%, 01/17/19............................. 19,561 19,636,039
1.700%, 02/19/19............................. 9,318 9,310,173
1.400%, 05/20/19............................. 32,101 31,923,313
2.125%, 07/18/19............................. 2,613 2,625,973
Toyota Motor Credit Corp. Floating Rate Note 3M USD
LIBOR + 0.230%, FRN
(r) 1.545%, 08/15/18............................. 30,000 30,041,564
(r) 1.610%, 01/09/19............................. 22,158 22,195,358
(r) 1.743%, 01/17/19............................. 14,300 14,337,650
(r) 2.136%, 02/19/19............................. 7,347 7,416,782
USAA Capital Corp. Floating Rate Note 3M USD LIBOR
+ 0.230%, FRN
(r)## 1.607%, 02/01/19............................. 42,955 43,000,781
Wal-Mart Stores, Inc.
1.125%, 04/11/18............................. 1,387 1,385,599
Westpac Banking Corp.
2.250%, 07/30/18............................. 18,919 19,013,376
1.950%, 11/23/18............................. 17,521 17,558,241
2.250%, 01/17/19............................. 79,463 79,841,787
1.600%, 08/19/19............................. 578 574,504
Westpac Banking Corp. Floating Rate Note 3M USD
LIBOR + 0.740%, FRN
(r) 2.118%, 07/30/18............................. 38,084 38,260,268
#(r) 2.054%, 11/23/18............................. 22,189 22,339,541
(r)## 1.547%, 04/26/19............................. 21,000 20,988,378
(r) 2.019%, 05/13/19............................. 5,500 5,542,086
--------------
TOTAL BONDS......................................... 5,580,843,872
--------------
U.S. TREASURY OBLIGATIONS -- (8.4%)
U.S. Treasury Notes
1.250%, 11/30/18............................. 110,000 109,703,516
1.250%, 12/15/18............................. 70,000 69,797,657
1.250%, 12/31/18............................. 20,000 19,940,625
1.375%, 12/31/18............................. 115,000 114,815,820
1.125%, 01/15/19............................. 35,000 34,837,305
1.250%, 01/31/19............................. 120,000 119,615,625
32
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
1.500%, 02/28/19............................. $ 15,000 $ 14,992,969
0.875%, 09/15/19............................. 100,000 98,675,781
1.000%, 10/15/19............................. 50,000 49,423,828
--------------
TOTAL U.S. TREASURY OBLIGATIONS................... 631,803,126
--------------
TOTAL INVESTMENT SECURITIES....................... 6,834,291,433
--------------
CERTIFICATES OF DEPOSIT -- (6.5%)
Bank of Montreal Floating Rate Note 3M USD LIBOR
+ 0.700%, FRN
(r) 2.021%, 03/16/18............................. 26,000 25,998,954
Bank of Nova Scotia Floating Rate Note 3M USD
LIBOR + 0.380%, FRN
(r) 1.697%, 02/28/19............................. 75,000 74,980,281
Nordea Bank AB
1.610%, 05/02/18............................. 40,000 39,957,040
Nordea Bank AB Floating Rate Note 3M USD LIBOR +
0.450%, FRN
(r) 1.762%, 11/07/18............................. 20,000 19,995,980
(r) 1.657%, 03/07/19............................. 100,000 99,973,196
(r) 1.630%, 04/10/19............................. 37,000 36,994,672
Royal Bank of Canada Floating Rate Note 3M USD
LIBOR + 0.700%, FRN
(r) 2.023%, 03/22/18............................. 28,500 28,518,636
FACE
AMOUNT VALUE+
------ ------
(000)
Svenska Handelsbanken Floating Rate Note 3M USD
LIBOR + 0.210%, FRN
(r) 1.544%, 01/03/19............................. $ 15,500 $ 15,496,377
(r) 1.709%, 02/12/19............................. 149,500 149,480,895
--------------
TOTAL CERTIFICATES OF DEPOSIT...................... 491,396,031
--------------
COMMERCIAL PAPER -- (0.8%)
Caisse Des Depots Et Consignations
## 1.275%, 11/08/17............................. 50,000 49,986,889
Sanofi
## 1.220%, 12/22/17............................. 10,000 9,983,504
--------------
TOTAL COMMERCIAL PAPER............................. 59,970,393
--------------
SHARES
------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government
Money Market Fund, 0.960%................... 66,294,350 66,294,350
--------------
SECURITIES LENDING COLLATERAL -- (1.3%)
(S)@ DFA Short Term Investment Fund............... 8,691,042 100,564,051
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,563,006,937)............................ $7,552,516,258
==============
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
----------- -------------- ------- --------------
Agency Obligations............ -- $ 621,644,435 -- $ 621,644,435
Bonds......................... -- 5,580,843,872 -- 5,580,843,872
U.S. Treasury Obligations..... -- 631,803,126 -- 631,803,126
Certificates of Deposit....... -- 491,396,031 -- 491,396,031
Commercial Paper.............. -- 59,970,393 -- 59,970,393
Temporary Cash Investments.... $66,294,350 -- -- 66,294,350
Securities Lending Collateral. -- 100,564,051 -- 100,564,051
----------- -------------- -- --------------
TOTAL......................... $66,294,350 $7,486,221,908 -- $7,552,516,258
=========== ============== == ==============
See accompanying Notes to Financial Statements.
33
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (89.2%)
AUSTRALIA -- (9.8%)
Australia & New Zealand Banking Group, Ltd.
2.000%, 11/16/18............................. 15,063 $ 15,097,788
2.250%, 06/13/19............................. 57,733 57,996,658
1.600%, 07/15/19............................. 3,340 3,321,565
Commonwealth Bank of Australia
## 1.375%, 09/06/18............................. 30,114 30,037,524
2.500%, 09/20/18............................. 19,674 19,817,590
1.750%, 11/02/18............................. 15,130 15,119,290
2.250%, 03/13/19............................. 1,004 1,009,450
4.250%, 04/24/19............................. AUD 1,500 1,181,757
2.300%, 09/06/19............................. 11,019 11,081,254
5.000%, 10/15/19............................. 12,500 13,185,146
## 2.250%, 03/10/20............................. 10,000 10,037,810
# ## 2.050%, 09/18/20............................. 41,500 41,317,207
National Australia Bank, Ltd.
4.250%, 05/20/19............................. AUD 26,850 21,184,628
## 2.250%, 07/01/19............................. 18,482 18,587,233
2.250%, 07/01/19............................. 18,070 18,172,887
1.375%, 07/12/19............................. 22,849 22,646,402
## 2.400%, 12/09/19............................. 2,492 2,511,348
2.125%, 05/22/20............................. 14,706 14,705,971
National Australia Bank, Ltd. Floating Rate Note 3M
USD LIBOR +0.240%, FRN
(r)## 1.557%, 08/29/19............................. 25,000 24,989,787
South Australian Government Financing Authority
4.750%, 08/06/19............................. AUD 10,000 8,028,413
Western Australian Treasury Corp.
2.500%, 07/22/20............................. AUD 10,000 7,721,431
Westpac Banking Corp.
2.250%, 07/30/18............................. 21,369 21,475,598
1.950%, 11/23/18............................. 14,179 14,209,138
2.250%, 01/17/19............................. 89,010 89,434,296
4.500%, 02/25/19............................. AUD 17,000 13,406,064
1.650%, 05/13/19............................. 6,200 6,175,299
2.150%, 03/06/20............................. 5,000 5,010,027
------------
TOTAL AUSTRALIA..................................... 507,461,561
------------
AUSTRIA -- (1.6%)
Oesterreichische Kontrollbank AG
1.125%, 04/26/19............................. 28,726 28,443,779
1.750%, 01/24/20............................. 32,380 32,308,868
1.375%, 02/10/20............................. 24,660 24,381,586
------------
TOTAL AUSTRIA....................................... 85,134,233
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
BELGIUM -- (0.2%)
Dexia Credit Local SA
2.250%, 01/30/19............................. 10,944 $ 10,986,463
------------
CANADA -- (19.1%)
Alberta, Province of Canada
2.000%, 06/01/19............................. CAD 81,000 63,261,747
1.900%, 12/06/19............................. 16,600 16,568,115
Bank of Montreal
1.350%, 08/28/18............................. 17,165 17,122,274
2.100%, 12/12/19............................. 6,015 6,030,554
Bank of Nova Scotia (The)
2.050%, 10/30/18............................. 37,530 37,646,629
1.950%, 01/15/19............................. 14,363 14,386,433
2.050%, 06/05/19............................. 10,000 10,023,946
1.650%, 06/14/19............................. 15,000 14,935,023
British Columbia, Province of Canada
2.250%, 03/01/19............................. CAD 70,000 54,832,881
Canada Housing Trust No 1
## 1.950%, 06/15/19............................. CAD 183,000 142,927,525
Canadian Government Bond
3.750%, 06/01/19............................. CAD 55,000 44,223,820
0.750%, 08/01/19............................. CAD 55,000 42,178,320
CPPIB Capital, Inc.
1.100%, 06/10/19............................. CAD 45,000 34,653,593
Export Development Canada
1.750%, 08/19/19............................. 8,000 8,002,915
Manitoba, Province of Canada
1.750%, 05/30/19............................. 10,300 10,284,101
Ontario, Province of Canada
1.625%, 01/18/19............................. 7,683 7,668,013
2.000%, 01/30/19............................. 30,000 30,075,384
4.400%, 06/02/19............................. CAD 81,000 65,608,682
2.100%, 09/08/19............................. CAD 57,000 44,621,355
4.200%, 06/02/20............................. CAD 4,500 3,708,480
Royal Bank of Canada
2.150%, 03/15/19............................. 11,757 11,820,172
1.625%, 04/15/19............................. 21,759 21,695,643
2.980%, 05/07/19............................. CAD 54,500 43,009,418
1.500%, 07/29/19............................. 838 832,317
2.125%, 03/02/20............................. 38,000 38,080,831
2.150%, 03/06/20............................. 18,715 18,757,528
1.920%, 07/17/20............................. CAD 20,000 15,492,908
Saskatchewan, Province of Canada
1.950%, 03/01/19............................. CAD 35,000 27,297,070
34
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Toronto-Dominion Bank (The)
2.625%, 09/10/18............................. 12,246 $ 12,343,311
1.950%, 01/22/19............................. 32,164 32,225,621
2.447%, 04/02/19............................. CAD 62,000 48,548,965
2.125%, 07/02/19............................. 3,153 3,167,423
1.900%, 10/24/19............................. 22,000 21,977,531
2.250%, 11/05/19............................. 15,000 15,093,076
2.563%, 06/24/20............................. CAD 10,000 7,876,289
------------
TOTAL CANADA..................................... 986,977,893
------------
DENMARK -- (1.7%)
Kommunekredit
1.250%, 08/27/18............................. 14,500 14,452,585
1.500%, 01/15/19............................. 10,000 9,970,910
1.125%, 08/23/19............................. 61,900 61,156,952
------------
TOTAL DENMARK.................................... 85,580,447
------------
FINLAND -- (2.2%)
Municipality Finance P.L.C.
## 1.250%, 09/10/18............................. 28,800 28,700,179
1.250%, 09/10/18............................. 5,780 5,759,967
1.250%, 04/18/19............................. 29,100 28,877,094
1.750%, 05/21/19............................. 44,900 44,880,873
1.500%, 03/23/20............................. 7,944 7,872,901
------------
TOTAL FINLAND.................................... 116,091,014
------------
FRANCE -- (3.9%)
Agence Francaise de Developpement
1.375%, 08/02/19............................. 19,800 19,601,881
1.625%, 01/21/20............................. 70,000 69,349,910
Caisse d'Amortissement de la Dette Sociale
1.500%, 01/28/19............................. 52,018 51,842,491
## 1.500%, 01/28/19............................. 24,000 23,923,368
1.875%, 01/13/20............................. 1,200 1,198,946
Caisse des Depots et Consignations
1.500%, 11/13/18............................. 12,600 12,557,412
Total Capital International SA
2.125%, 01/10/19............................. 19,912 20,014,267
2.100%, 06/19/19............................. 2,573 2,587,052
------------
TOTAL FRANCE..................................... 201,075,327
------------
GERMANY -- (7.8%)
Erste Abwicklungsanstalt
1.625%, 02/21/19............................. 29,000 28,890,728
1.375%, 10/30/19............................. 19,800 19,536,660
FMS Wertmanagement AoeR
1.500%, 08/09/19............................. 5,000 4,978,895
1.000%, 08/16/19............................. 56,500 55,736,120
1.750%, 01/24/20............................. 24,450 24,408,262
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (Continued)
Kreditanstalt fuer Wiederaufbau
1.875%, 06/13/18............................. CAD 7,000 $ 5,444,330
1.500%, 02/06/19............................. 28,250 28,184,460
1.500%, 09/09/19............................. 95,600 95,137,296
1.250%, 09/30/19............................. 12,000 11,885,810
6.000%, 08/20/20............................. AUD 13,500 11,373,856
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.625%, 02/01/19............................. 12,025 12,010,811
Landwirtschaftliche Rentenbank
1.750%, 04/15/19............................. 10,000 10,007,100
NRW Bank
1.250%, 10/01/18............................. 13,463 13,409,323
1.875%, 07/01/19............................. 7,906 7,910,412
1.250%, 07/29/19............................. 14,108 13,961,629
State of North Rhine- Westphalia
1.625%, 01/22/20............................. 8,800 8,742,756
State of North Rhine- Westphalia Germany
1.875%, 06/17/19............................. 17,300 17,308,961
1.625%, 07/25/19............................. 22,700 22,611,720
1.250%, 09/16/19............................. 9,000 8,895,402
------------
TOTAL GERMANY.................................... 400,434,531
------------
JAPAN -- (2.7%)
Toyota Credit Canada, Inc.
2.250%, 05/23/19............................. CAD 12,238 9,553,817
Toyota Motor Credit Corp.
2.000%, 10/24/18............................. 2,018 2,024,908
1.700%, 01/09/19............................. 40,526 40,500,194
2.100%, 01/17/19............................. 11,359 11,402,575
1.700%, 02/19/19............................. 26,967 26,944,348
1.400%, 05/20/19............................. 25,596 25,454,320
2.125%, 07/18/19............................. 3,331 3,347,537
2.150%, 03/12/20............................. 14,816 14,886,394
4.500%, 06/17/20............................. 4,500 4,778,055
------------
TOTAL JAPAN...................................... 138,892,148
------------
NETHERLANDS -- (9.0%)
Bank Nederlandse Gemeenten NV
1.375%, 01/28/19............................. 39,000 38,833,626
## 1.375%, 01/28/19............................. 5,000 4,978,670
1.500%, 02/15/19............................. 29,900 29,817,177
## 1.500%, 02/15/19............................. 12,000 11,965,851
1.750%, 03/24/20............................. 47,892 47,734,531
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 70,043 70,404,083
1.375%, 08/09/19............................. 1,320 1,307,559
2.250%, 01/14/20............................. 4,075 4,099,764
35
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
NETHERLANDS -- (Continued)
Nederlandse Waterschapsbank NV
## 1.500%, 01/23/19............................. 42,600 $ 42,479,868
1.875%, 03/13/19............................. 78,500 78,606,603
1.750%, 09/05/19............................. 4,000 3,994,020
1.250%, 09/09/19............................. 2,430 2,403,744
1.625%, 03/04/20............................. 20,949 20,804,452
Shell International Finance BV
# 1.900%, 08/10/18............................. 18,230 18,279,114
1.625%, 11/10/18............................. 30,943 30,932,122
2.000%, 11/15/18............................. 8,546 8,577,007
1.375%, 05/10/19............................. 14,857 14,776,485
1.375%, 09/12/19............................. 35,075 34,805,980
------------
TOTAL NETHERLANDS................................ 464,800,656
------------
NORWAY -- (3.5%)
Kommunalbanken A.S.
2.125%, 03/15/19............................. 101,838 102,347,190
1.750%, 05/28/19............................. 8,000 7,996,752
1.500%, 09/09/19............................. 6,500 6,464,393
1.500%, 10/22/19............................. 23,378 23,223,705
Statoil ASA
1.150%, 05/15/18............................. 1,918 1,914,048
1.950%, 11/08/18............................. 7,316 7,332,844
2.250%, 11/08/19............................. 32,873 33,087,152
------------
TOTAL NORWAY..................................... 182,366,084
------------
SINGAPORE -- (2.8%)
Singapore Government Bond
2.500%, 06/01/19............................. SGD 115,000 85,839,557
1.625%, 10/01/19............................. SGD 82,500 60,753,796
------------
TOTAL SINGAPORE.................................. 146,593,353
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.7%)
African Development Bank
1.000%, 05/15/19............................. 8,750 8,654,981
1.125%, 09/20/19............................. 20,000 19,765,011
Asian Development Bank
1.375%, 01/15/19............................. 13,377 13,328,709
1.875%, 04/12/19............................. 9,150 9,174,486
Council Of Europe Development Bank
1.000%, 02/04/19............................. 21,635 21,455,781
1.500%, 05/17/19............................. 47,914 47,758,759
1.625%, 03/10/20............................. 45,000 44,754,787
European Bank for Reconstruction & Development
1.625%, 11/15/18............................. 50,124 50,079,941
FACE
AMOUNT^ VALUE+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
European Investment Bank
2.125%, 03/15/19............................. 2,000 $ 2,012,336
1.250%, 05/15/19............................. 18,750 18,622,125
6.500%, 08/07/19............................. AUD 50,125 41,273,621
1.125%, 08/15/19............................. 10,000 9,897,920
1.250%, 12/16/19............................. 9,000 8,895,240
1.625%, 03/16/20............................. 67,750 67,460,487
Inter-American Development Bank
6.500%, 08/20/19............................. AUD 17,471 14,431,608
1.125%, 09/12/19............................. 21,013 20,783,118
1.750%, 10/15/19............................. 2,500 2,500,545
International Bank for Reconstruction &
Development
1.875%, 10/07/19............................. 31,500 31,584,546
International Finance Corp.
3.250%, 07/22/19............................. AUD 22,482 17,564,372
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 449,998,373
------------
SWEDEN -- (6.6%)
Kommuninvest I Sverige AB
1.125%, 10/09/18............................. 39,250 39,063,092
1.000%, 11/13/18............................. 9,000 8,941,167
1.500%, 01/22/19............................. 4,000 3,989,756
1.125%, 09/17/19............................. 14,700 14,512,899
2.000%, 11/12/19............................. 38,000 38,125,134
1.750%, 03/19/20............................. 35,260 35,176,892
Nordea Bank AB
2.375%, 04/04/19............................. 6,986 7,032,064
Svensk Exportkredit AB
1.250%, 04/12/19............................. 8,645 8,582,767
1.875%, 06/17/19............................. 47,658 47,713,760
1.125%, 08/28/19............................. 3,750 3,702,403
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 86,287 86,958,800
4.500%, 04/10/19............................. AUD 2,500 1,970,967
2.250%, 06/17/19............................. 24,290 24,429,673
1.500%, 09/06/19............................. 10,930 10,838,143
Swedbank AB
## 2.375%, 02/27/19............................. 7,579 7,616,046
------------
TOTAL SWEDEN..................................... 338,653,563
------------
UNITED KINGDOM -- (0.5%)
Network Rail Infrastructure Finance P.L.C.
1.750%, 01/24/19............................. 24,333 24,318,595
------------
36
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (9.1%)
Apple, Inc.
1.550%, 02/08/19............................. $18,928 $ 18,911,703
2.100%, 05/06/19............................. 14,148 14,239,838
2.850%, 08/28/19............................. AUD 3,680 2,843,278
1.500%, 09/12/19............................. 88,350 88,058,502
1.550%, 02/07/20............................. 9,900 9,839,509
1.900%, 02/07/20............................. 15,000 15,018,974
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 3,909 3,933,798
Chevron Corp.
1.790%, 11/16/18............................. 7,900 7,910,888
1.686%, 02/28/19............................. 9,670 9,666,906
1.561%, 05/16/19............................. 31,115 31,030,725
2.193%, 11/15/19............................. 31,566 31,804,741
1.961%, 03/03/20............................. 4,150 4,159,440
1.991%, 03/03/20............................. 11,750 11,774,990
Cisco Systems, Inc.
2.125%, 03/01/19............................. 15,997 16,083,540
1.400%, 09/20/19............................. 33,306 33,096,635
4.450%, 01/15/20............................. 28,254 29,807,359
2.450%, 06/15/20............................. 3,715 3,764,945
Exxon Mobil Corp.
1.708%, 03/01/19............................. 23,692 23,711,286
1.912%, 03/06/20............................. 19,700 19,725,586
Merck & Co., Inc.
1.850%, 02/10/20............................. 15,000 14,994,635
Microsoft Corp.
4.200%, 06/01/19............................. 5,650 5,869,858
1.850%, 02/06/20............................. 12,000 12,004,977
1.850%, 02/12/20............................. 14,000 14,003,363
Oracle Corp.
2.375%, 01/15/19............................. 4,100 4,133,655
Pfizer, Inc.
1.200%, 06/01/18............................. 13,810 13,789,165
2.100%, 05/15/19............................. 29,850 30,020,121
--------------
TOTAL UNITED STATES.............................. 470,198,417
--------------
TOTAL BONDS...................................... 4,609,562,658
--------------
AGENCY OBLIGATIONS -- (9.4%)
Federal Home Loan Bank
1.250%, 01/16/19............................. 75,000 74,722,500
1.500%, 03/08/19............................. 25,000 24,980,000
1.375%, 03/18/19............................. 95,000 94,729,915
5.375%, 05/15/19............................. 16,160 17,092,238
1.375%, 05/28/19............................. 28,000 27,908,300
1.625%, 06/14/19............................. 55,000 55,018,975
2.000%, 09/13/19............................. 15,000 15,093,930
# 1.500%, 10/21/19............................. 29,000 28,921,120
1.875%, 03/13/20............................. 24,000 24,088,656
Federal Home Loan Mortgage Corp.
3.750%, 03/27/19............................. 25,000 25,756,950
FACE
AMOUNT^ VALUE+
------- ------
(000)
Federal Home Loan Mortgage Corp.
1.250%, 10/02/19............................. 15,000 $ 14,888,115
Federal National Mortgage Association
1.125%, 12/14/18............................. 14,500 14,435,272
1.750%, 09/12/19............................. 7,000 7,012,978
1.000%, 10/24/19............................. 20,000 19,745,320
# 1.500%, 02/28/20............................. 42,000 41,793,948
--------------
TOTAL AGENCY OBLIGATIONS........................... 486,188,217
--------------
U.S. TREASURY OBLIGATIONS -- (0.9%)
U.S. Treasury Notes
1.250%, 01/31/19............................. 45,000 44,855,860
--------------
TOTAL INVESTMENT SECURITIES........................ 5,140,606,735
--------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (0.5%)
(S)@ DFA Short Term Investment Fund............... 2,335,980 27,029,629
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,184,424,374)............................ $5,167,636,364
==============
37
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
At October 31, 2017, DFA Two-Year Global Fixed Income Portfolio had entered
into the following forward currency contracts and the net unrealized foreign
exchange gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- --------------------------- ------------------ --------------
GBP 3,173,152 USD 4,108,553 State Street Bank and Trust 11/03/17 $ 105,987
USD 24,483 AUD 31,875 Citibank, N.A. 11/01/17 87
USD 121,790,023 CAD 151,761,086 State Street Bank and Trust 11/01/17 4,154,889
USD 1,967,535 AUD 2,511,764 ANZ Securities 11/03/17 45,175
USD 5,609,288 AUD 7,031,051 UBS AG 11/03/17 228,124
USD 7,785,644 AUD 9,879,432 UBS AG 11/03/17 224,493
USD 7,823,467 AUD 10,019,880 Citibank, N.A. 11/03/17 154,825
USD 8,303,222 AUD 10,395,210 State Street Bank and Trust 11/03/17 347,324
USD 8,399,046 AUD 10,549,838 Citibank, N.A. 11/03/17 324,804
USD 8,463,650 AUD 10,525,675 Citibank, N.A. 11/03/17 407,901
USD 8,679,801 AUD 10,853,957 Bank of America 11/03/17 372,804
USD 8,793,990 AUD 10,974,709 UBS AG 11/03/17 394,577
USD 9,385,941 AUD 12,076,143 HSBC Bank 11/03/17 143,553
USD 9,483,773 AUD 12,131,621 HSBC Bank 11/03/17 198,926
USD 9,841,416 AUD 12,462,507 UBS AG 11/03/17 303,328
USD 9,899,316 AUD 12,468,045 Citibank, N.A. 11/03/17 356,989
USD 10,057,337 AUD 12,628,943 UBS AG 11/03/17 391,867
USD 10,608,638 AUD 13,256,174 UBS AG 11/03/17 463,121
USD 10,930,415 AUD 13,579,241 Citibank, N.A. 11/03/17 537,641
USD 11,757,950 AUD 14,985,210 Citibank, N.A. 11/03/17 289,129
USD 139,831,234 CAD 174,481,554 Royal Bank of Scotland 11/08/17 4,576,313
USD 14,862,194 SGD 20,155,387 Citibank, N.A. 11/13/17 75,132
USD 22,123,961 SGD 30,126,251 State Street Bank and Trust 11/14/17 21,549
USD 5,675,477 CAD 7,292,435 JP Morgan 11/15/17 22,194
USD 8,036,229 CAD 10,027,345 Barclays Capital 11/15/17 262,773
USD 8,384,357 CAD 10,603,788 Citibank, N.A. 11/15/17 164,028
USD 11,761,101 CAD 15,054,292 Royal Bank of Scotland 11/15/17 90,628
USD 15,575,238 SGD 21,111,160 Royal Bank of Scotland 11/16/17 86,560
USD 126,177,959 CAD 158,047,231 HSBC Bank 11/24/17 3,646,767
USD 129,035,940 CAD 161,025,872 Citibank, N.A. 11/27/17 4,192,431
USD 11,052,708 SGD 15,033,584 HSBC Bank 12/05/17 21,107
USD 19,141,963 SGD 25,709,839 Barclays Capital 12/06/17 275,943
USD 23,028,961 SGD 30,917,923 HSBC Bank 12/19/17 337,861
USD 128,204,451 CAD 160,616,292 State Street Bank and Trust 01/16/18 3,605,226
USD 21,071,416 SGD 28,609,209 State Street Bank and Trust 01/19/18 66,292
USD 116,208,041 CAD 149,045,761 JP Morgan 01/26/18 572,777
-----------
TOTAL APPRECIATION $27,463,125
CAD 151,761,086 USD 118,224,045 JP Morgan 11/01/17 $ (588,912)
SGD 290,481 USD 214,378 Citibank, N.A. 11/14/17 (1,264)
SGD 393,949 USD 289,399 Citibank, N.A. 11/15/17 (372)
SGD 361,333 USD 267,889 Citibank, N.A. 11/15/17 (2,791)
SGD 560,628 USD 411,984 Citibank, N.A. 12/19/17 (531)
SGD 284,999 USD 210,678 Citibank, N.A. 12/19/17 (1,513)
USD 4,122,400 GBP 3,173,152 UBS AG 11/03/17 (92,139)
USD 22,314,954 SGD 30,451,669 State Street Bank and Trust 11/15/17 (26,401)
-----------
TOTAL (DEPRECIATION) $ (713,923)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $26,749,202
===========
38
DFA TWO-YEAR GLOBAL FIXED INCOME 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
------- -------------- ------- --------------
Bonds
Australia................................ -- $ 507,461,561 -- $ 507,461,561
Austria.................................. -- 85,134,233 -- 85,134,233
Belgium.................................. -- 10,986,463 -- 10,986,463
Canada................................... -- 986,977,893 -- 986,977,893
Denmark.................................. -- 85,580,447 -- 85,580,447
Finland.................................. -- 116,091,014 -- 116,091,014
France................................... -- 201,075,327 -- 201,075,327
Germany.................................. -- 400,434,531 -- 400,434,531
Japan.................................... -- 138,892,148 -- 138,892,148
Netherlands.............................. -- 464,800,656 -- 464,800,656
Norway................................... -- 182,366,084 -- 182,366,084
Singapore................................ -- 146,593,353 -- 146,593,353
Supranational Organization Obligations... -- 449,998,373 -- 449,998,373
Sweden................................... -- 338,653,563 -- 338,653,563
United Kingdom........................... -- 24,318,595 -- 24,318,595
United States............................ -- 470,198,417 -- 470,198,417
Agency Obligations........................ -- 486,188,217 -- 486,188,217
U.S. Treasury Obligations................. -- 44,855,860 -- 44,855,860
Securities Lending Collateral............. -- 27,029,629 -- 27,029,629
Forward Currency Contracts**.............. -- 26,749,202 -- 26,749,202
-- -------------- -- --------------
TOTAL..................................... -- $5,194,385,566 -- $5,194,385,566
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
39
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (98.8%)
AUSTRALIA -- (6.5%)
Australia & New Zealand Banking Group, Ltd.
2.700%, 11/16/20............................. 7,000 $ 7,091,588
3.300%, 03/07/22............................. AUD 2,000 1,555,489
Commonwealth Bank of Australia
2.300%, 03/12/20............................. 3,100 3,112,164
2.900%, 07/12/21............................. AUD 2,000 1,536,207
3.250%, 01/17/22............................. AUD 1,000 775,846
## 2.750%, 03/10/22............................. 2,000 2,021,851
3.250%, 03/31/22............................. AUD 6,000 4,652,403
0.500%, 07/11/22............................. EUR 5,725 6,737,859
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 4,475 4,523,103
National Australia Bank, Ltd.
## 2.400%, 12/09/19............................. 15,000 15,116,460
2.625%, 01/14/21............................. 1,905 1,920,439
3.000%, 05/12/21............................. AUD 1,000 771,642
1.875%, 07/12/21............................. 1,350 1,326,434
0.875%, 01/20/22............................. EUR 1,112 1,332,636
2.500%, 05/22/22............................. 3,968 3,963,410
0.350%, 09/07/22............................. EUR 1,000 1,168,925
Westpac Banking Corp.
4.875%, 11/19/19............................. 5,000 5,291,118
0.250%, 01/17/22............................. EUR 8,500 9,929,835
-----------
TOTAL AUSTRALIA.................................. 72,827,409
-----------
AUSTRIA -- (0.6%)
Republic of Austria Government Bond
## 0.0%, 09/20/22............................... EUR 6,100 7,183,871
-----------
BELGIUM -- (0.4%)
Anheuser-Busch InBev Worldwide, Inc.
5.375%, 01/15/20............................. 4,000 4,290,851
-----------
CANADA -- (9.6%)
Bank of Montreal
1.900%, 08/27/21............................. 4,000 3,931,326
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 5,000 5,011,973
2.800%, 07/21/21............................. 420 426,446
Goldcorp, Inc.
3.625%, 06/09/21............................. 500 517,983
Province of British Columbia Canada
3.250%, 12/18/21............................. CAD 5,000 4,078,715
Province of Ontario Canada
1.875%, 05/21/20............................. 10,000 9,963,631
2.500%, 09/10/21............................. 15,000 15,150,822
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Province of Quebec Canada
3.500%, 07/29/20............................. 5,000 $ 5,199,414
0.875%, 05/24/22............................. GBP 4,730 6,198,440
Quebec, Province of Canada
4.500%, 12/01/18............................. CAD 9,000 7,202,372
Royal Bank of Canada
2.150%, 03/06/20............................. 14,197 14,229,261
2.750%, 02/01/22............................. 5,614 5,701,414
1.968%, 03/02/22............................. CAD 5,000 3,832,997
Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 7,605 7,599,458
2.250%, 11/05/19............................. 9,000 9,055,846
1.994%, 03/23/22............................. CAD 10,000 7,676,537
Total Capital Canada, Ltd.
1.125%, 03/18/22............................. EUR 1,500 1,826,412
------------
TOTAL CANADA..................................... 107,603,047
------------
DENMARK -- (0.4%)
Danske Bank A.S.
## 2.800%, 03/10/21............................. 5,000 5,069,164
------------
FINLAND -- (1.5%)
Finland Government Bond
## 1.625%, 09/15/22............................. EUR 12,000 15,261,392
OP Corporate Bank P.L.C.
0.750%, 03/03/22............................. EUR 725 866,768
0.375%, 10/11/22............................. EUR 500 586,560
------------
TOTAL FINLAND.................................... 16,714,720
------------
FRANCE -- (4.0%)
BPCE SA
2.500%, 07/15/19............................. 900 907,268
2.250%, 01/27/20............................. 2,000 2,004,590
Credit Agricole SA
## 2.750%, 06/10/20............................. 5,000 5,070,635
Dexia Credit Local SA
0.625%, 01/21/22............................. EUR 1,000 1,198,058
1.125%, 06/15/22............................. GBP 2,000 2,643,369
Electricite de France SA
## 2.350%, 10/13/20............................. 5,300 5,319,173
French Republic Government Bond OAT
0.0%, 05/25/22............................... EUR 6,500 7,662,282
Societe Generale SA
## 2.500%, 04/08/21............................. 4,200 4,205,657
Total Capital SA
4.450%, 06/24/20............................. 8,000 8,511,825
4.125%, 01/28/21............................. 4,000 4,248,816
40
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
FRANCE -- (Continued)
Unedic Asseo
0.875%, 10/25/22............................. EUR 2,000 $ 2,441,995
-----------
TOTAL FRANCE..................................... 44,213,668
-----------
GERMANY -- (6.4%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 5,000 5,026,110
BMW US Capital LLC
## 2.000%, 04/11/21............................. 2,365 2,346,625
Deutsche Bank AG
2.950%, 08/20/20............................. 1,000 1,009,578
FMS Wertmanagement AoeR
1.000%, 11/21/17............................. 20,000 19,996,754
0.875%, 02/14/22............................. GBP 2,000 2,645,181
Kreditanstalt fuer Wiederaufbau
1.500%, 04/20/20............................. 14,000 13,890,240
0.875%, 03/15/22............................. GBP 12,110 16,012,661
2.900%, 06/06/22............................. AUD 1,000 775,326
NRW Bank
0.0%, 08/10/22............................... EUR 5,000 5,834,032
Volkswagen Group of America Finance LLC
## 2.400%, 05/22/20............................. 3,625 3,636,269
-----------
TOTAL GERMANY.................................... 71,172,776
-----------
IRELAND -- (2.9%)
Allergan Funding SCS
3.450%, 03/15/22............................. 6,000 6,165,950
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 23,715 23,827,409
Medtronic, Inc.
2.500%, 03/15/20............................. 2,000 2,027,116
-----------
TOTAL IRELAND.................................... 32,020,475
-----------
JAPAN -- (4.9%)
American Honda Finance Corp.
2.450%, 09/24/20............................. 5,000 5,050,467
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
## 2.350%, 09/08/19............................. 3,000 3,013,929
Japan Finance Organization for Municipalities
1.375%, 02/05/18............................. 7,330 7,316,725
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 4,000 4,002,546
MUFG Union Bank NA
2.625%, 09/26/18............................. 2,245 2,261,675
FACE
AMOUNT^ VALUE+
------- ------
(000)
JAPAN -- (Continued)
Nissan Motor Acceptance Corp.
## 2.550%, 03/08/21............................. 3,500 $ 3,517,455
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................. 3,000 2,952,146
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 4,000 3,065,499
Toyota Motor Credit Corp.
1.900%, 04/08/21............................. 20,928 20,747,171
2.600%, 01/11/22............................. 3,152 3,196,082
-----------
TOTAL JAPAN...................................... 55,123,695
-----------
NETHERLANDS -- (5.7%)
ABN AMRO Bank NV
## 2.450%, 06/04/20............................. 2,400 2,415,048
Bank Nederlandse Gemeenten NV
1.375%, 03/19/18............................. 5,000 4,997,560
1.750%, 03/24/20............................. 10,000 9,967,120
1.000%, 03/15/22............................. GBP 1,000 1,323,284
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 570 572,938
2.750%, 01/10/22............................. 810 822,275
4.000%, 01/11/22............................. EUR 980 1,328,453
4.750%, 06/06/22............................. EUR 1,367 1,927,862
ING Bank NV
## 2.750%, 03/22/21............................. 5,000 5,053,377
Mylan, Inc.
2.550%, 03/28/19............................. 4,400 4,420,319
Nederlandse Waterschapsbank NV
1.500%, 04/16/18............................. 5,000 4,998,580
Shell International Finance BV
4.375%, 03/25/20............................. 10,000 10,557,033
2.125%, 05/11/20............................. 3,620 3,635,725
2.250%, 11/10/20............................. 4,606 4,638,334
1.750%, 09/12/21............................. 7,000 6,884,560
-----------
TOTAL NETHERLANDS................................ 63,542,468
-----------
NEW ZEALAND -- (0.2%)
ASB Finance, Ltd.
0.500%, 06/10/22............................. EUR 2,000 2,344,437
-----------
NORWAY -- (1.2%)
Kommunalbanken A.S.
2.250%, 01/25/22............................. 13,250 13,273,810
-----------
SINGAPORE -- (0.6%)
Singapore Government Bond
1.750%, 04/01/22............................. SGD 10,000 7,357,934
-----------
41
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SPAIN -- (0.6%)
Santander UK P.L.C.
2.375%, 03/16/20............................. 5,000 $ 5,040,194
Telefonica Emisiones SAU
3.192%, 04/27/18............................. 1,500 1,510,400
-----------
TOTAL SPAIN...................................... 6,550,594
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (4.0%)
African Development Bank
0.875%, 03/15/18............................. 8,040 8,022,561
European Investment Bank
1.000%, 12/15/17............................. 15,000 14,992,050
4.250%, 12/07/21............................. GBP 220 330,067
5.000%, 08/22/22............................. AUD 1,000 849,081
Inter-American Development Bank
0.875%, 03/15/18............................. 10,000 9,980,030
International Bank for Reconstruction &
Development
0.750%, 12/07/21............................. GBP 5,000 6,589,935
International Finance Corp.
2.800%, 08/15/22............................. AUD 4,500 3,481,622
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 44,245,346
-----------
SWEDEN -- (8.2%)
Kommuninvest I Sverige AB
0.250%, 06/01/22............................. SEK 269,000 31,800,201
Nordea Bank AB
0.300%, 06/30/22............................. EUR 5,000 5,866,572
Skandinaviska Enskilda Banken AB
0.300%, 02/17/22............................. EUR 1,250 1,469,102
1.250%, 08/05/22............................. GBP 2,000 2,635,894
Svenska Handelsbanken AB
2.400%, 10/01/20............................. 15,145 15,259,979
0.250%, 02/28/22............................. EUR 1,600 1,872,922
Sweden Government Bond
3.500%, 06/01/22............................. SEK 231,000 32,209,154
-----------
TOTAL SWEDEN..................................... 91,113,824
-----------
SWITZERLAND -- (0.1%)
UBS AG
2.375%, 08/14/19............................. 667 671,226
-----------
UNITED KINGDOM -- (2.7%)
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 5,000 5,020,450
Barclays P.L.C.
2.750%, 11/08/19............................. 8,000 8,076,240
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED KINGDOM -- (Continued)
BP Capital Markets P.L.C.
2.315%, 02/13/20............................. 2,156 $ 2,173,109
HSBC USA, Inc.
2.350%, 03/05/20............................. 2,825 2,839,988
Nationwide Building Society
## 2.350%, 01/21/20............................. 1,266 1,272,675
Network Rail Infrastructure Finance P.L.C.
0.875%, 05/15/18............................. 10,000 9,963,020
Unilever Capital Corp.
4.250%, 02/10/21............................. 1,000 1,063,548
-----------
TOTAL UNITED KINGDOM............................. 30,409,030
-----------
UNITED STATES -- (38.3%)
Abbott Laboratories
2.000%, 03/15/20............................. $ 8,500 8,472,995
AbbVie, Inc.
2.500%, 05/14/20............................. 4,350 4,384,506
Activision Blizzard, Inc.
2.600%, 06/15/22............................. 5,000 4,989,294
Agilent Technologies, Inc.
6.500%, 11/01/17............................. 596 596,000
Air Products & Chemicals, Inc.
3.000%, 11/03/21............................. 3,990 4,085,312
Ameren Corp.
2.700%, 11/15/20............................. 1,000 1,010,112
American Express Credit Corp.
2.250%, 08/15/19............................. 2,500 2,513,862
AmerisourceBergen Corp.
3.500%, 11/15/21............................. 5,000 5,167,885
Amgen, Inc.
2.200%, 05/22/19............................. 575 577,292
Apache Corp.
6.900%, 09/15/18............................. 4,890 5,098,356
Apple, Inc.
2.250%, 02/23/21............................. 12,050 12,110,457
2.850%, 05/06/21............................. 11,176 11,451,465
Assurant, Inc.
2.500%, 03/15/18............................. 5,000 5,017,108
AT&T, Inc.
1.400%, 12/01/17............................. 5,425 5,425,000
Bank of America Corp.
2.600%, 01/15/19............................. 1,670 1,680,897
2.650%, 04/01/19............................. 1,000 1,008,115
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 3,534 3,556,419
Biogen, Inc.
2.900%, 09/15/20............................. 5,000 5,103,746
Boston Scientific Corp.
6.000%, 01/15/20............................. 1,433 1,546,884
Bristol-Myers Squibb Co.
1.750%, 03/01/19............................. 1,200 1,199,470
Buckeye Partners L.P.
6.050%, 01/15/18............................. 1,880 1,895,076
42
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Capital One NA/Mclean
2.950%, 07/23/21............................. 4,495 $ 4,548,896
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 1,880 1,893,406
CBS Corp.
2.300%, 08/15/19............................. 1,417 1,425,742
Celgene Corp.
2.250%, 05/15/19............................. 1,300 1,304,784
Chevron Corp.
2.193%, 11/15/19............................. 6,000 6,045,379
2.419%, 11/17/20............................. 10,000 10,111,035
2.100%, 05/16/21............................. 2,200 2,198,726
2.498%, 03/03/22............................. 3,000 3,032,283
Cigna Corp.
4.500%, 03/15/21............................. 1,000 1,060,183
Cisco Systems, Inc.
2.450%, 06/15/20............................. 6,270 6,354,295
2.200%, 02/28/21............................. 5,000 5,012,111
Citizens Bank NA
2.550%, 05/13/21............................. 2,836 2,847,281
Comerica, Inc.
2.125%, 05/23/19............................. 700 700,304
CVS Health Corp.
2.250%, 08/12/19............................. 600 600,979
2.800%, 07/20/20............................. 2,665 2,696,117
Dollar General Corp.
1.875%, 04/15/18............................. 2,000 2,000,413
Dominion Energy, Inc.
2.500%, 12/01/19............................. 5,167 5,201,792
DTE Energy Co.
2.400%, 12/01/19............................. 2,210 2,218,429
eBay, Inc.
2.200%, 08/01/19............................. 5,500 5,519,508
Express Scripts Holding Co.
2.250%, 06/15/19............................. 2,865 2,873,417
Exxon Mobil Corp.
1.305%, 03/06/18............................. 8,181 8,178,798
1.912%, 03/06/20............................. 5,009 5,015,506
2.222%, 03/01/21............................. 2,800 2,817,758
Fifth Third Bancorp
2.300%, 03/01/19............................. 2,270 2,279,875
Fifth Third Bank
2.375%, 04/25/19............................. 1,615 1,624,682
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 1,387 1,410,907
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20............................. 3,000 3,053,183
GATX Corp.
2.500%, 03/15/19............................. 3,000 3,013,548
General Electric Co.
2.200%, 01/09/20............................. 1,684 1,692,283
0.375%, 05/17/22............................. EUR 4,523 5,304,288
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
General Motors Financial Co., Inc.
3.450%, 01/14/22............................. 5,000 $5,123,906
Gilead Sciences, Inc.
2.550%, 09/01/20............................. 5,118 5,183,630
Goldman Sachs Group, Inc. (The)
2.625%, 04/25/21............................. 500 502,160
5.250%, 07/27/21............................. 5,000 5,473,978
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 5,000 4,972,095
Hershey Co. (The)
4.125%, 12/01/20............................. 300 318,225
Humana, Inc.
2.625%, 10/01/19............................. 1,455 1,471,466
Huntington Bancshares, Inc.
2.600%, 08/02/18............................. 4,400 4,426,570
International Business Machines Corp.
2.500%, 01/27/22............................. 5,000 5,050,564
Jefferies Group LLC
5.125%, 04/13/18............................. 1,875 1,903,924
Johnson & Johnson
1.650%, 03/01/21............................. 4,452 4,406,248
JPMorgan Chase & Co.
2.250%, 01/23/20............................. 2,675 2,687,569
KeyBank NA
1.650%, 02/01/18............................. 820 820,065
KeyCorp
2.900%, 09/15/20............................. 2,142 2,182,373
Kroger Co. (The)
2.300%, 01/15/19............................. 2,700 2,708,672
L3 Technologies, Inc.
4.750%, 07/15/20............................. 1,553 1,651,332
Legg Mason, Inc.
2.700%, 07/15/19............................. 5,425 5,484,653
Lockheed Martin Corp.
2.500%, 11/23/20............................. 3,500 3,543,731
Marathon Petroleum Corp.
3.400%, 12/15/20............................. 3,500 3,605,215
Marriott International, Inc.
6.750%, 05/15/18............................. 1,000 1,026,415
Marsh & McLennan Cos., Inc.
2.350%, 09/10/19............................. 2,200 2,210,469
Mattel, Inc.
2.350%, 05/06/19............................. 6,000 5,894,160
2.350%, 08/15/21............................. 1,000 922,500
McKesson Corp.
1.400%, 03/15/18............................. 2,907 2,904,536
4.750%, 03/01/21............................. 1,769 1,898,846
Mead Johnson Nutrition Co.
3.000%, 11/15/20............................. 2,800 2,861,954
Merck & Co., Inc.
3.875%, 01/15/21............................. 7,155 7,559,372
43
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
MetLife, Inc.
4.750%, 02/08/21............................. 2,300 $ 2,479,338
Microsoft Corp.
1.850%, 02/12/20............................. 2,000 2,000,480
1.550%, 08/08/21............................. 1,178 1,154,350
Mondelez International Holdings Netherlands BV
## 2.000%, 10/28/21............................. 6,000 5,886,990
Monsanto Co.
2.125%, 07/15/19............................. 2,500 2,501,768
Morgan Stanley
7.300%, 05/13/19............................. 1,800 1,939,535
2.375%, 07/23/19............................. 1,365 1,370,633
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 3,850 3,871,066
Nordstrom, Inc.
4.750%, 05/01/20............................. 5,225 5,474,531
Nucor Corp.
5.750%, 12/01/17............................. 7,160 7,182,711
Nuveen Finance LLC
## 2.950%, 11/01/19............................. 4,564 4,634,110
NVIDIA Corp.
2.200%, 09/16/21............................. 575 573,762
Omnicom Group, Inc.
4.450%, 08/15/20............................. 1,000 1,059,108
Oracle Corp.
1.900%, 09/15/21............................. 20,000 19,788,345
Pacific Gas & Electric Co.
3.500%, 10/01/20............................. 100 103,256
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.375%, 02/01/22............................. 361 370,097
PepsiCo, Inc.
4.500%, 01/15/20............................. 451 476,309
Pfizer, Inc.
0.250%, 03/06/22............................. EUR 12,180 14,292,673
PG&E Corp.
2.400%, 03/01/19............................. 1,210 1,214,355
PNC Bank NA
2.400%, 10/18/19............................. 1,000 1,007,835
Procter & Gamble Co. (The)
2.150%, 08/11/22............................. 7,369 7,336,047
2.000%, 08/16/22............................. EUR 400 507,516
Progress Energy, Inc.
4.400%, 01/15/21............................. 1,500 1,581,911
Prudential Financial, Inc.
6.000%, 12/01/17............................. 250 250,897
Republic Services, Inc.
3.800%, 05/15/18............................. 233 235,631
Roper Technologies, Inc.
2.800%, 12/15/21............................. 1,000 1,009,514
SCANA Corp.
4.750%, 05/15/21............................. 1,620 1,685,129
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 6,000 $ 6,055,541
Southern Co. (The)
2.750%, 06/15/20............................. 5,000 5,072,970
Southwest Airlines Co.
2.750%, 11/06/19............................. 5,000 5,063,336
State Street Corp.
2.550%, 08/18/20............................. 2,000 2,035,945
Stryker Corp.
2.625%, 03/15/21............................. 2,400 2,422,337
SunTrust Banks, Inc.
2.900%, 03/03/21............................. 1,070 1,087,425
Time Warner, Inc.
4.875%, 03/15/20............................. 2,635 2,793,133
4.000%, 01/15/22............................. 3,470 3,645,653
Toyota Motor Credit Corp.
0.750%, 07/21/22............................. EUR 500 599,901
Union Pacific Corp.
1.800%, 02/01/20............................. 844 842,724
4.000%, 02/01/21............................. 1,470 1,551,281
UnitedHealth Group, Inc.
2.300%, 12/15/19............................. 2,710 2,730,463
Verizon Communications, Inc.
4.600%, 04/01/21............................. 1,197 1,288,749
3.125%, 03/16/22............................. 3,650 3,728,935
Viacom, Inc.
4.500%, 03/01/21............................. 6,000 6,300,885
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19............................. 3,100 3,132,572
Wells Fargo & Co.
2.125%, 04/22/19............................. 1,000 1,003,236
2.150%, 01/30/20............................. 1,750 1,753,626
Wisconsin Electric Power Co.
1.700%, 06/15/18............................. 535 535,305
Wyndham Worldwide Corp.
2.500%, 03/01/18............................. 5,405 5,412,408
Xerox Corp.
4.070%, 03/17/22............................. 2,900 2,946,862
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 2,210 2,228,520
--------------
TOTAL UNITED STATES.............................. 427,940,491
--------------
TOTAL BONDS...................................... 1,103,668,836
--------------
44
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
U.S. TREASURY OBLIGATIONS -- (1.2%)
U.S. Treasury Notes
2.000%, 11/15/21............................. 13,000 $ 13,055,351
--------------
TOTAL INVESTMENT SECURITIES........................ 1,116,724,187
--------------
SHARES
------ -
TEMPORARY CASH INVESTMENTS -- (0.0%)
(S)@ DFA Short Term Investment Fund............... 97 1,121
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,117,229,461)............................ $1,116,725,308
==============
At October 31, 2017, DFA Selectively Hedged Global Fixed Income Portfolio had
entered into the following forward currency contracts and the net unrealized
foreign exchange gain (loss) is reflected in the accompanying financial
statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ----------------------------- ------------------ --------------
USD 66,766,369 SEK 538,544,611 Barclays Capital 11/13/17 $ 2,399,612
USD 1,578,170 AUD 2,006,640 Citibank, N.A. 11/16/17 42,601
USD 1,596,406 AUD 2,030,060 Citibank, N.A. 11/16/17 42,915
USD 1,694,070 AUD 2,115,340 Citibank, N.A. 11/16/17 75,320
USD 3,575,776 AUD 4,536,900 UBS AG 11/16/17 103,941
USD 4,729,522 AUD 6,021,540 Citibank, N.A. 11/16/17 121,576
USD 2,821,286 EUR 2,386,387 Citibank, N.A. 11/24/17 38,341
USD 3,487,557 EUR 2,989,396 Citibank, N.A. 11/24/17 1,398
USD 4,287,205 EUR 3,626,244 Citibank, N.A. 11/24/17 58,370
USD 88,407,917 EUR 75,005,245 Citibank, N.A. 11/24/17 938,673
USD 7,380,803 SGD 10,046,699 National Australia Bank Ltd. 11/29/17 8,972
USD 7,379,952 CAD 9,478,150 Citibank, N.A. 12/20/17 29,502
USD 19,197,131 CAD 23,918,531 HSBC Bank 12/20/17 647,946
-----------
TOTAL APPRECIATION $ 4,509,167
AUD 87,648,209 USD 69,866,824 State Street Bank and Trust 11/16/17 $(2,794,572)
NZD 19,569,289 USD 14,017,419 Citibank, N.A. 11/07/17 (627,549)
NZD 19,500,000 USD 13,964,788 UBS AG 11/07/17 (622,328)
NZD 19,500,000 USD 13,963,956 State Street Bank and Trust 11/07/17 (621,496)
NZD 19,000,000 USD 13,607,181 JP Morgan 11/07/17 (606,835)
NZD 67,899,088 USD 47,944,856 State Street Bank and Trust 11/13/17 (1,491,549)
USD 2,540,275 GBP 1,915,370 Citibank, N.A. 11/24/17 (5,156)
USD 35,777,152 GBP 27,159,279 Citibank, N.A. 11/24/17 (316,168)
-----------
TOTAL (DEPRECIATION) $(7,085,653)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $(2,576,486)
===========
45
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME 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
------- -------------- ------- --------------
Bonds
Australia.............................. -- $ 72,827,409 -- $ 72,827,409
Austria................................ -- 7,183,871 -- 7,183,871
Belgium................................ -- 4,290,851 -- 4,290,851
Canada................................. -- 107,603,047 -- 107,603,047
Denmark................................ -- 5,069,164 -- 5,069,164
Finland................................ -- 16,714,720 -- 16,714,720
France................................. -- 44,213,668 -- 44,213,668
Germany................................ -- 71,172,776 -- 71,172,776
Ireland................................ -- 32,020,475 -- 32,020,475
Japan.................................. -- 55,123,695 -- 55,123,695
Netherlands............................ -- 63,542,468 -- 63,542,468
New Zealand............................ -- 2,344,437 -- 2,344,437
Norway................................. -- 13,273,810 -- 13,273,810
Singapore.............................. -- 7,357,934 -- 7,357,934
Spain.................................. -- 6,550,594 -- 6,550,594
Supranational Organization Obligations. -- 44,245,346 -- 44,245,346
Sweden................................. -- 91,113,824 -- 91,113,824
Switzerland............................ -- 671,226 -- 671,226
United Kingdom......................... -- 30,409,030 -- 30,409,030
United States.......................... -- 427,940,491 -- 427,940,491
U.S. Treasury Obligations................ -- 13,055,351 -- 13,055,351
Securities Lending Collateral............ -- 1,121 -- 1,121
Forward Currency Contracts**............. -- (2,576,486) -- (2,576,486)
-- -------------- -- --------------
TOTAL.................................... -- $1,114,148,822 -- $1,114,148,822
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
46
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (99.4%)
AUSTRALIA -- (8.2%)
Australia & New Zealand Banking Group, Ltd.
2.300%, 06/01/21............................. 17,866 $ 17,792,165
2.550%, 11/23/21............................. 61,184 61,275,214
2.625%, 05/19/22............................. 5,000 5,013,092
Commonwealth Bank of Australia
2.400%, 11/02/20............................. 6,145 6,188,978
2.550%, 03/15/21............................. 35,750 36,005,123
2.900%, 07/12/21............................. AUD 15,000 11,521,554
## 2.000%, 09/06/21............................. 27,458 26,968,209
3.250%, 01/17/22............................. AUD 28,480 22,096,090
## 2.750%, 03/10/22............................. 102,078 103,193,276
3.250%, 03/31/22............................. AUD 21,000 16,283,409
0.500%, 07/11/22............................. EUR 16,950 19,948,769
National Australia Bank, Ltd.
2.625%, 01/14/21............................. 21,550 21,724,656
3.000%, 05/12/21............................. AUD 14,343 11,067,658
1.875%, 07/12/21............................. 31,520 30,969,776
2.800%, 01/10/22............................. 180,432 182,847,131
0.875%, 01/20/22............................. EUR 9,168 10,987,055
3.250%, 03/24/22............................. AUD 8,000 6,206,969
2.500%, 05/22/22............................. 115,430 115,296,481
0.350%, 09/07/22............................. EUR 8,700 10,169,650
South Australian Government Financing Authority
1.500%, 09/22/22............................. AUD 20,000 14,608,279
Western Australian Treasury Corp.
2.750%, 10/20/22............................. AUD 112,000 86,496,657
Westpac Banking Corp.
2.600%, 11/23/20............................. 34,678 35,093,458
2.100%, 05/13/21............................. 10,020 9,947,991
2.000%, 08/19/21............................. 45,570 45,057,473
2.800%, 01/11/22............................. 189,509 192,616,303
0.250%, 01/17/22............................. EUR 11,762 13,740,556
2.500%, 06/28/22............................. 24,021 24,083,347
--------------
TOTAL AUSTRALIA.................................. 1,137,199,319
--------------
AUSTRIA -- (2.3%)
Oesterreichische Kontrollbank AG
1.875%, 01/20/21............................. 69,420 69,155,048
2.375%, 10/01/21............................. 10,400 10,506,896
0.750%, 03/07/22............................. GBP 8,000 10,479,943
FACE
AMOUNT^ VALUE+
------- ------
(000)
AUSTRIA -- (Continued)
Republic of Austria Government Bond
## 0.0%, 09/20/22............................... EUR 198,000 $233,181,395
------------
TOTAL AUSTRIA.................................... 323,323,282
------------
CANADA -- (18.9%)
Alberta, Province of Canada
## 1.750%, 08/26/20............................. 24,100 23,862,459
1.350%, 09/01/21............................. CAD 226,500 171,689,493
Bank of Montreal
1.900%, 08/27/21............................. 135,774 133,442,972
Bank of Nova Scotia (The)
4.375%, 01/13/21............................. 6,321 6,729,074
2.450%, 03/22/21............................. 100,422 100,941,748
2.700%, 03/07/22............................. 188,023 189,422,726
Canada Housing Trust No. 1
## 1.750%, 06/15/22............................. CAD 97,000 74,573,684
CPPIB Capital, Inc.
## 2.250%, 01/25/22............................. 118,442 118,553,102
2.250%, 01/25/22............................. 58,150 58,204,547
Export Development Canada
1.375%, 10/21/21............................. 47,910 46,663,478
Province of British Columbia Canada
2.650%, 09/22/21............................. 29,292 29,853,142
3.250%, 12/18/21............................. CAD 63,000 51,391,807
Province of Manitoba Canada
2.050%, 11/30/20............................. 124,400 124,102,241
1.550%, 09/05/21............................. CAD 29,600 22,615,859
2.125%, 05/04/22............................. 61,500 60,952,052
Province of Ontario Canada
2.500%, 09/10/21............................. 41,798 42,218,271
2.400%, 02/08/22............................. 187,269 188,062,125
1.350%, 03/08/22............................. CAD 55,000 41,490,660
3.150%, 06/02/22............................. CAD 162,150 131,811,447
Province of Quebec Canada
4.250%, 12/01/21............................. CAD 58,000 48,967,537
2.375%, 01/31/22............................. 202,636 203,517,465
0.875%, 05/24/22............................. GBP 11,551 15,137,036
Royal Bank of Canada
2.500%, 01/19/21............................. 149,714 151,096,366
2.030%, 03/15/21............................. CAD 60,000 46,371,289
2.750%, 02/01/22............................. 99,944 101,500,192
1.968%, 03/02/22............................. CAD 141,634 108,576,552
47
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Toronto-Dominion Bank (The)
2.500%, 12/14/20............................. 47,336 $ 47,811,986
2.125%, 04/07/21............................. 126,746 126,149,416
# 1.800%, 07/13/21............................. 45,138 44,346,765
2.621%, 12/22/21............................. CAD 47,179 37,191,358
1.994%, 03/23/22............................. CAD 83,667 64,227,280
Total Capital Canada, Ltd.
1.125%, 03/18/22............................. EUR 14,100 17,168,271
--------------
TOTAL CANADA..................................... 2,628,642,400
--------------
FINLAND -- (2.1%)
Finland Government Bond
## --%, 04/15/22................................ EUR 20,000 23,615,856
## 1.625%, 09/15/22............................. EUR 178,000 226,377,318
Municipality Finance P.L.C.
1.375%, 09/21/21............................. 13,800 13,421,383
OP Corporate Bank P.L.C.
0.750%, 03/03/22............................. EUR 16,800 20,085,108
2.500%, 05/20/22............................. GBP 2,550 3,547,956
0.375%, 10/11/22............................. EUR 5,780 6,780,633
--------------
TOTAL FINLAND.................................... 293,828,254
--------------
FRANCE -- (6.6%)
Agence Francaise de Developpement
0.125%, 04/30/22............................. EUR 34,800 40,821,087
0.500%, 10/25/22............................. EUR 13,600 16,168,060
Caisse d'Amortissement de la Dette Sociale
2.000%, 03/22/21............................. 97,635 97,307,142
1.875%, 02/12/22............................. 78,500 77,384,593
Dexia Credit Local SA
0.875%, 09/07/21............................. GBP 4,600 6,039,677
1.875%, 09/15/21............................. 35,742 35,007,931
0.250%, 06/02/22............................. EUR 18,700 22,011,404
1.125%, 06/15/22............................. GBP 12,100 15,992,383
French Republic Government Bond OAT
3.000%, 04/25/22............................. EUR 35,500 47,542,079
--%, 05/25/22................................ EUR 307,500 362,484,860
Sanofi
4.000%, 03/29/21............................. 12,438 13,157,738
Total Capital International SA
2.750%, 06/19/21............................. 14,807 15,146,939
2.875%, 02/17/22............................. 33,380 34,125,378
Total Capital SA
4.450%, 06/24/20............................. 45,399 48,303,544
Unedic Asseo
0.875%, 10/25/22............................. EUR 75,000 91,574,818
--------------
TOTAL FRANCE..................................... 923,067,633
--------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (4.3%)
FMS Wertmanagement AoeR
1.375%, 06/08/21............................. 20,000 $ 19,561,272
0.875%, 02/14/22............................. GBP 34,700 45,893,886
Kreditanstalt fuer Wiederaufbau
# 2.625%, 01/25/22............................. 120,800 123,401,900
5.500%, 02/09/22............................. AUD 2,300 1,971,106
2.125%, 03/07/22............................. 174,500 174,579,118
0.875%, 03/15/22............................. GBP 39,750 52,560,138
--%, 04/28/22................................ EUR 32,000 37,644,544
2.900%, 06/06/22............................. AUD 8,000 6,202,610
0.625%, 07/04/22............................. EUR 11,500 13,908,131
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.375%, 07/21/21............................. 38,231 37,252,363
0.875%, 03/07/22............................. GBP 5,485 7,223,775
Landwirtschaftliche Rentenbank
5.500%, 03/29/22............................. AUD 32,000 27,499,792
2.700%, 09/05/22............................. AUD 51,620 39,680,955
NRW Bank
0.0%, 08/10/22............................... EUR 10,000 11,668,064
------------
TOTAL GERMANY.................................... 599,047,654
------------
IRELAND -- (2.4%)
GE Capital European Funding Unlimited Co.
4.350%, 11/03/21............................. EUR 2,462 3,356,448
0.800%, 01/21/22............................. EUR 7,300 8,725,153
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 324,378 325,915,555
------------
TOTAL IRELAND.................................... 337,997,156
------------
JAPAN -- (2.6%)
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 37,500 28,739,051
2.350%, 07/18/22............................. CAD 5,000 3,872,025
Toyota Motor Credit Corp.
4.250%, 01/11/21............................. 12,296 13,058,153
1.900%, 04/08/21............................. 153,976 152,645,563
2.750%, 05/17/21............................. 37,695 38,294,910
2.600%, 01/11/22............................. 88,874 90,116,938
3.300%, 01/12/22............................. 11,825 12,296,765
2.800%, 07/13/22............................. 24,645 25,119,881
------------
TOTAL JAPAN...................................... 364,143,286
------------
48
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
LUXEMBOURG -- (0.1%)
Nestle Finance International, Ltd.
2.125%, 09/10/21............................. EUR 8,723 $ 11,042,193
0.750%, 11/08/21............................. EUR 5,762 6,946,362
--------------
TOTAL LUXEMBOURG................................. 17,988,555
--------------
NETHERLANDS -- (8.7%)
Bank Nederlandse Gemeenten NV
4.375%, 02/16/21............................. 15,000 16,088,580
1.625%, 04/19/21............................. 244,600 241,104,911
## 2.375%, 02/01/22............................. 94,000 94,662,982
2.375%, 02/01/22............................. 25,000 25,176,325
1.000%, 03/15/22............................. GBP 19,030 25,182,088
2.250%, 08/30/22............................. EUR 1,302 1,687,968
Cooperatieve Rabobank UA
4.500%, 01/11/21............................. 20,691 22,124,492
2.500%, 01/19/21............................. 82,839 83,659,675
2.750%, 01/10/22............................. 159,975 162,399,240
4.000%, 01/11/22............................. EUR 11,562 15,673,037
3.875%, 02/08/22............................. 43,653 46,328,740
4.750%, 06/06/22............................. EUR 26,352 37,163,877
Nederlandse Waterschapsbank NV
0.875%, 12/20/21............................. GBP 510 671,509
1.875%, 04/14/22............................. 81,795 80,599,975
Shell International Finance BV
2.125%, 05/11/20............................. 90,590 90,983,518
2.250%, 11/10/20............................. 116,490 117,307,769
1.875%, 05/10/21............................. 75,440 74,851,943
1.750%, 09/12/21............................. 61,525 60,510,362
1.250%, 03/15/22............................. EUR 5,500 6,758,258
1.000%, 04/06/22............................. EUR 6,000 7,298,260
2.375%, 08/21/22............................. 1,628 1,631,489
--------------
TOTAL NETHERLANDS................................ 1,211,864,998
--------------
NEW ZEALAND -- (0.5%)
ANZ New Zealand International, Ltd.
0.625%, 06/01/21............................. EUR 1,000 1,185,438
0.400%, 03/01/22............................. EUR 20,282 23,751,094
ASB Finance, Ltd.
0.500%, 06/10/22............................. EUR 36,739 43,066,130
--------------
TOTAL NEW ZEALAND................................ 68,002,662
--------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
NORWAY -- (1.6%)
Kommunalbanken A.S.
1.625%, 02/10/21............................. 47,932 $ 47,338,554
1.500%, 08/31/21............................. 28,980 28,352,004
## 2.250%, 01/25/22............................. 39,250 39,314,016
2.250%, 01/25/22............................. 90,000 90,161,730
Statoil ASA
2.900%, 11/08/20............................. 18,590 19,017,144
3.150%, 01/23/22............................. 2,600 2,684,200
------------
TOTAL NORWAY..................................... 226,867,648
------------
SINGAPORE -- (0.8%)
Singapore Government Bond
2.250%, 06/01/21............................. SGD 16,500 12,363,803
1.250%, 10/01/21............................. SGD 50,000 36,156,555
1.750%, 04/01/22............................. SGD 70,000 51,505,539
Temasek Financial I, Ltd.
0.500%, 03/01/22............................. EUR 500 593,039
4.625%, 07/26/22............................. GBP 3,000 4,592,776
------------
TOTAL SINGAPORE.................................. 105,211,712
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (5.4%)
African Development Bank
1.250%, 07/26/21............................. 15,000 14,586,737
5.250%, 03/23/22............................. AUD 2,000 1,700,969
Asian Development Bank
1.625%, 03/16/21............................. 35,000 34,610,463
2.750%, 01/19/22............................. AUD 11,000 8,496,731
5.000%, 03/09/22............................. AUD 11,600 9,785,520
Council Of Europe Development Bank
1.625%, 03/16/21............................. 53,156 52,510,073
Dexia Credit Local SA
## 2.375%, 09/20/22............................. 2,700 2,691,010
European Financial Stability Facility
2.250%, 09/05/22............................. EUR 15,600 20,311,982
European Investment Bank
2.000%, 03/15/21............................. 105,000 105,089,877
# 1.625%, 06/15/21............................. 39,400 38,833,367
1.125%, 09/07/21............................. GBP 4,500 6,014,800
1.375%, 09/15/21............................. 106,000 103,324,277
5.000%, 08/22/22............................. AUD 24,000 20,377,954
Inter-American Development Bank
0.625%, 12/15/21............................. GBP 1,000 1,310,889
3.750%, 07/25/22............................. AUD 10,176 8,210,772
49
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
International Bank for Reconstruction &
Development
1.375%, 05/24/21............................. 70,000 $ 68,599,580
1.375%, 05/24/21............................. 3,506 3,436,350
2.250%, 06/24/21............................. 5,000 5,047,430
0.750%, 12/07/21............................. GBP 5,500 7,248,928
# 2.000%, 01/26/22............................. 87,875 87,585,188
2.600%, 09/20/22............................. AUD 50,000 38,339,704
International Finance Corp.
2.800%, 08/15/22............................. AUD 58,000 44,874,235
Nordic Investment Bank
2.125%, 02/01/22............................. 64,000 64,060,687
--------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 747,047,523
--------------
SWEDEN -- (9.3%)
Kommuninvest I Sverige AB
1.000%, 09/15/21............................. SEK 270,000 33,290,212
0.250%, 06/01/22............................. SEK 2,880,000 340,463,120
Nordea Bank AB
## 2.500%, 09/17/20............................. 66,255 66,826,689
## 4.875%, 01/14/21............................. 1,600 1,722,997
2.000%, 02/17/21............................. EUR 8,500 10,564,464
## 2.250%, 05/27/21............................. 74,541 74,244,822
0.300%, 06/30/22............................. EUR 3,300 3,871,938
3.250%, 07/05/22............................. EUR 9,300 12,394,248
Skandinaviska Enskilda Banken AB
0.750%, 08/24/21............................. EUR 2,400 2,869,572
0.300%, 02/17/22............................. EUR 24,308 28,568,752
1.250%, 08/05/22............................. GBP 5,351 7,052,335
Svensk Exportkredit AB
1.750%, 03/10/21............................. 78,204 77,487,858
2.375%, 03/09/22............................. 83,582 84,163,527
Svenska Handelsbanken AB
2.400%, 10/01/20............................. 20,900 21,058,671
2.450%, 03/30/21............................. 15,524 15,609,093
1.875%, 09/07/21............................. 54,502 53,541,753
2.375%, 01/18/22............................. GBP 1,000 1,385,798
0.250%, 02/28/22............................. EUR 42,939 50,263,359
2.625%, 08/23/22............................. EUR 6,510 8,461,779
Sweden Government Bond
3.500%, 06/01/22............................. SEK 2,833,000 395,015,288
--------------
TOTAL SWEDEN..................................... 1,288,856,275
--------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWITZERLAND -- (0.2%)
Novartis Capital Corp.
2.400%, 05/17/22............................. 24,915 $ 25,039,088
------------
UNITED KINGDOM -- (0.0%)
Transport for London
2.250%, 08/09/22............................. GBP 1,729 2,403,543
------------
UNITED STATES -- (25.4%)
3M Co.
0.375%, 02/15/22............................. EUR 8,900 10,499,777
Alphabet, Inc.
3.625%, 05/19/21............................. 6,075 6,386,228
Apple, Inc.
2.250%, 02/23/21............................. 165,171 165,999,696
2.850%, 05/06/21............................. 72,415 74,199,879
1.550%, 08/04/21............................. 1,125 1,101,386
2.500%, 02/09/22............................. 98,478 99,490,991
2.300%, 05/11/22............................. 41,500 41,509,277
3.700%, 08/28/22............................. AUD 6,700 5,315,995
Automatic Data Processing, Inc.
2.250%, 09/15/20............................. 1,746 1,760,931
Berkshire Hathaway, Inc.
2.200%, 03/15/21............................. 184,843 185,619,882
3.400%, 01/31/22............................. 39,959 42,021,791
Chevron Corp.
1.961%, 03/03/20............................. 62,232 62,373,564
2.419%, 11/17/20............................. 41,234 41,691,842
2.100%, 05/16/21............................. 84,825 84,775,871
2.411%, 03/03/22............................. 12,500 12,585,520
2.498%, 03/03/22............................. 78,872 79,720,742
Cisco Systems, Inc.
2.450%, 06/15/20............................. 77,193 78,230,792
2.200%, 02/28/21............................. 69,258 69,425,761
1.850%, 09/20/21............................. 98,393 97,183,051
Coca-Cola Co. (The)
1.875%, 10/27/20............................. 164,488 164,179,284
1.550%, 09/01/21............................. 46,814 46,161,042
3.300%, 09/01/21............................. 45,504 47,541,178
2.200%, 05/25/22............................. 30,592 30,641,333
Colgate-Palmolive Co.
2.300%, 05/03/22............................. 29,897 29,986,426
Exxon Mobil Corp.
2.222%, 03/01/21............................. 184,176 185,344,059
2.397%, 03/06/22............................. 8,717 8,788,406
General Electric Co.
0.375%, 05/17/22............................. EUR 31,000 36,354,838
0.375%, 05/17/22............................. EUR 1,800 2,110,926
2.700%, 10/09/22............................. 9,197 9,321,255
International Business Machines Corp.
2.250%, 02/19/21............................. 93,597 94,159,174
2.500%, 01/27/22............................. 176,310 178,092,981
50
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Johnson & Johnson
1.650%, 03/01/21............................. 50,389 $ 49,871,163
0.250%, 01/20/22............................. EUR 1,762 2,079,746
2.250%, 03/03/22............................. 60,800 61,039,783
Merck & Co., Inc.
1.850%, 02/10/20............................. 2,678 2,677,042
1.850%, 02/10/20............................. 10,000 9,997,750
3.875%, 01/15/21............................. 18,273 19,305,717
1.125%, 10/15/21............................. EUR 2,750 3,341,973
2.350%, 02/10/22............................. 87,933 88,459,565
Microsoft Corp.
2.000%, 11/03/20............................. 154,317 154,540,314
1.550%, 08/08/21............................. 48,287 47,317,566
2.400%, 02/06/22............................. 8,922 8,996,212
2.375%, 02/12/22............................. 63,194 63,614,897
Nestle Holdings, Inc.
1.375%, 07/13/21............................. 19,430 18,944,250
2.375%, 01/18/22............................. 23,872 24,001,768
Oracle Corp.
2.800%, 07/08/21............................. 129,657 132,601,684
1.900%, 09/15/21............................. 226,040 223,647,877
2.500%, 05/15/22............................. 59,818 60,293,207
Pfizer, Inc.
1.950%, 06/03/21............................. 136,427 135,905,914
5.750%, 06/03/21............................. EUR 12,000 16,889,237
2.200%, 12/15/21............................. 61,477 61,673,268
0.250%, 03/06/22............................. EUR 67,073 78,707,097
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 47,391 47,107,835
1.700%, 11/03/21............................. 58,050 57,089,305
2.000%, 11/05/21............................. EUR 2,100 2,646,235
2.300%, 02/06/22............................. 13,000 13,021,395
2.150%, 08/11/22............................. 114,947 114,432,969
2.000%, 08/16/22............................. EUR 2,000 2,537,578
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Roche Holdings, Inc.
6.500%, 03/04/21............................. EUR 13,540 $ 19,259,880
Toyota Motor Credit Corp.
0.750%, 07/21/22............................. EUR 5,550 6,658,901
USAA Capital Corp.
## 2.000%, 06/01/21............................. 7,000 6,912,363
Wal-Mart Stores, Inc.
1.900%, 04/08/22............................. EUR 5,000 6,298,539
----------------
TOTAL UNITED STATES.................................................... 3,532,444,908
----------------
TOTAL BONDS............................................................ 13,832,975,896
----------------
TOTAL INVESTMENT SECURITIES............................................ 13,832,975,896
----------------
SHARES
------ -
SECURITIES LENDING COLLATERAL -- (0.6%)
(S)@ DFA Short Term Investment Fund 6,687,496 77,381,021
----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $13,934,876,769). $13,910,356,917
================
At October 31, 2017, DFA Five-Year Global Fixed Income Portfolio had entered
into the following forward currency contracts and the net unrealized foreign
exchange gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ---------- --------------
USD.. 16,418,034 SGD 22,314,191 State Street Bank and Trust 11/01/17 $ 47,855
USD.. 83,794,238 SEK 682,987,898 Citibank, N.A. 11/01/17 2,210,811
USD.. 13,040,609 CAD 16,261,717 HSBC Bank 11/02/17 435,492
USD.. 16,451,428 CAD 20,682,522 UBS AG 11/02/17 419,566
USD.. 77,827,961 CAD 96,460,520 State Street Bank and Trust 11/02/17 3,057,498
USD.. 85,389,124 SEK 696,000,000 Citibank, N.A. 11/02/17 2,251,391
USD.. 4,630,595 AUD 5,773,488 Citibank, N.A. 11/03/17 211,898
USD.. 4,847,595 AUD 6,105,476 Citibank, N.A. 11/03/17 174,814
USD.. 5,336,874 AUD 6,673,512 Bank of America Corp. 11/03/17 229,350
51
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ----------------- ---------------------------- ---------- --------------
USD.. 5,590,983 AUD 7,080,142 UBS AG 11/03/17 $ 172,248
USD.. 6,429,664 AUD 8,073,897 UBS AG 11/03/17 250,366
USD.. 6,511,617 AUD 8,129,765 UBS AG 11/03/17 289,560
USD.. 7,075,845 AUD 8,834,139 UBS AG 11/03/17 314,700
USD.. 9,883,842 AUD 12,468,331 Citibank, N.A. 11/03/17 341,295
USD.. 10,256,472 AUD 12,756,240 Citibank, N.A. 11/03/17 493,577
USD.. 10,955,413 AUD 13,613,173 State Street Bank and Trust 11/03/17 536,671
USD.. 12,167,694 AUD 15,231,807 State Street Bank and Trust 11/03/17 510,142
USD.. 14,575,054 AUD 18,171,435 UBS AG 11/03/17 667,678
USD.. 16,710,860 AUD 21,389,230 JP Morgan 11/03/17 340,769
USD.. 36,689,702 AUD 45,983,870 UBS AG 11/03/17 1,496,282
USD.. 18,224,343 SGD 24,713,877 Citibank, N.A. 11/13/17 92,931
USD.. 13,987,728 SGD 18,959,987 HSBC Bank 11/14/17 77,552
USD.. 11,393,351 SGD 15,513,569 State Street Bank and Trust 11/15/17 11,571
USD.. 117,716,255 CAD 146,959,715 Citibank, N.A. 11/17/17 3,787,467
USD.. 105,082,312 CAD 131,434,781 Barclays Capital 11/20/17 3,186,574
USD.. 144,449,992 CAD 181,060,843 HSBC Bank 11/21/17 4,080,165
USD.. 4,282,467 AUD 5,453,230 State Street Bank and Trust 11/27/17 109,897
USD.. 6,645,903 AUD 8,488,622 HSBC Bank 11/27/17 150,785
USD.. 8,263,921 AUD 10,509,374 State Street Bank and Trust 11/27/17 222,612
USD.. 10,861,783 AUD 13,814,334 UBS AG 11/27/17 291,664
USD.. 11,560,498 AUD 14,878,471 Barclays Capital 11/27/17 176,149
USD.. 18,930,934 AUD 24,158,836 State Street Bank and Trust 11/27/17 445,659
USD.. 19,765,061 AUD 24,844,368 HSBC Bank 11/27/17 755,248
USD.. 20,199,245 AUD 25,965,243 Bank of America Corp. 11/27/17 331,788
USD.. 46,311,743 AUD 58,792,885 HSBC Bank 11/27/17 1,326,024
USD.. 19,166,961 SGD 25,923,660 Barclays Capital 12/04/17 144,470
Morgan Stanley and Co.
USD.. 128,316,871 SEK 1,043,937,494 International 12/18/17 3,267,093
USD.. 11,043,517 EUR 9,353,446 Citibank, N.A. 12/19/17 118,943
USD.. 15,928,414 SGD 21,384,931 HSBC Bank 12/19/17 233,711
USD.. 85,227,835 EUR 72,072,658 Barclays Capital 12/19/17 1,048,903
USD.. 86,342,210 EUR 73,000,000 Royal Bank of Scotland 12/20/17 1,074,352
USD.. 103,964,173 SEK 841,922,455 Bank of America Corp. 12/20/17 3,097,126
USD.. 88,067,675 EUR 74,674,662 HSBC Bank 12/21/17 837,773
USD.. 136,129,731 SEK 1,106,665,562 State Street Bank and Trust 12/21/17 3,534,470
USD.. 16,487,390 SGD 22,402,047 State Street Bank and Trust 12/22/17 45,650
USD.. 84,470,395 SEK 704,022,027 Citibank, N.A. 01/03/18 32,588
USD.. 85,165,258 EUR 72,000,000 State Street Bank and Trust 01/03/18 985,898
USD.. 105,748,475 CAD 136,267,347 Citibank, N.A. 01/03/18 52,329
USD.. 22,600,643 EUR 19,042,640 ANZ Securities 01/04/18 335,492
USD.. 42,680,662 SEK 355,000,000 Citibank, N.A. 01/04/18 100,709
USD.. 42,740,216 SEK 355,512,770 State Street Bank and Trust 01/04/18 98,760
USD.. 74,020,401 EUR 63,000,000 UBS AG 01/04/18 359,160
USD.. 135,627,794 SEK 1,094,682,579 State Street Bank and Trust 01/04/18 4,327,703
USD.. 10,433,511 EUR 8,748,887 ANZ Securities 01/05/18 203,488
USD.. 58,801,196 EUR 49,607,272 State Street Bank and Trust 01/05/18 795,694
USD.. 75,071,420 EUR 63,880,023 UBS AG 01/05/18 376,871
USD.. 124,725,285 SEK 1,011,625,330 JP Morgan 01/05/18 3,380,072
USD.. 95,286,322 EUR 80,419,166 State Street Bank and Trust 01/08/18 1,236,169
USD.. 94,798,648 EUR 80,000,000 State Street Bank and Trust 01/09/18 1,233,245
USD.. 27,120,105 EUR 22,971,343 Bank of America Corp. 01/10/18 251,999
USD.. 75,968,384 EUR 64,000,000 Royal Bank of Scotland 01/10/18 1,111,689
USD.. 85,340,300 EUR 72,112,063 Bank of America Corp. 01/11/18 990,517
USD.. 3,380,259 GBP 2,536,268 State Street Bank and Trust 01/12/18 3,955
52
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ----------------------------- ---------- --------------
USD.. 17,834,324 AUD 23,184,325 State Street Bank and Trust 01/12/18 $ 101,752
USD.. 18,002,885 AUD 23,155,643 Citibank, N.A. 01/12/18 292,250
USD.. 19,531,293 AUD 25,445,343 State Street Bank and Trust 01/12/18 69,377
USD.. 19,653,004 AUD 24,948,788 Barclays Capital 01/12/18 570,879
USD.. 19,871,760 AUD 25,963,657 JP Morgan 01/12/18 13,411
USD.. 114,312,517 EUR 96,209,457 Royal Bank of Scotland 01/12/18 1,769,337
USD.. 97,851,145 EUR 82,548,634 Citibank, N.A. 01/16/18 1,265,448
USD.. 79,665,345 EUR 67,000,000 Royal Bank of Scotland 01/17/18 1,267,684
USD.. 5,804,113 EUR 4,957,756 Citibank, N.A. 01/18/18 2,633
USD.. 16,180,276 SGD 21,968,365 State Street Bank and Trust 01/18/18 51,145
USD.. 80,543,511 EUR 67,734,737 Royal Bank of Scotland 01/18/18 1,281,491
USD.. 11,159,212 EUR 9,427,534 Bank of America Corp. 01/19/18 126,629
USD.. 15,689,842 CAD 20,206,560 JP Morgan 01/19/18 13,974
USD.. 75,778,462 EUR 63,811,615 UBS AG 01/19/18 1,102,848
USD.. 78,358,902 CAD 99,000,000 Barclays Capital 01/19/18 1,556,568
USD.. 18,134,074 SGD 24,686,550 Barclays Capital 01/22/18 8,227
USD.. 79,627,653 CAD 100,611,459 Barclays Capital 01/22/18 1,572,758
USD.. 96,564,176 EUR 81,826,406 Citibank, N.A. 01/22/18 789,939
USD.. 94,436,447 EUR 79,887,685 Citibank, N.A. 01/23/18 925,931
USD.. 94,437,748 CAD 119,348,075 Barclays Capital 01/23/18 1,845,931
USD.. 5,848,117 EUR 4,928,815 Citibank, N.A. 01/24/18 78,480
USD.. 32,165,611 EUR 27,110,439 Citibank, N.A. 01/24/18 430,315
USD.. 75,478,321 EUR 63,841,837 Citibank, N.A. 01/24/18 745,499
USD.. 111,620,260 CAD 141,603,583 Bank of America Corp. 01/24/18 1,761,189
-----------
TOTAL APPRECIATION $76,420,573
CAD.. 133,404,759 USD 103,458,034 Citibank, N.A. 11/02/17 $ (50,592)
CAD.. 19,860,180 USD 15,407,922 JP Morgan 11/02/17 (13,491)
SEK.. 341,987,898 USD 40,944,425 State Street Bank and Trust 11/01/17 (93,709)
SEK.. 341,000,000 USD 40,828,348 Citibank, N.A. 11/01/17 (95,638)
SEK.. 696,000,000 USD 83,170,617 Citibank, N.A. 11/02/17 (32,884)
SGD.. 22,314,191 USD 16,370,419 Royal Bank of Scotland 11/01/17 (240)
SGD.. 13,536,901 USD 9,949,068 National Australia Bank Ltd. 11/13/17 (17,679)
SGD.. 13,727,809 USD 10,110,215 Citibank, N.A. 12/04/17 (36,903)
SGD.. 18,151,804 USD 13,330,804 State Street Bank and Trust 12/22/17 (8,484)
SGD.. 15,912,891 USD 11,703,960 HSBC Bank 01/22/18 (20,082)
USD.. 1,274,951 GBP 959,804 ANZ Securities 01/12/18 (2,749)
USD.. 2,316,284 GBP 1,743,550 State Street Bank and Trust 01/12/18 (4,747)
USD.. 11,804,256 GBP 8,928,448 UBS AG 01/12/18 (81,378)
USD.. 3,513,316 EUR 3,003,942 Citibank, N.A. 01/17/18 (1,640)
USD.. 5,263,270 EUR 4,500,000 State Street Bank and Trust 01/17/18 (2,244)
USD.. 96,527,163 GBP 73,000,000 Barclays Capital 01/18/18 (669,066)
USD.. 98,079,893 GBP 74,178,335 State Street Bank and Trust 01/19/18 (688,275)
USD.. 16,384,170 SGD 22,314,191 Royal Bank of Scotland 01/26/18 (728)
-----------
TOTAL (DEPRECIATION) $(1,820,529)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $74,600,044
===========
53
DFA FIVE-YEAR GLOBAL FIXED INCOME 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
------- --------------- ------- ---------------
Bonds
Australia.............................. -- $ 1,137,199,319 -- $ 1,137,199,319
Austria................................ -- 323,323,282 -- 323,323,282
Canada................................. -- 2,628,642,400 -- 2,628,642,400
Finland................................ -- 293,828,254 -- 293,828,254
France................................. -- 923,067,633 -- 923,067,633
Germany................................ -- 599,047,654 -- 599,047,654
Ireland................................ -- 337,997,156 -- 337,997,156
Japan.................................. -- 364,143,286 -- 364,143,286
Luxembourg............................. -- 17,988,555 -- 17,988,555
Netherlands............................ -- 1,211,864,998 -- 1,211,864,998
New Zealand............................ -- 68,002,662 -- 68,002,662
Norway................................. -- 226,867,648 -- 226,867,648
Singapore.............................. -- 105,211,712 -- 105,211,712
Supranational Organization Obligations. -- 747,047,523 -- 747,047,523
Sweden................................. -- 1,288,856,275 -- 1,288,856,275
Switzerland............................ -- 25,039,088 -- 25,039,088
United Kingdom......................... -- 2,403,543 -- 2,403,543
United States.......................... -- 3,532,444,908 -- 3,532,444,908
Securities Lending Collateral............ -- 77,381,021 -- 77,381,021
Forward Currency Contracts**............. -- 74,600,044 -- 74,600,044
--- --------------- -- ---------------
TOTAL.................................... --.. $13,984,956,961 -- $13,984,956,961
=== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
54
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (99.4%)
AUSTRALIA -- (0.4%)
Australia Government Bond
3.250%, 04/21/29............................. AUD 5,000 $ 4,004,839
------------
AUSTRIA -- (4.0%)
Austria Government Bond
## 4.850%, 03/15/26............................. EUR 10,950 17,608,546
## 0.750%, 10/20/26............................. EUR 15,300 18,289,139
------------
TOTAL AUSTRIA.................................... 35,897,685
------------
BELGIUM -- (4.0%)
Belgium Government Bond
5.500%, 03/28/28............................. EUR 4,700 8,201,524
## 1.000%, 06/22/31............................. EUR 23,300 27,133,068
Kingdom of Belgium Government Bond
## 0.800%, 06/22/27............................. EUR 800 948,829
------------
TOTAL BELGIUM.................................... 36,283,421
------------
CANADA -- (12.1%)
Alberta, Province of Canada
2.900%, 09/20/29............................. CAD 10,300 8,031,940
3.500%, 06/01/31............................. CAD 5,000 4,128,169
British Columbia, Province of Canada
5.700%, 06/18/29............................. CAD 21,958 22,035,273
Manitoba, Province of Canada
3.250%, 09/05/29............................. CAD 32,700 26,247,193
Ontario, Province of Canada
1.875%, 05/21/24............................. EUR 6,800 8,671,790
6.500%, 03/08/29............................. CAD 9,600 10,127,438
Quebec, Province of Canada
0.875%, 05/04/27............................. EUR 13,931 16,266,010
Saskatchewan, Province of Canada
6.400%, 09/05/31............................. CAD 13,000 14,062,894
------------
TOTAL CANADA..................................... 109,570,707
------------
DENMARK -- (3.9%)
Denmark Government Bond
0.500%, 11/15/27............................. DKK 227,000 35,661,875
------------
FINLAND -- (4.0%)
Finland Government Bond
## 0.500%, 09/15/27............................. EUR 800 930,042
## 2.750%, 07/04/28............................. EUR 24,450 34,973,628
------------
TOTAL FINLAND.................................... 35,903,670
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
FRANCE -- (24.5%)
Agence Francaise de Developpement
1.375%, 09/17/24............................. EUR 1,000 $ 1,244,673
0.250%, 07/21/26............................. EUR 4,000 4,477,150
0.875%, 05/25/31............................. EUR 5,500 6,116,886
Caisse d'Amortissement de la Dette Sociale
1.375%, 11/25/24............................. EUR 19,710 24,812,977
France Government Bond OAT
1.000%, 11/25/25............................. EUR 3,000 3,679,885
3.500%, 04/25/26............................. EUR 14,800 21,744,525
2.750%, 10/25/27............................. EUR 58,700 82,373,643
French Republic Government Bond OAT
3.500%, 04/25/26............................. EUR 13,047 19,168,974
SNCF Mobilites Group
5.375%, 03/18/27............................. GBP 8,031 13,729,179
SNCF Reseau
3.125%, 10/25/28............................. EUR 6,600 9,472,286
5.250%, 12/07/28............................. GBP 13,923 24,343,906
Unedic Asseo
1.500%, 04/20/32............................. EUR 9,000 10,992,868
------------
TOTAL FRANCE..................................... 222,156,952
------------
GERMANY -- (6.8%)
Bundesrepublik Deutschland
4.750%, 07/04/28............................. EUR 2,150 3,637,689
Deutsche Bahn Finance BV
3.125%, 07/24/26............................. GBP 15,550 22,821,931
Kreditanstalt fuer Wiederaufbau
2.050%, 02/16/26............................. JPY 2,499,000 25,803,909
2.050%, 02/16/26............................. JPY 136,000 1,404,294
State of North Rhine- Westphalia Germany
0.500%, 02/16/27............................. EUR 7,000 8,081,466
------------
TOTAL GERMANY.................................... 61,749,289
------------
NETHERLANDS -- (4.5%)
Bank Nederlandse Gemeenten NV
1.125%, 09/04/24............................. EUR 6,976 8,641,210
Nederlandse Waterschapsbank NV
3.000%, 11/16/23............................. EUR 1,700 2,325,524
0.500%, 04/29/30............................. EUR 2,500 2,738,031
Netherlands Government Bond
5.500%, 01/15/28............................. EUR 15,250 26,738,696
------------
TOTAL NETHERLANDS................................ 40,443,461
------------
55
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
NORWAY -- (2.0%)
Norway Government Bond
## 1.500%, 02/19/26............................. NOK 145,000 $ 17,719,291
------------
SINGAPORE -- (3.8%)
Singapore Government Bond
3.500%, 03/01/27............................. SGD 42,480 34,675,846
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (13.0%)
Asian Development Bank
2.350%, 06/21/27............................. JPY 2,660,000 28,432,980
EFSF GOVT GUARANT REGS 07/27 0.875
0.875%, 07/26/27............................. EUR 2,300 2,744,579
European Financial Stability Facility
1.750%, 06/27/24............................. EUR 26,025 33,606,530
European Investment Bank
1.250%, 05/12/25............................. SEK 50,000 6,118,411
1.250%, 05/12/25............................. SEK 25,000 3,059,206
1.900%, 01/26/26............................. JPY 1,721,000 17,482,139
2.150%, 01/18/27............................. JPY 145,000 1,522,432
6.000%, 12/07/28............................. GBP 1,300 2,462,815
5.625%, 06/07/32............................. GBP 1,800 3,505,602
European Union
3.000%, 09/04/26............................. EUR 9,925 14,231,834
2.875%, 04/04/28............................. EUR 3,460 4,993,793
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 118,160,321
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWEDEN -- (3.9%)
Sweden Government Bond
2.250%, 06/01/32.............................. SEK 258,000 $ 35,137,235
------------
UNITED KINGDOM -- (12.5%)
Network Rail Infrastructure Finance P.L.C.
4.375%, 12/09/30.............................. GBP 1,200 2,061,605
United Kingdom Gilt
4.250%, 12/07/27.............................. GBP 7,025 11,891,035
4.750%, 12/07/30.............................. GBP 54,300 99,246,874
------------
TOTAL UNITED KINGDOM............................... 113,199,514
------------
TOTAL BONDS........................................ 900,564,106
------------
AGENCY OBLIGATIONS -- (0.2%)
Federal National Mortgage Association
7.250%, 05/15/30.............................. 1,300 1,913,547
------------
U.S. TREASURY OBLIGATIONS -- (0.4%)
U.S. Treasury Bonds
5.375%, 02/15/31.............................. 2,850 3,797,402
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $879,934,570).............................. $906,275,055
============
At October 31, 2017, DFA World ex U.S. Government Fixed Income Portfolio had
entered into the following forward currency contracts and the net unrealized
foreign exchange gain (loss) is reflected in the accompanying financial
statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ---------- --------------
SGD.. 683,241 USD 500,018 State Street Bank and Trust 11/15/17 $ 1,252
USD.. 62,409 AUD 81,250 Citibank, N.A. 11/01/17 224
USD.. 877,426 CAD 1,096,049 Citibank, N.A. 11/01/17 27,842
USD.. 86,695,256 CAD 108,025,583 State Street Bank and Trust 11/01/17 2,960,985
USD.. 17,921,103 SGD 24,292,897 JP Morgan 11/15/17 98,229
USD.. 17,617,379 SGD 23,650,450 State Street Bank and Trust 12/19/17 259,979
USD.. 2,077,456 EUR 1,761,299 State Street Bank and Trust 12/21/17 20,025
USD.. 11,626,620 EUR 9,822,537 State Street Bank and Trust 12/21/17 152,595
USD.. 98,162,311 EUR 82,752,957 Barclays Capital 12/21/17 1,495,890
USD.. 193,459 EUR 163,758 Citibank, N.A. 12/22/17 2,155
USD.. 2,718,289 EUR 2,306,532 UBS AG 12/22/17 23,771
USD.. 3,658,140 EUR 3,130,594 State Street Bank and Trust 12/22/17 941
56
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ----------------- ---------------------------- ---------- --------------
USD.. 102,114,037 EUR 86,493,259 State Street Bank and Trust 12/22/17 $ 1,071,555
USD.. 35,923,387 DKK 226,298,194 State Street Bank and Trust 12/27/17 378,053
USD.. 76,016,367 JPY 8,548,291,332 UBS AG 12/27/17 628,599
USD.. 46,092,123 SEK 370,291,675 State Street Bank and Trust 01/08/18 1,667,342
USD.. 18,564,182 NOK 146,987,622 JP Morgan 01/16/18 532,795
USD.. 104,202,546 EUR 87,739,612 UBS AG 01/19/18 1,525,166
USD.. 4,028,612 AUD 5,233,071 Citibank, N.A. 01/25/18 26,484
USD.. 85,878,299 CAD 110,173,802 JP Morgan 01/26/18 401,351
-----------
TOTAL APPRECIATION $11,275,233
CAD.. 109,121,632 USD 84,985,456 JP Morgan 11/01/17 $ (401,601)
USD.. 65,914,467 GBP 49,625,195 UBS AG 11/07/17 (4,452)
USD.. 6,316,319 EUR 5,400,382 UBS AG 01/19/18 (3,484)
USD.. 115,097,856 GBP 86,585,938 State Street Bank and Trust 01/24/18 (208,728)
USD.. 103,807,571 EUR 88,993,828 Barclays Capital 01/26/18 (380,183)
-----------
TOTAL (DEPRECIATION) $ (998,448)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $10,276,785
===========
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.............................. -- $ 4,004,839 -- $ 4,004,839
Austria................................ -- 35,897,685 -- 35,897,685
Belgium................................ -- 36,283,421 -- 36,283,421
Canada................................. -- 109,570,707 -- 109,570,707
Denmark................................ -- 35,661,875 -- 35,661,875
Finland................................ -- 35,903,670 -- 35,903,670
France................................. -- 222,156,952 -- 222,156,952
Germany................................ -- 61,749,289 -- 61,749,289
Netherlands............................ -- 40,443,461 -- 40,443,461
Norway................................. -- 17,719,291 -- 17,719,291
Singapore.............................. -- 34,675,846 -- 34,675,846
Supranational Organization Obligations. -- 118,160,321 -- 118,160,321
Sweden................................. -- 35,137,235 -- 35,137,235
United Kingdom......................... -- 113,199,514 -- 113,199,514
Agency Obligations -- 1,913,547 -- 1,913,547
U.S. Treasury Obligations -- 3,797,402 -- 3,797,402
Forward Currency Contracts** -- 10,276,785 -- 10,276,785
-- ------------ -- ------------
TOTAL.................................... -- $916,551,840 -- $916,551,840
== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
57
DFA SHORT-TERM GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
---------- --------------
(000)
AGENCY OBLIGATIONS -- (22.0%)
Federal Home Loan Bank
1.750%, 12/14/18........................................... $ 9,850 $ 9,867,730
1.500%, 03/08/19........................................... 2,430 2,428,056
5.375%, 05/15/19........................................... 27,860 29,467,188
2.000%, 09/13/19........................................... 54,640 54,982,155
2.375%, 12/13/19........................................... 25,000 25,360,625
4.125%, 03/13/20........................................... 22,950 24,226,433
1.375%, 02/18/21........................................... 20,000 19,706,520
1.750%, 03/12/21........................................... 10,000 9,972,730
2.375%, 03/12/21........................................... 16,000 16,245,328
1.875%, 06/11/21........................................... 20,000 20,002,820
1.125%, 07/14/21........................................... 20,000 19,479,280
2.375%, 09/10/21........................................... 33,000 33,598,917
1.875%, 11/29/21........................................... 54,000 53,859,654
2.625%, 12/10/21........................................... 10,000 10,243,330
2.250%, 03/11/22........................................... 56,725 56,996,486
2.125%, 06/10/22........................................... 51,150 51,336,851
2.000%, 09/09/22........................................... 25,000 24,890,375
Tennessee Valley Authority
3.875%, 02/15/21........................................... 22,000 23,412,598
--------------
TOTAL AGENCY OBLIGATIONS.................................... 486,077,076
--------------
U.S. TREASURY OBLIGATIONS -- (77.7%)
U.S. Treasury Notes
3.125%, 05/15/19........................................... 226,388 231,773,251
1.750%, 09/30/19........................................... 264,690 265,413,763
3.625%, 02/15/20........................................... 142,000 148,295,703
1.875%, 06/30/20........................................... 102,000 102,454,218
2.000%, 09/30/20........................................... 127,000 127,952,500
1.750%, 10/31/20........................................... 60,000 60,000,000
1.625%, 11/30/20........................................... 181,000 180,222,265
3.625%, 02/15/21........................................... 112,000 118,536,251
1.250%, 03/31/21........................................... 141,000 138,350,743
1.375%, 04/30/21........................................... 77,500 76,301,172
3.125%, 05/15/21........................................... 20,000 20,885,156
1.125%, 06/30/21........................................... 94,000 91,591,250
1.125%, 07/31/21........................................... 90,000 87,588,281
1.125%, 08/31/21........................................... 41,000 39,859,687
1.250%, 10/31/21........................................... 20,000 19,500,781
1.875%, 02/28/22........................................... 9,000 8,972,227
--------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 1,717,697,248
--------------
TOTAL INVESTMENT SECURITIES................................. 2,203,774,324
--------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market
Fund, 0.960%............................................... 6,261,687 6,261,687
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $2,227,067,512)......... $2,210,036,011
==============
58
DFA SHORT-TERM GOVERNMENT 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
---------- -------------- ------- --------------
Agency Obligations................. -- $ 486,077,076 -- $ 486,077,076
U.S. Treasury Obligations.......... -- 1,717,697,248 -- 1,717,697,248
Temporary Cash Investments......... $6,261,687 -- -- 6,261,687
---------- -------------- -- --------------
TOTAL.............................. $6,261,687 $2,203,774,324 -- $2,210,036,011
========== ============== == ==============
See accompanying Notes to Financial Statements.
59
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (31.6%)
Federal Farm Credit Bank
5.350%, 08/07/20............................. $ 4,693 $ 5,142,500
3.650%, 12/21/20............................. 30,822 32,449,987
5.250%, 03/02/21............................. 4,273 4,718,140
5.220%, 02/22/22............................. 3,503 3,939,733
5.210%, 12/19/22............................. 14,851 17,027,518
5.250%, 03/06/23............................. 4,203 4,818,983
5.220%, 05/15/23............................. 33,694 38,714,743
3.500%, 12/20/23............................. 6,000 6,411,222
Federal Home Loan Bank
1.875%, 03/13/20............................. 51,165 51,354,004
4.125%, 03/13/20............................. 26,395 27,863,037
3.375%, 06/12/20............................. 14,965 15,572,774
2.875%, 09/11/20............................. 10,295 10,599,063
4.625%, 09/11/20............................. 17,970 19,310,131
3.125%, 12/11/20............................. 4,205 4,369,491
5.250%, 12/11/20............................. 5,290 5,832,601
1.750%, 03/12/21............................. 28,330 28,252,744
5.000%, 03/12/21............................. 3,645 4,016,987
2.250%, 06/11/21............................. 49,035 49,688,489
3.625%, 06/11/21............................. 7,030 7,458,598
5.625%, 06/11/21............................. 25,905 29,281,639
2.375%, 09/10/21............................. 27,565 28,065,277
3.000%, 09/10/21............................. 21,875 22,722,634
2.625%, 12/10/21............................. 75,370 77,203,978
5.000%, 12/10/21............................. 31,875 35,635,644
2.250%, 03/11/22............................. 7,005 7,038,526
2.500%, 03/11/22............................. 7,705 7,855,556
5.250%, 06/10/22............................. 5,780 6,569,964
5.750%, 06/10/22............................. 13,660 15,735,623
2.000%, 09/09/22............................. 11,365 11,315,165
5.375%, 09/30/22............................. 44,400 51,177,305
5.250%, 12/09/22............................. 10,510 12,083,715
2.125%, 03/10/23............................. 10,000 9,989,800
4.750%, 03/10/23............................. 34,465 38,882,310
3.250%, 06/09/23............................. 24,520 25,935,343
2.500%, 12/08/23............................. 25,000 25,383,800
3.250%, 03/08/24............................. 20,000 21,137,400
2.875%, 06/14/24............................. 61,000 63,078,148
5.375%, 08/15/24............................. 29,950 35,514,590
5.365%, 09/09/24............................. 1,400 1,666,907
2.875%, 09/13/24............................. 71,500 73,852,994
2.750%, 12/13/24............................. 20,000 20,458,340
4.375%, 03/13/26............................. 14,080 15,983,137
5.750%, 06/12/26............................. 8,080 10,020,994
Tennessee Valley Authority
3.875%, 02/15/21............................. 74,241 79,007,940
1.875%, 08/15/22............................. 89,450 88,660,157
2.875%, 09/15/24............................. 117,875 121,575,568
6.750%, 11/01/25............................. 47,282 61,618,706
2.875%, 02/01/27............................. 90,000 92,123,280
7.125%, 05/01/30............................. 15,000 21,748,530
--------------
TOTAL AGENCY OBLIGATIONS......................... 1,448,863,715
--------------
FACE
AMOUNT VALUE+
------ ------
(000)
U.S. TREASURY OBLIGATIONS -- (68.1%)
U.S. Treasury Bonds
8.125%, 08/15/21............................. $ 90,711 $ 111,503,416
7.250%, 08/15/22............................. 65,541 81,257,667
6.250%, 08/15/23............................. 100,259 122,930,972
7.500%, 11/15/24............................. 92,352 124,250,053
6.875%, 08/15/25............................. 75,630 100,693,589
6.000%, 02/15/26............................. 88,833 113,809,829
6.750%, 08/15/26............................. 98,183 132,968,660
6.625%, 02/15/27............................. 98,828 134,455,586
5.250%, 11/15/28............................. 95,132 121,508,961
5.250%, 02/15/29............................. 98,750 126,516,107
6.125%, 08/15/29............................. 102,528 141,632,820
6.250%, 05/15/30............................. 107,289 151,529,514
5.375%, 02/15/31............................. 100,000 133,242,188
U.S. Treasury Notes
3.125%, 05/15/21............................. 101,635 106,132,934
2.000%, 10/31/21............................. 64,843 65,088,493
1.500%, 02/28/23............................. 94,000 91,308,516
1.500%, 03/31/23............................. 89,000 86,357,812
1.250%, 07/31/23............................. 62,000 59,091,328
1.625%, 10/31/23............................. 74,000 71,869,610
2.750%, 11/15/23............................. 87,000 90,014,414
2.750%, 02/15/24............................. 105,538 109,104,237
2.500%, 05/15/24............................. 63,000 64,154,180
2.250%, 11/15/24............................. 85,500 85,556,777
2.000%, 02/15/25............................. 80,000 78,596,875
2.125%, 05/15/25............................. 80,000 79,175,000
2.000%, 08/15/25............................. 144,000 141,001,875
2.250%, 11/15/25............................. 79,000 78,682,148
1.625%, 02/15/26............................. 64,000 60,637,500
1.625%, 05/15/26............................. 68,000 64,267,969
1.500%, 08/15/26............................. 104,000 97,057,188
2.250%, 08/15/27............................. 97,000 95,923,906
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 3,120,320,124
--------------
TOTAL INVESTMENT SECURITIES...................... 4,569,183,839
--------------
SHARES
------ -
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government
Money Market Fund, 0.960%................... 15,500,981 15,500,981
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,596,573,664).......................... $4,584,684,820
==============
60
DFA INTERMEDIATE GOVERNMENT FIXED INCOME 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
----------- -------------- ------- --------------
Agency Obligations........... -- $1,448,863,715 -- $1,448,863,715
U.S. Treasury Obligations.... -- 3,120,320,124 -- 3,120,320,124
Temporary Cash Investments... $15,500,981 -- -- 15,500,981
----------- -------------- -- --------------
TOTAL........................ $15,500,981 $4,569,183,839 -- $4,584,684,820
=========== ============== == ==============
See accompanying Notes to Financial Statements.
61
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
------- ------
(000)
AGENCY OBLIGATIONS -- (0.2%)
Federal Home Loan Bank
# 1.375%, 02/18/21............................. 5,000 $ 4,926,630
Tennessee Valley Authority
1.750%, 10/15/18............................. 8,303 8,320,303
-----------
TOTAL AGENCY OBLIGATIONS......................... 13,246,933
-----------
BONDS -- (98.9%)
21st Century Fox America, Inc.
6.900%, 03/01/19............................. 3,075 3,270,274
5.650%, 08/15/20............................. 4,210 4,576,632
4.500%, 02/15/21............................. 7,638 8,140,060
Abbott Laboratories
5.125%, 04/01/19............................. 1,348 1,407,277
2.000%, 03/15/20............................. 13,567 13,523,897
4.125%, 05/27/20............................. 3,000 3,139,490
2.800%, 09/15/20............................. 2,490 2,528,092
AbbVie, Inc.
# 2.500%, 05/14/20............................. 24,891 25,088,444
Advance Auto Parts, Inc.
5.750%, 05/01/20............................. 2,825 3,045,983
Aetna, Inc.
2.200%, 03/15/19............................. 2,696 2,703,962
Agence Francaise de Developpement
1.625%, 01/21/20............................. 25,000 24,767,825
Agilent Technologies, Inc.
6.500%, 11/01/17............................. 1,754 1,754,000
5.000%, 07/15/20............................. 1,690 1,808,917
Air Products & Chemicals, Inc.
3.000%, 11/03/21............................. 5,000 5,119,438
Airgas, Inc.
3.050%, 08/01/20............................. 6,528 6,683,600
Alberta, Province of Canada
1.900%, 12/06/19............................. 10,000 9,980,792
1.750%, 08/26/20............................. 15,000 14,855,475
1.350%, 09/01/21............................. CAD 20,000 15,160,220
Allergan Funding SCS
3.450%, 03/15/22............................. 5,900 6,063,184
Alphabet, Inc.
3.625%, 05/19/21............................. 1,000 1,051,231
Altria Group, Inc.
2.625%, 01/14/20............................. 1,025 1,038,551
Amazon.com, Inc.
2.600%, 12/05/19............................. 11,705 11,898,169
Ameren Corp.
2.700%, 11/15/20............................. 1,000 1,010,112
American Express Credit Corp.
2.600%, 09/14/20............................. 13,925 14,098,687
FACE
AMOUNT^ VALUE+
------- ------
(000)
American International Group, Inc.
2.300%, 07/16/19............................. 9,017 $ 9,056,716
3.375%, 08/15/20............................. 3,000 3,098,030
6.400%, 12/15/20............................. 11,283 12,664,464
Ameriprise Financial, Inc.
5.300%, 03/15/20............................. 6,957 7,449,000
AmerisourceBergen Corp.
3.500%, 11/15/21............................. 2,000 2,067,154
Amgen, Inc.
2.200%, 05/22/19............................. 10,625 10,667,355
3.450%, 10/01/20............................. 4,990 5,167,807
4.100%, 06/15/21............................. 5,000 5,264,389
Amphenol Corp.
2.550%, 01/30/19............................. 452 455,348
Anglo American Capital P.L.C.
## 3.750%, 04/10/22............................. 3,143 3,239,478
Anheuser-Busch InBev Finance, Inc.
2.650%, 02/01/21............................. 5,000 5,061,065
Anheuser-Busch InBev Worldwide, Inc.
5.375%, 01/15/20............................. 3,933 4,218,979
Anthem, Inc.
2.250%, 08/15/19............................. 10,725 10,754,678
AP Moeller - Maersk A.S.
## 2.875%, 09/28/20............................. 3,000 3,028,212
Apache Corp.
6.900%, 09/15/18............................. 200 208,522
3.250%, 04/15/22............................. 19,465 19,765,641
Apple, Inc.
2.100%, 05/06/19............................. 27,000 27,175,264
2.000%, 05/06/20............................. 1,782 1,787,043
2.250%, 02/23/21............................. 4,000 4,020,069
2.850%, 05/06/21............................. 29,000 29,714,790
1.550%, 08/04/21............................. 10,000 9,790,099
2.500%, 02/09/22............................. 12,191 12,316,402
2.300%, 05/11/22............................. 11,657 11,659,606
Applied Materials, Inc.
2.625%, 10/01/20............................. 5,090 5,173,115
Arizona Public Service Co.
8.750%, 03/01/19............................. 1,788 1,942,280
ASB Finance, Ltd.
0.500%, 06/10/22............................. EUR 2,200 2,578,880
Asian Development Bank
1.750%, 09/11/18............................. 7,409 7,420,335
1.875%, 04/12/19............................. 17,884 17,931,858
1.625%, 03/16/21............................. 6,000 5,933,222
Associated Banc-Corp
2.750%, 11/15/19............................. 447 451,757
Assurant, Inc.
2.500%, 03/15/18............................. 5,303 5,321,145
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 23,256 23,351,119
62
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
AT&T, Inc.
5.500%, 02/01/18............................. 3,645 $ 3,679,565
5.800%, 02/15/19............................. 3,751 3,931,421
4.600%, 02/15/21............................. 8,793 9,397,159
3.800%, 03/15/22............................. 11,600 12,211,493
Australia & New Zealand Banking Group, Ltd.
2.250%, 06/13/19............................. 35,154 35,314,543
2.700%, 11/16/20............................. 1,000 1,013,084
2.625%, 05/19/22............................. 10,000 10,026,185
Autodesk, Inc.
3.125%, 06/15/20............................. 14,337 14,633,417
Bank Nederlandse Gemeenten NV
1.375%, 03/19/18............................. 20,754 20,743,872
4.375%, 02/16/21............................. 11,000 11,798,292
1.625%, 04/19/21............................. 20,000 19,714,220
## 2.375%, 02/01/22............................. 19,000 19,134,007
2.375%, 02/01/22............................. 3,500 3,524,686
Bank of America Corp.
2.650%, 04/01/19............................. 4,255 4,289,529
2.625%, 10/19/20............................. 5,000 5,043,680
5.700%, 01/24/22............................. 12,571 14,104,081
Bank of Montreal
2.100%, 12/12/19............................. 1,041 1,043,692
1.900%, 08/27/21............................. 32,954 32,388,231
Bank of New York Mellon Corp. (The)
5.450%, 05/15/19............................. 2,309 2,431,397
2.150%, 02/24/20............................. 21,195 21,274,311
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 1,788 1,792,281
2.350%, 10/21/20............................. 1,315 1,321,829
2.450%, 03/22/21............................. 37,679 37,874,013
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
## 2.350%, 09/08/19............................. 4,570 4,591,218
Barclays P.L.C.
2.750%, 11/08/19............................. 26,424 26,675,821
BAT International Finance P.L.C.
## 3.250%, 06/07/22............................. 7,350 7,495,320
Baxalta, Inc.
2.875%, 06/23/20............................. 4,024 4,081,583
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 5,616 5,645,327
Beam Suntory, Inc.
1.750%, 06/15/18............................. 16,605 16,567,537
Becton Dickinson and Co.
3.125%, 11/08/21............................. 6,750 6,892,086
Berkshire Hathaway Finance Corp.
2.900%, 10/15/20............................. 5,000 5,146,647
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 24,591 24,747,001
2.200%, 03/15/21............................. 8,295 8,329,863
Biogen, Inc.
2.900%, 09/15/20............................. 19,046 19,441,188
FACE
AMOUNT^ VALUE+
------- ------
(000)
BlackRock, Inc.
5.000%, 12/10/19............................. 2,193 $ 2,333,416
4.250%, 05/24/21............................. 2,850 3,041,309
BNP Paribas SA
2.450%, 03/17/19............................. 6,336 6,387,376
Boston Scientific Corp.
2.850%, 05/15/20............................. 9,273 9,404,170
BP Capital Markets P.L.C.
4.750%, 03/10/19............................. 894 928,726
2.315%, 02/13/20............................. 16,759 16,891,991
BPCE SA
2.500%, 07/15/19............................. 4,024 4,056,494
2.250%, 01/27/20............................. 18,309 18,351,019
Buckeye Partners L.P.
2.650%, 11/15/18............................. 889 894,544
Caisse d'Amortissement de la Dette Sociale
2.000%, 04/17/20............................. 17,000 17,014,144
2.000%, 03/22/21............................. 25,435 25,349,589
Canada Housing Trust No. 1
## 1.750%, 06/15/22............................. CAD 20,000 15,376,017
Canadian Pacific Railway Co.
7.250%, 05/15/19............................. 2,576 2,778,793
Capital One Bank USA NA
2.300%, 06/05/19............................. 4,471 4,479,066
Capital One Financial Corp.
2.450%, 04/24/19............................. 11,883 11,946,789
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 360 362,567
CBS Corp.
2.300%, 08/15/19............................. 14,110 14,197,054
5.750%, 04/15/20............................. 1,341 1,454,851
CenterPoint Energy Resources Corp.
6.125%, 11/01/17............................. 457 457,000
Chevron Corp.
1.718%, 06/24/18............................. 31,067 31,084,382
1.961%, 03/03/20............................. 19,050 19,093,334
1.991%, 03/03/20............................. 2,500 2,505,317
2.419%, 11/17/20............................. 37,151 37,563,506
2.100%, 05/16/21............................. 25,500 25,485,231
2.498%, 03/03/22............................. 10,030 10,137,933
Chubb INA Holdings, Inc.
2.300%, 11/03/20............................. 8,000 8,055,120
Cisco Systems, Inc.
2.125%, 03/01/19............................. 14,144 14,220,516
4.450%, 01/15/20............................. 4,896 5,165,174
2.450%, 06/15/20............................. 3,395 3,440,643
2.200%, 02/28/21............................. 57,736 57,875,852
1.850%, 09/20/21............................. 20,960 20,702,253
Citigroup, Inc.
2.500%, 09/26/18............................. 10,282 10,341,565
2.550%, 04/08/19............................. 1,942 1,958,525
Citizens Bank NA
2.450%, 12/04/19............................. 3,733 3,755,608
63
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
CNA Financial Corp.
5.875%, 08/15/20............................. 1,000 $ 1,085,221
Coca-Cola Co. (The)
1.150%, 04/01/18............................. 3,593 3,588,329
1.875%, 10/27/20............................. 16,673 16,641,708
3.150%, 11/15/20............................. 1,020 1,057,308
1.550%, 09/01/21............................. 2,500 2,465,130
3.300%, 09/01/21............................. 14,000 14,626,769
2.200%, 05/25/22............................. 20,425 20,457,938
Coca-Cola European Partners US LLC
3.500%, 09/15/20............................. 4,591 4,758,232
Comerica, Inc.
2.125%, 05/23/19............................. 2,057 2,057,894
Commonwealth Bank of Australia
2.500%, 09/20/18............................. 4,634 4,667,821
2.250%, 03/13/19............................. 2,000 2,010,857
2.300%, 09/06/19............................. 38,525 38,742,653
# ## 2.250%, 03/10/20............................. 5,000 5,018,905
2.300%, 03/12/20............................. 4,500 4,517,657
2.400%, 11/02/20............................. 10,000 10,071,567
2.900%, 07/12/21............................. AUD 5,000 3,840,518
## 2.000%, 09/06/21............................. 5,000 4,910,811
3.250%, 01/17/22............................. AUD 2,000 1,551,692
## 2.750%, 03/10/22............................. 11,500 11,625,646
3.250%, 03/31/22............................. AUD 3,200 2,481,281
ConocoPhillips Co.
1.050%, 12/15/17............................. 13,486 13,480,238
Constellation Brands, Inc.
2.700%, 05/09/22............................. 4,935 4,947,474
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 34,077 34,252,673
2.500%, 01/19/21............................. 15,935 16,092,866
2.750%, 01/10/22............................. 5,928 6,017,832
4.000%, 01/11/22............................. EUR 2,500 3,388,911
3.875%, 02/08/22............................. 17,836 18,929,269
4.750%, 06/06/22............................. EUR 3,000 4,230,860
Corning, Inc.
4.250%, 08/15/20............................. 2,850 3,000,890
Costco Wholesale Corp.
1.700%, 12/15/19............................. 2 1,998
CPPIB Capital, Inc.
## 2.250%, 01/25/22............................. 25,400 25,423,826
2.250%, 01/25/22............................. 14,750 14,763,836
Crane Co.
2.750%, 12/15/18............................. 13,057 13,158,845
Credit Suisse AG
2.300%, 05/28/19............................. 17,157 17,247,215
CVS Health Corp.
2.250%, 12/05/18............................. 1,672 1,678,270
2.250%, 08/12/19............................. 5,370 5,378,760
Daimler Finance North America LLC
## 2.250%, 03/02/20............................. 9,750 9,773,555
Daiwa Securities Group, Inc.
## 3.129%, 04/19/22............................. 10,000 10,099,919
FACE
AMOUNT^ VALUE+
------- ------
(000)
Danone SA
## 2.077%, 11/02/21............................. 5,000 $ 4,914,151
Danske Bank A.S.
# ## 2.750%, 09/17/20............................. 15,822 15,996,995
Deutsche Bank AG
2.500%, 02/13/19............................. 5,942 5,969,713
2.500%, 02/13/19............................. 1,650 1,657,572
3.125%, 01/13/21............................. 4,900 4,945,781
Deutsche Telekom International Finance BV
6.000%, 07/08/19............................. 3,774 4,023,863
## 1.950%, 09/19/21............................. 2,535 2,475,133
Discovery Communications LLC
3.300%, 05/15/22............................. 6,000 6,102,263
Dollar General Corp.
1.875%, 04/15/18............................. 10,692 10,694,206
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20............................. 5,000 5,069,724
Dominion Energy, Inc.
2.500%, 12/01/19............................. 7,881 7,934,066
Dow Chemical Co. (The)
4.250%, 11/15/20............................. 7,657 8,032,277
Dr. Pepper Snapple Group, Inc.
2.600%, 01/15/19............................. 939 944,949
2.000%, 01/15/20............................. 747 743,342
DTE Energy Co.
2.400%, 12/01/19............................. 18,342 18,411,958
Duke Energy Corp.
5.050%, 09/15/19............................. 586 618,556
DXC Technology Co.
4.450%, 09/18/22............................. 1,250 1,321,557
Eastman Chemical Co.
2.700%, 01/15/20............................. 3,756 3,798,675
eBay, Inc.
# 2.200%, 08/01/19............................. 4,918 4,935,444
3.800%, 03/09/22............................. 1,636 1,712,175
EI du Pont de Nemours & Co.
4.625%, 01/15/20............................. 1,289 1,368,158
4.250%, 04/01/21............................. 3,035 3,232,998
Electricite de France SA
## 2.350%, 10/13/20............................. 1,500 1,505,426
Electronic Arts, Inc.
3.700%, 03/01/21............................. 11,879 12,339,411
EMD Finance LLC
## 2.400%, 03/19/20............................. 1,755 1,761,500
Enbridge, Inc.
2.900%, 07/15/22............................. 13,939 14,012,977
Enterprise Products Operating LLC
5.250%, 01/31/20............................. 1,788 1,905,961
ERAC USA Finance LLC
## 2.350%, 10/15/19............................. 7,283 7,298,109
64
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
European Investment Bank
1.875%, 03/15/19............................. 4,471 $ 4,483,653
1.625%, 03/16/20............................. 10,000 9,957,268
1.375%, 06/15/20............................. 6,000 5,926,740
2.875%, 09/15/20............................. 9,000 9,248,391
1.625%, 12/15/20............................. 8,000 7,927,760
2.000%, 03/15/21............................. 5,000 5,004,280
1.375%, 09/15/21............................. 48,000 46,788,352
Eversource Energy
2.500%, 03/15/21............................. 5,500 5,515,454
Exelon Corp.
2.850%, 06/15/20............................. 1,399 1,423,094
2.450%, 04/15/21............................. 1,560 1,560,807
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 7,064 7,172,224
Export Development Canada
1.375%, 10/21/21............................. 12,800 12,466,970
Express Scripts Holding Co.
2.250%, 06/15/19............................. 9,876 9,905,013
3.900%, 02/15/22............................. 1,000 1,046,600
Exxon Mobil Corp.
1.819%, 03/15/19............................. 21,614 21,665,910
1.912%, 03/06/20............................. 8,143 8,153,576
2.222%, 03/01/21............................. 45,395 45,682,899
2.397%, 03/06/22............................. 1,035 1,043,478
FedEx Corp.
# 2.300%, 02/01/20............................. 4,340 4,366,347
Fidelity National Information Services, Inc.
3.625%, 10/15/20............................. 6,415 6,655,087
2.250%, 08/15/21............................. 2,500 2,480,980
Fifth Third Bancorp
2.300%, 03/01/19............................. 9,444 9,485,085
Fiserv, Inc.
2.700%, 06/01/20............................. 4,460 4,508,066
FMS Wertmanagement AoeR
1.000%, 11/21/17............................. 5,755 5,754,066
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 17,685 17,989,831
# 2.459%, 03/27/20............................. 5,365 5,386,131
3.157%, 08/04/20............................. 11,533 11,770,927
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20............................. 6,500 6,615,231
GATX Corp.
2.500%, 03/15/19............................. 6,103 6,130,561
GE Capital European Funding Unlimited Co.
4.350%, 11/03/21............................. EUR 2,463 3,357,811
0.800%, 01/21/22............................. EUR 1,750 2,091,646
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 99,970 100,443,859
FACE
AMOUNT^ VALUE+
------- ------
(000)
General Electric Co.
0.375%, 05/17/22............................. EUR 13,519 $15,854,227
0.375%, 05/17/22............................. EUR 8,200 9,616,441
General Motors Financial Co., Inc.
3.200%, 07/06/21............................. 9,759 9,956,332
3.450%, 01/14/22............................. 14,123 14,472,984
Gilead Sciences, Inc.
2.550%, 09/01/20............................. 2,000 2,025,647
4.500%, 04/01/21............................. 1,198 1,286,858
Goldcorp, Inc.
3.625%, 06/09/21............................. 4,553 4,716,751
Goldman Sachs Group, Inc. (The)
7.500%, 02/15/19............................. 8,000 8,549,924
2.550%, 10/23/19............................. 6,000 6,045,906
2.750%, 09/15/20............................. 10,000 10,105,422
2.625%, 04/25/21............................. 502 504,168
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 21,047 20,929,535
Harris Corp.
2.700%, 04/27/20............................. 4,247 4,290,534
Hartford Financial Services Group, Inc. (The)
5.500%, 03/30/20............................. 5,100 5,490,716
Hershey Co. (The)
# 4.125%, 12/01/20............................. 700 742,525
Hewlett Packard Enterprise Co.
3.600%, 10/15/20............................. 10,000 10,340,863
HSBC USA, Inc.
2.375%, 11/13/19............................. 2,683 2,702,700
2.350%, 03/05/20............................. 5,500 5,529,180
Humana, Inc.
2.625%, 10/01/19............................. 3,845 3,888,513
Huntington Bancshares, Inc.
2.600%, 08/02/18............................. 19,992 20,112,725
Iberdrola Finance Ireland, Ltd.
## 5.000%, 09/11/19............................. 6,662 7,000,751
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 2,236 2,385,267
ING Bank NV
## 2.750%, 03/22/21............................. 6,000 6,064,052
Integrys Holding, Inc.
4.170%, 11/01/20............................. 1,000 1,053,305
Intel Corp.
2.450%, 07/29/20............................. 5,756 5,839,145
3.300%, 10/01/21............................. 5,000 5,215,803
Inter-American Development Bank
0.875%, 03/15/18............................. 4,303 4,294,407
1.875%, 06/16/20............................. 7,000 7,008,953
2.125%, 11/09/20............................. 35,000 35,252,210
65
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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International Bank for Reconstruction &
Development
1.375%, 05/24/21............................. 5,000 $ 4,899,970
2.250%, 06/24/21............................. 6,000 6,056,916
2.600%, 09/20/22............................. AUD 12,000 9,201,529
International Business Machines Corp.
1.625%, 05/15/20............................. 2,359 2,344,684
2.250%, 02/19/21............................. 4,000 4,024,025
2.500%, 01/27/22............................. 5,000 5,050,564
International Finance Corp.
0.875%, 06/15/18............................. 2,490 2,480,809
Intesa Sanpaolo SpA
3.875%, 01/16/18............................. 1,797 1,804,265
Japan Finance Organization for Municipalities
2.500%, 09/12/18............................. 6,886 6,904,468
2.125%, 03/06/19............................. 4,472 4,467,989
Jefferies Group LLC
5.125%, 04/13/18............................. 1,557 1,581,019
Jersey Central Power & Light Co.
7.350%, 02/01/19............................. 7,492 7,953,267
John Deere Capital Corp.
2.050%, 03/10/20............................. 25,620 25,661,727
Johnson & Johnson
1.650%, 03/01/21............................. 9,000 8,907,509
2.250%, 03/03/22............................. 5,000 5,019,719
JPMorgan Chase & Co.
6.300%, 04/23/19............................. 894 949,839
2.550%, 10/29/20............................. 11,000 11,098,757
4.350%, 08/15/21............................. 4,994 5,336,661
KeyBank NA
2.500%, 12/15/19............................. 4,467 4,514,199
KeyCorp
2.900%, 09/15/20............................. 11,259 11,471,214
5.100%, 03/24/21............................. 8,008 8,721,632
KFW
1.500%, 04/20/20............................. 22,500 22,323,600
Kommunalbanken A.S.
1.000%, 03/15/18............................. 24,908 24,862,568
1.750%, 05/28/19............................. 17,884 17,876,739
1.625%, 02/10/21............................. 15,000 14,814,285
2.250%, 01/25/22............................. 10,000 10,017,970
Kommunekredit
1.125%, 03/15/18............................. 8,303 8,291,774
Kommuninvest I Sverige AB
2.000%, 11/12/19............................. 9,471 9,502,188
1.000%, 09/15/21............................. SEK 120,000 14,795,650
0.250%, 06/01/22............................. SEK 903,000 106,749,374
Koninklijke Philips NV
3.750%, 03/15/22............................. 1,218 1,280,912
Kreditanstalt fuer Wiederaufbau
1.875%, 04/01/19............................. 6,259 6,274,710
2.125%, 03/07/22............................. 20,000 20,009,068
2.900%, 06/06/22............................. AUD 20,000 15,506,524
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Kroger Co. (The)
2.300%, 01/15/19............................. 11,572 $11,609,166
3.400%, 04/15/22............................. 10,000 10,277,362
L3 Technologies, Inc.
4.750%, 07/15/20............................. 4,650 4,944,427
Laboratory Corp. of America Holdings
2.625%, 02/01/20............................. 7,623 7,684,153
Lam Research Corp.
2.750%, 03/15/20............................. 8,942 9,061,075
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.375%, 07/21/21............................. 5,000 4,872,010
Landwirtschaftliche Rentenbank
2.700%, 09/05/22............................. AUD 11,360 8,732,577
Legg Mason, Inc.
2.700%, 07/15/19............................. 9,258 9,359,801
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 2,500 2,693,082
Lincoln National Corp.
6.250%, 02/15/20............................. 3,215 3,496,499
4.850%, 06/24/21............................. 1,270 1,368,572
Lloyds Bank P.L.C.
2.700%, 08/17/20............................. 1,600 1,622,633
Lloyds Banking Group P.L.C.
# 3.100%, 07/06/21............................. 6,750 6,871,413
# 3.000%, 01/11/22............................. 16,162 16,360,891
Lockheed Martin Corp.
2.500%, 11/23/20............................. 7,500 7,593,709
LyondellBasell Industries NV
5.000%, 04/15/19............................. 2,490 2,575,529
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 20,235 20,452,511
Manitoba, Province of Canada
2.100%, 09/06/22............................. 20,000 19,711,910
Manufacturers & Traders Trust Co.
2.250%, 07/25/19............................. 1,030 1,034,328
2.100%, 02/06/20............................. 29,557 29,591,711
Marriott International, Inc.
6.750%, 05/15/18............................. 4,264 4,376,635
3.000%, 03/01/19............................. 2,835 2,862,250
Marsh & McLennan Cos., Inc.
2.350%, 09/10/19............................. 4,471 4,492,275
2.350%, 03/06/20............................. 1,000 1,003,966
2.750%, 01/30/22............................. 4,650 4,691,806
Mattel, Inc.
1.700%, 03/15/18............................. 4,887 4,863,054
2.350%, 05/06/19............................. 20,051 19,697,300
2.350%, 08/15/21............................. 11,000 10,147,500
66
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Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 5,464 $ 5,493,577
McDonald's Corp.
5.350%, 03/01/18............................. 1,314 1,330,355
3.500%, 07/15/20............................. 5,678 5,896,512
McKesson Corp.
1.400%, 03/15/18............................. 5,399 5,394,425
Medtronic, Inc.
2.500%, 03/15/20............................. 4,195 4,251,875
Merck & Co., Inc.
1.850%, 02/10/20............................. 4,450 4,448,409
Microsoft Corp.
1.625%, 12/06/18............................. 7,227 7,227,015
1.850%, 02/12/20............................. 21,640 21,645,198
3.000%, 10/01/20............................. 5,000 5,158,215
2.000%, 11/03/20............................. 33,993 34,042,192
1.550%, 08/08/21............................. 20,978 20,556,835
2.400%, 02/06/22............................. 20,000 20,166,357
2.375%, 02/12/22............................. 10,000 10,066,604
Mitsubishi UFJ Financial Group, Inc.
2.950%, 03/01/21............................. 3,000 3,047,334
Mizuho Bank, Ltd.
## 2.450%, 04/16/19............................. 1,575 1,583,959
## 2.700%, 10/20/20............................. 11,960 12,069,474
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 5,000 5,003,183
Molson Coors Brewing Co.
2.100%, 07/15/21............................. 3,000 2,966,743
Mondelez International Holdings Netherlands BV
## 2.000%, 10/28/21............................. 13,012 12,766,919
Monsanto Co.
1.850%, 11/15/18............................. 25,011 25,017,920
2.125%, 07/15/19............................. 2,236 2,237,581
Morgan Stanley
7.300%, 05/13/19............................. 3,365 3,625,853
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 5,755 5,744,181
1.500%, 03/23/20............................. 10,000 9,910,500
1.375%, 09/21/21............................. 7,500 7,294,230
2.375%, 03/15/22............................. 10,000 10,061,400
Mylan NV
3.750%, 12/15/20............................. 6,065 6,284,914
Mylan, Inc.
2.550%, 03/28/19............................. 9,089 9,130,972
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 15,626 15,714,971
## 2.400%, 12/09/19............................. 8,492 8,557,932
2.625%, 07/23/20............................. 5,339 5,404,946
2.625%, 01/14/21............................. 2,000 2,016,209
3.000%, 05/12/21............................. AUD 1,000 771,642
1.875%, 07/12/21............................. 5,500 5,403,990
2.800%, 01/10/22............................. 24,500 24,827,939
2.500%, 05/22/22............................. 42,800 42,750,493
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Nationwide Building Society
## 2.350%, 01/21/20............................. 480 $ 482,531
Nederlandse Waterschapsbank NV
1.875%, 03/13/19............................. 53,652 53,724,859
1.625%, 03/04/20............................. 30,000 29,793,000
Nestle Holdings, Inc.
1.875%, 03/09/21............................. 10,000 9,918,760
NetApp, Inc.
2.000%, 12/15/17............................. 8,303 8,304,162
3.375%, 06/15/21............................. 8,650 8,868,866
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 9,378 9,429,314
Nissan Motor Acceptance Corp.
## 2.550%, 03/08/21............................. 16,249 16,330,037
Noble Energy, Inc.
4.150%, 12/15/21............................. 4,000 4,219,048
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 16,440 16,589,849
Nordea Bank AB
1.625%, 05/15/18............................. 1,923 1,923,391
2.375%, 04/04/19............................. 15,005 15,103,940
## 2.500%, 09/17/20............................. 6,000 6,051,772
Nordic Investment Bank
1.875%, 06/14/19............................. 9,471 9,495,909
2.125%, 02/01/22............................. 7,500 7,507,112
Nordstrom, Inc.
4.750%, 05/01/20............................. 13,135 13,762,291
NRW Bank
1.875%, 07/01/19............................. 17,884 17,893,979
Nucor Corp.
5.750%, 12/01/17............................. 1,992 1,998,318
Nuveen Finance LLC
## 2.950%, 11/01/19............................. 9,568 9,714,979
NVIDIA Corp.
2.200%, 09/16/21............................. 1,830 1,826,061
Occidental Petroleum Corp.
4.100%, 02/01/21............................. 542 572,229
Omnicom Group, Inc.
4.450%, 08/15/20............................. 550 582,509
OP Corporate Bank P.L.C.
0.375%, 10/11/22............................. EUR 325 381,264
Oracle Corp.
2.800%, 07/08/21............................. 6,536 6,684,441
1.900%, 09/15/21............................. 97,577 96,544,368
2.500%, 05/15/22............................. 5,000 5,039,721
Pacific Gas & Electric Co.
3.500%, 10/01/20............................. 900 929,303
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 2.500%, 06/15/19............................. 5,000 5,029,734
## 3.050%, 01/09/20............................. 828 843,028
## 3.375%, 02/01/22............................. 10,000 10,251,983
Pernod Ricard SA
## 5.750%, 04/07/21............................. 620 687,131
## 4.450%, 01/15/22............................. 5,327 5,721,381
67
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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Perrigo Finance Unlimited Co.
3.500%, 03/15/21............................. 5,056 $ 5,167,440
Petro-Canada
6.050%, 05/15/18............................. 4,982 5,096,750
Pfizer, Inc.
2.100%, 05/15/19............................. 5,000 5,028,496
1.950%, 06/03/21............................. 27,847 27,740,638
2.200%, 12/15/21............................. 15,000 15,047,888
0.250%, 03/06/22............................. EUR 6,200 7,275,416
Phillips 66 Partners L.P.
2.646%, 02/15/20............................. 6,873 6,916,595
PNC Bank NA
2.400%, 10/18/19............................. 11,500 11,590,107
2.300%, 06/01/20............................. 1,200 1,206,160
2.600%, 07/21/20............................. 4,800 4,857,688
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 8,670 8,618,196
Progress Energy, Inc.
4.875%, 12/01/19............................. 4,672 4,936,175
Progressive Corp. (The)
3.750%, 08/23/21............................. 706 741,485
Province of Manitoba Canada
2.050%, 11/30/20............................. 3,800 3,790,904
2.125%, 05/04/22............................. 10,000 9,910,903
Province of Ontario Canada
4.400%, 04/14/20............................. 28,000 29,575,499
1.875%, 05/21/20............................. 15,000 14,945,446
2.500%, 09/10/21............................. 59,530 60,128,563
1.350%, 03/08/22............................. CAD 20,000 15,087,513
2.250%, 05/18/22............................. 5,000 4,988,880
3.150%, 06/02/22............................. CAD 19,000 15,445,066
Province of Quebec Canada
3.500%, 07/29/20............................. 53,000 55,113,793
2.750%, 08/25/21............................. 10,000 10,198,415
2.375%, 01/31/22............................. 40,718 40,895,123
Prudential Financial, Inc.
2.350%, 08/15/19............................. 11,413 11,465,429
5.375%, 06/21/20............................. 1,700 1,841,356
4.500%, 11/15/20............................. 7,000 7,467,698
PSEG Power LLC
2.450%, 11/15/18............................. 6,831 6,869,288
5.125%, 04/15/20............................. 11,108 11,832,635
Puget Energy, Inc.
6.500%, 12/15/20............................. 3,363 3,766,396
QUALCOMM, Inc.
2.250%, 05/20/20............................. 8,235 8,276,415
Raytheon Co.
3.125%, 10/15/20............................. 3,000 3,096,261
Regions Financial Corp.
3.200%, 02/08/21............................. 10,500 10,736,103
Republic of Austria Government Bond
## 0.0%, 09/20/22............................... EUR 4,000 4,710,735
Republic Services, Inc.
3.800%, 05/15/18............................. 4,507 4,557,893
5.500%, 09/15/19............................. 5,333 5,673,369
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Roper Technologies, Inc.
2.050%, 10/01/18............................. 1,500 $ 1,503,578
2.800%, 12/15/21............................. 1,000 1,009,514
Royal Bank of Canada
2.125%, 03/02/20............................. 22,338 22,385,516
2.150%, 03/06/20............................. 3,715 3,723,442
2.350%, 10/30/20............................. 7,428 7,476,377
2.500%, 01/19/21............................. 12,750 12,867,726
2.750%, 02/01/22............................. 24,000 24,373,695
1.968%, 03/02/22............................. CAD 5,000 3,832,997
Ryder System, Inc.
2.500%, 03/01/18............................. 2,902 2,908,414
2.650%, 03/02/20............................. 7,000 7,066,545
Sanofi
4.000%, 03/29/21............................. 13,262 14,029,419
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 3,000 3,018,497
Santander UK Group Holdings P.L.C.
3.125%, 01/08/21............................. 15,000 15,246,600
Santander UK P.L.C.
2.375%, 03/16/20............................. 2,824 2,846,702
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 19,864 20,047,879
3.500%, 06/15/22............................. 10,000 10,216,936
Sempra Energy
2.850%, 11/15/20............................. 5,400 5,496,538
Shell International Finance BV
2.000%, 11/15/18............................. 10,526 10,564,191
4.300%, 09/22/19............................. 4,471 4,653,804
4.375%, 03/25/20............................. 1,250 1,319,629
2.125%, 05/11/20............................. 17,155 17,229,520
2.250%, 11/10/20............................. 18,999 19,132,374
1.875%, 05/10/21............................. 32,626 32,371,679
1.750%, 09/12/21............................. 27,855 27,395,630
Skandinaviska Enskilda Banken AB
1.250%, 08/05/22............................. GBP 2,000 2,635,894
Societe Generale SA
## 2.625%, 09/16/20............................. 17,000 17,157,935
## 2.500%, 04/08/21............................. 4,200 4,205,657
Solvay Finance America LLC
## 3.400%, 12/03/20............................. 10,000 10,280,662
Southern Co. (The)
2.750%, 06/15/20............................. 9,683 9,824,313
Southwest Airlines Co.
2.750%, 11/06/19............................. 17,072 17,288,253
2.650%, 11/05/20............................. 4,500 4,564,594
Starbucks Corp.
2.100%, 02/04/21............................. 1,770 1,774,550
State of North Rhine- Westphalia
1.625%, 01/22/20............................. 23,450 23,297,458
68
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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State Street Corp.
2.550%, 08/18/20............................. 10,138 $10,320,206
Statoil ASA
1.200%, 01/17/18............................. 1,955 1,953,761
1.150%, 05/15/18............................. 11,682 11,657,931
1.950%, 11/08/18............................. 7,785 7,802,923
2.250%, 11/08/19............................. 7,500 7,548,859
2.900%, 11/08/20............................. 2,780 2,843,876
3.150%, 01/23/22............................. 2,692 2,779,179
Stryker Corp.
2.625%, 03/15/21............................. 6,121 6,177,968
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 13,227 13,302,610
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21............................. 4,000 4,068,720
2.058%, 07/14/21............................. 10,000 9,840,488
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 5,830 5,877,726
2.900%, 03/03/21............................. 14,765 15,005,443
Svensk Exportkredit AB
1.875%, 06/17/19............................. 5,836 5,842,828
1.750%, 08/28/20............................. 6,000 5,960,180
2.375%, 03/09/22............................. 10,000 10,069,576
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 26,661 26,868,573
2.250%, 06/17/19............................. 8,942 8,993,419
2.400%, 10/01/20............................. 3,720 3,748,242
2.450%, 03/30/21............................. 1,930 1,940,579
0.250%, 02/28/22............................. EUR 1,000 1,170,576
2.625%, 08/23/22............................. EUR 3,000 3,899,437
Swedbank AB
0.300%, 09/06/22............................. EUR 4,000 4,675,151
Sweden Government Bond
3.500%, 06/01/22............................. SEK 564,000 78,640,530
Sysco Corp.
2.600%, 10/01/20............................. 16,190 16,386,385
Target Corp.
2.300%, 06/26/19............................. 1,418 1,431,148
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 1,574 1,686,748
Telefonica Emisiones SAU
3.192%, 04/27/18............................. 950 956,587
5.877%, 07/15/19............................. 1,000 1,061,535
5.134%, 04/27/20............................. 10,180 10,880,224
Thermo Fisher Scientific, Inc.
2.400%, 02/01/19............................. 2,754 2,768,557
Thomson Reuters Corp.
3.950%, 09/30/21............................. 6,115 6,361,076
Time Warner, Inc.
4.700%, 01/15/21............................. 7,900 8,427,328
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Toronto-Dominion Bank (The)
1.400%, 04/30/18............................. 1,779 $ 1,777,704
2.125%, 07/02/19............................. 31,297 31,440,166
2.500%, 12/14/20............................. 20,000 20,201,110
2.125%, 04/07/21............................. 18,138 18,052,626
1.800%, 07/13/21............................. 18,605 18,278,868
1.994%, 03/23/22............................. CAD 5,000 3,838,268
Total Capital International SA
2.125%, 01/10/19............................. 9,066 9,112,562
2.100%, 06/19/19............................. 27,483 27,633,088
2.750%, 06/19/21............................. 6,000 6,137,748
2.875%, 02/17/22............................. 7,000 7,156,311
Total Capital SA
4.125%, 01/28/21............................. 10,000 10,622,039
Total System Services, Inc.
2.375%, 06/01/18............................. 4,011 4,021,155
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 10,000 7,663,747
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 24,526 24,620,085
2.125%, 07/18/19............................. 11,845 11,903,806
4.500%, 06/17/20............................. 10,000 10,617,900
# 1.900%, 04/08/21............................. 40,243 39,895,278
2.750%, 05/17/21............................. 8,500 8,635,276
# 2.600%, 01/11/22............................. 5,988 6,071,745
3.300%, 01/12/22............................. 1,484 1,543,205
0.750%, 07/21/22............................. EUR 2,080 2,495,588
Tyson Foods, Inc.
2.650%, 08/15/19............................. 19,752 19,951,565
UBS AG
2.375%, 08/14/19............................. 2,778 2,795,599
# 2.350%, 03/26/20............................. 8,079 8,129,860
Unedic Asseo
0.875%, 10/25/22............................. EUR 23,000 28,082,944
Union Pacific Corp.
2.250%, 02/15/19............................. 1,189 1,195,901
UnitedHealth Group, Inc.
4.700%, 02/15/21............................. 2,040 2,196,655
Unum Group
3.000%, 05/15/21............................. 1,000 1,011,332
US Bank NA
2.125%, 10/28/19............................. 3,432 3,447,830
USAA Capital Corp.
## 2.000%, 06/01/21............................. 5,000 4,937,402
Valero Energy Corp.
9.375%, 03/15/19............................. 5,009 5,493,924
Verizon Communications, Inc.
4.500%, 09/15/20............................. 2,350 2,506,872
3.125%, 03/16/22............................. 7,858 8,027,937
Viacom, Inc.
2.750%, 12/15/19............................. 3,297 3,314,964
Vodafone Group P.L.C.
5.450%, 06/10/19............................. 1,732 1,825,441
4.375%, 03/16/21............................. 4,525 4,825,766
69
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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Volkswagen Group of America Finance LLC
## 2.125%, 05/23/19............................. 7,431 $ 7,426,407
## 2.400%, 05/22/20............................. 5,911 5,929,375
Wal-Mart Stores, Inc.
4.250%, 04/15/21............................. 4,000 4,287,315
Walgreen Co.
3.100%, 09/15/22............................. 4,127 4,182,654
Walgreens Boots Alliance, Inc.
# 3.300%, 11/18/21............................. 4,000 4,106,535
Walt Disney Co. (The)
2.150%, 09/17/20............................. 7,942 7,975,387
WEC Energy Group, Inc.
2.450%, 06/15/20............................. 14,176 14,275,972
Wells Fargo & Co.
2.125%, 04/22/19............................. 8,083 8,109,157
2.600%, 07/22/20............................. 8,000 8,105,781
Western Australian Treasury Corp.
2.750%, 10/20/22............................. AUD 22,000 16,990,415
Westpac Banking Corp.
4.875%, 11/19/19............................. 6,145 6,502,783
2.600%, 11/23/20............................. 29,052 29,400,056
# 2.100%, 05/13/21............................. 7,632 7,577,153
2.800%, 01/11/22............................. 15,512 15,766,344
2.500%, 06/28/22............................. 9,789 9,814,407
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 1,484 1,506,286
Wyndham Worldwide Corp.
2.500%, 03/01/18............................. 7,146 7,155,794
4.250%, 03/01/22............................. 2,967 3,036,429
FACE
AMOUNT^ VALUE+
------- ------
(000)
Xcel Energy, Inc.
2.400%, 03/15/21............................. 4,070 $ 4,083,751
Xerox Corp.
4.070%, 03/17/22............................. 10,246 10,411,569
Xilinx, Inc.
2.125%, 03/15/19............................. 3,769 3,775,775
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 4,632 4,670,817
Zoetis, Inc.
3.450%, 11/13/20............................. 12,400 12,799,837
--------------
TOTAL BONDS........................................ 5,471,416,905
--------------
U.S. TREASURY OBLIGATIONS -- (0.5%)
U.S. Treasury Notes
1.250%, 10/31/21............................. 25,000 24,375,977
--------------
TOTAL INVESTMENT SECURITIES........................ 5,509,039,815
--------------
SHARES
- ------
SECURITIES LENDING COLLATERAL -- (0.4%)
(S)@ DFA Short Term Investment Fund............... 1,835,820 21,242,277
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,529,114,005)................................ $5,530,282,092
==============
At October 31, 2017, DFA Short-Term Extended Quality Portfolio had entered into
the following forward currency contracts and the net unrealized foreign
exchange gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ----------------- --------------------------- ---------- --------------
AUD 77,296,680 USD 59,145,101 Citibank, N.A. 11/02/17 $ 13,902
USD 2,524,015 AUD 3,212,557 Citibank, N.A. 11/02/17 65,285
USD 3,212,839 AUD 4,084,911 Citibank, N.A. 11/02/17 86,453
USD 3,946,127 AUD 5,016,600 Citibank, N.A. 11/02/17 106,673
USD 7,171,088 AUD 9,172,395 HSBC Bank 11/02/17 150,997
USD 7,787,329 AUD 10,007,523 Citibank, N.A. 11/02/17 128,073
USD 7,935,695 AUD 10,211,396 HSBC Bank 11/02/17 120,404
USD 8,984,804 AUD 11,481,238 ANZ Securities 11/02/17 197,640
USD 9,432,108 AUD 12,020,320 Citibank, N.A. 11/02/17 232,358
USD 9,503,670 AUD 12,089,740 State Street Bank and Trust 11/02/17 250,789
USD 9,052,691 SEK 73,381,996 State Street Bank and Trust 01/04/18 250,995
USD 9,856,650 SEK 79,154,104 State Street Bank and Trust 01/04/18 362,627
USD 125,670,323 SEK 1,014,248,231 State Street Bank and Trust 01/04/18 4,017,811
USD 9,559,343 SEK 77,221,472 Citibank, N.A. 01/12/18 292,667
USD 10,373,713 SEK 83,633,695 Citibank, N.A. 01/12/18 337,562
70
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- --------------------- ---------- --------------
USD 20,289,040 SEK 163,857,896 Citibank, N.A. 01/12/18 $ 625,881
USD 24,359,337 SEK 202,892,514 Citibank, N.A. 01/12/18 11,974
USD 4,748,319 EUR 4,000,675 Citibank, N.A. 01/22/18 65,704
USD 12,440,316 EUR 10,481,709 Citibank, N.A. 01/22/18 171,933
USD 59,032,056 EUR 50,025,852 UBS AG 01/22/18 478,980
USD 77,744,550 CAD 98,632,101 Bank of America Corp. 01/24/18 1,223,668
----------
TOTAL APPRECIATION $9,192,376
USD 19,140,827 EUR 16,359,446 Citibank, N.A. 01/22/18 $ (7,191)
USD 2,645,900 GBP 1,990,449 ANZ Securities 01/25/18 (4,865)
USD 59,303,845 AUD 77,565,634 Citibank, N.A. 01/30/18 (14,262)
----------
TOTAL (DEPRECIATION) $ (26,318)
----------
TOTAL APPRECIATION
(DEPRECIATION) $9,166,058
==========
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
------- -------------- ------- --------------
Agency Obligations............ -- $ 13,246,933 -- $ 13,246,933
Bonds......................... -- 5,471,416,905 -- 5,471,416,905
U.S. Treasury Obligations..... -- 24,375,977 -- 24,375,977
Securities Lending Collateral. -- 21,242,277 -- 21,242,277
Forward Currency Contracts**.. -- 9,166,058 -- 9,166,058
-- -------------- -- --------------
TOTAL......................... -- $5,539,448,150 -- $5,539,448,150
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
71
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (3.1%)
Federal Farm Credit Bank
2.630%, 08/03/26............................. $ 3,173 $ 3,153,822
5.770%, 01/05/27............................. 1,058 1,323,807
Federal Home Loan Bank
5.750%, 06/12/26............................. 1,260 1,562,680
Federal Home Loan Mortgage Corp.
6.750%, 09/15/29............................. 8,814 12,337,969
Federal National Mortgage Association
6.250%, 05/15/29............................. 17,628 23,710,612
7.125%, 01/15/30............................. 3,526 5,098,300
6.625%, 11/15/30............................. 2,000 2,836,264
Tennessee Valley Authority
6.750%, 11/01/25............................. 3,596 4,686,368
7.125%, 05/01/30............................. 2,108 3,056,394
-----------
TOTAL AGENCY OBLIGATIONS......................... 57,766,216
-----------
BONDS -- (92.2%)
21st Century Fox America, Inc.
3.700%, 09/15/24............................. 2,468 2,570,457
3M Co.
2.875%, 10/15/27............................. 16,267 16,263,909
Abbott Laboratories
2.950%, 03/15/25............................. 6,870 6,778,960
AbbVie, Inc.
3.600%, 05/14/25............................. 9,500 9,764,985
Activision Blizzard, Inc.
3.400%, 06/15/27............................. 600 601,071
Adobe Systems, Inc.
3.250%, 02/01/25............................. 1,058 1,084,538
Advance Auto Parts, Inc.
4.500%, 12/01/23............................. 1,500 1,569,704
Aetna, Inc.
3.500%, 11/15/24............................. 4,942 5,038,690
Affiliated Managers Group, Inc.
3.500%, 08/01/25............................. 1,410 1,421,201
Aflac, Inc.
3.625%, 11/15/24............................. 1,099 1,160,341
3.250%, 03/17/25............................. 6,064 6,179,419
Ahold Finance USA LLC
6.875%, 05/01/29............................. 388 476,790
Airbus SE
## 3.150%, 04/10/27............................. 1,000 1,013,015
Alabama Power Co.
2.800%, 04/01/25............................. 1,410 1,390,807
Albemarle Corp.
4.150%, 12/01/24............................. 3,335 3,558,802
Allergan Funding SCS
3.800%, 03/15/25............................. 9,592 9,817,448
Alphabet, Inc.
1.998%, 08/15/26............................. 4,000 3,760,018
FACE
AMOUNT VALUE+
------ ------
(000)
American Express Credit Corp.
3.300%, 05/03/27............................. $ 8,500 $ 8,592,921
American Honda Finance Corp.
2.300%, 09/09/26............................. 1,500 1,421,395
American International Group, Inc.
4.125%, 02/15/24............................. 3,763 4,002,276
3.750%, 07/10/25............................. 2,000 2,067,654
# 3.900%, 04/01/26............................. 4,000 4,145,284
American Water Capital Corp.
3.850%, 03/01/24............................. 1,166 1,233,511
Ameriprise Financial, Inc.
3.700%, 10/15/24............................. 7,090 7,409,477
2.875%, 09/15/26............................. 1,000 976,994
AmerisourceBergen Corp.
3.400%, 05/15/24............................. 673 687,744
Amgen, Inc.
3.625%, 05/22/24............................. 3,526 3,683,341
3.125%, 05/01/25............................. 2,763 2,778,699
2.600%, 08/19/26............................. 3,000 2,870,018
Analog Devices, Inc.
3.900%, 12/15/25............................. 4,502 4,728,633
Anglo American Capital P.L.C.
## 4.750%, 04/10/27............................. 2,000 2,114,048
## 4.000%, 09/11/27............................. 4,600 4,599,848
Anheuser-Busch InBev Finance, Inc.
3.650%, 02/01/26............................. 8,000 8,253,705
Anthem, Inc.
3.500%, 08/15/24............................. 3,491 3,578,513
ANZ New Zealand International Ltd.
## 3.450%, 07/17/27............................. 15,000 15,205,050
Aon P.L.C.
4.000%, 11/27/23............................. 2,203 2,338,172
3.500%, 06/14/24............................. 4,331 4,465,999
AP Moller - Maersk A.S.
## 3.750%, 09/22/24............................. 1,000 1,010,993
## 3.875%, 09/28/25............................. 1,914 1,932,662
Apple, Inc.
2.500%, 02/09/25............................. 2,763 2,721,247
3.250%, 02/23/26............................. 1,000 1,022,206
3.350%, 02/09/27............................. 8,000 8,209,663
3.200%, 05/11/27............................. 9,405 9,548,206
3.000%, 06/20/27............................. 6,000 5,998,130
Applied Materials, Inc.
3.300%, 04/01/27............................. 1,111 1,136,116
Archer-Daniels-Midland Co.
2.500%, 08/11/26............................. 5,613 5,366,961
Arizona Public Service Co.
3.150%, 05/15/25............................. 3,349 3,364,789
Arrow Electronics, Inc.
3.875%, 01/12/28............................. 3,530 3,567,118
Assurant, Inc.
4.000%, 03/15/23............................. 3,526 3,641,314
72
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
AstraZeneca P.L.C.
3.375%, 11/16/25............................. $ 8,300 $ 8,446,676
AT&T, Inc.
3.950%, 01/15/25............................. 1,087 1,115,940
3.400%, 05/15/25............................. 8,182 8,088,320
Australia & New Zealand Banking Group, Ltd.
3.700%, 11/16/25............................. 5,000 5,312,239
Autodesk, Inc.
4.375%, 06/15/25............................. 6,017 6,425,924
3.500%, 06/15/27............................. 1,875 1,868,884
Automatic Data Processing, Inc.
3.375%, 09/15/25............................. 5,000 5,151,817
AutoZone, Inc.
3.250%, 04/15/25............................. 3,133 3,148,750
Avnet, Inc.
4.625%, 04/15/26............................. 5,850 6,100,816
Bank of America Corp.
4.000%, 04/01/24............................. 5,993 6,349,395
Bank of New York Mellon Corp. (The)
3.000%, 02/24/25............................. 1,410 1,419,377
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
3.250%, 09/08/24............................. 1,763 1,792,525
Barclays P.L.C.
3.650%, 03/16/25............................. 6,080 6,102,867
4.375%, 01/12/26............................. 2,700 2,829,082
BAT International Finance P.L.C.
3.950%, 06/15/25............................. 1,500 1,565,974
Baxter International, Inc.
2.600%, 08/15/26............................. 5,578 5,335,751
Bayer U.S. Finance LLC
## 3.375%, 10/08/24............................. 8,831 9,010,803
Beam Suntory, Inc.
3.250%, 06/15/23............................. 2,195 2,229,025
Becton Dickinson and Co.
3.734%, 12/15/24............................. 630 647,427
Bed Bath & Beyond, Inc.
# 3.749%, 08/01/24............................. 700 694,985
Berkshire Hathaway, Inc.
3.125%, 03/15/26............................. 21,052 21,309,597
Biogen, Inc.
# 4.050%, 09/15/25............................. 8,000 8,497,279
BlackRock, Inc.
3.200%, 03/15/27............................. 15,000 15,199,741
BMW U.S. Capital LLC
## 2.800%, 04/11/26............................. 5,500 5,415,744
# ## 3.300%, 04/06/27............................. 4,000 4,057,720
Boeing Co. (The)
2.500%, 03/01/25............................. 3,526 3,472,968
Boston Scientific Corp.
4.125%, 10/01/23............................. 811 860,075
BP Capital Markets P.L.C.
3.535%, 11/04/24............................. 1,234 1,285,445
3.017%, 01/16/27............................. 7,000 6,924,722
FACE
AMOUNT VALUE+
------ ------
(000)
BPCE SA
# 4.000%, 04/15/24............................. $ 7,164 $ 7,605,876
British Columbia, Province of Canada
6.500%, 01/15/26............................. 4,363 5,451,117
Brown & Brown, Inc.
4.200%, 09/15/24............................. 5,261 5,529,189
Buckeye Partners L.P.
4.150%, 07/01/23............................. 1,058 1,095,530
3.950%, 12/01/26............................. 2,275 2,273,646
Burlington Northern Santa Fe LLC
3.000%, 04/01/25............................. 2,357 2,385,178
7.000%, 12/15/25............................. 472 601,370
CA, Inc.
4.700%, 03/15/27............................. 7,900 8,332,956
Campbell Soup Co.
3.300%, 03/19/25............................. 4,229 4,275,308
Canadian Natural Resources, Ltd.
7.200%, 01/15/32............................. 2,950 3,743,977
Canadian Pacific Railway Co.
2.900%, 02/01/25............................. 1,666 1,664,791
3.700%, 02/01/26............................. 2,115 2,204,109
Capital One Financial Corp.
3.750%, 04/24/24............................. 1,939 2,009,316
Cardinal Health, Inc.
3.410%, 06/15/27............................. 9,000 8,900,454
CBS Corp.
3.500%, 01/15/25............................. 1,058 1,074,059
2.900%, 01/15/27............................. 4,600 4,346,622
Celgene Corp.
3.625%, 05/15/24............................. 1,763 1,818,555
Charles Schwab Corp. (The)
3.000%, 03/10/25............................. 4,689 4,707,664
Chevron Corp.
2.954%, 05/16/26............................. 21,258 21,319,089
Chubb INA Holdings, Inc.
3.350%, 05/15/24............................. 2,820 2,915,867
Cigna Corp.
3.250%, 04/15/25............................. 5,750 5,794,442
Cisco Systems, Inc.
2.500%, 09/20/26............................. 3,000 2,917,388
Citigroup, Inc.
3.750%, 06/16/24............................. 1,410 1,467,263
3.300%, 04/27/25............................. 6,231 6,308,036
Clorox Co. (The)
3.500%, 12/15/24............................. 1,763 1,828,128
CME Group, Inc.
3.000%, 03/15/25............................. 471 479,507
CMS Energy Corp.
3.875%, 03/01/24............................. 705 741,074
3.600%, 11/15/25............................. 2,800 2,866,356
CNA Financial Corp.
4.500%, 03/01/26............................. 6,830 7,330,376
Coca-Cola Co. (The)
2.250%, 09/01/26............................. 3,500 3,333,217
2.900%, 05/25/27............................. 4,000 4,013,453
73
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Comcast Corp.
3.375%, 08/15/25............................. $ 1,234 $ 1,265,810
3.150%, 03/01/26............................. 4,000 4,026,459
Commonwealth Bank of Australia
## 2.850%, 05/18/26............................. 18,373 17,952,975
ConocoPhillips Co.
3.350%, 11/15/24............................. 2,468 2,557,099
# 4.950%, 03/15/26............................. 5,000 5,678,910
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24............................. 705 725,564
Cooperatieve Rabobank UA
3.375%, 05/21/25............................. 13,000 13,391,473
Corning, Inc.
3.700%, 11/15/23............................. 1,493 1,550,506
Cox Communications, Inc.
# ## 3.850%, 02/01/25............................. 5,741 5,884,454
CR Bard, Inc.
3.000%, 05/15/26............................. 1,000 986,811
Credit Agricole SA
3.875%, 04/15/24............................. 5,678 6,011,645
Credit Suisse AG
3.625%, 09/09/24............................. 6,299 6,557,800
CSX Corp.
3.400%, 08/01/24............................. 3,000 3,096,640
CVS Health Corp.
3.375%, 08/12/24............................. 5,243 5,288,021
3.875%, 07/20/25............................. 3,210 3,294,969
Daimler Finance North America LLC
## 3.250%, 08/01/24............................. 1,128 1,144,843
8.500%, 01/18/31............................. 5,588 8,349,784
Deere & Co.
5.375%, 10/16/29............................. 650 792,731
Deutsche Bank AG
3.700%, 05/30/24............................. 5,781 5,866,127
4.100%, 01/13/26............................. 3,000 3,084,675
Discovery Communications LLC
3.250%, 04/01/23............................. 353 356,420
3.450%, 03/15/25............................. 4,263 4,206,540
4.900%, 03/11/26............................. 4,000 4,298,803
Dominion Energy Gas Holdings LLC
3.600%, 12/15/24............................. 1,763 1,813,835
Dominion Energy, Inc.
3.625%, 12/01/24............................. 705 729,501
3.900%, 10/01/25............................. 4,000 4,186,919
Dover Corp.
3.150%, 11/15/25............................. 2,100 2,128,549
Dow Chemical Co. (The)
3.500%, 10/01/24............................. 4,106 4,242,010
DTE Energy Co.
3.850%, 12/01/23............................. 529 554,146
Duke Energy Corp.
3.750%, 04/15/24............................. 2,468 2,580,277
FACE
AMOUNT VALUE+
------ ------
(000)
DXC Technology Co.
4.450%, 09/18/22............................. $ 1,763 $ 1,863,924
4.750%, 04/15/27............................. 5,000 5,375,884
Eastman Chemical Co.
3.800%, 03/15/25............................. 3,023 3,149,739
eBay, Inc.
3.600%, 06/05/27............................. 1,000 1,000,969
Electricite de France SA
# 3.625%, 10/13/25............................. 2,000 2,058,860
## 3.625%, 10/13/25............................. 5,797 5,967,606
Electronic Arts, Inc.
4.800%, 03/01/26............................. 2,200 2,428,098
Emerson Electric Co.
3.150%, 06/01/25............................. 2,926 2,968,778
Enbridge, Inc.
4.000%, 10/01/23............................. 2,068 2,161,051
3.500%, 06/10/24............................. 705 717,274
Energy Transfer L.P.
4.750%, 01/15/26............................. 4,000 4,209,462
Enterprise Products Operating LLC
3.900%, 02/15/24............................. 1,146 1,205,950
3.750%, 02/15/25............................. 2,000 2,083,338
3.700%, 02/15/26............................. 6,000 6,189,985
EOG Resources, Inc.
3.150%, 04/01/25............................. 6,478 6,474,688
ERAC USA Finance LLC
## 3.850%, 11/15/24............................. 2,058 2,136,830
Exelon Corp.
3.950%, 06/15/25............................. 795 831,776
3.400%, 04/15/26............................. 5,400 5,436,988
Express Scripts Holding Co.
3.500%, 06/15/24............................. 4,596 4,651,878
3.400%, 03/01/27............................. 3,500 3,437,589
Exxon Mobil Corp.
3.176%, 03/15/24............................. 12,692 13,195,312
3.043%, 03/01/26............................. 13,686 13,979,893
FedEx Corp.
4.000%, 01/15/24............................. 1,410 1,510,563
3.200%, 02/01/25............................. 2,062 2,104,663
Fidelity National Information Services, Inc.
5.000%, 10/15/25............................. 278 309,565
Ford Motor Credit Co. LLC
4.375%, 08/06/23............................. 4,583 4,852,502
3.664%, 09/08/24............................. 3,950 4,000,797
GATX Corp.
3.250%, 03/30/25............................. 2,820 2,800,578
# 3.250%, 09/15/26............................. 2,200 2,165,451
General Dynamics Corp.
2.125%, 08/15/26............................. 6,500 6,094,970
General Electric Co.
6.750%, 03/15/32............................. 26,373 36,428,425
General Motors Financial Co., Inc.
# 5.250%, 03/01/26............................. 7,000 7,646,575
# 4.350%, 01/17/27............................. 3,000 3,085,724
74
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Georgia Power Co.
3.250%, 04/01/26............................. $3,000 $3,005,291
Georgia-Pacific LLC
7.750%, 11/15/29............................. 4,960 6,939,771
Gilead Sciences, Inc.
3.700%, 04/01/24............................. 6,998 7,366,052
3.650%, 03/01/26............................. 2,000 2,081,625
Goldman Sachs Group, Inc. (The)
4.000%, 03/03/24............................. 6,346 6,694,034
3.750%, 05/22/25............................. 2,000 2,061,261
3.750%, 02/25/26............................. 1,100 1,128,476
Halliburton Co.
3.500%, 08/01/23............................. 3,526 3,661,772
3.800%, 11/15/25............................. 4,124 4,280,534
Harley-Davidson, Inc.
3.500%, 07/28/25............................. 5,980 6,162,857
Hewlett Packard Enterprise Co.
# 4.900%, 10/15/25............................. 8,542 9,081,730
Historic TW, Inc.
6.625%, 05/15/29............................. 1,427 1,758,866
Home Depot, Inc. (The)
3.350%, 09/15/25............................. 1,403 1,450,607
Honeywell International, Inc.
2.500%, 11/01/26............................. 1,000 957,355
HSBC Holdings P.L.C.
4.300%, 03/08/26............................. 4,000 4,293,086
HSBC USA, Inc.
3.500%, 06/23/24............................. 5,760 5,947,068
Humana, Inc.
3.850%, 10/01/24............................. 4,074 4,237,410
Hyatt Hotels Corp.
3.375%, 07/15/23............................. 1,066 1,091,007
ING Groep NV
3.950%, 03/29/27............................. 6,550 6,856,650
Ingersoll-Rand Luxembourg Finance SA
3.550%, 11/01/24............................. 4,280 4,429,389
Inter-American Development Bank
7.000%, 06/15/25............................. 2,115 2,716,381
6.750%, 07/15/27............................. 1,058 1,393,612
Intercontinental Exchange, Inc.
3.750%, 12/01/25............................. 5,750 6,038,535
International Business Machines Corp.
3.625%, 02/12/24............................. 5,288 5,572,716
# 3.300%, 01/27/27............................. 3,191 3,252,931
International Paper Co.
3.650%, 06/15/24............................. 1,058 1,104,117
3.800%, 01/15/26............................. 578 602,490
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24............................. 2,151 2,255,139
Intesa Sanpaolo SpA
5.250%, 01/12/24............................. 3,526 3,881,723
## 3.875%, 07/14/27............................. 1,500 1,508,035
FACE
AMOUNT VALUE+
------ ------
(000)
ITC Holdings Corp.
3.650%, 06/15/24............................. $ 4,288 $ 4,418,721
Janus Capital Group, Inc.
4.875%, 08/01/25............................. 2,000 2,150,236
Jefferies Group LLC
4.850%, 01/15/27............................. 3,000 3,188,007
JM Smucker Co. (The)
3.500%, 03/15/25............................. 5,000 5,105,008
John Deere Capital Corp.
3.350%, 06/12/24............................. 846 874,016
Johnson & Johnson
2.450%, 03/01/26............................. 14,500 14,207,054
Johnson Controls International P.L.C.
3.625%, 07/02/24............................. 541 562,114
JPMorgan Chase & Co.
3.625%, 05/13/24............................. 4,287 4,467,391
3.900%, 07/15/25............................. 4,820 5,075,297
Juniper Networks, Inc.
4.500%, 03/15/24............................. 2,327 2,466,765
Kellogg Co.
3.250%, 04/01/26............................. 6,741 6,741,876
7.450%, 04/01/31............................. 300 405,184
KeyBank NA
3.300%, 06/01/25............................. 2,000 2,037,992
Kohl's Corp.
4.750%, 12/15/23............................. 2,861 2,976,694
Koninklijke KPN NV
8.375%, 10/01/30............................. 4,000 5,509,991
Kraft Heinz Foods Co.
3.950%, 07/15/25............................. 8,000 8,300,614
Kroger Co. (The)
7.500%, 04/01/31............................. 7,725 10,180,149
L3 Technologies, Inc.
3.950%, 05/28/24............................. 1,361 1,416,845
Laboratory Corp. of America Holdings
4.000%, 11/01/23............................. 2,115 2,218,845
Legg Mason, Inc.
# 3.950%, 07/15/24............................. 2,609 2,682,032
4.750%, 03/15/26............................. 3,205 3,414,888
Lincoln National Corp.
3.350%, 03/09/25............................. 8,425 8,481,974
Lloyds Banking Group P.L.C.
3.750%, 01/11/27............................. 5,000 5,075,810
Lockheed Martin Corp.
2.900%, 03/01/25............................. 2,468 2,466,725
Loews Corp.
3.750%, 04/01/26............................. 5,500 5,702,982
Lowe's Cos., Inc.
3.375%, 09/15/25............................. 3,551 3,660,913
LYB International Finance II BV
3.500%, 03/02/27............................. 2,000 1,998,551
LyondellBasell Industries NV
5.750%, 04/15/24............................. 3,173 3,634,760
Macquarie Bank, Ltd.
# ## 3.900%, 01/15/26............................. 5,000 5,211,114
75
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Manufacturers & Traders Trust Co.
2.900%, 02/06/25............................. $ 6,527 $ 6,481,351
Marathon Petroleum Corp.
3.625%, 09/15/24............................. 4,513 4,627,286
Marsh & McLennan Cos., Inc.
3.500%, 06/03/24............................. 4,583 4,747,201
3.500%, 03/10/25............................. 1,500 1,550,778
Maxim Integrated Products, Inc.
3.450%, 06/15/27............................. 2,950 2,998,097
McDonald's Corp.
3.700%, 01/30/26............................. 9,000 9,409,967
McKesson Corp.
3.796%, 03/15/24............................. 1,851 1,927,228
Mead Johnson Nutrition Co.
4.125%, 11/15/25............................. 4,200 4,492,428
Medtronic, Inc.
3.500%, 03/15/25............................. 1,000 1,038,341
Merck & Co., Inc.
2.750%, 02/10/25............................. 2,000 2,000,281
MetLife, Inc.
3.600%, 04/10/24............................. 7,166 7,529,786
Microsoft Corp.
2.700%, 02/12/25............................. 1,058 1,062,826
# 2.400%, 08/08/26............................. 10,000 9,659,227
3.300%, 02/06/27............................. 15,500 15,995,042
Mitsubishi UFJ Financial Group, Inc.
# 3.850%, 03/01/26............................. 4,000 4,170,977
# 3.677%, 02/22/27............................. 2,000 2,064,390
Monsanto Co.
3.375%, 07/15/24............................. 897 916,229
5.500%, 08/15/25............................. 3,984 4,572,714
Morgan Stanley
3.875%, 04/29/24............................. 5,878 6,173,120
3.875%, 01/27/26............................. 3,000 3,128,051
Mosaic Co. (The)
# 4.250%, 11/15/23............................. 1,939 2,025,993
Motorola Solutions, Inc.
3.500%, 03/01/23............................. 1,763 1,783,416
Mylan NV
# 3.950%, 06/15/26............................. 7,000 6,991,275
Mylan, Inc.
4.200%, 11/29/23............................. 2,468 2,594,774
Nasdaq, Inc.
4.250%, 06/01/24............................. 1,551 1,648,473
National Australia Bank, Ltd.
3.375%, 01/14/26............................. 5,000 5,099,377
## 3.500%, 01/10/27............................. 14,790 15,167,021
National Oilwell Varco, Inc.
2.600%, 12/01/22............................. 6,068 5,992,956
Nationwide Building Society
## 3.900%, 07/21/25............................. 7,000 7,352,027
NIKE, Inc.
2.375%, 11/01/26............................. 13,135 12,520,031
Noble Energy, Inc.
3.900%, 11/15/24............................. 1,426 1,470,167
# 3.850%, 01/15/28............................. 2,000 2,007,484
FACE
AMOUNT VALUE+
------ ------
(000)
Nordstrom, Inc.
# 4.000%, 03/15/27............................. $ 4,412 $ 4,342,567
6.950%, 03/15/28............................. 282 325,407
Norfolk Southern Corp.
5.640%, 05/17/29............................. 2,048 2,429,566
Novartis Capital Corp.
3.100%, 05/17/27............................. 19,278 19,609,331
Nuveen Finance LLC
## 4.125%, 11/01/24............................. 5,360 5,668,327
Occidental Petroleum Corp.
3.400%, 04/15/26............................. 5,280 5,426,397
Omnicom Group, Inc.
3.650%, 11/01/24............................. 705 725,028
ONEOK, Inc.
4.000%, 07/13/27............................. 3,915 3,983,676
Oracle Corp.
2.950%, 05/15/25............................. 8,617 8,702,763
2.650%, 07/15/26............................. 3,000 2,938,775
3.250%, 05/15/30............................. 7,966 8,048,753
Pacific Gas & Electric Co.
3.500%, 06/15/25............................. 2,362 2,411,701
Packaging Corp. of America
4.500%, 11/01/23............................. 2,142 2,324,289
Parker-Hannifin Corp.
3.300%, 11/21/24............................. 3,356 3,448,237
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.400%, 11/15/26............................. 1,000 990,982
PepsiCo, Inc.
3.500%, 07/17/25............................. 4,721 4,938,867
Pernod Ricard SA
# ## 3.250%, 06/08/26............................. 3,000 3,009,853
Perrigo Finance Unlimited Co.
3.900%, 12/15/24............................. 6,115 6,252,935
4.375%, 03/15/26............................. 3,000 3,122,512
Pfizer, Inc.
3.400%, 05/15/24............................. 3,526 3,704,287
2.750%, 06/03/26............................. 11,540 11,460,297
3.000%, 12/15/26............................. 8,497 8,573,029
Philip Morris International, Inc.
3.250%, 11/10/24............................. 2,179 2,219,230
Phillips 66 Partners L.P.
3.550%, 10/01/26............................. 4,550 4,502,725
Plains All American Pipeline L.P. / PAA Finance
Corp.
4.500%, 12/15/26............................. 3,542 3,618,022
PNC Bank NA
# 3.300%, 10/30/24............................. 1,763 1,815,152
2.950%, 02/23/25............................. 4,407 4,417,175
Potash Corp. of Saskatchewan, Inc.
3.000%, 04/01/25............................. 1,500 1,471,801
PPL Capital Funding, Inc.
3.400%, 06/01/23............................. 2,676 2,755,231
Precision Castparts Corp.
3.250%, 06/15/25............................. 3,410 3,488,032
76
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Principal Financial Group, Inc.
3.400%, 05/15/25............................. $ 1,177 $ 1,203,968
3.100%, 11/15/26............................. 300 298,825
Procter & Gamble Co. (The)
2.850%, 08/11/27............................. 7,000 6,960,867
Province of Quebec Canada
7.500%, 09/15/29............................. 2,000 2,854,174
Prudential Financial, Inc.
3.500%, 05/15/24............................. 6,738 7,021,146
PSEG Power LLC
4.300%, 11/15/23............................. 2,122 2,236,826
QUALCOMM, Inc.
3.450%, 05/20/25............................. 7,026 7,229,406
Quest Diagnostics, Inc.
3.500%, 03/30/25............................. 582 594,858
Reinsurance Group of America, Inc.
4.700%, 09/15/23............................. 2,115 2,288,066
3.950%, 09/15/26............................. 4,358 4,459,098
Roche Holdings, Inc.
## 3.000%, 11/10/25............................. 4,000 4,020,286
## 2.625%, 05/15/26............................. 4,312 4,214,573
## 2.375%, 01/28/27............................. 1,000 949,870
Rockwell Automation, Inc.
2.875%, 03/01/25............................. 705 699,778
Rolls-Royce P.L.C.
## 3.625%, 10/14/25............................. 4,000 4,149,179
Royal Bank of Scotland Group P.L.C.
4.800%, 04/05/26............................. 1,000 1,076,926
Santander Holdings USA, Inc.
4.500%, 07/17/25............................. 9,000 9,384,275
Santander UK P.L.C.
# 4.000%, 03/13/24............................. 3,779 3,998,610
Scripps Networks Interactive, Inc.
3.900%, 11/15/24............................. 5,961 6,123,483
Sempra Energy
4.050%, 12/01/23............................. 2,316 2,452,023
3.550%, 06/15/24............................. 3,596 3,703,120
3.750%, 11/15/25............................. 1,000 1,035,737
Shell International Finance BV
2.500%, 09/12/26............................. 10,600 10,234,884
Shell International Finance BV
2.875%, 05/10/26............................. 18,750 18,646,497
Sherwin-Williams Co. (The)
3.450%, 08/01/25............................. 5,503 5,598,530
3.950%, 01/15/26............................. 2,200 2,299,879
Siemens Financieringsmaatschappij NV
## 6.125%, 08/17/26............................. 2,080 2,563,092
Solvay Finance America LLC
## 4.450%, 12/03/25............................. 3,000 3,233,003
Southern California Edison Co.
6.650%, 04/01/29............................. 525 679,572
FACE
AMOUNT VALUE+
------ ------
(000)
Southern Power Co.
4.150%, 12/01/25............................. $ 2,000 $ 2,113,160
Southwest Airlines Co.
3.000%, 11/15/26............................. 2,000 1,971,794
Spectra Energy Partners L.P.
4.750%, 03/15/24............................. 2,563 2,800,705
StanCorp Financial Group, Inc.
5.000%, 08/15/22............................. 1,763 1,892,912
Standard Chartered P.L.C.
## 4.050%, 04/12/26............................. 1,962 2,016,901
State Street Corp.
3.300%, 12/16/24............................. 8,276 8,588,342
Stryker Corp.
3.375%, 05/15/24............................. 282 290,450
3.375%, 11/01/25............................. 6,000 6,156,021
Sumitomo Mitsui Financial Group, Inc.
3.784%, 03/09/26............................. 4,000 4,143,899
Suncor Energy, Inc.
3.600%, 12/01/24............................. 4,007 4,145,689
Sysco Corp.
3.750%, 10/01/25............................. 700 731,546
3.300%, 07/15/26............................. 9,695 9,780,072
Tapestry, Inc.
4.250%, 04/01/25............................. 8,534 8,827,822
Target Corp.
# 2.500%, 04/15/26............................. 9,730 9,350,260
TD Ameritrade Holding Corp.
3.625%, 04/01/25............................. 3,526 3,672,337
TechnipFMC P.L.C.
## 3.450%, 10/01/22............................. 1,741 1,747,964
Telefonica Europe BV
8.250%, 09/15/30............................. 5,475 7,743,892
Thomson Reuters Corp.
4.300%, 11/23/23............................. 2,820 2,997,660
3.850%, 09/29/24............................. 365 379,188
Time Warner, Inc.
3.550%, 06/01/24............................. 2,468 2,499,135
3.800%, 02/15/27............................. 2,000 1,999,460
Total Capital International SA
3.750%, 04/10/24............................. 5,288 5,609,485
Total System Services, Inc.
4.800%, 04/01/26............................. 5,970 6,491,663
Toyota Motor Credit Corp.
# 3.200%, 01/11/27............................. 18,713 19,091,720
U.S. Bank NA
2.800%, 01/27/25............................. 10,000 9,960,629
UBS Group Funding Switzerland AG
## 4.125%, 09/24/25............................. 9,500 10,018,949
Union Pacific Corp.
3.250%, 01/15/25............................. 8,761 9,030,541
United Technologies Corp.
7.500%, 09/15/29............................. 5,114 7,124,571
UnitedHealth Group, Inc.
3.750%, 07/15/25............................. 5,333 5,640,916
77
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Unum Group
4.000%, 03/15/24............................. $ 705 $ 733,656
# 3.875%, 11/05/25............................. 9,000 9,283,842
Valero Energy Corp.
7.500%, 04/15/32............................. 1,500 2,017,020
Verizon Communications, Inc.
3.500%, 11/01/24............................. 3,500 3,570,288
## 3.376%, 02/15/25............................. 4,916 4,945,458
4.125%, 03/16/27............................. 2,000 2,087,140
Viacom, Inc.
4.250%, 09/01/23............................. 353 363,409
3.875%, 04/01/24............................. 5,987 6,006,809
Visa, Inc.
3.150%, 12/14/25............................. 2,250 2,297,794
Vodafone Group P.L.C.
# 7.875%, 02/15/30............................. 7,625 10,430,223
Wal-Mart Stores, Inc.
7.550%, 02/15/30............................. 2,000 2,912,895
Walgreens Boots Alliance, Inc.
3.450%, 06/01/26............................. 9,000 8,840,208
Walt Disney Co. (The)
3.150%, 09/17/25............................. 3,526 3,613,468
WEC Energy Group, Inc.
3.550%, 06/15/25............................. 6,200 6,405,685
Wells Fargo & Co.
3.000%, 02/19/25............................. 3,526 3,497,788
3.000%, 04/22/26............................. 5,000 4,903,371
Westpac Banking Corp.
2.850%, 05/13/26............................. 1,500 1,469,133
2.700%, 08/19/26............................. 10,595 10,233,311
3.350%, 03/08/27............................. 7,000 7,102,634
WestRock MWV LLC
8.200%, 01/15/30............................. 1,885 2,648,647
7.950%, 02/15/31............................. 3,112 4,358,184
FACE
AMOUNT VALUE+
------ ------
(000)
Whirlpool Corp.
3.700%, 05/01/25............................. $ 2,468 $ 2,544,566
Williams Partners L.P.
4.000%, 09/15/25............................. 3,000 3,098,202
Wisconsin Electric Power Co.
3.100%, 06/01/25............................. 1,763 1,769,051
Wyndham Worldwide Corp.
3.900%, 03/01/23............................. 3,904 3,892,785
Xerox Corp.
# 3.800%, 05/15/24............................. 2,276 2,252,015
Zimmer Biomet Holdings, Inc.
3.550%, 04/01/25............................. 3,000 3,051,842
Zoetis, Inc.
3.000%, 09/12/27............................. 1,500 1,468,391
--------------
TOTAL BONDS........................................ 1,695,438,982
--------------
U.S. TREASURY OBLIGATIONS -- (1.7%)
U.S. Treasury Bonds
5.375%, 02/15/31............................. 23,000 30,645,703
--------------
TOTAL INVESTMENT SECURITIES........................ 1,783,850,901
--------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (3.0%)
(S)@ DFA Short Term Investment Fund............... 4,794,509 55,477,266
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,827,161,833)............................ $1,839,328,167
==============
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
------- -------------- ------- --------------
Agency Obligations............ -- $ 57,766,216 -- $ 57,766,216
Bonds......................... -- 1,695,438,982 -- 1,695,438,982
U.S. Treasury Obligations..... -- 30,645,703 -- 30,645,703
Securities Lending Collateral. -- 55,477,266 -- 55,477,266
-- -------------- -- --------------
TOTAL......................... -- $1,839,328,167 -- $1,839,328,167
== ============== == ==============
See accompanying Notes to Financial Statements.
78
DFA TARGETED CREDIT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (98.6%)
AUSTRALIA -- (2.2%)
BHP Billiton Finance USA, Ltd.
2.875%, 02/24/22............................. 929 $ 949,062
Macquarie Group, Ltd.
## 6.000%, 01/14/20............................. 1,150 1,238,194
National Australia Bank, Ltd.
2.800%, 01/10/22............................. 1,000 1,013,385
2.500%, 05/22/22............................. 3,500 3,495,952
Origin Energy Finance, Ltd.
## 3.500%, 10/09/18............................. 835 843,216
Westpac Banking Corp.
2.600%, 11/23/20............................. 1,000 1,011,980
2.500%, 06/28/22............................. 2,500 2,506,489
-----------
TOTAL AUSTRALIA.................................. 11,058,278
-----------
BELGIUM -- (0.9%)
Anheuser-Busch InBev Finance, Inc.
2.650%, 02/01/21............................. 1,700 1,720,762
Anheuser-Busch InBev SA
0.875%, 03/17/22............................. EUR 2,372 2,855,397
-----------
TOTAL BELGIUM.................................... 4,576,159
-----------
CANADA -- (5.0%)
Bank of Montreal
1.900%, 08/27/21............................. 1,000 982,831
Bank of Nova Scotia (The)
4.375%, 01/13/21............................. 1,300 1,383,926
2.700%, 03/07/22............................. 2,000 2,014,889
0.375%, 04/06/22............................. EUR 1,000 1,170,639
Canadian Imperial Bank of Commerce
2.550%, 06/16/22............................. 2,000 2,000,598
2.300%, 07/11/22............................. CAD 3,000 2,325,285
Canadian National Railway Co.
2.850%, 12/15/21............................. 565 575,005
Canadian Natural Resources, Ltd.
3.450%, 11/15/21............................. 2,800 2,892,636
Cenovus Energy, Inc.
5.700%, 10/15/19............................. 800 846,320
3.000%, 08/15/22............................. 800 791,631
Goldcorp, Inc.
3.625%, 06/09/21............................. 1,700 1,761,141
Husky Energy, Inc.
7.250%, 12/15/19............................. 925 1,017,323
Kinross Gold Corp.
5.125%, 09/01/21............................. 1,250 1,328,125
Province of Ontario Canada
2.250%, 05/18/22............................. 1,000 997,776
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Rogers Communications, Inc.
4.000%, 06/06/22............................. CAD 2,500 $ 2,062,243
Teck Resources, Ltd.
4.750%, 01/15/22............................. 500 527,500
Toronto-Dominion Bank (The)
2.125%, 04/07/21............................. 1,000 995,293
1.800%, 07/13/21............................. 1,000 982,471
Videotron, Ltd.
5.000%, 07/15/22............................. 1,150 1,242,000
-----------
TOTAL CANADA..................................... 25,897,632
-----------
DENMARK -- (0.6%)
AP Moeller - Maersk A.S.
## 2.875%, 09/28/20............................. 1,000 1,009,404
Danske Bank A.S.
## 2.750%, 09/17/20............................. 1,500 1,516,590
## 2.800%, 03/10/21............................. 700 709,683
-----------
TOTAL DENMARK.................................... 3,235,677
-----------
FINLAND -- (0.2%)
Nokia Oyj
3.375%, 06/12/22............................. 1,163 1,158,639
-----------
FRANCE -- (3.8%)
Airgas, Inc.
3.050%, 08/01/20............................. 700 716,685
BNP Paribas SA
5.000%, 01/15/21............................. 1,031 1,116,776
0.500%, 06/01/22............................. EUR 2,800 3,312,538
BPCE SA
2.650%, 02/03/21............................. 1,700 1,716,150
2.750%, 12/02/21............................. 1,000 1,011,746
Danone SA
## 2.077%, 11/02/21............................. 2,770 2,722,440
Electricite de France SA
## 2.350%, 10/13/20............................. 1,470 1,475,318
Orange SA
5.375%, 07/08/19............................. 200 211,125
4.125%, 09/14/21............................. 900 962,205
Pernod Ricard SA
## 5.750%, 04/07/21............................. 2,000 2,216,552
Societe Generale SA
## 2.625%, 09/16/20............................. 1,000 1,009,290
## 2.500%, 04/08/21............................. 1,000 1,001,347
4.250%, 07/13/22............................. EUR 1,500 2,075,723
-----------
TOTAL FRANCE..................................... 19,547,895
-----------
GERMANY -- (3.9%)
BMW US Capital LLC
## 2.000%, 04/11/21............................. 2,335 2,316,858
Daimler Canada Finance, Inc.
2.230%, 12/16/21............................. CAD 2,000 1,537,152
79
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (Continued)
Daimler Finance North America LLC
## 2.850%, 01/06/22............................. 2,500 $ 2,531,173
Deutsche Bank AG
2.950%, 08/20/20............................. 1,000 1,009,578
3.125%, 01/13/21............................. 500 504,672
1.500%, 01/20/22............................. EUR 1,500 1,814,191
Deutsche Telekom International Finance BV
## 1.950%, 09/19/21............................. 1,500 1,464,576
EMD Finance LLC
## 2.950%, 03/19/22............................. 2,288 2,322,544
Siemens Financieringsmaatschappij NV
## 1.700%, 09/15/21............................. 1,000 980,722
T-Mobile USA, Inc.
# 4.000%, 04/15/22............................. 1,100 1,137,813
Volkswagen Leasing GmbH
2.125%, 04/04/22............................. EUR 900 1,127,730
2.375%, 09/06/22............................. EUR 1,800 2,284,500
ZF North America Capital, Inc.
## 4.500%, 04/29/22............................. 1,100 1,149,500
-----------
TOTAL GERMANY.................................... 20,181,009
-----------
IRELAND -- (0.8%)
Allergan Funding SCS
3.450%, 03/15/22............................. 3,000 3,082,975
Perrigo Finance Unlimited Co.
3.500%, 03/15/21............................. 1,180 1,206,008
-----------
TOTAL IRELAND.................................... 4,288,983
-----------
ITALY -- (1.3%)
Intesa Sanpaolo SpA
3.875%, 01/15/19............................. 1,075 1,095,946
0.875%, 06/27/22............................. EUR 1,000 1,182,089
## 3.125%, 07/14/22............................. 1,000 1,002,472
Italy Buoni Poliennali Del Tesoro
1.200%, 04/01/22............................. EUR 2,820 3,385,354
-----------
TOTAL ITALY...................................... 6,665,861
-----------
JAPAN -- (5.0%)
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
## 2.300%, 03/05/20............................. 861 862,448
0.875%, 03/11/22............................. EUR 2,068 2,462,124
Beam Suntory, Inc.
1.750%, 06/15/18............................. 200 199,549
Daiwa Securities Group, Inc.
## 3.129%, 04/19/22............................. 1,500 1,514,988
Honda Canada Finance, Inc.
2.268%, 07/15/22............................. CAD 3,500 2,699,376
FACE
AMOUNT^ VALUE+
------- ------
(000)
JAPAN -- (Continued)
Japan Bank for International Cooperation
2.000%, 11/04/21............................. 2,000 $ 1,973,446
Mizuho Bank, Ltd.
## 2.700%, 10/20/20............................. 500 504,577
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 800 800,509
2.953%, 02/28/22............................. 2,000 2,019,866
Nissan Motor Acceptance Corp.
## 2.550%, 03/08/21............................. 1,100 1,105,486
## 2.650%, 07/13/22............................. 1,000 998,998
# ## 2.600%, 09/28/22............................. 1,000 996,428
SoftBank Group Corp.
## 4.500%, 04/15/20............................. 1,310 1,352,968
Sumitomo Mitsui Banking Corp.
1.000%, 01/19/22............................. EUR 1,000 1,197,394
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................. 1,000 984,049
Toyota Motor Credit Corp.
2.600%, 01/11/22............................. 5,776 5,856,779
-----------
TOTAL JAPAN........................................ 25,528,985
-----------
LUXEMBOURG -- (0.3%)
ArcelorMittal
5.125%, 06/01/20............................. 1,243 1,320,687
-----------
NETHERLANDS -- (2.5%)
BMW Finance NV
1.250%, 09/05/22............................. EUR 600 735,735
Heineken NV
## 3.400%, 04/01/22............................. 1,011 1,051,649
ING Bank NV
## 2.750%, 03/22/21............................. 1,500 1,516,013
4.500%, 02/21/22............................. EUR 1,000 1,380,986
ING Groep NV
0.750%, 03/09/22............................. EUR 1,000 1,184,413
Koninklijke Philips NV
3.750%, 03/15/22............................. 1,000 1,051,652
LyondellBasell Industries NV
6.000%, 11/15/21............................. 1,677 1,883,539
Mylan NV
3.750%, 12/15/20............................. 885 917,090
Shell International Finance BV
1.875%, 05/10/21............................. 1,000 992,205
Siemens Financieringsmaatschappij NV
2.900%, 05/27/22............................. 1,500 1,527,357
Unilever NV
0.500%, 02/03/22............................. EUR 625 741,438
-----------
TOTAL NETHERLANDS.................................. 12,982,077
-----------
80
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SPAIN -- (0.9%)
Iberdrola Finance Ireland, Ltd.
## 5.000%, 09/11/19............................. 974 $1,023,526
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 800 804,932
Santander UK Group Holdings P.L.C.
2.875%, 08/05/21............................. 1,000 1,004,924
Santander UK P.L.C.
2.375%, 03/16/20............................. 130 131,045
Telefonica Emisiones SAU
5.134%, 04/27/20............................. 200 213,757
5.462%, 02/16/21............................. 1,185 1,295,382
----------
TOTAL SPAIN...................................... 4,473,566
----------
SWEDEN -- (0.3%)
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/22............................. 1,300 1,308,598
----------
SWITZERLAND -- (1.0%)
ABB Finance USA, Inc.
2.875%, 05/08/22............................. 500 509,501
Chubb INA Holdings, Inc.
2.300%, 11/03/20............................. 1,300 1,308,957
Credit Suisse AG
3.000%, 10/29/21............................. 1,457 1,488,588
Credit Suisse Group Funding Guernsey, Ltd.
1.250%, 04/14/22............................. EUR 1,600 1,926,594
----------
TOTAL SWITZERLAND................................ 5,233,640
----------
UNITED KINGDOM -- (7.3%)
Anglo American Capital P.L.C.
## 4.125%, 04/15/21............................. 200 208,830
3.500%, 03/28/22............................. EUR 900 1,174,116
## 3.750%, 04/10/22............................. 1,000 1,030,696
Aon P.L.C.
2.800%, 03/15/21............................. 1,500 1,513,323
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 2,750 2,761,248
2.375%, 06/12/22............................. 1,500 1,488,512
BAE Systems Holdings, Inc.
## 2.850%, 12/15/20............................. 1,650 1,667,553
Barclays P.L.C.
2.750%, 11/08/19............................. 1,000 1,009,530
1.500%, 04/01/22............................. EUR 1,100 1,334,475
BAT International Finance P.L.C.
## 3.250%, 06/07/22............................. 1,000 1,019,771
Baxalta, Inc.
2.875%, 06/23/20............................. 1,000 1,014,310
BP Capital Markets P.L.C.
3.561%, 11/01/21............................. 2,000 2,095,960
1.373%, 03/03/22............................. EUR 2,146 2,637,659
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED KINGDOM -- (Continued)
British Telecommunications P.L.C.
0.500%, 06/23/22............................. EUR 1,500 $ 1,757,195
CNH Industrial Capital LLC
3.875%, 10/15/21............................. 1,000 1,032,500
4.375%, 04/05/22............................. 250 265,312
Coca-Cola European Partners P.L.C.
0.750%, 02/24/22............................. EUR 950 1,130,408
Coca-Cola European Partners US LLC
3.500%, 09/15/20............................. 1,665 1,725,649
4.500%, 09/01/21............................. 270 288,266
GlaxoSmithKline Capital P.L.C.
2.850%, 05/08/22............................. 1,000 1,022,333
HSBC Holdings P.L.C.
3.400%, 03/08/21............................. 1,500 1,547,789
4.000%, 03/30/22............................. 700 739,752
Lloyds Bank P.L.C.
2.700%, 08/17/20............................. 800 811,317
Lloyds Banking Group P.L.C.
3.100%, 07/06/21............................. 1,000 1,017,987
3.000%, 01/11/22............................. 600 607,384
Nationwide Building Society
## 2.450%, 07/27/21............................. 2,000 1,997,928
1.125%, 06/03/22............................. EUR 1,600 1,930,940
Sky P.L.C.
## 2.625%, 09/16/19............................. 750 754,643
Unilever Capital Corp.
4.250%, 02/10/21............................. 1,613 1,715,503
-----------
TOTAL UNITED KINGDOM............................. 37,300,889
-----------
UNITED STATES -- (62.6%)
21st Century Fox America, Inc.
4.500%, 02/15/21............................. $ 1,000 1,065,732
Abbott Laboratories
4.125%, 05/27/20............................. 1,000 1,046,497
Activision Blizzard, Inc.
2.600%, 06/15/22............................. 600 598,715
Advance Auto Parts, Inc.
5.750%, 05/01/20............................. 985 1,062,051
AES Corp.
7.375%, 07/01/21............................. 1,087 1,236,462
Aetna, Inc.
4.125%, 06/01/21............................. 916 963,172
Agilent Technologies, Inc.
5.000%, 07/15/20............................. 1,000 1,070,365
Ally Financial, Inc.
7.500%, 09/15/20............................. 500 563,125
4.125%, 02/13/22............................. 550 572,000
Altria Group, Inc.
2.850%, 08/09/22............................. 2,000 2,026,448
81
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Amazon.com, Inc.
3.300%, 12/05/21............................. 1,000 $1,040,929
Ameren Corp.
2.700%, 11/15/20............................. 1,525 1,540,421
American Express Co.
2.500%, 08/01/22............................. 1,500 1,489,086
American Express Credit Corp.
2.250%, 05/05/21............................. 1,000 1,000,692
0.625%, 11/22/21............................. EUR 700 830,178
American International Group, Inc.
3.300%, 03/01/21............................. 500 514,680
AmerisourceBergen Corp.
3.500%, 11/15/21............................. 1,257 1,299,206
Amgen, Inc.
4.100%, 06/15/21............................. 2,000 2,105,756
Andeavor Logistics L.P. / Tesoro Logistics
Finance Corp.
5.500%, 10/15/19............................. 500 526,250
Anixter, Inc.
5.125%, 10/01/21............................. 1,175 1,251,375
Anthem, Inc.
3.125%, 05/15/22............................. 2,000 2,037,051
Anthem, Inc.
4.350%, 08/15/20............................. 700 738,910
Apache Corp.
3.250%, 04/15/22............................. 2,359 2,395,435
Apple, Inc.
2.300%, 05/11/22............................. 500 500,112
Arconic, Inc.
5.870%, 02/23/22............................. 1,200 1,311,000
AT&T, Inc.
4.600%, 02/15/21............................. 600 641,225
2.800%, 02/17/21............................. 500 507,115
5.000%, 03/01/21............................. 1,200 1,300,776
3.875%, 08/15/21............................. 300 315,847
Autodesk, Inc.
3.125%, 06/15/20............................. 750 765,506
AutoZone, Inc.
2.500%, 04/15/21............................. 1,695 1,692,138
Baker Hughes a GE Co. LLC
3.200%, 08/15/21............................. 309 318,253
Ball Corp.
4.375%, 12/15/20............................. 500 525,000
5.000%, 03/15/22............................. 750 810,000
Bank of America Corp.
2.625%, 10/19/20............................. 900 907,961
5.700%, 01/24/22............................. 1,000 1,121,954
Bank of New York Mellon Corp. (The)
2.450%, 11/27/20............................. 301 303,956
2.600%, 02/07/22............................. 1,000 1,006,673
Baxter International, Inc.
1.700%, 08/15/21............................. 1,500 1,462,626
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Becton Dickinson and Co.
3.125%, 11/08/21............................. 2,700 $2,756,834
Bemis Co., Inc.
4.500%, 10/15/21............................. 500 531,516
Best Buy Co., Inc.
# 5.500%, 03/15/21............................. 2,000 2,175,308
Buckeye Partners L.P.
6.050%, 01/15/18............................. 300 302,406
Burlington Northern Santa Fe LLC
3.450%, 09/15/21............................. 1,000 1,041,970
CA, Inc.
5.375%, 12/01/19............................. 700 742,271
CalAtlantic Group, Inc.
6.625%, 05/01/20............................. 600 660,000
8.375%, 01/15/21............................. 500 581,875
Capital One Financial Corp.
4.750%, 07/15/21............................. 1,900 2,047,700
Carpenter Technology Corp.
5.200%, 07/15/21............................. 1,420 1,478,468
Caterpillar Financial Services Corp.
1.700%, 08/09/21............................. 1,000 980,200
Caterpillar, Inc.
3.900%, 05/27/21............................. 1,000 1,058,513
CBS Corp.
3.375%, 03/01/22............................. 1,000 1,028,529
CF Industries, Inc.
6.875%, 05/01/18............................. 750 767,813
Charles Schwab Corp. (The)
4.450%, 07/22/20............................. 200 212,485
Chevron Corp.
2.100%, 05/16/21............................. 657 656,619
2.498%, 03/03/22............................. 1,000 1,010,761
Choice Hotels International, Inc.
5.750%, 07/01/22............................. 1,100 1,218,250
Cigna Corp.
4.000%, 02/15/22............................. 400 421,823
CIT Group, Inc.
5.375%, 05/15/20............................. 46 49,335
Citigroup, Inc.
2.700%, 03/30/21............................. 1,100 1,109,483
3.390%, 11/18/21............................. CAD 2,000 1,603,070
Citizens Bank NA
2.550%, 05/13/21............................. 1,600 1,606,365
2.650%, 05/26/22............................. 1,000 999,193
CMS Energy Corp.
5.050%, 03/15/22............................. 500 548,710
CNA Financial Corp.
5.875%, 08/15/20............................. 1,595 1,730,928
5.750%, 08/15/21............................. 720 796,816
CNO Financial Group, Inc.
4.500%, 05/30/20............................. 1,000 1,030,000
Comcast Corp.
3.125%, 07/15/22............................. 1,000 1,035,771
82
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Comerica Bank
2.500%, 06/02/20............................. 1,000 $1,006,122
ConocoPhillips Co.
# 4.200%, 03/15/21............................. 1,800 1,911,498
Consolidated Edison, Inc.
2.000%, 05/15/21............................. 1,860 1,846,667
Constellation Brands, Inc.
2.700%, 05/09/22............................. 2,475 2,481,256
Corning, Inc.
4.250%, 08/15/20............................. 1,000 1,052,944
CSX Corp.
# 3.700%, 10/30/20............................. 1,330 1,384,426
CVS Health Corp.
2.800%, 07/20/20............................. 500 505,838
4.125%, 05/15/21............................. 800 839,464
2.125%, 06/01/21............................. 500 492,565
DCP Midstream Operating L.P.
4.950%, 04/01/22............................. 1,100 1,141,250
Discovery Communications LLC
5.625%, 08/15/19............................. 398 422,004
4.375%, 06/15/21............................. 2,176 2,301,861
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20............................. 250 253,486
Dominion Energy, Inc.
4.450%, 03/15/21............................. 850 907,773
Dow Chemical Co. (The)
4.250%, 11/15/20............................. 1,900 1,993,121
Dr. Pepper Snapple Group, Inc.
2.000%, 01/15/20............................. 1,000 995,103
DTE Energy Co.
2.400%, 12/01/19............................. 700 702,670
Duke Energy Corp.
2.400%, 08/15/22............................. 1,775 1,761,710
E*TRADE Financial Corp.
2.950%, 08/24/22............................. 3,000 3,000,757
Eastman Chemical Co.
4.500%, 01/15/21............................. 34 35,862
eBay, Inc.
2.875%, 08/01/21............................. 1,500 1,522,460
Ecolab, Inc.
4.350%, 12/08/21............................. 1,500 1,614,793
Edgewell Personal Care Co.
4.700%, 05/19/21............................. 900 949,500
4.700%, 05/24/22............................. 200 212,500
Electronic Arts, Inc.
3.700%, 03/01/21............................. 1,962 2,038,044
EMC Corp.
2.650%, 06/01/20............................. 1,000 987,833
Enterprise Products Operating LLC
5.250%, 01/31/20............................. 400 426,390
2.850%, 04/15/21............................. 1,500 1,525,286
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Eversource Energy
4.500%, 11/15/19............................. 536 $ 560,108
2.500%, 03/15/21............................. 900 902,529
Exelon Corp.
5.150%, 12/01/20............................. 600 644,987
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 150 152,298
4.000%, 10/01/20............................. 1,000 1,044,908
4.250%, 06/15/22............................. 500 531,393
Express Scripts Holding Co.
3.300%, 02/25/21............................. 2,000 2,051,203
3.900%, 02/15/22............................. 500 523,300
Exxon Mobil Corp.
2.222%, 03/01/21............................. 1,968 1,980,481
Fidelity National Information Services, Inc.
2.250%, 08/15/21............................. 2,000 1,984,784
Fifth Third Bancorp
2.875%, 07/27/20............................. 1,000 1,018,057
Ford Credit Canada Co.
2.766%, 06/22/22............................. CAD 1,000 772,281
Ford Motor Credit Co. LLC
3.157%, 08/04/20............................. 375 382,736
3.200%, 01/15/21............................. 800 817,996
3.336%, 03/18/21............................. 1,500 1,539,831
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20............................. 500 508,864
Gap, Inc. (The)
5.950%, 04/12/21............................. 1,296 1,399,859
GATX Corp.
2.500%, 07/30/19............................. 500 502,049
General Electric Co.
2.700%, 10/09/22............................. 1,500 1,520,265
General Mills, Inc.
3.150%, 12/15/21............................. 985 1,011,423
General Motors Financial Co., Inc.
3.200%, 07/06/21............................. 2,800 2,856,617
3.450%, 01/14/22............................. 800 819,825
Gilead Sciences, Inc.
4.400%, 12/01/21............................. 2,005 2,162,571
Goldman Sachs Group, Inc. (The)
5.375%, 03/15/20............................. 500 535,190
2.625%, 04/25/21............................. 1,000 1,004,319
5.250%, 07/27/21............................. 750 821,097
5.750%, 01/24/22............................. 957 1,071,189
Graphic Packaging International, Inc.
4.750%, 04/15/21............................. 1,100 1,161,380
Great Plains Energy, Inc.
4.850%, 06/01/21............................. 915 972,091
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 168 167,062
## 2.550%, 06/09/22............................. 3,000 2,973,077
83
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Harris Corp.
2.700%, 04/27/20............................. 1,570 $1,586,093
Hartford Financial Services Group, Inc. (The)
5.125%, 04/15/22............................. 400 442,047
Hasbro, Inc.
3.150%, 05/15/21............................. 1,384 1,407,487
Hewlett Packard Enterprise Co.
3.600%, 10/15/20............................. 986 1,019,609
Home Depot, Inc. (The)
2.000%, 04/01/21............................. 1,444 1,440,895
HP, Inc.
4.300%, 06/01/21............................. 1,370 1,450,536
4.375%, 09/15/21............................. 800 849,058
4.650%, 12/09/21............................. 400 431,257
Huntington Bancshares, Inc.
3.150%, 03/14/21............................. 1,500 1,534,785
2.300%, 01/14/22............................. 400 394,919
Huntington National Bank (The)
2.400%, 04/01/20............................. 500 502,352
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 400 426,702
Integrys Holding, Inc.
4.170%, 11/01/20............................. 1,180 1,242,900
JB Hunt Transport Services, Inc.
2.400%, 03/15/19............................. 225 226,098
JM Smucker Co. (The)
2.500%, 03/15/20............................. 950 957,281
John Deere Capital Corp.
2.550%, 01/08/21............................. 1,496 1,515,357
JPMorgan Chase & Co.
2.550%, 10/29/20............................. 1,400 1,412,569
4.625%, 05/10/21............................. 500 537,627
2.750%, 08/24/22............................. EUR 1,868 2,425,415
Kellogg Co.
4.000%, 12/15/20............................. 1,300 1,367,660
KeyCorp
2.900%, 09/15/20............................. 700 713,194
Kohl's Corp.
# 4.000%, 11/01/21............................. 2,500 2,591,833
Kraft Heinz Foods Co.
3.500%, 06/06/22............................. 2,900 2,995,726
Kroger Co. (The)
3.300%, 01/15/21............................. 1,167 1,196,353
3.400%, 04/15/22............................. 975 1,002,043
L Brands, Inc.
5.625%, 02/15/22............................. 1,450 1,550,775
L3 Technologies, Inc.
4.750%, 07/15/20............................. 1,000 1,063,318
4.950%, 02/15/21............................. 164 175,712
Laboratory Corp. of America Holdings
3.200%, 02/01/22............................. 900 921,957
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Legg Mason, Inc.
2.700%, 07/15/19............................. 823 $ 832,050
Leidos Holdings, Inc.
4.450%, 12/01/20............................. 1,000 1,052,500
Lennar Corp.
4.125%, 01/15/22............................. 1,400 1,443,750
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 2,400 2,585,358
## 4.950%, 05/01/22............................. 497 542,732
Lincoln National Corp.
6.250%, 02/15/20............................. 300 326,267
4.850%, 06/24/21............................. 880 948,302
Lockheed Martin Corp.
2.500%, 11/23/20............................. 500 506,247
Lowe's Cos., Inc.
3.750%, 04/15/21............................. 2,000 2,099,046
Macy's Retail Holdings, Inc.
# 3.450%, 01/15/21............................. 1,500 1,504,172
Manufacturers & Traders Trust Co.
2.500%, 05/18/22............................. 2,300 2,302,462
Marathon Petroleum Corp.
3.400%, 12/15/20............................. 2,100 2,163,129
Marriott International, Inc.
2.875%, 03/01/21............................. 800 808,273
Marsh & McLennan Cos., Inc.
2.750%, 01/30/22............................. 2,260 2,280,319
Mattel, Inc.
2.350%, 05/06/19............................. 800 785,888
2.350%, 08/15/21............................. 1,900 1,752,750
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 200 201,083
McDonald's Corp.
2.750%, 12/09/20............................. 2,070 2,110,799
Mead Johnson Nutrition Co.
3.000%, 11/15/20............................. 1,830 1,870,491
Meritage Homes Corp.
7.150%, 04/15/20............................. 1,050 1,152,375
MetLife, Inc.
4.750%, 02/08/21............................. 1,441 1,553,359
MGM Resorts International
7.750%, 03/15/22............................. 1,500 1,742,325
Molson Coors Brewing Co.
2.100%, 07/15/21............................. 2,000 1,977,829
Mondelez International Holdings Netherlands BV
## 2.000%, 10/28/21............................. 3,000 2,943,495
Morgan Stanley
2.500%, 04/21/21............................. 1,000 1,001,746
5.500%, 07/28/21............................. 200 220,940
3.125%, 08/05/21............................. CAD 1,600 1,270,574
2.625%, 11/17/21............................. 1,500 1,501,929
Mosaic Co. (The)
3.750%, 11/15/21............................. 2,000 2,059,462
NetApp, Inc.
3.375%, 06/15/21............................. 2,000 2,050,605
84
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Newfield Exploration Co.
5.750%, 01/30/22............................. 1,200 $1,290,000
Newmont Mining Corp.
3.500%, 03/15/22............................. 1,000 1,032,684
NextEra Energy Capital Holdings, Inc.
4.500%, 06/01/21............................. 1,000 1,068,362
Noble Energy, Inc.
4.150%, 12/15/21............................. 1,676 1,767,781
Nordstrom, Inc.
4.750%, 05/01/20............................. 1,000 1,047,757
4.000%, 10/15/21............................. 1,000 1,030,278
NuStar Logistics L.P.
6.750%, 02/01/21............................. 1,083 1,175,055
NVIDIA Corp.
2.200%, 09/16/21............................. 993 990,862
Occidental Petroleum Corp.
4.100%, 02/01/21............................. 960 1,013,542
3.125%, 02/15/22............................. 476 490,754
Omnicom Group, Inc.
3.625%, 05/01/22............................. 1,400 1,459,740
ONEOK, Inc.
4.250%, 02/01/22............................. 1,066 1,108,853
Oracle Corp.
2.500%, 05/15/22............................. 2,250 2,267,874
Pacific Gas & Electric Co.
3.500%, 10/01/20............................. 500 516,279
4.250%, 05/15/21............................. 797 842,893
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.375%, 02/01/22............................. 2,104 2,157,017
Philip Morris International, Inc.
2.375%, 08/17/22............................. 2,291 2,272,652
2.500%, 08/22/22............................. 1,000 999,139
Phillips 66
4.300%, 04/01/22............................. 1,500 1,606,519
Plains All American Pipeline L.P. / PAA Finance
Corp.
6.500%, 05/01/18............................. 200 204,263
PNC Bank NA
2.550%, 12/09/21............................. 1,000 1,006,228
PNC Financial Services Group, Inc. (The)
4.375%, 08/11/20............................. 715 757,175
Priceline Group, Inc. (The)
0.800%, 03/10/22............................. EUR 2,900 3,439,274
Procter & Gamble Co. (The)
2.150%, 08/11/22............................. 1,500 1,493,292
Progress Energy, Inc.
4.400%, 01/15/21............................. 1,100 1,160,068
Prudential Financial, Inc.
4.500%, 11/15/20............................. 2,000 2,133,628
PulteGroup, Inc.
4.250%, 03/01/21............................. 1,000 1,041,250
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
QUALCOMM, Inc.
3.000%, 05/20/22............................. 1,145 $1,166,897
Quest Diagnostics, Inc.
2.700%, 04/01/19............................. 200 201,645
Radian Group, Inc.
7.000%, 03/15/21............................. 776 880,760
Regions Financial Corp.
3.200%, 02/08/21............................. 1,700 1,738,226
Republic Services, Inc.
3.550%, 06/01/22............................. 1,000 1,039,827
Reynolds American, Inc.
6.875%, 05/01/20............................. 500 555,418
Rockies Express Pipeline LLC
## 5.625%, 04/15/20............................. 1,100 1,166,000
Rockwell Collins, Inc.
2.800%, 03/15/22............................. 2,000 2,019,038
Roper Technologies, Inc.
3.000%, 12/15/20............................. 1,200 1,223,788
2.800%, 12/15/21............................. 1,000 1,009,514
Ryder System, Inc.
2.500%, 05/11/20............................. 1,250 1,258,588
3.450%, 11/15/21............................. 900 930,657
SCANA Corp.
6.250%, 04/01/20............................. 550 589,702
4.750%, 05/15/21............................. 1,000 1,040,203
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 575 580,323
2.800%, 06/15/20............................. 550 554,469
Sealed Air Corp.
## 6.500%, 12/01/20............................. 412 454,745
Southern Co. (The)
2.750%, 06/15/20............................. 250 253,648
Southern Power Co.
2.500%, 12/15/21............................. 898 893,817
Starbucks Corp.
2.100%, 02/04/21............................. 796 798,046
State Street Corp.
1.950%, 05/19/21............................. 500 496,183
Stryker Corp.
2.625%, 03/15/21............................. 2,086 2,105,414
SunTrust Bank
2.450%, 08/01/22............................. 1,500 1,493,226
SunTrust Banks, Inc.
2.900%, 03/03/21............................. 900 914,656
Symantec Corp.
4.200%, 09/15/20............................. 1,000 1,035,000
Sysco Corp.
2.600%, 10/01/20............................. 1,000 1,012,130
Target Corp.
2.900%, 01/15/22............................. 1,750 1,790,576
Thermo Fisher Scientific, Inc.
4.500%, 03/01/21............................. 1,600 1,708,562
Time Warner Cable, Inc.
5.000%, 02/01/20............................. 1,100 1,157,506
85
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Time Warner, Inc.
2.100%, 06/01/19............................. 105 $ 105,075
Toll Brothers Finance Corp.
5.875%, 02/15/22............................. 1,100 1,219,625
Total System Services, Inc.
3.800%, 04/01/21............................. 234 242,167
Travelers Cos., Inc. (The)
3.900%, 11/01/20............................. 1,000 1,049,118
TRI Pointe Group, Inc.
4.875%, 07/01/21............................. 1,100 1,152,250
Tupperware Brands Corp.
4.750%, 06/01/21............................. 1,700 1,801,844
Tyson Foods, Inc.
4.500%, 06/15/22............................. 1,000 1,078,395
U.S. Bancorp
2.350%, 01/29/21............................. 1,500 1,506,318
United Continental Holdings, Inc.
6.000%, 12/01/20............................. 1,000 1,085,000
United Parcel Service, Inc.
3.125%, 01/15/21............................. 1,285 1,328,027
UnitedHealth Group, Inc.
2.125%, 03/15/21............................. 1,200 1,199,805
2.875%, 12/15/21............................. 500 511,332
Unum Group
3.000%, 05/15/21............................. 1,000 1,011,332
US Bancorp
2.625%, 01/24/22............................. 1,000 1,012,279
Verizon Communications, Inc.
3.450%, 03/15/21............................. 2,000 2,077,558
3.500%, 11/01/21............................. 500 519,378
VF Corp.
3.500%, 09/01/21............................. 1,040 1,080,505
Viacom, Inc.
2.750%, 12/15/19............................. 598 601,258
Walgreen Co.
3.100%, 09/15/22............................. 500 506,743
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21............................. 1,000 1,026,634
Waste Management, Inc.
4.600%, 03/01/21............................. 1,288 1,378,958
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Wells Fargo & Co.
2.500%, 03/04/21............................. 2,000 $ 2,007,930
2.094%, 04/25/22............................. CAD 3,000 2,285,079
Western Gas Partners L.P.
2.600%, 08/15/18............................. 700 702,904
4.000%, 07/01/22............................. 800 825,600
Western Union Co. (The)
5.253%, 04/01/20............................. 1,000 1,069,464
Whirlpool Corp.
4.850%, 06/15/21............................. 436 469,550
Williams Cos., Inc. (The)
7.875%, 09/01/21............................. 1,000 1,175,000
Williams Partners L.P.
4.000%, 11/15/21............................. 1,848 1,932,155
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 250 253,754
WR Berkley Corp.
4.625%, 03/15/22............................. 975 1,046,389
WR Grace & Co.
## 5.125%, 10/01/21............................. 1,000 1,075,000
Wyndham Worldwide Corp.
4.250%, 03/01/22............................. 2,400 2,456,161
Xcel Energy, Inc.
2.400%, 03/15/21............................. 2,000 2,006,757
Xilinx, Inc.
3.000%, 03/15/21............................. 989 1,006,121
------------
TOTAL UNITED STATES................................ 321,573,706
------------
TOTAL BONDS........................................ 506,332,281
------------
TOTAL INVESTMENT SECURITIES........................ 506,332,281
------------
SHARES
- ------ -
SECURITIES LENDING COLLATERAL -- (1.4%)
(S)@ DFA Short Term Investment Fund............... 634,006 7,336,083
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $513,125,315).............................. $513,668,364
============
86
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
At October 31, 2017, DFA Targeted Credit Portfolio had entered into the
following forward currency contracts and the net unrealized foreign exchange
gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ -------------- ---------------------------- ---------- --------------
USD 1,334,548 CAD 1,687,828 Citibank, N.A. 11/14/17 $ 26,111
USD 13,752,770 CAD 17,187,618 Citibank, N.A. 11/14/17 428,595
USD 1,115,643 EUR 944,861 Citibank, N.A. 01/17/18 10,047
USD 1,176,626 EUR 989,537 Citibank, N.A. 01/17/18 18,755
USD 1,416,745 EUR 1,194,337 Citibank, N.A. 01/17/18 19,233
USD 40,244,612 EUR 34,083,651 State Street Bank and Trust 01/17/18 362,843
--------
TOTAL APPRECIATION $865,584
USD 2,437,699 EUR 2,092,213 Citibank, N.A. 01/17/18 $(10,429)
--------
TOTAL (DEPRECIATION) $(10,429)
--------
TOTAL APPRECIATION
(DEPRECIATION) $855,155
========
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...................... -- $ 11,058,278 -- $ 11,058,278
Belgium........................ -- 4,576,159 -- 4,576,159
Canada......................... -- 25,897,632 -- 25,897,632
Denmark........................ -- 3,235,677 -- 3,235,677
Finland........................ -- 1,158,639 -- 1,158,639
France......................... -- 19,547,895 -- 19,547,895
Germany........................ -- 20,181,009 -- 20,181,009
Ireland........................ -- 4,288,983 -- 4,288,983
Italy.......................... -- 6,665,861 -- 6,665,861
Japan.......................... -- 25,528,985 -- 25,528,985
Luxembourg..................... -- 1,320,687 -- 1,320,687
Netherlands.................... -- 12,982,077 -- 12,982,077
Spain.......................... -- 4,473,566 -- 4,473,566
Sweden......................... -- 1,308,598 -- 1,308,598
Switzerland.................... -- 5,233,640 -- 5,233,640
United Kingdom................. -- 37,300,889 -- 37,300,889
United States.................. -- 321,573,706 -- 321,573,706
Securities Lending Collateral... -- 7,336,083 -- 7,336,083
Forward Currency Contracts**.... -- 855,155 -- 855,155
-- ------------ -- ------------
TOTAL........................... -- $514,523,519 -- $514,523,519
== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
87
DFA INVESTMENT GRADE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (50.9%)
AUSTRALIA -- (1.9%)
ANZ New Zealand International Ltd.
## 3.450%, 07/17/27............................. 6,000 $ 6,082,020
Australia & New Zealand Banking Group, Ltd.
3.700%, 11/16/25............................. 6,110 6,491,557
BHP Billiton Finance USA, Ltd.
2.875%, 02/24/22............................. 1,090 1,113,539
Commonwealth Bank of Australia
2.300%, 09/06/19............................. 558 561,152
5.000%, 03/19/20............................. 793 844,614
# 2.400%, 11/02/20............................. 7,680 7,734,963
## 2.850%, 05/18/26............................. 23,050 22,523,054
Macquarie Bank, Ltd.
# ## 3.900%, 01/15/26............................. 25,000 26,055,572
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 1,849 1,859,528
3.375%, 01/14/26............................. 3,000 3,059,626
## 3.500%, 01/10/27............................. 30,350 31,123,672
Westpac Banking Corp.
4.875%, 11/19/19............................. 10,317 10,917,692
2.850%, 05/13/26............................. 9,037 8,851,036
2.700%, 08/19/26............................. 2,000 1,931,725
3.350%, 03/08/27............................. 27,586 27,990,466
------------
TOTAL AUSTRALIA.................................... 157,140,216
------------
AUSTRIA -- (0.0%)
Oesterreichische Kontrollbank AG
1.125%, 05/29/18............................. 1,964 1,959,913
------------
BELGIUM -- (0.2%)
Anheuser-Busch InBev Finance, Inc.
2.650%, 02/01/21............................. 5,000 5,061,065
2.625%, 01/17/23............................. 5,029 5,038,788
3.650%, 02/01/26............................. 3,000 3,095,139
Anheuser-Busch InBev Worldwide, Inc.
5.375%, 01/15/20............................. 317 340,050
4.375%, 02/15/21............................. 390 415,243
2.500%, 07/15/22............................. 3,335 3,337,080
------------
TOTAL BELGIUM...................................... 17,287,365
------------
CANADA -- (1.6%)
Alberta, Province of Canada
## 1.750%, 08/26/20............................. 10,000 9,901,435
Bank of Montreal
2.375%, 01/25/19............................. 32 32,195
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 1,162 $ 1,164,782
4.375%, 01/13/21............................. 3,237 3,445,976
British Columbia, Province of Canada
6.500%, 01/15/26............................. 8,011 10,008,915
Canadian Pacific Railway Co.
2.900%, 02/01/25............................. 3,059 3,056,780
3.700%, 02/01/26............................. 3,885 4,048,683
Enbridge, Inc.
4.000%, 10/01/23............................. 2,932 3,063,927
3.500%, 06/10/24............................. 1,295 1,317,546
Goldcorp, Inc.
3.625%, 06/09/21............................. 4,021 4,165,617
Petro-Canada
6.050%, 05/15/18............................. 589 602,566
Potash Corp. of Saskatchewan, Inc.
3.250%, 12/01/17............................. 169 169,187
3.625%, 03/15/24............................. 3,500 3,598,408
# 3.000%, 04/01/25............................. 3,500 3,434,202
Province of Manitoba Canada
2.050%, 11/30/20............................. 11,300 11,272,953
Province of Ontario Canada
1.650%, 09/27/19............................. 529 526,536
3.150%, 06/02/22............................. CAD 20,160 16,388,028
# 2.450%, 06/29/22............................. 1,101 1,106,682
Quebec, Province of Canada
2.625%, 02/13/23............................. 4,532 4,578,090
Rogers Communications, Inc.
3.000%, 03/15/23............................. 1,786 1,789,669
4.100%, 10/01/23............................. 1,263 1,341,640
Royal Bank of Canada
2.200%, 07/27/18............................. 1,152 1,156,855
2.350%, 10/30/20............................. 5,000 5,032,564
Suncor Energy, Inc.
3.600%, 12/01/24............................. 7,493 7,752,346
Thomson Reuters Corp.
4.300%, 11/23/23............................. 5,180 5,506,340
3.850%, 09/29/24............................. 670 696,043
Toronto-Dominion Bank (The)
2.125%, 07/02/19............................. 3,703 3,719,939
2.125%, 04/07/21............................. 14,150 14,083,397
1.994%, 03/23/22............................. CAD 5,000 3,838,268
TransCanada PipeLines, Ltd.
3.800%, 10/01/20............................. 1,295 1,347,746
2.500%, 08/01/22............................. 3,310 3,311,447
------------
TOTAL CANADA..................................... 131,458,762
------------
88
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
DENMARK -- (0.1%)
Danske Bank A.S.
## 2.750%, 09/17/20............................. 1,058 $ 1,069,702
## 2.800%, 03/10/21............................. 6,530 6,620,329
Kommunekredit
1.125%, 03/15/18............................. 982 980,672
-----------
TOTAL DENMARK...................................... 8,670,703
-----------
FINLAND -- (0.0%)
Municipality Finance P.L.C.
1.125%, 04/17/18............................. 2,456 2,451,383
-----------
FRANCE -- (0.9%)
Airbus SE
## 3.150%, 04/10/27............................. 7,500 7,597,614
Airgas, Inc.
3.050%, 08/01/20............................. 772 790,401
BNP Paribas SA
2.450%, 03/17/19............................. 949 956,695
3.250%, 03/03/23............................. 1,942 1,994,922
BPCE SA
# 2.250%, 01/27/20............................. 1,166 1,168,676
4.000%, 04/15/24............................. 10,914 11,587,176
Credit Agricole SA
## 2.750%, 06/10/20............................. 1,125 1,140,893
# 3.875%, 04/15/24............................. 8,591 9,095,816
Electricite de France SA
# ## 3.625%, 10/13/25............................. 3,500 3,603,005
Pernod Ricard SA
## 4.450%, 01/15/22............................. 6,474 6,953,298
# ## 3.250%, 06/08/26............................. 15,000 15,049,266
Total Capital International SA
2.125%, 01/10/19............................. 853 857,381
2.100%, 06/19/19............................. 3,252 3,269,760
3.750%, 04/10/24............................. 9,712 10,302,444
-----------
TOTAL FRANCE....................................... 74,367,347
-----------
GERMANY -- (1.0%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 5,364 5,392,011
Bayer U.S. Finance LLC
## 3.375%, 10/08/24............................. 12,544 12,799,401
BMW U.S. Capital LLC
## 2.800%, 04/11/26............................. 9,944 9,791,664
# ## 3.300%, 04/06/27............................. 5,000 5,072,149
Daimler Finance North America LLC
## 3.250%, 08/01/24............................. 2,072 2,102,939
8.500%, 01/18/31............................. 9,000 13,448,113
Deutsche Bank AG
2.500%, 02/13/19............................. 2,445 2,456,220
2.500%, 02/13/19............................. 1,058 1,062,934
2.950%, 08/20/20............................. 138 139,322
3.125%, 01/13/21............................. 2,000 2,018,686
3.700%, 05/30/24............................. 9,754 9,897,631
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (Continued)
EMD Finance LLC
## 2.950%, 03/19/22............................. 5,180 $ 5,258,208
FMS Wertmanagement AoeR
1.000%, 11/21/17............................. 2,456 2,455,601
Kreditanstalt fuer Wiederaufbau
1.875%, 04/01/19............................. 741 742,860
NRW Bank
1.875%, 07/01/19............................. 2,116 2,117,181
Siemens Financieringsmaatschappij NV
## 6.125%, 08/17/26............................. 3,821 4,708,449
Volkswagen Group of America Finance LLC
## 2.125%, 05/23/19............................. 879 878,457
## 2.400%, 05/22/20............................. 699 701,173
-----------
TOTAL GERMANY.................................... 81,042,999
-----------
IRELAND -- (0.5%)
Actavis, Inc.
3.250%, 10/01/22............................. 7,650 7,773,384
Allergan Funding SCS
3.450%, 03/15/22............................. 13,031 13,391,416
3.800%, 03/15/25............................. 2,500 2,558,759
Eaton Corp.
2.750%, 11/02/22............................. 5,769 5,797,558
Johnson Controls International P.L.C.
3.625%, 07/02/24............................. 994 1,032,793
Medtronic, Inc.
# 3.125%, 03/15/22............................. 3,156 3,252,659
3.500%, 03/15/25............................. 2,000 2,076,683
Perrigo Finance Unlimited Co.
3.500%, 03/15/21............................. 843 861,581
3.500%, 12/15/21............................. 1,594 1,632,310
3.900%, 12/15/24............................. 3,885 3,972,633
-----------
TOTAL IRELAND.................................... 42,349,776
-----------
ITALY -- (0.1%)
Intesa Sanpaolo SpA
3.875%, 01/16/18............................. 213 213,861
5.250%, 01/12/24............................. 7,664 8,437,189
## 3.875%, 07/14/27............................. 3,300 3,317,678
-----------
TOTAL ITALY...................................... 11,968,728
-----------
JAPAN -- (1.2%)
American Honda Finance Corp.
2.300%, 09/09/26............................. 11,240 10,650,989
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
3.250%, 09/08/24............................. 3,237 3,291,210
89
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
JAPAN -- (Continued)
Beam Suntory, Inc.
1.750%, 06/15/18............................. 1,964 $ 1,959,569
3.250%, 06/15/23............................. 4,030 4,092,470
Japan Bank for International Cooperation
1.750%, 07/31/18............................. 491 490,917
Japan Finance Organization for Municipalities
2.500%, 09/12/18............................. 814 816,183
2.125%, 03/06/19............................. 528 527,526
Mitsubishi UFJ Financial Group, Inc.
3.677%, 02/22/27............................. 3,000 3,096,585
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 7,700 7,704,901
MUFG Americas Holdings Corp.
3.500%, 06/18/22............................. 5,536 5,722,229
Nissan Motor Acceptance Corp.
## 2.125%, 03/03/20............................. 1,700 1,699,957
Nomura Holdings, Inc.
6.700%, 03/04/20............................. 1,410 1,546,490
Sumitomo Mitsui Banking Corp.
3.950%, 07/19/23............................. 5,931 6,253,051
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21............................. 2,000 2,034,360
2.058%, 07/14/21............................. 5,000 4,920,244
3.784%, 03/09/26............................. 5,000 5,179,874
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 5,000 3,831,874
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 902 905,460
3.300%, 01/12/22............................. 2,635 2,740,125
# 2.625%, 01/10/23............................. 6,474 6,548,359
3.200%, 01/11/27............................. 27,291 27,843,325
------------
TOTAL JAPAN........................................ 101,855,698
------------
NETHERLANDS -- (2.0%)
Ahold Finance USA LLC
6.875%, 05/01/29............................. 712 874,934
Bank Nederlandse Gemeenten NV
2.500%, 01/23/23............................. 6,474 6,521,862
Cooperatieve Rabobank UA
3.875%, 02/08/22............................. 7,173 7,612,674
3.375%, 05/21/25............................. 17,022 17,534,589
Heineken NV
## 2.750%, 04/01/23............................. 2,245 2,267,862
ING Bank NV
# ## 2.050%, 08/15/21............................. 5,000 4,929,350
ING Groep NV
3.950%, 03/29/27............................. 10,000 10,468,167
FACE
AMOUNT^ VALUE+
------- ------
(000)
NETHERLANDS -- (Continued)
Koninklijke Philips NV
3.750%, 03/15/22............................. 1,503 $ 1,580,633
LYB International Finance II BV
3.500%, 03/02/27............................. 3,049 3,046,791
LyondellBasell Industries NV
5.750%, 04/15/24............................. 5,827 6,674,990
Mylan NV
# 3.950%, 06/15/26............................. 15,000 14,981,303
Mylan, Inc.
4.200%, 11/29/23............................. 4,532 4,764,796
Nederlandse Waterschapsbank NV
1.875%, 03/13/19............................. 1,348 1,349,831
Shell International Finance BV
# 2.500%, 09/12/26............................. 11,300 10,910,773
Shell International Finance BV
# 2.250%, 11/10/20............................. 5,100 5,135,802
3.400%, 08/12/23............................. 10,682 11,238,495
3.250%, 05/11/25............................. 28,903 29,733,996
# 2.875%, 05/10/26............................. 30,158 29,991,523
------------
TOTAL NETHERLANDS................................ 169,618,371
------------
NORWAY -- (0.2%)
Kommunalbanken A.S.
1.750%, 05/28/19............................. 2,116 2,115,141
Statoil ASA
1.150%, 05/15/18............................. 1,382 1,379,153
2.450%, 01/17/23............................. 8,794 8,807,446
2.650%, 01/15/24............................. 7,031 6,998,674
------------
TOTAL NORWAY..................................... 19,300,414
------------
SPAIN -- (0.5%)
Iberdrola Finance Ireland, Ltd.
## 5.000%, 09/11/19............................. 788 828,068
Santander Holdings USA, Inc.
4.500%, 07/17/25............................. 17,796 18,555,840
Santander UK P.L.C.
2.500%, 03/14/19............................. 1,375 1,385,136
2.375%, 03/16/20............................. 334 336,685
4.000%, 03/13/24............................. 8,891 9,407,685
Telefonica Emisiones SAU
5.462%, 02/16/21............................. 1,218 1,331,455
4.570%, 04/27/23............................. 7,532 8,174,128
------------
TOTAL SPAIN...................................... 40,018,997
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.2%)
Asian Development Bank
1.750%, 09/11/18............................. 877 878,342
1.875%, 04/12/19............................. 2,116 2,121,662
90
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
European Investment Bank
1.875%, 03/15/19............................. 529 $ 530,497
3.250%, 01/29/24............................. 3,237 3,407,996
Inter-American Development Bank
0.875%, 03/15/18............................. 982 980,039
3.000%, 02/21/24............................. 1,750 1,822,515
7.000%, 06/15/25............................. 3,885 4,989,665
6.750%, 07/15/27............................. 1,942 2,558,029
International Finance Corp.
0.875%, 06/15/18............................. 295 293,911
Nordic Investment Bank
1.875%, 06/14/19............................. 529 530,391
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 18,113,047
-----------
SWEDEN -- (0.7%)
Kommuninvest I Sverige AB
2.000%, 11/12/19............................. 529 530,742
0.250%, 06/01/22............................. SEK 160,000 18,914,618
Nordea Bank AB
1.625%, 05/15/18............................. 227 227,046
Svensk Exportkredit AB
1.875%, 06/17/19............................. 1,164 1,165,362
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 578 582,500
Sweden Government Bond
3.500%, 06/01/22............................. SEK 287,000 40,017,433
-----------
TOTAL SWEDEN..................................... 61,437,701
-----------
SWITZERLAND -- (1.0%)
ABB Finance USA, Inc.
2.875%, 05/08/22............................. 3,929 4,003,656
Chubb INA Holdings, Inc.
2.700%, 03/13/23............................. 3,000 3,012,745
Chubb INA Holdings, Inc.
2.875%, 11/03/22............................. 2,040 2,073,066
3.350%, 05/15/24............................. 5,180 5,356,096
Credit Suisse AG
2.300%, 05/28/19............................. 162 162,852
3.000%, 10/29/21............................. 3,011 3,076,280
3.625%, 09/09/24............................. 16,929 17,624,542
Novartis Capital Corp.
3.400%, 05/06/24............................. 6,151 6,448,976
3.100%, 05/17/27............................. 11,111 11,301,965
Roche Holdings, Inc.
## 2.375%, 01/28/27............................. 14,000 13,298,173
UBS AG
2.375%, 08/14/19............................. 148 148,938
UBS Group Funding Switzerland AG
## 4.125%, 09/24/25............................. 15,190 16,019,772
-----------
TOTAL SWITZERLAND................................ 82,527,061
-----------
FACE
AMOUNT^ VALUE+
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(000)
UNITED KINGDOM -- (1.9%)
Anglo American Capital P.L.C.
## 4.750%, 04/10/27............................. 3,275 $ 3,461,754
## 4.000%, 09/11/27............................. 8,200 8,199,728
Aon Corp.
5.000%, 09/30/20............................. 819 880,942
Aon P.L.C.
4.000%, 11/27/23............................. 4,047 4,295,317
3.500%, 06/14/24............................. 9,254 9,542,451
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 6,950 6,978,426
3.375%, 11/16/25............................. 7,571 7,704,794
BAE Systems Holdings, Inc.
## 2.850%, 12/15/20............................. 1,253 1,266,329
Barclays P.L.C.
2.750%, 11/08/19............................. 626 631,966
3.650%, 03/16/25............................. 14,330 14,383,895
4.375%, 01/12/26............................. 9,970 10,446,646
Baxalta, Inc.
2.875%, 06/23/20............................. 476 482,812
BP Capital Markets P.L.C.
4.750%, 03/10/19............................. 106 110,117
3.245%, 05/06/22............................. 2,881 2,980,881
3.535%, 11/04/24............................. 2,266 2,360,470
3.119%, 05/04/26............................. 3,000 3,024,558
3.017%, 01/16/27............................. 11,000 10,881,707
Diageo Investment Corp.
2.875%, 05/11/22............................. 133 136,309
GlaxoSmithKline Capital, Inc.
2.800%, 03/18/23............................. 5,450 5,530,631
HSBC Holdings P.L.C.
3.400%, 03/08/21............................. 6,000 6,191,156
4.000%, 03/30/22............................. 5,068 5,355,806
HSBC USA, Inc.
2.375%, 11/13/19............................. 317 319,328
3.500%, 06/23/24............................. 12,740 13,153,759
Lloyds Banking Group P.L.C.
3.750%, 01/11/27............................. 4,750 4,822,019
Nationwide Building Society
## 3.900%, 07/21/25............................. 2,000 2,100,579
Rio Tinto Finance USA P.L.C.
2.875%, 08/21/22............................. 67 67,982
Rolls-Royce P.L.C.
## 3.625%, 10/14/25............................. 5,000 5,186,473
Standard Chartered P.L.C.
## 4.050%, 04/12/26............................. 847 870,701
TechnipFMC P.L.C.
## 3.450%, 10/01/22............................. 4,284 4,301,136
Vodafone Group P.L.C.
5.450%, 06/10/19............................. 83 87,478
# 4.375%, 03/16/21............................. 913 973,685
2.500%, 09/26/22............................. 9,769 9,743,233
7.875%, 02/15/30............................. 6,684 9,143,031
------------
TOTAL UNITED KINGDOM............................. 155,616,099
------------
91
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (36.9%)
21st Century Fox America, Inc.
3.700%, 09/15/24............................. $14,532 $15,135,285
3M Co.
2.875%, 10/15/27............................. 9,558 9,556,184
Abbott Laboratories
2.000%, 03/15/20............................. 7,296 7,272,820
2.800%, 09/15/20............................. 132 134,019
3.250%, 04/15/23............................. 3,237 3,306,529
2.950%, 03/15/25............................. 12,615 12,447,828
AbbVie, Inc.
2.500%, 05/14/20............................. 367 369,911
2.900%, 11/06/22............................. 2,833 2,862,415
3.600%, 05/14/25............................. 10,000 10,278,931
Activision Blizzard, Inc.
3.400%, 06/15/27............................. 4,500 4,508,035
Adobe Systems, Inc.
3.250%, 02/01/25............................. 1,942 1,990,712
Advance Auto Parts, Inc.
4.500%, 12/01/23............................. 1,200 1,255,763
Aetna, Inc.
2.200%, 03/15/19............................. 343 344,013
2.750%, 11/15/22............................. 8,417 8,392,089
3.500%, 11/15/24............................. 5,422 5,528,081
Affiliated Managers Group, Inc.
3.500%, 08/01/25............................. 2,590 2,610,575
Aflac, Inc.
2.400%, 03/16/20............................. 1,100 1,108,643
3.250%, 03/17/25............................. 11,136 11,347,957
Agilent Technologies, Inc.
6.500%, 11/01/17............................. 208 208,000
5.000%, 07/15/20............................. 17 18,196
Air Products & Chemicals, Inc.
2.750%, 02/03/23............................. 987 1,003,126
Alabama Power Co.
2.800%, 04/01/25............................. 2,590 2,554,744
Albemarle Corp.
4.150%, 12/01/24............................. 7,451 7,951,014
Allstate Corp. (The)
3.150%, 06/15/23............................. 5,132 5,250,271
Alphabet, Inc.
3.375%, 02/25/24............................. 4,547 4,769,395
1.998%, 08/15/26............................. 7,471 7,022,773
Altria Group, Inc.
4.750%, 05/05/21............................. 210 227,805
2.850%, 08/09/22............................. 3,996 4,048,844
Amazon.com, Inc.
3.800%, 12/05/24............................. 4,921 5,241,378
Ameren Corp.
2.700%, 11/15/20............................. 1,000 1,010,112
American Express Credit Corp.
2.250%, 05/05/21............................. 150 150,104
3.300%, 05/03/27............................. 11,300 11,423,531
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
American International Group, Inc.
3.300%, 03/01/21............................. 1,500 $ 1,544,041
4.875%, 06/01/22............................. 1,942 2,126,004
4.125%, 02/15/24............................. 10,187 10,834,756
# 3.750%, 07/10/25............................. 8,240 8,518,736
3.900%, 04/01/26............................. 4,000 4,145,284
American Water Capital Corp.
3.850%, 03/01/24............................. 2,140 2,263,905
Ameriprise Financial, Inc.
5.300%, 03/15/20............................. 129 138,123
4.000%, 10/15/23............................. 3,765 4,021,376
# 2.875%, 09/15/26............................. 5,650 5,520,014
AmerisourceBergen Corp.
3.400%, 05/15/24............................. 1,237 1,264,099
Amgen, Inc.
4.100%, 06/15/21............................. 7,075 7,449,111
3.625%, 05/22/24............................. 6,474 6,762,891
3.125%, 05/01/25............................. 3,237 3,255,393
2.600%, 08/19/26............................. 2,400 2,296,014
Amphenol Corp.
2.550%, 01/30/19............................. 54 54,400
Analog Devices, Inc.
3.900%, 12/15/25............................. 3,000 3,151,022
3.500%, 12/05/26............................. 2,000 2,029,388
Anthem, Inc.
# 3.125%, 05/15/22............................. 2,202 2,242,794
Anthem, Inc.
4.350%, 08/15/20............................. 1,100 1,161,144
3.500%, 08/15/24............................. 5,044 5,170,443
Apache Corp.
3.250%, 04/15/22............................. 8,237 8,364,222
Apple, Inc.
2.250%, 02/23/21............................. 5,000 5,025,086
2.400%, 05/03/23............................. 28,903 28,839,539
3.450%, 05/06/24............................. 19,686 20,537,629
2.500%, 02/09/25............................. 4,613 4,543,290
3.250%, 02/23/26............................. 20,175 20,622,998
2.450%, 08/04/26............................. 17,290 16,710,508
3.350%, 02/09/27............................. 34,000 34,891,070
3.000%, 06/20/27............................. 5,500 5,498,286
Applied Materials, Inc.
4.300%, 06/15/21............................. 647 692,588
3.300%, 04/01/27............................. 5,144 5,260,291
Archer-Daniels-Midland Co.
2.500%, 08/11/26............................. 5,000 4,780,831
Arizona Public Service Co.
8.750%, 03/01/19............................. 212 230,293
3.150%, 05/15/25............................. 6,151 6,179,999
Arrow Electronics, Inc.
3.875%, 01/12/28............................. 3,930 3,971,324
Associated Banc-Corp
2.750%, 11/15/19............................. 53 53,564
Assurant, Inc.
2.500%, 03/15/18............................. 982 985,360
4.000%, 03/15/23............................. 6,474 6,685,726
92
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
AT&T, Inc.
5.500%, 02/01/18............................. 698 $ 704,619
3.000%, 02/15/22............................. 6,399 6,471,857
3.800%, 03/15/22............................. 5,115 5,384,637
3.950%, 01/15/25............................. 10,000 10,266,238
3.400%, 05/15/25............................. 21,870 21,619,600
Autodesk, Inc.
3.125%, 06/15/20............................. 2,698 2,753,781
4.375%, 06/15/25............................. 3,050 3,257,282
3.500%, 06/15/27............................. 3,125 3,114,806
Automatic Data Processing, Inc.
3.375%, 09/15/25............................. 12,500 12,879,543
AutoZone, Inc.
2.875%, 01/15/23............................. 12,128 12,161,098
3.125%, 07/15/23............................. 1,285 1,301,743
3.250%, 04/15/25............................. 6,275 6,306,546
3.125%, 04/21/26............................. 1,000 974,378
Avnet, Inc.
# 4.625%, 04/15/26............................. 5,625 5,866,170
Baker Hughes a GE Co. LLC
3.200%, 08/15/21............................. 185 190,540
Baltimore Gas & Electric Co.
2.800%, 08/15/22............................. 3,256 3,295,618
2.400%, 08/15/26............................. 700 665,038
Bank of America Corp.
5.625%, 07/01/20............................. 3,000 3,254,808
3.300%, 01/11/23............................. 4,532 4,641,671
# 4.000%, 04/01/24............................. 11,457 12,138,331
3.875%, 08/01/25............................. 9,850 10,328,282
Bank of New York Mellon Corp. (The)
5.450%, 05/15/19............................. 391 411,726
3.650%, 02/04/24............................. 10,647 11,201,513
3.000%, 02/24/25............................. 2,590 2,607,225
2.800%, 05/04/26............................. 5,500 5,398,667
Baxter International, Inc.
# 1.700%, 08/15/21............................. 2,000 1,950,168
2.600%, 08/15/26............................. 4,250 4,065,425
BB&T Corp.
1.450%, 01/12/18............................. 194 194,001
Becton Dickinson and Co.
3.734%, 12/15/24............................. 1,156 1,187,976
Bed Bath & Beyond, Inc.
# 3.749%, 08/01/24............................. 614 609,601
Bemis Co., Inc.
4.500%, 10/15/21............................. 647 687,782
Berkshire Hathaway Energy Co.
2.400%, 02/01/20............................. 320 322,361
Berkshire Hathaway Finance Corp.
1.300%, 05/15/18............................. 157 156,905
3.000%, 05/15/22............................. 987 1,017,717
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Berkshire Hathaway, Inc.
2.200%, 03/15/21............................. 1,946 $ 1,954,179
3.750%, 08/15/21............................. 2,590 2,738,021
3.400%, 01/31/22............................. 3,237 3,404,103
3.000%, 02/11/23............................. 4,532 4,661,166
3.125%, 03/15/26............................. 31,765 32,153,684
Biogen, Inc.
2.900%, 09/15/20............................. 14,850 15,158,125
BlackRock, Inc.
5.000%, 12/10/19............................. 407 433,060
4.250%, 05/24/21............................. 2,000 2,134,252
3.200%, 03/15/27............................. 8,000 8,106,529
Boeing Co. (The)
8.750%, 08/15/21............................. 988 1,216,272
2.500%, 03/01/25............................. 6,474 6,376,629
2.600%, 10/30/25............................. 3,610 3,600,680
Boston Scientific Corp.
4.125%, 10/01/23............................. 1,489 1,579,103
Bristol-Myers Squibb Co.
2.000%, 08/01/22............................. 6,823 6,744,516
Brown & Brown, Inc.
# 4.200%, 09/15/24............................. 4,714 4,954,304
Buckeye Partners L.P.
4.150%, 07/01/23............................. 1,942 2,010,888
3.950%, 12/01/26............................. 7,500 7,495,536
Burlington Northern Santa Fe LLC
3.000%, 04/01/25............................. 4,329 4,380,753
7.000%, 12/15/25............................. 868 1,105,910
CA, Inc.
4.700%, 03/15/27............................. 17,707 18,677,424
Campbell Soup Co.
4.250%, 04/15/21............................. 1,036 1,097,336
2.500%, 08/02/22............................. 1,962 1,959,471
3.300%, 03/19/25............................. 4,092 4,136,807
Capital One Bank USA NA
2.300%, 06/05/19............................. 529 529,954
Capital One Financial Corp.
2.450%, 04/24/19............................. 656 659,521
4.750%, 07/15/21............................. 1,979 2,132,841
3.750%, 04/24/24............................. 4,661 4,830,026
Cardinal Health, Inc.
4.625%, 12/15/20............................. 647 688,628
3.200%, 06/15/22............................. 3,885 3,939,439
3.410%, 06/15/27............................. 5,785 5,721,014
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 749 754,341
Caterpillar, Inc.
# 2.600%, 06/26/22............................. 2,561 2,577,902
3.400%, 05/15/24............................. 1,844 1,928,253
CBS Corp.
5.750%, 04/15/20............................. 159 172,499
3.375%, 03/01/22............................. 2,303 2,368,701
3.500%, 01/15/25............................. 2,392 2,428,308
2.900%, 01/15/27............................. 23,330 22,044,934
7.875%, 07/30/30............................. 1,150 1,576,650
93
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Celgene Corp.
4.000%, 08/15/23............................. 8,333 $ 8,872,221
3.625%, 05/15/24............................. 4,485 4,626,329
CenterPoint Energy Resources Corp.
6.125%, 11/01/17............................. 54 54,000
4.500%, 01/15/21............................. 1,567 1,649,868
Charles Schwab Corp. (The)
3.000%, 03/10/25............................. 8,611 8,645,275
Chevron Corp.
1.718%, 06/24/18............................. 391 391,219
2.355%, 12/05/22............................. 6,474 6,462,498
3.191%, 06/24/23............................. 15,950 16,522,391
2.954%, 05/16/26............................. 11,489 11,522,016
Cigna Corp.
# 4.000%, 02/15/22............................. 1,402 1,478,491
Cisco Systems, Inc.
1.400%, 02/28/18............................. 800 799,953
3.625%, 03/04/24............................. 1,942 2,061,166
Citigroup, Inc.
2.550%, 04/08/19............................. 1,058 1,067,003
4.500%, 01/14/22............................. 1,489 1,597,003
3.875%, 10/25/23............................. 2,876 3,008,743
3.750%, 06/16/24............................. 2,590 2,695,186
3.300%, 04/27/25............................. 7,769 7,865,051
Citizens Bank NA
2.450%, 12/04/19............................. 442 444,677
Clorox Co. (The)
3.500%, 12/15/24............................. 3,237 3,356,579
CME Group, Inc.
3.000%, 03/15/25............................. 2,866 2,917,765
CMS Energy Corp.
3.875%, 03/01/24............................. 1,745 1,834,290
3.600%, 11/15/25............................. 3,200 3,275,836
3.000%, 05/15/26............................. 5,000 4,922,640
CNA Financial Corp.
5.750%, 08/15/21............................. 4,233 4,684,616
4.500%, 03/01/26............................. 6,532 7,010,544
Coca-Cola Co. (The)
1.875%, 10/27/20............................. 18,650 18,614,997
3.300%, 09/01/21............................. 1,716 1,792,824
3.200%, 11/01/23............................. 21,789 22,726,124
2.250%, 09/01/26............................. 12,750 12,142,432
2.900%, 05/25/27............................. 23,810 23,890,081
Colgate-Palmolive Co.
1.950%, 02/01/23............................. 7,007 6,867,034
Comcast Cable Communications Holdings, Inc.
9.455%, 11/15/22............................. 2,991 3,968,943
Comcast Corp.
6.300%, 11/15/17............................. 393 393,692
3.600%, 03/01/24............................. 4,375 4,583,097
3.375%, 08/15/25............................. 4,266 4,375,968
3.150%, 03/01/26............................. 5,800 5,838,365
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Conagra Brands, Inc.
3.200%, 01/25/23............................. 4,697 $ 4,793,868
ConocoPhillips Co.
2.400%, 12/15/22............................. 1,942 1,926,406
3.350%, 11/15/24............................. 4,532 4,695,613
# 4.950%, 03/15/26............................. 15,000 17,036,730
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24............................. 1,295 1,332,774
Corning, Inc.
3.700%, 11/15/23............................. 2,742 2,847,613
Cox Communications, Inc.
## 3.250%, 12/15/22............................. 2,250 2,278,648
# ## 3.850%, 02/01/25............................. 6,869 7,040,640
CSX Corp.
4.250%, 06/01/21............................. 757 801,821
CVS Health Corp.
2.800%, 07/20/20............................. 1,935 1,957,593
2.125%, 06/01/21............................. 1,300 1,280,670
3.375%, 08/12/24............................. 15,031 15,160,069
3.875%, 07/20/25............................. 8,998 9,236,177
Danaher Corp.
3.350%, 09/15/25............................. 1,500 1,556,657
Deere & Co.
5.375%, 10/16/29............................. 472 575,645
Discovery Communications LLC
3.300%, 05/15/22............................. 1,424 1,448,270
3.250%, 04/01/23............................. 647 653,268
3.450%, 03/15/25............................. 5,737 5,661,018
Dollar General Corp.
3.250%, 04/15/23............................. 6,812 6,988,579
# 4.150%, 11/01/25............................. 1,117 1,191,114
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20............................. 7,500 7,604,585
3.600%, 12/15/24............................. 3,237 3,330,337
Dominion Energy, Inc.
2.500%, 12/01/19............................. 932 938,276
# 3.625%, 12/01/24............................. 1,295 1,340,005
3.900%, 10/01/25............................. 10,130 10,603,372
Dow Chemical Co. (The)
3.000%, 11/15/22............................. 2,725 2,776,040
3.500%, 10/01/24............................. 7,539 7,788,726
Dr Pepper Snapple Group, Inc.
3.400%, 11/15/25............................. 1,750 1,773,076
Dr. Pepper Snapple Group, Inc.
2.000%, 01/15/20............................. 88 87,569
DTE Energy Co.
2.400%, 12/01/19............................. 2,170 2,178,277
3.850%, 12/01/23............................. 971 1,017,156
Duke Energy Corp.
5.050%, 09/15/19............................. 69 72,833
3.050%, 08/15/22............................. 11,375 11,587,062
3.750%, 04/15/24............................. 5,772 6,034,587
94
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
DXC Technology Co.
4.450%, 09/18/22............................. 3,237 $ 3,422,303
Eastman Chemical Co.
2.700%, 01/15/20............................. 444 449,045
4.500%, 01/15/21............................. 88 92,819
3.600%, 08/15/22............................. 300 311,805
3.800%, 03/15/25............................. 4,383 4,566,757
eBay, Inc.
3.800%, 03/09/22............................. 7,500 7,849,212
2.600%, 07/15/22............................. 2,719 2,713,975
3.600%, 06/05/27............................. 10,000 10,009,690
Ecolab, Inc.
4.350%, 12/08/21............................. 1,200 1,291,834
EI du Pont de Nemours & Co.
4.625%, 01/15/20............................. 152 161,334
Emerson Electric Co.
3.150%, 06/01/25............................. 5,374 5,452,567
Energy Transfer L.P.
4.750%, 01/15/26............................. 5,800 6,103,719
Enterprise Products Operating LLC
5.250%, 01/31/20............................. 212 225,986
5.200%, 09/01/20............................. 486 525,259
3.900%, 02/15/24............................. 2,104 2,214,065
3.750%, 02/15/25............................. 2,000 2,083,338
3.700%, 02/15/26............................. 5,338 5,507,023
EOG Resources, Inc.
4.100%, 02/01/21............................. 1,742 1,841,188
2.625%, 03/15/23............................. 3,800 3,773,512
3.150%, 04/01/25............................. 6,797 6,793,525
ERAC USA Finance LLC
## 3.850%, 11/15/24............................. 6,667 6,922,372
Eversource Energy
2.500%, 03/15/21............................. 500 501,405
2.800%, 05/01/23............................. 4,798 4,815,959
Exelon Corp.
2.450%, 04/15/21............................. 1,307 1,307,676
3.950%, 06/15/25............................. 2,350 2,458,709
3.400%, 04/15/26............................. 19,465 19,598,330
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 836 848,808
Express Scripts Holding Co.
3.900%, 02/15/22............................. 4,823 5,047,753
3.500%, 06/15/24............................. 8,439 8,541,601
3.400%, 03/01/27............................. 15,094 14,824,846
Exxon Mobil Corp.
3.176%, 03/15/24............................. 33,308 34,628,856
# 3.043%, 03/01/26............................. 5,000 5,107,370
FedEx Corp.
# 2.625%, 08/01/22............................. 4,408 4,460,021
4.000%, 01/15/24............................. 8,590 9,202,651
3.200%, 02/01/25............................. 3,788 3,866,374
Fidelity National Information Services, Inc.
2.250%, 08/15/21............................. 3,900 3,870,329
5.000%, 10/15/25............................. 3,050 3,396,312
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Fifth Third Bancorp
3.500%, 03/15/22............................. 2,056 $ 2,130,336
Ford Motor Credit Co. LLC
2.459%, 03/27/20............................. 635 637,501
3.200%, 01/15/21............................. 1,200 1,226,994
3.219%, 01/09/22............................. 8,750 8,880,818
4.375%, 08/06/23............................. 8,417 8,911,960
3.664%, 09/08/24............................. 4,875 4,937,692
GATX Corp.
2.500%, 03/15/19............................. 547 549,470
3.250%, 03/30/25............................. 5,180 5,144,325
# 3.250%, 09/15/26............................. 2,800 2,756,029
General Dynamics Corp.
1.000%, 11/15/17............................. 439 438,915
2.250%, 11/15/22............................. 4,856 4,836,094
2.125%, 08/15/26............................. 7,425 6,962,331
General Electric Co.
0.375%, 05/17/22............................. EUR 11,681 13,698,737
3.375%, 03/11/24............................. 3,237 3,370,085
6.750%, 03/15/32............................. 19,132 26,426,597
General Mills, Inc.
3.150%, 12/15/21............................. 757 777,307
General Motors Financial Co., Inc.
5.250%, 03/01/26............................. 18,034 19,699,761
4.350%, 01/17/27............................. 5,000 5,142,874
Georgia Power Co.
2.850%, 05/15/22............................. 1,851 1,875,336
3.250%, 03/30/27............................. 13,370 13,416,969
Gilead Sciences, Inc.
2.050%, 04/01/19............................. 177 177,605
4.400%, 12/01/21............................. 1,431 1,543,461
3.700%, 04/01/24............................. 10,736 11,300,648
3.650%, 03/01/26............................. 4,900 5,099,982
Goldman Sachs Group, Inc. (The)
6.000%, 06/15/20............................. 42 45,917
5.250%, 07/27/21............................. 2,266 2,480,807
4.000%, 03/03/24............................. 21,654 22,841,570
3.750%, 05/22/25............................. 7,500 7,729,727
Great Plains Energy, Inc.
4.850%, 06/01/21............................. 2,495 2,650,675
Halliburton Co.
3.500%, 08/01/23............................. 6,474 6,723,288
# 3.800%, 11/15/25............................. 2,470 2,563,753
Harley Davidson, Inc.
3.500%, 07/28/25............................. 3,635 3,746,151
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 1,189 1,182,364
Harris Corp.
2.700%, 04/27/20............................. 503 508,156
Hartford Financial Services Group, Inc. (The)
5.125%, 04/15/22............................. 6,816 7,532,487
95
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Hewlett Packard Enterprise Co.
4.900%, 10/15/25............................. 3,000 $ 3,189,556
Home Depot, Inc. (The)
2.700%, 04/01/23............................. 1,295 1,313,828
3.350%, 09/15/25............................. 3,685 3,810,040
Honeywell International, Inc.
2.500%, 11/01/26............................. 8,800 8,424,728
Hormel Foods Corp.
4.125%, 04/15/21............................. 1,496 1,587,225
HP, Inc.
4.375%, 09/15/21............................. 12,625 13,399,197
Humana, Inc.
3.850%, 10/01/24............................. 7,916 8,233,514
Huntington Bancshares, Inc.
3.150%, 03/14/21............................. 1,600 1,637,103
2.300%, 01/14/22............................. 3,330 3,287,699
Hyatt Hotels Corp.
3.375%, 07/15/23............................. 1,959 2,004,956
Illinois Tool Works, Inc.
1.950%, 03/01/19............................. 314 314,682
3.500%, 03/01/24............................. 6,474 6,811,426
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 264 281,624
Intel Corp.
2.450%, 07/29/20............................. 494 501,136
2.700%, 12/15/22............................. 1,942 1,976,435
International Business Machines Corp.
2.250%, 02/19/21............................. 20,000 20,120,126
3.375%, 08/01/23............................. 4,409 4,592,041
3.625%, 02/12/24............................. 9,712 10,234,913
# 3.300%, 01/27/27............................. 26,460 26,977,256
International Paper Co.
3.650%, 06/15/24............................. 7,942 8,288,186
3.800%, 01/15/26............................. 1,062 1,106,998
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24............................. 3,949 4,140,188
ITC Holdings Corp.
3.650%, 06/15/24............................. 9,827 10,126,579
Janus Capital Group, Inc.
4.875%, 08/01/25............................. 9,152 9,839,479
Jefferies Group LLC
4.850%, 01/15/27............................. 4,900 5,207,078
JM Smucker Co. (The)
3.500%, 03/15/25............................. 5,000 5,105,008
John Deere Capital Corp.
2.550%, 01/08/21............................. 9,703 9,828,552
3.350%, 06/12/24............................. 6,267 6,474,536
Johnson & Johnson
1.650%, 03/01/21............................. 1,500 1,484,585
3.375%, 12/05/23............................. 6,474 6,866,876
2.450%, 03/01/26............................. 3,250 3,184,340
JPMorgan Chase & Co.
4.350%, 08/15/21............................. 2,009 2,146,847
FACE
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(000)
UNITED STATES -- (Continued)
3.625%, 05/13/24............................. 12,273 $12,789,431
3.900%, 07/15/25............................. 11,150 11,740,574
Juniper Networks, Inc.
4.600%, 03/15/21............................. 2,590 2,752,481
4.500%, 03/15/24............................. 4,273 4,529,647
Kellogg Co.
3.250%, 04/01/26............................. 13,900 13,901,806
7.450%, 04/01/31............................. 5,320 7,185,259
KeyBank NA
2.500%, 12/15/19............................. 153 154,617
KeyCorp
2.900%, 09/15/20............................. 1,466 1,493,632
5.100%, 03/24/21............................. 2,156 2,348,132
Kimberly-Clark Corp.
1.900%, 05/22/19............................. 497 497,829
2.400%, 06/01/23............................. 1,942 1,932,568
Kohl's Corp.
4.750%, 12/15/23............................. 5,253 5,465,423
Kraft Heinz Foods Co.
3.500%, 06/06/22............................. 9,255 9,560,497
3.950%, 07/15/25............................. 11,650 12,087,769
Kroger Co. (The)
3.300%, 01/15/21............................. 2,000 2,050,305
3.850%, 08/01/23............................. 3,380 3,511,563
7.500%, 04/01/31............................. 7,750 10,213,095
L3 Technologies, Inc.
4.750%, 07/15/20............................. 550 584,825
3.950%, 05/28/24............................. 2,498 2,600,499
Laboratory Corp. of America Holdings
4.000%, 11/01/23............................. 3,885 4,075,751
Lam Research Corp.
2.750%, 03/15/20............................. 498 504,632
Legg Mason, Inc.
2.700%, 07/15/19............................. 529 534,817
3.950%, 07/15/24............................. 4,791 4,925,111
4.750%, 03/15/26............................. 2,030 2,162,940
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 6,743 7,263,780
Lincoln National Corp.
6.250%, 02/15/20............................. 117 127,244
Lockheed Martin Corp.
4.250%, 11/15/19............................. 3,500 3,663,671
2.500%, 11/23/20............................. 5,071 5,134,360
2.900%, 03/01/25............................. 4,532 4,529,658
# 3.550%, 01/15/26............................. 4,856 5,050,701
Loews Corp.
2.625%, 05/15/23............................. 3,805 3,806,615
3.750%, 04/01/26............................. 10,795 11,193,398
Lowe's Cos., Inc.
3.120%, 04/15/22............................. 1,295 1,333,823
3.375%, 09/15/25............................. 5,244 5,406,316
Magellan Midstream Partners L.P.
4.250%, 02/01/21............................. 1,534 1,619,746
96
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
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(000)
UNITED STATES -- (Continued)
Manufacturers & Traders Trust Co.
2.100%, 02/06/20............................. 893 $ 894,049
2.900%, 02/06/25............................. 8,028 7,971,854
Marathon Petroleum Corp.
3.625%, 09/15/24............................. 8,287 8,496,858
Marriott International, Inc.
6.750%, 05/15/18............................. 504 517,313
2.875%, 03/01/21............................. 1,021 1,031,558
Marsh & McLennan Cos., Inc.
2.350%, 09/10/19............................. 529 531,517
3.500%, 06/03/24............................. 8,417 8,718,566
MasterCard, Inc.
3.375%, 04/01/24............................. 1,808 1,890,468
Mattel, Inc.
1.700%, 03/15/18............................. 578 575,168
2.350%, 05/06/19............................. 1,537 1,509,887
Maxim Integrated Products, Inc.
3.450%, 06/15/27............................. 6,000 6,097,825
McDonald's Corp.
2.200%, 05/26/20............................. 811 813,818
3.500%, 07/15/20............................. 4,972 5,163,342
# 2.625%, 01/15/22............................. 1,878 1,896,597
McKesson Corp.
2.284%, 03/15/19............................. 4,174 4,188,600
# 3.796%, 03/15/24............................. 4,399 4,580,159
Mead Johnson Nutrition Co.
4.125%, 11/15/25............................. 6,000 6,417,754
Merck & Co., Inc.
2.800%, 05/18/23............................. 13,920 14,245,818
2.750%, 02/10/25............................. 11,745 11,746,648
MetLife, Inc.
3.600%, 04/10/24............................. 16,329 17,157,951
Microsoft Corp.
1.625%, 12/06/18............................. 973 973,002
1.850%, 02/12/20............................. 122 122,029
3.000%, 10/01/20............................. 1,045 1,078,067
2.000%, 11/03/20............................. 8,700 8,712,590
3.625%, 12/15/23............................. 9,398 9,987,702
2.700%, 02/12/25............................. 1,942 1,950,858
3.125%, 11/03/25............................. 3,145 3,231,010
2.400%, 08/08/26............................. 19,980 19,299,135
3.300%, 02/06/27............................. 14,000 14,447,135
Mobil Corp.
8.625%, 08/15/21............................. 1,303 1,613,449
Molson Coors Brewing Co.
# 3.500%, 05/01/22............................. 5,180 5,366,543
3.000%, 07/15/26............................. 7,500 7,303,594
Monsanto Co.
1.850%, 11/15/18............................. 2,959 2,959,819
2.125%, 07/15/19............................. 264 264,187
5.500%, 08/15/25............................. 2,266 2,600,846
Morgan Stanley
7.300%, 05/13/19............................. 235 253,217
FACE
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(000)
UNITED STATES -- (Continued)
2.500%, 04/21/21............................. 2,500 $ 2,504,365
5.500%, 07/28/21............................. 875 966,613
3.875%, 04/29/24............................. 12,122 12,730,615
3.875%, 01/27/26............................. 15,600 16,265,863
Mosaic Co. (The)
# 4.250%, 11/15/23............................. 4,011 4,190,953
Motorola Solutions, Inc.
3.750%, 05/15/22............................. 3,237 3,338,375
3.500%, 03/01/23............................. 3,237 3,274,485
Nasdaq, Inc.
4.250%, 06/01/24............................. 2,849 3,028,046
National Oilwell Varco, Inc.
2.600%, 12/01/22............................. 8,117 8,016,616
National Rural Utilities Cooperative Finance
Corp.
8.000%, 03/01/32............................. 2,740 4,030,421
NetApp, Inc.
# 3.250%, 12/15/22............................. 1,101 1,113,064
Newell Brands, Inc.
4.000%, 06/15/22............................. 6,559 6,874,257
NextEra Energy Capital Holdings, Inc.
4.500%, 06/01/21............................. 838 895,287
# 3.550%, 05/01/27............................. 5,100 5,262,724
NIKE, Inc.
2.375%, 11/01/26............................. 28,411 27,080,823
NiSource Finance Corp.
3.850%, 02/15/23............................. 2,362 2,477,523
Noble Energy, Inc.
4.150%, 12/15/21............................. 1,737 1,832,122
3.900%, 11/15/24............................. 1,574 1,622,751
Nordstrom, Inc.
4.750%, 05/01/20............................. 1,353 1,417,615
# 4.000%, 10/15/21............................. 971 1,000,399
# 4.000%, 03/15/27............................. 12,800 12,598,563
Norfolk Southern Corp.
2.903%, 02/15/23............................. 4,532 4,584,630
Northern Trust Corp.
3.375%, 08/23/21............................. 1,942 2,021,514
Northrop Grumman Corp.
3.250%, 08/01/23............................. 1,000 1,029,868
Nucor Corp.
5.750%, 12/01/17............................. 236 236,749
Nuveen Finance LLC
## 4.125%, 11/01/24............................. 2,780 2,939,916
O'Reilly Automotive, Inc.
3.800%, 09/01/22............................. 730 764,145
Occidental Petroleum Corp.
2.700%, 02/15/23............................. 3,300 3,330,424
3.400%, 04/15/26............................. 7,376 7,580,512
3.000%, 02/15/27............................. 7,201 7,187,933
Ohio Power Co.
5.375%, 10/01/21............................. 2,335 2,601,065
Omnicom Group, Inc.
3.650%, 11/01/24............................. 3,295 3,388,605
97
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
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(000)
UNITED STATES -- (Continued)
ONE Gas, Inc.
2.070%, 02/01/19............................. 497 $ 498,506
ONEOK, Inc.
4.000%, 07/13/27............................. 6,700 6,817,531
Oracle Corp.
2.500%, 10/15/22............................. 1,942 1,951,453
2.950%, 05/15/25............................. 28,183 28,463,499
2.650%, 07/15/26............................. 40,250 39,428,565
Pacific Gas & Electric Co.
3.850%, 11/15/23............................. 3,237 3,393,363
3.750%, 02/15/24............................. 6,578 6,898,608
3.500%, 06/15/25............................. 4,338 4,429,279
Packaging Corp. of America
4.500%, 11/01/23............................. 3,933 4,267,708
Parker-Hannifin Corp.
3.300%, 11/21/24............................. 6,164 6,333,413
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.050%, 01/09/20............................. 2,721 2,770,385
PepsiCo, Inc.
2.150%, 10/14/20............................. 9,253 9,312,014
2.750%, 03/05/22............................. 2,843 2,903,907
2.750%, 03/01/23............................. 4,532 4,607,408
3.500%, 07/17/25............................. 6,474 6,772,765
Pfizer, Inc.
3.000%, 06/15/23............................. 1,942 2,007,384
3.400%, 05/15/24............................. 6,474 6,801,349
3.000%, 12/15/26............................. 35,600 35,918,539
Philip Morris International, Inc.
3.250%, 11/10/24............................. 5,916 6,025,223
Phillips 66
4.300%, 04/01/22............................. 4,284 4,588,219
Phillips 66 Partners L.P.
3.550%, 10/01/26............................. 21,855 21,627,924
Plains All American Pipeline L.P. / PAA Finance
Corp.
4.500%, 12/15/26............................. 9,360 9,560,893
PNC Bank NA
3.300%, 10/30/24............................. 3,788 3,900,055
2.950%, 02/23/25............................. 8,093 8,111,685
3.250%, 06/01/25............................. 8,000 8,145,496
PNC Financial Services Group, Inc. (The)
4.375%, 08/11/20............................. 3,800 4,024,148
3.300%, 03/08/22............................. 1,804 1,867,470
PPL Capital Funding, Inc.
# 3.400%, 06/01/23............................. 4,914 5,059,494
Praxair, Inc.
2.200%, 08/15/22............................. 809 804,688
Precision Castparts Corp.
2.500%, 01/15/23............................. 7,860 7,886,846
3.250%, 06/15/25............................. 31,349 32,066,364
Priceline Group, Inc. (The)
3.600%, 06/01/26............................. 9,322 9,527,462
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Principal Financial Group, Inc.
3.125%, 05/15/23............................. 4,496 $ 4,575,315
3.100%, 11/15/26............................. 4,600 4,581,982
Private Export Funding Corp.
4.300%, 12/15/21............................. 911 989,684
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 1,533 1,523,840
2.450%, 11/03/26............................. 1,090 1,053,436
2.850%, 08/11/27............................. 10,000 9,944,096
Progress Energy, Inc.
4.875%, 12/01/19............................. 553 584,269
4.400%, 01/15/21............................. 2,300 2,425,597
Progressive Corp. (The)
3.750%, 08/23/21............................. 4,403 4,624,304
Prudential Financial, Inc.
2.350%, 08/15/19............................. 1,587 1,594,290
4.500%, 11/15/20............................. 1,361 1,451,934
3.500%, 05/15/24............................. 9,712 10,120,121
PSEG Power LLC
2.450%, 11/15/18............................. 529 531,965
5.125%, 04/15/20............................. 2,269 2,417,019
4.300%, 11/15/23............................. 5,883 6,201,341
Puget Energy, Inc.
6.000%, 09/01/21............................. 7,992 8,954,309
QUALCOMM, Inc.
2.250%, 05/20/20............................. 543 545,731
3.450%, 05/20/25............................. 11,374 11,703,282
Quest Diagnostics, Inc.
4.700%, 04/01/21............................. 3,885 4,147,627
3.500%, 03/30/25............................. 388 396,572
Raytheon Co.
3.125%, 10/15/20............................. 4,050 4,179,953
2.500%, 12/15/22............................. 1,424 1,429,416
Reinsurance Group of America, Inc.
5.000%, 06/01/21............................. 971 1,044,274
4.700%, 09/15/23............................. 3,885 4,202,902
3.950%, 09/15/26............................. 9,600 9,822,703
Republic Services, Inc.
5.500%, 09/15/19............................. 131 139,361
3.550%, 06/01/22............................. 4,540 4,720,816
Reynolds American, Inc.
6.875%, 05/01/20............................. 4,095 4,548,871
Rockwell Automation, Inc.
2.875%, 03/01/25............................. 5,805 5,762,004
Roper Technologies, Inc.
3.000%, 12/15/20............................. 1,300 1,325,770
Ryder System, Inc.
2.500%, 03/01/18............................. 343 343,758
2.450%, 09/03/19............................. 121 121,860
SCANA Corp.
4.125%, 02/01/22............................. 1,965 1,994,549
Scripps Networks Interactive, Inc.
2.800%, 06/15/20............................. 550 554,469
98
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
3.500%, 06/15/22............................. 7,784 $ 7,952,863
3.900%, 11/15/24............................. 5,439 5,587,254
Sempra Energy
2.850%, 11/15/20............................. 5,400 5,496,538
4.050%, 12/01/23............................. 4,254 4,503,846
3.550%, 06/15/24............................. 6,604 6,800,724
Sherwin-Williams Co. (The)
# 3.450%, 08/01/25............................. 4,597 4,676,802
Southern Co. (The)
2.750%, 06/15/20............................. 346 351,049
3.250%, 07/01/26............................. 4,860 4,832,634
Southern Power Co.
4.150%, 12/01/25............................. 1,450 1,532,041
Southwest Airlines Co.
2.750%, 11/06/19............................. 5,120 5,184,856
2.650%, 11/05/20............................. 5,200 5,274,642
3.000%, 11/15/26............................. 9,273 9,142,224
Spectra Energy Partners L.P.
4.750%, 03/15/24............................. 1,937 2,116,646
StanCorp Financial Group, Inc.
5.000%, 08/15/22............................. 3,237 3,475,528
Starbucks Corp.
3.850%, 10/01/23............................. 1,245 1,338,236
State Street Corp.
4.375%, 03/07/21............................. 2,120 2,267,644
1.950%, 05/19/21............................. 2,384 2,365,801
3.300%, 12/16/24............................. 14,110 14,642,522
3.550%, 08/18/25............................. 8,350 8,711,014
Stryker Corp.
2.625%, 03/15/21............................. 1,600 1,614,891
3.375%, 05/15/24............................. 518 533,522
3.375%, 11/01/25............................. 9,398 9,642,382
SunTrust Bank
2.750%, 05/01/23............................. 3,172 3,157,412
SunTrust Banks, Inc.
2.900%, 03/03/21............................. 3,500 3,556,996
Sysco Corp.
2.600%, 10/01/20............................. 3,000 3,036,390
3.300%, 07/15/26............................. 2,000 2,017,550
Tapestry, Inc.
# 4.250%, 04/01/25............................. 17,001 17,586,336
Target Corp.
2.300%, 06/26/19............................. 6 6,056
2.900%, 01/15/22............................. 3,601 3,684,494
# 2.500%, 04/15/26............................. 4,520 4,343,594
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 212 227,186
2.950%, 04/01/22............................. 1,806 1,840,982
3.625%, 04/01/25............................. 7,444 7,752,943
Texas Instruments, Inc.
# 2.250%, 05/01/23............................. 665 657,869
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Time Warner, Inc.
4.750%, 03/29/21............................. 1,102 $ 1,181,142
4.000%, 01/15/22............................. 1,165 1,223,973
3.550%, 06/01/24............................. 4,532 4,589,174
3.600%, 07/15/25............................. 8,500 8,503,736
# 3.800%, 02/15/27............................. 4,570 4,568,765
Total System Services, Inc.
4.800%, 04/01/26............................. 6,000 6,524,285
Travelers Cos., Inc. (The)
3.900%, 11/01/20............................. 6,000 6,294,710
Tyson Foods, Inc.
4.500%, 06/15/22............................. 5,592 6,030,384
U.S. Bancorp
2.350%, 01/29/21............................. 815 818,433
U.S. Bank NA
2.800%, 01/27/25............................. 5,950 5,926,574
Union Pacific Corp.
2.250%, 02/15/19............................. 336 337,950
2.750%, 04/15/23............................. 647 651,673
3.250%, 01/15/25............................. 9,626 9,922,153
United Technologies Corp.
3.100%, 06/01/22............................. 160 164,182
7.500%, 09/15/29............................. 622 866,540
UnitedHealth Group, Inc.
2.750%, 02/15/23............................. 8,773 8,882,439
2.875%, 03/15/23............................. 5,827 5,934,817
3.750%, 07/15/25............................. 11,867 12,552,176
Unum Group
4.000%, 03/15/24............................. 5,110 5,317,703
3.875%, 11/05/25............................. 2,000 2,063,076
Valero Energy Corp.
9.375%, 03/15/19............................. 593 650,409
3.400%, 09/15/26............................. 3,964 3,963,604
Verizon Communications, Inc.
2.946%, 03/15/22............................. 324 328,865
3.500%, 11/01/24............................. 1,200 1,224,099
## 3.376%, 02/15/25............................. 16,814 16,914,755
2.625%, 08/15/26............................. 2,050 1,933,507
Viacom, Inc.
2.750%, 12/15/19............................. 296 297,613
# 4.500%, 03/01/21............................. 1,878 1,972,177
4.250%, 09/01/23............................. 647 666,078
3.875%, 04/01/24............................. 7,996 8,022,457
Visa, Inc.
3.150%, 12/14/25............................. 14,725 15,037,784
Wal-Mart Stores, Inc.
2.550%, 04/11/23............................. 6,827 6,885,346
3.300%, 04/22/24............................. 6,782 7,083,986
7.550%, 02/15/30............................. 11,147 16,235,018
Walgreen Co.
3.100%, 09/15/22............................. 6,887 6,979,873
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21............................. 12,978 13,323,652
3.450%, 06/01/26............................. 3,000 2,946,736
99
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Walt Disney Co. (The)
2.150%, 09/17/20............................. 821 $ 824,451
3.150%, 09/17/25............................. 6,474 6,634,598
Waste Management, Inc.
4.600%, 03/01/21............................. 1,852 1,982,787
3.500%, 05/15/24............................. 5,000 5,186,239
3.125%, 03/01/25............................. 3,500 3,537,898
WEC Energy Group, Inc.
2.450%, 06/15/20............................. 1,677 1,688,827
Wells Fargo & Co.
2.600%, 07/22/20............................. 300 303,967
3.500%, 03/08/22............................. 8,870 9,212,494
3.000%, 02/19/25............................. 16,454 16,322,350
3.000%, 04/22/26............................. 2,803 2,748,830
Western Union Co. (The)
5.253%, 04/01/20............................. 2,310 2,470,462
WestRock MWV LLC
8.200%, 01/15/30............................. 15,547 21,845,364
Whirlpool Corp.
4.700%, 06/01/22............................. 1,942 2,097,734
# 3.700%, 05/01/25............................. 12,588 12,978,522
Williams Partners L.P.
4.000%, 09/15/25............................. 11,750 12,134,626
3.750%, 06/15/27............................. 1,400 1,404,506
Wisconsin Electric Power Co.
3.100%, 06/01/25............................. 3,237 3,248,109
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 176 178,643
Wyndham Worldwide Corp.
3.900%, 03/01/23............................. 7,629 7,607,084
Xerox Corp.
4.070%, 03/17/22............................. 1,138 1,156,389
# 3.800%, 05/15/24............................. 4,340 4,294,264
Xilinx, Inc.
3.000%, 03/15/21............................. 989 1,006,121
Zimmer Biomet Holdings, Inc.
# 3.550%, 04/01/25............................. 5,700 5,798,499
Zoetis, Inc.
3.000%, 09/12/27............................. 5,400 5,286,209
--------------
TOTAL UNITED STATES.............................. 3,102,293,451
--------------
TOTAL BONDS...................................... 4,279,478,031
--------------
AGENCY OBLIGATIONS -- (19.1%)
Federal Farm Credit Bank
5.100%, 09/03/19............................. 2,695 2,861,920
5.320%, 09/03/19............................. 6,379 6,799,434
5.150%, 11/15/19............................. 5,294 5,658,518
4.670%, 05/07/20............................. 1,677 1,798,364
5.350%, 08/07/20............................. 2,007 2,199,232
3.650%, 12/21/20............................. 13,178 13,874,049
5.250%, 03/02/21............................. 1,827 2,017,328
5.220%, 02/22/22............................. 1,497 1,683,637
5.210%, 12/19/22............................. 6,349 7,279,490
FACE
AMOUNT^ VALUE+
------- ------
(000)
4.800%, 02/13/23............................. 583 $ 657,432
5.250%, 03/06/23............................. 1,797 2,060,365
5.220%, 05/15/23............................. 14,406 16,552,638
2.630%, 08/03/26............................. 5,827 5,791,782
5.770%, 01/05/27............................. 1,942 2,429,898
Federal Home Loan Bank
1.250%, 06/08/18............................. 9,375 9,371,766
4.750%, 06/08/18............................. 3,170 3,232,890
2.000%, 09/14/18............................. 14,660 14,721,572
1.750%, 12/14/18............................. 24,920 24,964,856
1.500%, 03/08/19............................. 11,350 11,340,920
1.875%, 03/08/19............................. 16,720 16,781,312
5.375%, 05/15/19............................. 16,985 17,964,831
1.625%, 06/14/19............................. 16,120 16,125,561
5.125%, 08/15/19............................. 1,585 1,681,947
# 1.375%, 09/13/19............................. 1,495 1,487,201
4.500%, 09/13/19............................. 11,070 11,623,843
4.125%, 12/13/19............................. 7,785 8,176,648
1.875%, 03/13/20............................. 37,695 37,834,245
4.125%, 03/13/20............................. 26,870 28,364,456
3.000%, 03/18/20............................. 5,415 5,575,723
3.375%, 06/12/20............................. 8,535 8,881,632
# 2.875%, 09/11/20............................. 4,405 4,535,102
4.625%, 09/11/20............................. 7,680 8,252,744
3.125%, 12/11/20............................. 1,795 1,865,217
5.250%, 12/11/20............................. 2,260 2,491,810
1.750%, 03/12/21............................. 12,110 12,076,976
5.000%, 03/12/21............................. 1,555 1,713,694
2.250%, 06/11/21............................. 20,965 21,244,401
3.625%, 06/11/21............................. 3,005 3,188,206
5.625%, 06/11/21............................. 11,075 12,518,593
2.375%, 09/10/21............................. 11,785 11,998,886
# 3.000%, 09/10/21............................. 9,355 9,717,497
2.625%, 12/10/21............................. 32,225 33,009,131
5.000%, 12/10/21............................. 13,625 15,232,491
2.250%, 03/11/22............................. 2,995 3,009,334
2.500%, 03/11/22............................. 3,295 3,359,384
5.250%, 06/10/22............................. 2,470 2,807,580
5.750%, 06/10/22............................. 5,840 6,727,382
# 2.000%, 09/09/22............................. 4,860 4,838,689
5.375%, 09/30/22............................. 18,980 21,877,145
5.250%, 12/09/22............................. 4,490 5,162,310
4.750%, 03/10/23............................. 14,735 16,623,555
3.250%, 06/09/23............................. 10,480 11,084,927
2.500%, 12/08/23............................. 10,000 10,153,520
3.250%, 03/08/24............................. 29,750 31,441,882
2.875%, 06/14/24............................. 4,900 5,066,933
5.375%, 08/15/24............................. 5,555 6,587,097
5.365%, 09/09/24............................. 600 714,389
2.875%, 09/13/24............................. 66,000 68,171,994
2.750%, 12/13/24............................. 76,000 77,741,692
4.375%, 03/13/26............................. 6,020 6,833,699
5.750%, 06/12/26............................. 11,915 14,777,245
Federal Home Loan Mortgage Corp.
1.750%, 05/30/19............................. 529 530,315
6.750%, 09/15/29............................. 17,421 24,386,177
6.750%, 03/15/31............................. 22,491 32,454,243
100
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
Federal National Mortgage Association
1.875%, 09/18/18............................. 1,499 $ 1,504,218
1.875%, 02/19/19............................. 1,058 1,062,373
# 1.500%, 06/22/20............................. 4,549 4,524,158
# 1.250%, 05/06/21............................. 5,000 4,903,070
2.000%, 01/05/22............................. 23,000 22,999,862
2.625%, 09/06/24............................. 143,700 146,675,165
2.125%, 04/24/26............................. 44,200 42,979,108
# 1.875%, 09/24/26............................. 101,400 96,065,042
6.250%, 05/15/29............................. 53,322 71,720,969
7.125%, 01/15/30............................. 6,474 9,360,860
7.250%, 05/15/30............................. 11,550 17,001,126
6.625%, 11/15/30............................. 111,500 158,121,718
Tennessee Valley Authority
1.750%, 10/15/18............................. 3,237 3,243,746
3.875%, 02/15/21............................. 31,741 33,779,058
# 1.875%, 08/15/22............................. 38,243 37,905,314
# 2.875%, 09/15/24............................. 55,925 57,680,709
6.750%, 11/01/25............................. 25,623 33,392,329
2.875%, 02/01/27............................. 17,000 17,401,064
7.125%, 05/01/30............................. 43,131 62,535,723
--------------
TOTAL AGENCY OBLIGATIONS......................... 1,604,843,342
--------------
U.S. TREASURY OBLIGATIONS -- (26.2%)
U.S. Treasury Bonds
8.125%, 05/15/21............................. 37,017 45,037,954
# 8.125%, 08/15/21............................. 35,789 43,992,756
# 7.250%, 08/15/22............................. 28,959 35,903,876
6.250%, 08/15/23............................. 51,741 63,441,215
7.500%, 11/15/24............................. 49,948 67,199,033
6.875%, 08/15/25............................. 40,371 53,749,536
6.000%, 02/15/26............................. 44,667 57,226,617
6.750%, 08/15/26............................. 39,317 53,247,161
# 6.625%, 02/15/27............................. 45,173 61,457,539
6.125%, 11/15/27............................. 29,750 39,780,166
5.250%, 11/15/28............................. 36,868 47,090,101
5.250%, 02/15/29............................. 70,850 90,770,643
FACE
AMOUNT^ VALUE+
------- ------
(000)
6.125%, 08/15/29............................. 25,884 $ 35,755,767
6.250%, 05/15/30............................. 26,011 36,735,908
5.375%, 02/15/31............................. 111,000 147,898,829
U.S. Treasury Notes
1.875%, 06/30/20............................. 22,462 22,561,825
2.000%, 07/31/20............................. 23,360 23,535,502
2.000%, 09/30/20............................. 52,328 52,720,158
3.625%, 02/15/21............................. 39,500 41,805,196
3.125%, 05/15/21............................. 49,865 52,072,125
1.125%, 07/31/21............................. 25,000 24,330,078
1.250%, 10/31/21............................. 50,000 48,751,953
2.000%, 10/31/21............................. 54,757 54,964,678
1.625%, 08/15/22............................. 90,000 88,498,828
1.500%, 02/28/23............................. 77,200 74,989,547
1.500%, 03/31/23............................. 88,000 85,387,500
1.750%, 05/15/23............................. 69,000 67,746,680
2.750%, 02/15/24............................. 71,662 74,083,185
2.500%, 05/15/24............................. 98,000 99,795,390
2.250%, 11/15/24............................. 58,500 58,538,847
2.125%, 05/15/25............................. 110,000 108,865,625
2.000%, 08/15/25............................. 94,000 92,042,891
2.250%, 11/15/25............................. 44,700 44,520,152
1.625%, 02/15/26............................. 45,000 42,635,742
1.625%, 05/15/26............................. 77,000 72,774,024
1.500%, 08/15/26............................. 105,000 97,990,430
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 2,207,897,457
--------------
TOTAL INVESTMENT SECURITIES........................ 8,092,218,830
--------------
SHARES
- ------ -
SECURITIES LENDING COLLATERAL -- (3.8%)
(S)@ DFA Short Term Investment Fund............... 27,626,988 319,671,877
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,379,025,623)............................ $8,411,890,707
==============
At October 31, 2017, DFA Investment Grade Portfolio had entered into the
following forward currency contracts and the net unrealized foreign exchange
gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY SETTLEMENT DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ------------------ --------------
USD.. 13,928,494 EUR 11,796,211 State Street Bank and Trust 01/17/18 $ 125,578
USD.. 61,621,941 SEK 499,830,479 State Street Bank and Trust 01/18/18 1,619,969
USD.. 24,594,407 CAD 31,082,783 Barclays Capital 01/23/18 479,972
----------
TOTAL APPRECIATION $2,225,519
==========
101
DFA INVESTMENT GRADE 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
------- -------------- ------- --------------
Bonds
Australia.............................. -- $ 157,140,216 -- $ 157,140,216
Austria................................ -- 1,959,913 -- 1,959,913
Belgium................................ -- 17,287,365 -- 17,287,365
Canada................................. -- 131,458,762 -- 131,458,762
Denmark................................ -- 8,670,703 -- 8,670,703
Finland................................ -- 2,451,383 -- 2,451,383
France................................. -- 74,367,347 -- 74,367,347
Germany................................ -- 81,042,999 -- 81,042,999
Ireland................................ -- 42,349,776 -- 42,349,776
Italy.................................. -- 11,968,728 -- 11,968,728
Japan.................................. -- 101,855,698 -- 101,855,698
Netherlands............................ -- 169,618,371 -- 169,618,371
Norway................................. -- 19,300,414 -- 19,300,414
Spain.................................. -- 40,018,997 -- 40,018,997
Supranational Organization Obligations. -- 18,113,047 -- 18,113,047
Sweden................................. -- 61,437,701 -- 61,437,701
Switzerland............................ -- 82,527,061 -- 82,527,061
United Kingdom......................... -- 155,616,099 -- 155,616,099
United States.......................... -- 3,102,293,451 -- 3,102,293,451
Agency Obligations....................... -- 1,604,843,342 -- 1,604,843,342
U.S. Treasury Obligations................ -- 2,207,897,457 -- 2,207,897,457
Securities Lending Collateral............ -- 319,671,877 -- 319,671,877
Forward Currency Contracts**............. -- 2,225,519 -- 2,225,519
-- -------------- -- --------------
TOTAL.................................... -- $8,414,116,226 -- $8,414,116,226
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
102
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
---------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (19.8%)
Treasury Inflation Protected Security
0.125%, 04/15/18........................................... 3,689 $ 3,917,861
0.125%, 04/15/19........................................... 7,600 7,983,503
0.125%, 04/15/20........................................... 12,707 13,366,963
0.125%, 04/15/21........................................... 25,686 26,648,218
0.125%, 01/15/22........................................... 10,500 11,403,484
0.625%, 01/15/24........................................... 6,400 6,859,690
2.375%, 01/15/25........................................... 23,573 34,988,548
------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 105,168,267
------------
SHARES
----------
AFFILIATED INVESTMENT COMPANIES -- (79.5%)
Investment in DFA Two-Year Global Fixed Income Portfolio
of DFA Investment Dimensions Group Inc................... 15,878,092 158,622,140
Investment in DFA Intermediate Government Fixed Income
Portfolio of DFA Investment Dimensions Group Inc......... 21,183,570 263,735,450
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ 422,357,590
------------
TOTAL INVESTMENT SECURITIES................................. 527,525,857
------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional U.S. Government Money Market
Fund, 0.960%............................................. 3,870,578 3,870,578
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $533,822,209)........... $531,396,435
============
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
------------ ------------ ------- ------------
U.S. Treasury Obligations.......... -- $105,168,267 -- $105,168,267
Affiliated Investment Companies.... $422,357,590 -- -- 422,357,590
Temporary Cash Investments......... 3,870,578 -- -- 3,870,578
------------ ------------ -- ------------
TOTAL.............................. $426,228,168 $105,168,267 -- $531,396,435
============ ============ == ============
See accompanying Notes to Financial Statements.
103
DFA LTIP PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^^^ VALUE+
--------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (100.0%)
Treasury Inflation Protected Security
0.625%, 02/15/43........................................... $23,842 $ 23,820,882
1.375%, 02/15/44........................................... 20,928 24,355,753
0.750%, 02/15/45........................................... 37,581 37,465,475
1.000%, 02/15/46........................................... 35,890 37,807,347
------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 123,449,457
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $121,395,029)........... $123,449,457
============
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
------- ------------ ------- ------------
U.S. Treasury Obligations.......... -- $123,449,457 -- $123,449,457
-- ------------ -- ------------
TOTAL.............................. -- $123,449,457 -- $123,449,457
== ============ == ============
See accompanying Notes to Financial Statements.
104
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^^^ VALUE+
----------- --------------
(000)
U.S. TREASURY OBLIGATIONS -- (99.6%)
Treasury Inflation Protected Security
0.125%, 07/15/22........................................... $ 78,500 $ 84,061,410
0.125%, 01/15/23........................................... 255,300 270,317,145
0.375%, 07/15/23........................................... 225,000 239,910,543
0.625%, 01/15/24........................................... 248,000 265,812,971
0.125%, 07/15/24........................................... 240,000 245,175,651
0.250%, 01/15/25........................................... 308,000 315,684,080
2.375%, 01/15/25........................................... 168,000 249,353,131
0.375%, 07/15/25........................................... 320,000 330,909,835
0.625%, 01/15/26........................................... 358,000 374,445,780
2.000%, 01/15/26........................................... 172,800 239,846,235
0.125%, 07/15/26........................................... 363,700 362,004,187
0.375%, 01/15/27........................................... 108,000 108,289,366
2.375%, 01/15/27........................................... 147,500 209,381,177
1.750%, 01/15/28........................................... 147,700 193,506,170
3.625%, 04/15/28........................................... 124,500 246,944,994
2.500%, 01/15/29........................................... 165,500 228,002,739
3.875%, 04/15/29........................................... 131,745 266,833,524
3.375%, 04/15/32........................................... 54,000 102,639,446
--------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 4,333,118,384
--------------
SHARES
-----------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market
Fund, 0.960%............................................... 15,716,120 15,716,120
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $4,293,655,486)......... $4,348,834,504
==============
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
----------- -------------- ------- --------------
U.S. Treasury Obligations.......... -- $4,333,118,384 -- $4,333,118,384
Temporary Cash Investments......... $15,716,120 -- -- 15,716,120
----------- -------------- -- --------------
TOTAL.............................. $15,716,120 $4,333,118,384 -- $4,348,834,504
=========== ============== == ==============
See accompanying Notes to Financial Statements.
105
DFA SHORT-DURATION REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
BONDS -- (92.0%)
AUSTRALIA -- (6.0%)
Australia & New Zealand Banking Group, Ltd.
1.450%, 05/15/18............................. 358 $ 357,829
2.550%, 11/23/21............................. 2,700 2,704,025
2.625%, 05/19/22............................. 250 250,655
Commonwealth Bank of Australia
2.500%, 09/20/18............................. 916 922,685
2.250%, 03/13/19............................. 5,000 5,027,142
## 2.750%, 03/10/22............................. 5,000 5,054,629
2.750%, 03/10/22............................. 200 202,185
3.250%, 03/31/22............................. AUD 4,800 3,721,922
0.500%, 07/11/22............................. EUR 2,500 2,942,296
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 5,174 5,229,617
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 3,500 3,519,928
2.800%, 01/10/22............................. 15,000 15,200,779
0.875%, 01/20/22............................. EUR 1,700 2,037,303
2.500%, 05/22/22............................. 1,635 1,633,109
0.350%, 09/07/22............................. EUR 500 584,463
Westpac Banking Corp.
2.600%, 11/23/20............................. 12,000 12,143,765
2.100%, 05/13/21............................. 461 457,687
2.800%, 01/11/22............................. 7,185 7,302,810
0.250%, 01/17/22............................. EUR 450 525,697
-----------
TOTAL AUSTRALIA.................................. 69,818,526
-----------
AUSTRIA -- (1.0%)
Oesterreichische Kontrollbank AG
2.375%, 10/01/21............................. 6,200 6,263,727
Republic of Austria Government Bond
## 0.0%, 09/20/22............................... EUR 4,000 4,710,735
-----------
TOTAL AUSTRIA 10,974,462
-----------
BELGIUM -- (0.1%)
Anheuser-Busch InBev Worldwide, Inc.
5.375%, 01/15/20............................. 1,510 1,619,796
-----------
CANADA -- (12.8%)
Bank of Montreal
2.375%, 01/25/19............................. 24 24,146
1.900%, 08/27/21............................. 7,000 6,879,821
Bank of Nova Scotia (The)
2.350%, 10/21/20............................. 11,405 11,464,230
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
CANADA -- (Continued)
Canada Housing Trust No. 1
## 1.750%, 06/15/22............................. CAD 4,000 $ 3,075,203
CPPIB Capital, Inc.
## 2.250%, 01/25/22............................. 2,000 2,001,876
Export Development Canada
1.375%, 10/21/21............................. 5,000 4,869,910
Goldcorp, Inc.
2.125%, 03/15/18............................. 2,000 2,001,752
Petro-Canada
6.050%, 05/15/18............................. 429 438,881
Potash Corp. of Saskatchewan, Inc.
3.250%, 12/01/17............................. 123 123,136
Province of British Columbia Canada
2.650%, 09/22/21............................. 2,000 2,038,314
Province of Manitoba Canada
2.125%, 05/04/22............................. 8,500 8,424,267
Province of Ontario Canada
4.000%, 10/07/19............................. 9,000 9,350,534
1.875%, 05/21/20............................. 1,000 996,363
2.500%, 09/10/21............................. 3,221 3,253,387
2.400%, 02/08/22............................. 6,000 6,025,411
1.350%, 03/08/22............................. CAD 2,400 1,810,501
3.150%, 06/02/22............................. CAD 13,000 10,567,677
Province of Quebec Canada
3.500%, 07/29/20............................. 5,000 5,199,414
4.250%, 12/01/21............................. CAD 10,000 8,442,679
2.375%, 01/31/22............................. 6,000 6,026,100
Royal Bank of Canada
1.800%, 07/30/18............................. 980 980,841
2.150%, 03/15/19............................. 1,700 1,709,134
1.500%, 07/29/19............................. 5,000 4,966,093
2.350%, 10/30/20............................. 6,000 6,039,077
1.968%, 03/02/22............................. CAD 2,300 1,763,179
2.000%, 03/21/22............................. CAD 11,000 8,439,330
Toronto-Dominion Bank (The)
2.625%, 09/10/18............................. 715 720,682
2.125%, 07/02/19............................. 7,600 7,634,766
# 2.250%, 11/05/19............................. 4,979 5,009,895
2.500%, 12/14/20............................. 10,000 10,100,555
1.994%, 03/23/22............................. CAD 3,700 2,840,319
Total Capital Canada, Ltd.
1.125%, 03/18/22............................. EUR 5,000 6,088,039
------------
TOTAL CANADA..................................... 149,305,512
------------
106
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
DENMARK -- (0.3%)
Danske Bank A.S.
## 2.750%, 09/17/20............................. 3,000 $ 3,033,181
-----------
FINLAND -- (0.9%)
Municipality Finance P.L.C.
1.250%, 04/18/19............................. 10,000 9,923,400
2.375%, 03/15/22............................. 650 653,991
-----------
TOTAL FINLAND.................................... 10,577,391
-----------
FRANCE -- (2.2%)
Airgas, Inc.
2.375%, 02/15/20............................. 4,000 4,018,508
BNP Paribas SA
2.375%, 05/21/20............................. 500 504,611
BPCE SA
2.500%, 07/15/19............................. 2,000 2,016,150
2.650%, 02/03/21............................. 1,300 1,312,350
Electricite de France SA
## 2.350%, 10/13/20............................. 1,000 1,003,617
French Republic Government Bond OAT
3.000%, 04/25/22............................. EUR 2,500 3,348,034
Pernod Ricard SA
## 5.750%, 04/07/21............................. 5,000 5,541,379
Sanofi
4.000%, 03/29/21............................. 290 306,781
Total Capital International SA
2.100%, 06/19/19............................. 7,000 7,038,228
-----------
TOTAL FRANCE..................................... 25,089,658
-----------
GERMANY -- (3.3%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 2,500 2,513,055
Daimler Finance North America LLC
## 2.700%, 08/03/20............................. 3,085 3,124,042
Deutsche Bank AG
2.950%, 08/20/20............................. 1,900 1,918,198
Deutsche Telekom International Finance BV
6.000%, 07/08/19............................. 509 542,699
## 1.500%, 09/19/19............................. 5,570 5,505,615
FMS Wertmanagement AoeR
1.375%, 06/08/21............................. 9,000 8,802,572
Kreditanstalt fuer Wiederaufbau
1.875%, 06/30/20............................. 4,000 4,001,960
2.750%, 09/08/20............................. 2,000 2,047,780
2.900%, 06/06/22............................. AUD 2,000 1,550,652
NRW Bank
0.0%, 08/10/22............................... EUR 3,500 4,083,823
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
GERMANY -- (Continued)
Volkswagen Group of America Finance LLC
## 2.400%, 05/22/20............................. 4,000 $ 4,012,434
-----------
TOTAL GERMANY.................................... 38,102,830
-----------
IRELAND -- (1.1%)
GE Capital European Funding Unlimited Co.
0.800%, 01/21/22............................. EUR 2,400 2,868,544
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 10,000 10,047,400
-----------
TOTAL IRELAND.................................... 12,915,944
-----------
ITALY -- (0.2%)
Intesa Sanpaolo SpA
3.875%, 01/16/18............................. 2,000 2,008,086
-----------
JAPAN -- (4.7%)
American Honda Finance Corp.
2.450%, 09/24/20............................. 3,000 3,030,280
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The)
## 2.300%, 03/05/20............................. 3,900 3,906,558
Beam Suntory, Inc.
1.750%, 06/15/18............................. 1,431 1,427,772
Development Bank of Japan, Inc.
1.875%, 10/03/18............................. 594 593,638
Japan Finance Organization for Municipalities
1.375%, 02/05/18............................. 5,000 4,990,945
Mizuho Bank, Ltd.
## 2.700%, 10/20/20............................. 1,000 1,009,153
Nissan Motor Acceptance Corp.
## 2.125%, 03/03/20............................. 2,250 2,249,943
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 1,500 1,513,796
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 2,673 2,688,280
2.450%, 01/16/20............................. 2,000 2,014,056
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................. 400 393,620
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 4,000 3,065,499
2.350%, 07/18/22............................. CAD 3,000 2,323,215
107
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
JAPAN -- (Continued)
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 8,526 $ 8,558,707
4.500%, 06/17/20............................. 1,900 2,017,401
1.900%, 04/08/21............................. 10,500 10,409,274
2.600%, 01/11/22............................. 3,000 3,041,956
3.300%, 01/12/22............................. 1,561 1,623,277
-----------
TOTAL JAPAN...................................... 54,857,370
-----------
NETHERLANDS -- (5.5%)
Bank Nederlandse Gemeenten NV
1.875%, 06/11/19............................. 5,000 5,007,475
## 2.375%, 02/01/22............................. 15,000 15,105,795
1.000%, 03/15/22............................. GBP 750 992,463
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 3,356 3,373,301
4.500%, 01/11/21............................. 3,000 3,207,843
2.750%, 01/10/22............................. 5,000 5,075,769
4.000%, 01/11/22............................. EUR 2,950 3,998,915
ING Bank NV
## 2.750%, 03/22/21............................. 3,000 3,032,026
LyondellBasell Industries NV
6.000%, 11/15/21............................. 1,000 1,123,159
Mylan, Inc.
2.550%, 03/28/19............................. 197 197,910
Nederlandse Waterschapsbank NV
1.625%, 03/04/20............................. 3,000 2,979,300
Shell International Finance BV
4.300%, 09/22/19............................. 7 7,286
2.125%, 05/11/20............................. 2,200 2,209,557
1.875%, 05/10/21............................. 10,000 9,922,050
1.750%, 09/12/21............................. 6,000 5,901,051
1.000%, 04/06/22............................. EUR 2,000 2,432,753
-----------
TOTAL NETHERLANDS................................ 64,566,653
-----------
NEW ZEALAND -- (0.4%)
ASB Finance, Ltd.
0.500%, 06/10/22............................. EUR 3,800 4,454,430
-----------
NORWAY -- (0.1%)
Statoil ASA
1.150%, 05/15/18............................. 236 235,514
1.950%, 11/08/18............................. 715 716,646
-----------
TOTAL NORWAY..................................... 952,160
-----------
SPAIN -- (0.8%)
Santander UK P.L.C.
2.500%, 03/14/19............................. 600 604,423
2.375%, 03/16/20............................. 4,600 4,636,978
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
SPAIN -- (Continued)
Telefonica Emisiones SAU
5.134%, 04/27/20............................. 4,250 $ 4,542,333
-----------
TOTAL SPAIN...................................... 9,783,734
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.0%)
Asian Development Bank
2.000%, 02/16/22............................. 3,000 2,988,027
European Investment Bank
2.875%, 09/15/20............................. 2,000 2,055,198
1.625%, 12/15/20............................. 3,000 2,972,910
2.000%, 03/15/21............................. 7,000 7,005,992
1.375%, 09/15/21............................. 11,500 11,209,709
International Bank for Reconstruction &
Development
1.625%, 03/09/21............................. 4,000 3,952,400
International Finance Corp.
0.875%, 06/15/18............................. 215 214,207
Nordic Investment Bank
2.125%, 02/01/22............................. 5,000 5,004,741
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 35,403,184
-----------
SWEDEN -- (7.6%)
Kommuninvest I Sverige AB
2.000%, 11/12/19............................. 9,720 9,752,008
0.250%, 06/01/22............................. SEK 185,000 21,870,027
Nordea Bank AB
## 2.500%, 09/17/20............................. 4,000 4,034,514
## 2.250%, 05/27/21............................. 3,800 3,784,901
Svensk Exportkredit AB
1.875%, 06/17/19............................. 10,000 10,011,700
1.750%, 08/28/20............................. 3,000 2,980,090
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 358 360,787
1.875%, 09/07/21............................. 447 439,125
0.250%, 02/28/22............................. EUR 1,900 2,224,094
Swedbank AB
0.300%, 09/06/22............................. EUR 3,000 3,506,364
Sweden Government Bond
3.500%, 06/01/22............................. SEK 216,500 30,187,367
-----------
TOTAL SWEDEN..................................... 89,150,977
-----------
108
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
SWITZERLAND -- (0.1%)
Chubb INA Holdings, Inc.
2.300%, 11/03/20............................. 425 $ 427,928
Credit Suisse AG
2.300%, 05/28/19............................. 625 628,286
3.000%, 10/29/21............................. 480 490,407
-----------
TOTAL SWITZERLAND................................ 1,546,621
-----------
UNITED KINGDOM -- (2.2%)
Aon Corp.
5.000%, 09/30/20............................. 2,710 2,914,962
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 5,071 5,091,741
Barclays P.L.C.
2.750%, 11/08/19............................. 2,000 2,019,060
3.250%, 01/12/21............................. 1,500 1,524,140
BP Capital Markets P.L.C.
4.500%, 10/01/20............................. 3,750 3,998,404
British Telecommunications P.L.C.
2.350%, 02/14/19............................. 700 704,065
HSBC Holdings P.L.C.
4.000%, 03/30/22............................. 700 739,752
HSBC USA, Inc.
2.375%, 11/13/19............................. 3,281 3,305,090
Lloyds Banking Group P.L.C.
3.000%, 01/11/22............................. 1,000 1,012,306
Nationwide Building Society
## 2.350%, 01/21/20............................. 3,500 3,518,453
Unilever Capital Corp.
4.250%, 02/10/21............................. 1,200 1,276,258
-----------
TOTAL UNITED KINGDOM............................. 26,104,231
-----------
UNITED STATES -- (39.7%)
Abbott Laboratories
4.125%, 05/27/20............................. $ 4,000 4,185,987
2.800%, 09/15/20............................. 3,500 3,553,544
AbbVie, Inc.
2.500%, 05/14/20............................. 6,000 6,047,594
Aetna, Inc.
2.200%, 03/15/19............................. 340 341,004
Aflac, Inc.
2.400%, 03/16/20............................. 815 821,403
Agilent Technologies, Inc.
6.500%, 11/01/17............................. 153 153,000
Alphabet, Inc.
3.625%, 05/19/21............................. 3,500 3,679,308
Altria Group, Inc.
4.750%, 05/05/21............................. 500 542,392
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Amazon.com, Inc.
2.600%, 12/05/19............................. 2,700 $2,744,558
American Express Credit Corp.
2.375%, 05/26/20............................. 800 805,450
American International Group, Inc.
2.300%, 07/16/19............................. 2,062 2,071,082
3.375%, 08/15/20............................. 3,000 3,098,030
3.300%, 03/01/21............................. 500 514,680
Ameriprise Financial, Inc.
7.300%, 06/28/19............................. 1,360 1,475,253
5.300%, 03/15/20............................. 1,000 1,070,720
Amgen, Inc.
2.200%, 05/22/19............................. 4,311 4,328,185
Amphenol Corp.
2.550%, 01/30/19............................. 3,800 3,828,146
Anthem, Inc.
1.875%, 01/15/18............................. 420 420,346
Apple, Inc.
2.250%, 02/23/21............................. 5,000 5,025,086
2.500%, 02/09/22............................. 7,828 7,908,523
2.300%, 05/11/22............................. 7,500 7,501,677
Assurant, Inc.
2.500%, 03/15/18............................. 715 717,447
AT&T, Inc.
5.800%, 02/15/19............................. 2,444 2,561,555
2.450%, 06/30/20............................. 1,331 1,343,373
4.600%, 02/15/21............................. 1,000 1,068,709
AutoZone, Inc.
3.700%, 04/15/22............................. 750 779,360
Bank of America Corp.
2.600%, 01/15/19............................. 730 734,763
2.625%, 10/19/20............................. 2,500 2,522,114
Bank of New York Mellon Corp. (The)
4.600%, 01/15/20............................. 1,200 1,267,450
2.150%, 02/24/20............................. 1,200 1,204,490
BB&T Corp.
1.450%, 01/12/18............................. 141 141,000
6.850%, 04/30/19............................. 2,000 2,144,261
2.050%, 05/10/21............................. 731 726,217
Becton Dickinson and Co.
3.250%, 11/12/20............................. 3,250 3,322,695
3.125%, 11/08/21............................. 3,000 3,063,149
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 7,000 7,044,407
Biogen, Inc.
2.900%, 09/15/20............................. 1,500 1,531,124
BlackRock, Inc.
5.000%, 12/10/19............................. 2,000 2,128,058
Boston Scientific Corp.
2.650%, 10/01/18............................. 2,000 2,014,119
6.000%, 01/15/20............................. 500 539,736
Bristol-Myers Squibb Co.
1.750%, 03/01/19............................. 500 499,779
109
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Buckeye Partners L.P.
6.050%, 01/15/18............................. 1,310 $ 1,320,505
2.650%, 11/15/18............................. 261 262,628
Capital One Bank USA NA
2.300%, 06/05/19............................. 2,000 2,003,608
Capital One Financial Corp.
2.450%, 04/24/19............................. 900 904,831
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 545 548,886
1.700%, 08/09/21............................. 1,000 980,200
CBS Corp.
2.300%, 08/15/19............................. 2,000 2,012,339
CenterPoint Energy Resources Corp.
6.125%, 11/01/17............................. 39 39,000
Charles Schwab Corp. (The)
2.200%, 07/25/18............................. 372 373,244
Chevron Corp.
1.104%, 12/05/17............................. 383 382,911
2.427%, 06/24/20............................. 3,010 3,050,030
2.419%, 11/17/20............................. 14,000 14,155,449
2.100%, 05/16/21............................. 1,375 1,374,204
2.498%, 03/03/22............................. 3,000 3,032,283
Cisco Systems, Inc.
4.450%, 01/15/20............................. 4,940 5,211,593
2.450%, 06/15/20............................. 4,400 4,459,154
2.200%, 02/28/21............................. 3,000 3,007,267
1.850%, 09/20/21............................. 14,000 13,827,841
Citigroup, Inc.
2.500%, 09/26/18............................. 501 503,902
2.050%, 06/07/19............................. 3,000 2,998,751
2.400%, 02/18/20............................. 3,000 3,014,947
CNA Financial Corp.
5.750%, 08/15/21............................. 880 973,887
Coca-Cola Co. (The)
2.450%, 11/01/20............................. 3,000 3,049,328
1.550%, 09/01/21............................. 2,500 2,465,130
3.300%, 09/01/21............................. 1,000 1,044,769
Comcast Corp.
6.300%, 11/15/17............................. 286 286,503
5.150%, 03/01/20............................. 1,900 2,040,422
Comerica, Inc.
2.125%, 05/23/19............................. 1,450 1,450,630
ConocoPhillips Co.
1.050%, 12/15/17............................. 809 808,654
4.200%, 03/15/21............................. 1,400 1,486,721
Constellation Brands, Inc.
2.700%, 05/09/22............................. 5,000 5,012,639
CVS Health Corp.
2.250%, 08/12/19............................. 2,500 2,504,078
2.125%, 06/01/21............................. 500 492,565
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Dollar General Corp.
1.875%, 04/15/18............................. 921 $ 921,190
Dominion Energy, Inc.
2.500%, 12/01/19............................. 3,500 3,523,567
Dr. Pepper Snapple Group, Inc.
2.600%, 01/15/19............................. 1,000 1,006,336
DTE Energy Co.
2.400%, 12/01/19............................. 4,000 4,015,256
eBay, Inc.
2.200%, 08/01/19............................. 4,346 4,361,415
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 183 188,439
Electronic Arts, Inc.
3.700%, 03/01/21............................. 2,000 2,077,517
Eversource Energy
1.450%, 05/01/18............................. 235 234,732
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 2,600 2,639,833
4.000%, 10/01/20............................. 600 626,945
Express Scripts Holding Co.
2.250%, 06/15/19............................. 1,000 1,002,938
3.900%, 02/15/22............................. 1,866 1,952,956
Exxon Mobil Corp.
1.819%, 03/15/19............................. 3,427 3,435,231
1.912%, 03/06/20............................. 2,400 2,403,117
2.222%, 03/01/21............................. 5,824 5,860,936
Fidelity National Information Services, Inc.
2.250%, 08/15/21............................. 5,000 4,961,961
Fifth Third Bank
2.375%, 04/25/19............................. 2,003 2,015,008
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 984 1,000,961
3.157%, 08/04/20............................. 1,200 1,224,756
3.336%, 03/18/21............................. 2,128 2,184,507
GATX Corp.
2.500%, 07/30/19............................. 200 200,820
General Electric Co.
0.375%, 05/17/22............................. EUR 4,400 5,160,042
General Motors Financial Co., Inc.
3.200%, 07/06/21............................. 7,200 7,345,587
Georgia Power Co.
4.250%, 12/01/19............................. 2,065 2,159,653
Gilead Sciences, Inc.
2.550%, 09/01/20............................. 1,000 1,012,824
Goldman Sachs Group, Inc. (The)
2.550%, 10/23/19............................. 4,900 4,937,490
110
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Halliburton Co.
2.000%, 08/01/18............................. 2,470 $2,474,467
Harris Corp.
2.700%, 04/27/20............................. 4,500 4,546,128
Hewlett Packard Enterprise Co.
3.600%, 10/15/20............................. 3,800 3,929,528
Home Depot, Inc. (The)
2.000%, 06/15/19............................. 190 190,855
HP, Inc.
4.300%, 06/01/21............................. 1,567 1,659,117
Humana, Inc.
2.625%, 10/01/19............................. 3,000 3,033,950
Huntington National Bank (The)
2.400%, 04/01/20............................. 2,600 2,612,231
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 2,000 2,133,512
Intel Corp.
2.450%, 07/29/20............................. 127 128,835
Intercontinental Exchange, Inc.
2.750%, 12/01/20............................. 268 273,443
International Business Machines Corp.
1.250%, 02/08/18............................. 100 99,949
# 1.950%, 02/12/19............................. 2,277 2,284,726
1.625%, 05/15/20............................. 1,390 1,381,564
Jefferies Group LLC
5.125%, 04/13/18............................. 134 136,067
JM Smucker Co. (The)
2.500%, 03/15/20............................. 3,320 3,345,445
John Deere Capital Corp.
2.050%, 03/10/20............................. 1,625 1,627,647
Johnson & Johnson
2.250%, 03/03/22............................. 1,500 1,505,916
JPMorgan Chase & Co.
2.350%, 01/28/19............................. 3,000 3,018,246
Kellogg Co.
4.000%, 12/15/20............................. 1,000 1,052,046
KeyCorp
2.900%, 09/15/20............................. 2,000 2,037,697
Kimberly-Clark Corp.
1.900%, 05/22/19............................. 2,000 2,003,336
Kroger Co. (The)
3.400%, 04/15/22............................. 1,000 1,027,736
Lam Research Corp.
2.750%, 03/15/20............................. 2,800 2,837,286
Legg Mason, Inc.
2.700%, 07/15/19............................. 3,000 3,032,988
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 2,900 3,123,975
Manufacturers & Traders Trust Co.
2.100%, 02/06/20............................. 4,225 4,229,962
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Marriott International, Inc.
6.750%, 05/15/18............................. 367 $ 376,694
3.000%, 03/01/19............................. 2,960 2,988,451
Marsh & McLennan Cos., Inc.
2.350%, 03/06/20............................. 2,000 2,007,932
2.750%, 01/30/22............................. 1,500 1,513,486
MasterCard, Inc.
2.000%, 04/01/19............................. 2,365 2,374,615
Mattel, Inc.
2.350%, 05/06/19............................. 5,000 4,911,800
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 2,000 2,010,826
McDonald's Corp.
5.350%, 03/01/18............................. 286 289,560
5.000%, 02/01/19............................. 4,506 4,683,330
McKesson Corp.
1.400%, 03/15/18............................. 1,300 1,298,898
Mead Johnson Nutrition Co.
3.000%, 11/15/20............................. 700 715,488
Merck & Co., Inc.
2.350%, 02/10/22............................. 1,345 1,353,054
Microsoft Corp.
2.000%, 11/03/20............................. 3,500 3,505,065
1.550%, 08/08/21............................. 4,000 3,919,694
Mondelez International Holdings Netherlands BV
## 2.000%, 10/28/21............................. 2,258 2,215,471
Monsanto Co.
1.850%, 11/15/18............................. 2,155 2,155,596
2.125%, 07/15/19............................. 2,550 2,551,803
Morgan Stanley
2.375%, 07/23/19............................. 2,220 2,229,161
Nasdaq, Inc.
5.550%, 01/15/20............................. 2,484 2,660,697
NetApp, Inc.
2.000%, 12/15/17............................. 215 215,030
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 2,950 2,966,142
NiSource Finance Corp.
6.800%, 01/15/19............................. 61 64,407
Nordstrom, Inc.
4.750%, 05/01/20............................. 350 366,715
Nucor Corp.
5.750%, 12/01/17............................. 4,612 4,626,629
Nuveen Finance LLC
## 2.950%, 11/01/19............................. 3,890 3,949,756
NVIDIA Corp.
2.200%, 09/16/21............................. 575 573,762
ONEOK, Inc.
4.250%, 02/01/22............................. 3,000 3,120,600
111
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Oracle Corp.
2.250%, 10/08/19............................. 2,000 $2,019,559
1.900%, 09/15/21............................. 9,000 8,904,755
2.500%, 05/15/22............................. 3,000 3,023,833
PepsiCo, Inc.
2.150%, 10/14/20............................. 3,000 3,019,134
Pfizer, Inc.
2.100%, 05/15/19............................. 2,652 2,667,114
1.950%, 06/03/21............................. 5,000 4,980,902
0.250%, 03/06/22............................. EUR 4,000 4,693,817
PG&E Corp.
2.400%, 03/01/19............................. 2,074 2,081,465
PNC Bank NA
2.400%, 10/18/19............................. 4,000 4,031,342
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 960 954,264
1.700%, 11/03/21............................. 5,000 4,917,253
2.300%, 02/06/22............................. 650 651,070
Progress Energy, Inc.
4.400%, 01/15/21............................. 2,150 2,267,406
Prudential Financial, Inc.
5.375%, 06/21/20............................. 3,000 3,249,452
PSEG Power LLC
2.450%, 11/15/18............................. 2,499 2,513,007
QUALCOMM, Inc.
2.250%, 05/20/20............................. 3,000 3,015,087
Quest Diagnostics, Inc.
2.700%, 04/01/19............................. 1,300 1,310,692
2.500%, 03/30/20............................. 3,630 3,648,159
Roper Technologies, Inc.
2.050%, 10/01/18............................. 135 135,322
Ryder System, Inc.
2.500%, 03/01/18............................. 250 250,553
2.350%, 02/26/19............................. 2,000 2,005,060
Scripps Networks Interactive, Inc.
2.750%, 11/15/19............................. 2,369 2,390,930
Southern Power Co.
2.500%, 12/15/21............................. 539 536,489
Southwest Airlines Co.
2.750%, 11/06/19............................. 426 431,396
State Street Corp.
4.375%, 03/07/21............................. 2,000 2,139,287
Stryker Corp.
2.625%, 03/15/21............................. 2,378 2,400,132
SunTrust Banks, Inc.
2.900%, 03/03/21............................. 3,000 3,048,854
Sysco Corp.
2.600%, 10/01/20............................. 3,970 4,018,156
Target Corp.
2.300%, 06/26/19............................. 515 519,775
Time Warner, Inc.
2.100%, 06/01/19............................. 2,000 2,001,431
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Total System Services, Inc.
2.375%, 06/01/18............................. 1,701 $ 1,705,306
Tyson Foods, Inc.
2.650%, 08/15/19............................. 1,940 1,959,601
U.S. Bancorp
2.200%, 04/25/19............................. 566 569,151
UnitedHealth Group, Inc.
2.300%, 12/15/19............................. 1,400 1,410,571
2.700%, 07/15/20............................. 439 447,040
2.125%, 03/15/21............................. 2,000 1,999,675
US Bank NA
1.400%, 04/26/19............................. 3,400 3,382,367
Verizon Communications, Inc.
4.500%, 09/15/20............................. 2,250 2,400,196
Viacom, Inc.
3.875%, 12/15/21............................. 2,740 2,810,135
Walgreen Co.
5.250%, 01/15/19............................. 8 8,295
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19............................. 2,000 2,021,014
Wells Fargo & Co.
2.125%, 04/22/19............................. 2,170 2,177,022
2.150%, 01/30/20............................. 1,500 1,503,108
WestRock RKT Co.
4.450%, 03/01/19............................. 595 612,281
Wyndham Worldwide Corp.
2.500%, 03/01/18............................. 1,805 1,807,474
Xilinx, Inc.
2.125%, 03/15/19............................. 766 767,377
--------------
TOTAL UNITED STATES................................. 463,780,313
--------------
TOTAL BONDS......................................... 1,074,045,059
--------------
AGENCY OBLIGATIONS -- (2.2%)
Federal National Mortgage Association
# 1.875%, 12/28/20............................. 22,000 22,048,488
# 1.250%, 05/06/21............................. 4,000 3,922,456
--------------
TOTAL AGENCY OBLIGATIONS............................ 25,970,944
--------------
U.S. TREASURY OBLIGATIONS -- (0.8%)
Treasury Inflation Protected Security
^^^++ 0.125%, 04/15/22............................. 9,600 9,673,675
--------------
TOTAL INVESTMENT SECURITIES......................... 1,109,689,678
--------------
112
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
SHARES VALUE+
- ------ ------
SECURITIES LENDING COLLATERAL -- (2.5%)
(S)@ DFA Short Term Investment Fund............... 2,495,343 $ 28,873,609
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,138,945,958)............................ $1,138,563,288
==============
At October 31, 2017, DFA Short-Duration Real Return Portfolio had entered into
the following forward currency contracts and the net unrealized foreign
exchange gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ----------------- ---------- --------------
AUD 6,877,423 USD 5,261,572 Citibank, N.A. 11/02/17 $ 2,062
USD 1,679,642 CAD 2,111,500 ANZ Securities 11/01/17 42,947
USD 2,067,727 CAD 2,622,278 Citibank, N.A. 11/01/17 35,111
USD 14,174,977 CAD 17,663,377 Barclays Capital 11/01/17 483,498
USD 1,594,011 AUD 2,051,127 Citibank, N.A. 11/02/17 24,181
USD 3,790,581 AUD 4,826,296 Citibank, N.A. 11/02/17 96,776
USD 8,849,567 CAD 11,042,931 Barclays Capital 11/06/17 289,440
USD 14,780,909 CAD 18,469,508 Citibank, N.A. 11/06/17 463,936
USD 54,181,790 SEK 439,667,343 Citibank, N.A. 01/05/18 1,443,364
USD 2,777,826 EUR 2,372,561 Citibank, N.A. 01/19/18 1,334
USD 4,946,289 EUR 4,178,595 Citibank, N.A. 01/19/18 56,283
USD 46,955,931 EUR 39,539,413 Citibank, N.A. 01/19/18 684,889
USD 2,344,677 CAD 3,006,564 Citibank, N.A. 01/26/18 12,072
USD 17,310,319 CAD 22,207,182 Citibank, N.A. 01/26/18 81,159
----------
TOTAL APPRECIATION $3,717,052
CAD 22,397,155 USD 17,443,616 Citibank, N.A. 11/01/17 $ (82,826)
CAD 2,974,040 USD 2,317,317 Citibank, N.A. 11/01/17 (12,038)
USD 1,001,426 GBP 753,864 Citibank, N.A. 01/12/18 (2,125)
USD 5,302,946 AUD 6,937,003 Citibank, N.A. 01/30/18 (2,108)
----------
TOTAL (DEPRECIATION) $ (99,097)
----------
TOTAL APPRECIATION
(DEPRECIATION) $3,617,955
==========
At October 31, 2017, DFA Short-Duration Real Return Portfolio had entered into
the following outstanding Interest Rate Swaps:
PAYMENTS UPFRONT UPFRONT UNREALIZED
PAYMENTS MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED MARKET VALUE (DEPRECIATION)
--------------------- ------------ -------- --------- -------------- ---------- -------- -------- ------------ --------------
Bank of America Corp. 2.282% Fixed CPI USD 40,000,000 02/08/20 -- -- $(366,736) $(366,736)
Bank of America Corp. 2.225% Fixed CPI USD 29,000,000 03/01/20 -- -- (239,860) (239,860)
Bank of America Corp. 2.204% Fixed CPI USD 44,000,000 02/16/19 -- -- (232,419) (232,419)
Bank of America Corp. 1.832% Fixed CPI USD 40,000,000 11/08/20 -- -- 338,080 338,080
Bank of America Corp. 1.633% Fixed CPI USD 27,000,000 04/14/21 -- -- 573,542 573,542
Bank of America Corp. 1.593% Fixed CPI USD 14,000,000 01/04/21 -- -- 234,527 234,527
Bank of America Corp. 1.525% Fixed CPI USD 43,000,000 08/31/21 -- -- 990,063 990,063
Bank of America Corp. 1.435% Fixed CPI USD 30,000,000 10/30/20 -- -- 625,721 625,721
Citibank, N.A. 2.144% Fixed CPI USD 44,000,000 01/11/21 -- -- (261,884) (261,884)
Citibank, N.A. 2.041% Fixed CPI USD 24,000,000 10/17/22 -- -- 55,384 55,384
Citibank, N.A. 2.009% Fixed CPI USD 42,000,000 10/23/22 -- -- 148,718 148,718
113
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
PAYMENTS UPFRONT UPFRONT UNREALIZED
PAYMENTS MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED MARKET VALUE (DEPRECIATION)
----------------- ------------ -------- --------- -------------- ---------- -------- -------- ------------ --------------
Citibank, N.A. 1.970% Fixed CPI USD 23,000,000 11/16/19 -- -- $ 45,036 $ 45,036
Citibank, N.A. 1.879% Fixed CPI USD 54,000,000 07/26/21 -- -- 364,339 364,339
Citibank, N.A. 1.849% Fixed CPI USD 20,000,000 10/27/21 -- -- 195,193 195,193
Citibank, N.A. 1.790% Fixed CPI USD 31,000,000 11/19/18 -- -- (552,940) (552,940)
Citibank, N.A. 1.655% Fixed CPI USD 40,000,000 07/20/20 -- -- 612,184 612,184
Citibank, N.A. 1.623% Fixed CPI USD 38,000,000 06/20/20 -- -- 700,223 700,223
Citibank, N.A. 1.320% Fixed CPI USD 30,000,000 01/20/19 -- -- 213,985 213,985
Credit Suisse 1.837% Fixed CPI USD 42,000,000 04/28/19 -- -- 13,849 13,849
Credit Suisse 1.735% Fixed CPI USD 33,000,000 03/05/19 -- -- (63,918) (63,918)
Deutsche Bank AG 1.938% Fixed CPI USD 25,000,000 09/08/22 -- -- 175,092 175,092
Deutsche Bank AG,
London Branch 2.242% Fixed CPI USD 26,000,000 06/12/19 -- -- (1,113,831) (1,113,831)
Deutsche Bank AG,
London Branch 2.145% Fixed CPI USD 25,000,000 03/17/20 -- -- (179,901) (179,901)
Deutsche Bank AG,
London Branch 2.135% Fixed CPI USD 30,000,000 04/05/21 -- -- (267,931) (267,931)
Deutsche Bank AG,
London Branch 1.990% Fixed CPI USD 45,000,000 06/05/22 -- -- 69,825 69,825
Deutsche Bank AG,
London Branch 1.983% Fixed CPI USD 32,000,000 05/12/22 -- -- (19,781) (19,781)
Deutsche Bank AG,
London Branch 1.860% Fixed CPI USD 60,000,000 06/30/20 -- -- 251,822 251,822
Deutsche Bank AG,
London Branch 1.765% Fixed CPI USD 40,000,000 03/03/19 -- -- (146,039) (146,039)
Deutsche Bank AG,
London Branch 1.718% Fixed CPI USD 36,000,000 09/27/21 -- -- 560,382 560,382
Deutsche Bank AG,
London Branch 1.670% Fixed CPI USD 40,000,000 07/08/19 -- -- 470,405 470,405
Deutsche Bank AG,
London Branch 1.563% Fixed CPI USD 48,000,000 07/28/19 -- -- 662,594 662,594
Deutsche Bank AG,
London Branch 1.348% Fixed CPI USD 14,000,000 01/28/20 -- -- 321,948 321,948
-- -- ----------- -----------
TOTAL -- -- $ 4,177,672 $ 4,177,672
== == =========== ===========
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. -- $ 69,818,526 -- $ 69,818,526
Austria... -- 10,974,462 -- 10,974,462
Belgium... -- 1,619,796 -- 1,619,796
Canada.... -- 149,305,512 -- 149,305,512
Denmark... -- 3,033,181 -- 3,033,181
Finland... -- 10,577,391 -- 10,577,391
France.... -- 25,089,658 -- 25,089,658
Germany... -- 38,102,830 -- 38,102,830
Ireland... -- 12,915,944 -- 12,915,944
Italy..... -- 2,008,086 -- 2,008,086
Japan..... -- 54,857,370 -- 54,857,370
114
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Netherlands............................ -- $ 64,566,653 -- $ 64,566,653
New Zealand............................ -- 4,454,430 -- 4,454,430
Norway................................. -- 952,160 -- 952,160
Spain.................................. -- 9,783,734 -- 9,783,734
Supranational Organization Obligations. -- 35,403,184 -- 35,403,184
Sweden................................. -- 89,150,977 -- 89,150,977
Switzerland............................ -- 1,546,621 -- 1,546,621
United Kingdom......................... -- 26,104,231 -- 26,104,231
United States.......................... -- 463,780,313 -- 463,780,313
Agency Obligations....................... -- 25,970,944 -- 25,970,944
U.S. Treasury Obligations................ -- 9,673,675 -- 9,673,675
Securities Lending Collateral............ -- 28,873,609 -- 28,873,609
Swap Agreements**........................ -- 4,177,672 -- 4,177,672
Forward Currency Contracts**............. -- 3,617,955 -- 3,617,955
-- -------------- -- --------------
TOTAL.................................... -- $1,146,358,914 -- $1,146,358,914
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
115
DFA MUNICIPAL REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.7%)
Alabama State (GO) Series A
5.000%, 08/01/20.............................. $2,250 $ 2,479,703
5.000%, 08/01/23.............................. 2,200 2,609,112
-----------
TOTAL ALABAMA...................................... 5,088,815
-----------
ALASKA -- (0.7%)
Borough of North Slope (GO) Series C (ETM)
3.000%, 06/30/18.............................. 500 506,400
City of Anchorage (GO) Series B
5.000%, 09/01/21.............................. 900 1,017,180
5.000%, 09/01/23.............................. 600 705,444
City of Anchorage (GO) Series D
5.000%, 09/01/23.............................. 2,585 3,039,288
-----------
TOTAL ALASKA....................................... 5,268,312
-----------
ARIZONA -- (0.7%)
City of Phoenix (GO)
4.000%, 07/01/20.............................. 1,500 1,610,175
City of Tempe (GO) Series C
4.000%, 07/01/22.............................. 1,400 1,556,394
Maricopa County High School District No.
210-Phoenix (GO)
3.000%, 07/01/23.............................. 650 696,891
Scottsdale Municipal Property Corp. (RB) Series A
3.000%, 07/01/21.............................. 805 853,799
-----------
TOTAL ARIZONA...................................... 4,717,259
-----------
ARKANSAS -- (1.6%)
Arkansas State (GO)
5.000%, 04/01/21.............................. 2,600 2,919,254
5.000%, 10/01/21.............................. 7,195 8,186,903
-----------
TOTAL ARKANSAS..................................... 11,106,157
-----------
CALIFORNIA -- (3.2%)
California State (GO)
5.000%, 08/01/26.............................. 9,000 11,124,000
5.000%, 08/01/27.............................. 4,000 4,989,560
California State (GO) Series B
5.000%, 09/01/25.............................. 3,140 3,837,394
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/27.............................. 2,000 2,536,880
-----------
TOTAL CALIFORNIA................................... 22,487,834
-----------
COLORADO -- (1.0%)
Boulder County (RB)
5.000%, 07/15/18.............................. 100 102,771
FACE
AMOUNT VALUE+
------ ------
(000)
COLORADO -- (Continued)
Denver City & County School District No. 1 (GO)
Series B (ETM) (ST AID WITHHLDG)
4.000%, 12/01/18............................. $ 35 $ 36,095
Denver City & County School District No. 1 (GO)
Series B (ST AID WITHHLDG)
4.000%, 12/01/18............................. 265 273,493
5.000%, 12/01/24............................. 900 1,089,315
El Paso County School District No. 20 Academy
(GO) (ST AID WITHHLDG)
5.000%, 12/15/21............................. 1,240 1,416,465
Jefferson County School District R-1 (GO) (ST
AID WITHHLDG)
5.250%, 12/15/24............................. 1,000 1,226,550
Weld County School District No. RE-4 (GO) (ST
INTERCEPT)
4.000%, 12/01/23............................. 2,425 2,735,424
-----------
TOTAL COLORADO................................... 6,880,113
-----------
CONNECTICUT -- (0.3%)
Connecticut State (GO) Series A
5.000%, 10/15/18............................. 600 621,300
5.000%, 10/15/19............................. 300 320,670
Connecticut State (GO) Series C
5.000%, 06/01/18............................. 1,000 1,022,090
-----------
TOTAL CONNECTICUT................................ 1,964,060
-----------
DELAWARE -- (0.6%)
New Castle County (GO)
5.000%, 10/01/23............................. 2,275 2,718,284
New Castle County (GO) Series B
5.000%, 07/15/22............................. 1,450 1,688,191
-----------
TOTAL DELAWARE................................... 4,406,475
-----------
DISTRICT OF COLUMBIA -- (1.8%)
District of Columbia (GO) Series A
5.000%, 06/01/20............................. 1,900 2,083,920
District of Columbia (GO) Series E
5.000%, 06/01/21............................. 2,550 2,880,913
5.000%, 06/01/26............................. 1,875 2,316,469
Washington Metropolitan Area Transit Authority
(RB) Series A-1
5.000%, 07/01/27............................. 4,535 5,625,985
-----------
TOTAL DISTRICT OF COLUMBIA....................... 12,907,287
-----------
FLORIDA -- (3.5%)
Florida Department of Environmental Protection
(RB) Series A
5.000%, 07/01/26............................. 5,000 6,160,800
116
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
FLORIDA -- (Continued)
Florida State (GO)
5.000%, 07/01/21.............................. $2,000 $ 2,265,440
5.000%, 07/01/24.............................. 500 602,830
Florida State Board of Education (GO) Series A
5.000%, 06/01/23.............................. 700 827,386
Florida State Board of Education (GO) Series B
5.000%, 06/01/19.............................. 555 588,189
5.000%, 06/01/20.............................. 3,300 3,619,440
5.000%, 06/01/23.............................. 650 768,287
5.000%, 06/01/25.............................. 3,000 3,665,490
Miami-Dade County (GO) Series A
5.000%, 07/01/26.............................. 1,810 2,217,340
Miami-Dade County (GO) Series D
5.000%, 07/01/20.............................. 3,520 3,866,685
-----------
TOTAL FLORIDA...................................... 24,581,887
-----------
GEORGIA -- (3.5%)
Cobb County (GO)
5.000%, 01/01/22.............................. 2,335 2,680,954
Georgia State (GO) Series A-1
5.000%, 02/01/19.............................. 6,805 7,138,853
Georgia State (GO) Series C
5.000%, 10/01/21.............................. 2,490 2,839,397
Georgia State (GO) Series C-1
5.000%, 07/01/23.............................. 3,000 3,557,280
5.000%, 07/01/24.............................. 3,200 3,867,072
Georgia State (GO) Series I
5.000%, 07/01/20.............................. 2,345 2,579,195
Georgia State Road & Tollway Authority (RB) (GTD)
5.000%, 10/01/23.............................. 1,580 1,883,929
-----------
TOTAL GEORGIA...................................... 24,546,680
-----------
HAWAII -- (0.9%)
City & County of Honolulu (GO) Series B
5.000%, 10/01/23.............................. 2,150 2,547,556
5.000%, 10/01/25.............................. 450 550,193
Hawaii State (GO) Series EF
5.000%, 11/01/22.............................. 300 349,899
Hawaii State (GO) Series EH (ETM)
5.000%, 08/01/23.............................. 1,225 1,448,366
Hawaii State (GO) Series EH-2017
5.000%, 08/01/23.............................. 970 1,148,626
Hawaii State (GO) Series EH-2017 (ETM)
5.000%, 08/01/23.............................. 305 360,614
-----------
TOTAL HAWAII....................................... 6,405,254
-----------
IOWA -- (0.1%)
City of Ankeny (GO) Series G
5.000%, 06/01/19.............................. 910 964,564
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
KANSAS -- (1.4%)
City of Lenexa (GO) Series A
5.000%, 09/01/21............................. $ 600 $ 681,720
City of Lenexa (GO) Series B
5.000%, 09/01/20............................. 1,610 1,778,792
City of Wichita (GO) Series A
5.000%, 12/01/20............................. 3,000 3,338,910
Johnson County (GO) Series B
5.000%, 09/01/22............................. 1,405 1,634,718
Kansas State Department of Transportation (RB)
Series B
5.000%, 09/01/20............................. 1,975 2,183,797
Kansas State Department of Transportation (RB)
Series C
5.000%, 09/01/19............................. 125 133,691
----------
TOTAL KANSAS..................................... 9,751,628
----------
KENTUCKY -- (1.1%)
Louisville & Jefferson County (GO) Series A
5.000%, 12/01/22............................. 1,500 1,750,275
5.000%, 12/01/25............................. 3,800 4,662,524
Louisville Water Co. (RB)
4.000%, 11/15/17............................. 1,605 1,606,733
----------
TOTAL KENTUCKY................................... 8,019,532
----------
LOUISIANA -- (0.9%)
Louisiana State (GO) Series A (ETM)
5.000%, 08/01/18............................. 4,000 4,116,600
Louisiana State (GO) Series C
5.000%, 07/15/22............................. 250 288,723
5.000%, 08/01/23............................. 1,100 1,295,294
Louisiana State (GO) Series D-2
5.000%, 12/01/21............................. 600 683,580
----------
TOTAL LOUISIANA.................................. 6,384,197
----------
MARYLAND -- (5.8%)
Anne Arundel County (GO)
5.000%, 04/01/23............................. 4,000 4,716,200
Baltimore County (GO)
5.000%, 08/01/18............................. 1,000 1,029,230
5.000%, 08/01/21............................. 500 567,240
City of Baltimore (GO) Series B
5.000%, 10/15/22............................. 645 752,031
City of Frederick (GO) Series C
5.000%, 03/01/27............................. 3,100 3,875,961
Harford County (GO) Series A
5.000%, 09/15/20............................. 900 996,435
Howard County (GO) Series B
5.000%, 02/15/26............................. 6,420 7,955,664
Maryland State (GO) Series B
5.000%, 03/01/19............................. 1,000 1,051,090
4.000%, 08/01/23............................. 1,785 2,020,352
5.000%, 08/01/26............................. 5,500 6,852,890
Maryland State (GO) Series C
5.000%, 08/01/20............................. 2,000 2,204,740
117
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MARYLAND -- (Continued)
Prince George's County (GO) Series B
5.000%, 09/15/18............................. $ 650 $ 672,269
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/18............................. 650 664,892
5.000%, 06/01/24............................. 4,325 5,221,919
Worcester County (GO) Series B
4.000%, 08/01/21............................. 2,255 2,471,728
-----------
TOTAL MARYLAND................................... 41,052,641
-----------
MASSACHUSETTS -- (3.7%)
City of Boston (GO) Series A
5.000%, 03/01/20............................. 1,200 1,306,788
5.000%, 04/01/20............................. 1,250 1,364,862
City of Boston (GO) Series B
5.000%, 04/01/24............................. 3,500 4,220,230
Commonwealth of Massachusetts (GO) Series C
5.000%, 04/01/23............................. 4,000 4,702,560
Commonwealth of Massachusetts (GO) Series A
5.000%, 03/01/18............................. 1,500 1,519,770
Commonwealth of Massachusetts (GO) Series B
5.250%, 08/01/21............................. 500 571,205
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20............................. 3,255 3,585,415
5.000%, 08/01/24............................. 1,360 1,639,140
Massachusetts Clean Water Trust (The) (RB)
5.000%, 08/01/20............................. 400 441,408
Massachusetts School Building Authority (RB)
Series A
5.000%, 11/15/25............................. 3,240 3,979,821
Town of Lexington (BAN)
2.000%, 02/16/18............................. 1,157 1,160,506
Town of Lexington (GO)
4.000%, 02/15/27............................. 1,000 1,174,260
Town of Medfield (GO)
3.000%, 09/15/19............................. 510 527,779
-----------
TOTAL MASSACHUSETTS.............................. 26,193,744
-----------
MICHIGAN -- (0.8%)
Michigan State (GO)
5.000%, 11/01/19............................. 700 753,207
Michigan State (GO) Series A
5.000%, 05/01/23............................. 2,425 2,857,232
5.000%, 05/01/25............................. 1,500 1,830,525
-----------
TOTAL MICHIGAN................................... 5,440,964
-----------
MINNESOTA -- (2.4%)
City of Edina (GO) Series B
3.000%, 02/01/19............................. 1,000 1,023,840
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
City of Rochester (GO) Series A
5.000%, 02/01/18.............................. $ 650 $ 656,442
Hennepin County (GO) Series C
5.000%, 12/01/28.............................. 1,150 1,470,286
Minnesota State (GO) Series A
5.000%, 08/01/21.............................. 1,330 1,507,821
5.000%, 08/01/25.............................. 7,000 8,584,450
Minnesota State (GO) Series D
5.000%, 08/01/18.............................. 650 669,149
5.000%, 08/01/21.............................. 700 793,590
Minnesota State (GO) Series E
2.000%, 08/01/19.............................. 1,000 1,014,650
Saint Paul Public Library Agency (GO) Series C
5.000%, 03/01/20.............................. 900 979,659
-----------
TOTAL MINNESOTA.................................... 16,699,887
-----------
MISSISSIPPI -- (0.4%)
Madison County School District (GO)
3.500%, 12/01/19.............................. 350 367,006
Mississippi State (GO) Series B
5.000%, 11/01/20.............................. 600 666,174
Mississippi State (GO) Series C
5.000%, 10/01/20.............................. 1,565 1,734,302
-----------
TOTAL MISSISSIPPI.................................. 2,767,482
-----------
MISSOURI -- (0.6%)
Columbia School District (GO) Series B
5.000%, 03/01/23.............................. 2,500 2,935,400
Missouri Highway & Transportation Commission (RB)
5.000%, 02/01/19.............................. 1,525 1,598,444
-----------
TOTAL MISSOURI..................................... 4,533,844
-----------
NEBRASKA -- (1.2%)
Douglas County School District No. 17 (GO)
4.000%, 12/15/26.............................. 3,000 3,489,690
Omaha School District (GO)
5.000%, 12/15/26.............................. 3,975 4,953,724
-----------
TOTAL NEBRASKA..................................... 8,443,414
-----------
NEVADA -- (4.1%)
City of Henderson NV (GO)
5.000%, 06/01/21.............................. 600 675,396
Clark County (GO) Series B
5.000%, 11/01/24.............................. 8,665 10,480,317
Nevada State (GO) Series D
5.000%, 04/01/25.............................. 11,625 14,123,910
Nevada State (GO) Series D-1
5.000%, 03/01/22.............................. 2,000 2,296,940
Washoe County School District (GO) Series F
5.000%, 06/01/21.............................. 900 1,012,419
-----------
TOTAL NEVADA....................................... 28,588,982
-----------
118
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW HAMPSHIRE -- (0.4%)
City of Dover (GO) Series C
5.000%, 07/01/20............................. $ 220 $ 241,910
City of Nashua (GO)
4.000%, 07/15/24............................. 2,000 2,279,320
New Hampshire State (GO) Series B
5.000%, 06/01/19............................. 540 572,551
-----------
TOTAL NEW HAMPSHIRE.............................. 3,093,781
-----------
NEW MEXICO -- (2.6%)
New Mexico State (GO)
5.000%, 03/01/19............................. 3,500 3,678,815
5.000%, 03/01/21............................. 2,105 2,358,758
New Mexico State Severance Tax Permanent Fund
(RB) Series A
5.000%, 07/01/27............................. 2,570 3,195,846
New Mexico State Severance Tax Permanent Fund
(RB) Series B
4.000%, 07/01/20............................. 2,000 2,145,820
New Mexico State Severance Tax Permanent Fund
(RB) Series D
5.000%, 07/01/26............................. 5,580 6,865,521
-----------
TOTAL NEW MEXICO................................. 18,244,760
-----------
NEW YORK -- (2.4%)
City of New York (GO) Series C
5.000%, 08/01/26............................. 500 612,615
City of New York (GO) Series G
5.000%, 08/01/18............................. 1,600 1,646,528
City of New York (GO) Series J
5.000%, 08/01/22............................. 650 751,270
New York State Dormitory Authority (RB) Series A
5.000%, 02/15/22............................. 2,500 2,873,075
5.000%, 02/15/24............................. 700 836,689
New York State Urban Development Corp. (RB)
Series A
5.000%, 03/15/26............................. 6,890 8,469,532
New York State Urban Development Corp. (RB)
Series C
5.000%, 12/15/18............................. 1,000 1,043,260
Riverhead Central School District (GO) (ST AID
WITHHLDG)
2.000%, 10/15/22............................. 700 720,706
-----------
TOTAL NEW YORK................................... 16,953,675
-----------
NORTH CAROLINA -- (5.6%)
City of Charlotte Water & Sewer System Revenue
(RB)
5.000%, 07/01/21............................. 1,800 2,040,966
Forsyth County (GO)
4.000%, 12/01/21............................. 1,500 1,658,550
Gaston County (GO)
5.000%, 02/01/26............................. 2,500 3,080,350
Iredell County (GO) Series B
2.500%, 02/01/24............................. 2,285 2,384,580
FACE
AMOUNT VALUE+
------ ------
(000)
NORTH CAROLINA -- (Continued)
Mecklenburg County (GO) Series B
5.000%, 12/01/21............................. $6,120 $ 7,009,114
5.000%, 12/01/26............................. 8,430 10,560,092
North Carolina Eastern Municipal Power Agency
(RB) Series B (NATL-IBC) (ETM)
6.000%, 01/01/22............................. 650 772,551
North Carolina State (GO) Series A
5.000%, 06/01/22............................. 6,000 6,955,020
North Carolina State (GO) Series C
3.750%, 05/01/19............................. 1,500 1,559,100
Wake County (GO)
5.000%, 03/01/19............................. 1,000 1,051,630
5.000%, 09/01/21............................. 2,250 2,560,973
-----------
TOTAL NORTH CAROLINA............................. 39,632,926
-----------
NORTH DAKOTA -- (0.1%)
North Dakota State University of Agriculture &
Applied Science (RB) Series A
5.000%, 04/01/21............................. 545 608,438
-----------
OHIO -- (3.8%)
Beavercreek City School District (GO) (AGM)
5.000%, 12/01/18............................. 525 546,987
City of Columbus (GO) Series 1
5.000%, 07/01/21............................. 2,775 3,143,298
5.000%, 07/01/23............................. 1,875 2,221,069
City of Columbus (GO) Series A
5.000%, 02/15/20............................. 650 706,446
2.000%, 08/15/22............................. 2,000 2,043,200
4.000%, 08/15/25............................. 3,500 4,026,820
Cleveland Department of Public Utilities
Division of Water (RB) Series T
5.000%, 01/01/19............................. 4,335 4,529,902
Ohio State (GO) Series A
4.000%, 03/01/21............................. 1,475 1,604,372
5.000%, 09/15/24............................. 2,000 2,417,520
5.000%, 09/15/25............................. 1,950 2,393,079
Ohio State (GO) Series B
5.000%, 08/01/20............................. 650 716,170
Ohio Water Development Authority (RB) Series C
5.000%, 06/01/19............................. 2,225 2,359,501
-----------
TOTAL OHIO....................................... 26,708,364
-----------
OREGON -- (1.6%)
City of Portland Sewer System Revenue (RB)
Series A
5.000%, 10/01/23............................. 3,570 4,243,373
Multnomah County School District No. 1 Portland
(GO) Series B (SCH BD GTY)
5.000%, 06/15/23............................. 1,005 1,189,699
119
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
OREGON -- (Continued)
Oregon State (GO) Series A
5.000%, 05/01/21............................. $ 800 $ 901,464
Oregon State (GO) Series D
3.000%, 05/01/20............................. 2,345 2,449,118
Oregon State (GO) Series G
5.000%, 12/01/22............................. 2,050 2,399,710
-----------
TOTAL OREGON..................................... 11,183,364
-----------
PENNSYLVANIA -- (0.6%)
Pennsylvania Economic Development Financing
Authority (RB) Series A
5.000%, 01/01/18............................. 650 654,212
5.000%, 07/01/19............................. 3,145 3,343,921
-----------
TOTAL PENNSYLVANIA............................... 3,998,133
-----------
RHODE ISLAND -- (0.4%)
Rhode Island State (GO) Series A
5.000%, 08/01/20............................. 1,900 2,088,537
Rhode Island State (GO) Series D
5.000%, 08/01/22............................. 600 693,480
-----------
TOTAL RHODE ISLAND............................... 2,782,017
-----------
SOUTH CAROLINA -- (3.4%)
Beaufort County (GO) Series A (ST AID WITHHLDG)
4.000%, 03/01/22............................. 640 709,389
Beaufort County School District (GO) Series A
(SCSDE)
5.000%, 03/01/23............................. 6,000 7,034,880
Berkeley County School District (GO) Series A
(SCSDE)
5.000%, 03/01/27............................. 2,500 3,120,950
Charleston County (GO)
5.000%, 11/01/23............................. 1,000 1,194,320
Charleston County School District (GO) Series A
(SCSDE)
5.000%, 02/01/21............................. 800 894,616
Clemson University (RB) Series B
5.000%, 05/01/25............................. 750 912,337
Lexington & Richland School District No. 5 (GO)
(SCSDE)
5.000%, 03/01/24............................. 2,750 3,297,910
Richland County (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/26............................. 1,870 2,311,395
South Carolina State (GO) Series A (ST AID
WITHHLDG)
5.000%, 10/01/23............................. 3,000 3,582,690
Spartanburg County (GO) (ST AID WITHHLDG)
5.000%, 04/01/19............................. 1,210 1,275,667
-----------
TOTAL SOUTH CAROLINA............................. 24,334,154
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
TENNESSEE -- (5.1%)
City of Kingsport (GO) Series A
5.000%, 09/01/21............................. $ 510 $ 579,054
Hamilton County (GO) Series B
5.000%, 03/01/22............................. 2,000 2,305,120
Maury County (GO) Series B
5.000%, 04/01/20............................. 1,205 1,313,619
Metropolitan Government of Nashville & Davidson County
(GO)
5.000%, 01/01/26............................. 7,165 8,812,807
(currency) 5.000%, 01/01/27
(Pre-refunded
@ $100, 1/1/18).............................. 290 291,891
Metropolitan Government of Nashville & Davidson County
(GO) Series C
5.000%, 07/01/21............................. 5,000 5,661,650
Rutherford County (GO) Series B
5.000%, 04/01/23............................. 4,085 4,804,818
Shelby County (GO)
5.000%, 04/01/25............................. 5,000 6,101,850
Shelby County (GO) Series A
5.000%, 04/01/20............................. 1,500 1,636,335
Sullivan County (GO) Series A
5.000%, 04/01/21............................. 1,000 1,121,720
Sumner County (GO)
5.000%, 06/01/21............................. 650 733,622
5.000%, 12/01/21............................. 900 1,029,213
Washington County (GO) Series A
4.000%, 06/01/26............................. 1,705 1,965,353
-----------
TOTAL TENNESSEE.......................................... 36,357,052
-----------
TEXAS -- (17.6%)
City of Arlington (GO)
5.000%, 08/15/25............................. 1,000 1,220,920
City of Austin (GO)
5.000%, 09/01/25............................. 2,305 2,820,675
City of Dallas (GO)
5.000%, 02/15/19............................. 1,600 1,674,592
City of Dallas Waterworks & Sewer System Revenue (RB)
Series A
5.000%, 10/01/22............................. 9,000 10,463,490
City of Frisco (GO) Series A
5.000%, 02/15/25............................. 2,000 2,424,500
City of Garland (GO) Series A
5.000%, 02/15/24............................. 400 477,320
City of Houston (GO) (TRANS)
4.000%, 06/29/18............................. 4,000 4,078,360
City of Houston (GO) Series A
5.000%, 03/01/18............................. 300 303,855
City of Lubbock (GO)
5.000%, 02/15/23............................. 4,000 4,673,360
City of San Antonio (GO)
5.000%, 02/01/20............................. 2,500 2,709,975
5.000%, 02/01/21............................. 2,200 2,457,950
120
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
City of San Antonio Electric & Gas Systems
Revenue (RB)
5.000%, 02/01/24.............................. $ 9,515 $11,374,516
5.000%, 02/01/26.............................. 2,850 3,509,177
City of San Antonio Electric & Gas Systems
Revenue (RB) Series D
5.000%, 02/01/19.............................. 310 325,047
City of Sugar Land (GO)
5.000%, 02/15/21.............................. 1,050 1,174,919
Conroe Independent School District (GO) Series A
(PSF-GTD)
5.000%, 02/15/26.............................. 8,710 10,748,314
Cypress-Fairbanks Independent School District
(GO) (PSF-GTD)
5.000%, 02/15/21.............................. 800 894,632
Dallas County Community College District (GO)
5.000%, 02/15/23.............................. 7,965 9,323,431
El Paso Independent School District (GO)
(PSF-GTD)
5.000%, 08/15/24.............................. 3,035 3,644,124
Frisco Independent School District (GO) (PSF-GTD)
5.000%, 08/15/20.............................. 2,460 2,716,775
Highland Park Independent School District (GO)
5.000%, 02/15/23.............................. 3,120 3,659,011
Houston Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/27.............................. 5,000 6,212,600
Humble Independent School District (GO) Series A
(PSF-GTD)
2.000%, 02/15/19.............................. 660 667,220
Pflugerville Independent School District (GO)
(PSF-GTD)
4.000%, 08/15/20.............................. 2,000 2,148,960
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/24.............................. 2,225 2,658,007
San Antonio Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20.............................. 1,790 1,944,173
Texas State (GO)
5.000%, 04/01/19.............................. 1,150 1,212,572
5.000%, 10/01/23.............................. 4,200 4,992,204
Texas Transportation Commission State Highway
Fund (RB)
5.000%, 10/01/26.............................. 2,505 3,115,744
University of Texas System (The) (RB) Series C
5.000%, 08/15/19.............................. 100 106,841
University of Texas System (The) (RB) Series J
5.000%, 08/15/25.............................. 12,500 15,291,875
5.000%, 08/15/26.............................. 3,850 4,765,799
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Ysleta Independent School District (GO) Series A
(PSF-GTD)
5.000%, 08/15/20............................. $ 460 $ 505,747
------------
TOTAL TEXAS...................................... 124,296,685
------------
UTAH -- (1.5%)
City of American Fork (GO)
5.000%, 05/01/26............................. 1,165 1,426,671
Jordan School District (GO) (SCH BD GTY)
5.000%, 06/15/22............................. 3,050 3,532,052
Tooele County School District (GO) Series B (SCH
BD GTY)
5.000%, 06/01/22............................. 650 752,836
Utah State (GO)
5.000%, 07/01/22............................. 1,500 1,745,160
Utah State (GO) Series C
5.000%, 07/01/18............................. 1,400 1,436,750
5.000%, 07/01/19............................. 900 957,699
Weber School District (GO) (SCH BD GTY)
5.000%, 06/15/21............................. 650 734,754
------------
TOTAL UTAH....................................... 10,585,922
------------
VERMONT -- (0.2%)
Vermont State (GO) Series C
4.000%, 08/15/23............................. 1,300 1,476,358
------------
VIRGINIA -- (4.7%)
Arlington County (GO) Series B
5.000%, 08/15/22............................. 4,830 5,632,118
City of Lynchburg (GO)
5.000%, 02/01/26............................. 1,930 2,387,989
City of Manassas (GO) Series C (ST AID WITHHLDG)
5.000%, 07/01/21............................. 1,040 1,179,630
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/21............................. 900 1,009,431
City of Virginia Beach (GO) Series B (ST AID
WITHHLDG)
5.000%, 09/15/24............................. 3,000 3,637,080
Fairfax County (GO) Series A (ST AID WITHHLDG)
3.000%, 10/01/18............................. 4,000 4,071,840
5.000%, 10/01/19............................. 2,000 2,146,120
5.000%, 10/01/23............................. 4,775 5,696,480
Fairfax County (GO) Series B (ST AID WITHHLDG)
5.000%, 10/01/18............................. 400 414,440
Loudoun County (GO) Series A
5.000%, 12/01/21............................. 5,000 5,728,550
Virginia Public Building Authority (RB) Series C
5.000%, 08/01/23............................. 600 709,764
121
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
VIRGINIA -- (Continued)
Virginia Resources Authority (RB) Series D
5.000%, 11/01/20............................. $ 200 $ 221,996
-----------
TOTAL VIRGINIA................................... 32,835,438
-----------
WASHINGTON -- (5.2%)
City of Marysville Water & Sewer Revenue (RB)
5.000%, 04/01/20............................. 175 190,775
City of Seattle Municipal Light & Power Revenue
(RB) Series B
5.000%, 04/01/24............................. 3,000 3,591,060
City of Seattle Water System Revenue (RB)
5.000%, 09/01/19............................. 190 203,389
City of Spokane (GO)
5.000%, 12/01/25............................. 1,165 1,419,704
Clark County School District No. 119
Battleground (GO) (SCH BD GTY)
4.000%, 12/01/21............................. 510 562,408
King & Snohomish Counties School District
No. 417 Northshore (GO) (SCH BD GTY)
5.000%, 12/01/19............................. 2,825 3,046,113
King County (GO) Series A
5.000%, 07/01/20............................. 700 769,713
5.000%, 12/01/25............................. 1,830 2,254,615
King County School District No. 405 Bellevue
(GO) (SCH BD GTY)
5.000%, 12/01/24............................. 2,265 2,734,738
King County School District No. 414 Lake
Washington (GO) (SCH BD GTY)
5.000%, 12/01/22............................. 925 1,081,306
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22............................. 5,640 6,514,877
North Thurston Public Schools (GO) (SCH BD GTY)
5.000%, 12/01/22............................. 2,080 2,431,478
Washington State (GO) Series 2017-A
5.000%, 08/01/26............................. 1,480 1,829,280
Washington State (GO) Series A
5.000%, 08/01/21............................. 500 565,870
Washington State (GO) Series C
5.000%, 02/01/25............................. 1,930 2,341,958
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Washington State (GO) Series R-2012A
5.000%, 07/01/19............................. $1,585 $ 1,685,251
Washington State (GO) Series R-2012C
4.000%, 07/01/21............................. 150 164,048
Washington State (GO) Series R-2013A
5.000%, 07/01/20............................. 2,775 3,046,756
Washington State (GO) Series R-2015
5.000%, 07/01/18............................. 650 666,841
Washington State (GO) Series R-2015A
5.000%, 07/01/20............................. 1,560 1,712,771
------------
TOTAL WASHINGTON................................. 36,812,951
------------
WISCONSIN -- (3.8%)
City of Janesville (GO)
3.000%, 03/01/24............................. 1,245 1,333,993
City of Milwaukee (GO)
5.000%, 05/01/20............................. 2,370 2,589,059
City of Milwaukee (GO) Series N1
5.000%, 02/01/19............................. 100 104,778
City of Milwaukee (GO) Series N2
4.000%, 03/01/24............................. 6,500 7,406,100
City of Oshkosh (GO) Series B
3.000%, 12/01/23............................. 650 693,570
Germantown School District (GO) Series A
5.000%, 04/01/27............................. 2,200 2,742,344
Oregon School District (GO)
3.000%, 03/01/21............................. 1,900 2,003,645
Wisconsin State (GO) Series 1
5.000%, 11/01/24............................. 4,025 4,877,092
Wisconsin State (GO) Series 2
5.000%, 11/01/20............................. 800 886,984
5.000%, 11/01/22............................. 600 699,480
Wisconsin State (GO) Series B
5.000%, 05/01/21............................. 3,405 3,830,625
------------
TOTAL WISCONSIN.................................. 27,167,670
------------
TOTAL MUNICIPAL BONDS............................ 706,272,700
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $703,209,294)............................ $706,272,700
============
122
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
At October 31, 2017, DFA Municipal Real Return Portfolio had entered into the
following outstanding Interest Rate Swaps:
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------ -------- --------- -------------- ---------- -------- -------- --------- --------------
Bank of America
Corp........... 2.195% Fixed CPI USD 15,000,000 01/09/24 -- -- $(179,363) $(179,363)
Bank of America
Corp........... 2.193% Fixed CPI USD 14,000,000 03/29/25 -- -- (204,184) (204,184)
Bank of America
Corp........... 2.185% Fixed CPI USD 17,000,000 03/03/23 -- -- (190,063) (190,063)
Bank of America
Corp........... 2.177% Fixed CPI USD 11,000,000 09/20/27 -- -- (5,005) (5,005)
Bank of America
Corp........... 2.149% Fixed CPI USD 14,000,000 08/10/27 -- -- 6,689 6,689
Bank of America
Corp........... 2.064% Fixed CPI USD 13,000,000 10/24/24 -- -- 25,217 25,217
Bank of America
Corp........... 2.029% Fixed CPI USD 15,000,000 05/24/25 -- -- 27,354 27,354
Bank of America
Corp........... 2.004% Fixed CPI USD 14,000,000 06/13/25 -- -- 66,177 66,177
Bank of America
Corp........... 1.902% Fixed CPI USD 25,000,000 07/14/22 -- -- 173,726 173,726
Bank of America
Corp........... 1.826% Fixed CPI USD 26,000,000 11/07/20 -- -- 226,842 226,842
Bank of America
Corp........... 1.715% Fixed CPI USD 11,000,000 09/28/23 -- -- 251,034 251,034
Bank of America
Corp........... 1.706% Fixed CPI USD 11,000,000 06/14/22 -- -- 242,225 242,225
Bank of America
Corp........... 1.704% Fixed CPI USD 27,000,000 05/31/21 -- -- 511,075 511,075
Bank of America
Corp........... 1.663% Fixed CPI USD 17,000,000 04/15/22 -- -- 401,865 401,865
Bank of America
Corp........... 1.619% Fixed CPI USD 12,000,000 10/14/22 -- -- 226,126 226,126
Bank of America
Corp........... 1.610% Fixed CPI USD 20,000,000 12/31/20 -- -- 315,008 315,008
Bank of America
Corp........... 1.609% Fixed CPI USD 17,000,000 06/24/21 -- -- 389,429 389,429
Bank of America
Corp........... 1.580% Fixed CPI USD 14,000,000 12/30/20 -- -- 241,497 241,497
Bank of America
Corp........... 1.580% Fixed CPI USD 19,000,000 08/07/20 -- -- 222,043 222,043
Bank of America
Corp........... 1.570% Fixed CPI USD 6,000,000 02/26/19 -- -- 19,499 19,499
Bank of America
Corp........... 1.550% Fixed CPI USD 6,000,000 01/26/21 -- -- 50,364 50,364
Bank of America
Corp........... 1.548% Fixed CPI USD 8,000,000 01/08/21 -- -- 153,267 153,267
Bank of America
Corp........... 1.530% Fixed CPI USD 19,000,000 12/24/20 -- -- 374,065 374,065
Bank of America
Corp........... 1.520% Fixed CPI USD 14,000,000 12/23/20 -- -- 282,485 282,485
Bank of America
Corp........... 1.365% Fixed CPI USD 5,000,000 01/21/19 -- -- 27,558 27,558
Bank of America
Corp........... 2.200% Fixed CPI USD 16,000,000 02/14/24 -- -- (196,894) (196,894)
Citibank, N.A... 2.230% Fixed CPI USD 14,000,000 01/20/23 -- -- (177,902) (177,902)
123
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------ -------- --------- -------------- ---------- -------- -------- ---------- --------------
Citibank, N.A.. 2.203% Fixed CPI USD 13,000,000 12/29/21 -- -- $ (130,911) $ (130,911)
Citibank, N.A.. 2.171% Fixed CPI USD 11,000,000 04/07/24 -- -- (146,098) (146,098)
Citibank, N.A.. 2.136% Fixed CPI USD 13,000,000 12/23/22 -- -- (91,047) (91,047)
Citibank, N.A.. 2.114% Fixed CPI USD 14,000,000 12/19/23 -- -- (82,636) (82,636)
Citibank, N.A.. 2.113% Fixed CPI USD 11,000,000 05/02/24 -- -- (95,999) (95,999)
Citibank, N.A.. 2.027% Fixed CPI USD 9,000,000 12/01/22 -- -- 4,452 4,452
Citibank, N.A.. 2.005% Fixed CPI USD 12,000,000 11/09/25 -- -- 84,179 84,179
Citibank, N.A.. 1.986% Fixed CPI USD 20,000,000 07/24/23 -- -- 79,965 79,965
Citibank, N.A.. 1.789% Fixed CPI USD 21,000,000 03/31/24 -- -- 429,850 429,850
Citibank, N.A.. 1.752% Fixed CPI USD 17,000,000 05/20/23 -- -- 395,552 395,552
Citibank, N.A.. 1.718% Fixed CPI USD 16,000,000 05/27/20 -- -- 246,075 246,075
Citibank, N.A.. 1.698% Fixed CPI USD 22,000,000 06/02/22 -- -- 508,138 508,138
Citibank, N.A.. 1.581% Fixed CPI USD 10,000,000 12/28/20 -- -- 171,599 171,599
Citibank, N.A.. 1.578% Fixed CPI USD 25,000,000 08/09/23 -- -- 784,716 784,716
Citibank, N.A.. 1.577% Fixed CPI USD 10,000,000 11/18/21 -- -- 202,491 202,491
Citibank, N.A.. 1.555% Fixed CPI USD 10,000,000 12/11/20 -- -- 182,302 182,302
Citibank, N.A.. 1.533% Fixed CPI USD 10,000,000 11/10/20 -- -- 170,665 170,665
Citibank, N.A.. 1.520% Fixed CPI USD 24,000,000 08/01/21 -- -- 601,341 601,341
Citibank, N.A.. 1.494% Fixed CPI USD 4,000,000 01/08/21 -- -- 36,756 36,756
Citibank, N.A.. 1.481% Fixed CPI USD 17,000,000 08/18/21 -- -- 441,545 441,545
Citibank, N.A.. 1.253% Fixed CPI USD 12,000,000 02/11/22 -- -- 520,095 520,095
Citibank, N.A.. 1.253% Fixed CPI USD 12,000,000 01/20/19 -- -- 225,339 225,339
-- -- ---------- ----------
TOTAL......... -- -- $7,818,503 $7,818,503
== == ========== ==========
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
------- ------------ ------- ------------
Municipal Bonds... -- $706,272,700 -- $706,272,700
Swap Agreements**. -- 7,818,503 -- 7,818,503
-- ------------ -- ------------
TOTAL............. -- $714,091,203 -- $714,091,203
== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
124
DFA MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.7%)
Alabama State (GO) Series A
5.000%, 08/01/20.............................. $ 200 $ 220,418
5.000%, 08/01/21.............................. 1,000 1,133,700
5.000%, 08/01/23.............................. 300 355,788
Baldwin County (GO)
4.000%, 05/01/20.............................. 610 650,498
----------
TOTAL ALABAMA...................................... 2,360,404
----------
ALASKA -- (0.5%)
Alaska State (GO) Series B
5.000%, 08/01/20.............................. 290 319,026
Borough of Fairbanks North Star (GO) Series S
4.000%, 10/01/21.............................. 560 615,709
City of Anchorage (GO) Series A
3.000%, 09/01/22.............................. 765 811,290
----------
TOTAL ALASKA....................................... 1,746,025
----------
ARIZONA -- (0.5%)
City of Chandler (GO)
3.000%, 07/01/20.............................. 550 576,169
City of Phoenix (GO)
4.000%, 07/01/21.............................. 500 548,330
Maricopa County School District No. 3 Tempe
Elementary (GO)
3.000%, 07/01/21.............................. 550 581,114
----------
TOTAL ARIZONA...................................... 1,705,613
----------
ARKANSAS -- (0.9%)
Arkansas State (GO)
5.000%, 04/01/21.............................. 400 449,116
5.000%, 06/15/21.............................. 1,250 1,411,562
5.000%, 04/01/22.............................. 1,110 1,278,909
----------
TOTAL ARKANSAS..................................... 3,139,587
----------
CALIFORNIA -- (0.5%)
California State (GO)
5.000%, 09/01/26.............................. 1,195 1,479,482
City of Los Angeles (RN)
5.000%, 06/28/18.............................. 400 410,396
----------
TOTAL CALIFORNIA................................... 1,889,878
----------
COLORADO -- (1.9%)
Boulder Valley School District No. Re-2 Boulder
(GO) Series B (ST AID WITHHLDG)
4.000%, 12/01/24.............................. 1,000 1,147,780
FACE
AMOUNT VALUE+
------ ------
(000)
COLORADO -- (Continued)
Denver City & County School District No. 1 (GO)
Series B (ST AID WITHHLDG)
5.000%, 12/01/24.............................. $ 550 $ 665,692
Pueblo City Schools (GO) (ST AID WITHHLDG)
5.000%, 12/15/20.............................. 550 612,898
Weld County School District No. RE-4 (GO) (ST
INTERCEPT)
4.000%, 12/01/22.............................. 1,140 1,271,214
5.000%, 12/01/24.............................. 2,280 2,749,498
----------
TOTAL COLORADO..................................... 6,447,082
----------
CONNECTICUT -- (0.3%)
Connecticut State (GO) Series E
4.000%, 09/15/20.............................. 550 587,026
Hartford County Metropolitan District (GO)
5.000%, 03/01/19.............................. 600 626,658
----------
TOTAL CONNECTICUT.................................. 1,213,684
----------
DELAWARE -- (0.7%)
Kent County (GO)
4.000%, 09/01/24.............................. 415 474,573
New Castle County (GO)
5.000%, 10/01/23.............................. 1,600 1,911,760
----------
TOTAL DELAWARE..................................... 2,386,333
----------
DISTRICT OF COLUMBIA -- (1.0%)
District of Columbia (GO) Series B (AGM)
5.250%, 06/01/18.............................. 1,300 1,331,811
Washington Metropolitan Area Transit Authority
(RB) Series B
5.000%, 07/01/25.............................. 720 875,030
5.000%, 07/01/27.............................. 1,000 1,240,570
----------
TOTAL DISTRICT OF COLUMBIA......................... 3,447,411
----------
FLORIDA -- (2.4%)
City of Port State Lucie (GO)
5.000%, 07/01/20.............................. 420 459,623
Flagler County (GO) (BAM)
5.000%, 07/01/22.............................. 465 536,903
Florida State Board of Education (GO) Series A
5.000%, 06/01/18.............................. 725 741,653
5.000%, 06/01/19.............................. 100 105,980
5.000%, 06/01/24.............................. 350 421,376
Florida's Turnpike Enterprise (RB) Series B
5.000%, 07/01/19.............................. 1,135 1,206,993
125
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
FLORIDA -- (Continued)
Miami-Dade County (GO) Series D
5.000%, 07/01/20............................. $2,000 $2,196,980
Orange County Water Utility System Revenue (RB)
5.000%, 10/01/21............................. 525 598,237
Orlando Utilities Commission (RB) Series C
5.250%, 10/01/22............................. 1,000 1,176,470
Palm Beach County (RB)
5.000%, 11/01/23............................. 810 959,761
----------
TOTAL FLORIDA............................................ 8,403,976
----------
GEORGIA -- (2.4%)
Cobb County (TAN)
2.000%, 11/30/17............................. 550 550,495
Columbia County School District (GO) (ST AID WITHHLDG)
5.000%, 04/01/20............................. 1,305 1,423,938
Georgia State (GO) Series C
5.000%, 07/01/19............................. 2,000 2,129,260
Georgia State Road & Tollway Authority (RB) (GTD)
5.000%, 10/01/23............................. 3,455 4,119,604
----------
TOTAL GEORGIA............................................ 8,223,297
----------
HAWAII -- (1.8%)
City & County of Honolulu (GO) Series B
5.000%, 10/01/23............................. 150 177,737
5.000%, 10/01/25............................. 725 886,421
Hawaii County (GO) Series B
5.000%, 09/01/18............................. 420 433,675
Hawaii County (GO) Series D
5.000%, 09/01/20............................. 1,375 1,518,742
Hawaii State (GO) Series DQ
5.000%, 06/01/19............................. 300 318,231
Hawaii State (GO) Series EE
5.000%, 11/01/20............................. 1,300 1,441,752
Maui County (GO)
5.000%, 06/01/18............................. 1,560 1,595,740
----------
TOTAL HAWAII............................................. 6,372,298
----------
INDIANA -- (0.9%)
Indiana University (RB) Series A
5.000%, 06/01/21............................. 2,755 3,114,583
----------
IOWA -- (0.9%)
City of Davenport (GO) Series C
4.000%, 06/01/24............................. 1,410 1,598,870
Iowa Finance Authority (RB)
(currency) 5.000%, 08/01/20
(Pre-refunded
@ $100, 8/1/19).............................. 500 533,195
State of Iowa (RB) Series A (ETM)
5.000%, 06/01/18............................. 1,115 1,140,745
----------
TOTAL IOWA............................................... 3,272,810
----------
FACE
AMOUNT VALUE+
------ ------
(000)
KANSAS -- (1.3%)
City of Topeka Series A
3.000%, 10/01/18............................. $ 235 $ 238,997
City of Wichita (GO) Series 811
5.000%, 06/01/22............................. 550 634,898
Johnson County (GO) Series B
5.000%, 09/01/22............................. 650 756,275
Johnson County Unified School District No. 229 Blue
Valley (GO) Series B
5.000%, 10/01/23............................. 750 894,270
Saline County Unified School District No. 305 Salina (GO)
5.000%, 09/01/20............................. 1,900 2,099,196
-----------
TOTAL KANSAS............................................. 4,623,636
-----------
KENTUCKY -- (3.2%)
Kentucky State Economic Development Finance Authority
(RB) Series A
(currency) 5.000%, 05/01/24
(Pre-refunded
@ $100, 5/1/19).............................. 2,300 2,431,767
Louisville & Jefferson County (GO) Series B
5.000%, 11/01/21............................. 1,700 1,935,688
Louisville & Jefferson County (GO) Series E
5.000%, 12/01/17............................. 1,065 1,068,451
Louisville & Jefferson County (RB)
(currency) 5.000%, 12/01/35
(Pre-refunded
@ $100, 6/1/22).............................. 2,200 2,544,894
Louisville & Jefferson County Metropolitan Sewer
District (RB) Series C
5.000%, 05/15/23............................. 1,850 2,170,179
Louisville Water Co. (RB) Series A
4.000%, 11/15/21............................. 800 883,336
-----------
TOTAL KENTUCKY........................................... 11,034,315
-----------
LOUISIANA -- (0.2%)
Louisiana State (GO) Series C
5.000%, 08/01/23............................. 500 588,770
-----------
MARYLAND -- (3.8%)
Anne Arundel County (GO)
5.000%, 10/01/20............................. 500 554,240
Baltimore County (GO)
5.000%, 08/01/20............................. 750 826,995
5.000%, 08/01/22............................. 600 696,762
Carroll County (GO)
5.000%, 11/01/21............................. 550 628,557
Harford County (GO) Series A
5.000%, 09/15/20............................. 570 631,076
Maryland State (GO)
5.000%, 06/01/23............................. 3,000 3,547,710
126
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MARYLAND -- (Continued)
Maryland State (GO) Series B
4.000%, 08/01/23............................. $ 850 $ 962,072
Maryland State (GO) Series C
5.000%, 11/01/19............................. 915 985,299
5.000%, 08/01/20............................. 700 771,659
Maryland State (GO) Series C-2
5.000%, 08/01/22............................. 1,000 1,162,270
Montgomery County (GO) Series B
5.000%, 12/01/21............................. 350 400,848
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/24............................. 655 790,834
Worcester County (GO) Series B
4.000%, 08/01/21............................. 1,000 1,096,110
-----------
TOTAL MARYLAND........................................... 13,054,432
-----------
MASSACHUSETTS -- (5.2%)
City of Everett (GO)
4.000%, 02/15/18............................. 1,895 1,911,278
City of Lowell (GO) (ST AID WITHHLDG)
4.000%, 09/01/23............................. 250 280,015
City of Somerville (BAN)
2.000%, 06/08/18............................. 1,250 1,257,050
City of Springfield (GO) Series C (ST AID WITHHLDG)
4.000%, 08/01/23............................. 285 321,739
Commonwealth of Massachusetts (GO) Series A
5.000%, 03/01/18............................. 2,500 2,532,950
5.000%, 07/01/26............................. 1,250 1,545,788
Commonwealth of Massachusetts (GO) Series B (AGM)
5.250%, 09/01/24............................. 400 489,176
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20............................. 100 110,151
5.000%, 10/01/21............................. 1,750 1,991,972
Commonwealth of Massachusetts (RAN) Series A
2.000%, 04/23/18............................. 2,000 2,008,800
Massachusetts Health & Educational Facilities Authority
(RB) Series E-2
(currency) 5.375%, 07/01/22
(Pre-refunded
@ $100, 7/1/18).............................. 845 869,049
Tantasqua Regional School District (GO)
5.000%, 10/01/19............................. 1,360 1,456,941
Town of Holbrook (GO)
5.000%, 12/01/21............................. 755 862,429
Town of Lexington (BAN)
2.000%, 02/16/18............................. 2,200 2,206,666
-----------
TOTAL MASSACHUSETTS...................................... 17,844,004
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
MICHIGAN -- (2.2%)
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/17.............................. $1,055 $ 1,056,530
5.000%, 11/15/18.............................. 2,515 2,615,499
Michigan State Trunk Line Revenue (RB) (AGM)
5.500%, 11/01/21.............................. 3,275 3,799,360
-----------
TOTAL MICHIGAN..................................... 7,471,389
-----------
MINNESOTA -- (3.2%)
Bloomington Independent School District No. 271
(GO) Series A (SD CRED PROG)
5.000%, 02/01/21.............................. 1,100 1,231,219
City of Rochester (GO) Series A
5.000%, 02/01/20.............................. 150 162,843
City of State Paul (GO) Series B
5.000%, 11/01/20.............................. 100 111,123
Elk River Independent School District No. 728
(GO) Series A (SD CRED PROG)
5.000%, 02/01/21.............................. 520 581,500
Elk River Independent School District No. 728
(GO) Series C (SD CRED PROG)
5.000%, 02/01/21.............................. 3,000 3,354,810
Hennepin County (GO) Series B
5.000%, 12/01/21.............................. 350 400,848
Lakeville Independent School District No.194
(GO) Series D (SD CRED PROG)
5.000%, 02/01/18.............................. 1,780 1,797,587
Minnesota State (GO) Series B
5.000%, 10/01/19.............................. 600 643,482
Minnesota State (GO) Series E
5.000%, 08/01/22.............................. 760 882,565
State Paul Independent School District No. 625
(GO) Series B (SD CRED PROG)
5.000%, 02/01/21.............................. 1,425 1,595,957
Waconia Independent School District No. 110 (GO)
Series A (SD CRED PROG)
3.250%, 02/01/18.............................. 125 125,698
-----------
TOTAL MINNESOTA.................................... 10,887,632
-----------
MISSISSIPPI -- (0.4%)
Mississippi State (GO) Series C
5.000%, 10/01/18.............................. 825 854,634
5.000%, 10/01/20.............................. 500 554,090
-----------
TOTAL MISSISSIPPI.................................. 1,408,724
-----------
MISSOURI -- (0.6%)
Cass County Reorganized School District No. R-2
(GO) (ST AID DIR DEP)
5.000%, 03/01/21.............................. 1,110 1,244,576
127
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MISSOURI -- (Continued)
City of O'Fallon (GO)
5.000%, 03/01/18.............................. $ 965 $ 977,690
----------
TOTAL MISSOURI..................................... 2,222,266
----------
MONTANA -- (0.2%)
City & County of Butte-Silver Bow (GO)
4.000%, 07/01/21.............................. 500 547,765
----------
NEBRASKA -- (0.5%)
Lancaster County School District 001 (GO)
5.000%, 01/15/21.............................. 700 782,614
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20.............................. 300 333,699
Southern Public Power District (RB)
5.000%, 12/15/21.............................. 400 455,716
----------
TOTAL NEBRASKA..................................... 1,572,029
----------
NEVADA -- (1.6%)
Clark County School District (GO) Series A
5.000%, 06/15/21.............................. 1,250 1,410,150
Nevada State (GO) Series C
5.000%, 11/01/24.............................. 450 543,947
Nevada State (GO) Series D-1
5.000%, 03/01/22.............................. 250 287,118
Nevada State (RB)
5.000%, 12/01/17.............................. 1,550 1,555,037
Nevada State Highway Improvement Revenue (RB)
4.000%, 12/01/17.............................. 1,000 1,002,430
Washoe County School District (GO) Series A
3.000%, 06/01/19.............................. 550 566,065
----------
TOTAL NEVADA....................................... 5,364,747
----------
NEW HAMPSHIRE -- (1.2%)
City of Dover (GO)
3.000%, 06/15/20.............................. 610 638,225
City of Nashua (GO)
4.000%, 07/15/24.............................. 770 877,538
City of Portsmouth (BAN)
3.000%, 06/22/18.............................. 2,200 2,226,752
New Hampshire State (GO) Series B
5.000%, 06/01/19.............................. 250 265,070
----------
TOTAL NEW HAMPSHIRE................................ 4,007,585
----------
NEW JERSEY -- (0.6%)
Montville Township (GO)
3.000%, 10/01/25.............................. 500 542,530
Princeton (GO)
3.000%, 09/15/24.............................. 1,515 1,638,079
----------
TOTAL NEW JERSEY................................... 2,180,609
----------
FACE
AMOUNT VALUE+
------ ------
(000)
NEW MEXICO -- (2.0%)
New Mexico State (GO)
5.000%, 03/01/21............................. $1,000 $1,120,550
New Mexico State Severance Tax Permanent Fund (RB)
Series A
5.000%, 07/01/27............................. 4,000 4,974,080
Santa Fe County (GO)
5.000%, 07/01/22............................. 710 822,216
----------
TOTAL NEW MEXICO......................................... 6,916,846
----------
NEW YORK -- (6.4%)
City of New York (GO) Series A
5.000%, 08/01/24............................. 100 119,681
City of New York (GO) Series B
5.000%, 08/01/19............................. 100 106,585
City of New York (GO) Series E
5.000%, 08/01/19............................. 250 266,463
5.000%, 08/01/21............................. 265 299,495
City of New York (GO) Series F
5.000%, 08/01/21............................. 450 508,576
City of New York (GO) Series F-1
5.000%, 06/01/21............................. 825 928,356
Corning City School District (BAN) (ST AID WITHHLDG)
2.000%, 06/21/18............................. 675 678,780
Corning City School District (GO) (ST AID WITHHLDG)
5.000%, 06/15/19............................. 250 265,480
Metropolitan Transportation Authority (RB)
5.000%, 11/15/25............................. 1,275 1,549,201
Metropolitan Transportation Authority (RB) Series B
(currency) 5.000%, 11/15/20
(Pre-refunded
@ $100, 11/15/17)............................ 370 370,551
Metropolitan Transportation Authority (RB) Series C
4.000%, 11/15/17............................. 900 900,963
Middle Country Central School District (GO) (ST AID
WITHHLDG)
2.000%, 08/15/21............................. 400 410,608
Middletown City School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20............................. 760 776,819
New York City Transitional Finance Authority Future Tax
Secured Revenue (RB) Series G (ETM)
5.000%, 11/01/17............................. 800 800,000
New York State Dormitory Authority (RB)
(currency) 6.250%, 12/01/37
(Pre-refunded
@ $100, 12/1/18)............................. 250 263,790
New York State Dormitory Authority (RB) Series A
5.000%, 02/15/18............................. 150 151,689
128
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
5.000%, 03/15/19............................. $ 350 $ 368,253
5.000%, 03/15/21............................. 1,000 1,121,580
5.000%, 02/15/22............................. 800 919,384
5.000%, 03/15/23............................. 600 706,242
5.000%, 02/15/24............................. 300 358,581
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19............................. 250 263,038
New York State Environmental Facilities Corp. (RB)
Series A
5.000%, 12/15/17............................. 170 170,818
New York State Thruway Authority (RB) Series A
5.000%, 03/15/18............................. 350 355,079
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/20............................. 810 882,276
5.000%, 03/15/25............................. 500 607,645
North Shore Central School District (GO) (ST AID
WITHHLDG)
2.000%, 12/15/23............................. 315 323,429
Riverhead Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/15/22............................. 540 555,973
Town of Brookhaven (GO) Series A
3.000%, 02/01/18............................. 650 653,211
Town of Hempstead (GO) Series A
4.000%, 04/15/18............................. 650 658,697
Triborough Bridge & Tunnel Authority (RB) Series B
5.000%, 11/15/18............................. 325 338,468
5.000%, 11/15/20............................. 4,700 5,226,447
-----------
TOTAL NEW YORK........................................... 21,906,158
-----------
NORTH CAROLINA -- (3.4%)
City of Charlotte Water & Sewer System Revenue (RB)
5.000%, 07/01/19............................. 3,000 3,191,820
New Hanover County (GO)
5.000%, 02/01/23............................. 1,550 1,823,590
North Carolina Eastern Municipal Power Agency (RB)
Series B (NATL-IBC) (ETM)
6.000%, 01/01/22............................. 1,725 2,050,231
North Carolina Medical Care Commission (RB) Series D
(currency) 6.250%, 12/01/33
(Pre-refunded
@ $100, 12/1/18)............................. 1,000 1,055,380
North Carolina State (GO) Series B
5.000%, 06/01/25............................. 1,405 1,725,593
North Carolina State (GO) Series D
4.000%, 06/01/23............................. 350 396,071
Wake County (GO)
5.000%, 03/01/19............................. 160 168,261
5.000%, 09/01/21............................. 1,300 1,479,673
-----------
TOTAL NORTH CAROLINA..................................... 11,890,619
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
NORTH DAKOTA -- (0.6%)
City of West Fargo (GO) Series A
5.000%, 05/01/24.............................. $1,150 $1,370,812
North Dakota State University of Agriculture &
Applied Science (RB) Series A
5.000%, 04/01/21.............................. 500 558,200
----------
TOTAL NORTH DAKOTA................................. 1,929,012
----------
OHIO -- (2.5%)
City of Columbus (GO) Series A
3.000%, 07/01/22.............................. 835 891,596
City of Columbus (GO) Series B
5.000%, 02/15/23.............................. 475 558,116
Hamilton County Sewer System Revenue (RB) Series
A
5.000%, 12/01/21.............................. 500 571,570
Ohio State (GO) Series A
5.000%, 09/15/21.............................. 800 909,392
5.000%, 08/01/22.............................. 1,000 1,160,270
5.000%, 09/15/22.............................. 750 872,812
Ohio State (GO) Series B
5.000%, 06/15/22.............................. 450 520,686
Ohio State (GO) Series C
2.000%, 11/01/17.............................. 1,500 1,500,000
Ohio State Water Development Authority (RB)
Series A
5.000%, 06/01/21.............................. 1,550 1,750,570
----------
TOTAL OHIO......................................... 8,735,012
----------
OKLAHOMA -- (0.4%)
City of Tulsa (GO)
4.000%, 03/01/18.............................. 1,500 1,514,790
----------
OREGON -- (1.2%)
City of McMinnville (GO)
5.000%, 02/01/22.............................. 290 331,992
City of Portland Water System Revenue (RB)
Series A
5.000%, 04/01/21.............................. 1,250 1,406,612
Lane County School District No. 4J Eugene (GO)
(SCH BD GTY)
3.000%, 06/15/25.............................. 940 1,005,424
Oregon State (GO) Series E
5.000%, 08/01/21.............................. 410 465,137
Oregon State (GO) Series F
3.000%, 05/01/20.............................. 750 783,300
Oregon State (GO) Series L
5.000%, 11/01/19.............................. 200 215,284
----------
TOTAL OREGON....................................... 4,207,749
----------
PENNSYLVANIA -- (0.5%)
Berks County (GO)
5.000%, 11/15/22.............................. 445 519,569
129
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
PENNSYLVANIA -- (Continued)
City of Philadelphia (GO) Series A (AGM)
(currency) 5.250%, 12/15/32
(Pre-refunded
@ $100, 12/15/18)............................ $ 500 $ 523,130
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 07/01/21............................. 550 616,275
----------
TOTAL PENNSYLVANIA....................................... 1,658,974
----------
RHODE ISLAND -- (0.9%)
Rhode Island State (GO) Series A
5.000%, 08/01/19............................. 1,800 1,919,178
5.000%, 08/01/21............................. 1,000 1,129,390
----------
TOTAL RHODE ISLAND....................................... 3,048,568
----------
SOUTH CAROLINA -- (2.1%)
Aiken County Consolidated School District (GO) Series A
(SCSDE)
5.000%, 03/01/20............................. 770 837,221
Anderson County School District No. 4 (GO) Series A
(SCSDE)
5.000%, 03/01/21............................. 500 560,275
Charleston County School District (BAN) Series A (SCSDE)
2.000%, 11/16/17............................. 1,800 1,800,810
City of North Charleston (GO) (ST AID WITHHLDG)
5.000%, 06/01/21............................. 500 564,700
Clemson University (RB) Series B
5.000%, 05/01/25............................. 750 912,337
Lexington & Richland School District No. 5 (GO) (SCSDE)
5.000%, 03/01/19............................. 1,440 1,512,778
Richland County School District No. 2 (GO) (SCSDE)
5.000%, 03/01/20............................. 500 544,015
Richland County School District No. 2 (GO) Series A
(SCSDE)
5.000%, 02/01/20............................. 600 651,090
----------
TOTAL SOUTH CAROLINA..................................... 7,383,226
----------
TENNESSEE -- (4.7%)
Blount County (GO) Series B
5.000%, 06/01/22............................. 2,635 3,048,089
City of Clarksville Water Sewer & Gas Revenue (RB)
5.000%, 02/01/20............................. 565 612,980
City of Knoxville Wastewater System Revenue (RB) Series A
5.000%, 04/01/19............................. 1,825 1,926,160
City of Knoxville Wastewater System Revenue (RB) Series B
4.000%, 04/01/22............................. 310 344,943
FACE
AMOUNT VALUE+
------ ------
(000)
TENNESSEE -- (Continued)
City of Memphis (GO) Series A
5.000%, 04/01/25............................. $1,250 $ 1,515,812
Hamilton County (GO) Series B
5.000%, 03/01/22............................. 1,735 1,999,691
Metropolitan Government of Nashville & Davidson County
(GO)
5.000%, 07/01/22............................. 650 754,325
Metropolitan Government of Nashville & Davidson County
(GO) Series A
(currency) 5.000%, 07/01/25
(Pre-refunded
@ $100, 7/1/20).............................. 3,000 3,291,300
Sullivan County (GO) Series A
5.000%, 04/01/21............................. 450 504,774
Sumner County (GO)
5.000%, 12/01/21............................. 230 263,021
5.000%, 12/01/22............................. 640 747,808
Town of Collierville (GO) Series A
5.000%, 01/01/21............................. 1,095 1,223,422
-----------
TOTAL TENNESSEE.......................................... 16,232,325
-----------
TEXAS -- (16.8%)
Bexar County (GO)
5.000%, 06/15/20............................. 500 548,030
5.000%, 06/15/21............................. 1,275 1,437,384
City of Dallas (GO) Series A
5.000%, 02/15/21............................. 500 553,860
City of Fort Worth Water & Sewer System (RB)
5.000%, 02/15/19............................. 180 188,986
City of Fort Worth Water & Sewer System Revenue (RB)
5.000%, 02/15/21............................. 1,745 1,953,213
City of Fort Worth Water & Sewer System Revenue (RB)
Series A
5.000%, 02/15/25............................. 1,930 2,344,043
City of Garland (GO) Series A
5.000%, 02/15/24............................. 200 238,660
City of Houston (GO) (TRANS)
4.000%, 06/29/18............................. 3,000 3,058,770
City of Houston Combined Utility System Revenue (RB)
(ASSURED GTY)
(currency) 5.375%, 11/15/38
(Pre-refunded
@ $100, 5/15/19)............................. 5,000 5,318,350
City of Irving (GO) Series A
5.000%, 09/15/18............................. 710 733,820
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/21............................. 700 782,313
5.000%, 02/01/22............................. 2,025 2,322,736
Cypress-Fairbanks Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/21............................. 790 883,449
130
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
El Paso Independent School District (GO)
(PSF-GTD)
5.000%, 08/15/24............................. $ 500 $ 600,350
Fort Bend Independent School District (GO)
Series C (PSF-GTD)
5.000%, 02/15/24............................. 1,275 1,520,616
Fort Worth Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/26............................. 445 548,369
Grapevine-Colleyville Independent School
District (GO) (PSF-GTD)
2.000%, 08/15/19............................. 1,500 1,521,660
Harris County (GO) Series A
5.000%, 10/01/19............................. 1,000 1,072,070
Highland Park Independent School District (GO)
5.000%, 02/15/23............................. 2,000 2,345,520
Highland Park Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20............................. 1,500 1,628,835
Houston Independent School District (GO) Series
A (PSF-GTD)
5.000%, 02/15/26............................. 750 922,927
Humble Independent School District (GO) Series B
(PSF-GTD)
5.000%, 02/15/20............................. 1,000 1,085,890
Katy Independent School District (GO) Series A
(PSF-GTD)
5.000%, 02/15/20............................. 750 815,130
5.000%, 02/15/21............................. 400 448,000
Northwest Independent School District (GO)
Series A (PSF-GTD)
5.000%, 02/15/24............................. 1,000 1,197,250
Permanent University Fund - University of Texas
System (RB) Series B
5.000%, 07/01/20............................. 2,875 3,161,321
San Antonio Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20............................. 400 434,452
Texas State (GO)
5.000%, 04/01/19............................. 250 263,603
5.000%, 10/01/22............................. 1,140 1,328,317
5.000%, 10/01/23............................. 375 445,733
5.000%, 04/01/25............................. 2,185 2,658,052
Texas State (GO) Series A
5.000%, 10/01/21............................. 1,300 1,480,284
5.000%, 10/01/25............................. 845 1,035,226
Texas State (RN)
4.000%, 08/30/18............................. 5,500 5,630,460
Texas Transportation Commission State Highway
Fund (RB) Series A
5.000%, 10/01/19............................. 1,000 1,071,280
University of Texas System (The) (RB) Series A
5.250%, 08/15/18............................. 800 826,288
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
University of Texas System (The) (RB) Series D
5.000%, 08/15/21............................. $ 615 $ 697,570
University of Texas System (The) (RB) Series J
5.000%, 08/15/25............................. 3,000 3,670,050
Wylie Independent School District (GO) Series C (PSF-GTD)
6.750%, 08/15/18............................. 1,000 1,044,490
-----------
TOTAL TEXAS.............................................. 57,817,357
-----------
UTAH -- (1.4%)
Alpine School District (GO) (SCH BD GTY)
5.000%, 03/15/21............................. 550 618,222
Central Utah Water Conservancy District (RB) Series A
5.000%, 10/01/20............................. 450 498,407
Snyderville Basin Special Recreation District (GO)
Series B
4.000%, 12/15/20............................. 540 584,771
Utah State (GO)
5.000%, 07/01/22............................. 800 930,752
Utah State (GO) Series C
5.000%, 07/01/18............................. 1,650 1,693,312
Washington County School District Board of Education
(GO) (SCH BD GTY)
5.000%, 03/01/18............................. 475 481,232
-----------
TOTAL UTAH............................................... 4,806,696
-----------
VERMONT -- (0.3%)
Vermont State (GO) Series B
5.000%, 08/15/23............................. 1,000 1,190,810
-----------
VIRGINIA -- (2.0%)
City of Hampton (GO) Series B (ST AID WITHHLDG)
5.000%, 09/01/21............................. 840 956,096
5.000%, 09/01/22............................. 475 553,869
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/20............................. 1,635 1,778,929
Loudoun County (GO) Series B (ST AID WITHHLDG)
5.000%, 12/01/20............................. 550 613,019
Pittsylvania County (GO) (ST AID WITHHLDG)
5.000%, 02/01/21............................. 1,830 2,045,812
Virginia Resources Authority (RB)
(currency) 5.000%, 10/01/22
(Pre-refunded
@ $100, 10/1/18)............................. 1,000 1,036,010
-----------
TOTAL VIRGINIA........................................... 6,983,735
-----------
131
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (8.8%)
City of Marysville Water & Sewer Revenue (RB)
5.000%, 04/01/20............................. $ 755 $ 823,056
City of Seattle Drainage & Wastewater Revenue (RB)
5.000%, 09/01/20............................. 1,500 1,656,375
5.000%, 04/01/21............................. 445 499,802
City of Seattle Municipal Light & Power Revenue (RB)
5.000%, 09/01/20............................. 650 717,762
County of Kitsap WA (GO)
5.000%, 06/01/21............................. 1,455 1,639,465
King County (GO) Series A
5.000%, 07/01/20............................. 265 291,391
King County (GO) Series E
5.000%, 12/01/17............................. 1,000 1,003,230
King County School District No. 405 Bellevue (GO) Series
A (SCH BD GTY)
5.000%, 12/01/18............................. 500 520,775
5.000%, 12/01/20............................. 1,350 1,499,904
King County School District No. 411 Issaquah (GO) (SCH
BD GTY)
5.000%, 12/01/23............................. 1,440 1,717,978
King County School District No. 414 Lake Washington (GO)
(SCH BD GTY)
5.000%, 12/01/22............................. 2,000 2,337,960
King County Sewer Revenue (RB)
5.000%, 01/01/21............................. 585 651,292
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22............................. 1,165 1,345,715
5.000%, 07/01/25............................. 1,305 1,587,037
Pierce County School District No.10 Tacoma (GO) (SCH BD
GTY)
5.000%, 12/01/18............................. 500 520,720
Snohomish County Public Utility District No. 1 (RB)
5.000%, 12/01/18............................. 895 932,286
Snohomish County School District No. 6 Mukilteo (GO)
(SCH BD GTY)
5.000%, 12/01/25............................. 2,000 2,452,300
Spokane County (GO)
5.000%, 12/01/20............................. 450 497,380
Tacoma Metropolitan Park District (GO) Series B
5.000%, 12/01/21............................. 350 399,802
Washington Health Care Facilities Authority (RB)
(currency) 7.375%, 03/01/38
(Pre-refunded
@ $100, 3/1/19).............................. 1,000 1,082,360
Washington State (GO) Series 2013A
5.000%, 08/01/21............................. 200 226,348
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Washington State (GO) Series 2017-A
5.000%, 08/01/26............................. $1,675 $ 2,070,300
Washington State (GO) Series A-1
5.000%, 08/01/21............................. 800 905,392
Washington State (GO) Series B
4.000%, 07/01/18............................. 1,000 1,019,320
5.000%, 07/01/20............................. 325 356,827
5.000%, 07/01/25............................. 475 579,547
Washington State (GO) Series R-2012C
4.000%, 07/01/21............................. 100 109,365
Washington State (GO) Series R-2013A
5.000%, 07/01/21............................. 1,520 1,716,490
Washington State (GO) Series R-2015E
5.000%, 07/01/18............................. 1,005 1,031,040
-----------
TOTAL WASHINGTON......................................... 30,191,219
-----------
WEST VIRGINIA -- (0.9%)
Jefferson County Board of Education (GO) (WV BD COMM)
4.000%, 05/01/20............................. 250 266,088
West Virginia State (GO)
4.000%, 11/01/20............................. 1,975 2,134,896
West Virginia State (GO) Series A
5.000%, 06/01/19............................. 550 583,066
-----------
TOTAL WEST VIRGINIA...................................... 2,984,050
-----------
WISCONSIN -- (5.5%)
City of Janesville (GO)
3.000%, 03/01/24............................. 2,000 2,142,960
City of Madison Water Utility Revenue (RB)
5.000%, 01/01/21............................. 1,000 1,115,300
City of Milwaukee (GO) Series N3
5.000%, 05/15/20............................. 1,000 1,093,850
Milwaukee County (GO) Series E
2.000%, 12/01/20............................. 1,060 1,083,299
Milwaukee County Metropolitan Sewer District (GO) Series
A
5.000%, 10/01/25............................. 2,635 3,249,956
Oak Creek Franklin Joint School District (GO) Series B
3.000%, 04/01/20............................. 630 656,132
Wisconsin Health & Educational Facilities Authority (RB)
Series A
(currency) 5.250%, 12/01/35
(Pre-refunded
@ $100, 12/3/18)............................. 2,500 2,609,450
Wisconsin State (GO) Series 1
5.000%, 05/01/19............................. 500 528,800
Wisconsin State (GO) Series 1 (AMBAC)
5.000%, 05/01/19............................. 1,310 1,385,456
132
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WISCONSIN -- (Continued)
Wisconsin State (GO) Series 2
5.000%, 11/01/20............................. $ 600 $ 665,238
5.000%, 11/01/22............................. 1,400 1,632,120
Wisconsin State (GO) Series 3
5.000%, 11/01/22............................. 1,875 2,185,875
Wisconsin State (GO) Series B
5.000%, 05/01/21............................. 400 450,000
------------
TOTAL WISCONSIN.................................. 18,798,436
------------
TOTAL MUNICIPAL BONDS............................ 344,726,466
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $343,065,735)............................ $344,726,466
============
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
------- ------------ ------- ------------
Municipal Bonds. -- $344,726,466 -- $344,726,466
-- ------------ -- ------------
TOTAL........... -- $344,726,466 -- $344,726,466
== ============ == ============
See accompanying Notes to Financial Statements.
133
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.8%)
Alabama State (GO) Series A
5.000%, 08/01/19.............................. $ 4,500 $ 4,796,325
5.000%, 08/01/20.............................. 5,495 6,055,985
5.000%, 08/01/21.............................. 1,450 1,643,865
5.000%, 08/01/21.............................. 6,030 6,836,211
-----------
TOTAL ALABAMA...................................... 19,332,386
-----------
ALASKA -- (0.2%)
Alaska State (GO) Series B
5.000%, 08/01/20.............................. 3,920 4,312,353
-----------
ARIZONA -- (1.2%)
Arizona State Transportation Board (RB)
5.000%, 07/01/18.............................. 5,050 5,182,562
5.000%, 07/01/20.............................. 5,000 5,496,600
City of Phoenix (GO)
4.000%, 07/01/20.............................. 1,085 1,164,693
4.000%, 07/01/21.............................. 5,970 6,547,060
Madison Elementary School District No. 38 (GO)
Series A
2.000%, 07/01/20.............................. 1,400 1,425,564
Maricopa County Community College District (GO)
4.000%, 07/01/18.............................. 2,210 2,253,581
3.000%, 07/01/20.............................. 6,505 6,812,752
Maricopa County School District No. 3 Tempe
Elementary (GO)
3.000%, 07/01/21.............................. 1,410 1,489,764
-----------
TOTAL ARIZONA...................................... 30,372,576
-----------
ARKANSAS -- (1.5%)
Arkansas State (GO)
5.000%, 04/01/18.............................. 6,890 7,002,583
5.000%, 04/01/19.............................. 7,240 7,628,716
5.000%, 04/01/21.............................. 4,300 4,827,997
5.000%, 04/01/21.............................. 6,495 7,292,521
5.000%, 06/15/21.............................. 8,730 9,858,352
-----------
TOTAL ARKANSAS..................................... 36,610,169
-----------
CALIFORNIA -- (2.1%)
California State (GO)
5.000%, 04/01/19.............................. 1,000 1,055,430
5.000%, 10/01/21.............................. 2,215 2,526,717
California State (GO) Series B
5.000%, 09/01/18.............................. 7,000 7,231,490
City of Berkeley (RN)
3.000%, 07/19/18.............................. 4,000 4,058,200
City of Los Angeles (RN)
5.000%, 06/28/18.............................. 2,800 2,872,772
Riverside County (RN)
2.000%, 06/29/18.............................. 32,300 32,506,397
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Sequoia Union High School District (RAN)
3.000%, 06/29/18.............................. $ 2,385 $ 2,416,172
-----------
TOTAL CALIFORNIA................................... 52,667,178
-----------
COLORADO -- (0.7%)
Board of Water Commissioners City & County of
Denver (The) (RB) Series B
5.000%, 09/15/19.............................. 2,060 2,207,434
City & County of Denver (GO) Series A
5.000%, 08/01/18.............................. 7,745 7,974,330
5.000%, 08/01/20.............................. 4,920 5,425,087
Denver City & County School District No. 1 (GO)
Series B (ETM) (ST AID WITHHLDG)
4.000%, 12/01/18.............................. 140 144,379
Denver City & County School District No. 1 (GO)
Series B (ST AID WITHHLDG)
4.000%, 12/01/18.............................. 1,045 1,078,492
Weld County School District No. RE-4 (GO) (ST
INTERCEPT)
4.000%, 12/01/22.............................. 1,000 1,115,100
-----------
TOTAL COLORADO..................................... 17,944,822
-----------
CONNECTICUT -- (2.1%)
City of Middletown (GO)
5.000%, 04/01/21.............................. 1,905 2,143,678
Connecticut State (GO) Series A
5.000%, 10/15/19.............................. 5,350 5,718,615
Connecticut State (GO) Series B (AMBAC)
5.250%, 06/01/18.............................. 15,310 15,670,244
Connecticut State (GO) Series C
5.000%, 06/01/18.............................. 9,980 10,200,458
Connecticut State (GO) Series F
4.000%, 11/15/17.............................. 6,065 6,071,429
Connecticut State Special Tax Revenue (RB)
5.000%, 01/01/19.............................. 11,000 11,463,210
-----------
TOTAL CONNECTICUT.................................. 51,267,634
-----------
DELAWARE -- (0.7%)
Delaware State (GO)
5.000%, 07/01/19.............................. 5,000 5,321,400
Delaware State (GO) Series A
5.000%, 08/01/19.............................. 5,745 6,132,615
Delaware State (GO) Series C
5.000%, 03/01/18.............................. 5,265 5,334,761
-----------
TOTAL DELAWARE..................................... 16,788,776
-----------
134
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
DISTRICT OF COLUMBIA -- (0.2%)
District of Columbia (GO) Series A
5.000%, 06/01/20............................. $ 2,320 $ 2,544,576
District of Columbia (GO) Series B (AGM)
5.250%, 06/01/18............................. 2,265 2,320,425
------------
TOTAL DISTRICT OF COLUMBIA............................... 4,865,001
------------
FLORIDA -- (2.0%)
Florida State Board of Education (GO) Series A
5.000%, 06/01/18............................. 4,000 4,091,880
5.000%, 06/01/19............................. 19,310 20,464,738
5.000%, 06/01/19............................. 10,100 10,703,980
5.000%, 06/01/20............................. 2,850 3,125,880
5.000%, 01/01/21............................. 2,340 2,611,346
Florida State Board of Education (GO) Series B
5.000%, 06/01/19............................. 3,500 3,709,300
5.000%, 06/01/20............................. 1,000 1,096,800
Orange County Water Utility System Revenue (RB)
5.000%, 10/01/21............................. 2,500 2,848,750
Tampa Bay Water (RB)
(currency) 5.000%, 10/01/25
(Pre-refunded @ $100, 10/1/20)............... 2,160 2,387,772
------------
TOTAL FLORIDA............................................ 51,040,446
------------
GEORGIA -- (4.9%)
Cobb County (GO)
5.000%, 01/01/21............................. 3,710 4,145,109
5.000%, 01/01/22............................. 500 574,080
Cobb County (TAN)
2.000%, 11/30/17............................. 10,000 10,009,000
De Kalb County School District (GO) (ST AID WITHHLDG)
4.000%, 11/01/17............................. 10,775 10,775,000
DeKalb County (TAN)
3.000%, 12/19/17............................. 35,330 35,429,984
Georgia State (GO) Series A
5.000%, 07/01/19............................. 7,350 7,825,031
Georgia State (GO) Series A-1
5.000%, 02/01/19............................. 8,000 8,392,480
5.000%, 02/01/20............................. 4,210 4,570,460
Georgia State (GO) Series C
5.000%, 07/01/19............................. 2,000 2,129,260
Georgia State (GO) Series D
5.000%, 02/01/19............................. 7,970 8,361,008
Georgia State (GO) Series E-1
4.500%, 07/01/19............................. 6,890 7,278,596
Georgia State (GO) Series I
5.000%, 07/01/19............................. 20,475 21,798,299
------------
TOTAL GEORGIA............................................ 121,288,307
------------
FACE
AMOUNT VALUE+
------ ------
(000)
HAWAII -- (1.8%)
City & County of Honolulu (GO) Series B
5.000%, 11/01/19............................. $ 8,000 $ 8,606,400
Hawaii State (GO) Series DR
5.000%, 06/01/19............................. 9,725 10,315,988
Hawaii State (GO) Series EE
5.000%, 11/01/18............................. 11,495 11,943,075
Hawaii State (GO) Series EF
5.000%, 11/01/21............................. 5,500 6,269,395
Hawaii State (GO) Series EO
5.000%, 08/01/22............................. 6,000 6,961,620
Maui County (GO)
5.000%, 06/01/18............................. 500 511,455
-----------
TOTAL HAWAII............................................. 44,607,933
-----------
IDAHO -- (0.3%)
Idaho State (TAN)
4.000%, 06/29/18............................. 6,275 6,394,288
-----------
ILLINOIS -- (0.2%)
Central Lake County Joint Action Water Agency (RB)
4.000%, 05/01/18............................. 4,700 4,765,988
Central Lake County Joint Action Water Agency (RB) (ETM)
4.000%, 05/01/18............................. 1,495 1,516,513
-----------
TOTAL ILLINOIS........................................... 6,282,501
-----------
IOWA -- (0.4%)
Iowa Finance Authority (RB)
(currency) 5.000%, 08/01/20
(Pre-refunded @ $100, 8/1/19)................ 2,535 2,703,299
(currency) 5.000%, 08/01/21
(Pre-refunded @ $100, 8/1/19)................ 1,560 1,663,568
State of Iowa (RB) Series A (ETM)
5.000%, 06/01/18............................. 4,785 4,895,486
-----------
TOTAL IOWA............................................... 9,262,353
-----------
KANSAS -- (1.1%)
City of Topeka Series A
3.000%, 10/01/18............................. 15,400 15,661,954
City of Wichita (GO) Series A
5.000%, 12/01/19............................. 3,960 4,272,523
Kansas State Department of Transportation (RB) Series C
5.000%, 09/01/19............................. 4,975 5,320,912
Sedgwick County Unified School District No. 266 Maize
(GO) Series A
2.000%, 09/01/18............................. 1,000 1,007,500
-----------
TOTAL KANSAS............................................. 26,262,889
-----------
135
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
KENTUCKY -- (0.8%)
Kentucky State Economic Development Finance Authority
(RB) Series A
(currency) 5.000%, 05/01/24 (Pre-refunded @ $100,
5/1/19) $ 1,000 $ 1,057,290
Louisville & Jefferson County (GO) Series A
5.000%, 12/01/19............................. 4,095 4,413,755
Louisville & Jefferson County (RB)
(currency) 5.000%, 12/01/35 (Pre-refunded @ $100,
6/1/22) 1,675 1,937,590
Louisville & Jefferson County Metropolitan Sewer
District (RB) Series B
5.000%, 05/15/18............................. 13,245 13,525,396
-----------
TOTAL KENTUCKY........................................... 20,934,031
-----------
LOUISIANA -- (0.3%)
Louisiana State (GO) Series A
5.000%, 02/01/18............................. 2,000 2,019,560
Louisiana State (GO) Series C
5.000%, 08/01/21............................. 5,000 5,650,850
-----------
TOTAL LOUISIANA.......................................... 7,670,410
-----------
MARYLAND -- (6.2%)
Anne Arundel County (GO)
3.000%, 10/01/19............................. 3,900 4,038,411
5.000%, 10/01/20............................. 1,790 1,984,179
5.000%, 04/01/21............................. 12,740 14,327,149
Baltimore County (GO)
5.000%, 08/01/18............................. 2,450 2,521,614
Baltimore County (GO) Series B
5.000%, 08/01/18............................. 5,000 5,146,150
Charles County (GO)
5.000%, 03/01/19............................. 2,450 2,576,837
Maryland State (GO) Series A
5.000%, 08/01/19............................. 20,000 21,327,800
Maryland State (GO) Series B
5.000%, 03/01/19............................. 6,300 6,621,867
5.000%, 08/01/19............................. 11,500 12,263,485
Maryland State (GO) Series C
5.000%, 11/01/18............................. 9,335 9,700,745
5.000%, 08/01/19............................. 2,000 2,132,780
5.000%, 11/01/19............................. 2,000 2,153,660
5.000%, 08/01/20............................. 7,705 8,493,761
Montgomery County (GO) Series B
5.000%, 12/01/21............................. 4,000 4,581,120
Prince George's County (GO) Series B
5.000%, 09/15/18............................. 16,190 16,744,669
4.000%, 03/01/19............................. 9,575 9,944,499
4.000%, 03/01/20............................. 9,780 10,421,372
Prince George's County (GO) Series C
5.000%, 08/01/18............................. 10,075 10,372,615
FACE
AMOUNT VALUE+
------ ------
(000)
MARYLAND -- (Continued)
Talbot County (GO)
2.000%, 12/15/21............................. $ 1,330 $ 1,360,218
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/18............................. 2,350 2,403,839
Washington Suburban Sanitary Commission (GO) Series A
4.000%, 06/01/18............................. 5,000 5,085,700
------------
TOTAL MARYLAND........................................... 154,202,470
------------
MASSACHUSETTS -- (6.4%)
City of Boston (GO) Series A
5.000%, 03/01/18............................. 3,960 4,013,024
City of Somerville (BAN)
2.000%, 06/08/18............................. 11,642 11,707,661
City of Springfield (GO) (ST AID WITHHLDG)
5.000%, 09/01/21............................. 4,240 4,815,792
Commonwealth of Massachusetts (GO) Series A
5.000%, 05/01/21............................. 10,000 11,257,300
Commonwealth of Massachusetts (GO) Series B
5.000%, 08/01/18............................. 3,750 3,860,775
Commonwealth of Massachusetts (GO) Series B (AGM)
5.250%, 09/01/21............................. 2,405 2,753,966
Commonwealth of Massachusetts (GO) Series C
5.000%, 04/01/20............................. 2,700 2,944,053
5.000%, 08/01/20............................. 8,500 9,362,835
5.000%, 10/01/21............................. 8,000 9,106,160
Commonwealth of Massachusetts (GO) Series D (AMBAC)
5.500%, 10/01/19............................. 4,220 4,568,150
Commonwealth of Massachusetts (GO) Series E
5.000%, 12/01/17............................. 15,000 15,049,350
Commonwealth of Massachusetts (RAN) Series A
2.000%, 04/23/18............................. 12,000 12,052,800
Massachusetts Bay Transportation Authority (RB) Series A
5.250%, 07/01/19............................. 3,115 3,326,446
Massachusetts Clean Water Trust (The) (RB)
5.000%, 08/01/20............................. 5,830 6,433,522
Massachusetts Development Finance Agency (RB)
(currency) 5.750%, 07/01/39 (Pre-refunded @ $100,
7/1/19) 9,990 10,745,044
Massachusetts Health & Educational Facilities Authority
(RB) Series E-2
(currency) 5.375%, 07/01/22 (Pre-refunded @ $100,
7/1/18) 12,500 12,855,750
136
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MASSACHUSETTS -- (Continued)
Massachusetts Water Resources Authority (RB) Series J
(AGM) (GO OF AUTH)
5.250%, 08/01/18............................. $18,000 $ 18,567,720
Town of Lexington (BAN)
2.000%, 02/16/18............................. 14,800 14,844,844
Town of Westborough (BAN)
2.500%, 08/10/18............................. 2,000 2,020,640
------------
TOTAL MASSACHUSETTS...................................... 160,285,832
------------
MICHIGAN -- (1.9%)
Michigan Finance Authority (RB) Series A
5.000%, 07/01/18............................. 25,260 25,919,791
Michigan State (GO)
5.000%, 11/01/19............................. 13,000 13,988,130
Michigan State Building Authority (RB)
(currency) 6.000%, 10/15/38 (Pre-refunded @ $100,
10/15/18) 2,740 2,866,095
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/18............................. 3,600 3,743,856
------------
TOTAL MICHIGAN........................................... 46,517,872
------------
MINNESOTA -- (3.6%)
Bloomington Independent School District No. 271 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/21............................. 1,290 1,443,884
Chaska Independent School District No. 112 (GO) Series A
(SD CRED PROG)
5.000%, 02/01/21............................. 590 659,779
City of Minneapolis (GO)
2.000%, 12/01/18............................. 5,085 5,136,206
City of Rochester (GO) Series A
5.000%, 02/01/18............................. 2,590 2,615,667
City of State Louis Park (RB) Series C (ETM)
5.500%, 07/01/18............................. 4,140 4,259,812
Elk River Independent School District No. 728 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/21............................. 1,000 1,118,270
Elk River Independent School District No. 728 (GO)
Series C (SD CRED PROG)
5.000%, 02/01/20............................. 5,000 5,422,250
5.000%, 02/01/21............................. 2,000 2,236,540
Hennepin County (GO) Series B
5.000%, 12/01/21............................. 650 744,432
Lakeville Independent School District No. 194 (GO)
Series D (SD CRED PROG)
5.000%, 02/01/19............................. 4,425 4,636,426
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
Minnesota State (GO) Series B
5.000%, 08/01/18............................. $ 7,600 $ 7,823,896
5.000%, 08/01/19............................. 4,000 4,265,560
4.000%, 08/01/20............................. 8,800 9,458,856
Minnesota State (GO) Series D
5.000%, 08/01/19............................. 19,750 21,061,202
5.000%, 08/01/20............................. 750 826,350
5.000%, 08/01/21............................. 7,230 8,196,651
Minnesota State (GO) Series E
2.000%, 08/01/19............................. 725 735,621
Minnesota State (GO) Series F
5.000%, 10/01/18............................. 650 673,348
Owatonna Independent School District No. 761 (GO) Series
A (SD CRED PROG)
2.000%, 02/01/18............................. 2,855 2,862,138
University of Minnesota (RB) Series A (GO OF UNIV) (ETM)
5.000%, 12/01/17............................. 6,040 6,059,751
-----------
TOTAL MINNESOTA.......................................... 90,236,639
-----------
MISSISSIPPI -- (0.1%)
Mississippi State (GO) Series C
5.000%, 10/01/18............................. 2,800 2,900,576
-----------
MISSOURI -- (0.7%)
Health & Educational Facilities Authority of the State
of Missouri (RB) Series 2003A-ST LUKE'S HEALTH (AGM)
(currency) 5.500%, 11/15/28 (Pre-refunded @
$100,11/15/18).............................. 10,000 10,454,100
Jackson County Reorganized School District No. 7 (GO)
3.000%, 03/01/21............................. 2,375 2,496,624
Missouri State (GO) Series A
5.000%, 12/01/20............................. 4,515 5,033,773
-----------
TOTAL MISSOURI........................................... 17,984,497
-----------
NEBRASKA -- (0.3%)
Lancaster County School District 001 (GO)
5.000%, 01/15/21............................. 1,620 1,811,193
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20............................. 4,340 4,827,512
-----------
TOTAL NEBRASKA........................................... 6,638,705
-----------
NEVADA -- (0.6%)
City of Henderson NV (GO)
5.000%, 06/01/19............................. 5,295 5,611,641
Clark County School District (GO) Series A
5.000%, 06/15/19............................. 1,000 1,060,250
137
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEVADA -- (Continued)
Clark County School District (GO) Series C
(currency) 5.000%, 06/15/26 (Pre-refunded @ $100,
12/15/17)................................... $ 4,750 $ 4,773,038
Nevada State (RB)
5.000%, 12/01/17............................. 3,600 3,611,700
Washoe County School District (GO) Series A
3.000%, 06/01/19............................. 1,125 1,157,861
-----------
TOTAL NEVADA............................................. 16,214,490
-----------
NEW HAMPSHIRE -- (0.2%)
City of Nashua (GO)
4.000%, 07/15/21............................. 1,720 1,884,053
City of Portsmouth (BAN)
3.000%, 06/22/18............................. 2,705 2,737,893
-----------
TOTAL NEW HAMPSHIRE...................................... 4,621,946
-----------
NEW JERSEY -- (1.2%)
Monmouth County (GO)
5.000%, 07/15/20............................. 4,540 5,003,761
5.000%, 07/15/21............................. 3,770 4,279,930
Union County
2.250%, 06/22/18............................. 20,000 20,148,000
-----------
TOTAL NEW JERSEY......................................... 29,431,691
-----------
NEW MEXICO -- (1.1%)
City of Albuquerque (GO) Series A
5.000%, 07/01/18............................. 4,775 4,898,720
New Mexico State (GO)
5.000%, 03/01/19............................. 1,500 1,576,635
5.000%, 03/01/21............................. 4,000 4,482,200
New Mexico State Severance Tax Permanent Fund (RB)
Series A
5.000%, 07/01/19............................. 6,500 6,910,020
New Mexico State Severance Tax Permanent Fund (RB)
Series A-2
5.000%, 07/01/18............................. 10,000 10,258,500
-----------
TOTAL NEW MEXICO......................................... 28,126,075
-----------
NEW YORK -- (7.7%)
Albany Industrial Development Agency (RB) Series A
(currency) 5.750%, 11/15/22 (Pre-refunded @ $100,
11/15/17)................................... 200 200,346
Amherst Central School District (GO) (ST AID WITHHLDG)
3.000%, 06/15/18............................. 135 136,620
Brewster Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/01/19............................. 1,160 1,179,268
City of New York (GO) Series C
5.000%, 08/01/18............................. 6,265 6,447,186
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
City of New York (GO) Series E
5.000%, 08/01/21............................. $ 1,500 $ 1,695,255
City of New York (GO) Series F
5.000%, 08/01/21............................. 1,000 1,130,170
City of New York (GO) Series G
5.000%, 08/01/18............................. 8,000 8,232,640
5.000%, 08/01/19............................. 15,310 16,318,163
5.000%, 08/01/21............................. 5,915 6,684,956
City of New York (GO) Series H-A
5.000%, 03/01/19............................. 10,105 10,619,850
City of New York (GO) Series J7
5.000%, 08/01/20............................. 5,000 5,499,000
City of Rochester (BAN) Series 3
2.500%, 08/02/18............................. 17,550 17,729,887
County of Columbia (GO) Series A (AGM)
2.000%, 02/01/19............................. 500 505,555
Erie County (RAN)
2.000%, 06/30/18............................. 6,800 6,840,256
Hilton Central School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/21............................. 685 698,967
Metropolitan Transportation Authority (RB) Series A
5.000%, 11/15/21............................. 600 683,208
New York State (GO) Series A
4.000%, 03/01/18............................. 400 404,080
5.000%, 03/15/18............................. 1,565 1,588,600
New York State Dormitory Authority (RB)
(currency) 6.125%, 12/01/29 (Pre-refunded @ $100,
12/1/18).................................... 600 632,292
New York State Dormitory Authority (RB) Series 2015B-A
5.000%, 03/15/18............................. 8,750 8,876,962
New York State Dormitory Authority (RB) Series A
5.000%, 02/15/18............................. 11,440 11,568,814
5.000%, 03/15/18............................. 3,800 3,855,138
5.000%, 03/15/21............................. 1,795 2,013,236
5.000%, 12/15/21............................. 3,545 4,058,670
5.000%, 02/15/22............................. 4,000 4,596,920
(currency) 5.500%, 07/01/25 (Pre-refunded @ $100,
7/1/20)..................................... 500 555,495
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/20............................. 15,000 16,295,550
(currency) 5.000%, 07/01/38 (Pre-refunded @ $100,
7/1/18)..................................... 5,600 5,746,664
New York State Dormitory Authority (RB) Series B
(ASSURED GTY)
(currency) 5.000%, 07/01/23 (Pre-refunded @ $100,
7/1/18)..................................... 550 564,405
138
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19............................. $ 700 $ 736,505
New York State Dormitory Authority (RB) Series E
5.000%, 03/15/20............................. 500 544,615
5.000%, 03/15/21............................. 2,000 2,245,260
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/18............................. 4,500 4,565,295
5.000%, 03/15/20............................. 550 599,077
New York State Urban Development Corp. (RB) Series C
5.000%, 12/15/17............................. 5,765 5,792,787
5.000%, 12/15/18............................. 250 260,815
Town of Brookhaven (GO) Series A
3.000%, 02/01/19............................. 5,080 5,201,107
Town of Hempstead (GO) Series B
5.000%, 02/01/18............................. 9,915 10,011,969
Triborough Bridge & Tunnel Authority (RB) Series A-1
5.000%, 11/15/19............................. 500 538,840
Triborough Bridge & Tunnel Authority (RB) Series B
5.000%, 11/15/17............................. 2,800 2,804,144
4.000%, 11/15/18............................. 11,860 12,229,558
Union Free School District Of The Tarrytowns (GO) Series
A (ST AID WITHHLDG)
5.000%, 01/15/18............................. 150 151,217
------------
TOTAL NEW YORK........................................... 191,039,342
------------
NORTH CAROLINA -- (3.1%)
City of Charlotte Water & Sewer System Revenue (RB)
5.000%, 07/01/19............................. 10,555 11,229,887
Davie County (GO)
5.000%, 05/01/20............................. 1,595 1,738,725
North Carolina Medical Care Commission (RB) Series D
(currency) 6.250%, 12/01/33 (Pre-refunded @ $100,
12/1/18).................................... 15,455 16,310,898
North Carolina State (GO) Series A
5.000%, 03/01/19............................. 5,000 5,258,150
North Carolina State (GO) Series B
5.000%, 06/01/18............................. 29,730 30,416,465
Onslow County (GO)
4.000%, 12/01/17............................. 525 526,276
Wake County (GO)
5.000%, 03/01/19............................. 7,225 7,598,027
Wake County (GO) Series B
5.000%, 05/01/18............................. 4,625 4,716,760
------------
TOTAL NORTH CAROLINA..................................... 77,795,188
------------
FACE
AMOUNT VALUE+
------ ------
(000)
OHIO -- (3.9%)
City of Columbus (GO) Series 1
5.000%, 07/01/20............................. $10,000 $10,995,900
City of Columbus (GO) Series A
5.000%, 02/15/19............................. 10,000 10,486,000
3.000%, 07/01/21............................. 12,830 13,593,641
Ohio State (GO) Series A
3.000%, 05/01/20............................. 5,000 5,222,000
5.000%, 05/01/20............................. 7,000 7,654,290
5.000%, 09/15/21............................. 2,335 2,654,288
Ohio State (GO) Series B
5.000%, 08/01/19............................. 7,270 7,751,347
5.000%, 09/01/19............................. 4,215 4,506,467
5.000%, 08/01/20............................. 10,000 11,018,000
2.000%, 09/01/20............................. 2,500 2,549,875
5.000%, 06/15/21............................. 9,500 10,727,875
Ohio State (GO) Series C
5.000%, 09/15/18............................. 1,300 1,343,966
Ohio State (GO) Series R
5.000%, 05/01/20............................. 5,080 5,554,828
Ohio State (GO) Series T
5.000%, 04/01/21............................. 2,040 2,290,492
Ohio State Water Development Authority (RB) Series A
5.000%, 06/01/21............................. 1,825 2,061,155
-----------
TOTAL OHIO............................................... 98,410,124
-----------
OKLAHOMA -- (0.3%)
Tulsa County Independent School District No. 1 Tulsa
(GO) Series C
1.500%, 07/01/18............................. 6,970 6,989,725
-----------
OREGON -- (0.7%)
Multnomah County (GO)
5.000%, 08/01/19............................. 4,580 4,889,013
Oregon State (GO) Series F
3.000%, 05/01/20............................. 6,585 6,877,374
Oregon State (GO) Series L
5.000%, 11/01/19............................. 4,510 4,854,654
-----------
TOTAL OREGON............................................. 16,621,041
-----------
PENNSYLVANIA -- (3.7%)
City of Philadelphia (GO) Series A (AGM)
(currency) 5.250%, 12/15/32 (Pre-refunded @ $100,
12/15/18)................................... 7,290 7,627,235
Commonwealth of Pennsylvania (GO)
5.000%, 07/01/18............................. 3,755 3,851,541
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 11/15/18............................. 10,645 11,069,203
5.000%, 07/01/19............................. 7,655 8,132,672
5.000%, 04/01/20............................. 8,500 9,219,525
139
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
PENNSYLVANIA -- (Continued)
Commonwealth of Pennsylvania (GO) Series 2
5.000%, 10/15/19............................. $ 2,250 $ 2,414,070
Commonwealth of Pennsylvania (GO) Series A
5.000%, 02/15/19............................. 5,010 5,254,789
Council Rock School District (GO) Series C (ST AID
WITHHLDG)
5.000%, 11/15/17............................. 5,285 5,292,399
Montgomery County Industrial Development Authority (RB)
(FHA INS)
(currency) 5.375%, 08/01/38 (Pre-refunded @ $100,
8/1/20)..................................... 10,000 11,116,100
Pennsylvania Economic Development Financing Authority
(RB) Series A
5.000%, 07/01/19............................. 14,735 15,666,989
Pennsylvania Higher Educational Facilities Authority
(RB) Series A (NATL)
(currency) 5.000%, 05/01/37 (Pre-refunded @ $100,
11/1/17).................................... 8,600 8,600,000
University of Pittsburgh-of the Commonwealth System of
Higher Education (RB) Series B
(currency) 5.250%, 09/15/34 (Pre-refunded @ $100,
9/15/19).................................... 3,330 3,581,115
-----------
TOTAL PENNSYLVANIA....................................... 91,825,638
-----------
RHODE ISLAND -- (0.2%)
Rhode Island State (GO) Series A
5.000%, 08/01/19............................. 4,700 5,011,187
-----------
SOUTH CAROLINA -- (4.6%)
Aiken County Consolidated School District (GO) Series A
(SCSDE)
5.000%, 03/01/20............................. 3,000 3,261,900
Charleston County School District (BAN) Series A (SCSDE)
2.000%, 11/16/17............................. 11,910 11,915,360
Charleston County School District (GO) Series A (SCSDE)
5.000%, 02/01/19............................. 7,595 7,953,028
Darlington County School District (GO) (SCSDE)
3.000%, 03/01/19............................. 3,000 3,074,250
Dorchester County School District No. 2 (GO) Series A
(SCSDE)
5.000%, 03/01/21............................. 1,885 2,112,897
Florence County (GO) (ST AID WITHHLDG)
4.000%, 06/01/19............................. 15,000 15,670,050
4.000%, 06/01/20............................. 2,475 2,650,552
FACE
AMOUNT VALUE+
------ ------
(000)
SOUTH CAROLINA -- (Continued)
Florence School District One (GO) (SCSDE)
5.000%, 03/01/19............................. $ 3,730 $ 3,918,514
Greenville County School District (GO) Series C (SCSDE)
5.000%, 06/01/18............................. 15,000 15,336,600
Lexington & Richland School District No. 5 (GO) Series B
(SCSDE)
5.000%, 03/01/21............................. 1,660 1,860,694
Richland County School District No. 2 (GO) (SCSDE)
5.000%, 03/01/20............................. 910 990,107
Richland County School District No. 2 (GO) Series A
(SCSDE)
5.000%, 02/01/20............................. 5,520 5,990,028
5.000%, 02/01/21............................. 7,000 7,827,890
Richland County School District No. 2 (GO) Series C
(SCSDE)
5.000%, 02/01/19............................. 5,740 6,012,765
South Carolina State (GO) Series A
5.000%, 06/01/20............................. 8,945 9,818,121
Spartanburg County School District No. 6 (BAN)
5.000%, 09/27/18............................. 10,000 10,350,200
Sumter County School District (TAN)
3.000%, 04/11/18............................. 6,725 6,785,458
------------
TOTAL SOUTH CAROLINA..................................... 115,528,414
------------
TENNESSEE -- (2.7%)
City of Chattanooga (GO) Series A
4.000%, 09/01/18............................. 9,160 9,385,886
City of Memphis (GO) (NATL-RE)
5.250%, 10/01/18............................. 4,000 4,153,840
City of Memphis (GO) Series A
5.000%, 04/01/21............................. 4,550 5,111,970
City of Memphis (GO) Series D
5.000%, 07/01/19............................. 4,180 4,447,980
Hamilton County (GO) Series A
5.000%, 05/01/21............................. 3,895 4,393,287
Metropolitan Government of Nashville & Davidson County
(GO)
5.000%, 07/01/21............................. 9,055 10,253,248
(currency) 5.000%, 01/01/27 (Pre-refunded @ $100,
1/1/18)..................................... 4,300 4,328,036
Metropolitan Government of Nashville & Davidson County
(GO) Series A
(currency) 5.000%, 07/01/25 (Pre-refunded @ $100,
7/1/20)..................................... 525 575,978
140
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TENNESSEE -- (Continued)
Metropolitan Government of Nashville & Davidson County
Electric Revenue (RB) Series A
5.000%, 05/15/20............................. $ 2,000 $ 2,191,380
Shelby County (GO) Series A
5.000%, 04/01/20............................. 18,135 19,783,290
5.000%, 03/01/21............................. 2,550 2,860,055
-----------
TOTAL TENNESSEE.......................................... 67,484,950
-----------
TEXAS -- (13.5%)
Austin Independent School District (GO)
(currency) 4.500%, 08/01/25 (Pre-refunded @ $100,
8/1/19)..................................... 3,340 3,535,924
City of Allen (GO)
5.000%, 08/15/21............................. 1,840 2,087,774
City of Dallas (GO)
5.000%, 02/15/19............................. 8,400 8,791,608
5.000%, 02/15/21............................. 1,500 1,661,580
City of Fort Worth Water & Sewer System (RB)
5.000%, 02/15/19............................. 830 871,434
City of Fort Worth Water & Sewer System (RB)
5.000%, 02/15/18............................. 10,690 10,811,973
City of Frisco (GO) Series A
5.000%, 02/15/21............................. 4,825 5,395,749
City of Houston (GO)
(currency) 5.000%, 03/01/26 (Pre-refunded @ $100,
3/1/19)..................................... 3,405 3,576,612
City of Houston (GO) (TRANS)
4.000%, 06/29/18............................. 43,000 43,842,370
City of Houston (GO) Series A
4.000%, 03/01/18............................. 2,000 2,019,120
City of Houston Combined Utility System Revenue (RB)
(ASSURED GTY)
(currency) 5.375%, 11/15/38 (Pre-refunded @ $100,
5/15/19).................................... 25,155 26,756,619
City of San Antonio (GO)
5.000%, 02/01/20............................. 7,350 7,967,326
City of San Antonio Electric & Gas Systems Revenue (RB)
Series A
(currency) 5.000%, 02/01/34 (Pre-refunded @ $100,
2/1/19)..................................... 4,750 4,977,572
City of San Antonio Electric & Gas Systems Revenue (RB)
Series D
5.000%, 02/01/19............................. 700 733,978
City of Waco (GO)
5.000%, 02/01/20............................. 5,765 6,251,854
Comal Independent School District (GO) Series A (PSF-GTD)
5.000%, 02/01/18............................. 3,990 4,029,142
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Conroe Independent School District (GO) Series A
(PSF-GTD)
4.000%, 02/15/21............................. $ 1,940 $ 2,109,246
Dallas Independent School District (GO) (PSF-GTD)
5.250%, 02/15/18............................. 2,000 2,024,120
Harris County (GO) Series A
5.000%, 10/01/19............................. 5,640 6,046,475
Houston Higher Education Finance Corp. (RB) Series A
(currency) 6.875%, 05/15/41 (Pre-refunded @ $100,
5/15/21).................................... 6,000 7,127,160
Humble Independent School District (GO) Series B
(PSF-GTD)
5.000%, 02/15/20............................. 4,000 4,343,560
Longview Independent School District (GO) (PSF-GTD)
(currency) 4.750%, 02/15/36 (Pre-refunded @ $100,
8/15/18).................................... 14,815 15,234,561
North East Independent School District (GO) (PSF-GTD)
5.000%, 08/01/18............................. 10,125 10,421,764
Northside Independent School District (GO) (PSF-GTD)
5.000%, 02/15/18............................. 1,250 1,264,188
Permanent University Fund (RB)
5.000%, 07/01/18............................. 12,585 12,915,356
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/19............................. 18,185 19,078,429
San Antonio Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20............................. 2,500 2,715,325
Southwest Higher Education Authority Inc (RB)
(currency) 5.000%, 10/01/23 (Pre-refunded @ $100,
10/1/19).................................... 2,740 2,938,568
Texas State (GO)
5.000%, 04/01/19............................. 4,350 4,586,683
5.000%, 10/01/20............................. 3,825 4,235,308
5.000%, 10/01/23............................. 1,425 1,693,784
(currency) 5.000%, 04/01/29 (Pre-refunded @ $100,
4/1/18)..................................... 7,905 8,035,828
Texas State (GO) Series A
5.000%, 10/01/21............................. 2,200 2,505,096
Texas State (RN)
4.000%, 08/30/18............................. 53,000 54,257,160
Texas Tech University (RB) Series A
5.000%, 08/15/19............................. 3,025 3,231,940
141
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Texas Transportation Commission State Highway
Fund (RB) Series A
5.000%, 04/01/18.............................. $ 5,000 $ 5,082,750
5.000%, 04/01/19.............................. 5,110 5,389,517
5.000%, 10/01/19.............................. 4,000 4,285,120
5.000%, 10/01/20.............................. 12,500 13,821,875
University of Texas System (The) (RB) Series A
5.250%, 08/15/18.............................. 750 774,645
University of Texas System (The) (RB) Series C
5.000%, 08/15/19.............................. 7,975 8,520,570
------------
TOTAL TEXAS........................................ 335,949,663
------------
UTAH -- (1.7%)
Alpine School District (GO) (SCH BD GTY)
5.000%, 03/15/21.............................. 940 1,056,598
Jordan School District (GO) (SCH BD GTY)
5.000%, 06/15/19.............................. 16,420 17,442,145
Utah State (GO)
5.000%, 07/01/22.............................. 9,690 11,273,734
Utah State (GO) Series C
5.000%, 07/01/18.............................. 3,150 3,232,687
4.500%, 07/01/19.............................. 6,675 7,048,066
Washington County School District Board of
Education (GO) (SCH BD GTY)
5.000%, 03/01/18.............................. 2,000 2,026,240
------------
TOTAL UTAH......................................... 42,079,470
------------
VIRGINIA -- (6.8%)
Arlington County (GO) (ST AID WITHHLDG)
4.000%, 08/15/21.............................. 2,125 2,337,096
Chesterfield County (GO) Series A
5.000%, 01/01/19.............................. 3,575 3,739,593
City of Hampton (GO) Series B (ST AID WITHHLDG)
5.000%, 09/01/21.............................. 2,700 3,073,167
City of Norfolk (GO) Series C (ST AID WITHHLDG)
5.000%, 10/01/19.............................. 2,500 2,681,650
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/20.............................. 1,000 1,088,030
Commonwealth of Virginia (GO) Series B
5.000%, 06/01/19.............................. 10,250 10,872,893
5.000%, 06/01/19.............................. 5,705 6,051,693
Fairfax County (GO) Series A (ST AID WITHHLDG)
3.000%, 10/01/18.............................. 2,855 2,906,276
4.000%, 10/01/18.............................. 8,880 9,120,027
FACE
AMOUNT VALUE+
------ ------
(000)
VIRGINIA -- (Continued)
4.000%, 10/01/19............................. $12,300 $ 12,966,414
4.000%, 10/01/20............................. 15,530 16,766,809
Fairfax County (GO) Series B (ST AID WITHHLDG)
5.000%, 10/01/18............................. 10,000 10,361,000
4.000%, 04/01/19............................. 7,000 7,284,970
Henrico County (GO)
5.000%, 07/15/19............................. 5,460 5,816,210
Loudoun County (GO) Series A
4.000%, 12/01/17............................. 3,555 3,563,710
University of Virginia (RB) Series B
5.000%, 08/01/21............................. 15,000 17,034,900
Virginia Public Building Authority (RB) Series A
5.000%, 08/01/18............................. 8,370 8,619,091
Virginia Public School Authority (RB) Series B (ST AID
WITHHLDG)
5.000%, 08/01/19............................. 15,580 16,619,965
Virginia Resources Authority (RB)
(currency) 5.000%, 10/01/22 (Pre-refunded @ $100,
10/1/18).................................... 7,935 8,220,739
(currency) 5.000%, 10/01/27 (Pre-refunded @ $100,
10/1/18).................................... 4,940 5,117,889
(currency) 5.000%, 10/01/28 (Pre-refunded @ $100,
10/1/18).................................... 6,230 6,454,342
Virginia Resources Authority (RB) Series B
4.000%, 10/01/19............................. 4,875 5,139,128
Virginia State Public School Authority (RB) (ST AID
WITHHLDG)
5.000%, 07/15/19............................. 4,080 4,346,179
------------
TOTAL VIRGINIA........................................... 170,181,771
------------
WASHINGTON -- (4.1%)
Central Puget Sound Regional Transit Authority (RB)
Series P-1
5.000%, 02/01/18............................. 3,000 3,029,430
City of Seattle (GO)
5.000%, 12/01/17............................. 4,050 4,063,325
City of Seattle Drainage & Wastewater Revenue (RB)
5.000%, 04/01/21............................. 3,000 3,369,450
City of Seattle Water System Revenue (RB)
5.000%, 09/01/19............................. 3,890 4,164,128
King County (GO)
5.000%, 12/01/18............................. 9,420 9,812,437
King County School District No. 405 Bellevue (GO) (SCH
BD GTY)
5.000%, 12/01/18............................. 1,240 1,291,522
142
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
King County School District No. 405 Bellevue
(GO) Series A (SCH BD GTY)
5.000%, 12/01/18............................. $ 400 $ 416,620
King County Sewer Revenue (RB)
5.000%, 01/01/18............................. 4,670 4,700,122
Snohomish County Public Utility District No. 1
(RB)
5.000%, 12/01/18............................. 3,190 3,322,895
5.000%, 12/01/19............................. 5,810 6,261,030
Snohomish County School District No. 201
Snohomish (GO) (SCH BD GTY)
5.000%, 12/01/21............................. 4,000 4,555,480
Snohomish County School District No. 6 Mukilteo
(GO) (SCH BD GTY)
5.000%, 12/01/18............................. 500 520,720
Washington State (GO)
5.000%, 07/01/18............................. 3,000 3,077,730
5.000%, 07/01/20............................. 3,650 4,007,445
Washington State (GO) Series 2010A
5.000%, 08/01/18............................. 4,500 4,631,175
Washington State (GO) Series 2013A
5.000%, 08/01/21............................. 4,245 4,804,236
Washington State (GO) Series A
5.000%, 08/01/18............................. 2,735 2,814,725
Washington State (GO) Series A-1
5.000%, 08/01/21............................. 1,500 1,697,610
Washington State (GO) Series B
4.000%, 07/01/18............................. 9,000 9,173,880
5.000%, 07/01/20............................. 5,000 5,489,650
Washington State (GO) Series D
5.000%, 02/01/19............................. 1,710 1,792,131
Washington State (GO) Series E
5.000%, 02/01/19............................. 4,080 4,275,963
Washington State (GO) Series R-2014A
5.000%, 07/01/18............................. 7,065 7,248,054
Washington State (GO) Series R-2015
5.000%, 07/01/18............................. 4,160 4,267,786
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Washington State (GO) Series R-2017A
5.000%, 08/01/22............................. $ 2,500 $ 2,896,950
--------------
TOTAL WASHINGTON......................................... 101,684,494
--------------
WEST VIRGINIA -- (0.4%)
West Virginia State (GO) Series A
5.000%, 06/01/21............................. 9,620 10,861,172
--------------
WISCONSIN -- (3.0%)
City of Milwaukee (GO) Series N2
5.000%, 05/01/19............................. 10,010 10,580,470
5.000%, 04/01/20............................. 5,860 6,385,232
Wisconsin Health & Educational Facilities Authority (RB)
Series A
(currency) 5.250%, 12/01/35 (Pre-refunded @ $100,
12/3/18).................................... 1,980 2,066,684
Wisconsin State (GO) Series 1
5.000%, 05/01/19............................. 9,230 9,761,648
5.000%, 05/01/20............................. 3,235 3,533,202
Wisconsin State (GO) Series 1 (AMBAC)
5.000%, 05/01/19............................. 3,475 3,675,160
Wisconsin State (GO) Series 1 (ETM)
5.000%, 05/01/20............................. 120 130,999
Wisconsin State (GO) Series 2
5.000%, 11/01/19............................. 4,000 4,304,040
5.000%, 11/01/21............................. 6,160 7,019,135
5.000%, 11/01/22............................. 3,000 3,497,400
Wisconsin State (GO) Series B
5.000%, 05/01/20............................. 11,930 13,029,708
5.000%, 05/01/21............................. 9,655 10,861,875
--------------
TOTAL WISCONSIN.......................................... 74,845,553
--------------
TOTAL MUNICIPAL BONDS.................................... 2,491,372,578
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,484,987,890).................................. $2,491,372,578
==============
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
------- -------------- ------- --------------
Municipal Bonds. -- $2,491,372,578 -- $2,491,372,578
-- -------------- -- --------------
TOTAL........... -- $2,491,372,578 -- $2,491,372,578
== ============== == ==============
See accompanying Notes to Financial Statements.
143
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.6%)
Alabama State (GO) Series A
5.000%, 08/01/19.............................. $3,995 $ 4,258,071
5.000%, 08/01/21.............................. 250 283,425
Alabama State (GO) Series B
5.000%, 11/01/19.............................. 1,000 1,076,010
Alabama State (GO) Series C
5.000%, 08/01/24.............................. 3,000 3,624,240
-----------
TOTAL ALABAMA...................................... 9,241,746
-----------
ALASKA -- (0.5%)
Borough of North Slope (GO) Series A
4.000%, 06/30/18.............................. 400 407,560
City of Anchorage (GO) Series B
5.000%, 09/01/21.............................. 3,845 4,345,619
5.000%, 09/01/23.............................. 200 235,148
City of Anchorage (GO) Series C
5.000%, 09/01/24.............................. 2,765 3,303,760
-----------
TOTAL ALASKA....................................... 8,292,087
-----------
ARIZONA -- (0.5%)
City of Tucson (GO) Series C
3.000%, 07/01/22.............................. 1,455 1,548,207
Maricopa County Community College District (GO)
4.000%, 07/01/18.............................. 4,000 4,078,880
Maricopa County High School District No.
210-Phoenix (GO)
3.000%, 07/01/23.............................. 1,810 1,940,574
-----------
TOTAL ARIZONA...................................... 7,567,661
-----------
ARKANSAS -- (0.8%)
Arkansas State (GO)
5.000%, 04/01/21.............................. 1,000 1,122,790
5.000%, 06/15/21.............................. 3,750 4,234,687
5.000%, 04/01/22.............................. 2,800 3,226,076
4.250%, 06/01/23.............................. 3,325 3,795,488
-----------
TOTAL ARKANSAS..................................... 12,379,041
-----------
CALIFORNIA -- (1.4%)
California State (GO)
5.000%, 11/01/24.............................. 1,175 1,422,020
5.000%, 08/01/26.............................. 8,000 9,888,000
California State (GO) Series B
5.000%, 09/01/21.............................. 250 284,553
5.000%, 09/01/25.............................. 9,000 10,998,900
-----------
TOTAL CALIFORNIA................................... 22,593,473
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
COLORADO -- (1.5%)
Adams & Arapahoe Joint School District 28J (GO)
(ST AID WITHHLDG)
5.000%, 12/01/21.............................. $ 425 $ 485,835
Arapahoe County School District No. 5 (GO) (ST
AID WITHHLDG)
5.000%, 12/15/19.............................. 3,115 3,365,353
5.000%, 12/15/19.............................. 5,705 6,163,511
Boulder County (RB)
5.000%, 07/15/18.............................. 540 554,963
Boulder Valley School District No. Re-2 Boulder
(GO) Series B (ST AID WITHHLDG)
4.000%, 12/01/24.............................. 2,185 2,507,899
City & County of Denver (GO) Series A
5.000%, 08/01/19.............................. 2,085 2,224,924
Denver City & County School District No. 1 (GO)
Series A (NATL-RE) (ST AID WITHHLDG)
5.250%, 12/01/21.............................. 2,490 2,868,903
Denver City & County School District No. 1 (GO)
Series C (ST AID WITHHLDG)
3.000%, 12/01/23.............................. 1,540 1,655,177
Platte River Power Authority (RB) Series JJ
5.000%, 06/01/23.............................. 4,425 5,217,340
-----------
TOTAL COLORADO..................................... 25,043,905
-----------
CONNECTICUT -- (0.9%)
City of Middletown (GO)
4.000%, 04/01/22.............................. 1,350 1,501,551
Connecticut State (GO) Series A
5.000%, 10/15/18.............................. 3,300 3,417,150
5.000%, 10/15/19.............................. 600 641,340
Connecticut State (GO) Series B (AMBAC)
5.250%, 06/01/18.............................. 6,800 6,960,004
Connecticut State (GO) Series E
5.000%, 08/15/19.............................. 2,775 2,950,547
-----------
TOTAL CONNECTICUT.................................. 15,470,592
-----------
DELAWARE -- (0.7%)
Delaware State (GO) Series A
5.000%, 08/01/23.............................. 2,225 2,648,173
Delaware State (GO) Series B
5.000%, 07/01/18.............................. 2,395 2,458,204
5.000%, 07/01/19.............................. 4,680 4,980,830
New Castle County (GO)
5.000%, 10/01/23.............................. 1,000 1,194,850
144
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
DELAWARE -- (Continued)
New Castle County (GO) Series B
5.000%, 07/15/22............................. $ 700 $ 814,989
-----------
TOTAL DELAWARE................................... 12,097,046
-----------
DISTRICT OF COLUMBIA -- (2.1%)
District of Columbia (GO) Series A
5.000%, 06/01/20............................. 3,445 3,778,476
5.000%, 06/01/20............................. 6,000 6,580,800
5.000%, 06/01/23............................. 2,000 2,361,620
5.000%, 06/01/25............................. 1,500 1,829,190
District of Columbia (GO) Series B
5.000%, 06/01/25............................. 4,500 5,487,570
Washington Metropolitan Area Transit Authority
(RB) Series B
5.000%, 07/01/26............................. 3,500 4,300,100
5.000%, 07/01/27............................. 8,100 10,048,617
-----------
TOTAL DISTRICT OF COLUMBIA....................... 34,386,373
-----------
FLORIDA -- (3.4%)
Board of Governors State University System of
Florida (RB) Series A
3.000%, 07/01/24............................. 2,580 2,769,372
City of Jacksonville (RB)
5.000%, 10/01/18............................. 315 326,227
City of Tallahassee Energy System Revenue (RB)
5.000%, 10/01/20............................. 250 276,892
Florida State (GO)
5.000%, 07/01/21............................. 7,000 7,929,040
5.000%, 07/01/24............................. 5,000 6,028,300
Florida State (GO) Series A (ST GTD)
5.000%, 06/01/27............................. 6,565 8,209,336
Florida State Board of Education (GO) Series A
5.000%, 06/01/19............................. 2,860 3,031,028
5.000%, 06/01/20............................. 4,000 4,387,200
5.000%, 06/01/23............................. 1,300 1,536,574
5.000%, 06/01/24............................. 1,400 1,685,502
Florida State Board of Education (GO) Series B
5.000%, 06/01/20............................. 6,400 7,019,520
5.000%, 06/01/23............................. 350 413,693
Florida State Board of Education (GO) Series C
5.000%, 06/01/20............................. 3,000 3,290,400
Florida State Board of Education (GO) Series D
5.000%, 06/01/22............................. 1,000 1,157,250
Orlando Utilities Commission (RB) Series C
5.250%, 10/01/22............................. 1,745 2,052,940
FACE
AMOUNT VALUE+
------ ------
(000)
FLORIDA -- (Continued)
Peace River/Manasota Regional Water Supply
Authority (RB)
5.000%, 10/01/25............................. $ 2,030 $ 2,462,085
Tampa Bay Water (RB)
5.000%, 10/01/19............................. 450 482,967
Tampa Bay Water (RB) Series A
5.000%, 10/01/25............................. 2,850 3,491,592
-----------
TOTAL FLORIDA.................................... 56,549,918
-----------
GEORGIA -- (3.7%)
City of Atlanta (GO)
5.000%, 12/01/19............................. 5,875 6,338,655
City of Atlanta Water & Wastewater Revenue (RB)
Series B
5.000%, 11/01/19............................. 1,700 1,829,217
Columbia County School District (GO) (ST AID
WITHHLDG)
5.000%, 04/01/20............................. 1,700 1,854,938
DeKalb County Water & Sewerage Revenue (RB)
Series B
5.250%, 10/01/24............................. 2,830 3,459,958
Georgia State (GO) Series A-1
5.000%, 02/01/22............................. 2,730 3,139,909
Georgia State (GO) Series C
5.000%, 10/01/21............................. 3,060 3,489,379
Georgia State (GO) Series C-1
5.000%, 07/01/23............................. 10,915 12,942,570
5.000%, 07/01/26............................. 9,200 11,451,516
Georgia State (GO) Series F
5.000%, 12/01/19............................. 6,000 6,478,680
Georgia State (GO) Series I
5.000%, 07/01/19............................. 4,490 4,780,189
5.000%, 07/01/20............................. 900 989,883
Gwinnett County School District (GO)
5.000%, 02/01/20............................. 1,700 1,845,554
5.000%, 02/01/20............................. 1,585 1,720,708
-----------
TOTAL GEORGIA.................................... 60,321,156
-----------
HAWAII -- (2.0%)
City & County of Honolulu (GO) Series B
5.000%, 08/01/20............................. 1,470 1,618,382
5.000%, 10/01/23............................. 200 236,982
5.000%, 10/01/24............................. 6,870 8,278,213
5.000%, 10/01/25............................. 4,925 6,021,551
Hawaii State (GO) Series EA
5.000%, 12/01/21............................. 850 970,946
Hawaii State (GO) Series EE
5.000%, 11/01/20............................. 515 571,156
Hawaii State (GO) Series EF
5.000%, 11/01/22............................. 2,240 2,612,579
Hawaii State (GO) Series EH
4.000%, 08/01/19............................. 1,110 1,165,145
145
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
HAWAII -- (Continued)
Hawaii State (GO) Series ET
3.000%, 10/01/23.............................. $3,710 $ 3,982,388
Hawaii State (GO) Series EZ
5.000%, 10/01/21.............................. 6,080 6,918,189
-----------
TOTAL HAWAII....................................... 32,375,531
-----------
IOWA -- (0.1%)
City of Ankeny (GO) Series D
4.000%, 06/01/18.............................. 700 711,998
County of Black Hawk IA (GO) Series A
5.000%, 06/01/19.............................. 1,200 1,271,760
State of Iowa (RB) Series A (ETM)
5.000%, 06/01/18.............................. 275 281,350
-----------
TOTAL IOWA......................................... 2,265,108
-----------
KANSAS -- (1.6%)
City of Lenexa (GO) Series A
5.000%, 09/01/21.............................. 525 596,505
City of Wichita (GO) Series A
5.000%, 12/01/19.............................. 3,000 3,236,760
Johnson County (GO) Series B
3.000%, 09/01/22.............................. 2,260 2,419,556
Johnson County Unified School District No. 229
Blue Valley (GO) Series B
5.000%, 10/01/23.............................. 445 530,600
Johnson County Unified School District No. 232
(GO) Series A
5.000%, 09/01/20.............................. 2,550 2,812,829
Johnson County Unified School District No. 233
Olathe (GO) Series B
5.000%, 09/01/23.............................. 4,380 5,184,343
Kansas State Department of Transportation (RB)
Series A
5.000%, 09/01/21.............................. 3,250 3,697,850
Kansas State Department of Transportation (RB)
Series B
5.000%, 09/01/20.............................. 3,000 3,317,160
Saline County Unified School District No. 305
Salina (GO)
5.000%, 09/01/20.............................. 1,860 2,055,002
Sedgwick County Unified School District No. 260
(GO)
5.000%, 10/01/21.............................. 1,325 1,501,159
Wyandotte County Unified Government (GO) Series A
3.000%, 08/01/18.............................. 580 587,737
-----------
TOTAL KANSAS....................................... 25,939,501
-----------
KENTUCKY -- (0.9%)
Louisville & Jefferson County (GO) Series A
5.000%, 12/01/22.............................. 5,645 6,586,868
FACE
AMOUNT VALUE+
------ ------
(000)
KENTUCKY -- (Continued)
Louisville Water Co. (RB) Series A
4.000%, 11/15/21............................. $ 1,215 $ 1,341,567
Louisville/Jefferson County Metropolitan
Government (GO)
5.000%, 12/01/19............................. 1,250 1,347,300
Louisville/Jefferson County Metropolitan
Government (GO) Series A
5.000%, 12/01/20............................. 5,155 5,727,411
-----------
TOTAL KENTUCKY................................... 15,003,146
-----------
LOUISIANA -- (1.6%)
Louisiana State (GO) Series A
5.000%, 11/15/19............................. 4,500 4,842,900
5.000%, 02/01/24............................. 2,000 2,372,600
Louisiana State (GO) Series C
5.000%, 07/15/22............................. 12,765 14,742,171
Louisiana State (GO) Series D-1
5.000%, 12/01/20............................. 4,065 4,516,377
-----------
TOTAL LOUISIANA.................................. 26,474,048
-----------
MAINE -- (0.4%)
Maine State (GO) Series B
5.000%, 06/01/20............................. 3,000 3,291,210
5.000%, 06/01/27............................. 2,000 2,518,740
-----------
TOTAL MAINE...................................... 5,809,950
-----------
MARYLAND -- (6.7%)
Anne Arundel County (GO)
5.000%, 04/01/22............................. 2,475 2,856,200
Baltimore County (GO)
5.000%, 08/01/22............................. 400 464,508
Baltimore County (GO) Series B
5.000%, 08/01/24............................. 5,800 7,002,746
Baltimore County (GO) Series C
4.000%, 09/01/18............................. 2,410 2,468,418
Carroll County (GO)
4.000%, 11/01/18............................. 2,890 2,974,359
5.000%, 11/01/19............................. 2,300 2,475,766
5.000%, 11/01/20............................. 5,450 6,056,204
Charles County (GO)
5.000%, 03/01/19............................. 2,000 2,103,540
City of Baltimore (GO) Series B
5.000%, 10/15/19............................. 7,330 7,876,305
5.000%, 10/15/22............................. 8,060 9,397,476
Harford County (GO)
5.000%, 09/15/19............................. 1,545 1,655,869
Maryland State (GO) Series B
5.000%, 03/01/19............................. 4,680 4,919,101
5.000%, 08/01/19............................. 2,500 2,665,975
5.000%, 08/01/26............................. 10,000 12,459,800
Maryland State (GO) Series C
5.000%, 11/01/18............................. 5,000 5,195,900
5.000%, 08/01/19............................. 3,000 3,199,170
5.000%, 08/01/20............................. 7,250 7,992,183
146
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MARYLAND -- (Continued)
Prince George's County (GO) Series A
3.000%, 09/15/27.............................. $ 9,000 $ 9,743,580
Prince George's County (GO) Series B
5.000%, 09/15/18.............................. 2,000 2,068,520
4.000%, 03/01/22.............................. 2,480 2,754,412
Prince George's County (GO) Series C
5.000%, 08/01/20.............................. 3,450 3,804,177
Queen Anne's County (GO)
5.000%, 11/15/19.............................. 1,805 1,943,678
University System of Maryland (RB) Series B
5.000%, 04/01/20.............................. 4,355 4,747,560
Washington Suburban Sanitary Commission (GO)
Series A
4.000%, 06/01/18.............................. 1,550 1,576,567
Worcester County (GO) Series B
4.000%, 08/01/21.............................. 2,000 2,192,220
------------
TOTAL MARYLAND..................................... 110,594,234
------------
MASSACHUSETTS -- (4.2%)
City of Boston (GO) Series A
5.000%, 03/01/20.............................. 3,270 3,560,997
City of Boston (GO) Series B
5.000%, 04/01/19.............................. 4,700 4,959,816
4.000%, 01/01/23.............................. 1,795 2,021,906
5.000%, 04/01/24.............................. 3,000 3,617,340
City of Cambridge (GO)
3.000%, 02/15/20.............................. 2,070 2,158,534
City of Springfield (GO) Series C (ST AID
WITHHLDG)
4.000%, 08/01/23.............................. 150 169,337
City of Woburn (GO)
4.000%, 09/01/22.............................. 350 391,836
Commonwealth of Massachusetts (GO) Series C
5.000%, 04/01/23.............................. 10,000 11,756,400
Commonwealth of Massachusetts (GO) Series B
5.000%, 08/01/18.............................. 2,500 2,573,850
5.250%, 08/01/21.............................. 5,000 5,712,050
Commonwealth of Massachusetts (GO) Series B (AGM)
5.250%, 09/01/24.............................. 3,700 4,524,878
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20.............................. 2,500 2,753,775
5.000%, 10/01/21.............................. 1,005 1,143,961
5.000%, 08/01/24.............................. 1,500 1,807,875
Commonwealth of Massachusetts (GO) Series C
(AMBAC)
5.500%, 12/01/23.............................. 3,500 4,269,720
FACE
AMOUNT VALUE+
------ ------
(000)
MASSACHUSETTS -- (Continued)
Commonwealth of Massachusetts (GO) Series E
5.000%, 11/01/27.............................. $3,000 $ 3,762,390
Massachusetts Bay Transportation Authority (RB)
Series B (NATL-RE)
5.500%, 07/01/24.............................. 3,020 3,742,203
Massachusetts Water Resources Authority (RB)
Series A
5.000%, 08/01/22.............................. 3,000 3,491,310
Massachusetts Water Resources Authority (RB)
Series J (AGM) (GO OF AUTH)
5.250%, 08/01/18.............................. 2,000 2,063,080
Town of Auburn (GO)
2.000%, 03/15/19.............................. 750 759,352
Town of Nantucket (GO)
3.000%, 10/01/22.............................. 1,115 1,194,477
Town of Reading (GO)
5.000%, 02/01/18.............................. 1,065 1,075,554
Town of Wilmington (GO)
5.000%, 03/15/20.............................. 1,665 1,812,752
-----------
TOTAL MASSACHUSETTS................................ 69,323,393
-----------
MICHIGAN -- (0.9%)
Kentwood Public Schools (GO)
4.000%, 05/01/22.............................. 500 549,815
Michigan State (GO)
5.000%, 11/01/19.............................. 4,400 4,734,444
Michigan State (GO) Series A
5.000%, 05/01/25.............................. 2,000 2,440,700
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/18.............................. 5,000 5,199,800
University of Michigan (RB) Series A
4.000%, 04/01/23.............................. 1,000 1,125,640
-----------
TOTAL MICHIGAN..................................... 14,050,399
-----------
MINNESOTA -- (4.0%)
Bloomington Independent School District No. 271
(GO) Series A (SD CRED PROG)
5.000%, 02/01/20.............................. 1,150 1,248,463
City of Edina (GO) Series B
3.000%, 02/01/19.............................. 305 312,271
City of State Cloud (GO) Series B
5.000%, 02/01/21.............................. 1,275 1,427,962
Dakota County Community Development Agency (RB)
Series B (CNTY GTD)
5.000%, 01/01/23.............................. 800 939,488
147
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
Elk River Independent School District No. 728
(GO) Series A (SD CRED PROG)
5.000%, 02/01/21.............................. $ 5,000 $ 5,591,350
Hennepin County (GO) Series C
5.000%, 12/01/26.............................. 4,070 5,090,715
Lakeville Minnesota Independent School District
No. 194 (GO) Series D (SD CRED PROG)
5.000%, 02/01/22.............................. 4,000 4,588,120
Metropolitan Council (GO) Series C
5.000%, 03/01/26.............................. 700 868,273
Minnesota Public Facilities Authority (RB)
Series A
5.000%, 03/01/18.............................. 620 628,196
Minnesota State (GO) Series A
5.000%, 10/01/20.............................. 4,390 4,862,232
5.000%, 08/01/22.............................. 3,000 3,483,810
Minnesota State (GO) Series B
5.000%, 08/01/20.............................. 5,460 6,015,828
5.000%, 10/01/21.............................. 4,660 5,306,249
Minnesota State (GO) Series D
5.000%, 08/01/18.............................. 485 499,288
Minnesota State (GO) Series E
2.000%, 08/01/19.............................. 1,810 1,836,517
Minnesota State (GO) Series F
5.000%, 10/01/21.............................. 12,025 13,692,627
Minnesota State (GO) Series K
5.000%, 11/01/19.............................. 3,680 3,960,453
Morris Area Schools Independent School District
No. 2769 (GO) Series A (SD CRED PROG)
4.000%, 02/01/24.............................. 1,125 1,276,290
Rochester Independent School District No. 535
(GO) Series A (SD CRED PROG)
3.000%, 02/01/22.............................. 1,240 1,319,930
Saint Paul Public Library Agency (GO) Series C
5.000%, 03/01/20.............................. 250 272,128
University of Minnesota (RB) Series A (GO OF
UNIV) (ETM)
5.000%, 12/01/17.............................. 1,760 1,765,755
-----------
TOTAL MINNESOTA.................................... 64,985,945
-----------
MISSISSIPPI -- (1.2%)
Mississippi State (GO) Series A
5.000%, 10/01/27.............................. 9,110 11,398,432
Mississippi State (GO) Series F
5.000%, 11/01/21.............................. 7,750 8,840,658
-----------
TOTAL MISSISSIPPI.................................. 20,239,090
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
MISSOURI -- (1.3%)
Cass County Reorganized School District No. R-2
(GO) (ST AID DIR DEP)
5.000%, 03/01/21.............................. $1,000 $ 1,121,240
City of Kansas City (GO) Series A
4.000%, 02/01/22.............................. 1,150 1,267,346
5.000%, 02/01/23.............................. 3,955 4,616,078
Columbia School District (GO) Series B
5.000%, 03/01/23.............................. 1,120 1,315,059
5.000%, 03/01/24.............................. 4,100 4,908,684
North Kansas City School District No. 74 (GO)
(ST AID DIR DEP)
4.000%, 03/01/23.............................. 5,335 5,995,366
St. Charles Community College (GO)
3.000%, 02/15/20.............................. 2,245 2,336,866
-----------
TOTAL MISSOURI 21,560,639
-----------
MONTANA -- (--%)
City & County of Butte-Silver Bow (GO)
4.000%, 07/01/21.............................. 615 673,751
-----------
NEBRASKA -- (0.7%)
Douglas County School District No. 17 (GO)
4.000%, 12/15/26.............................. 2,260 2,628,900
Lancaster County School District 001 (GO)
5.000%, 01/15/21.............................. 2,470 2,761,509
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20.............................. 1,000 1,112,330
Omaha Public Power District (RB) Series B
5.000%, 02/01/18.............................. 2,965 2,994,442
Omaha School District (GO)
4.000%, 12/15/19.............................. 1,365 1,447,692
-----------
TOTAL NEBRASKA..................................... 10,944,873
-----------
NEVADA -- (0.6%)
City of Henderson NV (GO)
5.000%, 06/01/21.............................. 490 551,573
Clark County (GO) Series A
5.000%, 07/01/19.............................. 1,725 1,833,520
5.000%, 07/01/25.............................. 2,700 3,285,657
Clark County School District (GO) Series A
5.000%, 06/15/19.............................. 1,500 1,590,375
Nevada State (GO) Series A
5.000%, 08/01/19.............................. 1,825 1,945,176
-----------
TOTAL NEVADA....................................... 9,206,301
-----------
148
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW HAMPSHIRE -- (1.0%)
City of Dover (GO)
3.000%, 06/15/19.............................. $ 600 $ 617,460
City of Nashua (GO)
4.000%, 07/15/19.............................. 5,350 5,607,228
4.000%, 07/15/20.............................. 2,720 2,923,402
New Hampshire State (GO) Series A
5.000%, 03/01/23.............................. 5,910 6,942,595
-----------
TOTAL NEW HAMPSHIRE................................ 16,090,685
-----------
NEW JERSEY -- (1.0%)
Essex County (GO) Series A
5.000%, 08/01/20.............................. 1,000 1,102,090
Livingston Township (GO)
3.000%, 01/15/21.............................. 350 367,588
Montville Township (GO)
3.000%, 10/01/25.............................. 505 547,955
Morris County (GO)
4.000%, 10/15/20.............................. 2,390 2,579,933
New Jersey Educational Facilities Authority (RB)
Series B
5.000%, 07/01/19.............................. 2,330 2,480,588
Princeton Regional School District (GO) (ST AID
WITHHLDG)
1.750%, 02/01/22.............................. 1,095 1,109,837
South Orange & Maplewood School District (GO)
(SCH BD RES FD)
3.000%, 03/01/22.............................. 350 368,613
Township of North Brunswick (GO)
2.000%, 08/01/18.............................. 1,075 1,082,815
Township of Parsippany-Troy Hills (GO)
2.000%, 09/15/22.............................. 4,100 4,166,830
Union County (GO) Series B
3.000%, 03/01/22.............................. 2,315 2,469,086
Union County (GO) Series B (ETM)
3.000%, 03/01/22.............................. 45 47,898
-----------
TOTAL NEW JERSEY................................... 16,323,233
-----------
NEW MEXICO -- (1.2%)
City of Albuquerque (GO) Series A
5.000%, 07/01/24.............................. 1,300 1,570,088
Farmington Municipal School District No. 5 (GO)
(ST AID WITHHLDG)
4.000%, 09/01/20.............................. 945 1,017,585
Las Cruces School District No. 2 (GO) Series A
(ST AID WITHHLDG)
4.000%, 08/01/19.............................. 1,000 1,047,540
4.000%, 08/01/20.............................. 125 134,288
New Mexico State Severance Tax Permanent Fund
(RB) Series A
5.000%, 07/01/19.............................. 2,000 2,126,160
5.000%, 07/01/27.............................. 2,000 2,487,040
FACE
AMOUNT VALUE+
------ ------
(000)
NEW MEXICO -- (Continued)
New Mexico State Severance Tax Permanent Fund
(RB) Series B
4.000%, 07/01/20.............................. $ 4,100 $ 4,398,931
Santa Fe County (GO)
5.000%, 07/01/22.............................. 1,000 1,158,050
Santa Fe Public School District (GO) (ST AID
WITHHLDG)
5.000%, 08/01/20.............................. 3,270 3,595,430
5.000%, 08/01/24.............................. 2,000 2,399,240
-----------
TOTAL NEW MEXICO................................... 19,934,352
-----------
NEW YORK -- (5.3%)
Albany County (GO) Series B
4.000%, 11/01/18.............................. 2,470 2,543,606
Brewster Central School District (GO) (ST AID
WITHHLDG)
2.000%, 10/01/19.............................. 1,000 1,016,610
City of New York (GO) Series A
5.000%, 08/01/24.............................. 860 1,029,257
5.000%, 08/01/26.............................. 5,000 6,126,150
City of New York (GO) Series B
5.000%, 08/01/19.............................. 600 639,510
5.000%, 08/01/21.............................. 450 508,576
5.000%, 08/01/22.............................. 600 693,480
City of New York (GO) Series B-Subseries B-7
(AMBAC)
5.000%, 08/15/18.............................. 1,620 1,669,556
City of New York (GO) Series C
5.250%, 08/01/18.............................. 430 443,300
5.000%, 08/01/20.............................. 5,625 6,186,375
City of New York (GO) Series E
5.000%, 08/01/21.............................. 3,975 4,492,426
5.000%, 08/01/23.............................. 6,000 7,065,240
City of New York (GO) Series G
5.000%, 08/01/19.............................. 3,500 3,730,475
New York State Dormitory Authority (RB) Series A
3.000%, 07/01/20.............................. 1,615 1,690,970
5.000%, 02/15/22.............................. 10,200 11,722,146
5.000%, 03/15/23.............................. 200 235,414
5.000%, 02/15/24.............................. 4,900 5,856,823
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19.............................. 825 868,024
New York State Dormitory Authority (RB) Series D
5.000%, 02/15/24.............................. 9,950 11,892,936
New York State Dormitory Authority (RB) Series E
5.000%, 03/15/21.............................. 2,000 2,245,260
New York State Urban Development Corp. (RB)
Series A
5.000%, 03/15/19.............................. 1,630 1,715,004
5.000%, 03/15/25.............................. 3,440 4,180,598
149
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Urban Development Corp. (RB)
Series C
5.000%, 12/15/18............................. $4,225 $ 4,407,773
Penfield Central School District (GO) (ASSURED
GTY) (ST AID WITHHLDG)
3.750%, 06/15/19............................. 150 156,361
Sachem Central School District (GO) (ST AID
WITHHLDG)
5.000%, 10/15/19............................. 1,300 1,396,369
Town of Cheektowaga (GO)
5.000%, 07/15/23............................. 300 356,997
Town of Huntington (GO)
2.000%, 12/01/23............................. 100 102,895
Triborough Bridge & Tunnel Authority (RB) Series
B
5.000%, 11/15/20............................. 4,000 4,448,040
-----------
TOTAL NEW YORK................................... 87,420,171
-----------
NORTH CAROLINA -- (5.7%)
City of Charlotte (GO) Series A
5.000%, 07/01/18............................. 4,380 4,495,282
City of Charlotte Water & Sewer System Revenue
(RB)
5.000%, 07/01/19............................. 2,000 2,127,880
City of High Point (GO)
5.000%, 03/01/18............................. 700 709,226
City of Raleigh (GO) Series A
5.000%, 09/01/22............................. 2,685 3,130,817
Forsyth County (GO)
4.000%, 12/01/21............................. 3,500 3,869,950
Guilford County (GO) Series A
5.000%, 02/01/22............................. 1,800 2,071,080
Guilford County (GO) Series B
5.000%, 05/01/24............................. 5,000 6,027,950
Johnston County (GO)
4.000%, 02/01/20............................. 3,735 3,972,135
Johnston County (GO) Series A
5.000%, 02/01/21............................. 2,995 3,353,292
Moore County (GO)
5.000%, 06/01/22............................. 2,740 3,173,495
New Hanover County (GO)
4.000%, 08/01/19............................. 2,280 2,394,889
5.000%, 02/01/23............................. 250 294,128
North Carolina Eastern Municipal Power Agency
(RB) Series B (NATL-IBC) (ETM)
6.000%, 01/01/22............................. 9,700 11,528,838
North Carolina State (GO) Series B
5.000%, 06/01/25............................. 8,000 9,825,440
North Carolina State (GO) Series B
5.000%, 06/01/18............................. 2,000 2,046,180
North Carolina State (GO) Series C
5.000%, 05/01/20............................. 3,270 3,579,048
5.000%, 05/01/21............................. 4,625 5,216,676
FACE
AMOUNT VALUE+
------ ------
(000)
NORTH CAROLINA -- (Continued)
North Carolina State (GO) Series D
4.000%, 06/01/21............................. $5,000 $ 5,478,100
4.000%, 06/01/23............................. 8,700 9,845,181
North Carolina State (GO) Series E
5.000%, 05/01/19............................. 5,000 5,289,550
Wake County (GO)
5.000%, 09/01/21............................. 1,450 1,650,405
Wake County (GO) Series C
5.000%, 03/01/24............................. 3,000 3,607,710
-----------
TOTAL NORTH CAROLINA..................................... 93,687,252
-----------
OHIO -- (3.6%)
City of Cincinnati (GO) Series A
4.000%, 12/01/21............................. 2,645 2,912,383
City of Cincinnati (GO) Series C
5.000%, 12/01/19............................. 2,955 3,185,667
City of Columbus (GO) Series 1
5.000%, 07/01/22............................. 4,100 4,756,041
City of Columbus (GO) Series A
2.000%, 08/15/20............................. 3,285 3,353,131
3.000%, 07/01/21............................. 470 497,974
3.000%, 07/01/22............................. 700 747,446
2.000%, 08/15/22............................. 6,160 6,293,056
4.000%, 07/01/23............................. 4,995 5,632,911
Hamilton County Sewer System Revenue (RB) Series A
5.000%, 12/01/21............................. 200 228,628
Oakwood City School District (GO)
2.000%, 12/01/17............................. 280 280,235
Ohio Higher Educational Facility Commission (RB)
(currency) 5.250%, 07/01/44 (Pre-refunded @ $100,
7/1/20)..................................... 1,875 2,069,306
Ohio State (GO)
5.000%, 09/01/19............................. 6,000 6,414,900
Ohio State (GO) Series A
5.000%, 09/01/19............................. 550 588,033
5.000%, 05/01/20............................. 1,555 1,700,346
3.000%, 02/01/22............................. 500 532,655
5.000%, 08/01/22............................. 4,005 4,646,881
5.000%, 09/15/22............................. 250 290,938
5.000%, 09/15/22............................. 500 581,875
Ohio State (GO) Series B
5.000%, 08/01/19............................. 200 213,242
5.000%, 09/15/19............................. 2,065 2,210,789
5.000%, 08/01/20............................. 3,020 3,327,436
5.000%, 06/15/21............................. 1,500 1,693,875
5.000%, 06/15/22............................. 4,000 4,628,320
Ohio State (GO) Series C
5.000%, 09/15/21............................. 1,000 1,136,740
Ohio State (RB) Series 1-GARVEE
5.000%, 12/15/17............................. 1,250 1,255,863
-----------
TOTAL OHIO............................................... 59,178,671
-----------
150
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
OKLAHOMA -- (0.1%)
City of Oklahoma City (GO)
5.000%, 03/01/19.............................. $ 1,310 $ 1,377,098
City of Tulsa (GO)
5.000%, 12/01/17.............................. 400 401,296
-----------
TOTAL OKLAHOMA..................................... 1,778,394
-----------
OREGON -- (1.6%)
City of Portland (GO) Series B
4.000%, 06/01/20.............................. 935 1,002,058
City of Portland Sewer System Revenue (RB)
Series A
5.000%, 06/15/26.............................. 1,550 1,916,451
City of Portland Water System Revenue (RB)
Series A
5.000%, 04/01/21.............................. 8,000 9,002,320
Lane County School District No. 4J Eugene (GO)
Series A (SCH BD GTY)
5.000%, 06/15/23.............................. 3,355 3,965,644
Oregon State (GO) Series A
5.000%, 05/01/21.............................. 200 225,366
Oregon State (GO) Series G
5.000%, 12/01/24.............................. 2,290 2,778,480
Oregon State Department of Transportation (RB)
Series B
5.000%, 11/15/26.............................. 3,500 4,354,210
Portland Community College District (GO)
5.000%, 06/15/18.............................. 2,760 2,827,813
-----------
TOTAL OREGON....................................... 26,072,342
-----------
PENNSYLVANIA -- (1.4%)
Commonwealth of Pennsylvania (GO)
5.000%, 07/01/18.............................. 1,500 1,538,565
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 04/01/22.............................. 11,260 12,782,127
Monroe County (GO)
4.000%, 12/15/18.............................. 400 412,956
Montgomery County (GO)
5.000%, 05/01/23.............................. 5,255 6,197,694
Pennsylvania Economic Development Financing
Authority (RB) Series A
5.000%, 07/01/19.............................. 1,300 1,382,225
West View Municipal Authority Water Revenue (RB)
4.000%, 11/15/20.............................. 1,100 1,180,982
-----------
TOTAL PENNSYLVANIA................................. 23,494,549
-----------
RHODE ISLAND -- (1.6%)
Rhode Island State (GO) Series A
5.000%, 08/01/19.............................. 8,000 8,529,680
5.000%, 08/01/22.............................. 1,605 1,855,059
FACE
AMOUNT VALUE+
------ ------
(000)
RHODE ISLAND -- (Continued)
Rhode Island State (GO) Series C
5.000%, 08/01/19.............................. $9,185 $ 9,793,139
5.000%, 08/01/20.............................. 4,870 5,353,250
Rhode Island State (GO) Series D
5.000%, 08/01/22.............................. 685 791,723
-----------
TOTAL RHODE ISLAND................................. 26,322,851
-----------
SOUTH CAROLINA -- (3.0%)
Beaufort County (GO) Series C (ST AID WITHHLDG)
5.000%, 03/01/22.............................. 3,485 4,008,726
Berkeley County School District (GO) Series B
(SCSDE)
5.000%, 03/01/22.............................. 4,120 4,735,404
Charleston County (GO) Series A
5.000%, 11/01/22.............................. 4,780 5,592,600
Charleston County School District (GO) Series A
(SCSDE)
5.000%, 02/01/21.............................. 2,020 2,258,905
City of Charleston SC Waterworks & Sewer System
Revenue (RB)
5.000%, 01/01/20.............................. 1,805 1,954,689
City of North Charleston (GO) (ST AID WITHHLDG)
5.000%, 06/01/21.............................. 385 434,819
Clemson University (RB)
3.000%, 05/01/21.............................. 350 369,292
Dorchester County School District No. 2 (GO)
Series B (SCSDE)
5.000%, 03/01/25.............................. 1,430 1,738,523
Florence School District One (GO) (SCSDE)
5.000%, 03/01/20.............................. 3,335 3,626,946
5.000%, 03/01/21.............................. 3,170 3,552,144
Lexington & Richland School District No. 5 (GO)
(SCSDE)
5.000%, 03/01/19.............................. 945 992,760
Richland County School District No. 1 (GO)
Series A (SCSDE)
5.000%, 03/01/20.............................. 5,480 5,951,773
Richland County School District No. 2 (GO)
Series A (SCSDE)
5.000%, 02/01/21.............................. 2,085 2,331,593
South Carolina State (GO) Series A
5.000%, 06/01/19.............................. 2,500 2,651,525
South Carolina State (GO) Series A (ST AID
WITHHLDG)
5.000%, 10/01/23.............................. 5,500 6,568,265
York County (GO) (ST AID WITHHLDG)
5.000%, 04/01/20.............................. 1,900 2,073,166
-----------
TOTAL SOUTH CAROLINA............................... 48,841,130
-----------
151
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TENNESSEE -- (3.1%)
City of Clarksville Water Sewer & Gas Revenue
(RB)
5.000%, 02/01/20.............................. $3,150 $ 3,417,498
City of Johnson City (GO)
3.000%, 06/01/19.............................. 875 900,699
City of Memphis (GO) Series A
5.000%, 11/01/22.............................. 9,695 11,317,749
5.000%, 04/01/25.............................. 1,945 2,358,604
City of Pigeon Forge (GO)
4.000%, 06/01/21.............................. 670 732,833
Hamilton County (GO) Series B
3.000%, 03/01/22.............................. 4,550 4,852,848
Knox County (GO)
5.000%, 06/01/20.............................. 2,585 2,834,530
Maury County (GO)
5.000%, 04/01/21.............................. 5,105 5,735,519
Maury County (GO) Series B
5.000%, 04/01/19.............................. 1,000 1,054,560
Metropolitan Government of Nashville & Davidson
County (GO)
5.000%, 07/01/22.............................. 1,000 1,160,500
Metropolitan Government of Nashville & Davidson
County (GO) Series A
5.000%, 01/01/20.............................. 1,100 1,190,981
Putnam County (GO)
4.000%, 04/01/23.............................. 975 1,096,417
Shelby County (GO) Series A
5.000%, 04/01/20.............................. 7,000 7,636,230
Sumner County (GO)
5.000%, 06/01/21.............................. 110 124,151
Tennessee State (GO) Series A
4.000%, 09/01/18.............................. 3,325 3,406,429
Tennessee State (GO) Series B
5.000%, 08/01/20.............................. 1,945 2,145,218
Williamson County (GO) Series A
4.000%, 05/01/22.............................. 300 334,020
Wilson County (GO) Series B
4.000%, 04/01/20.............................. 1,040 1,107,278
-----------
TOTAL TENNESSEE.................................... 51,406,064
-----------
TEXAS -- (14.7%)
Austin Independent School District (GO) (PSF-GTD)
5.000%, 08/01/20.............................. 350 385,630
City of Arlington (GO) Series A
3.000%, 08/15/20.............................. 1,700 1,781,192
City of Austin (GO)
5.000%, 09/01/20.............................. 1,655 1,829,487
City of Dallas (GO)
5.000%, 02/15/21.............................. 9,505 10,528,879
City of Denton (GO)
4.000%, 02/15/22.............................. 2,510 2,776,110
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
City of El Paso (GO)
5.000%, 08/15/19............................. $3,505 $3,744,111
City of Fort Worth Water & Sewer System (RB)
5.000%, 02/15/19............................. 400 419,968
City of Houston (GO) Series A
5.000%, 03/01/18............................. 750 759,638
5.000%, 03/01/21............................. 3,100 3,468,311
5.000%, 03/01/22............................. 5,890 6,756,478
City of Houston Combined Utility System Revenue (RB)
(ASSURED GTY)
(currency) 5.375%, 11/15/38 (Pre-refunded @ $100,
5/15/19).................................... 4,735 5,036,477
City of Lubbock (GO)
5.000%, 02/15/19............................. 3,000 3,147,780
5.000%, 02/15/23............................. 1,000 1,168,340
City of Richardson (GO)
4.250%, 02/15/18............................. 400 403,720
City of San Antonio (GO)
5.000%, 02/01/20............................. 1,000 1,083,990
City of San Antonio Electric & Gas (RB)
5.000%, 02/01/21............................. 3,000 3,352,770
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/21............................. 720 804,665
City of San Antonio Electric & Gas Systems Revenue (RB)
Series D
5.000%, 02/01/19............................. 400 419,416
City of Southlake (GO)
3.000%, 02/15/23............................. 1,510 1,612,771
Clear Creek Independent School District (GO) Series A
(PSF-GTD)
5.000%, 02/15/25............................. 2,175 2,648,215
Cypress-Fairbanks Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/21............................. 3,500 3,914,015
Dallas Area Rapid Transit (RB) Series B
5.000%, 12/01/21............................. 2,545 2,907,128
Dallas Independent School District (GO) (PSF-GTD)
5.000%, 02/15/19............................. 3,480 3,650,972
El Paso Independent School District (GO) (PSF-GTD)
5.000%, 08/15/24............................. 500 600,350
Galveston County (GO)
5.000%, 02/01/22............................. 1,000 1,140,370
Grayson County (GO)
5.000%, 01/01/21............................. 1,990 2,207,646
Harris County (GO) Series A
4.000%, 10/01/18............................. 880 903,135
5.000%, 10/01/19............................. 4,345 4,658,144
5.000%, 10/01/19............................. 3,500 3,752,245
152
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Harris County Metropolitan Transit Authority (RB) Series
B (ETM)
4.000%, 11/01/18............................. $ 400 $ 411,552
Hays Consolidated Independent School District (GO)
(PSF-GTD)
5.000%, 08/15/23............................. 1,355 1,606,136
Hidalgo County Drain District No. 1 (GO)
5.000%, 09/01/22............................. 1,000 1,156,420
Highland Park Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20............................. 1,790 1,943,743
Houston Higher Education Finance Corp. (RB) Series A
(currency) 6.875%, 05/15/41 (Pre-refunded @ $100,
5/15/21).................................... 3,225 3,830,849
Humble Independent School District (GO) Series A
(PSF-GTD)
2.000%, 02/15/19............................. 100 101,094
5.500%, 02/15/25............................. 7,000 8,766,380
Katy Independent School District (GO) Series A (PSF-GTD)
5.000%, 02/15/20............................. 3,820 4,151,729
La Porte Independent School District (GO)
5.000%, 02/15/21............................. 1,700 1,896,435
Lake Travis Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20............................. 3,480 3,778,897
Mansfield Independent School District (GO)
5.000%, 02/15/20............................. 1,000 1,085,890
Mansfield Independent School District (GO) Series A
(PSF-GTD)
5.000%, 02/15/22............................. 895 1,027,755
North Texas Municipal Water District Water System
Revenue (RB)
5.000%, 09/01/24............................. 5,715 6,897,605
Northside Independent School District (GO) (PSF-GTD)
5.000%, 02/15/23............................. 4,535 5,321,006
5.000%, 08/15/25............................. 1,880 2,298,375
Northside Independent School District (GO) Series A
(PSF-GTD)
4.000%, 08/15/24............................. 5,215 5,951,879
Northwest Independent School District (GO) Series A
(PSF-GTD)
5.000%, 02/15/24............................. 1,695 2,029,339
Permanent University Fund - University of Texas System
(RB) Series B
5.000%, 07/01/26............................. 5,500 6,816,315
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/24.............................. $11,000 $ 13,140,710
San Antonio Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20.............................. 4,100 4,453,133
Spring Independent School District (GO) (PSF-GTD)
5.000%, 08/15/19.............................. 5,000 5,336,500
Tarrant Regional Water District (RB)
6.000%, 09/01/24.............................. 3,450 4,405,339
Texas A&M University (RB) Series B
5.000%, 05/15/21.............................. 4,000 4,514,320
Texas A&M University Fund (RB)
5.000%, 07/01/23.............................. 3,500 4,145,995
Texas State (GO) Series A
5.000%, 03/01/25.............................. 5,000 6,052,050
Texas State (GO)
5.000%, 04/01/19.............................. 4,500 4,744,845
5.000%, 04/01/23.............................. 10,000 11,762,100
5.000%, 10/01/23.............................. 15,345 18,239,374
5.000%, 04/01/25.............................. 1,000 1,216,500
Texas State (GO) Series A
5.000%, 10/01/19.............................. 1,900 2,038,054
Texas Transportation Commission State Highway
Fund (RB)
5.250%, 04/01/26.............................. 300 376,476
Texas Transportation Commission State Highway
Fund (RB) Series A
5.000%, 04/01/19.............................. 5,000 5,273,500
5.000%, 04/01/20.............................. 7,900 8,604,127
Trinity River Authority Central Regional
Wastewater System Revenue (RB)
5.000%, 08/01/27.............................. 3,150 3,935,547
University of Texas System (The) (RB) Series J
5.000%, 08/15/25.............................. 2,500 3,058,375
5.000%, 08/15/26.............................. 1,500 1,856,805
Via Metropolitan Transit (RB)
5.000%, 07/15/20.............................. 2,495 2,744,251
------------
TOTAL TEXAS........................................ 240,831,353
------------
UTAH -- (1.3%)
Davis County (GO)
4.000%, 02/01/18.............................. 350 352,580
North Davis County Sewer District (RB)
3.000%, 03/01/21.............................. 2,135 2,251,464
Utah State (GO)
5.000%, 07/01/22.............................. 11,285 13,129,420
153
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
UTAH -- (Continued)
Utah State (GO) Series C
5.000%, 07/01/19............................. $1,100 $ 1,170,521
Washington County School District Board of
Education (GO) (SCH BD GTY)
5.000%, 03/01/18............................. 1,500 1,519,680
5.000%, 03/01/20............................. 2,135 2,321,386
-----------
TOTAL UTAH....................................... 20,745,051
-----------
VERMONT -- (0.2%)
Vermont State (GO) Series B
5.000%, 08/15/23............................. 1,270 1,512,329
Vermont State (GO) Series C
4.000%, 08/15/23............................. 225 255,523
Vermont State (GO) Series F
5.000%, 08/15/20............................. 1,100 1,215,456
-----------
TOTAL VERMONT.................................... 2,983,308
-----------
VIRGINIA -- (3.6%)
City of Hampton (GO) Series B (ST AID WITHHLDG)
5.000%, 09/01/21............................. 3,000 3,414,630
5.000%, 09/01/22............................. 2,050 2,390,382
City of Lynchburg (GO)
5.000%, 02/01/20............................. 1,390 1,511,931
City of Newport News (GO) Series A
2.000%, 07/15/18............................. 515 518,523
City of Norfolk (GO) Series C (ST AID WITHHLDG)
5.000%, 10/01/19............................. 2,505 2,687,013
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/21............................. 1,370 1,536,578
City of Richmond (GO) Series B
5.000%, 07/15/25............................. 5,350 6,550,219
City of Richmond (GO) Series B (ST AID WITHHLDG)
5.000%, 07/15/26............................. 3,635 4,505,255
City of Roanoke (GO) (ST AID WITHHLDG)
4.000%, 04/01/20............................. 1,000 1,067,900
Commonwealth of Virginia (GO) Series B
4.000%, 06/01/23............................. 2,500 2,831,925
Fairfax County (GO) Series A (ST AID WITHHLDG)
5.000%, 10/01/19............................. 2,500 2,682,650
5.000%, 10/01/19............................. 3,880 4,163,473
Fairfax County (GO) Series C (ST AID WITHHLDG)
5.000%, 10/01/19............................. 6,925 7,430,940
Loudoun County (GO) Series A (ST AID WITHHLDG)
5.000%, 12/01/22............................. 4,000 4,690,880
FACE
AMOUNT VALUE+
------ ------
(000)
VIRGINIA -- (Continued)
Pittsylvania County (GO) (ST AID WITHHLDG)
5.000%, 02/01/21............................. $ 250 $ 279,483
Spotsylvania County Water & Sewer System Revenue
(RB)
5.000%, 06/01/19............................. 2,885 3,057,985
University of Virginia (RB) Series B
5.000%, 08/01/21............................. 6,250 7,097,875
Virginia Public School Authority (RB) Series D
(ST AID WITHHLDG)
5.250%, 08/01/18............................. 500 515,580
Virginia Resources Authority (RB) Series B
4.000%, 10/01/19............................. 2,000 2,108,360
Virginia Resources Authority (RB) Series D
5.000%, 11/01/20............................. 745 826,935
-----------
TOTAL VIRGINIA................................... 59,868,517
-----------
WASHINGTON -- (7.3%)
Benton County School District No. 400 Richland
(GO) (SCH BD GTY)
5.000%, 12/01/22............................. 4,705 5,487,536
Central Puget Sound Regional Transit Authority
(RB) Series P-1
5.000%, 02/01/18............................. 250 252,453
City of Seattle (GO)
5.000%, 12/01/19............................. 1,500 1,619,025
5.000%, 12/01/20............................. 2,745 3,055,981
City of Seattle Drainage & Wastewater Revenue
(RB)
5.000%, 09/01/20............................. 3,665 4,047,076
5.000%, 07/01/27............................. 8,400 10,470,432
City of Seattle Municipal Light & Power Revenue
(RB)
5.000%, 09/01/20............................. 350 386,488
City of Seattle Municipal Light & Power Revenue
(RB) Series A
5.000%, 06/01/19............................. 1,525 1,617,430
5.000%, 06/01/22............................. 310 358,149
City of Seattle Water System Revenue (RB)
5.000%, 09/01/22............................. 6,000 6,971,820
Clark County School District No. 119
Battleground (GO) (SCH BD GTY)
4.000%, 12/01/21............................. 1,000 1,102,760
4.000%, 12/01/22............................. 2,630 2,938,157
County of Kitsap WA (GO)
5.000%, 06/01/21............................. 200 225,356
King County (GO)
5.000%, 01/01/21............................. 425 474,563
154
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
King County (GO) Series A
5.000%, 07/01/19............................. $1,110 $1,179,453
5.000%, 07/01/20............................. 2,650 2,913,913
King County (GO) Series E
5.000%, 12/01/19............................. 1,300 1,403,428
King County School District No. 210 (GO) (SCH BD
GTY)
2.000%, 12/01/18............................. 1,200 1,211,172
King County School District No. 403 Renton (GO)
(SCH BD GTY)
5.000%, 12/01/19............................. 1,150 1,241,494
King County School District No. 405 Bellevue
(GO) (SCH BD GTY)
5.000%, 12/01/18............................. 1,500 1,562,325
King County School District No. 411 Issaquah
(GO) (SCH BD GTY)
5.000%, 12/01/23............................. 3,500 4,175,640
King County School District No. 412 (GO) (SCH BD
GTY)
4.000%, 12/01/21............................. 1,000 1,104,440
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22............................. 1,000 1,155,120
North Thurston Public Schools (GO) (SCH BD GTY)
5.000%, 12/01/20............................. 2,880 3,205,354
Skagit County School District No. 103 (GO) (SCH
BD GTY)
5.000%, 12/01/19............................. 1,925 2,076,921
5.000%, 12/01/20............................. 2,245 2,499,336
Snohomish County Public Utility District No. 1
(RB)
5.000%, 12/01/19............................. 1,655 1,783,478
Snohomish County School District No. 15 Edmonds
(GO) (SCH BD GTY)
5.000%, 12/01/20............................. 2,555 2,838,707
Snohomish County School District No. 6 Mukilteo
(GO) (SCH BD GTY)
5.000%, 12/01/18............................. 2,000 2,082,880
Spokane County (GO)
5.000%, 12/01/22............................. 1,025 1,185,710
Tacoma Metropolitan Park District (GO) Series B
5.000%, 12/01/21............................. 150 171,344
Thurston County School District No. 111 (GO)
(SCH BD GTY)
5.000%, 12/01/21............................. 425 485,834
University of Washington (RB) Series A
5.000%, 07/01/22............................. 6,505 7,533,115
Washington State (GO) Series 2010A
5.000%, 08/01/18............................. 500 514,575
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Washington State (GO) Series 2013A
5.000%, 08/01/21............................. $ 225 $ 254,642
Washington State (GO) Series A
5.000%, 08/01/23............................. 750 886,755
Washington State (GO) Series B
5.000%, 07/01/25............................. 1,500 1,830,150
Washington State (GO) Series D
5.000%, 02/01/19............................. 900 943,227
Washington State (GO) Series E
5.000%, 02/01/19............................. 2,000 2,096,060
Washington State (GO) Series R-2012C
4.000%, 07/01/21............................. 1,610 1,760,776
Washington State (GO) Series R-2012D
5.000%, 07/01/20............................. 5,000 5,489,650
Washington State (GO) Series R-2013A
5.000%, 07/01/21............................. 7,000 7,904,890
Washington State (GO) Series R-2015
5.000%, 07/01/18............................. 1,000 1,025,910
5.000%, 07/01/22............................. 3,720 4,302,478
Washington State (GO) Series R-2015C
5.000%, 07/01/20............................. 2,000 2,195,860
Washington State (GO) Series R-2015E
5.000%, 07/01/21............................. 5,000 5,646,350
Washington State (GO) Series R-C
5.000%, 07/01/19............................. 1,750 1,860,687
Washington State (GO) Series R-D
5.000%, 07/01/23............................. 3,800 4,485,558
------------
TOTAL WASHINGTON................................. 120,014,458
------------
WEST VIRGINIA -- (0.6%)
Jefferson County Board of Education (GO) (WV BD
COMM)
4.000%, 05/01/20............................. 130 138,366
West Virginia State (GO) Series A
5.000%, 06/01/19............................. 9,525 10,097,643
------------
TOTAL WEST VIRGINIA.............................. 10,236,009
------------
WISCONSIN -- (1.4%)
City of Milwaukee (GO) Series N1
5.000%, 02/01/19............................. 6,220 6,517,192
City of Oshkosh (GO) Series B
3.000%, 12/01/23............................. 445 474,828
Oregon School District (GO)
3.000%, 03/01/21............................. 430 453,457
Sun Prairie Area School District (GO)
4.000%, 03/01/20............................. 570 602,102
155
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WISCONSIN -- (Continued)
Wisconsin State (GO) Series 1 (AMBAC)
5.000%, 05/01/19............................. $2,150 $ 2,273,840
Wisconsin State (GO) Series 2
5.000%, 11/01/20............................. 5,610 6,219,975
Wisconsin State (GO) Series 3
5.000%, 11/01/22............................. 3,110 3,625,638
Wisconsin State (GO) Series C
5.000%, 05/01/20............................. 3,295 3,598,733
--------------
TOTAL WISCONSIN.................................. 23,765,765
--------------
TOTAL MUNICIPAL BONDS............................ 1,642,383,062
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,623,528,103).......................... $1,642,383,062
==============
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
------- -------------- ------- --------------
Municipal Bonds. -- $1,642,383,062 -- $1,642,383,062
-- -------------- -- --------------
TOTAL........... -- $1,642,383,062 -- $1,642,383,062
== ============== == ==============
See accompanying Notes to Financial Statements.
156
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Alameda County Transportation Authority (RB)
5.000%, 03/01/20............................. $ 4,500 $ 4,913,550
Anaheim Union High School District (GO)
5.000%, 08/01/19............................. 400 427,204
Bay Area Toll Authority (RB)
4.000%, 04/01/18............................. 7,725 7,825,270
5.000%, 04/01/19............................. 775 818,633
Bay Area Toll Authority (RB) Series F-1
(currency) 5.000%, 04/01/34 (Pre-refunded @ $100,
4/1/18) 9,585 9,744,878
(currency) 5.000%, 04/01/34 (Pre-refunded @ $100,
4/1/19) 1,000 1,056,010
(currency) 5.125%, 04/01/39 (Pre-refunded @ $100,
4/1/19) 8,125 8,594,300
(currency) 5.625%, 04/01/44 (Pre-refunded @ $100,
4/1/19) 14,075 14,986,497
Bay Area Toll Authority (RB) Series F-2
4.000%, 04/01/21............................. 500 546,865
Berkeley Unified School District (GO) Series A
4.000%, 08/01/19............................. 500 525,730
Berkeley Unified School District (GO) Series D
5.000%, 08/01/23............................. 295 353,083
Berryessa Union School District (GO) (AMBAC)
5.375%, 08/01/18............................. 380 392,544
Beverly Hills Unified School District (GO)
2.000%, 08/01/18............................. 750 755,955
California Educational Facilities Authority (RB) Series A
5.000%, 01/01/18............................. 1,020 1,026,885
4.000%, 11/01/19............................. 850 897,175
California Health Facilities Financing Authority (RB)
(currency) 6.500%, 10/01/38 (Pre-refunded @ $100,
10/1/18) 17,230 18,097,875
(currency) 5.000%, 08/15/39 (Pre-refunded @ $100,
8/15/19) 6,300 6,736,779
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California Health Facilities Financing Authority (RB)
Series A
(currency) 6.000%, 07/01/39 (Pre-refunded @ $100,
7/1/19) $ 6,100 $ 6,594,527
California Health Facilities Financing Authority (RB)
Series C
(currency) 6.500%, 10/01/33 (Pre-refunded @ $100,
10/1/18) 9,650 10,136,070
California Municipal Finance Authority (RB)
(currency) 5.875%, 10/01/34 (Pre-refunded @ $100,
10/1/18) 4,000 4,176,920
California State (GO)
5.000%, 11/01/17............................. 800 800,000
5.000%, 02/01/18............................. 5,220 5,271,991
5.000%, 02/01/18............................. 1,000 1,009,960
5.500%, 04/01/18............................. 15,445 15,733,821
5.000%, 08/01/18............................. 5,000 5,148,800
5.000%, 08/01/18............................. 2,200 2,265,472
5.000%, 09/01/18............................. 250 258,268
5.000%, 09/01/18............................. 4,500 4,648,815
5.000%, 11/01/18............................. 2,000 2,078,980
5.000%, 02/01/19............................. 10,940 11,476,716
5.000%, 04/01/19............................. 5,960 6,290,363
5.500%, 04/01/19............................. 10,820 11,495,493
5.000%, 09/01/19............................. 1,000 1,070,850
5.000%, 10/01/19............................. 5,340 5,735,427
5.000%, 10/01/19............................. 1,500 1,611,075
5.000%, 10/01/19............................. 5,000 5,370,250
5.000%, 11/01/19............................. 2,955 3,183,274
5.000%, 02/01/20............................. 12,870 13,980,938
5.000%, 04/01/20............................. 3,705 4,046,379
5.000%, 04/01/20............................. 325 354,946
5.000%, 08/01/20............................. 2,415 2,665,001
5.000%, 08/01/20............................. 3,985 4,397,527
5.000%, 09/01/20............................. 700 774,627
5.000%, 10/01/20............................. 3,410 3,783,054
5.000%, 10/01/20............................. 1,610 1,786,134
5.000%, 10/01/20............................. 1,580 1,752,852
5.000%, 11/01/20............................. 8,000 8,897,360
5.000%, 02/01/21............................. 650 727,981
5.000%, 02/01/21............................. 1,575 1,763,953
5.000%, 04/01/21............................. 795 894,606
5.000%, 08/01/21............................. 8,060 9,153,420
5.000%, 09/01/21............................. 7,845 8,929,257
5.000%, 09/01/21............................. 1,570 1,786,990
5.000%, 09/01/21............................. 2,645 3,010,565
5.000%, 10/01/21............................. 5,300 6,045,869
157
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
5.000%, 12/01/21............................. $ 2,000 $ 2,290,560
5.000%, 03/01/22............................. 1,075 1,238,024
5.000%, 04/01/22............................. 1,800 2,077,236
5.000%, 08/01/22............................. 2,250 2,616,232
5.000%, 08/01/22............................. 785 912,774
5.250%, 09/01/22............................. 5,750 6,765,680
5.250%, 10/01/22............................. 500 589,535
California State (GO) Series A
(currency) 5.250%, 07/01/21 (Pre-refunded @ $100,
7/1/19) 4,930 5,273,128
(currency) 5.250%, 07/01/21 (Pre-refunded @ $100,
7/1/19) 2,820 3,016,272
California State (GO) Series A (ETM)
5.000%, 07/01/19............................. 6,955 7,410,413
California State (GO) Series B
5.000%, 09/01/18............................. 3,000 3,099,210
5.000%, 09/01/20............................. 3,600 3,983,796
5.000%, 09/01/21............................. 840 956,096
California State Department of Water Resources (RB)
Series AS
5.000%, 12/01/19............................. 1,000 1,081,500
5.000%, 12/01/22............................. 3,355 3,943,467
California State Department of Water Resources (RB)
Series AS (ETM)
5.000%, 12/01/22............................. 35 40,989
California State Department of Water Resources Power
Supply Revenue (RB) Series F-3
(currency) 5.000%, 05/01/21 (Pre-refunded @ $100,
5/1/18) 5,000 5,101,200
California State Department of Water Resources Power
Supply Revenue (RB) Series L
5.000%, 05/01/18............................. 2,680 2,733,975
5.000%, 05/01/19............................. 6,250 6,619,625
5.000%, 05/01/20............................. 2,575 2,823,050
(currency) 5.000%, 05/01/22 (Pre-refunded @ $100,
5/1/20) 2,500 2,737,575
California State Department of Water Resources Power
Supply Revenue (RB) Series M
5.000%, 05/01/18............................. 500 510,070
4.000%, 05/01/19............................. 1,515 1,582,145
California State Department of Water Resources Power
Supply Revenue (RB) Series O
5.000%, 05/01/21............................. 12,855 14,527,821
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California State Public Works Board (RB) Series C
(currency) 6.250%, 04/01/34 (Pre-refunded @ $100,
4/1/19) $ 2,980 $ 3,199,060
California State Public Works Board (RB) Series G-1
(currency) 5.750%, 10/01/30 (Pre-refunded @ $100,
10/1/19) 5,735 6,246,619
California State Public Works Board (RB) Series H (ETM)
5.000%, 09/01/21............................. 1,050 1,198,082
California State Public Works Board (RB) Series I-1
(currency) 6.125%, 11/01/29 (Pre-refunded @ $100,
11/1/19) 5,700 6,271,425
California State University (RB) Series A
5.000%, 11/01/17............................. 1,700 1,700,000
5.000%, 11/01/17............................. 1,000 1,000,000
5.000%, 11/01/17............................. 2,000 2,000,000
5.000%, 11/01/18............................. 150 155,909
5.000%, 11/01/18............................. 1,000 1,039,390
5.000%, 11/01/18............................. 555 576,861
5.000%, 11/01/19............................. 3,660 3,947,273
5.000%, 11/01/19............................. 1,000 1,078,490
5.000%, 11/01/21............................. 2,595 2,976,543
(currency) 5.250%, 11/01/34 (Pre-refunded @ $100,
5/1/19) 9,275 9,859,325
(currency) 6.000%, 11/01/40 (Pre-refunded @ $100,
5/1/19) 2,000 2,148,240
California Statewide Communities Dev. Authority (RB)
(currency) 5.250%, 12/01/27 (Pre-refunded @ $100,
12/1/17) 3,605 3,617,617
(currency) 6.000%, 05/15/40 (Pre-refunded @ $100,
5/15/18) 11,435 11,745,575
(currency) 6.000%, 07/01/40 (Pre-refunded @ $100,
1/1/19) 6,135 6,490,462
California Statewide Communities Dev. Authority (RB) (CA
MTG INS)
(currency) 5.750%, 08/15/38 (Pre-refunded @ $100,
8/15/18) 3,000 3,111,480
California Statewide Communities Dev. Authority (RB)
(FHA INS)
(currency) 6.625%, 08/01/29 (Pre-refunded @ $100,
8/1/19) 2,225 2,438,333
158
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Central Marin Sanitation Agency (RB)
3.000%, 09/01/19............................. $ 1,160 $ 1,201,969
Chabot-Las Positas Community College District (GO)
4.000%, 08/01/22............................. 3,050 3,417,403
City & County of San Francisco (GO) Series A
4.000%, 06/15/18............................. 620 631,842
4.750%, 06/15/19............................. 650 689,267
5.000%, 06/15/20............................. 750 826,335
City & County of San Francisco (GO) Series R1
5.000%, 06/15/20............................. 865 953,040
5.000%, 06/15/21............................. 250 284,023
City of Berkeley (RN)
3.000%, 07/19/18............................. 9,000 9,130,950
City of Long Beach Harbor Revenue (RB) Series B
5.000%, 05/15/19............................. 815 864,438
City of Long Beach Harbor Revenue (RB) Series C
5.000%, 11/15/18............................. 14,360 14,950,483
City of Los Angeles (GO) Series A
5.000%, 09/01/20............................. 9,400 10,427,138
City of Los Angeles (GO) Series B
5.000%, 09/01/18............................. 7,000 7,239,260
5.000%, 09/01/21............................. 1,250 1,428,300
City of Los Angeles (RN)
5.000%, 06/28/18............................. 19,610 20,119,664
City of Los Angeles Department of Airports (RB) (BHAC-CR)
(currency) 5.250%, 05/15/38 (Pre-refunded @ $100,
5/15/18) 28,500 29,159,775
City of Los Angeles Solid Waste Resources Revenue (RB)
Series B
5.000%, 02/01/18............................. 1,015 1,025,343
City of Los Angeles Wastewater System Revenue (RB)
Series A
(currency) 5.375%, 06/01/39 (Pre-refunded @ $100,
6/1/19) 17,000 18,146,650
City of Los Angeles Wastewater System Revenue (RB)
Series B
5.000%, 06/01/21............................. 1,400 1,588,524
City of Pasadena Electric Revenue (RB) Series A
5.000%, 06/01/22............................. 385 447,397
City of Sacramento Unified School District (GO)
5.000%, 07/01/24............................. 1,375 1,644,390
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
City of San Francisco Public Utilities
Commission Wastewater Revenue (RB) Series A
5.000%, 10/01/18............................. $ 800 $ 829,480
City of San Francisco Public Utilities
Commission Water Revenue (RB)
5.000%, 11/01/19............................. 5,920 6,382,174
5.000%, 11/01/20............................. 3,825 4,261,241
5.000%, 11/01/21............................. 1,800 2,063,898
4.000%, 11/01/22............................. 3,000 3,379,830
5.000%, 11/01/22............................. 500 587,375
5.000%, 11/01/23............................. 1,835 2,200,881
City of Santa Rosa Wastewater Revenue (RB)
Series A
5.000%, 09/01/21............................. 760 867,487
City of Torrance (RN)
2.000%, 07/05/18............................. 13,000 13,086,060
City of Tulare Sewer Revenue (RB) (AGM)
3.000%, 11/15/19............................. 200 207,630
Colton Joint Unified School District (GO) (AGM)
4.000%, 08/01/20............................. 1,000 1,077,400
Conejo Valley Unified School District (GO)
4.000%, 08/01/18............................. 700 715,799
Contra Costa Water District (RB) Series Q
5.000%, 10/01/18............................. 705 730,979
5.000%, 10/01/19............................. 1,345 1,446,198
Contra Costa Water District (RB) Series U
3.000%, 10/01/18............................. 450 458,415
5.000%, 10/01/19............................. 350 376,334
Desert Community College District (GO)
5.000%, 08/01/21............................. 665 758,100
Desert Sands Unified School District (GO)
4.000%, 08/01/18............................. 1,375 1,406,240
Dixon Unified School District (GO)
2.000%, 08/01/18............................. 735 740,564
Dublin Unified School District (GO)
5.000%, 02/01/19............................. 11,775 12,361,748
East Bay Regional Park District (GO) Series A
4.000%, 09/01/21............................. 210 231,781
East Side Union High School District (GO)
2.000%, 08/01/18............................. 1,215 1,224,647
2.000%, 08/01/20............................. 1,055 1,081,196
East Side Union High School District (GO) Series
B
3.000%, 08/01/19............................. 4,000 4,133,960
159
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
East Whittier City School District (GO) Series A
2.000%, 08/01/18............................. $1,000 $1,008,090
Eastern Municipal Water District (CP) Series H
(currency) 5.000%, 07/01/33 (Pre-refunded @ $100,
7/1/18) 3,495 3,586,534
El Rancho Unified School District (GO) (AGM)
4.000%, 08/01/20............................. 780 837,954
Fontana Unified School District (GO)
5.000%, 08/01/18............................. 3,140 3,233,698
5.000%, 08/01/19............................. 1,285 1,372,393
4.000%, 08/01/20............................. 3,620 3,903,265
4.000%, 08/01/21............................. 530 584,208
Foothill-De Anza Community College District (GO)
4.000%, 08/01/19............................. 550 578,204
Fort Bragg Unified School District (GO) (AGM)
(currency) 5.500%, 08/01/31 (Pre-refunded @ $100,
8/1/19) 500 538,230
Fremont Unified School District/ Alameda County (GO)
5.000%, 08/01/18............................. 750 772,613
Fremont Union High School District (GO)
5.000%, 08/01/20............................. 1,000 1,106,390
Gilroy Unified School District (GO) (AGM)
4.000%, 08/01/23............................. 1,900 2,153,859
Glendora Unified School District (GO)
4.000%, 08/01/18............................. 890 909,954
Grossmont Union High School District (GO)
4.000%, 08/01/20............................. 2,420 2,610,043
Kern County (CP) Series A (AGC)
(currency) 5.750%, 08/01/35 (Pre-refunded @ $100,
2/1/19) 520 550,264
Lindsay Unified School District (GO) Series A (AGC)
(currency) 5.500%, 08/01/33 (Pre-refunded @ $100,
8/1/18) 1,510 1,560,555
Livermore Valley Joint Unified School District (GO)
5.000%, 08/01/20............................. 800 884,880
Los Altos Elementary School District (GO)
5.000%, 08/01/19............................. 975 1,042,187
4.000%, 08/01/21............................. 1,550 1,706,736
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Angeles Community College District (GO)
5.000%, 08/01/21............................. $ 2,890 $ 3,298,039
Los Angeles Community College District (GO) Series A
5.000%, 08/01/20............................. 10,000 11,069,600
5.000%, 08/01/21............................. 1,875 2,139,731
Los Angeles Community College District (GO) Series C
5.000%, 08/01/20............................. 1,025 1,134,634
Los Angeles Community College District (GO) Series F-1
(currency) 5.000%, 08/01/33 (Pre-refunded @ $100,
8/1/18) 3,375 3,475,440
Los Angeles Community College District (GO) Series G
5.000%, 08/01/23............................. 3,350 4,005,494
Los Angeles County Metropolitan Transportation Authority
(RB) Series A
5.000%, 07/01/18............................. 4,650 4,774,294
5.000%, 07/01/19............................. 4,000 4,261,240
5.000%, 07/01/20............................. 3,085 3,405,963
Los Angeles County Metropolitan Transportation Authority
(RB) Series B
5.000%, 07/01/18............................. 2,040 2,094,529
Los Angeles County Metropolitan Transportation Authority
(RB) Series C
5.000%, 07/01/21............................. 1,400 1,590,120
Los Angeles Department of Water (RB) Series B
5.000%, 07/01/19............................. 1,000 1,065,480
Los Angeles Department of Water & Power (RB) Series A
5.000%, 07/01/18............................. 2,375 2,438,792
5.000%, 07/01/18............................. 125 128,358
5.000%, 07/01/19............................. 3,580 3,815,063
5.000%, 07/01/21............................. 2,000 2,274,680
5.000%, 07/01/21............................. 1,750 1,990,345
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/19............................. 3,590 3,824,463
Los Angeles Unified School District (GO) Series A
4.000%, 07/01/18............................. 1,000 1,020,400
5.000%, 07/01/18............................. 3,500 3,594,500
5.000%, 07/01/19............................. 4,560 4,857,814
5.000%, 07/01/21............................. 3,500 3,983,385
Los Angeles Unified School District (GO) Series A-1
5.000%, 07/01/18............................. 500 513,500
160
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Angeles Unified School District (GO) Series A-1
(FGIC)
5.500%, 07/01/18............................. $2,745 $2,828,173
Los Angeles Unified School District (GO) Series A-2
5.000%, 07/01/21............................. 2,200 2,503,842
Los Angeles Unified School District (GO) Series B
5.000%, 07/01/22............................. 1,350 1,576,638
Los Angeles Unified School District (GO) Series C
5.000%, 07/01/20............................. 1,895 2,091,625
5.000%, 07/01/22............................. 5,560 6,493,413
5.000%, 07/01/23............................. 2,000 2,388,300
Los Angeles Unified School District (GO) Series KRY
5.000%, 07/01/19............................. 3,390 3,611,401
Los County Angeles (RN)
5.000%, 06/29/18............................. 5,775 5,925,323
Manhattan Beach Unified School District (GO) Series F
4.000%, 09/01/21............................. 500 552,650
Mount Diablo Unified School District (GO)
5.000%, 02/01/19............................. 500 524,915
Napa Valley Unified School District (GO) Series B
3.000%, 08/01/18............................. 1,000 1,015,290
New Haven Unified School District (GO)
2.000%, 08/01/18............................. 730 736,015
New Haven Unified School District (GO) (AGM)
4.000%, 08/01/19............................. 1,430 1,504,875
New Haven Unified School District (GO) Series B (BAM)
5.000%, 08/01/21............................. 3,100 3,525,444
Newhall School District (GO)
--%, 08/01/18................................ 6,995 6,938,410
Oakland Unified School District/ Alameda County (GO)
5.000%, 08/01/19............................. 1,000 1,068,550
Oceanside Community Facilities District (ST)
(currency) 6.250%, 09/01/38 (Pre-refunded @ $100,
9/1/18) 2,325 2,424,673
Orange County Sanitation District (RB) Series A
5.000%, 02/01/24............................. 5,295 6,389,106
Padre Dam Municipal Water District (CP) Series A
(currency) 5.250%, 10/01/34 (Pre-refunded @ $100,
10/1/19) 6,100 6,580,497
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Palm Springs Unified School District (GO) Series D
2.000%, 08/01/18............................. $ 3,360 $ 3,385,939
3.000%, 08/01/20............................. 2,185 2,295,801
Palomar Community College District (GO)
5.000%, 05/01/23............................. 715 849,899
Pasadena Unified School District (GO)
5.000%, 05/01/20............................. 550 603,268
Peralta Community College District (GO)
5.000%, 08/01/18............................. 1,000 1,030,300
5.000%, 08/01/19............................. 2,220 2,373,802
Peralta Community College District (GO) Series B
5.000%, 08/01/22............................. 1,845 2,153,613
Poway Unified School District (GO)
3.250%, 08/01/18............................. 1,350 1,372,747
Riverside County (RN)
2.000%, 06/29/18............................. 29,700 29,889,783
Riverside County Transportation Commission (RB) Series A
5.000%, 06/01/18............................. 500 511,720
Sacramento Municipal Utility District (RB) Series X
5.000%, 08/15/21............................. 750 856,065
San Diego County Regional Transportation Commission (RB)
Series A
4.000%, 04/01/18............................. 425 430,461
5.000%, 04/01/18............................. 1,285 1,306,806
San Diego County Water Authority Financing Corp. (CP)
Series 2008 A-COPS (AGM)
(currency) 5.000%, 05/01/28 (Pre-refunded @ $100,
5/1/18) 5,810 5,926,142
(currency) 5.000%, 05/01/38 (Pre-refunded @ $100,
5/1/18) 1,500 1,529,985
San Diego County Water Authority Financing Corp. (RB)
5.000%, 05/01/20............................. 1,385 1,518,417
5.000%, 05/01/21............................. 550 621,775
San Diego Public Facilities Financing Authority Sewer
Revenue (RB)
5.000%, 05/15/22............................. 4,425 5,156,674
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series A
5.000%, 05/15/18............................. 350 357,620
161
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
(currency) 5.000%, 05/15/22 (Pre-refunded @ $100,
5/15/19).................................... $ 1,695 $ 1,798,090
(currency) 5.250%, 05/15/24 (Pre-refunded @ $100,
5/15/20).................................... 1,235 1,363,489
(currency) 5.250%, 05/15/39 (Pre-refunded @ $100,
5/15/19).................................... 3,500 3,726,170
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series B
5.000%, 05/15/18............................. 3,650 3,729,460
(currency) 5.000%, 05/15/20 (Pre-refunded @ $100,
5/15/19).................................... 2,400 2,545,968
San Diego Public Facilities Financing Authority Water
Revenue (RB) Series A (ETM)
5.000%, 08/01/18............................. 1,260 1,297,498
San Diego Public Facilities Financing Authority Water
Revenue (RB) Series B
(currency) 5.000%, 08/01/20 (Pre-refunded @ $100,
8/1/19)..................................... 1,045 1,115,882
San Diego Unified School District (GO) Series R-3
5.000%, 07/01/23............................. 2,000 2,390,700
San Diego Unified School District (RAN) Series A
3.000%, 06/29/18............................. 15,730 15,935,748
San Francisco Bay Area Rapid Transit District (GO)
Series C
4.000%, 08/01/19............................. 300 315,546
San Francisco Bay Area Rapid Transit District (RB)
4.000%, 07/01/18............................. 1,000 1,020,190
San Francisco Community College District (GO)
5.000%, 06/15/18............................. 6,000 6,151,920
5.000%, 06/15/19............................. 1,625 1,730,219
5.000%, 06/15/20............................. 1,400 1,542,492
5.000%, 06/15/22............................. 2,000 2,330,700
San Francisco Community College District (GO) Series C
4.000%, 06/15/18............................. 485 494,293
San Francisco Unified School District (GO)
5.000%, 06/15/18............................. 5,285 5,418,499
5.000%, 06/15/21............................. 2,200 2,499,398
San Francisco Unified School District (GO) Series A
2.000%, 06/15/18............................. 3,140 3,161,289
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
San Francisco Unified School District (GO) Series E
5.000%, 06/15/18............................. $ 1,500 $ 1,537,890
San Francisco Unified School District (GO) Series F&C
2.000%, 06/15/22............................. 1,750 1,805,527
San Jose Evergreen Community College District (GO)
5.000%, 09/01/21............................. 250 286,368
San Juan Unified School District (GO)
3.000%, 08/01/22............................. 1,200 1,293,036
San Leandro Unified School District (GO) Series B
4.000%, 08/01/21............................. 265 291,900
San Luis Coastal Unified School District (GO) Series B
4.000%, 08/01/18............................. 2,615 2,674,622
San Mateo County Community College District (GO)
4.000%, 09/01/18............................. 775 795,026
4.000%, 09/01/21............................. 1,310 1,449,502
San Ramon Valley Unified School District (GO)
4.000%, 08/01/21............................. 4,225 4,662,034
Santa Clara County (GO) Series B
5.000%, 08/01/18............................. 5,000 5,151,850
Santa Clara County Financing Authority (RB) Series A
5.000%, 02/01/19............................. 3,610 3,788,478
Santa Clara Valley Transportation Authority (RB) Series B
5.000%, 04/01/18............................. 8,215 8,354,409
Santa Monica Community College District (GO) Series A
5.000%, 08/01/19............................. 315 337,107
Sequoia Union High School District (RAN)
3.000%, 06/29/18............................. 7,785 7,886,750
Sonoma County (RB) Series A
5.000%, 09/01/19............................. 6,035 6,464,873
Sonoma Valley Unified School District (GO)
2.000%, 08/01/18............................. 1,200 1,209,528
3.000%, 08/01/19............................. 600 620,622
South Bay Union School District/ San Diego County (GO)
Series A (AGC)
(currency) 6.000%, 08/01/23 (Pre-refunded @ $100,
8/1/19)..................................... 700 760,200
South San Francisco Unified School District (GO) Series
G (ETM)
3.500%, 07/01/18............................. 27,075 27,534,192
162
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Southern California Public Power Authority (RB)
5.000%, 07/01/18............................. $1,135 $1,165,407
5.000%, 07/01/18............................. 1,475 1,514,515
5.000%, 07/01/20............................. 1,175 1,295,614
Southwestern Community College District (GO)
5.000%, 08/01/19............................. 2,230 2,380,859
Sweetwater Union High School District (GO) (ETM)
5.000%, 01/01/18............................. 1,750 1,761,637
Tustin Unified School District (GO) Series B
(currency) 6.000%, 08/01/36 (Pre-refunded @ $100,
8/1/21)..................................... 1,500 1,762,410
Union Elementary School District (GO) Series A
3.000%, 09/01/18............................. 1,130 1,149,300
University of California (RB) Series O
(currency) 5.750%, 05/15/25 (Pre-refunded @ $100,
5/15/19).................................... 2,000 2,142,860
(currency) 5.250%, 05/15/39 (Pre-refunded @ $100,
5/15/19).................................... 1,615 1,718,085
Upland Unified School District (GO) Series A (AGM)
(currency) 5.000%, 08/01/26 (Pre-refunded @ $100,
8/1/18)..................................... 1,450 1,493,152
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Ventura County
4.000%, 07/02/18.............................. $35,000 $ 35,690,550
West Contra Costa Unified School District (GO)
(AGM)
5.000%, 08/01/18.............................. 1,415 1,457,224
5.000%, 08/01/20.............................. 820 905,592
5.000%, 08/01/21.............................. 2,350 2,675,287
West Contra Costa Unified School District (GO)
Series A
4.000%, 08/01/18.............................. 2,135 2,182,867
West Contra Costa Unified School District (GO)
Series B
6.000%, 08/01/21.............................. 1,000 1,175,750
Westlands Water District (RB) Series A (AGM)
4.000%, 09/01/20.............................. 1,045 1,126,782
Whittier Union High School District (GO) Series C
2.000%, 08/01/18.............................. 1,480 1,491,751
Yolo County Washington Unified School District
(GO)
4.000%, 08/01/20.............................. 1,000 1,074,300
--------------
TOTAL MUNICIPAL BONDS.............................. 1,014,505,714
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,010,108,146)............................ $1,014,505,714
==============
Summary of the Portfolio's investments as of October 31, 2017, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------------
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Municipal Bonds. -- $1,014,505,714 -- $1,014,505,714
-- -------------- -- --------------
TOTAL........... -- $1,014,505,714 -- $1,014,505,714
== ============== == ==============
See accompanying Notes to Financial Statements.
163
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Albany Unified School District (GO)
4.000%, 08/01/21............................. $ 240 $ 264,641
Alhambra Unified School District (GO) Series A (ASSURED
GTY)
5.250%, 08/01/18............................. 375 387,259
Amador County Unified School District (GO)
4.000%, 08/01/19............................. 385 404,196
Anaheim Union High School District (GO)
5.000%, 08/01/19............................. 855 913,149
Antelope Valley Community College District (GO) Series A
5.000%, 08/01/24............................. 850 1,034,118
Antelope Valley Union High School District (GO)
4.000%, 08/01/21............................. 500 549,210
5.000%, 08/01/22............................. 1,650 1,929,312
Arcadia Unified School District (GO)
3.000%, 08/01/26............................. 1,035 1,126,339
Azusa Unified School District (GO)
4.000%, 07/01/21............................. 400 439,420
5.000%, 07/01/21............................. 425 483,204
Bay Area Toll Authority (RB)
4.000%, 04/01/18............................. 500 506,490
Bay Area Toll Authority (RB) Series F-1
(currency) 5.000%, 04/01/34 (Pre-refunded @ $100,
4/1/18)..................................... 1,600 1,626,688
(currency) 5.125%, 04/01/39 (Pre-refunded @ $100,
4/1/19)..................................... 3,450 3,649,272
Berkeley Unified School District (GO)
5.000%, 08/01/19............................. 325 347,337
Berkeley Unified School District (GO) Series D
5.000%, 08/01/23............................. 600 718,134
Berryessa Union School District (GO) (AMBAC)
5.375%, 08/01/18............................. 200 206,602
Beverly Hills Unified School District (GO)
2.000%, 08/01/21............................. 145 149,723
Buena Park School District (GO) (AGM)
2.500%, 08/01/21............................. 75 78,477
Butte-Glenn Community College District (GO)
2.500%, 08/01/20............................. 550 570,928
California Health Facilities Financing Authority (RB)
Series C
(currency) 6.500%, 10/01/33.............................
(Pre-refunded @ $100, 10/1/18)............... 1,000 1,050,370
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California Municipal Finance Authority (RB)
(currency) 5.750%, 01/01/33
(Pre-refunded @ $100, 1/1/22)................ $ 750 $ 884,835
(currency) 6.000%, 01/01/42
(Pre-refunded @ $100, 1/1/22)................ 2,905 3,456,601
California State (GO)
5.000%, 09/01/18............................. 575 594,015
5.000%, 10/01/18............................. 250 259,073
5.000%, 04/01/19............................. 2,000 2,110,860
5.500%, 04/01/19............................. 2,605 2,767,630
5.000%, 09/01/19............................. 1,795 1,922,176
3.125%, 10/01/19............................. 100 103,863
5.000%, 10/01/19............................. 500 537,025
5.000%, 10/01/19............................. 1,000 1,074,050
4.000%, 11/01/19............................. 135 142,768
5.000%, 11/01/19............................. 835 899,504
5.000%, 02/01/20............................. 1,200 1,303,584
5.250%, 02/01/20............................. 500 545,925
5.000%, 04/01/20............................. 900 982,926
5.000%, 08/01/20............................. 1,000 1,103,520
5.000%, 09/01/20............................. 1,000 1,106,610
5.000%, 10/01/20............................. 1,375 1,525,425
5.000%, 10/01/20............................. 4,040 4,481,976
5.000%, 11/01/20............................. 750 834,127
4.000%, 12/01/20............................. 750 813,795
5.000%, 12/01/20............................. 1,240 1,382,873
5.000%, 02/01/21............................. 700 783,979
5.000%, 04/01/21............................. 475 534,513
5.000%, 08/01/21............................. 1,750 1,987,405
5.000%, 08/01/21............................. 3,500 3,974,810
5.000%, 09/01/21............................. 3,705 4,217,068
5.000%, 09/01/21............................. 175 199,187
5.000%, 09/01/21............................. 460 523,577
5.000%, 10/01/21............................. 200 228,146
5.000%, 02/01/22............................. 2,195 2,523,591
5.000%, 04/01/22............................. 940 1,084,779
5.000%, 08/01/22............................. 1,250 1,453,462
4.000%, 09/01/22............................. 525 587,228
5.250%, 09/01/22............................. 2,385 2,806,286
5.250%, 10/01/22............................. 2,380 2,806,187
5.000%, 12/01/22............................. 1,245 1,458,044
5.000%, 02/01/23............................. 1,150 1,350,445
5.000%, 09/01/23............................. 1,635 1,943,247
5.000%, 10/01/23............................. 100 119,049
5.000%, 11/01/23............................. 875 1,042,825
5.000%, 09/01/24............................. 1,000 1,206,930
5.000%, 11/01/24............................. 850 1,028,695
5.000%, 08/01/26............................. 2,500 3,090,000
3.500%, 08/01/27............................. 1,350 1,506,951
164
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California State (GO) Series A (ETM)
4.400%, 07/01/18............................. $ 410 $ 419,389
5.000%, 07/01/19............................. 1,400 1,491,672
California State (GO) Series B
5.000%, 09/01/21............................. 1,060 1,206,503
5.000%, 09/01/21............................. 1,700 1,934,957
5.000%, 09/01/23............................. 2,285 2,715,791
California State Department of Water Resources (RB)
Series AR
5.000%, 12/01/22............................. 3,210 3,773,034
5.000%, 12/01/23............................. 900 1,080,081
California State Department of Water Resources (RB)
Series AS
5.000%, 12/01/19............................. 530 573,195
5.000%, 12/01/22............................. 1,485 1,745,469
5.000%, 12/01/24............................. 1,000 1,222,240
California State Department of Water Resources (RB)
Series AS (ETM)
5.000%, 12/01/19............................. 15 16,203
5.000%, 12/01/22............................. 15 17,567
California State Department of Water Resources Power
Supply Revenue (RB) Series L
5.000%, 05/01/19............................. 925 979,704
5.000%, 05/01/20............................. 3,380 3,705,595
(currency) 5.000%, 05/01/22 (Pre-refunded @ $100,
5/1/20)..................................... 610 667,968
California State Department of Water Resources Power
Supply Revenue (RB) Series M
4.000%, 05/01/19............................. 455 475,166
California State Department of Water Resources Power
Supply Revenue (RB) Series O
5.000%, 05/01/21............................. 3,640 4,113,673
5.000%, 05/01/22............................. 1,385 1,606,171
California State Public Works Board (RB) (ETM)
5.000%, 09/01/20............................. 1,000 1,108,090
California State Public Works Board (RB) Series F (ETM)
5.000%, 10/01/20............................. 500 554,700
California State Public Works Board (RB) Series H (ETM)
5.000%, 09/01/21............................. 1,740 1,985,392
California State University (RB) Series A
5.000%, 11/01/18............................. 2,500 2,598,475
5.000%, 11/01/19............................. 450 485,321
5.000%, 11/01/19............................. 3,000 3,235,470
5.000%, 11/01/20............................. 685 763,337
5.000%, 11/01/25............................. 1,015 1,258,468
5.000%, 11/01/25............................. 2,000 2,479,740
California State University (RB) Series C (AGM)
5.000%, 11/01/22............................. 100 117,475
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California Statewide Communities Dev. Authority (RB)
(currency) 6.000%, 06/01/33 (Pre-refunded @ $100,
6/1/21)..................................... $1,295 $1,510,216
Capistrano Unified School District School Facilities
Improvement District No. 1 (GO)
4.000%, 08/01/22............................. 170 188,989
Carlsbad Unified School District (GO)
5.000%, 08/01/21............................. 230 261,837
Central Marin Sanitation Agency (RB)
4.000%, 09/01/21............................. 1,425 1,572,231
Chabot-Las Positas Community College District (GO)
5.000%, 08/01/22............................. 900 1,049,643
4.000%, 08/01/23............................. 1,970 2,237,861
Chaffey Community College District (GO) Series E
4.000%, 06/01/22............................. 335 374,302
Chico Unified School District (GO) Series A-2
4.000%, 08/01/24............................. 250 288,570
Chino Hills Financing Authority (RB)
4.000%, 06/01/18............................. 500 508,925
Chino Valley Unified School District (GO) Series A
4.000%, 08/01/21............................. 200 220,612
Chula Vista Elementary School District (GO)
5.000%, 08/01/22............................. 1,835 2,145,629
City & County of San Francisco (GO) Series A
4.750%, 06/15/19............................. 545 577,923
5.000%, 06/15/20............................. 1,715 1,889,553
5.000%, 06/15/22............................. 2,200 2,564,848
City & County of San Francisco (GO) Series B
4.000%, 06/15/20............................. 800 860,808
City & County of San Francisco (GO) Series C
5.000%, 06/15/20............................. 575 633,524
City & County of San Francisco (GO) Series D
5.000%, 06/15/20............................. 2,000 2,203,560
City & County of San Francisco (GO) Series R1
5.000%, 06/15/20............................. 500 550,890
5.000%, 06/15/21............................. 2,315 2,630,048
City of Long Beach Harbor Revenue (RB) Series B
5.000%, 05/15/19............................. 250 265,165
City of Long Beach Harbor Revenue (RB) Series C
5.000%, 11/15/18............................. 500 520,560
City of Los Angeles (GO) Series A
4.000%, 09/01/18............................. 780 800,218
5.000%, 09/01/20............................. 445 493,625
165
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
City of Los Angeles (GO) Series B
5.000%, 09/01/19............................. $ 600 $ 643,530
City of Pasadena Electric Revenue (RB) Series A
5.000%, 06/01/22............................. 1,000 1,162,070
City of Riverside Water Revenue (RB) Series A
5.000%, 10/01/18............................. 300 311,112
City of Sacramento Unified School District (GO)
5.000%, 07/01/18............................. 300 308,079
5.000%, 07/01/24............................. 1,800 2,152,656
City of San Francisco Public Utilities Commission Water
Revenue (RB)
5.000%, 11/01/21............................. 865 991,818
5.000%, 11/01/22............................. 1,335 1,568,291
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series B
5.000%, 11/01/19............................. 420 452,789
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series F
(currency) 5.000%, 11/01/23 (Pre-refunded @ $100,
11/1/20).................................... 1,000 1,114,050
(currency) 5.500%, 11/01/30 (Pre-refunded @ $100,
11/1/20).................................... 1,000 1,128,740
Coachella Valley Unified School District (GO) (BAM)
4.000%, 08/01/22............................. 825 917,152
Colton Joint Unified School District (GO)
5.000%, 08/01/21............................. 900 1,023,867
Conejo Valley Unified School District (GO)
2.000%, 08/01/18............................. 2,350 2,368,142
4.000%, 08/01/18............................. 115 117,596
Contra Costa CA Transportation Authority (RB) Series B
(currency) 5.000%, 03/01/23 (Pre-refunded @ $100,
3/1/20)..................................... 500 545,225
Contra Costa Water District (RB) Series Q
5.000%, 10/01/18............................. 220 228,107
Culver City School Facilities Financing Authority (RB)
(AGM)
5.500%, 08/01/26............................. 855 1,083,815
Cupertino Union School District (GO) Series B
4.000%, 08/01/21............................. 400 441,376
Davis Joint Unified School District (GO)
5.000%, 08/01/18............................. 420 432,533
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Davis Joint Unified School District Community
Facilities District (ST) (AGM)
3.000%, 08/15/22............................. $1,000 $1,066,150
Davis Joint Unified School District Community
Facilities District No. 2 (ST) (AGM)
3.000%, 08/15/19............................. 500 516,300
Dublin Unified School District (GO)
5.000%, 02/01/19............................. 425 446,178
5.000%, 08/01/22............................. 875 1,024,004
5.000%, 08/01/23............................. 1,665 1,989,775
East Side Union High School District (GO)
4.000%, 08/01/21............................. 600 661,836
East Side Union High School District (GO) Series
D
3.000%, 08/01/19............................. 825 852,629
El Rancho Unified School District (GO) (AGM)
4.000%, 08/01/21............................. 1,285 1,409,002
Enterprise Elementary School District (GO)
4.000%, 09/01/19............................. 500 526,480
Fallbrook Union Elementary School District (GO)
Series A
5.000%, 08/01/20............................. 200 220,246
Folsom Cordova Unified School District School
Facilities Improvement Dist. No. 5 (GO) Series
B (AGM)
5.000%, 10/01/26............................. 250 313,038
Fontana Unified School District (GO)
5.000%, 08/01/19............................. 600 640,806
4.000%, 08/01/21............................. 1,585 1,747,114
4.000%, 08/01/22............................. 875 981,260
Fountain Valley Public Finance Authority (RB)
Series A
5.000%, 07/01/24............................. 250 304,403
Fresno Unified School District (GO) Series A
(AGM)
4.500%, 08/01/20............................. 480 523,627
Gilroy Unified School District (GO) (AGM)
4.000%, 08/01/24............................. 2,615 2,998,620
Grossmont Union High School District (GO) Series
A
5.000%, 08/01/18............................. 200 206,044
Hacienda La Puente Unified School District (GO)
(NATL-RE)
5.000%, 08/01/23............................. 225 267,930
Huntington Beach Public Financing Authority (RB)
4.000%, 09/01/18............................. 200 205,100
166
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Jurupa Unified School District (GO) (AGM)
4.000%, 08/01/18.............................. $ 235 $ 240,320
5.000%, 08/01/20.............................. 725 798,805
Kern High School District (GO) (AGM)
5.000%, 08/01/19.............................. 250 267,228
Kern High School District (GO) Series A
3.000%, 08/01/20.............................. 3,885 4,084,184
3.000%, 08/01/26.............................. 895 975,487
Kern High School District (GO) Series E
2.000%, 08/01/19.............................. 1,350 1,373,085
2.000%, 08/01/20.............................. 2,435 2,494,122
3.000%, 08/01/21.............................. 465 495,750
Lakeside Union School District/San Diego County
(GO)
5.000%, 08/01/23.............................. 695 828,871
Lancaster Financing Authority (NATL) (ETM)
5.250%, 02/01/20.............................. 540 589,599
Liberty Union High School District (GO)
5.000%, 08/01/20.............................. 380 420,535
4.000%, 08/01/21.............................. 500 551,915
Lompoc Unified School District (GO) (ASSURED GTY)
5.250%, 08/01/20.............................. 540 600,161
Long Beach Unified School District (GO)
5.000%, 08/01/20.............................. 1,500 1,658,280
Los Altos Elementary School District (GO)
4.000%, 08/01/21.............................. 250 275,280
4.000%, 08/01/21.............................. 470 517,526
Los Angeles Community College District (GO)
Series A
5.000%, 08/01/23.............................. 340 406,528
Los Angeles Community College District (GO)
Series C
5.000%, 08/01/19.............................. 950 1,016,671
5.000%, 08/01/25.............................. 1,240 1,535,814
5.000%, 06/01/26.............................. 2,500 3,131,125
Los Angeles Community College District (GO)
Series G
5.000%, 08/01/23.............................. 650 777,186
Los Angeles Convention & Exhibit Center
Authority (RB) Series A (ETM)
4.500%, 08/15/18.............................. 300 308,220
Los Angeles County Metropolitan Transportation
Authority (RB)
5.000%, 07/01/20.............................. 300 331,212
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Angeles County Metropolitan Transportation
Authority (RB) Series A
5.000%, 07/01/18.............................. $ 665 $ 682,775
5.000%, 07/01/19.............................. 1,000 1,065,310
5.000%, 07/01/20.............................. 830 916,353
5.000%, 07/01/21.............................. 520 590,616
5.000%, 07/01/27.............................. 3,165 4,008,219
Los Angeles County Metropolitan Transportation
Authority (RB) Series B
5.000%, 06/01/19.............................. 370 393,029
5.000%, 06/01/20.............................. 500 550,415
5.000%, 07/01/20.............................. 525 578,891
Los Angeles County Metropolitan Transportation
Authority (RB) Series C
5.000%, 07/01/20.............................. 525 578,891
Los Angeles County Public Works Financing
Authority (RB) Series D
5.000%, 12/01/25.............................. 165 204,400
Los Angeles Department of Water (RB) Series B
5.000%, 07/01/20.............................. 500 551,465
5.000%, 07/01/22.............................. 435 507,384
Los Angeles Department of Water & Power (RB)
Series A
5.000%, 07/01/19.............................. 1,195 1,273,464
5.000%, 07/01/19.............................. 370 394,294
5.000%, 07/01/20.............................. 600 661,758
5.000%, 07/01/21.............................. 1,650 1,876,611
5.000%, 07/01/21.............................. 1,000 1,137,340
5.000%, 07/01/21.............................. 2,950 3,355,153
Los Angeles Department of Water & Power (RB)
Series D
4.000%, 07/01/19.............................. 1,000 1,049,200
Los Angeles Unified School District (GO) Series A
3.000%, 07/01/20.............................. 790 830,574
5.000%, 07/01/20.............................. 150 165,564
5.000%, 07/01/20.............................. 900 993,384
2.000%, 07/01/22.............................. 1,210 1,249,313
5.000%, 07/01/26.............................. 750 939,667
Los Angeles Unified School District (GO) Series
A-1
5.000%, 07/01/21.............................. 1,710 1,946,168
Los Angeles Unified School District (GO) Series
A-2
5.000%, 07/01/21.............................. 875 995,846
Los Angeles Unified School District (GO) Series C
5.000%, 07/01/22.............................. 500 583,940
5.000%, 07/01/23.............................. 3,050 3,642,157
Los Angeles Unified School District (GO) Series I
5.000%, 07/01/19.............................. 750 798,983
167
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Angeles Unified School District (GO) Series
KRY
5.000%, 07/01/18.............................. $ 750 $ 770,250
Los Rios Community College District (GO)
5.000%, 08/01/19.............................. 2,965 3,173,084
Los Rios Community College District (GO) Series B
5.000%, 08/01/23.............................. 510 608,547
Lynwood Unified School District (GO) (AGM)
5.000%, 08/01/21.............................. 450 510,165
5.000%, 08/01/22.............................. 485 562,731
Manhattan Beach Unified School District (GO)
Series C
3.500%, 09/01/21.............................. 1,185 1,287,194
Manhattan Beach Unified School District (GO)
Series E
3.000%, 09/01/22.............................. 560 603,882
Merced Union High School District (GO) Series A
(ASSURED GTY)
4.000%, 08/01/18.............................. 250 255,660
Metropolitan Water District of Southern
California (RB) Series A
5.000%, 07/01/19.............................. 1,090 1,161,569
Montebello Unified School District (GO)
5.000%, 08/01/20.............................. 415 459,032
Moreland School District (GO) Series B
5.000%, 08/01/21.............................. 500 568,030
Moreno Valley Public Financing Authority (RB)
5.000%, 11/01/20.............................. 1,470 1,630,289
Morongo Unified School District (GO)
3.000%, 08/01/22.............................. 480 516,062
Mount Diablo Unified School District (GO)
3.250%, 08/01/19.............................. 500 519,345
Mount Diablo Unified School District (GO) Series
G
3.000%, 08/01/24.............................. 800 871,888
New Haven Unified School District (GO) (ASSURED
GTY)
5.000%, 08/01/19.............................. 95 101,616
New Haven Unified School District (GO) (ETM)
(ASSURED GTY)
5.000%, 08/01/19.............................. 55 58,731
Northern Humboldt Union High School District (GO)
4.000%, 08/01/26.............................. 220 255,526
Oak Park Unified School District (GO)
4.000%, 08/01/22.............................. 445 499,913
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Oakland Joint Powers Financing Authority (RB)
Series B (ASSURED GTY)
4.500%, 08/01/18............................. $ 500 $ 513,140
Oakland Unified School District/ Alameda County
(GO)
5.000%, 08/01/20............................. 1,005 1,110,475
5.000%, 08/01/22............................. 1,500 1,750,155
5.000%, 08/01/24............................. 900 1,092,384
5.000%, 08/01/26............................. 575 718,008
Oakland Unified School District/ Alameda County
(GO) (AGM)
5.000%, 08/01/23............................. 300 357,603
Oakland Unified School District/ Alameda County
(GO) Series A
5.000%, 08/01/21............................. 610 694,436
4.000%, 08/01/22............................. 350 392,333
5.000%, 08/01/22............................. 3,000 3,500,310
4.000%, 08/01/24............................. 500 575,070
5.000%, 08/01/25............................. 540 665,739
Oakland Unified School District/ Alameda County
(GO) Series C
5.000%, 08/01/20............................. 255 281,762
5.000%, 08/01/26............................. 500 624,355
Oxnard Union High School District (GO)
4.000%, 08/01/21............................. 320 352,730
4.000%, 08/01/22............................. 500 560,475
Palm Springs Unified School District (GO)
5.000%, 08/01/19............................. 500 534,185
Palomar Community College District (GO)
5.000%, 05/01/21............................. 965 1,092,708
Palomar Community College District (GO) Series D
5.000%, 08/01/23............................. 150 179,259
Palos Verdes Peninsula Unified School District
(GO) Series B
5.000%, 11/01/21............................. 250 286,653
Piedmont unified School District (GO)
3.000%, 08/01/20............................. 845 888,560
Plumas Unified School District (GO) (AGM)
5.250%, 08/01/21............................. 800 918,040
Porterville Unified School District Facilities
Improvement District (GO) Series B (AGM)
5.000%, 08/01/18............................. 450 463,532
5.000%, 08/01/19............................. 325 347,279
Poway Unified School District (GO)
5.000%, 08/01/19............................. 200 213,602
Rancho Santiago Community College District (GO)
(AGM)
5.250%, 09/01/20............................. 500 558,260
168
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
----- -
CALIFORNIA -- (Continued)
Redlands Financing Authority (RB) Series A
5.000%, 09/01/22............................. $1,290 $1,512,086
Riverside County Infrastructure Financing Authority (RB)
Series A
5.000%, 11/01/24............................. 1,000 1,208,040
Saddleback Valley Unified School District (GO)
5.000%, 08/01/22............................. 465 544,185
San Diego County Regional Transportation Commission (RB)
Series A
5.000%, 04/01/18............................. 265 269,497
San Diego County Water Authority Financing Corp (RB)
Series A
(currency) 5.250%, 05/01/23 (Pre-refunded @ $100,
11/1/19).................................... 1,395 1,509,348
San Diego County Water Authority Financing Corp. (RB)
5.000%, 05/01/21............................. 310 350,455
San Diego Public Facilities Financing Authority Sewer
Revenue (RB)
5.000%, 05/15/22............................. 700 815,745
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series A
4.000%, 05/15/20............................. 3,000 3,224,040
(currency) 5.250%, 05/15/24 (Pre-refunded @ $100,
5/15/20).................................... 1,975 2,180,479
(currency) 5.375%, 05/15/34 (Pre-refunded @ $100,
5/15/19).................................... 650 693,238
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series B
(currency) 5.500%, 05/15/23 (Pre-refunded @ $100,
5/15/19).................................... 500 534,210
San Diego Public Facilities Financing Authority Water
Revenue (RB) Series A
(currency) 5.000%, 08/01/23 (Pre-refunded @ $100,
8/1/20)..................................... 2,690 2,969,222
San Diego Unified School District (GO) Series C-2 (AGM)
5.500%, 07/01/21............................. 600 694,302
5.500%, 07/01/25............................. 2,550 3,253,978
San Diego Unified School District (GO) Series D-1 (NATL)
5.500%, 07/01/24............................. 190 237,610
San Diego Unified School District (GO) Series R-3
5.000%, 07/01/20............................. 435 480,379
5.000%, 07/01/21............................. 1,705 1,942,455
5.000%, 07/01/23............................. 300 358,605
FACE
AMOUNT VALUE+
------ ------
(000)
----- -
CALIFORNIA -- (Continued)
San Dieguito Union High School District (GO) Series A-2
5.000%, 08/01/23............................. $ 490 $ 585,579
San Francisco Bay Area Rapid Transit District (GO)
Series C
4.000%, 08/01/19............................. 325 341,842
San Francisco City & County Airport Comm-San Francisco
International Airport (RB)
(currency) 5.000%, 05/01/21 (Pre-refunded @ $100,
5/1/20)..................................... 540 591,316
San Francisco City & County Airport Comm-San Francisco
International Airport (RB) Series D
(currency) 5.000%, 05/01/23 (Pre-refunded @ $100,
5/3/21)..................................... 875 989,362
San Francisco Community College District (GO)
5.000%, 06/15/20............................. 2,100 2,313,738
5.000%, 06/15/22............................. 2,070 2,412,274
5.000%, 06/15/23............................. 3,775 4,491,155
5.000%, 06/15/24............................. 1,365 1,656,332
San Francisco Community College District (GO) Series D
5.000%, 06/15/20............................. 600 661,068
San Francisco Municipal Transportation Agency (RB)
Series A
5.000%, 03/01/20............................. 860 940,083
San Francisco Unified School District (GO)
5.000%, 06/15/20............................. 725 798,791
5.000%, 06/15/21............................. 230 261,301
San Francisco Unified School District (GO) Series F&C
2.000%, 06/15/22............................. 1,580 1,630,133
San Joaquin County Transportation Authority (RB) Series A
(currency) 6.000%, 03/01/36
(Pre-refunded @ $100, 3/1/21)................ 335 387,220
San Jose Evergreen Community College District (GO)
5.000%, 09/01/21............................. 1,750 2,004,572
San Juan Unified School District (GO)
3.000%, 08/01/22............................. 1,480 1,594,744
5.000%, 08/01/22............................. 800 935,424
3.000%, 08/01/24............................. 610 664,406
3.000%, 08/01/25............................. 1,475 1,606,894
3.000%, 08/01/26............................. 2,135 2,328,815
San Lorenzo Unified School District (GO)
5.000%, 08/01/21............................. 265 301,785
169
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
----- -
CALIFORNIA -- (Continued)
San Ramon Valley Unified School District (GO)
4.000%, 08/01/21............................. $1,600 $1,765,504
Santa Ana Unified School District (GO) Series A
5.000%, 08/01/18............................. 275 283,206
Santa Cruz City High School District (GO)
4.000%, 08/01/22............................. 715 800,428
Santa Monica Community College District (GO) Series A
5.000%, 08/01/22............................. 225 263,880
Santa Monica Public Financing Authority (RB) Series B
4.000%, 12/01/19............................. 175 185,782
South San Francisco Unified School District (GO) Series
G (ETM)
3.500%, 07/01/18............................. 4,600 4,678,016
Southern California Public Power Authority (RB)
5.000%, 07/01/18............................. 250 256,698
5.000%, 07/01/18............................. 150 154,019
4.000%, 07/01/19............................. 575 603,192
Standard Elementary School District (GO) Series A
4.000%, 08/01/24............................. 240 276,696
Stockton Unified School District (GO) (AGM)
5.000%, 07/01/20............................. 150 165,065
Tahoe Forest Hospital District (GO)
4.000%, 08/01/20............................. 295 316,506
Tustin Unified School District (GO)
(currency) 5.250%, 08/01/31 (Pre-refunded @ $100,
8/1/21)..................................... 415 476,233
Upland Unified School District (GO) Series A
5.000%, 08/01/21............................. 500 569,015
Vista Unified School District (GO)
5.000%, 08/01/19............................. 200 213,782
Walnut Creek Elementary School District Contra Costa
County (GO)
4.000%, 09/01/25............................. 100 116,396
West Contra Costa Unified School District (GO)
5.000%, 08/01/21............................. 430 490,200
West Contra Costa Unified School District (GO) (AGM)
5.000%, 08/01/20............................. 100 110,438
West Contra Costa Unified School District (GO) Series A
5.000%, 08/01/24............................. 1,095 1,332,188
West Contra Costa Unified School District (GO) Series A-1
5.000%, 08/01/25............................. 520 639,392
FACE
AMOUNT VALUE+
------ ------
(000)
----- -
CALIFORNIA -- (Continued)
5.000%, 08/01/26.............................. 545 679,555
5.000%, 08/01/27.............................. 575 723,580
West Contra Costa Unified School District (GO)
Series B
6.000%, 08/01/20.............................. 1,475 1,669,597
West Covina Unified School District (GO) (AGM)
5.000%, 08/01/21.............................. 385 436,475
Western Riverside County Regional Wastewater
Authority (RB) (ASSURED GTY)
5.000%, 09/01/19.............................. 250 267,995
Westside Union School District (GO) Series A
3.000%, 08/01/21.............................. 300 319,725
4.000%, 08/01/23.............................. 700 794,766
Whittier Union High School District (GO) Series C
2.000%, 08/01/19.............................. 645 656,030
Windsor Unified School District (GO)
4.000%, 08/01/26.............................. 105 122,139
Wright Elementary School District (GO) Series A
3.000%, 08/01/20.............................. 165 171,227
Yolo County Washington Unified School District
(GO)
4.000%, 08/01/19.............................. 450 472,037
Yosemite Union High School District (GO) (AGM)
4.000%, 08/01/19.............................. 395 414,343
Yuba Community College District (GO) Series B
4.000%, 08/01/21.............................. 355 391,309
------------
TOTAL MUNICIPAL BONDS.............................. 342,670,064
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $337,430,234).............................. $342,670,064
============
170
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND 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
------- ------------ ------- ------------
Municipal Bonds. -- $342,670,064 -- $342,670,064
-- ------------ -- ------------
TOTAL........... -- $342,670,064 -- $342,670,064
== ============ == ============
See accompanying Notes to Financial Statements.
171
DFA NY MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
NEW YORK -- (100.0%)
Albany County (GO)
5.000%, 06/01/21............................. $ 370 $ 418,710
Albany County (GO) Series B
4.000%, 11/01/17............................. 500 500,000
Albany Industrial Development Agency (RB) Series A
(currency) 5.750%, 11/15/22.............................
(Pre-refunded @ $100, 11/15/17).............. 1,510 1,512,612
Albany Industrial Development Agency (RB) Series E
(currency) 5.250%, 11/15/22.............................
(Pre-Refunded @ $100, 11/15/17).............. 860 861,333
Amherst Central School District (GO) (ST AID WITHHLDG)
3.000%, 06/15/18............................. 350 354,200
Ardsley Union Free School District (GO) (ST AID WITHHLDG)
3.000%, 11/01/18............................. 200 203,858
2.250%, 08/15/23............................. 290 301,844
Arlington Central School District (GO) Series B (ST AID
WITHHLDG)
4.000%, 12/15/17............................. 400 401,468
Babylon Union Free School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20............................. 290 294,985
Bethpage Union Free School District (GO) (ST AID
WITHHLDG)
4.000%, 02/01/18............................. 275 277,035
Brewster Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/01/19............................. 100 101,661
City of New York (GO)
5.000%, 06/01/18............................. 1,100 1,125,069
4.000%, 08/01/18............................. 500 510,830
5.000%, 08/01/18............................. 75 77,181
City of New York (GO) Series A
5.000%, 08/01/18............................. 250 257,270
5.000%, 08/01/23............................. 1,200 1,413,048
5.000%, 08/01/24............................. 620 742,022
5.000%, 08/01/25............................. 220 266,792
City of New York (GO) Series B
5.000%, 08/01/18............................. 185 190,380
5.000%, 08/01/18............................. 115 118,344
5.000%, 08/01/19............................. 115 122,573
5.000%, 08/01/21............................. 1,000 1,130,170
City of New York (GO) Series E
5.000%, 08/01/18............................. 195 200,671
5.000%, 08/01/19............................. 1,050 1,119,142
5.000%, 08/01/21............................. 625 706,356
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
City of New York (GO) Series F
5.000%, 08/01/21............................. $300 $339,051
City of New York (GO) Series F-1
5.000%, 06/01/21............................. 300 337,584
City of New York (GO) Series I
5.000%, 08/01/18............................. 395 406,487
City of New York (GO) Series I-Subseries 1-I
5.000%, 03/01/22............................. 265 303,505
City of New York (GO) Series J
5.000%, 08/01/19............................. 150 159,878
City of New York (GO) Series J7
5.000%, 08/01/20............................. 350 384,930
City of Rochester (BAN) Series 3
2.500%, 08/02/18............................. 350 353,588
City of Rochester (GO) Series I
4.000%, 10/15/21............................. 675 745,821
Corning City School District (BAN) (ST AID
WITHHLDG)
2.000%, 06/21/18............................. 975 980,460
Corning City School District (GO) (ST AID
WITHHLDG)
5.000%, 06/15/19............................. 750 796,440
County of Columbia (GO) Series A (AGM)
2.000%, 02/01/19............................. 275 278,055
County of Onondaga (GO)
5.000%, 05/15/19............................. 115 122,013
East Islip Union Free School District (GO) (ST
AID WITHHLDG)
4.000%, 07/01/19............................. 240 251,400
Eastport-South Manor Central School District
(GO) (ST AID WITHHLDG)
4.000%, 08/01/23............................. 500 567,985
Erie County (RAN)
2.000%, 06/30/18............................. 200 201,184
Haverstraw-Stony Point Central School District
(GO) (ST AID WITHHLDG)
3.000%, 08/15/22............................. 200 213,802
3.000%, 08/15/23............................. 360 386,298
Herricks Union Free School District (GO) (ST AID
WITHHLDG)
4.000%, 06/15/21............................. 150 165,224
Hilton Central School District (GO) (ST AID
WITHHLDG)
2.000%, 06/15/21............................. 450 459,175
Lindenhurst Union Free School District (GO) (ST
AID WITHHLDG)
2.250%, 09/01/23............................. 195 203,022
Liverpool Central School District (GO) (ST AID
WITHHLDG)
4.000%, 06/15/18............................. 150 152,724
172
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
Longwood Central School District Suffolk County (GO) (ST
AID WITHHLDG)
2.000%, 06/15/21............................. $1,195 $1,223,190
Metropolitan Transportation Authority (RB) Series A
5.000%, 11/15/21............................. 1,000 1,138,680
Metropolitan Transportation Authority (RB) Series B
(currency) 5.000%, 11/15/20
(Pre-refunded @ $100, 11/15/17).............. 750 751,117
Metropolitan Transportation Authority (RB) Series C
4.000%, 11/15/17............................. 730 730,781
Middle Country Central School District (GO) (ST AID
WITHHLDG)
2.000%, 08/15/21............................. 500 513,260
Middletown City School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20............................. 500 511,065
5.000%, 09/15/24............................. 130 157,607
Nassau County Interim Finance Authority (RB) Series A
5.000%, 11/15/21............................. 505 579,311
New Rochelle City School District (GO) (ST AID WITHHLDG)
4.000%, 06/01/18............................. 475 483,084
4.000%, 06/01/20............................. 300 321,360
New York City Transitional Finance Authority Future Tax
Secured Revenue (RB)
(currency) 5.250%, 11/01/27
(Pre-refunded @ $100, 11/1/18)............... 485 504,909
New York City Transitional Finance Authority Future Tax
Secured Revenue (RB) Series F-1
(currency) 5.000%, 05/01/24
(Pre-refunded @ $100, 5/1/18)................ 750 764,992
New York City Transitional Finance Authority Future Tax
Secured Revenue (RB) Series G (ETM)
5.000%, 11/01/17............................. 250 250,000
New York City Water & Sewer System (RB) Series AA
(currency) 5.000%, 06/15/20
(Pre-refunded @ $100, 6/15/18)............... 750 768,375
New York State (GO) Series A
4.000%, 03/01/18............................. 100 101,020
5.000%, 03/15/18............................. 550 558,294
New York State (GO) Series C
5.000%, 04/15/22............................. 600 696,024
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Dormitory Authority (RB)
(currency) 6.125%, 12/01/29
(Pre-refunded @ $100, 12/1/18)............... $1,640 $1,728,265
(currency) 6.000%, 07/01/33
(Pre-refunded @ $100, 7/1/18)................ 500 516,390
(currency) 6.250%, 12/01/37
(Pre-refunded @ $100, 12/1/18)............... 1,900 2,004,804
New York State Dormitory Authority (RB) (AGM ST
INTERCEPT)
(currency) 5.250%, 08/15/20
(Pre-refunded @ $100, 8/15/18)............... 360 371,830
New York State Dormitory Authority (RB) (BHAC-CR)
(currency) 5.000%, 07/01/38
(Pre-refunded @ $100, 7/1/18)................ 345 354,036
New York State Dormitory Authority (RB) Series 2015B-A
5.000%, 03/15/18............................. 400 405,804
New York State Dormitory Authority (RB) Series A
5.000%, 02/15/18............................. 525 530,911
5.000%, 03/15/18............................. 100 101,451
5.000%, 03/15/18............................. 200 202,902
5.000%, 03/15/19............................. 1,400 1,473,010
5.000%, 07/01/20............................. 395 434,231
(currency) 5.000%, 07/01/21
(Pre-refunded @ $100, 7/1/19)................ 455 483,624
5.000%, 12/15/21............................. 150 171,735
5.000%, 02/15/22............................. 1,000 1,149,230
5.000%, 10/01/22............................. 475 555,921
4.000%, 12/15/22............................. 100 112,117
5.000%, 12/15/22............................. 500 585,110
5.000%, 03/15/23............................. 200 235,414
5.000%, 03/15/23............................. 650 765,095
5.000%, 02/15/24............................. 455 543,848
(currency) 5.500%, 07/01/25
(Pre-refunded @ $100, 7/1/20)................ 900 999,891
(currency) 5.000%, 02/15/34
(Pre-refunded @ $100, 2/15/19)............... 1,600 1,678,608
New York State Dormitory Authority (RB) Series A-GROUP A
5.000%, 03/15/19............................. 270 284,081
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/20............................. 2,075 2,254,218
5.000%, 02/15/25............................. 550 667,573
(currency) 5.000%, 07/01/38
(Pre-refunded @ $100, 7/1/18)................ 400 410,476
(currency) 5.250%, 07/01/48
(Pre-refunded @ $100, 7/1/18)................ 1,070 1,099,778
173
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Dormitory Authority (RB) Series B
(ASSURED GTY)
(currency) 5.000%, 07/01/23
(Pre-refunded @ $100, 7/1/18)................ $ 450 $ 461,785
New York State Dormitory Authority (RB) Series C
4.000%, 03/15/18............................. 200 202,168
5.000%, 03/15/19............................. 150 157,823
5.000%, 03/15/20............................. 300 326,769
New York State Dormitory Authority (RB) Series C (ST AID
WITHHLDG)
(currency) 7.250%, 10/01/28
(Pre-refunded @ $100, 10/1/18)............... 815 860,827
New York State Dormitory Authority (RB) Series D
3.000%, 02/15/19............................. 175 179,142
5.000%, 02/15/24............................. 300 358,581
New York State Dormitory Authority (RB) Series E
5.000%, 03/15/20............................. 850 925,845
5.000%, 03/15/21............................. 1,000 1,122,630
New York State Environmental Facilities Corp. (RB)
Series A
5.000%, 12/15/17............................. 250 251,203
5.250%, 12/15/18............................. 260 272,207
New York State Thruway Authority (RB) Series A
5.000%, 03/15/18............................. 475 481,892
5.000%, 03/15/18............................. 350 355,079
(currency) 5.000%, 03/15/26
(Pre-refunded @ $100, 9/15/18)............... 435 450,021
New York State Thruway Authority Highway & Bridge Trust
Fund (RB) Series B
(currency) 5.000%, 04/01/22
(Pre-Refunded @ $100, 10/1/18)............... 415 429,865
New York State Urban Development Corp. (RB)
5.000%, 12/15/17............................. 35 35,169
5.000%, 12/15/17............................. 80 80,386
(currency) 5.000%, 12/15/19
(Pre-refunded @ $100, 12/15/17).............. 295 296,440
(currency) 5.000%, 12/15/25
(Pre-refunded @ $100, 12/15/17).............. 130 130,634
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/18............................. 500 507,255
5.000%, 03/15/19............................. 300 315,645
5.000%, 03/15/20............................. 560 609,969
5.000%, 03/15/20............................. 850 925,845
5.000%, 03/15/21............................. 300 336,789
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
5.000%, 03/15/22............................. $ 630 $ 725,218
5.000%, 03/15/25............................. 1,200 1,458,348
New York State Urban Development Corp. (RB) Series A-1
5.000%, 03/15/21............................. 360 404,147
Niagara County (GO) Series B
2.000%, 12/15/17............................. 415 415,498
Niagara-Wheatfield Central School District (GO) (ST AID
WITHHLDG)
3.000%, 03/15/19............................. 330 337,996
North Shore Central School District (GO) (ST AID
WITHHLDG)
2.000%, 12/15/22............................. 285 293,419
2.000%, 12/15/23............................. 550 564,718
North Tonawanda City School District (GO) (ST AID
WITHHLDG)
4.000%, 09/15/21............................. 650 716,787
Oceanside Union Free School District (GO) (ST AID
WITHHLDG)
2.500%, 07/01/23............................. 520 546,104
Onondaga Civic Dev. Corp. (RB)
(currency) 5.125%, 07/01/31
(Pre-refunded @ $100, 7/1/19)................ 1,375 1,465,502
Orange County
3.000%, 08/15/20............................. 665 697,133
3.000%, 08/15/21............................. 830 881,003
Penfield Central School District (GO) (ASSURED GTY) (ST
AID WITHHLDG)
3.750%, 06/15/19............................. 350 364,844
Pittsford Central School District (GO) Series B (ST AID
WITHHLDG)
4.000%, 12/15/17............................. 100 100,368
Plainview Old Bethpage Central School District
4.000%, 12/15/18............................. 320 330,221
Port Authority of New York & New Jersey (RB)
5.000%, 12/01/17............................. 750 752,445
Port Authority of New York & New Jersey (RB) Series 189
5.000%, 05/01/23............................. 305 359,186
Port Washington Union Free School District (GO) (ST AID
WITHHLDG)
2.000%, 12/01/18............................. 350 353,563
Ramapo Central School District (GO) (ST AID WITHHLDG)
5.000%, 10/15/21............................. 215 245,373
Riverhead Central School District (GO) (ST AID WITHHLDG)
3.000%, 03/15/22............................. 120 128,320
2.000%, 10/15/22............................. 280 288,282
Sachem Central School District (GO) (ST AID WITHHLDG)
5.000%, 10/15/19............................. 200 214,826
174
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
Schenectady County (GO)
5.000%, 06/15/25............................. $ 140 $ 172,210
Sewanhaka Central High School District of Elmont
(GO) (ST AID WITHHLDG)
3.000%, 07/15/23............................. 590 635,176
South Orangetown Central School District (GO)
(ST AID WITHHLDG)
5.000%, 12/01/17............................. 595 596,952
Spencerport Central School District (GO) (ST AID
WITHHLDG)
2.000%, 06/15/21............................. 500 511,975
Taconic Hills Central School District at
Craryville (GO) (ST AID WITHHLDG)
5.000%, 06/15/20............................. 100 109,660
4.000%, 06/15/22............................. 250 277,318
Three Village Central School District
Brookhaven & Smithtown (GO) (ST AID WITHHLDG)
2.000%, 08/15/18............................. 380 382,877
Town of Babylon (GO)
3.000%, 07/01/25............................. 375 406,796
Town of Bedford (GO) Series A
3.000%, 03/15/21............................. 455 482,118
3.000%, 03/15/25............................. 330 359,116
Town of Brookhaven (GO)
4.000%, 11/15/17............................. 100 100,109
Town of Brookhaven (GO) Series A
3.000%, 02/01/18............................. 180 180,889
3.000%, 03/15/22............................. 650 695,350
Town of Cheektowaga (GO)
5.000%, 07/15/23............................. 265 315,347
Town of Clarence (GO)
2.000%, 08/01/18............................. 325 327,363
2.250%, 08/01/24............................. 210 216,516
Town of Hempstead (GO) Series A
4.000%, 04/15/18............................. 350 354,683
Town of Huntington (GO)
2.000%, 12/01/23............................. 220 226,369
Town of Huntington (GO) Series B
5.000%, 11/01/20............................. 2,280 2,540,034
Town of LaGrange (GO)
4.000%, 03/01/18............................. 270 272,662
4.000%, 03/01/19............................. 280 290,769
4.000%, 03/01/20............................. 220 235,376
Town of North Hempstead (GO) Series A
3.000%, 04/01/24............................. 425 460,589
Town of Orangetown (GO) Series A
2.000%, 02/01/18............................. 180 180,446
Triborough Bridge & Tunnel Authority (RB) Series
A
3.000%, 11/15/17............................. 50 50,038
5.000%, 11/15/18............................. 140 145,802
5.000%, 11/15/20............................. 165 183,482
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
Triborough Bridge & Tunnel Authority (RB) Series
A-1
5.000%, 11/15/19............................. $300 $ 323,304
Triborough Bridge & Tunnel Authority (RB) Series
B
4.000%, 11/15/17............................. 270 270,302
5.000%, 11/15/17............................. 525 525,777
4.000%, 11/15/18............................. 250 257,790
5.000%, 11/15/18............................. 770 801,909
5.000%, 11/15/20............................. 300 333,603
5.000%, 11/15/22............................. 190 222,139
Triborough Bridge & Tunnel Authority (RB) Series
C
4.000%, 11/15/18............................. 100 103,116
Tuckahoe Union Free School District (GO) (ST AID
WITHHLDG)
5.000%, 07/15/19............................. 145 154,409
5.000%, 07/15/21............................. 230 261,469
Ulster County (GO)
2.000%, 11/15/22............................. 240 244,860
Union Free School District Of The Tarrytowns
(GO) Series A (ST AID WITHHLDG)
5.000%, 01/15/18............................. 250 252,028
Vestal Central School District (GO) (AGM) (ST
AID WITHHLDG)
3.750%, 06/15/19............................. 150 156,362
Village of Hastings-on-Hudson (GO)
4.000%, 11/01/17............................. 125 125,000
Wantagh Union Free School District (GO) (ST AID
WITHHLDG)
2.000%, 11/15/22............................. 250 256,530
Webster Central School District (GO) (ST AID
WITHHLDG)
5.000%, 06/15/18............................. 310 317,595
West Irondequoit Central School District (GO)
(ST AID WITHHLDG)
4.500%, 06/15/18............................. 125 127,655
West Islip Union Free School District (GO)
Series A (ST AID WITHHLDG)
4.000%, 10/01/18............................. 500 513,285
White Plains City School District (GO) Series B
(ST AID WITHHLDG)
3.750%, 05/15/18............................. 100 101,466
Wyoming County (GO)
2.000%, 06/01/18............................. 480 482,630
Yorktown Central School District (GO) (ST AID
WITHHLDG)
2.000%, 07/01/21............................. 400 408,684
-----------
TOTAL MUNICIPAL BONDS............................ 89,856,807
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $89,151,453)............................. $89,856,807
===========
175
DFA NY MUNICIPAL BOND 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
------- ----------- ------- -----------
Municipal Bonds. -- $89,856,807 -- $89,856,807
-- ----------- -- -----------
TOTAL........... -- $89,856,807 -- $89,856,807
== =========== == ===========
See accompanying Notes to Financial Statements.
176
DFA MN MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
MINNESOTA -- (100.0%)
Bloomington Independent School District No. 271
(GO) Series A (SD CRED PROG)
5.000%, 02/01/21............................. $ 100 $ 111,929
Chaska Independent School District No. 112 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/21............................. 1,150 1,286,010
City of Cambridge (GO) Series A
3.000%, 02/01/23............................. 375 402,101
City of Circle Pines (GO) Series B
3.000%, 02/01/21............................. 215 226,653
City of Duluth (GO) Series A
3.000%, 02/01/20............................. 240 249,547
City of East Grand Forks (GO) Series A
3.000%, 02/01/21............................. 200 209,926
City of Hopkins (GO) Series D
3.000%, 02/01/22............................. 130 138,657
City of Hutchinson (GO) Series C
2.000%, 02/01/19............................. 140 141,347
City of Kasson (GO)
4.000%, 02/01/23............................. 320 357,645
City of Lakeville (GO) Series A
5.000%, 02/01/19............................. 605 634,294
5.000%, 02/01/20............................. 470 510,020
City of Lakeville (GO) Series B
5.000%, 02/01/24............................. 710 851,084
City of Mahtomedi (GO) Series A
2.000%, 02/01/19............................. 225 227,529
City of Mankato (GO) Series A
2.000%, 02/01/18............................. 165 165,371
4.000%, 02/01/18............................. 150 151,076
City of Marshall (GO) Series B
5.000%, 02/01/21............................. 110 123,010
City of Minneapolis (GO)
3.000%, 12/01/27............................. 5,000 5,318,300
City of New Ulm (GO)
2.000%, 12/01/18............................. 220 222,191
2.000%, 12/01/19............................. 325 330,190
City of Red Wing (GO) Series A
4.000%, 02/01/26............................. 700 803,642
City of Richfield (GO) Series A
3.000%, 02/01/24............................. 255 275,193
City of Rochester (GO) Series A
5.000%, 02/01/20............................. 1,000 1,085,620
City of Savage (GO) Series A
3.000%, 02/01/22............................. 325 342,082
City of State Cloud (GO) Series A
3.000%, 02/01/24............................. 450 481,347
City of State Francis (GO) Series A
3.000%, 02/01/19............................. 275 280,968
3.000%, 02/01/20............................. 285 296,337
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
City of State Paul (GO) Series B
5.000%, 11/01/20............................. $ 835 $ 927,877
City of State Paul Sewer Revenue (RB) Series
C-GREEN BONDS
3.000%, 12/01/19............................. 250 259,585
City of Waconia (GO) Series A
3.000%, 02/01/23............................. 450 480,879
3.000%, 02/01/26............................. 820 880,106
City of Waite Park (GO) Series A
3.000%, 12/01/18............................. 200 204,134
City of West State Paul (GO) Series A
3.000%, 02/01/23............................. 230 246,622
City of Woodbury (GO) Series A
2.000%, 02/01/20............................. 135 137,477
2.000%, 02/01/22............................. 145 148,513
Cloquet Independent School District No. 94 (GO)
Series A (SD CRED PROG)
5.000%, 04/01/22............................. 910 1,045,526
County of Itasca (GO) Series A
5.000%, 02/01/24............................. 545 646,888
County of Olmsted (GO) Series A
4.000%, 02/01/27............................. 445 504,755
County of Sherburne (GO) Series A
3.000%, 02/01/24............................. 1,360 1,461,837
County of Swift (GO) Series A
3.000%, 02/01/23............................. 215 230,538
Dakota County Community Development Agency (RB)
Series B (CNTY GTD)
5.000%, 01/01/23............................. 1,180 1,385,745
Eden Prairie Independent School District No. 272
(GO) Series C (SD CRED PROG)
5.000%, 02/01/20............................. 1,105 1,198,317
Fosston Independent School District No. 601 (GO)
(SD CRED PROG)
4.000%, 02/01/25............................. 550 627,841
Hastings Independent School District No. 200
(GO) Series A (SD CRED PROG)
5.000%, 02/01/21............................. 740 826,018
Hennepin County (GO) Series A
5.000%, 12/01/20............................. 400 445,700
5.000%, 12/01/22............................. 2,125 2,490,904
Hennepin County (GO) Series B
5.000%, 12/01/21............................. 2,000 2,290,560
Itasca County (GO) Series A
5.000%, 02/01/23............................. 865 1,006,748
Mahtomedi Independent School District No. 832
(GO) Series A (SD CRED PROG)
5.000%, 02/01/21............................. 175 195,757
177
DFA MN MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
Metropolitan Council (GO) Series C
5.000%, 03/01/26............................. $1,550 $1,922,604
Milaca Independent School District No. 912 (GO) Series A
(SD CRED PROG)
4.000%, 02/01/24............................. 830 936,373
Milaca Independent School District No. 912 (GO) Series A
(SD CRED PROG)
4.000%, 02/01/23............................. 825 919,850
Minneapolis Special School District No. 1 (GO) (SD CRED
PROG)
5.000%, 02/01/24............................. 1,200 1,436,880
Minnesota State (GO) Series B
5.000%, 08/01/18............................. 500 514,730
5.000%, 08/01/19............................. 1,500 1,599,585
Minnesota State (GO) Series D
5.000%, 08/01/19............................. 50 53,320
5.000%, 08/01/20............................. 2,000 2,203,600
5.000%, 08/01/22............................. 1,820 2,113,511
Minnesota State (GO) Series E
5.000%, 08/01/18............................. 150 154,419
Minnesota State (GO) Series F
4.000%, 08/01/18............................. 100 102,204
5.000%, 10/01/18............................. 3,985 4,128,141
Minnesota State 911 Services Revenue (RB)
(currency) 5.000%, 06/01/20
(Pre-refunded @ $100, 6/1/19)................ 2,100 2,226,588
Minnesota State Colleges & Universities (RB) Series A
4.000%, 10/01/19............................. 100 105,359
Moorhead Independent School District No. 152 (GO) Series
A (SD CRED PROG)
4.000%, 02/01/24............................. 600 680,310
Morris Area Schools Independent School District No. 2769
(GO) Series A (SD CRED PROG)
4.000%, 02/01/23............................. 1,490 1,669,262
4.000%, 02/01/24............................. 300 340,344
New London-Spicer Independent School District No. 345
(GO) Series A (SD CRED PROG)
3.000%, 02/01/23............................. 150 159,747
North Branch Independent School District No. 138 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/20............................. 300 324,639
North St Paul-Maplewood-Oakdale Independent School
District No. 622 (GO) Series A (SD CRED PROG)
3.000%, 02/01/24............................. 255 274,566
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
North St Paul-Maplewood-Oakdale Independent
School District No. 622 (GO) Series A (SD CRED
PROG)
5.000%, 02/01/22............................. $255 $ 292,493
Northfield Independent School District No. 659
(GO) Series A (SD CRED PROG)
4.000%, 02/01/21............................. 500 518,730
Olmsted County (GO) Series A
5.000%, 02/01/24............................. 675 808,690
Pine City Independent School District No. 578
(GO) Series A (SD CRED PROG)
2.000%, 02/01/21............................. 300 307,038
Rice County (GO)
3.000%, 02/01/20............................. 220 229,101
Robbinsdale Independent School District No. 281
(GO) Series B (SD CRED PROG)
5.000%, 02/01/18............................. 560 565,421
Rochester Independent School District No. 535
(GO) Series B (SD CRED PROG)
5.000%, 02/01/20............................. 205 222,074
5.000%, 02/01/22............................. 210 240,876
Rockford Independent School District No. 883
(GO) Series A (SD CRED PROG)
5.000%, 02/01/19............................. 200 209,582
Shakopee Independent School District No. 720
(GO) Series A (SD CRED PROG)
5.000%, 02/01/18............................. 220 222,174
State Michael-Albertville Independent School
District No. 885 (GO) Series A (SD CRED PROG)
4.000%, 02/01/19............................. 150 155,315
University of Minnesota (RB) Series B
2.000%, 12/01/17............................. 300 300,249
Waconia Independent School District No. 110 (GO)
Series A (SD CRED PROG)
3.250%, 02/01/18............................. 175 175,977
Washington County (GO) Series A
5.000%, 02/01/19............................. 150 157,281
Westonka Independent School District No. 277
(GO) Series A (SD CRED PROG)
2.000%, 02/01/20............................. 500 509,060
White Bear Lake Independent School District
No. 624 (GO) Series A (SD CRED PROG)
3.000%, 02/01/23............................. 350 370,185
-----------
TOTAL MUNICIPAL BONDS............................ 60,014,674
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $60,313,912)........................... $60,014,674
===========
178
DFA MN MUNICIPAL BOND 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
------- ----------- ------- -----------
Municipal Bonds. -- $60,014,674 -- $60,014,674
--- ----------- -- -----------
TOTAL........... --... $60,014,674 -- $60,014,674
=== =========== == ===========
See accompanying Notes to Financial Statements.
179
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
DFA TWO-YEAR SELECTIVELY DFA FIVE-YEAR
DFA ONE-YEAR GLOBAL FIXED HEDGED GLOBAL GLOBAL FIXED
FIXED INCOME INCOME FIXED INCOME INCOME
PORTFOLIO* PORTFOLIO* PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $98,962, $26,470, $0 and
$75,672 of securities on loan, respectively)............... $ 7,385,658 $ 5,140,607 $ 1,116,724 $ 13,832,976
Temporary Cash Investments at Value & Cost.................. 66,294 -- 1 --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $100,568, $27,031, $0 and
$77,383)................................................... 100,564 27,030 -- 77,381
Foreign Currencies at Value................................. -- 25 1 43
Cash........................................................ -- 29,178 12,623 128,892
Receivables:
Investment Securities Sold................................ 17,650 31,527 6,806 54,172
Dividends, Interest and Tax Reclaims...................... 27,275 26,723 7,101 75,924
Securities Lending Income................................. 20 6 -- 16
Fund Shares Sold.......................................... 20,681 5,673 497 11,805
Unrealized Gain on Forward Currency Contracts............... -- 27,463 4,509 76,421
Unrealized Gain on Foreign Currency Contracts............... -- -- -- 29
Prepaid Expenses and Other Assets........................... 72 52 11 131
-------------- -------------- -------------- --------------
Total Assets........................................... 7,618,214 5,288,284 1,148,273 14,257,790
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 100,568 27,017 -- 77,384
Investment Securities Purchased........................... 48,861 55,800 3,066 84,424
Fund Shares Redeemed...................................... 8,985 1,832 155 4,846
Due to Advisor............................................ 943 659 145 2,967
Unrealized Loss on Forward Currency Contracts............... -- 714 7,086 1,821
Unrealized Loss on Foreign Currency Contracts............... -- -- 1 82
Accrued Expenses and Other Liabilities...................... 846 612 95 1,150
-------------- -------------- -------------- --------------
Total Liabilities...................................... 160,203 86,634 10,548 172,674
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 7,458,011 $ 5,201,650 $ 1,137,725 $ 14,085,116
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$7,458,011; $5,201,650; $1,137,725 and $14,085,116
and shares outstanding of 724,780,649; 520,898,162;
117,767,294 and 1,276,665,910, respectively................ $ 10.29 $ 9.99 $ 9.66 $ 11.03
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 4,000,000,000 4,000,000,000 1,000,000,000 6,600,000,000
============== ============== ============== ==============
Investments at Cost......................................... $ 7,396,145 $ 5,157,393 $ 1,117,228 $ 13,857,494
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ -- $ 25 $ 1 $ 46
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 7,471,688 $ 5,190,688 $ 1,200,397 $ 13,985,678
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... (9) 8,617 12,958 40,474
Accumulated Net Realized Gain (Loss)........................ (3,177) (7,428) (72,530) 9,184
Net Unrealized Foreign Exchange Gain (Loss)................. -- 26,560 (2,596) 74,303
Net Unrealized Appreciation (Depreciation).................. (10,491) (16,787) (504) (24,523)
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 7,458,011 $ 5,201,650 $ 1,137,725 $ 14,085,116
============== ============== ============== ==============
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
180
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA WORLD EX DFA
U.S. DFA SHORT- INTERMEDIATE DFA SHORT-
GOVERNMENT TERM GOVERNMENT TERM EXTENDED
FIXED INCOME GOVERNMENT FIXED INCOME QUALITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $0, $0, $0 and
$20,729 of securities on loan, respectively)......... $ 906,275 $ 2,203,774 $ 4,569,184 $ 5,509,040
Temporary Cash Investments at Value & Cost............ -- 6,262 15,501 --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0, $0 and
$21,241)............................................. -- -- -- 21,242
Foreign Currencies at Value........................... 2,308 -- -- --
Cash.................................................. 11,606 -- -- 47,186
Receivables:
Dividends, Interest and Tax Reclaims................ 8,626 12,009 43,638 35,916
Securities Lending Income........................... -- -- -- 6
Fund Shares Sold.................................... 2,506 1,980 3,962 4,632
Unrealized Gain on Forward Currency Contracts......... 11,275 -- -- 9,192
Unrealized Gain on Foreign Currency Contracts......... 1 -- -- 8
Prepaid Expenses and Other Assets..................... 23 24 28 58
-------------- -------------- -------------- --------------
Total Assets..................................... 942,620 2,224,049 4,632,313 5,627,280
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................... -- -- -- 21,226
Investment Securities Purchased..................... 7,383 -- -- 42,546
Fund Shares Redeemed................................ 395 1,669 1,595 2,383
Due to Advisor...................................... 132 323 390 865
Unrealized Loss on Forward Currency Contracts......... 998 -- -- 26
Unrealized Loss on Foreign Currency Contracts......... 2 -- -- 12
Accrued Expenses and Other Liabilities................ 70 216 487 458
-------------- -------------- -------------- --------------
Total Liabilities................................ 8,980 2,208 2,472 67,516
-------------- -------------- -------------- --------------
NET ASSETS............................................ $ 933,640 $ 2,221,841 $ 4,629,841 $ 5,559,764
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$933,640; $2,221,841; $4,629,841 and $5,559,764
and shares outstanding of 91,383,104;
209,745,833; 371,916,233 and 512,501,453,
respectively......................................... $ 10.22 $ 10.59 $ 12.45 $ 10.85
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED........................... 1,000,000,000 1,500,000,000 1,700,000,000 3,000,000,000
============== ============== ============== ==============
Investments at Cost................................... $ 879,935 $ 2,220,806 $ 4,581,073 $ 5,507,873
============== ============== ============== ==============
Foreign Currencies at Cost............................ $ 2,300 $ -- $ -- $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital....................................... $ 907,227 $ 2,236,643 $ 4,627,749 $ 5,539,966
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income).................. (9,949) 2,558 9,264 5,437
Accumulated Net Realized Gain (Loss).................. (364) (328) 4,717 4,055
Net Unrealized Foreign Exchange Gain (Loss)........... 10,378 -- -- 9,138
Net Unrealized Appreciation (Depreciation)............ 26,348 (17,032) (11,889) 1,168
-------------- -------------- -------------- --------------
NET ASSETS............................................ $ 933,640 $ 2,221,841 $ 4,629,841 $ 5,559,764
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
181
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
INTERMEDIATE- DFA
TERM EXTENDED DFA TARGETED DFA DIVERSIFIED
QUALITY CREDIT INVESTMENT FIXED INCOME
PORTFOLIO* PORTFOLIO* GRADE PORTFOLIO* PORTFOLIO
-------------- -------------- ---------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... -- -- -- $ 422,358
Investments at Value (including $54,208, $7,182, $312,969
and $0 of securities on loan, respectively)................ $ 1,783,851 $ 506,332 $ 8,092,219 105,168
Temporary Cash Investments at Value & Cost.................. -- -- -- 3,871
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $55,480, $7,336, $319,679 and
$0)........................................................ 55,477 7,336 319,672 --
Foreign Currencies at Value................................. -- 24 -- --
Cash........................................................ 5,756 2,535 40,139 --
Receivables:
Investment Securities Sold................................ -- -- 1,153 --
Dividends, Interest and Tax Reclaims...................... 16,250 4,480 73,395 240
Securities Lending Income................................. 20 6 89 --
Fund Shares Sold.......................................... 3,123 506 6,887 1,590
From Advisor.............................................. -- -- -- 21
Unrealized Gain on Forward Currency Contracts............... -- 866 2,226 --
Prepaid Expenses and Other Assets........................... 26 12 129 37
-------------- -------------- -------------- --------------
Total Assets........................................... 1,864,503 522,097 8,535,909 533,285
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 55,482 7,336 319,667 --
Investment Securities Purchased........................... 1,913 -- 26,426 2,800
Fund Shares Redeemed...................................... 1,793 45 2,638 409
Due to Advisor............................................ 274 61 1,230 --
Unrealized Loss on Forward Currency Contracts............... -- 10 -- --
Accrued Expenses and Other Liabilities...................... 150 57 658 60
-------------- -------------- -------------- --------------
Total Liabilities...................................... 59,612 7,509 350,619 3,269
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 1,804,891 $ 514,588 $ 8,185,290 $ 530,016
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$1,804,891; $514,588; $8,185,290 and $530,016 and shares
outstanding of 166,397,871; 51,169,028; 750,840,733 and
54,295,574, respectively................................... $ 10.85 $ 10.06 $ 10.90 $ 9.76
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 2,000,000,000 1,000,000,000 2,000,000,000 1,000,000,000
============== ============== ============== ==============
Investments in Affiliated Investment Companies at Cost...... $ -- $ -- $ -- $ 424,465
-------------- -------------- -------------- --------------
Investments at Cost......................................... $ 1,771,682 $ 505,789 $ 8,059,346 $ 105,486
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ -- $ 25 $ -- $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 1,786,642 $ 511,591 $ 8,127,754 $ 532,091
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 449 699 25,208 253
Accumulated Net Realized Gain (Loss)........................ 5,634 907 (2,751) 97
Net Unrealized Foreign Exchange Gain (Loss)................. -- 849 2,213 --
Net Unrealized Appreciation (Depreciation).................. 12,166 542 32,866 (2,425)
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 1,804,891 $ 514,588 $ 8,185,290 $ 530,016
============== ============== ============== ==============
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
182
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA INFLATION- DFA SHORT-
PROTECTED DURATION REAL DFA MUNICIPAL
DFA LTIP SECURITIES RETURN REAL RETURN
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $0, $0, $28,284 and $0 of
securities on loan, respectively).......................... $ 123,449 $ 4,333,118 $ 1,109,690 $ 706,273
Temporary Cash Investments at Value & Cost.................. -- 15,716 -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $28,873 and $0)........... -- -- 28,874 --
Foreign Currencies at Value................................. -- -- 4 --
Segregated Cash for Swap Contracts.......................... -- -- 2,300 4,168
Cash........................................................ 447 -- 7,700 8,683
Receivables:
Investment Securities Sold................................ -- -- 506 --
Dividends, Interest and Tax Reclaims...................... 239 9,692 7,365 7,474
Securities Lending Income................................. -- -- 11 --
Fund Shares Sold.......................................... 476 5,157 463 282
Unrealized Gain on Swap Contracts........................... -- -- 7,623 9,319
Unrealized Gain on Forward Currency Contracts............... -- -- 3,717 --
Prepaid Expenses and Other Assets........................... 6 57 32 25
-------------- -------------- -------------- --------------
Total Assets........................................... 124,617 4,363,740 1,168,285 736,224
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... -- -- 28,866 --
Investment Securities Purchased........................... -- -- 2,305 7,930
Fund Shares Redeemed...................................... -- 3,675 554 5,572
Due to Advisor............................................ 12 364 178 121
Due to Broker............................................. -- -- -- 24
Segregated Cash for Swap Contracts........................ -- -- 2,300 4,168
Unrealized Loss on Swap Contracts........................... -- -- 3,445 1,500
Unrealized Loss on Forward Currency Contracts............... -- -- 99 --
Accrued Expenses and Other Liabilities...................... 14 400 120 88
-------------- -------------- -------------- --------------
Total Liabilities...................................... 26 4,439 37,867 19,403
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 124,591 $ 4,359,301 $ 1,130,418 $ 716,821
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$124,591; $4,359,301; $1,130,418 and $716,821 and
shares outstanding of 13,382,238; 369,689,177;
112,761,818 and 72,129,026, respectively................... $ 9.31 $ 11.79 $ 10.02 $ 9.94
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 1,500,000,000 1,000,000,000
============== ============== ============== ==============
Investments at Cost......................................... $ 121,395 $ 4,277,939 $ 1,110,069 $ 703,209
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ 4 $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 122,591 $ 4,294,668 $ 1,126,884 $ 708,445
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 358 11,411 12,481 158
Accumulated Net Realized Gain (Loss)........................ (412) (1,957) (16,357) (2,665)
Net Unrealized Foreign Exchange Gain (Loss)................. -- -- 3,610 --
Net Unrealized Appreciation (Depreciation).................. 2,054 55,179 3,800 10,883
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 124,591 $ 4,359,301 $ 1,130,418 $ 716,821
============== ============== ============== ==============
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
183
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
DFA SHORT- INTERMEDIATE- DFA CALIFORNIA
TERM TERM SHORT-TERM
DFA MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value................................. $ 344,726 $ 2,491,373 $ 1,642,383 $ 1,014,506
Cash................................................. 2,636 8,834 12,262 4,213
Receivables:
Dividends, Interest and Tax Reclaims............... 4,290 31,278 18,513 12,863
Fund Shares Sold................................... 1,560 1,491 2,128 309
Prepaid Expenses and Other Assets.................... 14 85 41 10
-------------- -------------- -------------- --------------
Total Assets.................................... 353,226 2,533,061 1,675,327 1,031,901
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Investment Securities Purchased.................... 884 -- 6,266 --
Fund Shares Redeemed............................... 320 449 1,016 102
Due to Advisor..................................... 48 428 259 175
Accrued Expenses and Other Liabilities............... 36 243 138 85
-------------- -------------- -------------- --------------
Total Liabilities............................... 1,288 1,120 7,679 362
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 351,938 $ 2,531,941 $ 1,667,648 $ 1,031,539
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$351,938; $2,531,941; $1,667,648 and $1,031,539
and shares outstanding of 34,560,665;
248,619,533; 163,606,156 and 100,050,441,
respectively........................................ $ 10.18 $ 10.18 $ 10.19 $ 10.31
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 1,000,000,000 1,500,000,000 1,500,000,000 1,000,000,000
============== ============== ============== ==============
Investments at Cost.................................. $ 343,066 $ 2,484,988 $ 1,623,528 $ 1,010,108
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 350,239 $ 2,525,326 $ 1,648,518 $ 1,027,052
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 66 335 380 112
Accumulated Net Realized Gain (Loss)................. (27) (105) (105) (23)
Net Unrealized Appreciation (Depreciation)........... 1,660 6,385 18,855 4,398
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 351,938 $ 2,531,941 $ 1,667,648 $ 1,031,539
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
184
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA CALIFORNIA
INTERMEDIATE-
TERM DFA NY DFA MN
MUNICIPAL MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- -------------- --------------
ASSETS:
Investments at Value................................................... $ 342,670 $ 89,857 $ 60,015
Cash................................................................... 139 303 363
Receivables:
Dividends, Interest and Tax Reclaims................................. 4,253 1,063 653
Fund Shares Sold..................................................... 333 47 184
From Advisor......................................................... -- -- 7
Deferred Offering Costs................................................ -- -- 47
Prepaid Expenses and Other Assets...................................... 14 7 2
-------------- -------------- ------------
Total Assets...................................................... 347,409 91,277 61,271
-------------- -------------- ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................. 24 48 --
Due to Advisor....................................................... 53 14 --
Accrued Expenses and Other Liabilities................................. 30 11 12
-------------- -------------- ------------
Total Liabilities................................................. 107 73 12
-------------- -------------- ------------
NET ASSETS............................................................. $ 347,302 $ 91,204 $ 61,259
============== ============== ============
Institutional Class Shares -- based on net assets of $347,302; $91,204
and $61,259 and shares outstanding of 32,832,491; 8,906,359 and
6,154,927, respectively............................................... $ 10.58 $ 10.24 $ 9.95
============== ============== ============
NUMBER OF SHARES AUTHORIZED............................................ 1,000,000,000 1,000,000,000 500,000,000
============== ============== ============
Investments at Cost.................................................... $ 337,430 $ 89,151 $ 60,314
============== ============== ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................ $ 341,993 $ 90,486 $ 61,553
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income).................................................... 78 14 5
Accumulated Net Realized Gain (Loss)................................... (9) (2) --
Net Unrealized Appreciation (Depreciation)............................. 5,240 706 (299)
-------------- -------------- ------------
NET ASSETS............................................................. $ 347,302 $ 91,204 $ 61,259
============== ============== ============
See accompanying Notes to Financial Statements.
185
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
DFA
SELECTIVELY
DFA ONE- DFA TWO- HEDGED DFA FIVE-
YEAR FIXED YEAR GLOBAL GLOBAL FIXED YEAR GLOBAL
INCOME FIXED INCOME INCOME FIXED INCOME
PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
---------- ------------ ------------ ------------
INVESTMENT INCOME
Dividends............................................... $ 447 -- -- --
Interest................................................ 89,607 $ 68,434 $20,651 $ 253,139
Income from Securities Lending.......................... 222 147 57 395
-------- -------- ------- ---------
Total Investment Income.............................. 90,276 68,581 20,708 253,534
-------- -------- ------- ---------
EXPENSES
Investment Management Fees.............................. 10,799 7,458 1,603 32,880
Accounting & Transfer Agent Fees........................ 432 375 73 1,108
Custodian Fees.......................................... 150 171 7 326
Filing Fees............................................. 263 181 57 465
Shareholders' Reports................................... 171 126 23 414
Directors'/Trustees' Fees & Expenses.................... 72 50 11 130
Professional Fees....................................... 118 83 19 221
Other................................................... 165 123 25 334
-------- -------- ------- ---------
Total Expenses....................................... 12,170 8,567 1,818 35,878
-------- -------- ------- ---------
Fees Paid Indirectly (Note C)........................... -- (174) (24) (346)
-------- -------- ------- ---------
Net Expenses............................................ 12,170 8,393 1,794 35,532
-------- -------- ------- ---------
NET INVESTMENT INCOME (LOSS)............................ 78,106 60,188 18,914 218,002
-------- -------- ------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.......................... (3,170) (9,125) 1,096 9,356
Affiliated Investment Companies Shares Sold........... (5) 10 -- (14)
Foreign Currency Transactions......................... -- (6) 32 (118)
Forward Currency Contracts............................ -- (15,260) (1,675) (29,234)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ (11,738) (12,838) (6,683) (135,610)
Affiliated Investment Companies Shares................ (10) (11) -- (11)
Translation of Foreign Currency Denominated Amounts... -- (181) (19) (286)
Forward Currency Contracts............................ -- 25,152 (893) 73,100
-------- -------- ------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)................. (14,923) (12,259) (8,142) (82,817)
-------- -------- ------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................... $ 63,183 $ 47,929 $10,772 $ 135,185
======== ======== ======= =========
----------
**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.
186
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
DFA WORLD EX DFA DFA SHORT-
U.S. DFA SHORT- INTERMEDIATE TERM
GOVERNMENT TERM GOVERNMENT EXTENDED
FIXED INCOME GOVERNMENT FIXED INCOME QUALITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO#
------------ ---------- ------------ ----------
INVESTMENT INCOME
Dividends................................................ -- $ 39 -- --
Interest................................................. $ 10,434 29,308 $ 91,495 $106,383
Income from Securities Lending........................... -- -- -- 252
-------- -------- --------- --------
Total Investment Income............................... 10,434 29,347 91,495 106,635
-------- -------- --------- --------
EXPENSES
Investment Management Fees............................... 1,522 3,671 4,193 10,326
Accounting & Transfer Agent Fees......................... 58 164 462 448
Custodian Fees........................................... 37 22 42 107
Filing Fees.............................................. 72 86 184 290
Shareholders' Reports.................................... 23 60 134 167
Directors'/Trustees' Fees & Expenses..................... 8 22 41 51
Professional Fees........................................ 15 35 66 88
Other.................................................... 27 53 102 126
-------- -------- --------- --------
Total Expenses........................................ 1,762 4,113 5,224 11,603
-------- -------- --------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)............... (69) -- -- (245)
Fees Paid Indirectly (Note C)............................ (66) -- -- (76)
-------- -------- --------- --------
Net Expenses............................................. 1,627 4,113 5,224 11,282
-------- -------- --------- --------
NET INVESTMENT INCOME (LOSS)............................. 8,807 25,234 86,271 95,353
-------- -------- --------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**........................... (7,868) (293) 5,070 4,711
Affiliated Investment Companies Shares Sold............ -- -- -- 13
Foreign Currency Transactions.......................... 88 -- -- (12)
Forward Currency Contracts............................. (35,520) -- -- (5,021)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............. 41,145 (26,421) (118,697) (38,269)
Affiliated Investment Companies Shares................. -- -- -- (12)
Translation of Foreign Currency Denominated Amounts.... 371 -- -- (28)
Forward Currency Contracts............................. 5,671 -- -- 9,166
-------- -------- --------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).................. 3,887 (26,714) (113,627) (29,452)
-------- -------- --------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $ 12,694 $ (1,480) $ (27,356) $ 65,901
======== ======== ========= ========
----------
**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.
187
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
DFA
INTERMEDIATE-
TERM DFA DFA
EXTENDED DFA TARGETED INVESTMENT DIVERSIFIED
QUALITY CREDIT GRADE FIXED INCOME
PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO
------------- ------------ ---------- ------------
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment
Companies.................................................. -- -- -- $ 4,281
-------- ------- -------- -------
Total Net Investment Income Received from Affiliated
Investment Companies.................................... -- -- -- 4,281
-------- ------- -------- -------
FUND INVESTMENT INCOME
Interest.................................................... $ 50,327 $10,715 $180,268 1,235
Income from Securities Lending.............................. 310 71 1,405 --
-------- ------- -------- -------
Total Investment Income.................................. 50,637 10,786 181,673 1,235
-------- ------- -------- -------
EXPENSES
Investment Management Fees.................................. 3,114 837 14,308 414
Accounting & Transfer Agent Fees............................ 110 48 490 11
Custodian Fees.............................................. 22 7 103 2
Filing Fees................................................. 104 56 531 112
Shareholders' Reports....................................... 32 17 202 11
Directors'/Trustees' Fees & Expenses........................ 15 4 68 3
Professional Fees........................................... 28 15 114 2
Organizational & Offering Costs............................. -- -- -- 49
Other....................................................... 40 12 172 3
-------- ------- -------- -------
Total Expenses........................................... 3,465 996 15,988 607
-------- ------- -------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................. (38) (115) (250) (478)
Fees Paid Indirectly (Note C)............................... -- (2) -- --
-------- ------- -------- -------
Net Expenses................................................ 3,427 879 15,738 129
-------- ------- -------- -------
NET INVESTMENT INCOME (LOSS)................................ 47,210 9,907 165,935 5,387
-------- ------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities................................................. -- -- -- 215
Net Realized Gain (Loss) on:
Investment Securities Sold**.............................. 5,720 793 4,461 (50)
Affiliated Investment Companies Shares Sold............... (2) -- 4 --
Foreign Currency Transactions............................. -- (7) 12 --
Forward Currency Contracts................................ -- (137) (4,776) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities**................................... (17,528) (1,972) (83,455) (351)
Affiliated Investment Companies Shares.................... (8) (1) (43) (1,586)
Translation of Foreign Currency Denominated Amounts....... -- 3 (13) --
Forward Currency Contracts................................ -- 844 2,226 --
-------- ------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... (11,818) (477) (81,584) (1,772)
-------- ------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $ 35,392 $ 9,430 $ 84,351 $ 3,615
======== ======= ======== =======
----------
**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.
188
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
DFA
INFLATION- DFA SHORT- DFA
PROTECTED DURATION REAL MUNICIPAL
DFA LTIP SECURITIES RETURN REAL RETURN
PORTFOLIO PORTFOLIO PORTFOLIO# PORTFOLIO
--------- ---------- ------------- -----------
INVESTMENT INCOME
Dividends....................................................... -- $ 88 -- --
Interest........................................................ $ 2,755 89,256 $19,783 $ 9,923
Income from Securities Lending.................................. -- -- 244 --
------- -------- ------- -------
Total Investment Income...................................... 2,755 89,344 20,027 9,923
------- -------- ------- -------
EXPENSES
Investment Management Fees...................................... 95 3,954 2,041 1,265
Accounting & Transfer Agent Fees................................ 8 254 83 40
Custodian Fees.................................................. 2 40 42 47
Filing Fees..................................................... 25 194 71 62
Shareholders' Reports........................................... 2 112 56 11
Directors'/Trustees' Fees & Expenses............................ 1 39 10 6
Professional Fees............................................... 1 63 24 13
Other........................................................... 4 97 27 44
------- -------- ------- -------
Total Expenses............................................... 138 4,753 2,354 1,488
------- -------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................. 5 -- 96 --
Fees Paid Indirectly (Note C)................................... -- -- -- (22)
------- -------- ------- -------
Net Expenses.................................................... 143 4,753 2,450 1,466
------- -------- ------- -------
NET INVESTMENT INCOME (LOSS).................................... 2,612 84,591 17,577 8,457
------- -------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................. (56) (187) 765 (42)
Affiliated Investment Companies Shares Sold................... -- -- 7 --
Swap Contracts................................................ -- -- (4,208) (1,007)
Foreign Currency Transactions................................. -- -- 23 --
Forward Currency Contracts.................................... -- -- (2,531) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... (2,773) (85,390) (5,924) 389
Affiliated Investment Companies Shares........................ -- -- (9) --
Swap Contracts................................................ -- -- 6,736 2,646
Translation of Foreign Currency Denominated Amounts........... -- -- (8) --
Forward Currency Contracts.................................... -- -- 3,618 --
------- -------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (2,829) (85,577) (1,531) 1,986
------- -------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS... $ (217) $ (986) $16,046 $10,443
======= ======== ======= =======
----------
**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.
189
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
DFA DFA
DFA SHORT- INTERMEDIATE- CALIFORNIA
DFA TERM TERM SHORT-TERM
MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
BOND BOND BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ------------- ----------
INVESTMENT INCOME
Interest........................................................ $4,067 $27,304 $23,654 $10,556
------ ------- ------- -------
Total Investment Income...................................... 4,067 27,304 23,654 10,556
------ ------- ------- -------
EXPENSES
Investment Management Fees...................................... 581 4,620 3,007 1,926
Accounting & Transfer Agent Fees................................ 19 141 98 55
Custodian Fees.................................................. 3 23 16 10
Filing Fees..................................................... 61 172 150 47
Shareholders' Reports........................................... 6 43 34 15
Directors'/Trustees' Fees & Expenses............................ 3 23 14 9
Professional Fees............................................... 4 36 23 15
Other........................................................... 13 54 64 24
------ ------- ------- -------
Total Expenses............................................... 690 5,112 3,406 2,101
------ ------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................. (22) -- 52 --
Fees Paid Indirectly (Note C)................................... (7) (43) (33) (18)
------ ------- ------- -------
Net Expenses.................................................... 661 5,069 3,425 2,083
------ ------- ------- -------
NET INVESTMENT INCOME (LOSS).................................... 3,406 22,235 20,229 8,473
------ ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................. (23) (1) (8) (10)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities......................................... (242) (6,027) (3,913) (1,455)
------ ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (265) (6,028) (3,921) (1,465)
------ ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS... $3,141 $16,207 $16,308 $ 7,008
====== ======= ======= =======
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
190
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
DFA
CALIFORNIA
INTERMEDIATE-
TERM DFA NY DFA MN
MUNICIPAL MUNICIPAL MUNICIPAL
BOND BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO(A)
------------- --------- ------------
INVESTMENT INCOME
Interest............................................................. $4,832 $987 $ 186
------ ---- -----
Total Investment Income........................................... 4,832 987 186
------ ---- -----
EXPENSES
Investment Management Fees........................................... 610 151 39
Accounting & Transfer Agent Fees..................................... 20 7 2
Custodian Fees....................................................... 4 1 --
Filing Fees.......................................................... 29 22 8
Shareholders' Reports................................................ 5 2 2
Directors'/Trustees' Fees & Expenses................................. 3 1 --
Professional Fees.................................................... 5 1 --
Organizational & Offering Costs...................................... -- -- 18
Other................................................................ 12 7 1
------ ---- -----
Total Expenses.................................................... 688 192 70
------ ---- -----
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... 13 (2) (20)
Fees Paid Indirectly (Note C)........................................ (7) (3) --
------ ---- -----
Net Expenses......................................................... 694 187 50
------ ---- -----
NET INVESTMENT INCOME (LOSS)......................................... 4,138 800 136
------ ---- -----
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................... 3 (2) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities.............................................. (459) 98 (299)
------ ---- -----
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (456) 96 (299)
------ ---- -----
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $3,682 $896 $(163)
====== ==== =====
----------
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
(a)The Portfolio commenced operations on July 25, 2017.
See accompanying Notes to Financial Statements.
191
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA SELECTIVELY
DFA ONE-YEAR FIXED DFA TWO-YEAR GLOBAL HEDGED GLOBAL FIXED
INCOME PORTFOLIO FIXED INCOME PORTFOLIO INCOME 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)........ $ 78,106 $ 50,058 $ 60,188 $ 38,801 $ 18,914 $ 16,720
Net Realized Gain (Loss) on:
Investment Securities Sold*........ (3,170) 415 (9,125) (9,282) 1,096 1,131
Affiliated Investment Companies
Shares Sold....................... (5) -- 10 -- -- --
Foreign Currency Transactions...... -- -- (6) (40) 32 --
Forward Currency Contracts......... -- -- (15,260) 6,567 (1,675) 15,794
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.................. (11,738) 437 (12,838) (185) (6,683) 6,778
Affiliated Investment Companies
Shares............................ (10) -- (11) -- -- --
Translation of Foreign Currency
Denominated Amounts............... -- -- (181) (8) (19) --
Forward Currency Contracts......... -- -- 25,152 2,794 (893) 938
----------- ----------- ---------- ----------- ---------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations....................... 63,183 50,910 47,929 38,647 10,772 41,361
----------- ----------- ---------- ----------- ---------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares......... (75,756) (51,284) (46,352) (24,459) (16,079) (10,482)
Net Short-Term Gains:
Institutional Class Shares......... -- (4,011) -- -- -- --
Net Long-Term Gains:
Institutional Class Shares......... (405) (2,550) -- -- -- --
----------- ----------- ---------- ----------- ---------- ---------
Total Distributions............... (76,161) (57,845) (46,352) (24,459) (16,079) (10,482)
----------- ----------- ---------- ----------- ---------- ---------
Capital Share Transactions (1):
Shares Issued....................... 3,802,547 3,637,876 1,413,377 1,053,891 273,288 205,567
Shares Issued in Lieu of Cash
Distributions...................... 70,974 53,724 42,763 22,714 16,054 10,453
Shares Redeemed..................... (3,388,321) (4,004,884) (980,824) (1,726,209) (135,061) (254,062)
----------- ----------- ---------- ----------- ---------- ---------
Net Increase (Decrease) from
Capital Share Transactions....... 485,200 (313,284) 475,316 (649,604) 154,281 (38,042)
----------- ----------- ---------- ----------- ---------- ---------
Total Increase (Decrease) in
Net Assets....................... 472,222 (320,219) 476,893 (635,416) 148,974 (7,163)
NET ASSETS
Beginning of Year................... 6,985,789 7,306,008 4,724,757 5,360,173 988,751 995,914
----------- ----------- ---------- ----------- ---------- ---------
End of Year......................... $ 7,458,011 $ 6,985,789 $5,201,650 $ 4,724,757 $1,137,725 $ 988,751
=========== =========== ========== =========== ========== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................... 369,200 352,921 141,855 105,742 28,488 21,557
Shares Issued in Lieu of Cash
Distributions...................... 6,893 5,214 4,302 2,279 1,704 1,128
Shares Redeemed..................... (328,963) (388,483) (98,424) (173,163) (14,096) (26,884)
----------- ----------- ---------- ----------- ---------- ---------
Net Increase (Decrease) from
Shares Issued and
Redeemed......................... 47,130 (30,348) 47,733 (65,142) 16,096 (4,199)
=========== =========== ========== =========== ========== =========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)............ $ (9) $ (306) $ 8,617 $ 13,495 $ 12,958 $ 13,093
DFA
FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........ $ 218,002 $ 190,056
Net Realized Gain (Loss) on:
Investment Securities Sold*........ 9,356 26,521
Affiliated Investment Companies
Shares Sold....................... (14) --
Foreign Currency Transactions...... (118) (162)
Forward Currency Contracts......... (29,234) 36,842
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.................. (135,610) 47,303
Affiliated Investment Companies
Shares............................ (11) --
Translation of Foreign Currency
Denominated Amounts............... (286) (45)
Forward Currency Contracts......... 73,100 2,660
----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations....................... 135,185 303,175
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares......... (219,966) (182,028)
Net Short-Term Gains:
Institutional Class Shares......... (5,423) (4,344)
Net Long-Term Gains:
Institutional Class Shares......... (42,519) (30,555)
----------- -----------
Total Distributions............... (267,908) (216,927)
----------- -----------
Capital Share Transactions (1):
Shares Issued....................... 3,690,788 3,233,299
Shares Issued in Lieu of Cash
Distributions...................... 253,124 204,682
Shares Redeemed..................... (2,323,448) (2,164,819)
----------- -----------
Net Increase (Decrease) from
Capital Share Transactions....... 1,620,464 1,273,162
----------- -----------
Total Increase (Decrease) in
Net Assets....................... 1,487,741 1,359,410
NET ASSETS
Beginning of Year................... 12,597,375 11,237,965
----------- -----------
End of Year......................... $14,085,116 $12,597,375
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................... 336,497 291,341
Shares Issued in Lieu of Cash
Distributions...................... 23,294 18,603
Shares Redeemed..................... (211,994) (195,311)
----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed......................... 147,797 114,633
=========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)............ $ 40,474 $ 77,932
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
192
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA WORLD EX U.S. DFA INTERMEDIATE
GOVERNMENT FIXED DFA SHORT-TERM GOVERNMENT FIXED
INCOME PORTFOLIO GOVERNMENT PORTFOLIO INCOME PORTFOLIO
-------------------- ---------------------- ----------------------
PERIOD
JAN. 18,
YEAR 2017(A) YEAR YEAR YEAR YEAR
ENDED TO 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).......... $ 8,807 $ 7,449 $ 25,234 $ 21,562 $ 86,271 $ 70,789
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... (7,868) (17,263) (293) 5,609 5,070 10,092
Affiliated Investment Companies
Shares Sold......................... -- -- -- -- -- --
Foreign Currency Transactions........ 88 (194) -- -- -- --
Forward Currency Contracts........... (35,520) 32,912 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ 41,145 18,808 (26,421) 3,307 (118,697) 50,762
Affiliated Investment Companies
Shares.............................. -- -- -- -- -- --
Translation of Foreign Currency
Denominated Amounts................. 371 (222) -- -- -- --
Forward Currency Contracts........... 5,671 (395) -- -- -- --
--------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 12,694 41,095 (1,480) 30,478 (27,356) 131,643
--------- --------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares........... (19,386) (37,065) (24,390) (20,778) (85,509) (68,105)
Net Short-Term Gains:
Institutional Class Shares........... (1,312) -- (720) (3,488) (3,003) (201)
Net Long-Term Gains:
Institutional Class Shares........... (551) (629) (4,717) (5,104) (6,710) (14,801)
--------- --------- ---------- ---------- ---------- ----------
Total Distributions................. (21,249) (37,694) (29,827) (29,370) (95,222) (83,107)
--------- --------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued......................... 310,507 411,964 656,942 495,616 1,485,982 1,029,351
Shares Issued in Lieu of Cash
Distributions........................ 20,926 37,495 27,900 27,308 89,994 77,909
Shares Redeemed....................... (161,902) (247,314) (526,204) (574,511) (635,193) (723,109)
--------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions......... 169,531 202,145 158,638 (51,587) 940,783 384,151
--------- --------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets............................. 160,976 205,546 127,331 (50,479) 818,205 432,687
NET ASSETS
Beginning of Period................... 772,664 567,118 2,094,510 2,144,989 3,811,636 3,378,949
--------- --------- ---------- ---------- ---------- ----------
End of Period......................... $ 933,640 $ 772,664 $2,221,841 $2,094,510 $4,629,841 $3,811,636
========= ========= ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 30,894 40,726 61,811 46,111 119,215 80,021
Shares Issued in Lieu of Cash
Distributions........................ 2,118 3,866 2,635 2,550 7,275 6,107
Shares Redeemed....................... (16,144) (24,210) (49,508) (53,422) (51,024) (56,436)
--------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed......... 16,868 20,382 14,938 (4,761) 75,466 29,692
========= ========= ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................... $ (9,949) $ 13,677 $ 2,558 $ 2,278 $ 9,264 $ 9,702
DFA
SHORT-TERM EXTENDED
QUALITY PORTFOLIO
-----------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
----------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ 95,353 $ 74,685
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... 4,711 (611)
Affiliated Investment Companies
Shares Sold......................... 13 --
Foreign Currency Transactions........ (12) --
Forward Currency Contracts........... (5,021) --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ (38,269) 34,204
Affiliated Investment Companies
Shares.............................. (12) --
Translation of Foreign Currency
Denominated Amounts................. (28) --
Forward Currency Contracts........... 9,166 --
----------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 65,901 108,278
----------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares........... (84,608) (75,125)
Net Short-Term Gains:
Institutional Class Shares........... (4) (626)
Net Long-Term Gains:
Institutional Class Shares........... (4) (5,233)
----------- ----------
Total Distributions................. (84,616) (80,984)
----------- ----------
Capital Share Transactions (1):
Shares Issued......................... 1,860,954 1,630,373
Shares Issued in Lieu of Cash
Distributions........................ 82,823 79,037
Shares Redeemed....................... (1,088,768) (909,467)
----------- ----------
Net Increase (Decrease) from
Capital Share Transactions......... 855,009 799,943
----------- ----------
Total Increase (Decrease) in Net
Assets............................. 836,294 827,237
NET ASSETS
Beginning of Period................... 4,723,470 3,896,233
----------- ----------
End of Period......................... $ 5,559,764 $4,723,470
=========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 172,020 149,885
Shares Issued in Lieu of Cash
Distributions........................ 7,658 7,282
Shares Redeemed....................... (100,624) (83,763)
----------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed......... 79,054 73,404
=========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................... $ 5,437 $ 1,116
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
193
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERMEDIATE-
TERM EXTENDED DFA TARGETED DFA INVESTMENT GRADE
QUALITY PORTFOLIO CREDIT 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)................ $ 47,210 $ 36,419 $ 9,907 $ 5,786 $ 165,935 $ 112,427
Capital Gain Distributions Received from
Investment Securities...................... -- -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 5,720 2,392 793 (213) 4,461 (7,215)
Affiliated Investment Companies Shares
Sold...................................... (2) -- -- -- 4 --
Foreign Currency Transactions.............. -- -- (7) 1 12 --
Forward Currency Contracts................. -- -- (137) 639 (4,776) --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (17,528) 37,195 (1,972) 3,362 (83,455) 112,931
Affiliated Investment Companies Shares..... (8) -- (1) -- (43) --
Translation of Foreign Currency
Denominated Amounts....................... -- -- 3 (10) (13) --
Forward Currency Contracts................. -- -- 844 12 2,226 --
---------- ---------- -------- -------- ----------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 35,392 76,006 9,430 9,577 84,351 218,143
---------- ---------- -------- -------- ----------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (46,418) (38,250) (9,264) (5,955) (150,794) (101,638)
Net Short-Term Gains:
Institutional Class Shares................. (339) -- -- (49) -- --
Net Long-Term Gains:
Institutional Class Shares................. (2,020) (5,135) -- -- -- (13,538)
---------- ---------- -------- -------- ----------- ----------
Total Distributions....................... (48,777) (43,385) (9,264) (6,004) (150,794) (115,176)
---------- ---------- -------- -------- ----------- ----------
Capital Share Transactions (1):
Shares Issued............................... 671,617 555,254 228,033 168,057 3,121,375 2,753,616
Shares Issued in Lieu of Cash Distributions. 45,412 40,891 8,916 5,841 148,903 114,093
Shares Redeemed............................. (312,794) (283,542) (79,106) (41,500) (1,212,334) (930,081)
---------- ---------- -------- -------- ----------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 404,235 312,603 157,843 132,398 2,057,944 1,937,628
---------- ---------- -------- -------- ----------- ----------
Total Increase (Decrease) in Net
Assets................................... 390,850 345,224 158,009 135,971 1,991,501 2,040,595
NET ASSETS
Beginning of Year........................... 1,414,041 1,068,817 356,579 220,608 6,193,789 4,153,194
---------- ---------- -------- -------- ----------- ----------
End of Year................................. $1,804,891 $1,414,041 $514,588 $356,579 $ 8,185,290 $6,193,789
========== ========== ======== ======== =========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 62,563 51,131 22,826 16,768 288,163 250,867
Shares Issued in Lieu of Cash Distributions. 4,238 3,794 893 583 13,835 10,459
Shares Redeemed............................. (29,251) (26,287) (7,910) (4,150) (112,043) (85,013)
---------- ---------- -------- -------- ----------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 37,550 28,638 15,809 13,201 189,955 176,313
========== ========== ======== ======== =========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)...................................... $ 449 $ 339 $ 699 $ 647 $ 25,208 $ 17,273
DFA DIVERSIFIED
FIXED INCOME
PORTFOLIO
------------------
PERIOD
AUG. 10,
YEAR 2016(A)
ENDED TO
OCT. 31, OCT. 31,
2017 2016
-------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 5,387 $ 127
Capital Gain Distributions Received from
Investment Securities...................... 215 --
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (50) --
Affiliated Investment Companies Shares
Sold...................................... -- --
Foreign Currency Transactions.............. -- --
Forward Currency Contracts................. -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (351) (488)
Affiliated Investment Companies Shares..... (1,586) --
Translation of Foreign Currency
Denominated Amounts....................... -- --
Forward Currency Contracts................. -- --
-------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 3,615 (361)
-------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (5,141) (110)
Net Short-Term Gains:
Institutional Class Shares................. -- --
Net Long-Term Gains:
Institutional Class Shares................. -- --
-------- --------
Total Distributions....................... (5,141) (110)
-------- --------
Capital Share Transactions (1):
Shares Issued............................... 477,812 116,367
Shares Issued in Lieu of Cash Distributions. 5,141 110
Shares Redeemed............................. (63,972) (3,445)
-------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... 418,981 113,032
-------- --------
Total Increase (Decrease) in Net
Assets................................... 417,455 112,561
NET ASSETS
Beginning of Year........................... 112,561 --
-------- --------
End of Year................................. $530,016 $112,561
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 48,977 11,678
Shares Issued in Lieu of Cash Distributions. 529 11
Shares Redeemed............................. (6,552) (347)
-------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 42,954 11,342
======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)...................................... $ 253 $ 17
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
194
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INFLATION-
DFA LTIP PROTECTED SECURITIES DFA SHORT-DURATION
PORTFOLIO PORTFOLIO REAL RETURN 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)................ $ 2,612 $ 973 $ 84,591 $ 44,323 $ 17,577 $ 13,326
Capital Gain Distributions Received from
Investment Securities...................... -- -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (56) 44 (187) 10,299 765 267
Affiliated Investment Companies Shares
Sold...................................... -- -- -- -- 7 --
Swap Contracts............................. -- -- -- -- (4,208) (4,828)
Foreign Currency Transactions.............. -- -- -- -- 23 --
Forward Currency Contracts................. (2,531)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (2,773) 4,852 (85,390) 136,526 (5,924) 4,726
Affiliated Investment Companies Shares..... -- -- -- -- (9) --
Swap Contracts............................. -- -- -- -- 6,736 14,527
Translation of Foreign Currency
Denominated Amounts....................... -- -- -- -- (8) --
Forward Currency Contracts................. -- -- -- -- 3,618 --
-------- ------- ---------- ---------- ---------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ (217) 5,869 (986) 191,148 16,046 28,018
-------- ------- ---------- ---------- ---------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (2,365) (786) (77,872) (36,066) (13,087) (9,645)
Net Short-Term Gains:
Institutional Class Shares................. (50) -- (141) -- -- --
Net Long-Term Gains:
Institutional Class Shares................. -- -- (8,865) (2,828) -- --
-------- ------- ---------- ---------- ---------- ---------
Total Distributions....................... (2,415) (786) (86,878) (38,894) (13,087) (9,645)
-------- ------- ---------- ---------- ---------- ---------
Capital Share Transactions (1):
Shares Issued............................... 73,479 62,424 1,690,026 1,236,112 391,386 368,597
Shares Issued in Lieu of Cash Distributions. 2,415 409 77,379 34,698 12,649 9,262
Shares Redeemed............................. (11,938) (4,857) (834,307) (891,895) (191,532) (266,272)
-------- ------- ---------- ---------- ---------- ---------
Net Increase (Decrease) from Capital
Share Transactions....................... 63,956 57,976 933,098 378,915 212,503 111,587
-------- ------- ---------- ---------- ---------- ---------
Total Increase (Decrease) in Net
Assets................................... 61,324 63,059 845,234 531,169 215,462 129,960
NET ASSETS
Beginning of Year........................... 63,267 208 3,514,067 2,982,898 914,956 784,996
-------- ------- ---------- ---------- ---------- ---------
End of Year................................. $124,591 $63,267 $4,359,301 $3,514,067 $1,130,418 $ 914,956
======== ======= ========== ========== ========== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 7,955 6,891 143,167 104,535 39,408 37,408
Shares Issued in Lieu of Cash
Distributions.............................. 265 41 6,630 2,878 1,293 964
Shares Redeemed............................. (1,289) (505) (70,815) (75,144) (19,296) (27,232)
-------- ------- ---------- ---------- ---------- ---------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 6,931 6,427 78,982 32,269 21,405 11,140
======== ======= ========== ========== ========== =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)...................................... $ 358 $ 187 $ 11,411 $ 5,799 $ 12,481 $ 10,452
DFA MUNICIPAL REAL
RETURN PORTFOLIO
-------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
--------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 8,457 $ 4,077
Capital Gain Distributions Received from
Investment Securities...................... -- 1
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (42) (1)
Affiliated Investment Companies Shares
Sold...................................... -- --
Swap Contracts............................. (1,007) (1,616)
Foreign Currency Transactions.............. -- --
Forward Currency Contracts.................
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 389 1,145
Affiliated Investment Companies Shares..... -- --
Swap Contracts............................. 2,646 8,274
Translation of Foreign Currency
Denominated Amounts....................... -- --
Forward Currency Contracts................. -- --
--------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 10,443 11,880
--------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (8,396) (4,131)
Net Short-Term Gains:
Institutional Class Shares................. -- --
Net Long-Term Gains:
Institutional Class Shares................. -- --
--------- --------
Total Distributions....................... (8,396) (4,131)
--------- --------
Capital Share Transactions (1):
Shares Issued............................... 363,496 353,189
Shares Issued in Lieu of Cash Distributions. 8,370 4,113
Shares Redeemed............................. (131,077) (75,304)
--------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... 240,789 281,998
--------- --------
Total Increase (Decrease) in Net
Assets................................... 242,836 289,747
NET ASSETS
Beginning of Year........................... 473,985 184,238
--------- --------
End of Year................................. $ 716,821 $473,985
========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 36,806 35,985
Shares Issued in Lieu of Cash
Distributions.............................. 845 417
Shares Redeemed............................. (13,241) (7,646)
--------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 24,410 28,756
========= ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)...................................... $ 158 $ 97
----------
Seepage 1 & 2 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
195
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA SHORT-TERM DFA INTERMEDIATE-
DFA MUNICIPAL MUNICIPAL BOND TERM MUNICIPAL BOND
BOND 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).......... $ 3,406 $ 1,850 $ 22,235 $ 19,800 $ 20,229 $ 15,002
Capital Gain Distributions Received
from Investment Securities........... -- -- -- 1 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... (23) (1) (1) (14) (8) (4)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities................ (242) 851 (6,027) (4,356) (3,913) 6,117
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 3,141 2,700 16,207 15,431 16,308 21,115
-------- -------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares........... (3,378) (1,922) (22,189) (21,005) (20,181) (15,739)
-------- -------- ---------- ---------- ---------- ----------
Total Distributions................. (3,378) (1,922) (22,189) (21,005) (20,181) (15,739)
-------- -------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued......................... 224,318 150,409 1,110,957 644,837 784,057 584,454
Shares Issued in Lieu of Cash
Distributions........................ 3,376 1,922 21,505 20,616 19,346 15,261
Shares Redeemed....................... (96,240) (32,703) (698,520) (755,735) (396,529) (250,925)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions......... 131,454 119,628 433,942 (90,282) 406,874 348,790
-------- -------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets............................. 131,217 120,406 427,960 (95,856) 403,001 354,166
NET ASSETS
Beginning of Period................... 220,721 100,315 2,103,981 2,199,837 1,264,647 910,481
-------- -------- ---------- ---------- ---------- ----------
End of Period......................... $351,938 $220,721 $2,531,941 $2,103,981 $1,667,648 $1,264,647
======== ======== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 22,146 14,688 109,168 62,920 77,473 56,787
Shares Issued in Lieu of Cash
Distributions........................ 332 188 2,111 2,013 1,902 1,485
Shares Redeemed....................... (9,512) (3,194) (68,675) (73,707) (39,157) (24,370)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 12,966 11,682 42,604 (8,774) 40,218 33,902
======== ======== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS OF
NET INVESTMENT INCOME)................. $ 66 $ 38 $ 335 $ 289 $ 380 $ 332
DFA CALIFORNIA SHORT-TERM
MUNICIPAL BOND PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
---------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ 8,473 $ 7,054
Capital Gain Distributions Received
from Investment Securities........... -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... (10) (5)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities................ (1,455) (884)
---------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 7,008 6,165
---------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares........... (8,471) (7,440)
---------- ---------
Total Distributions................. (8,471) (7,440)
---------- ---------
Capital Share Transactions (1):
Shares Issued......................... 384,206 290,811
Shares Issued in Lieu of Cash
Distributions........................ 8,432 7,405
Shares Redeemed....................... (239,845) (242,216)
---------- ---------
Net Increase (Decrease) from
Capital Share Transactions......... 152,793 56,000
---------- ---------
Total Increase (Decrease) in Net
Assets............................. 151,330 54,725
NET ASSETS
Beginning of Period................... 880,209 825,484
---------- ---------
End of Period......................... $1,031,539 $ 880,209
========== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 37,348 28,064
Shares Issued in Lieu of Cash
Distributions........................ 819 715
Shares Redeemed....................... (23,320) (23,379)
---------- ---------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 14,847 5,400
========== =========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS OF
NET INVESTMENT INCOME)................. $ 112 $ 110
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
196
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA CALIFORNIA
INTERMEDIATE-TERM DFA NY MUNICIPAL DFA MN MUNICIPAL
MUNICIPAL BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
------------------------ ----------------- ---------------
PERIOD
JULY 25,
YEAR YEAR YEAR YEAR 2017(A)
ENDED ENDED ENDED ENDED TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017
-------- -------- -------- -------- ----------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 4,138 $ 3,178 $ 800 $ 466 $ 136
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... 3 (6) (2) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................... (459) 1,032 98 266 (299)
-------- -------- -------- ------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 3,682 4,204 896 732 (163)
-------- -------- -------- ------- -------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (4,115) (3,364) (796) (487) (131)
-------- -------- -------- ------- -------
Total Distributions................................ (4,115) (3,364) (796) (487) (131)
-------- -------- -------- ------- -------
Capital Share Transactions (1):
Shares Issued......................................... 178,513 95,612 47,751 31,273 63,224
Shares Issued in Lieu of Cash Distributions........... 4,051 3,334 796 487 131
Shares Redeemed....................................... (90,722) (40,517) (15,024) (3,409) (1,802)
-------- -------- -------- ------- -------
Net Increase (Decrease) from Capital Share
Transactions...................................... 91,842 58,429 33,523 28,351 61,553
-------- -------- -------- ------- -------
Total Increase (Decrease) in Net Assets............ 91,409 59,269 33,623 28,596 61,259
NET ASSETS
Beginning of Period................................... 255,893 196,624 57,581 28,985 --
-------- -------- -------- ------- -------
End of Period......................................... $347,302 $255,893 $ 91,204 $57,581 $61,259
======== ======== ======== ======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 17,004 8,964 4,685 3,047 6,322
Shares Issued in Lieu of Cash Distributions........... 384 313 78 47 13
Shares Redeemed....................................... (8,657) (3,800) (1,476) (332) (180)
-------- -------- -------- ------- -------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 8,731 5,477 3,287 2,762 6,155
======== ======== ======== ======= =======
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)................................................ $ 78 $ 55 $ 14 $ 10 $ 5
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, and $0,
respectively.
See accompanying Notes to Financial Statements.
197
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA ONE-YEAR FIXED INCOME 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........................... $ 10.31 $ 10.32 $ 10.32 $ 10.33 $ 10.35
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.11 0.07 0.04 0.03 0.04
Net Gains (Losses) on Securities (Realized and Unrealized). (0.02) -- 0.01 -- --
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 0.09 0.07 0.05 0.03 0.04
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.11) (0.07) (0.04) (0.03) (0.04)
Net Realized Gains......................................... -- (0.01) (0.01) (0.01) (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.11) (0.08) (0.05) (0.04) (0.06)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 10.29 $ 10.31 $ 10.32 $ 10.32 $ 10.33
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 0.86% 0.70% 0.44% 0.28% 0.43%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $7,458,011 $6,985,789 $7,306,008 $8,455,559 $8,089,711
Ratio of Expenses to Average Net Assets...................... 0.17% 0.17% 0.17% 0.17% 0.17%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.17% 0.17% 0.17% 0.17% 0.17%
Ratio of Net Investment Income to Average Net Assets......... 1.08% 0.69% 0.38% 0.30% 0.38%
Portfolio Turnover Rate...................................... 86% 64% 81% 72% 62%
--------------------------------------------------------------------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME 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........................... $ 9.99 $ 9.96 $ 10.02 $ 10.06 $ 10.13
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.12 0.08 0.05 0.05 0.05
Net Gains (Losses) on Securities (Realized and Unrealized). (0.03) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 0.09 0.08 0.05 0.05 0.05
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.09) (0.05) (0.10) (0.08) (0.10)
Net Realized Gains......................................... -- -- (0.01) (0.01) (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.09) (0.05) (0.11) (0.09) (0.12)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 9.99 $ 9.99 $ 9.96 $ 10.02 $ 10.06
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 0.95% 0.81% 0.56% 0.51% 0.51%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $5,201,650 $4,724,757 $5,360,173 $6,188,952 $5,552,198
Ratio of Expenses to Average Net Assets...................... 0.17% 0.17% 0.18% 0.17% 0.18%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.17% 0.17% 0.18% 0.17% 0.18%
Ratio of Net Investment Income to Average Net Assets......... 1.21% 0.79% 0.54% 0.51% 0.54%
Portfolio Turnover Rate...................................... 121% 87% 125% 99% 123%
-------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
198
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME 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........................... $ 9.72 $ 9.41 $ 10.00 $ 10.21 $ 10.41
---------- -------- -------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.17 0.17 0.15 0.15 0.17
Net Gains (Losses) on Securities (Realized and Unrealized). (0.08) 0.24 (0.59) (0.22) (0.11)
---------- -------- -------- ---------- --------
Total from Investment Operations.......................... 0.09 0.41 (0.44) (0.07) 0.06
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.15) (0.10) (0.15) (0.12) (0.25)
Net Realized Gains......................................... -- -- -- (0.02) (0.01)
---------- -------- -------- ---------- --------
Total Distributions....................................... (0.15) (0.10) (0.15) (0.14) (0.26)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 9.66 $ 9.72 $ 9.41 $ 10.00 $ 10.21
============================================================= ========== ======== ======== ========== ========
Total Return................................................. 1.00% 4.44% (4.42)% (0.72)% 0.52%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $1,137,725 $988,751 $995,914 $1,099,647 $985,287
Ratio of Expenses to Average Net Assets...................... 0.17% 0.17% 0.17% 0.17% 0.18%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.17% 0.17% 0.17% 0.17% 0.18%
Ratio of Net Investment Income to Average Net Assets......... 1.77% 1.75% 1.55% 1.46% 1.62%
Portfolio Turnover Rate...................................... 52% 54% 56% 48% 99%
----------------------------------------------------------------------------------------------------------------------
DFA FIVE-YEAR GLOBAL FIXED INCOME 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........................... $ 11.16 $ 11.08 $ 11.06 $ 11.14 $ 11.28
----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.18 0.18 0.17 0.15 0.12
Net Gains (Losses) on Securities (Realized and Unrealized). (0.08) 0.10 0.07 0.05 (0.05)
----------- ----------- ----------- ---------- ----------
Total from Investment Operations.......................... 0.10 0.28 0.24 0.20 0.07
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.19) (0.17) (0.20) (0.13) (0.10)
Net Realized Gains......................................... (0.04) (0.03) (0.02) (0.15) (0.11)
----------- ----------- ----------- ---------- ----------
Total Distributions....................................... (0.23) (0.20) (0.22) (0.28) (0.21)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 11.03 $ 11.16 $ 11.08 $ 11.06 $ 11.14
============================================================= =========== =========== =========== ========== ==========
Total Return................................................. 0.95% 2.63% 2.22% 1.90% 0.63%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $14,085,116 $12,597,375 $11,237,965 $9,818,116 $7,851,561
Ratio of Expenses to Average Net Assets...................... 0.27% 0.27% 0.27% 0.27% 0.28%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.27% 0.27% 0.27% 0.27% 0.28%
Ratio of Net Investment Income to Average Net Assets......... 1.66% 1.60% 1.55% 1.34% 1.05%
Portfolio Turnover Rate...................................... 69% 41% 51% 62% 72%
----------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
199
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME 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................................. $ 10.37 $ 10.48 $ 10.81 $ 10.31 $ 10.56
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.10 0.11 0.14 0.19 0.16
Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.02 0.50 0.27 0.60 (0.14)
-------- -------- -------- -------- --------
Total from Investment Operations................................ 0.12 0.61 0.41 0.79 0.02
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................ (0.25) (0.71) (0.69) (0.29) (0.17)
Net Realized Gains............................................... (0.02) (0.01) (0.05) -- (0.10)
-------- -------- -------- -------- --------
Total Distributions............................................. (0.27) (0.72) (0.74) (0.29) (0.27)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year....................................... $ 10.22 $ 10.37 $ 10.48 $ 10.81 $ 10.31
=================================================================== ======== ======== ======== ======== ========
Total Return....................................................... 1.31% 6.26% 3.93% 7.93% 0.23%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................ $933,640 $772,664 $567,118 $355,241 $240,733
Ratio of Expenses to Average Net Assets............................ 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor and Fees Paid Indirectly)................................. 0.21% 0.22% 0.22% 0.22% 0.23%
Ratio of Net Investment Income to Average Net Assets............... 1.04% 1.09% 1.37% 1.81% 1.53%
Portfolio Turnover Rate............................................ 51% 48% 27% 41% 44%
------------------------------------------------------------------------------------------------------------------------
DFA SHORT-TERM GOVERNMENT 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................................. $ 10.75 $ 10.75 $ 10.69 $ 10.70 $ 10.88
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.12 0.11 0.10 0.08 0.08
Net Gains (Losses) on Securities (Realized and Unrealized)....... (0.13) 0.04 0.07 -- (0.08)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations................................ (0.01) 0.15 0.17 0.08 --
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................ (0.12) (0.11) (0.09) (0.07) (0.09)
Net Realized Gains............................................... (0.03) (0.04) (0.02) (0.02) (0.09)
---------- ---------- ---------- ---------- ----------
Total Distributions............................................. (0.15) (0.15) (0.11) (0.09) (0.18)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year....................................... $ 10.59 $ 10.75 $ 10.75 $ 10.69 $ 10.70
=================================================================== ========== ========== ========== ========== ==========
Total Return....................................................... (0.10)% 1.40% 1.65% 0.83% (0.03)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................ $2,221,841 $2,094,510 $2,144,989 $2,061,710 $1,780,576
Ratio of Expenses to Average Net Assets............................ 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor and Fees Paid Indirectly)................................. 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average Net Assets............... 1.17% 1.02% 0.90% 0.75% 0.78%
Portfolio Turnover Rate............................................ 34% 51% 82% 40% 37%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
200
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE GOVERNMENT FIXED INCOME 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................................ $ 12.86 $ 12.67 $ 12.60 $ 12.52 $ 13.13
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.26 0.26 0.27 0.29 0.31
Net Gains (Losses) on Securities (Realized and Unrealized)...... (0.39) 0.24 0.13 0.08 (0.58)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................... (0.13) 0.50 0.40 0.37 (0.27)
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.25) (0.25) (0.27) (0.29) (0.32)
Net Realized Gains.............................................. (0.03) (0.06) (0.06) -- (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions............................................ (0.28) (0.31) (0.33) (0.29) (0.34)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................................... $ 12.45 $ 12.86 $ 12.67 $ 12.60 $ 12.52
================================================================== ========== ========== ========== ========== ==========
Total Return...................................................... (0.93)% 3.95% 3.25% 3.00% (2.09)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................... $4,629,841 $3,811,636 $3,378,949 $4,021,616 $3,665,838
Ratio of Expenses to Average Net Assets........................... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly)................... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets.............. 2.06% 2.01% 2.17% 2.30% 2.45%
Portfolio Turnover Rate........................................... 12% 17% 19% 29% 6%
---------------------------------------------------------------------------------------------------------------------------------
DFA SHORT-TERM EXTENDED QUALITY 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................................ $ 10.90 $ 10.82 $ 10.86 $ 10.86 $ 10.98
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................ 0.20 0.19 0.17 0.16 0.17
Net Gains (Losses) on Securities (Realized and Unrealized)...... (0.07) 0.10 (0.01) -- (0.09)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................... 0.13 0.29 0.16 0.16 0.08
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................... (0.18) (0.19) (0.19) (0.14) (0.18)
Net Realized Gains.............................................. -- (0.02) (0.01) (0.02) (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions............................................ (0.18) (0.21) (0.20) (0.16) (0.20)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................................... $ 10.85 $ 10.90 $ 10.82 $ 10.86 $ 10.86
================================================================== ========== ========== ========== ========== ==========
Total Return...................................................... 1.19% 2.70% 1.48% 1.44% 0.79%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................... $5,559,764 $4,723,470 $3,896,233 $3,822,894 $2,632,084
Ratio of Expenses to Average Net Assets........................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly)................... 0.22% 0.22% 0.22% 0.22% 0.23%
Ratio of Net Investment Income to Average Net Assets.............. 1.85% 1.77% 1.58% 1.45% 1.57%
Portfolio Turnover Rate........................................... 23% 25% 28% 23% 19%
------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
201
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO DFA TARGETED CREDIT PORTFOLIO
---------------------------------------------------------- -----------------------------
PERIOD
YEAR YEAR YEAR YEAR YEAR YEAR YEAR MAY 20,
ENDED ENDED ENDED ENDED ENDED ENDED ENDED 2015(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2017 2016 2015
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................ $ 10.97 $ 10.67 $ 10.80 $ 10.50 $ 11.10 $ 10.08 $ 9.96 $ 10.00
---------- ---------- ---------- ---------- ---------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.33 0.32 0.33 0.33 0.31 0.22 0.21 0.08
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.11) 0.37 (0.04) 0.28 (0.59) (0.03) 0.12 (0.06)
---------- ---------- ---------- ---------- ---------- -------- -------- --------
Total from Investment
Operations................. 0.22 0.69 0.29 0.61 (0.28) 0.19 0.33 0.02
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.32) (0.34) (0.37) (0.31) (0.31) (0.21) (0.21) (0.06)
Net Realized Gains............ (0.02) (0.05) (0.05) -- (0.01) -- -- --
---------- ---------- ---------- ---------- ---------- -------- -------- --------
Total Distributions......... (0.34) (0.39) (0.42) (0.31) (0.32) (0.21) (0.21) (0.06)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 10.85 $ 10.97 $ 10.67 $ 10.80 $ 10.50 $ 10.06 $ 10.08 $ 9.96
============================== ========== ========== ========== ========== ========== ======== ======== ==========
Total Return................... 2.05% 6.61% 2.66% 5.91% (2.62)% 1.94% 3.39% 0.18%(D)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $1,804,891 $1,414,041 $1,068,817 $2,133,894 $1,391,394 $514,588 $356,579 $220,608
Ratio of Expenses to Average
Net Assets.................... 0.22% 0.22% 0.22% 0.22% 0.22% 0.20% 0.20% 0.20%(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)......... 0.22% 0.22% 0.22% 0.22% 0.23% 0.23% 0.24% 0.28%(C)(E)
Ratio of Net Investment
Income to Average Net Assets.. 3.03% 2.99% 3.05% 3.06% 2.88% 2.25% 2.06% 1.81%(C)(E)
Portfolio Turnover Rate........ 18% 28% 30% 23% 10% 41% 21% 2%(D)
---------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
202
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA DIVERSIFIED FIXED
DFA INVESTMENT GRADE PORTFOLIO INCOME PORTFOLIO
------------------------------------------------------------- --------------------
PERIOD
YEAR YEAR YEAR YEAR YEAR YEAR AUG. 10,
ENDED ENDED ENDED ENDED ENDED ENDED 2016(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2017 2016
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................ $ 11.04 $ 10.80 $ 10.76 $ 10.57 $ 10.99 $ 9.92 $ 10.00
---------- ---------- ---------- ---------- ---------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.25 0.24 0.27 0.26 0.25 0.15 0.02
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.16) 0.25 0.02 0.18 (0.42) (0.16) (0.08)
---------- ---------- ---------- ---------- ---------- -------- --------
Total from Investment
Operations................. 0.09 0.49 0.29 0.44 (0.17) (0.01) (0.06)
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.23) (0.22) (0.25) (0.25) (0.24) (0.15) (0.02)
Net Realized Gains............ -- (0.03) -- -- (0.01) -- --
---------- ---------- ---------- ---------- ---------- -------- --------
Total Distributions......... (0.23) (0.25) (0.25) (0.25) (0.25) (0.15) (0.02)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 10.90 $ 11.04 $ 10.80 $ 10.76 $ 10.57 $ 9.76 $ 9.92
============================== ========== ========== ========== ========== ========== ======== ==========
Total Return................... 0.86% 4.62% 2.77% 4.29% (1.58)% (0.05)% (0.64)%(D)
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $8,185,290 $6,193,789 $4,153,194 $2,433,057 $1,442,269 $530,016 $112,561
Ratio of Expenses to Average
Net Assets.................... 0.22% 0.22% 0.22% 0.22%(B) 0.22%(B) 0.15% 0.15%(B)(C)(E)
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)......... 0.22% 0.22% 0.38% 0.40%(B) 0.41%(B) 0.29% 0.45%(B)(C)(E)
Ratio of Net Investment
Income to Average Net Assets.. 2.32% 2.20% 2.49% 2.40%(B) 2.30%(B) 1.56% 0.91%(C)(E)
Portfolio Turnover Rate........ 18% 7% 52% N/A N/A 5% N/A
--------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
203
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA LTIP 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.......................... $ 9.81 $ 8.67 $ 9.50 $ 8.80 $ 11.38
-------- ------- ------ ------ -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.25 0.26 0.05 0.20 0.15
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.50) 1.03 (0.81) 0.86 (2.60)
-------- ------- ------ ------ -------
Total from Investment
Operations................. (0.25) 1.29 (0.76) 1.06 (2.45)
---------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.24) (0.15) (0.07) (0.36) (0.13)
Net Realized Gains............ (0.01) -- -- -- --
-------- ------- ------ ------ -------
Total Distributions......... (0.25) (0.15) (0.07) (0.36) (0.13)
---------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 9.31 $ 9.81 $ 8.67 $ 9.50 $ 8.80
============================= ======== ======== ======== ======== ========
Total Return................... (2.52)% 14.90% (8.04)% 12.22% (21.54)%
---------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $124,591 $63,267 $ 208 $ 995 $ 1,375
Ratio of Expenses to Average
Net Assets.................... 0.15% 0.15% 0.28% 0.40% 0.40%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)......... 0.14% 0.21% 16.22% 3.63% 2.90%
Ratio of Net Investment
Income to Average Net Assets.. 2.75% 2.76% 0.49% 2.29% 1.50%
Portfolio Turnover Rate........ 2% 4% 88% 105% 120%
---------------------------------------------------------------------------------
DFA INFLATION-PROTECTED SECURITIES 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.......................... $ 12.09 $ 11.54 $ 11.75 $ 11.84 $ 13.00
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.25 0.16 0.06 0.22 0.21
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.29) 0.53 (0.17) (0.06) (1.05)
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. (0.04) 0.69 (0.11) 0.16 (0.84)
----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.23) (0.13) (0.07) (0.25) (0.24)
Net Realized Gains............ (0.03) (0.01) (0.03) -- (0.08)
---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.26) (0.14) (0.10) (0.25) (0.32)
----------------------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 11.79 $ 12.09 $ 11.54 $ 11.75 $ 11.84
============================= ========== ========== ========== ========== ==========
Total Return................... (0.26)% 5.96% (0.98)% 1.38% (6.59)%
----------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $4,359,301 $3,514,067 $2,982,898 $2,722,146 $2,592,771
Ratio of Expenses to Average
Net Assets.................... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)......... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment
Income to Average Net Assets.. 2.14% 1.35% 0.54% 1.83% 1.68%
Portfolio Turnover Rate........ 16% 19% 12% 25% 26%
----------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
204
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA SHORT-DURATION REAL RETURN PORTFOLIO DFA MUNICIPAL REAL RETURN PORTFOLIO
-------------------------------------------- -----------------------------
PERIOD PERIOD
YEAR YEAR YEAR NOV. 5, YEAR YEAR NOV. 4,
ENDED ENDED ENDED 2013(A) TO ENDED ENDED 2014(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2017 2016 2015
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................ $ 10.02 $ 9.79 $ 10.00 $ 10.00 $ 9.93 $ 9.72 $ 10.00
---------- -------- -------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.17 0.17 0.14 0.11 0.13 0.12 0.11
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.03) 0.18 (0.26) (0.09) 0.01 0.21 (0.31)
---------- -------- -------- -------- -------- -------- --------
Total from Investment
Operations................. 0.14 0.35 (0.12) 0.02 0.14 0.33 (0.20)
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.14) (0.12) (0.09) (0.02) (0.13) (0.12) (0.08)
Net Realized Gains............ -- -- -- -- -- -- --
---------- -------- -------- -------- -------- -------- --------
Total Distributions......... (0.14) (0.12) (0.09) (0.02) (0.13) (0.12) (0.08)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 10.02 $ 10.02 $ 9.79 $ 10.00 9.94 $ 9.93 $ 9.72
============================== ========== ======== ======== ========== ======== ======== ==========
Total Return................... 1.42% 3.67% (1.14)% 0.20%(D) 1.42% 3.40% (1.98)%(D)
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $1,130,418 $914,956 $784,996 $632,077 $716,821 $473,985 $184,238
Ratio of Expenses to Average
Net Assets.................... 0.24% 0.24% 0.24% 0.24%(C)(E) 0.23% 0.26% 0.27%(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)......... 0.23% 0.23% 0.23% 0.31%(C)(E) 0.24% 0.24% 0.35%(C)(E)
Ratio of Net Investment
Income to Average Net Assets.. 1.72% 1.68% 1.38%(E) 1.12%(C)(E) 1.34% 1.19% 1.12%(C)(E)
Portfolio Turnover Rate........ 35% 62% 30% 138%(D) 4% 0% 0% (D)
------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
205
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)(A)
DFA MUNICIPAL BOND PORTFOLIO DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
----------------------------- ----------------------------------------------------------
PERIOD
YEAR YEAR MARCH 10, YEAR YEAR YEAR YEAR YEAR
ENDED ENDED 2015(A) TO ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................ $ 10.22 $ 10.12 $ 10.00 $ 10.21 $ 10.24 $ 10.23 $ 10.23 $ 10.29
-------- -------- -------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.12 0.12 0.09 0.10 0.09 0.09 0.09 0.10
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.04) 0.10 0.09 (0.03) (0.02) 0.01 -- (0.06)
-------- -------- -------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 0.08 0.22 0.18 0.07 0.07 0.10 0.09 0.04
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.12) (0.12) (0.06) (0.10) (0.10) (0.09) (0.09) (0.10)
Net Realized Gains............ -- -- -- -- -- -- -- --
-------- -------- -------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.12) (0.12) (0.06) (0.10) (0.10) (0.09) (0.09) (0.10)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 10.18 $ 10.22 $ 10.12 $ 10.18 $ 10.21 $ 10.24 $ 10.23 $ 10.23
============================== ======== ======== ========== ========== ========== ========== ========== ==========
Total Return................... 0.76% 2.22% 1.83%(D) 0.67% 0.68% 1.00% 0.87% 0.42%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $351,938 $220,721 $100,315 $2,531,941 $2,103,981 $2,199,837 $2,206,915 $1,780,699
Ratio of Expenses to Average
Net Assets.................... 0.23% 0.23% 0.23%(C)(E) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and
Fees Paid Indirectly)......... 0.24% 0.25% 0.37%(C)(E) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment
Income to Average Net Assets.. 1.17% 1.13% 1.31%(C)(E) 0.96% 0.92% 0.90% 0.88% 0.98%
Portfolio Turnover Rate........ 8% 2% 2%(D) 16% 11% 18% 30% 24%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
206
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE-TERM MUNICIPAL BOND 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...... $ 10.25 $ 10.17 $ 10.10 $ 9.84 $ 10.06
---------- ---------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.14 0.14 0.15 0.17 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.06) 0.09 0.06 0.25 (0.22)
---------- ---------- -------- -------- --------
Total from Investment Operations..... 0.08 0.23 0.21 0.42 (0.09)
------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.14) (0.15) (0.14) (0.16) (0.13)
---------- ---------- -------- -------- --------
Total Distributions.................. (0.14) (0.15) (0.14) (0.16) (0.13)
------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............ $ 10.19 $ 10.25 $ 10.17 $ 10.10 $ 9.84
======================================= ========== ========== ======== ======== ========
Total Return............................ 0.75% 2.23% 2.13% 4.34% (0.91)%
------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..... $1,667,648 $1,264,647 $910,481 $508,722 $269,514
Ratio of Expenses to Average Net Assets. 0.23% 0.23% 0.23% 0.23% 0.23%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees
Paid Indirectly)....................... 0.23% 0.22% 0.23% 0.24% 0.26%
Ratio of Net Investment Income to
Average Net Assets..................... 1.35% 1.34% 1.47% 1.69% 1.36%
Portfolio Turnover Rate................. 4% 3% 1% 4% 0%
------------------------------------------------------------------------------------------------
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND 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...... $ 10.33 $ 10.34 $ 10.33 $ 10.31 $ 10.34
---------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.09 0.09 0.08 0.09 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.02) (0.01) 0.01 0.01 (0.03)
---------- -------- -------- -------- --------
Total from Investment Operations..... 0.07 0.08 0.09 0.10 0.07
--------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.09) (0.09) (0.08) (0.08) (0.10)
---------- -------- -------- -------- --------
Total Distributions.................. (0.09) (0.09) (0.08) (0.08) (0.10)
--------------------------------------------------------------------------------------------
Net Asset Value, End of Year............ $ 10.31 $ 10.33 $ 10.34 $ 10.33 $ 10.31
======================================= ========== ======== ======== ======== ========
Total Return............................ 0.68% 0.79% 0.87% 1.02% 0.70%
--------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..... $1,031,539 $880,209 $825,484 $703,773 $521,090
Ratio of Expenses to Average Net Assets. 0.22% 0.22% 0.22% 0.22% 0.23%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees
Paid Indirectly)....................... 0.22% 0.22% 0.22% 0.22% 0.23%
Ratio of Net Investment Income to
Average Net Assets..................... 0.88% 0.84% 0.78% 0.83% 0.98%
Portfolio Turnover Rate................. 19% 20% 23% 22% 28%
--------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
207
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND 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.... $ 10.62 $ 10.56 $ 10.47 $ 10.16 $ 10.30
-------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.14 0.15 0.17 0.18 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.04) 0.07 0.08 0.30 (0.14)
-------- -------- -------- -------- -------
Total from Investment Operations..... 0.10 0.22 0.25 0.48 0.01
---------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.14) (0.16) (0.16) (0.17) (0.15)
Net Realized Gains..................... -- -- -- -- --
-------- -------- -------- -------- -------
Total Distributions.................. (0.14) (0.16) (0.16) (0.17) (0.15)
---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.58 $ 10.62 $ 10.56 $ 10.47 $ 10.16
======================================= ========== ========== ========== ========== =========
Total Return............................ 0.97% 2.10% 2.46% 4.82% 0.08%
---------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $347,302 $255,893 $196,624 $140,424 $97,199
Ratio of Expenses to Average Net Assets. 0.23% 0.23% 0.23% 0.23% 0.23%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees
Paid Indirectly)....................... 0.23% 0.23% 0.23% 0.24% 0.26%
Ratio of Net Investment Income to
Average Net Assets..................... 1.36% 1.42% 1.59% 1.75% 1.48%
Portfolio Turnover Rate................. 7% 4% 2% 14% 11%
---------------------------------------------------------------------------------------------------
DFA NY MUNICIPAL BOND PORTFOLIO
--------------------------
PERIOD
YEAR YEAR JUNE 16,
ENDED ENDED 2015(A) TO
OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015
--------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 10.25 $ 10.14 $ 10.00
------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.11 0.11 0.05
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.01) 0.12 0.12
------- ------- -------
Total from Investment Operations..... 0.10 0.23 0.17
--------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.11) (0.12) (0.03)
Net Realized Gains..................... -- -- --
------- ------- -------
Total Distributions.................. (0.11) (0.12) (0.03)
--------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.24 $ 10.25 $ 10.14
======================================= ======== ======== ==========
Total Return............................ 0.94% 2.29% 1.75%(D)
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $91,204 $57,581 $28,985
Ratio of Expenses to Average Net Assets. 0.25% 0.25% 0.25%(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)....................... 0.25% 0.34% 0.51%(C)(E)
Ratio of Net Investment Income to
Average Net Assets..................... 1.06% 1.10% 1.25%(C)(E)
Portfolio Turnover Rate................. 15% 1% 0%
--------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
208
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA MN MUNICIPAL BOND PORTFOLIO
-------------------------------
PERIOD
JULY 25,
2017(A) TO
OCT. 31,
2017
------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 10.00
-------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.02
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.05)
-------
Total from Investment Operations..... (0.03)
------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.02)
Net Realized Gains..................... --
-------
Total Distributions.................. (0.02)
------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 9.95
======================================= ===============================
Total Return............................ (0.28)%(D)
------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $61,259
Ratio of Expenses to Average Net Assets. 0.24%(C)(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)............. 0.37%(C)(E)
Ratio of Net Investment Income to
Average Net Assets..................... 0.96%(C)(E)
Portfolio Turnover Rate................. 0%(D)
------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
209
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 twenty-three (the "Portfolios") are included
in this report. The remaining operational portfolios are presented in separate
reports. The Portfolios are investment companies, and accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
The DFA Diversified Fixed Income Portfolio achieves its investment objective
by primarily investing in other series of the Fund (collectively, the
"Underlying Funds"). 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 Underlying Funds as detailed below:
PERCENTAGE
OWNERSHIP
FUND OF FUNDS UNDERLYING FUNDS AT 10/31/17
------------- ---------------- -----------
DFA Diversified Fixed Income Portfolio DFA Two-Year Global Fixed Income Portfolio 3%
DFA Intermediate Government Fixed Income Portfolio 6%
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by 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 securities are generally categorized as Level 2 in the
hierarchy.
210
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. Swap
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.
Shares held by the Portfolios in other investment companies (such as the
Underlying Funds shares held by the DFA Diversified Fixed Income Portfolio) are
valued at their respective daily net asset values as reported by their
administrator.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments. 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 DFA Two-Year Global Fixed Income Portfolio, DFA Selectively
Hedged Global Fixed Income Portfolio, DFA Five-Year Global Fixed Income
Portfolio, DFA World ex U.S. Government Fixed Income Portfolio, DFA Short-Term
Extended Quality Portfolio, DFA Intermediate-Term Extended Quality Portfolio,
DFA Targeted Credit Portfolio (the "International Fixed Income Portfolios"),
DFA Investment Grade Portfolio, DFA Diversified Fixed Income Portfolio and DFA
Short-Duration Real Return Portfolio 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
Fixed Income Portfolios enter into forward currency contracts for the purpose
of hedging against fluctuations in currency exchange rates or to transfer
balances from one currency to another. DFA Selectively Hedged Global Fixed
Income Portfolio may hedge the currency exposure of its foreign securities or
leave some or all of the currency exposure unhedged. Forward currency contracts
are marked-to-market daily based on daily forward exchange rates.
The International Fixed Income Portfolios, DFA Investment Grade Portfolio,
DFA Diversified Fixed Income Portfolio and DFA Short-Duration Real Return
Portfolio 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 Fixed Income Portfolios, DFA Investment Grade Portfolio, DFA
Diversified Fixed Income Portfolio and DFA Short-Duration Real Return Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. TREASURY INFLATION-PROTECTED SECURITIES (TIPS): Inflation-protected
securities (also known as inflation-indexed securities) are securities whose
principal and/or interest payments are adjusted for inflation, unlike
conventional debt securities that make fixed principal and interest payments.
Inflation-protected securities include Treasury Inflation-Protected Securities
("TIPS"), which are securities issued by the U.S. Treasury. The principal value
of TIPS is adjusted for inflation (payable at maturity) and the semi-annual
interest payments by TIPS equal a fixed percentage of the inflation-adjusted
principal amount. These inflation adjustments are based upon the Consumer Price
Index for Urban Consumers (CPI-U). The original principal value of TIPS is
guaranteed, even during period of deflation. At maturity, TIPS are redeemed at
the greater of their inflation-adjusted principal or par
211
amount at original issue. Other types of inflation-protected securities may use
other methods to adjust for inflation and other measures of inflation. In
addition, inflation-protected securities issued by entities other than the U.S.
Treasury may not provide a guarantee of principal value at maturity.
4. 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.
5. 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 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.
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.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the 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:
DFA One-Year Fixed Income Portfolio........ 0.15%
DFA Two-Year Global Fixed Income Portfolio. 0.15%
212
DFA Selectively Hedged Global Fixed Income Portfolio...... 0.15%
DFA Five-Year Global Fixed Income Portfolio............... 0.25%
DFA World ex U.S. Government Fixed Income Portfolio....... 0.18%
DFA Short-Term Government Portfolio....................... 0.17%
DFA Intermediate Government Fixed Income Portfolio........ 0.10%
DFA Short-Term Extended Quality Portfolio................. 0.20%
DFA Intermediate-Term Extended Quality Portfolio.......... 0.20%
DFA Targeted Credit Portfolio............................. 0.19%
DFA Investment Grade Portfolio............................ 0.20%
DFA Diversified Fixed Income Portfolio.................... 0.12%
DFA LTIP Portfolio........................................ 0.10%
DFA Inflation-Protected Securities Portfolio.............. 0.10%
DFA Short-Duration Real Return Portfolio.................. 0.20%
DFA Municipal Real Return Portfolio....................... 0.20%
DFA Municipal Bond Portfolio.............................. 0.20%
DFA Short-Term Municipal Bond Portfolio................... 0.20%
DFA Intermediate-Term Municipal Bond Portfolio............ 0.20%
DFA California Short-Term Municipal Bond Portfolio........ 0.20%
DFA California Intermediate-Term Municipal Bond Portfolio. 0.20%
DFA NY Municipal Bond Portfolio........................... 0.20%
DFA MN Municipal Bond Portfolio........................... 0.25%
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
Portfolios will remain in effect through February 28, 2018 (and February 28,
2019 with respect to the DFA MN Municipal Bond Portfolio), and may only be
terminated by the Fund's Board of Directors prior to that date. The Fee Waiver
Agreement shall continue in effect from year to year thereafter unless
terminated by the Fund or the Advisor. 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 Portfolios,
is not obligated to reimburse the Advisor for fees previously waived or
expenses previously assumed by the Advisor more than thirty-six months before
the date of recovery.
NET WAIVED FEES/
PREVIOUSLY EXPENSES ASSUMED
RECOVERY WAIVED FEES/ (RECOVERED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED PREVIOUSLY WAIVED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE FEES/EXPENSES
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY ASSUMED)
-------------------------- ---------- ---------------- ----------------- -----------------
DFA Selectively Hedged Global
Fixed Income Portfolio (1).... 0.25% -- -- --
DFA World ex U.S. Government
Fixed Income Portfolio (1).... 0.20% $ 5 $ 305 $ 69
DFA Short-Term Government
Portfolio (2)................. 0.20% -- -- --
DFA Short-Term Extended Quality
Portfolio (1)................. 0.22% 44 605 245
DFA Intermediate-Term Extended
Quality Portfolio (1)......... 0.22% 19 284 38
DFA Targeted Credit
Portfolio (1)................. 0.20% 1 295 115
DFA Investment Grade
Portfolio (3)................. 0.22% 105 5,810 250
213
NET WAIVED FEES/
PREVIOUSLY EXPENSES ASSUMED
RECOVERY WAIVED FEES/ (RECOVERED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED PREVIOUSLY WAIVED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE FEES/EXPENSES
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY ASSUMED)
-------------------------- ---------- ---------------- ----------------- -----------------
DFA Diversified Fixed Income
Portfolio (4).................... 0.15% -- $520 $478
DFA LTIP Portfolio (1)............. 0.15% $ 7 54 (5)
DFA Inflation-Protected Securities
Portfolio (1).................... 0.20% -- -- --
DFA Short-Duration Real Return
Portfolio (5).................... 0.24% 113 20 (96)
DFA Municipal Real Return
Portfolio (1).................... 0.27% -- -- --
DFA Municipal Bond
Portfolio (1).................... 0.23% 3 113 22
DFA Short-Term Municipal Bond
Portfolio (2).................... 0.30% -- -- --
DFA Intermediate-Term Municipal
Bond Portfolio (1)............... 0.23% 82 23 (52)
DFA California Short-Term
Municipal Bond Portfolio (1)..... 0.30% -- -- --
DFA California Intermediate-Term
Municipal Bond Portfolio (1)..... 0.23% 20 10 (13)
DFA NY Municipal Bond
Portfolio (1).................... 0.25% 2 64 2
DFA MN Municipal Bond
Portfolio (1).................... 0.32% -- 20 20
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of each of
the Portfolios listed above (excluding the expenses that the Portfolio incurs
indirectly through its investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a class
of each Portfolio, on an annualized basis, to the rates listed above as a
percentage of a class of the respective Portfolio's average net assets (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of the Portfolio are less than the Expense Limitation Amount for such
class of shares of the Portfolio, the Advisor retains the right to recover any
fees previously waived and/or expenses previously assumed to the extent that
such recovery will not cause the annualized Portfolio Expenses for such class
of shares of the Portfolio to exceed the applicable Expense Limitation Amount.
(2) 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 its investment in other
investment companies) ("Portfolio Expenses") of a class of each of the
Portfolios listed above so that such Portfolio Expenses, on an annualized
basis, do not exceed the rate reflected above for a class of each such
Portfolio (the "Expense Limitation Amount"). At any time that the Portfolio
Expenses of a class of the Portfolio are less than the Expense Limitation
Amount for a class of the Portfolio, the Advisor retains the right to recover
any fees previously waived to the extent that such recovery will not cause the
annualized Portfolio Expenses for such class of shares of the Portfolio to
exceed the Expense Limitation Amount.
(3) The Advisor has 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 other funds managed by the Advisor
but excluding the expenses that the Portfolio incurs indirectly through
investment of its securities lending cash collateral in The DFA Short Term
Investment Fund (the "Money Market Series") and its investment in unaffiliated
investment companies) ("Portfolio Expenses") to the extent necessary to limit
Portfolio Expenses of a class of the Portfolio, on an annualized basis, to the
rate listed above as a percentage of the average net assets of a class of the
Portfolio (the "Expense Limitation Amount"). At any time that the Portfolio
Expenses are less than the
214
Expense Limitation Amount of a 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.
(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 are less than the Expense Limitation Amount of a
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.
(5) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's management fee to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through its
investment in other funds managed by the Advisor, except for the fees paid
through its investment of securities lending cash collateral in the Money
Market Series (the "Underlying Funds"). In addition, under the Fee Waiver
Agreement, the Advisor has also agreed to waive all or a portion of the
management fee and to assume the ordinary operating expenses of a class of the
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in the Money Market Series and its investment in unaffiliated
investment companies) ("Portfolio Expenses") to the extent necessary to limit
the Portfolio Expenses of a class of the Portfolio to the rate listed above as
a percentage of the average net assets of a class of the Portfolio on an
annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio's annualized Portfolio Expenses are less than the Portfolio's Expense
Limitation Amount, described above, 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 of a class
of the Portfolio to exceed the Expense Limitation Amount.
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
----------
DFA Two-Year Global Fixed Income Portfolio................ $174
DFA Selectively Hedged Global Fixed Income Portfolio...... 24
DFA Five-Year Global Fixed Income Portfolio............... 346
DFA World ex U.S. Government Fixed Income Portfolio....... 66
DFA Short-Term Extended Quality Portfolio................. 76
DFA Targeted Credit Portfolio............................. 2
DFA Municipal Real Return Portfolio....................... 22
DFA Municipal Bond Portfolio.............................. 7
DFA Short-Term Municipal Bond Portfolio................... 43
DFA Intermediate-Term Municipal Bond Portfolio............ 33
DFA California Short-Term Municipal Bond Portfolio........ 18
DFA California Intermediate-Term Municipal Bond Portfolio. 7
DFA NY Municipal Bond Portfolio........................... 3
215
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 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 One-Year Fixed Income Portfolio....................... $406
DFA Two-Year Global Fixed Income Portfolio................ 326
DFA Selectively Hedged Global Fixed Income Portfolio...... 31
DFA Five-Year Global Fixed Income Portfolio............... 331
DFA World ex U.S. Government Fixed Income Portfolio....... 10
DFA Short-Term Government Portfolio....................... 79
DFA Intermediate Government Fixed Income Portfolio........ 131
DFA Short-Term Extended Quality Portfolio................. 91
DFA Intermediate-Term Extended Quality Portfolio.......... 30
DFA Targeted Credit Portfolio............................. 3
DFA Investment Grade Portfolio............................ 78
DFA Diversified Fixed Income Portfolio.................... 2
DFA LTIP Portfolio........................................ 1
DFA Inflation-Protected Securities Portfolio.............. 91
DFA Short-Duration Real Return Portfolio.................. 11
DFA Municipal Real Return Portfolio....................... 5
DFA Municipal Bond Portfolio.............................. 2
DFA Short-Term Municipal Bond Portfolio................... 83
DFA Intermediate-Term Municipal Bond Portfolio............ 16
DFA California Short-Term Municipal Bond Portfolio........ 22
DFA California Intermediate-Term Municipal Bond Portfolio. 4
DFA NY Municipal Bond Portfolio........................... 1
DFA MN Municipal Bond Portfolio........................... --
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2017, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
--------------------- ----------------------
PURCHASES SALES PURCHASES SALES
---------- ---------- ----------- ----------
DFA One-Year Fixed Income Portfolio.................. $1,565,673 $1,474,236 $ 4,378,683 $4,040,881
DFA Two-Year Global Fixed Income Portfolio........... 1,241,808 1,550,662 5,232,131 4,384,372
DFA Selectively Hedged Global Fixed Income Portfolio. 260,679 289,931 446,870 261,923
DFA Five-Year Global Fixed Income Portfolio.......... 38,272 219,853 10,514,628 8,827,585
DFA World ex U.S. Government Fixed Income
Portfolio.......................................... 32,810 63,112 518,750 356,079
DFA Short-Term Government Portfolio.................. 894,474 729,238 -- --
DFA Intermediate Government Fixed Income Portfolio... 1,479,859 498,147 -- --
DFA Short-Term Extended Quality Portfolio............ 48,519 115,675 2,014,592 1,042,267
DFA Intermediate-Term Extended Quality Portfolio..... 33,235 31,050 655,649 250,859
216
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------- -------------------
PURCHASES SALES PURCHASES SALES
---------- -------- ---------- --------
DFA Targeted Credit Portfolio............................. $ 3,985 $ 4,010 $ 336,538 $175,102
DFA Investment Grade Portfolio............................ 1,755,352 313,828 1,639,987 973,864
DFA Diversified Fixed Income Portfolio.................... 101,427 18,633 336,392 --
DFA LTIP Portfolio........................................ 65,417 1,598 -- --
DFA Inflation-Protected Securities Portfolio.............. 1,518,538 645,776 -- --
DFA Short-Duration Real Return Portfolio.................. 108,803 132,447 461,462 220,238
DFA Municipal Real Return Portfolio....................... -- -- 294,243 26,188
DFA Municipal Bond Portfolio.............................. -- -- 167,559 22,649
DFA Short-Term Municipal Bond Portfolio................... -- -- 665,437 344,707
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- 491,424 52,218
DFA California Short-Term Municipal Bond Portfolio........ -- -- 369,056 170,675
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- 118,355 19,625
DFA NY Municipal Bond Portfolio........................... -- -- 47,938 10,446
DFA MN Municipal Bond Portfolio........................... -- -- 58,781 215
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 ONE-YEAR FIXED
INCOME PORTFOLIO
DFA Short Term Investment
Fund...................... $59,734 $ 816,560 $ 775,715 $ (5) $(10) $100,564 8,691 $1,065
------- ---------- ---------- ---- ---- -------- ----- ------
TOTAL...................... $59,734 $ 816,560 $ 775,715 $ (5) $(10) $100,564 8,691 $1,065
======= ========== ========== ==== ==== ======== ===== ======
DFA TWO-YEAR GLOBAL FIXED
INCOME PORTFOLIO
DFA Short Term Investment
Fund...................... $85,955 $1,294,747 $1,353,671 $ 10 $(11) $ 27,030 2,336 $ 610
------- ---------- ---------- ---- ---- -------- ----- ------
TOTAL...................... $85,955 $1,294,747 $1,353,671 $ 10 $(11) $ 27,030 2,336 $ 610
======= ========== ========== ==== ==== ======== ===== ======
DFA SELECTIVELY HEDGED
GLOBAL FIXED INCOME
PORTFOLIO
DFA Short Term Investment
Fund...................... $ 7,480 $1,125,376 $1,132,855 $ -- $ -- $ 1 -- $ 406
------- ---------- ---------- ---- ---- -------- ----- ------
TOTAL...................... $ 7,480 $1,125,376 $1,132,855 $ -- $ -- $ 1 -- $ 406
======= ========== ========== ==== ==== ======== ===== ======
DFA FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
DFA Short Term Investment
Fund...................... $59,265 $ 830,606 $ 812,465 $(14) $(11) $ 77,381 6,687 $ 935
------- ---------- ---------- ---- ---- -------- ----- ------
TOTAL...................... $59,265 $ 830,606 $ 812,465 $(14) $(11) $ 77,381 6,687 $ 935
======= ========== ========== ==== ==== ======== ===== ======
DFA SHORT-TERM EXTENDED
QUALITY PORTFOLIO
DFA Short Term Investment
Fund...................... $95,087 $ 370,621 $ 444,467 $ 13 $(12) $ 21,242 1,836 $ 575
------- ---------- ---------- ---- ---- -------- ----- ------
TOTAL...................... $95,087 $ 370,621 $ 444,467 $ 13 $(12) $ 21,242 1,836 $ 575
======= ========== ========== ==== ==== ======== ===== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
- -------------
DFA ONE-YEAR FIXED
INCOME PORTFOLIO
DFA Short Term Investment
Fund...................... --
--
TOTAL...................... --
==
DFA TWO-YEAR GLOBAL FIXED
INCOME PORTFOLIO
DFA Short Term Investment
Fund...................... --
--
TOTAL...................... --
==
DFA SELECTIVELY HEDGED
GLOBAL FIXED INCOME
PORTFOLIO
DFA Short Term Investment
Fund...................... --
--
TOTAL...................... --
==
DFA FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
DFA Short Term Investment
Fund...................... --
--
TOTAL...................... --
==
DFA SHORT-TERM EXTENDED
QUALITY PORTFOLIO
DFA Short Term Investment
Fund...................... --
--
TOTAL...................... --
==
217
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 INTERMEDIATE-TERM
EXTENDED QUALITY
PORTFOLIO
DFA Short Term Investment
Fund..................... $ 34,834 $ 459,337 $ 438,684 $(2) $ (8) $ 55,477 4,795 $ 730
-------- ---------- ---------- --- ------- -------- ------ ------
TOTAL..................... $ 34,834 $ 459,337 $ 438,684 $(2) $ (8) $ 55,477 4,795 $ 730
======== ========== ========== === ======= ======== ====== ======
DFA TARGETED CREDIT
PORTFOLIO
DFA Short Term Investment
Fund..................... $ 4,305 $ 53,180 $ 50,148 -- $ (1) $ 7,336 634 $ 113
-------- ---------- ---------- --- ------- -------- ------ ------
TOTAL..................... $ 4,305 $ 53,180 $ 50,148 -- $ (1) $ 7,336 634 $ 113
======== ========== ========== === ======= ======== ====== ======
DFA INVESTMENT GRADE
PORTFOLIO
DFA Short Term Investment
Fund..................... $233,173 $7,056,977 $6,970,439 $ 4 $ (43) $319,672 27,627 $6,199
-------- ---------- ---------- --- ------- -------- ------ ------
TOTAL..................... $233,173 $7,056,977 $6,970,439 $ 4 $ (43) $319,672 27,627 $6,199
======== ========== ========== === ======= ======== ====== ======
DFA DIVERSIFIED FIXED
INCOME PORTFOLIO
Investment in DFA
Intermediate Government
Fixed Income Portfolio... $ 54,746 $ 210,898 -- -- $(1,909) $263,735 21,184 $3,443
DFA Two-Year Global Fixed
Income Portfolio......... 32,806 125,494 -- -- 323 158,623 15,878 838
-------- ---------- ---------- --- ------- -------- ------ ------
TOTAL..................... $ 87,552 $ 336,392 -- -- $(1,586) $422,358 37,062 $4,281
======== ========== ========== === ======= ======== ====== ======
DFA SHORT-DURATION REAL
RETURN PORTFOLIO
DFA Short Term Investment
Fund..................... $ 54,382 $ 205,124 $ 230,630 $ 7 $ (9) $ 28,874 2,495 $ 454
-------- ---------- ---------- --- ------- -------- ------ ------
TOTAL..................... $ 54,382 $ 205,124 $ 230,630 $ 7 $ (9) $ 28,874 2,495 $ 454
======== ========== ========== === ======= ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
- -------------
DFA INTERMEDIATE-TERM
EXTENDED QUALITY
PORTFOLIO
DFA Short Term Investment
Fund..................... --
----
TOTAL..................... --
====
DFA TARGETED CREDIT
PORTFOLIO
DFA Short Term Investment
Fund..................... --
----
TOTAL..................... --
====
DFA INVESTMENT GRADE
PORTFOLIO
DFA Short Term Investment
Fund..................... --
----
TOTAL..................... --
====
DFA DIVERSIFIED FIXED
INCOME PORTFOLIO
Investment in DFA
Intermediate Government
Fixed Income Portfolio... $215
DFA Two-Year Global Fixed
Income Portfolio......... --
----
TOTAL..................... $215
====
DFA SHORT-DURATION REAL
RETURN 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 net foreign
currency gains/losses, non-deductible expenses, expiration of capital loss
carryovers,
218
distribution redesignations and short term distributions from underlying RICs
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 One-Year Fixed Income Portfolio.................. $ 2,052 $ (2,053) $ 1
DFA Two-Year Global Fixed Income Portfolio........... 766 (18,714) 17,948
DFA Selectively Hedged Global Fixed Income Portfolio. 569 (2,970) 2,401
DFA Five-Year Global Fixed Income Portfolio.......... 6,178 (35,494) 29,316
DFA World ex U.S. Government Fixed Income Portfolio.. (30,455) (13,047) 43,502
DFA Short-Term Government Portfolio.................. 562 (564) 2
DFA Intermediate Government Fixed Income Portfolio... 1,270 (1,200) (70)
DFA Short-Term Extended Quality Portfolio............ 1,443 (6,424) 4,981
DFA Intermediate-Term Extended Quality Portfolio..... 764 (682) (82)
DFA Targeted Credit Portfolio........................ 214 (591) 377
DFA Investment Grade Portfolio....................... 2,443 (7,206) 4,763
DFA Diversified Fixed Income Portfolio............... 78 (10) (68)
DFA LTIP Portfolio................................... 26 (76) 50
DFA Inflation-Protected Securities Portfolio......... 1,105 (1,107) 2
DFA Short-Duration Real Return Portfolio............. -- (2,461) 2,461
DFA Municipal Real Return Portfolio.................. -- -- --
DFA Municipal Bond Portfolio......................... -- -- --
DFA Short-Term Municipal Bond Portfolio.............. -- -- --
DFA Intermediate-Term Municipal Bond Portfolio....... -- -- --
DFA California Short-Term Municipal Bond Portfolio... -- -- --
DFA California Intermediate-Term Municipal Bond
Portfolio.......................................... -- -- --
DFA NY Municipal Bond Portfolio...................... -- -- --
DFA MN Municipal Bond Portfolio...................... -- -- --
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 TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
DFA One-Year Fixed Income Portfolio
2016................................................. $ 55,296 $ 2,550 -- $ 57,846
2017................................................. 75,758 403 -- 76,161
DFA Two-Year Global Fixed Income Portfolio
2016................................................. 24,459 -- -- 24,459
2017................................................. 46,352 -- -- 46,352
DFA Selectively Hedged Global Fixed Income Portfolio
2016................................................. 10,482 -- -- 10,482
2017................................................. 16,079 -- -- 16,079
DFA Five-Year Global Fixed Income Portfolio
2016................................................. 186,372 30,555 -- 216,927
2017................................................. 225,389 42,519 -- 267,908
DFA World ex U.S. Government Fixed Income Portfolio
2016................................................. 37,065 629 -- 37,694
2017................................................. 19,427 550 -- 19,977
DFA Short-Term Government Portfolio
2016................................................. 24,266 5,104 -- 29,370
2017................................................. 25,111 4,717 -- 29,828
219
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
DFA Intermediate Government Fixed Income Portfolio
2016...................................................... $ 68,307 $14,801 -- $ 83,108
2017...................................................... 88,513 6,710 -- 95,223
DFA Short-Term Extended Quality Portfolio
2016...................................................... 75,753 5,231 -- 80,984
2017...................................................... 84,613 4 -- 84,617
DFA Intermediate-Term Extended Quality Portfolio
2016...................................................... 38,250 5,135 -- 43,385
2017...................................................... 46,757 2,020 -- 48,777
DFA Targeted Credit Portfolio
2016...................................................... 6,004 -- -- 6,004
2017...................................................... 9,264 -- -- 9,264
DFA Investment Grade Portfolio
2016...................................................... 101,641 13,535 -- 115,176
2017...................................................... 150,794 -- -- 150,794
DFA Diversified Fixed Income Portfolio
2016...................................................... 110 -- -- 110
2017...................................................... 5,141 -- -- 5,141
DFA LTIP Portfolio
2016...................................................... 786 -- -- 786
2017...................................................... 2,415 -- -- 2,415
DFA Inflation-Protected Securities Portfolio
2016...................................................... 36,066 2,828 -- 38,894
2017...................................................... 78,014 8,864 -- 86,878
DFA Short-Duration Real Return Portfolio
2016...................................................... 9,645 -- -- 9,645
2017...................................................... 13,087 -- -- 13,087
DFA Municipal Real Return Portfolio
2016...................................................... -- -- $ 4,131 4,131
2017...................................................... -- -- 8,396 8,396
DFA Municipal Bond Portfolio
2016...................................................... -- -- 1,922 1,922
2017...................................................... -- -- 3,378 3,378
DFA Short-Term Municipal Bond Portfolio
2016...................................................... -- -- 21,005 21,005
2017...................................................... -- -- 22,189 22,189
DFA Intermediate-Term Municipal Bond Portfolio
2016...................................................... -- -- 15,739 15,739
2017...................................................... -- -- 20,181 20,181
DFA California Short-Term Municipal Bond Portfolio
2016...................................................... -- -- 7,440 7,440
2017...................................................... -- -- 8,471 8,471
DFA California Intermediate-Term Municipal Bond Portfolio
2016...................................................... -- -- 3,364 3,364
2017...................................................... -- -- 4,115 4,115
DFA NY Municipal Bond Portfolio
2016...................................................... -- -- 487 487
2017...................................................... -- -- 796 796
DFA MN Municipal Bond Portfolio
2017...................................................... -- -- 131 131
220
The DFA MN Municipal Bond Portfolio commenced operations on July 25, 2017,
and did not pay any distributions for the year ended October 31, 2016.
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 One-Year Fixed Income Portfolio....................... $(2,052) -- $(2,052)
DFA Two-Year Global Fixed Income Portfolio................ (766) -- (766)
DFA Selectively Hedged Global Fixed Income Portfolio...... (569) -- (569)
DFA Five-Year Global Fixed Income Portfolio............... (5,964) $(214) (6,178)
DFA World ex U.S. Government Fixed Income Portfolio....... -- -- --
DFA Short-Term Government Portfolio....................... (562) -- (562)
DFA Intermediate Government Fixed Income Portfolio........ (1,200) (70) (1,270)
DFA Short-Term Extended Quality Portfolio................. (1,386) (57) (1,443)
DFA Intermediate-Term Extended Quality Portfolio.......... (681) (83) (764)
DFA Targeted Credit Portfolio............................. (196) (18) (214)
DFA Investment Grade Portfolio............................ (2,443) -- (2,443)
DFA Diversified Fixed Income Portfolio.................... (77) (1) (78)
DFA LTIP Portfolio........................................ (26) -- (26)
DFA Inflation-Protected Securities Portfolio.............. (1,105) -- (1,105)
DFA Short-Duration Real Return Portfolio.................. -- -- --
DFA Municipal Real Return Portfolio....................... -- -- --
DFA Municipal Bond Portfolio.............................. -- -- --
DFA Short-Term Municipal Bond Portfolio................... -- -- --
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- --
DFA California Short-Term Municipal Bond Portfolio........ -- -- --
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- --
DFA NY Municipal Bond Portfolio........................... -- -- --
DFA MN Municipal Bond Portfolio........................... -- -- --
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 One-Year Fixed Income
Portfolio......................... $ 398 -- $ (3,162) $(10,506) $(13,270)
DFA Two-Year Global Fixed Income
Portfolio......................... 35,430 -- (7,424) (16,527) 11,479
DFA Selectively Hedged Global Fixed
Income Portfolio.................. 16,780 -- (78,906) (495) (62,621)
DFA Five-Year Global Fixed Income
Portfolio......................... 115,063 $9,217 -- (24,212) 100,068
DFA World ex U.S. Government Fixed
Income Portfolio.................. -- -- (171) 26,484 26,313
DFA Short-Term Government
Portfolio......................... 2,637 -- (294) (17,066) (14,723)
DFA Intermediate Government Fixed
Income Portfolio.................. 9,396 4,998 -- (12,172) 2,222
221
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 Short-Term Extended Quality
Portfolio.......................... $14,683 $4,054 -- $ 1,180 $19,917
DFA Intermediate-Term Extended
Quality Portfolio.................. 479 5,639 -- 12,162 18,280
DFA Targeted Credit Portfolio........ 1,558 906 -- 543 3,007
DFA Investment Grade Portfolio....... 27,512 -- $ (2,725) 30,614 55,401
DFA Diversified Fixed Income
Portfolio.......................... 254 98 -- (2,426) (2,074)
DFA LTIP Portfolio................... 359 -- (387) 2,029 2,001
DFA Inflation-Protected Securities
Portfolio.......................... 11,501 -- (980) 54,202 64,723
DFA Short-Duration Real Return
Portfolio.......................... 16,201 -- (16,329) 3,680 3,552
DFA Municipal Real Return Portfolio.. 163 -- (2,664) 10,882 8,381
DFA Municipal Bond Portfolio......... 69 -- (28) 1,661 1,702
DFA Short-Term Municipal Bond
Portfolio.......................... 418 -- (106) 6,385 6,697
DFA Intermediate-Term Municipal Bond
Portfolio.......................... 395 -- (104) 18,855 19,146
DFA California Short-Term Municipal
Bond Portfolio..................... 134 -- (23) 4,398 4,509
DFA California Intermediate-Term
Municipal Bond Portfolio........... 82 -- (8) 5,238 5,312
DFA NY Municipal Bond Portfolio...... 15 -- (1) 705 719
DFA MN Municipal Bond Portfolio...... 5 -- -- (299) (294)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 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 UNLIMITED TOTAL
---- ---- --------- -------
DFA One-Year Fixed Income Portfolio.................. -- -- $ 3,162 $ 3,162
DFA Two-Year Global Fixed Income Portfolio........... -- -- 7,424 7,424
DFA Selectively Hedged Global Fixed Income Portfolio. -- -- 78,906 78,906
DFA Five-Year Global Fixed Income Portfolio.......... -- -- -- --
DFA World ex U.S. Government Fixed Income Portfolio.. -- -- 171 171
DFA Short-Term Government Portfolio.................. -- -- 294 294
DFA Intermediate Government Fixed Income Portfolio... -- -- -- --
DFA Short-Term Extended Quality Portfolio............ -- -- -- --
DFA Intermediate-Term Extended Quality Portfolio..... -- -- -- --
DFA Targeted Credit Portfolio........................ -- -- -- --
DFA Investment Grade Portfolio....................... -- -- 2,725 2,725
DFA Diversified Fixed Income Portfolio............... -- -- -- --
DFA LTIP Portfolio................................... -- -- 387 387
222
2018 2019 UNLIMITED TOTAL
---- ---- --------- -------
DFA Inflation-Protected Securities Portfolio.............. -- -- $ 980 $ 980
DFA Short-Duration Real Return Portfolio.................. -- -- 16,329 16,329
DFA Municipal Real Return Portfolio....................... -- -- 2,664 2,664
DFA Municipal Bond Portfolio.............................. -- -- 28 28
DFA Short-Term Municipal Bond Portfolio................... -- $ 3 103 106
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- 104 104
DFA California Short-Term Municipal Bond Portfolio........ $ 1 3 19 23
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- 8 8
DFA NY Municipal Bond Portfolio........................... -- -- 1 1
DFA MN Municipal Bond 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 Short-Term Extended Quality Portfolio................. $ 612
DFA Targeted Credit Portfolio............................. 121
DFA Investment Grade Portfolio............................ 4,492
DFA California Intermediate-Term Municipal Bond Portfolio. 2
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 One-Year Fixed Income Portfolio................ $ 7,563,022 $ 1,049 $ (11,555) $(10,506)
DFA Two-Year Global Fixed Income Portfolio......... 5,210,913 31,659 (48,186) (16,527)
DFA Selectively Hedged Global Fixed Income
Portfolio........................................ 1,114,644 8,729 (9,225) (496)
DFA Five-Year Global Fixed Income Portfolio........ 14,009,169 123,760 (147,972) (24,212)
DFA World ex U.S. Government Fixed Income
Portfolio........................................ 890,068 23,243 (7,036) 16,207
DFA Short-Term Government Portfolio................ 2,227,102 381 (17,448) (17,067)
DFA Intermediate Government Fixed Income Portfolio. 4,596,856 32,200 (44,371) (12,171)
DFA Short-Term Extended Quality Portfolio.......... 5,538,268 22,341 (21,161) 1,180
DFA Intermediate-Term Extended Quality Portfolio... 1,827,166 21,225 (9,062) 12,163
DFA Targeted Credit Portfolio...................... 513,981 2,738 (2,196) 542
DFA Investment Grade Portfolio..................... 8,381,276 74,905 (44,291) 30,614
DFA Diversified Fixed Income Portfolio............. 533,822 369 (2,795) (2,426)
DFA LTIP Portfolio................................. 121,421 2,682 (654) 2,028
DFA Inflation-Protected Securities Portfolio....... 4,294,632 69,332 (15,130) 54,202
DFA Short-Duration Real Return Portfolio........... 1,142,679 16,097 (12,417) 3,680
DFA Municipal Real Return Portfolio................ 703,209 15,096 (4,214) 10,882
DFA Municipal Bond Portfolio....................... 343,066 2,384 (723) 1,661
DFA Short-Term Municipal Bond Portfolio............ 2,484,988 7,674 (1,290) 6,384
DFA Intermediate-Term Municipal Bond Portfolio..... 1,623,528 22,475 (3,620) 18,855
DFA California Short-Term Municipal Bond Portfolio. 1,010,108 5,090 (692) 4,398
DFA California Intermediate-Term Municipal Bond
Portfolio........................................ 337,432 5,785 (547) 5,238
DFA NY Municipal Bond Portfolio.................... 89,151 763 (58) 705
DFA MN Municipal Bond Portfolio.................... 60,314 25 (324) (299)
223
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. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
2. INFLATION PROTECTION RISKS: Because the interest and/or principal
payments on an inflation-protected security are adjusted periodically for
changes in inflation, the income distributed by the DFA Diversified Fixed
Income Portfolio, DFA LTIP Portfolio, DFA Inflation-Protected Securities
Portfolio, DFA Short-Duration Real Return Portfolio and DFA Municipal Real
Return Portfolio may be irregular. Although the U.S. Treasury guarantees to pay
at least the original face value of any inflation-protected securities the
Treasury issues, other issuers may not offer the same guarantee. Also,
inflation-protected securities, including those issued by the U.S. Treasury,
are not protected against deflation. As a result, in a period of deflation, the
principal and income of inflation-protected securities held by a Portfolio will
decline and the Portfolio may suffer a loss during such periods. While
inflation-protected securities are expected to be protected from long-term
inflationary trends, short-term increases in inflation may lead to a decline in
a Portfolio's value. For example, if interest rates rise due to reasons other
than inflation, Portfolio's investment in these securities may not be protected
to the extent that the increase is not reflected in the securities' inflation
measures. In addition, positive adjustments to principal generally will result
in taxable income to a Portfolio at the time of such adjustments (which
generally would be distributed by the Portfolio as part of its taxable
dividends), even though the principal amount is not paid until maturity. The
current market value of inflation-protected securities is not guaranteed and
will fluctuate.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
Portfolios.
3. FORWARD CURRENCY CONTRACTS: The International Fixed Income Portfolios
noted below 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 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.
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.
224
4. SWAP AGREEMENTS: The DFA Short-Duration Real Return Portfolio and DFA
Municipal Real Return Portfolio may enter into inflation swap agreements to
seek inflation protection. Inflation swap agreements are contracts in which one
party agrees to pay the cumulative percentage increase in a price index (the
Consumer Price Index with respect to CPI swaps) over the term of the swap (with
some lag on the inflation index), and the other pays a compounded fixed rate.
Inflation swap agreements may be used by the DFA Short-Duration Real Return
Portfolio and DFA Municipal Real Return Portfolio to hedge the inflation risk
in nominal bonds (i.e. non-inflation indexed bonds) thereby creating
"synthetic" inflation-indexed bonds. Among other reasons, one factor that may
lead to changes in the values of inflation swap agreements are changes in real
interest rates. Real interest rates are tied to the relationship between
nominal interest rates and the rate of inflation. If nominal interest rates
increase at a faster rate than inflation, real interest rates may rise, which
may lead to a change in the value of an inflation swap agreement. Additionally,
payments received by the DFA Short-Duration Real Return Portfolio and DFA
Municipal Real Return Portfolio from inflation swap agreements will result in
taxable income, either as ordinary income or capital gains, which will increase
the amount of taxable distributions received by shareholders.
The Advisor and the Fund do not believe that a Portfolio's obligations under
swap contracts are senior securities and, accordingly, the Portfolio will not
treat them as being subject to the Portfolio's borrowing or senior securities
restrictions. 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. To the extent that a 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. Inflation swap agreements are not currently subject
to mandatory central clearing and exchange-trading.
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 clearing house, as is the case with cleared swaps. As a result, a
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 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 CONTRACTS
---------- ---------
DFA Two-Year Global Fixed Income Portfolio........... $ 385,497 --
DFA Selectively Hedged Global Fixed Income Portfolio. 335,972 --
DFA Five-Year Global Fixed Income Portfolio.......... 1,125,272 --
DFA World ex U.S. Government Fixed Income Portfolio.. 930,164 --
DFA Short-Term Extended Quality Portfolio............ 97,075 --
DFA Targeted Credit Portfolio........................ 13,643 --
DFA Investment Grade Portfolio....................... 37,310 --
DFA Short-Duration Real Return Portfolio............. 51,126 $996,308
DFA Municipal Real Return Portfolio.................. -- 613,308
225
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
Inflation Swap contracts Unrealized Gain on Swap Unrealized Loss on Swap
Contracts Contracts
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 SWAP
OCTOBER 31, 2017 CONTRACTS CONTRACTS
- ---------------- --------- ---------
DFA Two-Year Global Fixed Income Portfolio........... $27,463 $27,463 --
DFA Selectively Hedged Global Fixed Income Portfolio. 4,509 4,509 --
DFA Five-Year Global Fixed Income Portfolio.......... 76,421 76,421 --
DFA World ex U.S. Government Fixed Income Portfolio.. 11,275 11,275 --
DFA Short-Term Extended Quality Portfolio............ 9,192 9,192 --
DFA Targeted Credit Portfolio........................ 866 866 --
DFA Investment Grade Portfolio....................... 2,226 2,226 --
DFA Short-Duration Real Return Portfolio............. 11,340 3,717 $ 7,623
DFA Municipal Real Return Portfolio.................. 9,319 -- 9,319
LIABILITY DERIVATIVES VALUE
- -----------------------------------
TOTAL VALUE FORWARD
AT CURRENCY SWAP
OCTOBER 31, 2017 CONTRACTS CONTRACTS
- ---------------- --------- ---------
DFA Two-Year Global Fixed Income Portfolio........... $ (714) $ (714) --
DFA Selectively Hedged Global Fixed Income Portfolio. (7,086) (7,086) --
DFA Five-Year Global Fixed Income Portfolio.......... (1,821) (1,821) --
DFA World ex U.S. Government Fixed Income Portfolio.. (998) (998) --
DFA Short-Term Extended Quality Portfolio............ (26) (26) --
DFA Targeted Credit Portfolio........................ (10) (10) --
DFA Short-Duration Real Return Portfolio............. (3,544) (99) $(3,445)
DFA Municipal Real Return Portfolio.................. (1,500) -- (1,500)
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
Transactions Change in Unrealized Appreciation
(Depreciation) of:
Translation of Foreign Currency Denominated Amounts
Inflation Swap contracts Net Realized Gain (Loss) on: Swap Contracts Change in
Unrealized Appreciation (Depreciation) of:
Swap Contracts
226
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 for the year ended October 31, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
----------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
DFA Two-Year Global Fixed Income Portfolio........... $(15,260) $(15,260) --
DFA Selectively Hedged Global Fixed Income Portfolio. (1,675) (1,675) --
DFA Five-Year Global Fixed Income Portfolio.......... (29,234) (29,234) --
DFA World ex U.S. Government Fixed Income Portfolio.. (35,520) (35,520) --
DFA Short-Term Extended Quality Portfolio............ (5,021) (5,021) --
DFA Targeted Credit Portfolio........................ (137) (137) --
DFA Investment Grade Portfolio....................... (4,776) (4,776) --
DFA Short-Duration Real Return Portfolio............. (6,739) (2,531) $(4,208)
DFA Municipal Real Return Portfolio.................. (1,007) -- (1,007)
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
----------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
DFA Two-Year Global Fixed Income Portfolio........... $ 25,152 $ 25,152 --
DFA Selectively Hedged Global Fixed Income Portfolio. (893) (893) --
DFA Five-Year Global Fixed Income Portfolio.......... 73,100 73,100 --
DFA World ex U.S. Government Fixed Income Portfolio.. 5,671 5,671 --
DFA Short-Term Extended Quality Portfolio............ 9,166 9,166 --
DFA Targeted Credit Portfolio........................ 844 844 --
DFA Investment Grade Portfolio....................... 2,226 2,226 --
DFA Short-Duration Real Return Portfolio............. 10,354 3,618 $ 6,736
DFA Municipal Real Return Portfolio.................. 2,646 -- 2,646
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."
The Portfolios are subject to master netting agreements ("MNA") with certain
counterparties which govern the terms of derivative transactions and reduce the
counterparty risk associated with such transactions by specifying offsetting
mechanisms and collateral posting arrangements at pre-arranged exposure
levels. Since different types of transactions have different mechanics and are
sometimes traded out of different legal entities of a particular counterparty
organization, each type of transaction may be covered by a different MNA,
possibly resulting in the need for multiple agreements with a single
counterparty. As the MNA's are specific to unique operations of different
227
asset types, they allow each Portfolio to close out and net its total exposure
to a counterparty in the event of a default with respect to all the
transactions governed under a single MNA with a counterparty. Certain MNA's
contain provisions which allow for the net settlement of receivable and payable
positions with the same counterparty if defined conditions are met.
The following tables present 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
GROSS PRESENTED STATEMENTS OF ASSETS PRESENTED STATEMENTS OF ASSETS
AMOUNTS IN THE AND LIABILITIES GROSS IN THE AND LIABILITIES
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 TWO-YEAR
GLOBAL FIXED
INCOME PORTFOLIO
Forward Currency
Contracts......... $27,463 $27,463 $ (714) -- $26,749 $ 714 $ 714 $ (714) -- --
DFA SELECTIVELY
HEDGED GLOBAL
FIXED INCOME
PORTFOLIO
Forward Currency
Contracts......... 4,509 4,509 (1,128) -- 3,381 7,086 7,086 (1,128) -- 5,958
DFA FIVE-YEAR
GLOBAL FIXED
INCOME PORTFOLIO
Forward Currency
Contracts......... 76,421 76,421 (1,802) -- 74,619 1,821 1,821 (1,802) -- 19
DFA WORLD EX U.S.
GOVERNMENT
FIXED INCOME
PORTFOLIO
Forward Currency
Contracts......... 11,275 11,275 (998) -- 10,277 998 998 (998) -- --
DFA SHORT-TERM
EXTENDED
QUALITY PORTFOLIO
Forward Currency
Contracts......... 9,193 9,193 (26) -- 9,167 26 26 (26) -- --
DFA TARGETED
CREDIT PORTFOLIO
Forward Currency
Contracts......... 866 866 (10) -- 856 10 10 (10) -- --
DFA INVESTMENT
GRADE PORTFOLIO
Forward Currency
Contracts......... 2,226 2,226 -- -- 2,226 -- -- -- -- --
DFA SHORT-
DURATION REAL
RETURN PORTFOLIO
Forward Currency
Contracts......... 3,717 3,717 (99) -- 3,618 99 99 (99) -- --
Swap Contracts..... 7,623 7,623 (3,395) $(2,083) 2,145 3,445 3,445 (3,395) -- 50
DFA MUNICIPAL
REAL RETURN
PORTFOLIO
Swap Contracts..... 9,319 9,319 (1,500) (4,168) 3,651 1,500 1,500 (1,500) -- --
(a)No amounts have been netted against the gross amounts recognized in the
Statements of Assets and Liabilities.
228
(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 I contains information regarding securities lending amounts that are
subject to netting arrangements.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
There were no borrowings by the Portfolios under the lines of credit during
the year ended 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.
I. 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
DFA One-Year Fixed Income Portfolio's non-cash collateral includes short and/or
long term U.S. Treasuries and U.S. government agency securities with a market
value of $507 (amount in thousands). Each Portfolio with securities on loan
invests the cash collateral, as described below, and records a liability for
the return of the collateral, during the period the securities are on loan.
Loans of securities are expected at all times to be secured by collateral in an
amount (i) equal to at least 100% of the current market value of the loaned
securities with respect to securities of the U.S. government or its agencies,
(ii) generally equal to 102% of the current market value of the loaned
securities with respect to U.S. securities, and (iii) generally equal to 105%
of the current market value of the loaned securities with respect to foreign
securities. However, daily market
229
fluctuations could cause the Portfolios' collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities. In the event of the bankruptcy of the borrower, a Portfolio
could experience delay in recovering the loaned securities or only recover cash
or a security of equivalent value.
Subject to their stated investment policies, the Portfolios with securities
on loan will generally invest the cash collateral received for the loaned
securities in the 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. Such Portfolios also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, each Portfolio with securities on loan will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of 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 ONE-YEAR FIXED INCOME PORTFOLIO
Bonds................................................ $100,564,051 -- -- -- $100,564,051
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Agency Obligations, Bonds............................ 27,029,629 -- -- -- 27,029,629
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Bonds................................................ 77,381,021 -- -- -- 77,381,021
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
Agency Obligations, Bonds............................ 21,242,277 -- -- -- 21,242,277
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
Bonds................................................ 55,477,266 -- -- -- 55,477,266
DFA TARGETED CREDIT PORTFOLIO
Bonds................................................ 7,336,083 -- -- -- 7,336,083
DFA INVESTMENT GRADE PORTFOLIO
Agency Obligations, Bonds, U.S. Treasury Obligations. 319,671,877 -- -- -- 319,671,877
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Agency Obligations, Bonds............................ 28,873,609 -- -- -- 28,873,609
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.
230
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. 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
------------ --------------
DFA One-Year Fixed Income Portfolio....................... 5 75%
DFA Two-Year Global Fixed Income Portfolio................ 4 80%
DFA Selectively Hedged Global Fixed Income Portfolio...... 3 84%
DFA Five-Year Global Fixed Income Portfolio............... 3 77%
DFA World ex U.S. Government Fixed Income Portfolio....... 4 72%
DFA Short-Term Government Portfolio....................... 4 78%
DFA Intermediate Government Fixed Income Portfolio........ 4 84%
DFA Short-Term Extended Quality Portfolio................. 4 77%
DFA Intermediate-Term Extended Quality Portfolio.......... 6 82%
DFA Targeted Credit Portfolio............................. 3 83%
DFA Investment Grade Portfolio............................ 4 88%
DFA Diversified Fixed Income Portfolio.................... 3 100%
DFA LTIP Portfolio........................................ 5 87%
DFA Inflation-Protected Securities Portfolio.............. 4 55%
DFA Short-Duration Real Return Portfolio.................. 3 85%
DFA Municipal Real Return Portfolio....................... 4 94%
DFA Municipal Bond Portfolio.............................. 5 100%
DFA Short-Term Municipal Bond Portfolio................... 4 90%
DFA Intermediate-Term Municipal Bond Portfolio............ 4 84%
DFA California Short-Term Municipal Bond Portfolio........ 3 94%
DFA California Intermediate-Term Municipal Bond Portfolio. 4 96%
DFA NY Municipal Bond Portfolio........................... 3 91%
DFA MN Municipal Bond Portfolio........................... 1 99%
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
231
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, 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 One-Year Fixed
Income Portfolio, DFA Two-Year Global Fixed Income Portfolio, DFA Selectively
Hedged Global Fixed Income Portfolio, DFA Five-Year Global Fixed Income
Portfolio, DFA World ex U.S. Government Fixed Income Portfolio, DFA Short-Term
Government Portfolio, DFA Intermediate Government Fixed Income Portfolio, DFA
Short-Term Extended Quality Portfolio, DFA Intermediate-Term Extended Quality
Portfolio, DFA Targeted Credit Portfolio, DFA Investment Grade Portfolio, DFA
Diversified Fixed Income Portfolio, DFA LTIP Portfolio, DFA Inflation-Protected
Securities Portfolio, DFA Short-Duration Real Return Portfolio, DFA Municipal
Real Return Portfolio, DFA Municipal Bond Portfolio, DFA Short-Term Municipal
Bond Portfolio, DFA Intermediate-Term Municipal Bond Portfolio, DFA California
Short-Term Municipal Bond Portfolio, DFA California Intermediate-Term Municipal
Bond Portfolio, DFA NY Municipal Bond Portfolio and DFA MN Municipal Bond
Portfolio (twenty-three 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
232
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 ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING NET PROFITS PAID-IN
FISCAL YEAR, FROM THE SALE SURPLUS
AND ACCUMULATED OF SECURITIES OR OTHER
UNDISTRIBUTED NET OR OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ----------------- ------------- --------
DFA Municipal Real Return Portfolio
August 30, 2017........................................ 100% 0% 0%*
DFA Municipal Bond Portfolio
August 30, 2017........................................ 98% 0% 2%
DFA Short-Term Municipal Bond Portfolio
August 30, 2017........................................ 96% 0% 4%
DFA Intermediate-Term Municipal Bond Portfolio
August 30, 2017........................................ 99% 0% 1%
DFA California Short-Term Municipal Bond Portfolio
August 30, 2017........................................ 95% 0% 5%
DFA NY Municipal Bond Portfolio
August 30, 2017........................................ 97% 0% 3%
DFA Inflation-Protected Securities Portfolio
September 28, 2017..................................... 97% 0% 3%
DFA California Intermediate-Term Municipal Bond Portfolio
August 30, 2017........................................ 99% 0% 1%
DFA Diversified Fixed Income Portfolio
September 28, 2017..................................... 99% 0% 1%
----------
* Amount is less than 1%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
233
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.
234
NAME, ADDRESS PORTFOLIOS WITHIN THE
AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION DFA FUND COMPLEX/2/
YEAR OF BIRTH POSITION LENGTH OF SERVICE DURING PAST 5 YEARS OVERSEEN
-----------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
----------------------------------------------------------------------------------------------------------------
George M. Director of DFAIDG-Since 1983 Leo Melamed Professor of 126 portfolios in 4
Constantinides DFAIDG DIG-Since 1993 Finance, University of Chicago investment
University of and DIG DFAITC-Since 1992 Booth School of Business companies
Chicago Booth Trustee of DEM-Since 1993 (since 1978).
School of Business DFAITC
5807 S. Woodlawn and DEM
Avenue
Chicago, IL 60637
1947
-----------------------------------------------------------------------------------------------------------------
Douglas W. Director of DFAIDG-Since June Merton H. Miller Distinguished 126 portfolios in 4
Diamond DFAIDG 2017 Service Professor of Finance, investment
University of and DIG DIG-Since June University of Chicago Booth companies
Chicago Booth Trustee of 2017 School of Business (since
School of Business DFAITC DFAITC-Since June 1988). Visiting Scholar,
5807 S. Woodlawn and DEM 2017 Federal Reserve Bank of
Avenue DEM-Since June Richmond (since
Chicago, IL 60637 2017 1990). Formerly, Fischer Black
1953 Visiting Professor of Financial
Economics, Alfred P. Sloan
School of
Management, Massachusetts
Institute of Technology (2015
to 2016).
-----------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Director of DFAIDG-Since 1981 Professor in Practice Emeritus 126 portfolios in 4
Yale School of DFAIDG DIG-Since 1993 of Finance, Yale School of investment
Management and DIG DFAITC-Since 1992 Management (since 1984). companies
P.O. Box 208200 Trustee of DEM-Since 1993 Chairman, CIO and Partner,
New Haven, CT DFAITC Zebra Capital Management,
06520-8200 and DEM LLC (hedge fund and asset
1943 manager) (since 2001).
Formerly, Consultant to
Morningstar, Inc. (2006-2016).
-----------------------------------------------------------------------------------------------------------------
Edward P. Lazear Director of DFAIDG-Since 2010 Distinguished Visiting Fellow, 126 portfolios in 4
Stanford University DFAIDG DIG-Since 2010 Becker Friedman Institute for investment
Graduate School of and DIG DFAITC-Since 2010 Research in Economics, companies
Business Trustee of DEM-Since 2010 University of Chicago (since
Knight Management DFAITC 2015). Morris Arnold Cox
Center, E346 and DEM Senior Fellow, Hoover
Stanford, CA 94305 Institution (since 2002). Jack
1948 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).
-----------------------------------------------------------------------------------------------------------------
Myron S. Scholes Director of DFAIDG-Since 1981 Chief Investment Strategist, 126 portfolios in 4
c/o Dimensional DFAIDG DIG-Since 1993 Janus Henderson Investors investment
Fund Advisors LP and DIG DFAITC-Since 1992 (since 2014). Frank E. Buck companies
6300 Bee Cave Trustee of DEM-Since 1993 Professor of Finance,
Road, Building One DFAITC Emeritus, Graduate School of
Austin, TX 78746 and DEM Business, Stanford University
1941 (since 1981).
-----------------------------------------------------------------------------------------------------------------
OTHER
DIRECTORSHIPS OF
PUBLIC COMPANIES
PRINCIPAL OCCUPATION HELD DURING
DURING PAST 5 YEARS PAST 5 YEARS
-----------------------------------------------------
---------------------
Leo Melamed Professor of None
Finance, University of Chicago
Booth School of Business
(since 1978).
-----------------------------------------------------
Merton H. Miller Distinguished None
Service 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 None
of Finance, 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, None
Becker 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, Formerly, Adviser,
Janus Henderson Investors Kuapay, Inc.
(since 2014). Frank E. Buck (2013-2014).
Professor of Finance, Formerly, Director,
Emeritus, Graduate School of American Century
Business, Stanford University Fund Complex
(since 1981). (registered
investment
companies) (43
Portfolios) (1980-
2014).
-----------------------------------------------------
235
NAME, ADDRESS PORTFOLIOS WITHIN THE
AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION DFA FUND COMPLEX/2/
YEAR OF BIRTH POSITION LENGTH OF SERVICE DURING PAST 5 YEARS OVERSEEN
-------------------------------------------------------------------------------------------------------------
Abbie J. Smith Director DFAIDG- Since Boris and Irene Stern 126 portfolios in 4
University of of 2000 Distinguished Service Professor investment
Chicago Booth DFAIDG DIG- Since 2000 of Accounting, University of companies
School of Business and DIG DFAITC- Since Chicago Booth School of
5807 S. Woodlawn Trustee 2000 Business (since 1980).
Avenue of DEM- Since 2000
Chicago, IL 60637 DFAITC
1953 and
DEM
-------------------------------------------------------------------------------------------------------------
OTHER
DIRECTORSHIPS OF
PUBLIC COMPANIES
PRINCIPAL OCCUPATION HELD DURING
DURING PAST 5 YEARS PAST 5 YEARS
-------------------------------------------------------
Boris and Irene Stern Lead Director,
Distinguished Service Professor (beginning May
of Accounting, University of 2014) and Director
Chicago Booth School of (since 2000), HNI
Business (since 1980). 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).
-------------------------------------------------------
236
OTHER
DIRECTORSHIPS OF
NAME, ADDRESS PORTFOLIOS WITHIN THE PUBLIC COMPANIES
AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION DFA FUND COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION LENGTH OF SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
------------------------------------------------------------------------------------------------------------------------------
David G. Booth Chairman DFAIDG-Since 1981 Chairman, Director/Trustee, and 126 portfolios in 4 None
6300 Bee Cave Director DIG-Since 1992 formerly, President and Co-Chief investment
Road, Building of DFAITC-Since 1992 Executive Officer (each until March companies
One DFAIDG DEM-Since 1993 2017) of Dimensional Emerging
Austin, and DIG Markets Value Fund ("DEM"),
TX 78746 Trustee DFAIDG, Dimensional Investment
1946 of Group Inc. ("DIG") and The DFA
DFAITC Investment Trust Company
and DEM ("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.
237
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 AND LENGTH OF
OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President Since 2001 Vice President and Assistant Secretary of all the DFA Entities,
1967 and Assistant DFA Australia Limited, Dimensional Fund Advisors Ltd.,
Secretary 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 Since 2017 Co-Chief Executive Officer of all the DFA entities (since 2017);
1964 Executive Director of Dimensional Holdings Inc. (since February 2017),
Officer 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 Since 2017 Executive Vice President (since March 2017) and formerly, Vice
1972 President 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 Since 2004 Vice President and Global Chief Compliance Officer of all the
Crossan and Global DFA Entities, DFA Australia Limited and Dimensional Fund
1965 Chief Advisors Ltd. Chief Compliance Officer and Chief Privacy Officer
Compliance of Dimensional Fund Advisors Canada ULC (since October 2006 and
Officer 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 Since 2017 Executive Vice President and Chief Operating Officer of the DFA
Gilliland President Fund 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).
-----------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Since 2015 Vice President, Chief Financial Officer, and Treasurer of all
1958 Chief Financial the DFA Entities. Chief Financial Officer, Treasurer and Vice
Officer, and President of Dimensional Advisors Ltd., Dimensional Fund
Treasurer 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).
-----------------------------------------------------------------------------------------------------------------------
238
TERM OF OFFICE/1/
NAME AND YEAR AND LENGTH OF
OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Vice President Vice President and Assistant Secretary (since 2004 and March
1973 and Assistant since 2004 2017, respectively) of all the DFA Entities and Dimensional
Secretary and 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 Since 2017 President and General Counsel (since March 2017), and formerly,
Newell General Vice President and Secretary (1997 and 2000, respectively, to
1964 Counsel 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 Since 2013 Vice President and Deputy Chief Compliance Officer of all the
1961 and Deputy DFA Entities. Deputy Chief Compliance Officer (since December
Chief 2012) of Dimensional Fund Advisors LP.
Compliance
Officer
-----------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Vice President Vice President and Secretary (since 2010 and March 2017,
1974 and Secretary since 2010 respectively) of all the DFA Entities, Dimensional Cayman
and Secretary Commodity Fund I Ltd., and Dimensional Fund Advisors Canada ULC
since 2017 (since April 2016).
-----------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Co-Chief Since 2017 Co-Chief Executive Officer and Chief Investment Officer of
1976 Executive DFAIDG, DFAITC, DIG and DEM (since September, 2017) and
Officer and Dimensional Holdings Inc., Dimensional Fund Advisors LP, DFA
Chief Securities LLC and Dimensional Fund Advisors Canada ULC (since
Investment September, 2017); Chief Investment Officer and Director of DFA
Officer 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).
-----------------------------------------------------------------------------------------------------------------------
239
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.
240
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.
NET
INVESTMENT SHORT-TERM LONG-TERM RETURN
INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS
------------------------------------ ------------- ------------- ------------- ------- ---------- -------------
DFA One-Year Fixed Income Portfolio.................. 99% -- 1% -- -- 100%
DFA Two-Year Global Fixed Income Portfolio........... 100% -- -- -- -- 100%
DFA Selectively Hedged Global Fixed Income Portfolio. 100% -- -- -- -- 100%
DFA Five-Year Global Fixed Income Portfolio.......... 82% 2% 16% -- -- 100%
DFA World ex U.S. Government Fixed Income Portfolio.. 91% 6% 3% -- -- 100%
DFA Short-Term Government Portfolio.................. 82% 2% 16% -- -- 100%
DFA Intermediate Government Fixed Income Portfolio... 90% 3% 7% -- -- 100%
DFA Short-Term Extended Quality Portfolio............ 100% -- -- -- -- 100%
DFA Intermediate-Term Extended Quality Portfolio..... 95% 1% 4% -- -- 100%
DFA Targeted Credit Portfolio........................ 100% -- -- -- -- 100%
DFA Investment Grade Portfolio....................... 100% -- -- -- -- 100%
DFA Diversified Fixed Income Portfolio............... 100% -- -- -- -- 100%
DFA LTIP Portfolio................................... 100% -- -- -- -- 100%
DFA Inflation-Protected Securities Portfolio......... 90% -- 10% -- -- 100%
DFA Short-Duration Real Return Portfolio............. 100% -- -- -- -- 100%
DFA Municipal Real Return Portfolio.................. -- -- -- -- 100% 100%
DFA Municipal Bond Portfolio......................... -- -- -- -- 100% 100%
DFA Short-Term Municipal Bond Portfolio.............. -- -- -- -- 100% 100%
DFA Intermediate-Term Municipal Bond Portfolio....... -- -- -- -- 100% 100%
DFA California Short-Term Municipal Bond Portfolio... -- -- -- -- 100% 100%
DFA California Intermediate-Term Municipal Bond
Portfolio........................................... -- -- -- -- 100% 100%
DFA NY Municipal Bond Portfolio...................... -- -- -- -- 100% 100%
DFA MN Municipal Bond Portfolio...................... -- -- -- -- 100% 100%
QUALIFYING
U.S. FOREIGN QUALIFYING SHORT-TERM
GOVERNMENT SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INTEREST (1) INCOME (2) INCOME (3) GAIN (4)
------------------------------------ ------------ ---------- ---------- ----------
DFA One-Year Fixed Income Portfolio.................. 13% -- 100% 100%
DFA Two-Year Global Fixed Income Portfolio........... 13% -- 100% 100%
DFA Selectively Hedged Global Fixed Income Portfolio. 10% -- 100% 100%
DFA Five-Year Global Fixed Income Portfolio.......... -- -- 100% 100%
DFA World ex U.S. Government Fixed Income Portfolio.. 3% -- 100% 100%
DFA Short-Term Government Portfolio.................. 100% -- 100% 100%
DFA Intermediate Government Fixed Income Portfolio... 100% -- 100% 100%
DFA Short-Term Extended Quality Portfolio............ 1% -- 100% 100%
DFA Intermediate-Term Extended Quality Portfolio..... 2% -- 100% 100%
DFA Targeted Credit Portfolio........................ -- -- 100% 100%
DFA Investment Grade Portfolio....................... 35% -- 100% 100%
DFA Diversified Fixed Income Portfolio............... -- -- 100% 100%
DFA LTIP Portfolio................................... 38% -- 100% 100%
DFA Inflation-Protected Securities Portfolio......... 25% -- 100% 100%
DFA Short-Duration Real Return Portfolio............. -- -- 100% 100%
DFA Municipal Real Return Portfolio.................. -- -- 100% 100%
DFA Municipal Bond Portfolio......................... -- -- 100% 100%
DFA Short-Term Municipal Bond Portfolio.............. -- -- 100% 100%
DFA Intermediate-Term Municipal Bond Portfolio....... -- -- 100% 100%
DFA California Short-Term Municipal Bond Portfolio... -- -- 100% 100%
DFA California Intermediate-Term Municipal Bond
Portfolio........................................... -- -- 100% 100%
DFA NY Municipal Bond Portfolio...................... -- -- 100% 100%
DFA MN Municipal Bond Portfolio...................... -- -- 100% 100%
----------
(1)"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.
(2)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(3)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).
(4)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).
241
DFA 103117-024A
[LOGO] 00202785
[LOGO]
Annual Report
YEAR ENDED: OCTOBER 31, 2017
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
[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
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................... 1
Performance Charts........................................ 2
Management's Discussion and Analysis...................... 3
Disclosure of Fund Expenses............................... 6
Disclosure of Portfolio Holdings.......................... 7
Summary Schedules of Portfolio Holdings
CSTG&E U.S. Social Core Equity 2 Portfolio............ 8
CSTG&E International Social Core Equity Portfolio..... 11
Statements of Assets and Liabilities...................... 15
Statements of Operations.................................. 16
Statements of Changes in Net Assets....................... 17
Financial Highlights...................................... 18
Notes to Financial Statements............................. 19
Report of Independent Registered Public Accounting Firm... 28
FUND MANAGEMENT.............................................. 29
VOTING PROXIES ON FUND PORTFOLIO SECURITIES.................. 36
NOTICE TO SHAREHOLDERS....................................... 37
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
---------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the
category headings have been calculated as a percentage of total investments. "Other Securities"
are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not
represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this
category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
CSTG&E U.S. Social Core Equity 2 Portfolio vs.
Russell 3000(R) Index
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
CSTG&E U.S. Social Core Russell 3000(R)
Equity 2 Portfolio Index
------------------------ ----------------
10/1/2007 $10,000 $10,000
11/1/2007 $9,418 $9,550
12/1/2007 $9,351 $9,492
1/1/2008 $8,851 $8,917
2/1/2008 $8,577 $8,640
3/1/2008 $8,553 $8,589
4/1/2008 $9,035 $9,018
5/1/2008 $9,281 $9,203
6/1/2008 $8,451 $8,443
7/1/2008 $8,385 $8,376
8/1/2008 $8,556 $8,506
9/1/2008 $7,744 $7,706
10/1/2008 $6,228 $6,340
11/1/2008 $5,646 $5,839
12/1/2008 $5,777 $5,951
1/1/2009 $5,151 $5,451
2/1/2009 $4,563 $4,880
3/1/2009 $5,008 $5,308
4/1/2009 $5,752 $5,866
5/1/2009 $6,023 $6,179
6/1/2009 $5,988 $6,200
7/1/2009 $6,541 $6,683
8/1/2009 $6,794 $6,922
9/1/2009 $7,139 $7,212
10/1/2009 $6,866 $7,026
11/1/2009 $7,188 $7,426
12/1/2009 $7,490 $7,637
1/1/2010 $7,216 $7,362
2/1/2010 $7,549 $7,612
3/1/2010 $8,092 $8,091
4/1/2010 $8,436 $8,266
5/1/2010 $7,769 $7,613
6/1/2010 $7,212 $7,175
7/1/2010 $7,792 $7,673
8/1/2010 $7,320 $7,312
9/1/2010 $8,070 $8,003
10/1/2010 $8,386 $8,315
11/1/2010 $8,564 $8,363
12/1/2010 $9,232 $8,930
1/1/2011 $9,421 $9,125
2/1/2011 $9,838 $9,458
3/1/2011 $9,975 $9,500
4/1/2011 $10,174 $9,783
5/1/2011 $9,965 $9,671
6/1/2011 $9,787 $9,498
7/1/2011 $9,488 $9,280
8/1/2011 $8,750 $8,723
9/1/2011 $7,892 $8,047
10/1/2011 $8,993 $8,973
11/1/2011 $8,953 $8,948
12/1/2011 $9,017 $9,022
1/1/2012 $9,510 $9,477
2/1/2012 $9,903 $9,878
3/1/2012 $10,151 $10,183
4/1/2012 $10,040 $10,116
5/1/2012 $9,343 $9,491
6/1/2012 $9,691 $9,862
7/1/2012 $9,741 $9,960
8/1/2012 $10,056 $10,209
9/1/2012 $10,339 $10,477
10/1/2012 $10,247 $10,296
11/1/2012 $10,328 $10,376
12/1/2012 $10,561 $10,503
1/1/2013 $11,208 $11,079
2/1/2013 $11,361 $11,226
3/1/2013 $11,817 $11,666
4/1/2013 $11,859 $11,857
5/1/2013 $12,301 $12,137
6/1/2013 $12,170 $11,979
7/1/2013 $12,893 $12,636
8/1/2013 $12,480 $12,283
9/1/2013 $13,025 $12,740
10/1/2013 $13,554 $13,281
11/1/2013 $14,010 $13,666
12/1/2013 $14,420 $14,027
1/1/2014 $13,754 $13,584
2/1/2014 $14,358 $14,228
3/1/2014 $14,560 $14,303
4/1/2014 $14,508 $14,321
5/1/2014 $14,717 $14,633
6/1/2014 $15,198 $15,000
7/1/2014 $14,695 $14,704
8/1/2014 $15,313 $15,321
9/1/2014 $14,771 $15,002
10/1/2014 $15,118 $15,415
11/1/2014 $15,339 $15,788
12/1/2014 $15,424 $15,788
1/1/2015 $14,758 $15,349
2/1/2015 $15,720 $16,237
3/1/2015 $15,595 $16,072
4/1/2015 $15,701 $16,145
5/1/2015 $15,796 $16,368
6/1/2015 $15,552 $16,094
7/1/2015 $15,488 $16,364
8/1/2015 $14,668 $15,376
9/1/2015 $14,209 $14,928
10/1/2015 $15,289 $16,107
11/1/2015 $15,418 $16,196
12/1/2015 $14,768 $15,864
1/1/2016 $13,905 $14,969
2/1/2016 $14,025 $14,964
3/1/2016 $15,102 $16,017
4/1/2016 $15,190 $16,117
5/1/2016 $15,409 $16,405
6/1/2016 $15,290 $16,439
7/1/2016 $15,952 $17,091
8/1/2016 $16,161 $17,135
9/1/2016 $16,204 $17,162
10/1/2016 $15,928 $16,790
11/1/2016 $17,212 $17,542
12/1/2016 $17,631 $17,884
1/1/2017 $17,857 $18,221
2/1/2017 $18,299 $18,898
3/1/2017 $18,284 $18,911
4/1/2017 $18,398 $19,112
5/1/2017 $18,330 $19,307
6/1/2017 $18,534 $19,481
7/1/2017 $18,888 $19,849 Past performance is not predictive of
8/1/2017 $18,671 $19,887 future performance.
9/1/2017 $19,510 $20,372 The returns shown do not reflect the
10/1/2017 $19,945 $20,816 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
25.22% 14.25% 7.15% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CSTG&E International Social Core Equity Portfolio vs.
MSCI World ex USA Index (net dividends)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
CSTG&E International Social MSCI World ex USA
Core Equity Portfolio Index (net dividends)
---------------------------- -------------------
10/1/2007 $10,000 $10,000
11/1/2007 $9,481 $9,609
12/1/2007 $9,255 $9,428
1/1/2008 $8,533 $8,578
2/1/2008 $8,542 $8,734
3/1/2008 $8,589 $8,609
4/1/2008 $8,974 $9,088
5/1/2008 $9,129 $9,225
6/1/2008 $8,292 $8,508
7/1/2008 $7,957 $8,205
8/1/2008 $7,630 $7,888
9/1/2008 $6,711 $6,749
10/1/2008 $5,213 $5,345
11/1/2008 $4,923 $5,055
12/1/2008 $5,287 $5,322
1/1/2009 $4,672 $4,825
2/1/2009 $4,171 $4,337
3/1/2009 $4,529 $4,623
4/1/2009 $5,202 $5,219
5/1/2009 $5,969 $5,879
6/1/2009 $5,913 $5,818
7/1/2009 $6,489 $6,364
8/1/2009 $6,864 $6,669
9/1/2009 $7,189 $6,944
10/1/2009 $6,948 $6,833
11/1/2009 $7,150 $7,002
12/1/2009 $7,214 $7,113
1/1/2010 $6,904 $6,780
2/1/2010 $6,914 $6,773
3/1/2010 $7,424 $7,209
4/1/2010 $7,385 $7,102
5/1/2010 $6,523 $6,318
6/1/2010 $6,412 $6,227
7/1/2010 $7,119 $6,802
8/1/2010 $6,805 $6,599
9/1/2010 $7,527 $7,232
10/1/2010 $7,803 $7,489
11/1/2010 $7,468 $7,172
12/1/2010 $8,185 $7,750
1/1/2011 $8,403 $7,917
2/1/2011 $8,680 $8,210
3/1/2011 $8,524 $8,046
4/1/2011 $8,990 $8,484
5/1/2011 $8,692 $8,232
6/1/2011 $8,571 $8,115
7/1/2011 $8,349 $7,981
8/1/2011 $7,623 $7,307
9/1/2011 $6,777 $6,573
10/1/2011 $7,364 $7,212
11/1/2011 $7,142 $6,879
12/1/2011 $6,951 $6,804
1/1/2012 $7,483 $7,171
2/1/2012 $7,862 $7,565
3/1/2012 $7,847 $7,509
4/1/2012 $7,663 $7,382
5/1/2012 $6,741 $6,540
6/1/2012 $7,148 $6,969
7/1/2012 $7,127 $7,056
8/1/2012 $7,398 $7,257
9/1/2012 $7,650 $7,477
10/1/2012 $7,723 $7,530
11/1/2012 $7,849 $7,688
12/1/2012 $8,212 $7,920
1/1/2013 $8,550 $8,310
2/1/2013 $8,465 $8,227
3/1/2013 $8,555 $8,292
4/1/2013 $8,903 $8,670
5/1/2013 $8,660 $8,476
6/1/2013 $8,404 $8,158
7/1/2013 $8,929 $8,592
8/1/2013 $8,833 $8,482
9/1/2013 $9,528 $9,081
10/1/2013 $9,850 $9,386
11/1/2013 $9,882 $9,443
12/1/2013 $10,095 $9,586
1/1/2014 $9,717 $9,199
2/1/2014 $10,290 $9,701
3/1/2014 $10,263 $9,657
4/1/2014 $10,394 $9,809
5/1/2014 $10,503 $9,961
6/1/2014 $10,649 $10,103
7/1/2014 $10,351 $9,923
8/1/2014 $10,373 $9,931
9/1/2014 $9,815 $9,523
10/1/2014 $9,682 $9,371
11/1/2014 $9,638 $9,487
12/1/2014 $9,368 $9,171
1/1/2015 $9,301 $9,139
2/1/2015 $9,937 $9,685
3/1/2015 $9,725 $9,523
4/1/2015 $10,216 $9,935
5/1/2015 $10,227 $9,849
6/1/2015 $9,968 $9,569
7/1/2015 $9,934 $9,721
8/1/2015 $9,323 $9,013
9/1/2015 $8,917 $8,558
10/1/2015 $9,473 $9,201
11/1/2015 $9,417 $9,055
12/1/2015 $9,245 $8,893
1/1/2016 $8,662 $8,280
2/1/2016 $8,491 $8,165
3/1/2016 $9,154 $8,719
4/1/2016 $9,395 $8,999
5/1/2016 $9,349 $8,898
6/1/2016 $8,977 $8,627
7/1/2016 $9,454 $9,052
8/1/2016 $9,559 $9,060
9/1/2016 $9,723 $9,170
10/1/2016 $9,582 $8,992
11/1/2016 $9,465 $8,848
12/1/2016 $9,737 $9,137
1/1/2017 $10,125 $9,409
2/1/2017 $10,195 $9,517
3/1/2017 $10,449 $9,759
4/1/2017 $10,720 $9,967
5/1/2017 $10,991 $10,299
6/1/2017 $11,093 $10,308
7/1/2017 $11,498 $10,615
8/1/2017 $11,546 $10,613
9/1/2017 $11,882 $10,888 Past performance is not predictive of
10/1/2017 $12,074 $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
26.00% 9.35% 1.90% rights reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
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.
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
The CSTG&E U.S. Social 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 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 Portfolio excludes from purchase companies and industries that do
not pass the Portfolio's social issue screens. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2017, the
Portfolio held approximately 2,300 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 25.22% 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.
3
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
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%
4
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
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.
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
The CSTG&E International Social 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. The Portfolio excludes from purchase
companies and industries that do not pass the Portfolio's social issue screens.
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 2,400 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 26.00% 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. Additionally, the Portfolio's lack of exposure to the healthcare
sector (due to the Portfolio's social screens) contributed positively to
relative performance, as healthcare sector underperformed the benchmark.
5
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*
--------- --------- ---------- --------
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
------------------------------------------
Actual Fund Return................................ $1,000.00 $1,084.10 0.31% $1.63
Hypothetical 5% Annual Return..................... $1,000.00 $1,023.64 0.31% $1.58
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
-------------------------------------------------
Actual Fund Return................................ $1,000.00 $1,126.30 0.52% $2.79
Hypothetical 5% Annual Return..................... $1,000.00 $1,022.58 0.52% $2.65
----------
* 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.
6
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.
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 16.6%
Consumer Staples............................. 5.8%
Energy....................................... 5.8%
Financials................................... 21.9%
Industrials.................................. 16.8%
Information Technology....................... 22.0%
Materials.................................... 5.4%
Real Estate.................................. 0.5%
Telecommunication Services................... 2.7%
Utilities.................................... 2.5%
-----
100.0%
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 17.3%
Consumer Staples............................. 6.3%
Energy....................................... 5.8%
Financials................................... 19.6%
Industrials.................................. 20.5%
Information Technology....................... 7.0%
Materials.................................... 14.1%
Real Estate.................................. 2.4%
Telecommunication Services................... 3.6%
Utilities.................................... 3.4%
-----
100.0%
7
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.1%)
Consumer Discretionary -- (15.8%)
* Amazon.com, Inc................................... 713 $ 788,065 0.8%
* Charter Communications, Inc. Class A.............. 972 324,813 0.3%
Comcast Corp. Class A............................. 29,173 1,051,103 1.0%
Ford Motor Co..................................... 23,573 289,241 0.3%
General Motors Co................................. 9,839 422,880 0.4%
Home Depot, Inc. (The)............................ 2,426 402,182 0.4%
McDonald's Corp................................... 1,637 273,232 0.3%
Time Warner, Inc.................................. 4,154 408,297 0.4%
Walt Disney Co. (The)............................. 5,800 567,298 0.6%
Other Securities.................................. 12,343,192 12.0%
------------- -------
Total Consumer Discretionary.......................... 16,870,303 16.5%
------------- -------
Consumer Staples -- (5.5%)
Coca-Cola Co. (The)............................... 7,448 342,459 0.3%
PepsiCo, Inc...................................... 2,982 328,706 0.3%
Procter & Gamble Co. (The)........................ 7,543 651,263 0.6%
Wal-Mart Stores, Inc.............................. 10,436 911,167 0.9%
Other Securities.................................. 3,614,276 3.6%
------------- -------
Total Consumer Staples................................ 5,847,871 5.7%
------------- -------
Energy -- (5.5%)
Andeavor.......................................... 2,607 276,968 0.3%
Chevron Corp...................................... 5,557 644,001 0.6%
Exxon Mobil Corp.................................. 10,810 901,014 0.9%
Other Securities.................................. 4,084,947 4.0%
------------- -------
Total Energy.......................................... 5,906,930 5.8%
------------- -------
Financials -- (20.8%)
American Express Co............................... 3,414 326,105 0.3%
Bank of America Corp.............................. 32,309 884,944 0.9%
* Berkshire Hathaway, Inc. Class B.................. 2,683 501,560 0.5%
Citigroup, Inc.................................... 8,736 642,096 0.6%
Goldman Sachs Group, Inc. (The)................... 1,266 306,980 0.3%
JPMorgan Chase & Co............................... 16,007 1,610,464 1.6%
Morgan Stanley.................................... 5,601 280,050 0.3%
Travelers Cos., Inc. (The)........................ 2,408 318,940 0.3%
U.S. Bancorp...................................... 8,200 445,916 0.4%
Wells Fargo & Co.................................. 22,366 1,255,627 1.2%
Other Securities.................................. 15,699,672 15.5%
------------- -------
Total Financials...................................... 22,272,354 21.9%
------------- -------
Industrials -- (16.0%)
3M Co............................................. 1,300 299,247 0.3%
Boeing Co. (The).................................. 1,200 309,576 0.3%
Caterpillar, Inc.................................. 2,139 290,476 0.3%
CSX Corp.......................................... 5,500 277,365 0.3%
FedEx Corp........................................ 1,366 308,456 0.3%
Union Pacific Corp................................ 2,902 336,023 0.3%
United Technologies Corp.......................... 2,792 334,370 0.3%
Other Securities.................................. 14,935,193 14.7%
------------- -------
Total Industrials..................................... 17,090,706 16.8%
------------- -------
8
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (20.9%)
* Alphabet, Inc. Class A........................................ 619 $ 639,452 0.6%
* Alphabet, Inc. Class C........................................ 648 658,783 0.7%
Apple, Inc.................................................... 12,836 2,169,797 2.1%
Cisco Systems, Inc............................................ 23,593 805,701 0.8%
* Facebook, Inc. Class A........................................ 3,216 579,073 0.6%
Intel Corp.................................................... 29,844 1,357,604 1.3%
International Business Machines Corp.......................... 1,873 288,554 0.3%
Mastercard, Inc. Class A...................................... 2,000 297,540 0.3%
* Micron Technology, Inc........................................ 7,655 339,193 0.3%
Microsoft Corp................................................ 16,246 1,351,342 1.3%
NVIDIA Corp................................................... 2,430 502,548 0.5%
Oracle Corp................................................... 8,569 436,162 0.4%
QUALCOMM, Inc................................................. 7,467 380,892 0.4%
Visa, Inc. Class A............................................ 3,800 417,924 0.4%
Other Securities.............................................. 12,098,098 11.9%
------------- -------
Total Information Technology........................................ 22,322,663 21.9%
------------- -------
Materials -- (5.1%)
DowDuPont, Inc................................................ 6,619 478,620 0.5%
Other Securities.............................................. 5,010,456 4.9%
------------- -------
Total Materials..................................................... 5,489,076 5.4%
------------- -------
Real Estate -- (0.5%)
Other Securities.............................................. 503,416 0.5%
------------- -------
Telecommunication Services -- (2.6%)
AT&T, Inc..................................................... 46,460 1,563,379 1.5%
Verizon Communications, Inc................................... 8,750 418,862 0.4%
Other Securities.............................................. 742,527 0.8%
------------- -------
Total Telecommunication Services.................................... 2,724,768 2.7%
------------- -------
Utilities -- (2.4%)
Other Securities.............................................. 2,595,639 2.5%
------------- -------
TOTAL COMMON STOCKS................................................. 101,623,726 99.7%
------------- -------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 1,288 0.0%
------------- -------
TOTAL INVESTMENT SECURITIES......................................... 101,625,014
-------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 200,556 200,556 0.2%
------------- -------
SECURITIES LENDING COLLATERAL -- (4.7%)
(S)@ DFA Short Term Investment Fund................................ 439,339 5,083,587 5.0%
------------- -------
TOTAL INVESTMENTS -- (100.0%)
(Cost $63,188,546).............................................. $ 106,909,157 104.9%
============= =======
9
CSTG&E U.S. SOCIAL CORE EQUITY 2 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........................... $ 16,870,303 -- -- $ 16,870,303
Consumer Staples................................. 5,847,871 -- -- 5,847,871
Energy........................................... 5,906,930 -- -- 5,906,930
Financials....................................... 22,272,354 -- -- 22,272,354
Industrials...................................... 17,090,706 -- -- 17,090,706
Information Technology........................... 22,322,663 -- -- 22,322,663
Materials........................................ 5,489,076 -- -- 5,489,076
Real Estate...................................... 503,416 -- -- 503,416
Telecommunication Services....................... 2,724,768 -- -- 2,724,768
Utilities........................................ 2,595,639 -- -- 2,595,639
Rights/Warrants................................... -- $ 1,288 -- 1,288
Temporary Cash Investments........................ 200,556 -- -- 200,556
Securities Lending Collateral..................... -- 5,083,587 -- 5,083,587
------------ ---------- -- ------------
TOTAL............................................. $101,824,282 $5,084,875 -- $106,909,157
============ ========== == ============
See accompanying Notes to Financial Statements.
10
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.0%)
AUSTRALIA -- (5.5%)
Australia & New Zealand Banking Group, Ltd............. 9,807 $ 225,056 0.2%
BHP Billiton, Ltd...................................... 20,901 430,326 0.5%
Commonwealth Bank of Australia......................... 4,132 245,793 0.3%
National Australia Bank, Ltd........................... 13,026 326,382 0.3%
Other Securities....................................... 4,482,109 4.6%
------------- -------
TOTAL AUSTRALIA............................................ 5,709,666 5.9%
------------- -------
AUSTRIA -- (0.6%)
Other Securities....................................... 611,363 0.6%
------------- -------
BELGIUM -- (1.2%)
Other Securities....................................... 1,255,461 1.3%
------------- -------
CANADA -- (8.4%)
Bank of Montreal....................................... 3,601 275,873 0.3%
Bank of Nova Scotia (The).............................. 4,742 306,111 0.3%
National Bank of Canada................................ 4,400 213,537 0.2%
Royal Bank of Canada................................... 3,651 285,463 0.3%
Toronto-Dominion Bank (The)(2897222)................... 4,274 242,970 0.3%
# Toronto-Dominion Bank (The)(891160509)................. 4,382 249,117 0.3%
Other Securities....................................... 7,115,738 7.3%
------------- -------
TOTAL CANADA............................................... 8,688,809 9.0%
------------- -------
DENMARK -- (1.1%)
Other Securities....................................... 1,147,788 1.2%
------------- -------
FINLAND -- (2.0%)
UPM-Kymmene Oyj Sponsored ADR.......................... 7,100 213,390 0.2%
Other Securities....................................... 1,835,499 1.9%
------------- -------
TOTAL FINLAND.............................................. 2,048,889 2.1%
------------- -------
FRANCE -- (7.6%)
AXA SA................................................. 6,608 199,485 0.2%
BNP Paribas SA......................................... 3,858 301,115 0.3%
Cie Generale des Etablissements Michelin............... 1,763 255,188 0.3%
Engie SA............................................... 11,708 197,889 0.2%
LVMH Moet Hennessy Louis Vuitton SE.................... 788 235,031 0.3%
Orange SA.............................................. 15,194 249,602 0.3%
Peugeot SA............................................. 9,468 224,634 0.2%
Total SA............................................... 9,638 537,204 0.6%
* Ubisoft Entertainment SA............................... 2,639 201,355 0.2%
Other Securities....................................... 5,481,880 5.5%
------------- -------
TOTAL FRANCE............................................... 7,883,383 8.1%
------------- -------
GERMANY -- (6.5%)
BASF SE................................................ 5,979 653,824 0.7%
Bayerische Motoren Werke AG............................ 2,651 271,887 0.3%
Daimler AG............................................. 6,300 525,963 0.6%
Deutsche Telekom AG.................................... 26,384 477,743 0.5%
* RWE AG................................................. 8,756 220,160 0.2%
Other Securities....................................... 4,541,886 4.6%
------------- -------
TOTAL GERMANY.............................................. 6,691,463 6.9%
------------- -------
11
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.7%)
Other Securities....................................... $ 2,735,611 2.8%
------------- -------
IRELAND -- (0.5%)
Other Securities....................................... 544,161 0.6%
------------- -------
ISRAEL -- (0.5%)
Other Securities....................................... 500,977 0.5%
------------- -------
ITALY -- (2.9%)
Fiat Chrysler Automobiles NV........................... 13,679 237,331 0.3%
Other Securities....................................... 2,711,574 2.7%
------------- -------
TOTAL ITALY................................................ 2,948,905 3.0%
------------- -------
JAPAN -- (23.0%)
Bridgestone Corp....................................... 4,300 205,413 0.2%
Hitachi, Ltd........................................... 41,000 326,497 0.4%
Honda Motor Co., Ltd................................... 7,300 228,760 0.3%
Mitsubishi UFJ Financial Group, Inc.................... 31,270 212,109 0.2%
Sony Corp.............................................. 5,200 217,540 0.2%
Toyota Motor Corp...................................... 10,906 676,456 0.7%
Toyota Motor Corp. Sponsored ADR....................... 3,466 429,784 0.5%
Other Securities....................................... 21,383,682 21.9%
------------- -------
TOTAL JAPAN................................................ 23,680,241 24.4%
------------- -------
NETHERLANDS -- (2.6%)
Akzo Nobel NV.......................................... 2,821 254,682 0.3%
ING Groep NV........................................... 10,649 196,788 0.2%
Other Securities....................................... 2,218,898 2.2%
------------- -------
TOTAL NETHERLANDS.......................................... 2,670,368 2.7%
------------- -------
NEW ZEALAND -- (0.3%)
Other Securities....................................... 354,705 0.4%
------------- -------
NORWAY -- (0.8%)
Other Securities....................................... 871,894 0.9%
------------- -------
PORTUGAL -- (0.4%)
Other Securities....................................... 356,138 0.4%
------------- -------
SINGAPORE -- (1.0%)
Other Securities....................................... 1,072,100 1.1%
------------- -------
SPAIN -- (2.7%)
Banco Santander SA..................................... 35,532 240,880 0.3%
Iberdrola SA........................................... 32,770 264,815 0.3%
Other Securities....................................... 2,267,225 2.3%
------------- -------
TOTAL SPAIN................................................ 2,772,920 2.9%
------------- -------
SWEDEN -- (2.9%)
Other Securities....................................... 2,949,615 3.0%
------------- -------
SWITZERLAND -- (4.8%)
Nestle SA.............................................. 9,241 777,524 0.8%
* UBS Group AG........................................... 12,592 214,190 0.2%
Other Securities....................................... 3,963,775 4.1%
------------- -------
TOTAL SWITZERLAND.......................................... 4,955,489 5.1%
------------- -------
12
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (15.0%)
Anglo American P.L.C................................... 11,187 $ 211,021 0.2%
BHP Billiton P.L.C. ADR................................ 7,196 261,359 0.3%
# BP P.L.C. Sponsored ADR................................ 10,887 442,768 0.5%
HSBC Holdings P.L.C.................................... 20,768 202,802 0.2%
HSBC Holdings P.L.C. Sponsored ADR..................... 9,360 456,487 0.5%
# Rio Tinto P.L.C. Sponsored ADR......................... 8,120 389,192 0.4%
Royal Dutch Shell P.L.C. Class A....................... 8,681 273,282 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A........ 4,695 295,926 0.3%
Unilever P.L.C. Sponsored ADR.......................... 4,082 231,245 0.2%
# Vodafone Group P.L.C. Sponsored ADR.................... 9,842 285,232 0.3%
Other Securities....................................... 12,454,211 12.8%
------------- -------
TOTAL UNITED KINGDOM......................................... 15,503,525 16.0%
------------- -------
TOTAL COMMON STOCKS.......................................... 95,953,471 98.9%
------------- -------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Volkswagen AG.......................................... 1,614 295,528 0.3%
Other Securities....................................... 189,922 0.2%
------------- -------
TOTAL GERMANY................................................ 485,450 0.5%
------------- -------
TOTAL PREFERRED STOCKS....................................... 485,450 0.5%
------------- -------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities....................................... 1,473 0.0%
------------- -------
ISRAEL -- (0.0%)
Other Securities....................................... 2 0.0%
------------- -------
SPAIN -- (0.0%)
Other Securities....................................... 3,134 0.0%
------------- -------
TOTAL RIGHTS/WARRANTS........................................ 4,609 0.0%
------------- -------
TOTAL INVESTMENT SECURITIES.................................. 96,443,530
-------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (6.5%)
(S)@ DFA Short Term Investment Fund......................... 582,983 6,745,693 7.0%
------------- -------
TOTAL INVESTMENTS -- (100.0%)
(Cost $89,731,141)......................................... $ 103,189,223 106.4%
============= =======
13
CSTG&E INTERNATIONAL SOCIAL CORE 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
Australia........................................ $ 445,863 $ 5,263,803 -- $ 5,709,666
Austria.......................................... -- 611,363 -- 611,363
Belgium.......................................... -- 1,255,461 -- 1,255,461
Canada........................................... 8,688,809 -- -- 8,688,809
Denmark.......................................... 20,040 1,127,748 -- 1,147,788
Finland.......................................... 357,186 1,691,703 -- 2,048,889
France........................................... 234,415 7,648,968 -- 7,883,383
Germany.......................................... 231,683 6,459,780 -- 6,691,463
Hong Kong........................................ -- 2,735,611 -- 2,735,611
Ireland.......................................... 48,513 495,648 -- 544,161
Israel........................................... -- 500,977 -- 500,977
Italy............................................ 395,877 2,553,028 -- 2,948,905
Japan............................................ 800,842 22,879,399 -- 23,680,241
Netherlands...................................... 443,179 2,227,189 -- 2,670,368
New Zealand...................................... -- 354,705 -- 354,705
Norway........................................... 65,622 806,272 -- 871,894
Portugal......................................... -- 356,138 -- 356,138
Singapore........................................ -- 1,072,100 -- 1,072,100
Spain............................................ 486,119 2,286,801 -- 2,772,920
Sweden........................................... 32,506 2,917,109 -- 2,949,615
Switzerland...................................... 339,379 4,616,110 -- 4,955,489
United Kingdom................................... 3,236,052 12,267,473 -- 15,503,525
Preferred Stocks
Germany.......................................... -- 485,450 -- 485,450
Rights/Warrants
Australia........................................ -- 1,473 -- 1,473
Israel........................................... -- 2 -- 2
Spain............................................ -- 3,134 -- 3,134
Securities Lending Collateral..................... -- 6,745,693 -- 6,745,693
----------- ----------- -- ------------
TOTAL............................................. $15,826,085 $87,363,138 -- $103,189,223
=========== =========== == ============
See accompanying Notes to Financial Statements.
14
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
CSTG&E
CSTG&E U.S. INTERNATIONAL
SOCIAL CORE SOCIAL CORE
EQUITY 2 EQUITY
PORTFOLIO* PORTFOLIO*
-------------- --------------
ASSETS:
Investments at Value (including $8,512 and $6,838 of securities on loan, respectively)...... $ 101,625 $ 96,444
Temporary Cash Investments at Value & Cost.................................................. 201 --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $5,083
and $6,746)................................................................................ 5,084 6,746
Foreign Currencies at Value................................................................. -- 95
Cash........................................................................................ -- 24
Receivables:
Investment Securities Sold................................................................ 45 356
Dividends, Interest and Tax Reclaims...................................................... 74 282
Securities Lending Income................................................................. 5 7
Prepaid Expenses and Other Assets........................................................... 1 --
-------------- --------------
Total Assets........................................................................... 107,035 103,954
-------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................................................... 5,081 6,746
Investment Securities Purchased........................................................... -- 165
Due to Advisor............................................................................ 23 34
Accrued Expenses and Other Liabilities...................................................... 11 19
-------------- --------------
Total Liabilities...................................................................... 5,115 6,964
-------------- --------------
NET ASSETS.................................................................................. $ 101,920 $ 96,990
============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................................................... 5,852,058 9,623,477
============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................... $ 17.42 $ 10.08
============== ==============
Investments at Cost......................................................................... $ 57,904 $ 82,985
============== ==============
Foreign Currencies at Cost.................................................................. $ -- $ 96
============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................................. $ 54,529 $ 93,219
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income).................................................................................... 69 292
Accumulated Net Realized Gain (Loss)........................................................ 3,600 (9,978)
Net Unrealized Foreign Exchange Gain (Loss)................................................. -- (1)
Net Unrealized Appreciation (Depreciation).................................................. 43,722 13,458
-------------- --------------
NET ASSETS.................................................................................. $ 101,920 $ 96,990
============== ==============
(1) NUMBER OF SHARES AUTHORIZED............................................................. 1,000,000,000 1,000,000,000
============== ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
15
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
CSTG&E
CSTG&E U.S. INTERNATIONAL
SOCIAL CORE SOCIAL CORE
EQUITY 2 EQUITY
PORTFOLIO# PORTFOLIO#
----------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $221,
respectively)............................................ $ 1,752 $ 2,422
Non Cash Income............................................ -- 142
Income from Securities Lending............................. 37 84
------- -------
Total Investment Income................................ 1,789 2,648
------- -------
EXPENSES
Investment Management Fees................................. 258 374
Accounting & Transfer Agent Fees........................... 5 15
Custodian Fees............................................. 5 27
Filing Fees................................................ 1 1
Shareholders' Reports...................................... 3 3
Directors'/Trustees' Fees & Expenses....................... 1 1
Professional Fees.......................................... 1 2
Other...................................................... 31 51
------- -------
Total Expenses......................................... 305 474
------- -------
Fees Paid Indirectly (Note C).............................. -- (1)
------- -------
Net Expenses............................................... 305 473
------- -------
NET INVESTMENT INCOME (LOSS)............................... 1,484 2,175
------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................. 3,643 (708)
Affiliated Investment Companies Shares Sold.............. 2 --
Foreign Currency Transactions............................ -- (17)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 16,001 19,255
Affiliated Investment Companies Shares................... (2) (1)
Translation of Foreign Currency Denominated Amounts...... -- 8
------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS).................... 19,644 18,537
------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................. $21,128 $20,712
======= =======
----------
**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.
16
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
CSTG&E U.S. CSTG&E INTERNATIONAL
SOCIAL CORE SOCIAL CORE
EQUITY 2 PORTFOLIO 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).......................................... $ 1,484 $ 1,604 $ 2,175 $ 2,456
Net Realized Gain (Loss) on:
Investment Securities Sold**........................................ 3,643 1,695 (708) (2,942)
Affiliated Investment Companies Shares Sold......................... 2 -- -- --
Foreign Currency Transactions....................................... -- -- (17) 16
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 16,001 197 19,255 976
Affiliated Investment Companies Shares.............................. (2) -- (1) --
Translation of Foreign Currency Denominated Amounts................. -- -- 8 (8)
-------- ------- ------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 21,128 3,496 20,712 498
-------- ------- ------- --------
Distributions From:
Net Investment Income................................................. (1,529) (1,589) (2,207) (2,576)
Net Long-Term Gains................................................... (1,703) (1,316) -- --
-------- ------- ------- --------
Total Distributions................................................ (3,232) (2,905) (2,207) (2,576)
-------- ------- ------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 1,442 1,550 712 2,649
Shares Issued in Lieu of Cash Distributions........................... 3,232 2,905 2,207 2,576
Shares Redeemed....................................................... (6,483) (6,059) (5,596) (19,252)
-------- ------- ------- --------
Net Increase (Decrease) from Capital Share Transactions............ (1,809) (1,604) (2,677) (14,027)
-------- ------- ------- --------
Total Increase (Decrease) in Net Assets............................ 16,087 (1,013) 15,828 (16,105)
NET ASSETS
Beginning of Year..................................................... 85,833 86,846 81,162 97,267
End of Year........................................................... $101,920 $85,833 $96,990 $ 81,162
======== ======= ======= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 90 113 81 330
Shares Issued in Lieu of Cash Distributions........................... 202 210 243 328
Shares Redeemed....................................................... (404) (434) (600) (2,424)
-------- ------- ------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ (112) (111) (276) (1,766)
======== ======= ======= ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 69 $ 174 $ 292 $ 280
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
17
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CSTG&E U.S. SOCIAL CORE EQUITY 2 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................ $ 14.39 $ 14.30 $ 14.38 $ 13.08 $ 10.07
-------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.25 0.26 0.24 0.20 0.20
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 3.33 0.31 (0.08) 1.30 3.01
-------- ------- ------- ------- -------
Total from Investment Operations............... 3.58 0.57 0.16 1.50 3.21
-------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.26) (0.26) (0.24) (0.20) (0.20)
Net Realized Gains............................... (0.29) (0.22) -- -- --
-------- ------- ------- ------- -------
Total Distributions............................ (0.55) (0.48) (0.24) (0.20) (0.20)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 17.42 $ 14.39 $ 14.30 $ 14.38 $ 13.08
================================================= ======== ======== ======== ======== ========
Total Return...................................... 25.22% 4.18% 1.13% 11.54% 32.27%
-------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $101,920 $85,833 $86,846 $91,842 $89,269
Ratio of Expenses to Average Net Assets........... 0.32% 0.32% 0.34% 0.32% 0.35%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................. 0.32% 0.32% 0.34% 0.32% 0.35%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.55% 1.91% 1.67% 1.47% 1.71%
Portfolio Turnover Rate........................... 9% 16% 12% 11% 4%
-------------------------------------------------------------------------------------------------
CSTG&E INTERNATIONAL SOCIAL 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................ $ 8.20 $ 8.34 $ 8.74 $ 9.16 $ 7.39
------- ------- ------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.22 0.22 0.22 0.29 0.21
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.89 (0.14) (0.40) (0.43) 1.79
------- ------- ------- -------- --------
Total from Investment Operations............... 2.11 0.08 (0.18) (0.14) 2.00
----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.23) (0.22) (0.22) (0.28) (0.23)
Net Realized Gains............................... -- -- -- -- --
------- ------- ------- -------- --------
Total Distributions............................ (0.23) (0.22) (0.22) (0.28) (0.23)
----------------------------------------------------------------------------------------------------
Net Asset Value, End of Year...................... $ 10.08 $ 8.20 $ 8.34 $ 8.74 $ 9.16
================================================= ======== ======== ======== ======== ========
Total Return...................................... 26.00% 1.15% (2.15)% (1.71)% 27.54%
----------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................ $96,990 $81,162 $97,267 $100,169 $110,438
Ratio of Expenses to Average Net Assets........... 0.53% 0.55% 0.54% 0.53% 0.56%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................. 0.53% 0.55% 0.54% 0.53% 0.56%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.44% 2.73% 2.52% 3.08% 2.54%
Portfolio Turnover Rate........................... 15% 5% 8% 18% 8%
----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
18
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 whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors. The
Fund consists of one hundred operational portfolios, two of which, CSTG&E U.S.
Social Core Equity 2 Portfolio and CSTG&E International Social Core Equity
Portfolio (the "Portfolios"), are included in this report. The remaining
operational portfolios are presented in separate reports. The Portfolios are
investment companies and, accordingly, follow the accounting and reporting
guidance under Financial Accounting Standards Board ("FASB") Accounting
Standards Certification ("ASC") Topic 946, "Financial Services-Investment
Companies."
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 the 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 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 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 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.
CSTG&E International Social Core Equity Portfolio 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
19
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 CSTG&E International
Social Core Equity Portfolio is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time CSTG&E
International Social Core Equity Portfolio prices its shares at the close of
the NYSE, the Portfolio 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 CSTG&E International Social Core Equity Portfolio'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 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 CSTG&E International Social Core
Equity Portfolio utilizes data furnished by an independent pricing service (and
that data draws upon, among other information, the market values of foreign
investments). When CSTG&E International Social Core Equity Portfolio uses fair
value pricing, the values assigned to the 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.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. 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 CSTG&E International Social Core Equity Portfolio 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.
CSTG&E International Social Core Equity Portfolio 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
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
20
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.
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Expenses directly attributable
to a Portfolio are directly charged. Common expenses of the Fund or the
Portfolios are allocated using methods approved by the Board, generally based
on average net assets.
CSTG&E International Social Core Equity Portfolio 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. CSTG&E International Social Core Equity Portfolio accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. 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 0.27% and 0.42% of average daily net assets for CSTG&E
U.S. Social Core Equity 2 Portfolio and CSTG&E International Social Core Equity
Portfolio, respectively.
EARNED INCOME CREDIT:
In addition, CSTG&E International Social Core Equity Portfolio 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
----------
CSTG&E International Social Core Equity Portfolio. $1
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 Statement of Operations.
21
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):
CSTG&E U.S. Social Core Equity 2 Portfolio........ $4
CSTG&E International Social Core Equity Portfolio. 4
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2017, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
PURCHASES SALES
--------- -------
CSTG&E U.S. Social Core Equity 2 Portfolio........ $ 8,247 $10,086
CSTG&E International Social Core Equity Portfolio. 13,236 15,939
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/ INCOME CAPITAL GAIN
(LOSS) ON CHANGE IN FROM DISTRIBUTIONS
SALES OF UNREALIZED SHARES AFFILIATED FROM
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT AS OF INVESTMENT AFFILIATED
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES INVESTMENT
---------- --------- ---------- ------------ ------------- ---------- -------- ---------- -------------
CSTG&E U.S. SOCIAL
CORE EQUITY 2
PORTFOLIO
DFA Short Term
Investment Fund...... $16,539 $14,307 $25,762 $ 2 $(2) $5,084 439 $55 --
------- ------- ------- --- --- ------ --- --- --
TOTAL $16,539 $14,307 $25,762 $ 2 $(2) $5,084 439 $55 --
======= ======= ======= === === ====== === === ==
CSTG&E
INTERNATIONAL SOCIAL
CORE EQUITY
PORTFOLIO
DFA Short Term
Investment Fund...... $ 3,822 $36,341 $33,416 $-- $(1) $6,746 583 $56 --
------- ------- ------- --- --- ------ --- --- --
TOTAL $ 3,822 $36,341 $33,416 $-- $(1) $6,746 583 $56 --
======= ======= ======= === === ====== === === ==
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax and realized gains on
securities
22
considered to be "passive foreign investment companies", were reclassified to
the following accounts. These reclassifications had no effect on net assets or
net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
CSTG&E U.S. Social Core Equity 2 Portfolio........ $ 93 $(60) $(33)
CSTG&E International Social Core Equity Portfolio. (904) 44 860
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
-------------- ------------- ------
CSTG&E U.S. Social Core Equity 2 Portfolio
2016.............................................. $1,589 $1,316 $2,905
2017.............................................. 1,529 1,703 3,232
CSTG&E International Social Core Equity Portfolio
2016.............................................. 2,576 -- 2,576
2017.............................................. 2,207 -- 2,207
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
-------------- ------------- -----
CSTG&E U.S. Social Core Equity 2 Portfolio........ $(27) $(66) $(93)
CSTG&E International Social Core Equity Portfolio. -- -- --
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)
-------------- ------------- ------------- -------------- -------------
CSTG&E U.S. Social Core Equity 2
Portfolio...................... $ 76 $3,580 -- $43,736 $47,392
CSTG&E International Social Core
Equity Portfolio............... 607 -- $(9,871) 13,041 3,777
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2017, the
Portfolios had the following capital loss carryforwards available to offset
23
future realized capital gains through October 31 of the indicated expiration
dates, as applicable (amounts in thousands):
UNLIMITED TOTAL
--------- -----
CSTG&E U.S. Social Core Equity 2 Portfolio........ -- --
CSTG&E International Social Core Equity Portfolio. 9,871 9,871
During the year ended October 31, 2017, the Portfolios did not utilize
capital loss carryforwards to offset realized capital gains for federal income
tax purposes.
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)
-------- ------------ ------------ --------------
CSTG&E U.S. Social Core Equity 2 Portfolio.................. $63,173 $45,863 $ (2,127) $43,736
CSTG&E International Social Core Equity Portfolio........... 90,148 25,435 (12,394) 13,041
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
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. No Portfolio is
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each Portfolio's federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities held
by CSTG&E International Social Core Equity Portfolio may be inhibited.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
24
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 LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
CSTG&E U.S. Social Core Equity 2
Portfolio............................. 1.63% $1,351 9 $1 $2,668
CSTG&E International Social Core Equity
Portfolio............................. 1.66% 341 46 1 1,636
* 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.
I. 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)
--------- --------- ------ --------------------
CSTG&E U.S. Social Core Equity 2 Portfolio.................. $ 623 $1,162 $184
CSTG&E International Social Core Equity Portfolio........... 1,105 1,611 189
25
J. SECURITIES LENDING:
As of October 31, 2017, the Portfolios had securities on loan to
brokers/dealers, for which each Portfolio received cash collateral. In
addition, the Portfolios received non-cash collateral consisting of
short-and/or long-term U.S Treasuries and U.S. government agency securities as
follows (amounts in thousands):
MARKET
VALUE
------
CSTG&E U.S. Social Core Equity 2 Portfolio.................. $3,656
CSTG&E International Social Core Equity Portfolio........... 458
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
Portfolios' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, the Portfolios 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 Portfolios also may invest the cash
collateral received for the loaned securities in securities of the U.S.
government or its agencies, repurchase agreements collateralized by securities
of the U.S. government or its agencies, and affiliated and unaffiliated
registered and unregistered money market funds. For purposes of this paragraph,
agencies include both agency debentures and agency mortgage-backed securities.
In addition, the Portfolios 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
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
Common Stocks.............................. $5,083,587 -- -- -- $5,083,587
CSTG&E INTERNATIONAL SOCIAL CORE EQUITY
PORTFOLIO
Common Stocks.............................. 6,745,693 -- -- -- 6,745,693
26
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. 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, the following number of shareholders held the following
approximate percentages of the stated Portfolios' outstanding shares. One or
more of the shareholders are omnibus accounts, which typically hold shares for
the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -------------
CSTG&E U.S. Social Core Equity 2 Portfolio........ 2 97%
CSTG&E International Social Core Equity Portfolio. 2 98%
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
27
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 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
CSTG&E U.S. Social Core Equity 2 Portfolio and CSTG&E International Social Core
Equity Portfolio (two 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 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 custodians,
broker and the transfer agent of the investee fund, provide a reasonable basis
for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
28
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.
29
OTHER
TERM OF PORTFOLIOS WITHIN DIRECTORSHIPS OF
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND PUBLIC COMPANIES
AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
-----------------------------------------------------------------------------------------------------------------------
George M. Constantinides Director of DFAIDG- Leo Melamed Professor of 126 portfolios in None
University of Chicago DFAIDG Since 1983 Finance, University of 4 investment
Booth School of Business and DIG DIG- Chicago Booth School of companies
5807 S. Woodlawn Trustee of Since 1993 Business (since 1978).
Avenue DFAITC DFAITC-
Chicago, IL 60637 and DEM Since 1992
1947 DEM-
Since 1993
-----------------------------------------------------------------------------------------------------------------------
Douglas W. Diamond Director of DFAIDG- Merton H. Miller 126 portfolios in None
University of Chicago DFAIDG Since June Distinguished Service 4 investment
Booth School of Business and DIG 2017 Professor of Finance, companies
5807 S. Woodlawn Trustee of DIG- Since University of Chicago
Avenue DFAITC June 2017 Booth School of Business
Chicago, IL 60637 and DEM DFAITC- Since (since 1988). Visiting
1953 June 2017 Scholar, Federal Reserve
DEM- Since Bank of Richmond (since
June 2017 1990). Formerly, Fischer
Black Visiting Professor
of Financial Economics,
Alfred P. Sloan School
of Management,
Massachusetts Institute
of Technology (2015 to
2016).
-----------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Director of DFAIDG- Professor in Practice 126 portfolios in None
Yale School of DFAIDG Since 1981 Emeritus of Finance, 4 investment
Management and DIG DIG- Yale School of companies
P.O. Box 208200 Trustee of Since 1993 Management (since 1984).
New Haven, CT DFAITC DFAITC- Chairman, CIO and
06520-8200 and DEM Since 1992 Partner, Zebra Capital
1943 DEM- Management, LLC (hedge
Since 1993 fund and asset manager)
(since 2001). Formerly,
Consultant to
Morningstar, Inc.
(2006-2016).
-----------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Director of DFAIDG- Distinguished Visiting 126 portfolios in None
Stanford University DFAIDG Since 2010 Fellow, Becker Friedman 4 investment
Graduate School of and DIG DIG- Institute for Research companies
Business Trustee of Since 2010 in Economics, University
Knight Management DFAITC DFAITC- of Chicago (since
Center, E346 and DEM Since 2010 2015). Morris Arnold Cox
Stanford, CA 94305 DEM- Senior Fellow, Hoover
1948 Since 2010 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).
-----------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Director of DFAIDG- Chief Investment 126 portfolios in Formerly, Adviser,
c/o Dimensional Fund DFAIDG Since 1981 Strategist, Janus 4 investment Kuapay, Inc.
Advisors LP and DIG DIG- Henderson Investors companies (2013-2014).
6300 Bee Cave Road, Trustee of Since 1993 (since 2014). Frank E. Formerly, Director,
Building One DFAITC DFAITC- Buck Professor of American Century
Austin, TX 78746 and DEM Since 1992 Finance, Emeritus, Fund Complex
1941 DEM- Graduate School of (registered
Since 1993 Business, Stanford investment
University (since 1981). companies) (43
Portfolios)
(1980-2014).
-----------------------------------------------------------------------------------------------------------------------
30
OTHER
TERM OF PORTFOLIOS WITHIN DIRECTORSHIPS OF
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND PUBLIC COMPANIES
AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
-------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Director of DFAIDG- Boris and Irene Stern 126 portfolios in Lead Director,
University of Chicago DFAIDG Since 2000 Distinguished Service 4 investment (beginning May
Booth School of Business and DIG DIG- Professor of Accounting, companies 2014) and Director
5807 S. Woodlawn Trustee of Since 2000 University of Chicago (since 2000), HNI
Avenue DFAITC DFAITC- Booth School of Business Corporation
Chicago, IL 60637 and DEM Since 2000 (since 1980). (formerly known as
1953 DEM- Since HON Industries
2000 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).
-------------------------------------------------------------------------------------------------------------------------
31
OTHER
TERM OF PORTFOLIOS WITHIN DIRECTORSHIPS OF
OFFICE/1/ AND THE DFA FUND PUBLIC COMPANIES
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
-----------------------------------------------------------------------------------------------------------------------------
David G. Booth Chairman DFAIDG- Chairman, Director/Trustee, and 126 portfolios in None
6300 Bee Cave Road, Director of Since 1981 formerly, President and Co-Chief 4 investment
Building One DFAIDG DIG- Since Executive Officer (each until March companies
Austin, TX 78746 and DIG 1992 2017) of Dimensional Emerging
1946 Trustee of DFAITC- Markets Value Fund ("DEM"), DFAIDG,
DFAITC Since 1992 Dimensional Investment Group Inc.
and DEM DEM- ("DIG") and The DFA Investment Trust
Since 1993 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.
32
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
1967 Assistant Secretary DFA Entities, DFA 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
1964 Officer (since 2017); 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 Since 2017 Executive Vice President (since March 2017) and
1972 President formerly, Vice 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. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance
Officer and Chief Privacy Officer of Dimensional
Fund Advisors Canada ULC (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.
----------------------------------------------------------------------------------------------------------------------
33
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------
(Michael) Sam Gilliland Executive Vice Since 2017 Executive Vice President and Chief Operating
1962 President Officer of the DFA Fund Complex (since March
2017). Executive Vice President (since 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).
------------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Chief Since 2015 Vice President, Chief Financial Officer, and
1958 Financial Officer, and Treasurer of all the DFA Entities. Chief
Treasurer Financial Officer, Treasurer and Vice 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 since 2004 Vice President and Assistant Secretary (since
1973 Assistant Secretary and Assistant Secretary 2004 and March 2017, respectively) of all the DFA
since 2017 Entities and Dimensional Cayman Commodity Fund I
Ltd.
------------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
------------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell President and General Since 2017 President and General Counsel (since March 2017),
1964 Counsel and formerly, Vice President and Secretary (1997
and 2000, respectively, to 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.
------------------------------------------------------------------------------------------------------------------------------
34
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer (since December 2012) of Dimensional Fund
Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President and Vice President since 2010 Vice President and Secretary (since 2010 and March
1974 Secretary and Secretary since 2017 2017, respectively) of all the DFA Entities,
Dimensional Cayman Commodity Fund I Ltd., and
Dimensional Fund Advisors Canada ULC (since April
2016).
------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Co-Chief Executive Since 2017 Co-Chief Executive Officer and Chief Investment
1976 Officer and Chief Officer of DFAIDG, DFAITC, DIG and DEM (since
Investment Officer September, 2017) and Dimensional 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).
------------------------------------------------------------------------------------------------------------------------
35
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.
36
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 QUALIFYING FOREIGN FOREIGN
DFA INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX SOURCE
DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) CREDIT (3) INCOME (4)
--------------------- ------------- ------------- ------------- ------------- ------------- ---------- ---------- ----------
CSTG&E U.S. Social
Core Equity 2
Portfolio............ 47% -- 53% 100% 100% 100% -- --
CSTG&E International
Social Core Equity
Portfolio............ 100% -- -- 100% 100% 100% 6% 114%
QUALIFYING
SHORT-
QUALIFYING TERM
DFA INVESTMENT INTEREST CAPITAL
DIMENSIONS GROUP INC. INCOME (5) GAIN (6)
--------------------- ---------- ----------
CSTG&E U.S. Social
Core Equity 2
Portfolio............ 100% 100%
CSTG&E International
Social Core Equity
Portfolio............ 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(5)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(6)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
37
DFA103117-015A
[LOGO] 00202784
[LOGO]
Annual Report
YEAR ENDED: OCTOBER 31, 2017
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
DFA SOCIAL FIXED INCOME PORTFOLIO
[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
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES.......................... 1
Performance Charts............................................... 2
Management's Discussion and Analysis............................. 5
Disclosure of Fund Expenses...................................... 10
Disclosure of Portfolio Holdings................................. 12
Summary Schedules of Portfolio Holdings/Schedule of Investments
U.S. Social Core Equity 2 Portfolio.......................... 14
U.S. Sustainability Core 1 Portfolio......................... 17
International Sustainability Core 1 Portfolio................ 20
International Social Core Equity Portfolio................... 24
Emerging Markets Social Core Equity Portfolio................ 28
DFA Social Fixed Income Portfolio............................ 33
Statements of Assets and Liabilities............................. 40
Statements of Operations......................................... 42
Statements of Changes in Net Assets.............................. 44
Financial Highlights............................................. 46
Notes to Financial Statements.................................... 49
Report of Independent Registered Public Accounting Firm.......... 64
FUND MANAGEMENT..................................................... 65
VOTING PROXIES ON FUND PORTFOLIO SECURITIES......................... 72
NOTICE TO SHAREHOLDERS.............................................. 73
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
---------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
P.L.C. Public Limited Company
CAD Canadian Dollar
EUR Euro
SEK Swedish Krona
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.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Because of commencement of operations and related preliminary transaction costs, these ratios are
not necessarily indicative of future ratios.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Social Core Russell 3000(R)
Equity 2 Portfolio Index
------------------------- -----------------------
10/2007 $10,000 $10,000
11/2007 $9,396 $9,550
12/2007 $9,303 $9,492
01/2008 $8,839 $8,917
02/2008 $8,576 $8,640
03/2008 $8,557 $8,589
04/2008 $9,014 $9,018
05/2008 $9,267 $9,203
06/2008 $8,425 $8,443
07/2008 $8,374 $8,376
08/2008 $8,557 $8,506
09/2008 $7,772 $7,706
10/2008 $6,250 $6,340
11/2008 $5,617 $5,839
12/2008 $5,754 $5,951
01/2009 $5,135 $5,451
02/2009 $4,537 $4,880
03/2009 $5,011 $5,308
04/2009 $5,746 $5,866
05/2009 $6,005 $6,179
06/2009 $5,974 $6,200
07/2009 $6,525 $6,683
08/2009 $6,785 $6,922
09/2009 $7,135 $7,212
10/2009 $6,844 $7,026
11/2009 $7,125 $7,426
12/2009 $7,461 $7,637
01/2010 $7,168 $7,362
02/2010 $7,503 $7,612
03/2010 $8,059 $8,091
04/2010 $8,395 $8,266
05/2010 $7,713 $7,613
06/2010 $7,149 $7,175
07/2010 $7,685 $7,673
08/2010 $7,191 $7,312
09/2010 $7,968 $8,003
10/2010 $8,264 $8,315
11/2010 $8,443 $8,363
12/2010 $9,139 $8,930
01/2011 $9,319 $9,125
02/2011 $9,775 $9,458
03/2011 $9,899 $9,500
04/2011 $10,101 $9,783
05/2011 $9,910 $9,671
06/2011 $9,723 $9,498
07/2011 $9,403 $9,280
08/2011 $8,658 $8,723
09/2011 $7,789 $8,047
10/2011 $8,890 $8,973
11/2011 $8,858 $8,948
12/2011 $8,897 $9,022
01/2012 $9,392 $9,477
02/2012 $9,811 $9,878
03/2012 $10,042 $10,183
04/2012 $9,935 $10,116
05/2012 $9,213 $9,491
06/2012 $9,536 $9,862
07/2012 $9,580 $9,960
08/2012 $9,893 $10,209
09/2012 $10,178 $10,477
10/2012 $10,102 $10,296
11/2012 $10,189 $10,376
12/2012 $10,455 $10,503
01/2013 $11,128 $11,079
02/2013 $11,260 $11,226
03/2013 $11,727 $11,666
04/2013 $11,771 $11,857
05/2013 $12,235 $12,137
06/2013 $12,113 $11,979
07/2013 $12,824 $12,636
08/2013 $12,424 $12,283
09/2013 $12,948 $12,740
10/2013 $13,483 $13,281
11/2013 $13,929 $13,666
12/2013 $14,331 $14,027
01/2014 $13,716 $13,584
02/2014 $14,343 $14,228
03/2014 $14,546 $14,303
04/2014 $14,477 $14,321
05/2014 $14,729 $14,633
06/2014 $15,230 $15,000
07/2014 $14,794 $14,704
08/2014 $15,391 $15,321
09/2014 $14,835 $15,002
10/2014 $15,169 $15,415
11/2014 $15,399 $15,788
12/2014 $15,478 $15,788
01/2015 $14,829 $15,349
02/2015 $15,785 $16,237
03/2015 $15,671 $16,072
04/2015 $15,730 $16,145
05/2015 $15,872 $16,368
06/2015 $15,663 $16,094
07/2015 $15,604 $16,364
08/2015 $14,749 $15,376
09/2015 $14,222 $14,928
10/2015 $15,248 $16,107
11/2015 $15,367 $16,196
12/2015 $14,760 $15,864
01/2016 $13,833 $14,969
02/2016 $13,967 $14,964
03/2016 $15,023 $16,017
04/2016 $15,145 $16,117
05/2016 $15,366 $16,405
06/2016 $15,245 $16,439
07/2016 $15,897 $17,091
08/2016 $16,081 $17,135
09/2016 $16,124 $17,162
10/2016 $15,766 $16,790
11/2016 $17,013 $17,542
12/2016 $17,384 $17,884
01/2017 $17,647 $18,221
02/2017 $18,123 $18,898
03/2017 $18,070 $18,911
04/2017 $18,220 $19,112
05/2017 $18,158 $19,307
06/2017 $18,449 $19,481
07/2017 $18,752 $19,849 Past performance is not predictive of
08/2017 $18,563 $19,887 future performance.
09/2017 $19,326 $20,372 The returns shown do not reflect the
10/2017 $19,706 $20,816 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
24.99% 14.30% 7.02% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. SUSTAINABILITY CORE 1 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
MARCH 12, 2008-OCTOBER 31, 2017
[CHART]
U.S. Sustainability Russell 3000(R)
Core 1 Portfolio Index
------------------------ -----------------------
03/2008 $10,000 $10,000
03/2008 $10,190 $10,127
04/2008 $10,650 $10,633
05/2008 $10,910 $10,851
06/2008 $10,056 $9,955
07/2008 $10,006 $9,876
08/2008 $10,217 $10,029
09/2008 $9,270 $9,086
10/2008 $7,438 $7,475
11/2008 $6,794 $6,885
12/2008 $6,955 $7,016
01/2009 $6,315 $6,428
02/2009 $5,615 $5,754
03/2009 $6,162 $6,258
04/2009 $6,948 $6,917
05/2009 $7,305 $7,286
06/2009 $7,326 $7,311
07/2009 $7,951 $7,880
08/2009 $8,259 $8,161
09/2009 $8,680 $8,503
10/2009 $8,382 $8,285
11/2009 $8,783 $8,755
12/2009 $9,136 $9,005
01/2010 $8,836 $8,680
02/2010 $9,177 $8,975
03/2010 $9,785 $9,540
04/2010 $10,106 $9,746
05/2010 $9,288 $8,976
06/2010 $8,694 $8,460
07/2010 $9,286 $9,047
08/2010 $8,756 $8,622
09/2010 $9,632 $9,436
10/2010 $9,987 $9,804
11/2010 $10,112 $9,861
12/2010 $10,843 $10,529
01/2011 $11,063 $10,759
02/2011 $11,503 $11,151
03/2011 $11,620 $11,201
04/2011 $11,914 $11,535
05/2011 $11,746 $11,403
06/2011 $11,543 $11,198
07/2011 $11,237 $10,942
08/2011 $10,457 $10,286
09/2011 $9,522 $9,487
10/2011 $10,717 $10,579
11/2011 $10,707 $10,551
12/2011 $10,771 $10,637
01/2012 $11,356 $11,174
02/2012 $11,867 $11,647
03/2012 $12,167 $12,006
04/2012 $12,050 $11,927
05/2012 $11,239 $11,190
06/2012 $11,649 $11,628
07/2012 $11,734 $11,744
08/2012 $12,098 $12,037
09/2012 $12,444 $12,353
10/2012 $12,282 $12,140
11/2012 $12,390 $12,234
12/2012 $12,608 $12,384
01/2013 $13,380 $13,063
02/2013 $13,543 $13,236
03/2013 $14,107 $13,755
04/2013 $14,249 $13,980
05/2013 $14,728 $14,310
06/2013 $14,561 $14,124
07/2013 $15,436 $14,898
08/2013 $14,998 $14,483
09/2013 $15,614 $15,021
10/2013 $16,262 $15,659
11/2013 $16,778 $16,113
12/2013 $17,233 $16,539
01/2014 $16,633 $16,016
02/2014 $17,422 $16,776
03/2014 $17,551 $16,865
04/2014 $17,506 $16,885
05/2014 $17,862 $17,254
06/2014 $18,393 $17,686
07/2014 $17,935 $17,338
08/2014 $18,706 $18,065
09/2014 $18,186 $17,688
10/2014 $18,646 $18,175
11/2014 $18,994 $18,616
12/2014 $19,023 $18,615
01/2015 $18,406 $18,097
02/2015 $19,560 $19,145
03/2015 $19,411 $18,950
04/2015 $19,480 $19,036
05/2015 $19,721 $19,299
06/2015 $19,468 $18,977
07/2015 $19,606 $19,294
08/2015 $18,514 $18,129
09/2015 $17,904 $17,601
10/2015 $19,220 $18,991
11/2015 $19,358 $19,096
12/2015 $18,789 $18,704
01/2016 $17,687 $17,649
02/2016 $17,804 $17,643
03/2016 $19,078 $18,886
04/2016 $19,078 $19,003
05/2016 $19,431 $19,343
06/2016 $19,269 $19,382
07/2016 $20,120 $20,152
08/2016 $20,262 $20,203
09/2016 $20,311 $20,235
10/2016 $19,837 $19,797
11/2016 $21,034 $20,683
12/2016 $21,403 $21,086
01/2017 $21,787 $21,483
02/2017 $22,544 $22,282
03/2017 $22,579 $22,297
04/2017 $22,820 $22,534
05/2017 $22,929 $22,764
06/2017 $23,204 $22,970
07/2017 $23,652 $23,403 Past performance is not predictive of
08/2017 $23,603 $23,448 future performance.
09/2017 $24,298 $24,020 The returns shown do not reflect the
10/2017 $24,831 $24,544 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
25.18% 15.12% 9.90% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
March 12, 2008-October 31, 2017
[CHART]
International Sustainability MSCI World ex USA Index
Core 1 Portfolio (net dividends)
------------------------- -----------------------
03/2008 $10,000 $10,000
03/2008 $10,110 $10,013
04/2008 $10,500 $10,570
05/2008 $10,680 $10,730
06/2008 $9,760 $9,896
07/2008 $9,386 $9,544
08/2008 $9,062 $9,175
09/2008 $7,852 $7,850
10/2008 $6,087 $6,217
11/2008 $5,752 $5,880
12/2008 $6,182 $6,190
01/2009 $5,477 $5,612
02/2009 $4,915 $5,044
03/2009 $5,314 $5,377
04/2009 $6,052 $6,070
05/2009 $6,912 $6,838
06/2009 $6,840 $6,767
07/2009 $7,482 $7,402
08/2009 $7,887 $7,757
09/2009 $8,257 $8,077
10/2009 $8,008 $7,947
11/2009 $8,226 $8,144
12/2009 $8,342 $8,274
01/2010 $7,986 $7,886
02/2010 $7,986 $7,878
03/2010 $8,562 $8,385
04/2010 $8,478 $8,260
05/2010 $7,494 $7,349
06/2010 $7,373 $7,242
07/2010 $8,125 $7,912
08/2010 $7,807 $7,675
09/2010 $8,604 $8,411
10/2010 $8,912 $8,711
11/2010 $8,540 $8,342
12/2010 $9,304 $9,014
01/2011 $9,518 $9,208
02/2011 $9,871 $9,550
03/2011 $9,691 $9,358
04/2011 $10,216 $9,868
05/2011 $9,938 $9,575
06/2011 $9,762 $9,439
07/2011 $9,534 $9,283
08/2011 $8,687 $8,498
09/2011 $7,720 $7,645
10/2011 $8,429 $8,389
11/2011 $8,189 $8,001
12/2011 $7,998 $7,914
01/2012 $8,526 $8,341
02/2012 $8,955 $8,799
03/2012 $8,962 $8,734
04/2012 $8,774 $8,586
05/2012 $7,771 $7,607
06/2012 $8,250 $8,106
07/2012 $8,227 $8,207
08/2012 $8,507 $8,441
09/2012 $8,776 $8,697
10/2012 $8,866 $8,758
11/2012 $9,057 $8,942
12/2012 $9,445 $9,212
01/2013 $9,841 $9,665
02/2013 $9,728 $9,569
03/2013 $9,852 $9,645
04/2013 $10,260 $10,084
05/2013 $10,045 $9,858
06/2013 $9,766 $9,489
07/2013 $10,317 $9,994
08/2013 $10,191 $9,865
09/2013 $10,959 $10,562
10/2013 $11,294 $10,917
11/2013 $11,363 $10,984
12/2013 $11,584 $11,149
01/2014 $11,142 $10,699
02/2014 $11,793 $11,283
03/2014 $11,765 $11,232
04/2014 $11,894 $11,410
05/2014 $12,046 $11,586
06/2014 $12,216 $11,751
07/2014 $11,896 $11,541
08/2014 $11,944 $11,551
09/2014 $11,400 $11,076
10/2014 $11,245 $10,900
11/2014 $11,257 $11,034
12/2014 $10,889 $10,667
01/2015 $10,877 $10,629
02/2015 $11,558 $11,264
03/2015 $11,379 $11,076
04/2015 $11,894 $11,556
05/2015 $11,906 $11,455
06/2015 $11,602 $11,130
07/2015 $11,663 $11,306
08/2015 $10,911 $10,483
09/2015 $10,453 $9,953
10/2015 $11,123 $10,702
11/2015 $11,062 $10,532
12/2015 $10,860 $10,343
01/2016 $10,236 $9,631
02/2016 $10,004 $9,497
03/2016 $10,744 $10,141
04/2016 $10,941 $10,467
05/2016 $10,990 $10,349
06/2016 $10,535 $10,035
07/2016 $11,058 $10,528
08/2016 $11,132 $10,538
09/2016 $11,290 $10,666
10/2016 $11,041 $10,459
11/2016 $10,866 $10,291
12/2016 $11,166 $10,627
01/2017 $11,567 $10,944
02/2017 $11,693 $11,070
03/2017 $12,056 $11,351
04/2017 $12,458 $11,592
05/2017 $12,848 $11,979
06/2017 $12,929 $11,990
07/2017 $13,323 $12,347 Past performance is not predictive of
08/2017 $13,349 $12,344 future performance.
09/2017 $13,682 $12,664 The returns shown do not reflect the
10/2017 $13,874 $12,837 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
25.66% 9.37% 3.46% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
November 1, 2012-October 31, 2017
[CHART]
International Social Core MSCI World ex USA Index
Equity Portfolio (net dividends)
-------------------------- -----------------------
11/2012 $10,000 $10,000
11/2012 $10,070 $10,146
12/2012 $10,534 $10,452
01/2013 $10,969 $10,966
02/2013 $10,828 $10,857
03/2013 $10,939 $10,943
04/2013 $11,394 $11,442
05/2013 $11,091 $11,185
06/2013 $10,755 $10,766
07/2013 $11,408 $11,339
08/2013 $11,316 $11,193
09/2013 $12,152 $11,984
10/2013 $12,581 $12,386
11/2013 $12,622 $12,462
12/2013 $12,889 $12,650
01/2014 $12,455 $12,139
02/2014 $13,188 $12,802
03/2014 $13,158 $12,744
04/2014 $13,303 $12,945
05/2014 $13,438 $13,145
06/2014 $13,658 $13,332
07/2014 $13,290 $13,095
08/2014 $13,321 $13,105
09/2014 $12,605 $12,567
10/2014 $12,405 $12,367
11/2014 $12,320 $12,519
12/2014 $11,983 $12,103
01/2015 $11,876 $12,060
02/2015 $12,676 $12,780
03/2015 $12,416 $12,567
04/2015 $13,068 $13,111
05/2015 $13,068 $12,997
06/2015 $12,785 $12,628
07/2015 $12,752 $12,828
08/2015 $11,984 $11,894
09/2015 $11,469 $11,293
10/2015 $12,197 $12,143
11/2015 $12,132 $11,950
12/2015 $11,893 $11,735
01/2016 $11,139 $10,927
02/2016 $10,954 $10,775
03/2016 $11,830 $11,506
04/2016 $12,203 $11,876
05/2016 $12,137 $11,742
06/2016 $11,710 $11,385
07/2016 $12,277 $11,945
08/2016 $12,388 $11,956
09/2016 $12,624 $12,102
10/2016 $12,434 $11,867
11/2016 $12,311 $11,676
12/2016 $12,643 $12,058
01/2017 $13,160 $12,417
02/2017 $13,250 $12,560
03/2017 $13,576 $12,879
04/2017 $13,925 $13,152
05/2017 $14,297 $13,591
06/2017 $14,421 $13,604
07/2017 $14,979 $14,009 Past performance is not predictive of
08/2017 $15,024 $14,005 future performance.
09/2017 $15,447 $14,369 The returns shown do not reflect the
10/2017 $15,665 $14,565 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
25.98% 9.40% rights reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2007-October 31, 2017
[CHART]
Emerging Markets Social Core MSCI Emerging Markets Index
Equity Portfolio (net dividends)
---------------------------- ---------------------------
10/2007 $10,000 $10,000
11/2007 $9,265 $9,291
12/2007 $9,237 $9,324
01/2008 $8,333 $8,160
02/2008 $8,634 $8,762
03/2008 $8,343 $8,299
04/2008 $8,885 $8,972
05/2008 $8,952 $9,139
06/2008 $7,958 $8,227
07/2008 $7,821 $7,917
08/2008 $7,288 $7,284
09/2008 $6,098 $6,010
10/2008 $4,339 $4,365
11/2008 $4,026 $4,036
12/2008 $4,434 $4,351
01/2009 $4,043 $4,070
02/2009 $3,746 $3,841
03/2009 $4,329 $4,392
04/2009 $5,131 $5,123
05/2009 $6,142 $5,999
06/2009 $6,086 $5,918
07/2009 $6,831 $6,583
08/2009 $6,888 $6,560
09/2009 $7,492 $7,155
10/2009 $7,358 $7,164
11/2009 $7,819 $7,472
12/2009 $8,151 $7,767
01/2010 $7,702 $7,334
02/2010 $7,779 $7,360
03/2010 $8,482 $7,954
04/2010 $8,565 $8,050
05/2010 $7,705 $7,342
06/2010 $7,753 $7,288
07/2010 $8,471 $7,895
08/2010 $8,348 $7,742
09/2010 $9,339 $8,602
10/2010 $9,612 $8,852
11/2010 $9,365 $8,618
12/2010 $10,060 $9,233
01/2011 $9,760 $8,983
02/2011 $9,603 $8,899
03/2011 $10,142 $9,422
04/2011 $10,516 $9,714
05/2011 $10,210 $9,460
06/2011 $10,058 $9,314
07/2011 $10,024 $9,273
08/2011 $9,128 $8,444
09/2011 $7,565 $7,213
10/2011 $8,526 $8,168
11/2011 $8,160 $7,624
12/2011 $7,920 $7,532
01/2012 $8,846 $8,386
02/2012 $9,438 $8,889
03/2012 $9,138 $8,592
04/2012 $8,909 $8,489
05/2012 $7,969 $7,537
06/2012 $8,329 $7,828
07/2012 $8,322 $7,981
08/2012 $8,399 $7,954
09/2012 $8,887 $8,434
10/2012 $8,817 $8,383
11/2012 $8,944 $8,490
12/2012 $9,533 $8,905
01/2013 $9,613 $9,027
02/2013 $9,547 $8,914
03/2013 $9,428 $8,760
04/2013 $9,515 $8,827
05/2013 $9,240 $8,600
06/2013 $8,552 $8,053
07/2013 $8,676 $8,137
08/2013 $8,472 $7,997
09/2013 $9,088 $8,517
10/2013 $9,499 $8,931
11/2013 $9,330 $8,800
12/2013 $9,233 $8,673
01/2014 $8,626 $8,110
02/2014 $8,937 $8,378
03/2014 $9,255 $8,636
04/2014 $9,321 $8,664
05/2014 $9,625 $8,967
06/2014 $9,871 $9,205
07/2014 $9,960 $9,383
08/2014 $10,242 $9,595
09/2014 $9,547 $8,883
10/2014 $9,592 $8,988
11/2014 $9,510 $8,893
12/2014 $9,117 $8,483
01/2015 $9,185 $8,534
02/2015 $9,456 $8,798
03/2015 $9,253 $8,673
04/2015 $9,871 $9,340
05/2015 $9,509 $8,966
06/2015 $9,240 $8,733
07/2015 $8,626 $8,128
08/2015 $7,861 $7,393
09/2015 $7,687 $7,170
10/2015 $8,146 $7,682
11/2015 $7,886 $7,382
12/2015 $7,704 $7,218
01/2016 $7,335 $6,750
02/2016 $7,327 $6,738
03/2016 $8,290 $7,630
04/2016 $8,382 $7,672
05/2016 $8,027 $7,385
06/2016 $8,468 $7,681
07/2016 $8,958 $8,067
08/2016 $9,043 $8,268
09/2016 $9,172 $8,374
10/2016 $9,195 $8,394
11/2016 $8,695 $8,008
12/2016 $8,720 $8,025
01/2017 $9,262 $8,464
02/2017 $9,608 $8,723
03/2017 $9,933 $8,944
04/2017 $10,114 $9,139
05/2017 $10,334 $9,410
06/2017 $10,436 $9,504
07/2017 $10,974 $10,071
08/2017 $11,234 $10,296 Past performance is not predictive of
09/2017 $11,154 $10,255 future performance.
10/2017 $11,498 $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
25.04% 5.45% 1.41% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SOCIAL FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX
April 5, 2016-October 31, 2017
[CHART]
DFA Social Fixed Bloomberg Barclays
Income Portfolio U.S. Aggregate Bond Index
------------------ ---------------------------
04/2016 $10,000 $10,000
04/2016 $9,973 $10,010
05/2016 $9,955 $10,012
06/2016 $10,148 $10,192
07/2016 $10,196 $10,257
08/2016 $10,142 $10,245
09/2016 $10,159 $10,239
10/2016 $10,075 $10,161
11/2016 $9,809 $9,920
12/2016 $9,812 $9,934
01/2017 $9,853 $9,954
02/2017 $9,917 $10,021
03/2017 $9,925 $10,015
04/2017 $10,010 $10,093
05/2017 $10,088 $10,170
06/2017 $10,065 $10,160
07/2017 $10,122 $10,204 Past performance is not predictive of
08/2017 $10,222 $10,295 future performance.
09/2017 $10,140 $10,246 The returns shown do not reflect the
10/2017 $10,148 $10,252 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.
---------------------------------------------------------- Bloomberg Barclays data provided by
0.73% 0.94% Bloomberg.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
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. SOCIAL CORE EQUITY 2 PORTFOLIO
The U.S. Social 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 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 Portfolio excludes from purchase companies and industries that do
not pass the Portfolio's social issue screens. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2017, the
Portfolio held approximately 2,300 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.99% 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. SUSTAINABILITY CORE 1 PORTFOLIO
The U.S. Sustainability 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
5
Portfolio further adjusts the weights of all eligible companies based on
environmental and social sustainability considerations, emphasizing companies
with higher sustainability scores and excluding or deemphasizing companies with
lower sustainability scores. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2017, the Portfolio held
approximately 2,100 securities. In general, average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 25.18% 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. The
Portfolio's lesser allocation to the energy sector (due to the Portfolio's
sustainability screens) contributed positively to relative performance, as
energy was among the weakest-performing sectors in the benchmark.
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 USD-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.
6
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.
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 fund
and its benchmark index may impact relative performance over the referenced
period. The funds price foreign exchange rates at the closing of the U.S.
market, while their benchmark indices use rates at 4 pm London time. The funds
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2017, these
differences generally benefited the funds' relative performance.
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
The International Sustainability Core 1 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. The Portfolio further adjusts the weights of
companies based on environmental and social sustainability considerations,
emphasizing companies with higher sustainability scores and excluding or
deemphasizing companies with lower sustainability scores. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Portfolio held approximately 3,700 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 25.66% 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.
7
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
The International Social 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 from operations relative to book value or
assets. The Portfolio excludes from purchase companies and industries that do
not pass the Portfolio's social issue screens. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2017, the
Portfolio held approximately 4,300 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 25.98% 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. Additionally, the Portfolio's lesser allocation to the
healthcare sector (due to the Portfolio's social screens) contributed
positively to relative performance, as healthcare underperformed the benchmark.
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
The Emerging Markets Social 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 from operations relative to
book value or assets. The Portfolio excludes from purchase companies and
industries that do not pass the Portfolio's social issue screens. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Portfolio held approximately 4,000 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 25.04% 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.
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
Interest rates in both U.S. and developed international fixed income markets
generally increased across their respective yield curves for the 12 months
ended October 31, 2017. In the U.S., the yield curve flattened, as yields on
shorter-term bonds increased more than yields on longer-term bonds. The
Eurozone, U.K., and Japan also saw an increase in bond yields across the curve.
While longer-term government bonds underperformed shorter term government
bonds, the same was not true for investment grade corporate bonds and municipal
bonds. Credit spreads were positive during the period and generally narrowed.
As a result, longer-term bonds outperformed shorter-term bonds across the U.S.
municipal, U.S. investment grade credit, and developed international fixed
income credit markets. In particular, municipal bonds with maturities of 10
years and longer outperformed shorter maturity bonds. In the U.S. investment
grade credit and developed international fixed income credit markets, bonds
with maturities of 15 years and longer outperformed shorter maturity bonds. For
example, the Bloomberg Barclays U.S. Credit Index Long, which contains U.S.
Credit securities with maturities beyond 10 years, returned 5.81%, while the
Bloomberg Barclays U.S. Credit Index 1-5 Years returned 1.70% for the period.
8
The one-month U.S. Treasury bill yield increased to 0.98% during the period,
while the yield on ten-year U.S. Treasury notes increased to 2.38%.
OCTOBER 31, 2016 OCTOBER 31, 2017 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.17% 0.98% 0.81%
Ten-Year U.S. Treasury Notes (yield). 1.83% 2.38% 0.55%
OCTOBER 31, 2016 OCTOBER 31, 2017 CHANGE
---------------- ---------------- ------
Bloomberg Barclays US Credit Index 1-5 Years (yield). 1.81% 2.24% 0.43%
Bloomberg Barclays US Credit Index Long (yield)...... 4.24% 4.16% -0.08%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the 12 months
ended October 31, 2017, the total return was 0.73% for three-month U.S.
Treasury bills, -1.54% for five-year U.S. Treasury notes, and -3.83% for 30-
year U.S. Treasury bonds.
----------
Source: Bloomberg Barclays US Treasury Bellwethers.
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies a maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities may
be lengthened to position a portfolio to seek the higher expected returns
associated with longer maturities. These higher returns may be achieved by
capital appreciation (from holding bonds through an upwardly sloped term
structure) as well as by earning higher current yields. During the period under
review, the portfolios employing a variable maturity approach continued to take
term risk, reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio to seek the higher expected returns
associated with increased credit risk. Credit spreads generally narrowed
throughout the 12 months ending October 31, 2017. As a result, the portfolios
employing a variable-credit approach increased their allocation to
higher-quality bonds and held less than market weight in single-A and BBB-rated
bonds.
DFA SOCIAL FIXED INCOME PORTFOLIO
The DFA Social Fixed Income Portfolio is designed to maximize total returns
through exposure to a broad portfolio of investment grade debt securities of
U.S. and non-U.S. corporate and government issuers using a variable credit
approach. The Portfolio emphasizes investment grade obligations rated in the
lower half of the investment grade spectrum, except when the Advisor believes
the credit risk premium does not warrant investment in these lower rated
securities. The Portfolio seeks to limit its investment to securities that are
consistent with the Portfolio's social issue screens. The average duration of
the Portfolio increased to 5.99 years as of October 31, 2017, from 5.43 years
on October 31, 2016. The Portfolio's average sector allocation as of
October 31, 2017, was approximately 50% in corporate securities and 50% in
government securities.
For the 12 months ended October 31, 2017, the total return was 0.73% for the
Portfolio and 0.90% for the Bloomberg Barclays U.S. Aggregate Bond Index, the
Portfolio's benchmark. The Portfolio maintained duration similar to the
benchmark for the period but focused on the intermediate portion of the yield
curve. The Portfolio's lack of exposure to corporate bonds with maturities
greater than 15 years detracted from performance relative to the benchmark, as
these securities outperformed for the period.
9
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*
--------- --------- ---------- --------
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
-----------------------------------
Actual Fund Return................... $1,000.00 $1,081.50 0.28% $1.47
Hypothetical 5% Annual Return........ $1,000.00 $1,023.79 0.28% $1.43
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
------------------------------------
Actual Fund Return................... $1,000.00 $1,088.10 0.25% $1.32
Hypothetical 5% Annual Return........ $1,000.00 $1,023.95 0.25% $1.28
10
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 SUSTAINABILITY CORE 1 PORTFOLIO
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,113.60 0.37% $1.97
Hypothetical 5% Annual Return................. $1,000.00 $1,023.34 0.37% $1.89
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
------------------------------------------
Actual Fund Return............................ $1,000.00 $1,124.90 0.37% $1.98
Hypothetical 5% Annual Return................. $1,000.00 $1,023.34 0.37% $1.89
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,135.90 0.57% $3.07
Hypothetical 5% Annual Return................. $1,000.00 $1,022.33 0.57% $2.91
DFA SOCIAL FIXED INCOME PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,013.80 0.27% $1.37
Hypothetical 5% Annual Return................. $1,000.00 $1,023.84 0.27% $1.38
----------
* 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.
11
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.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 15.9%
Consumer Staples............................. 5.1%
Energy....................................... 6.5%
Financials................................... 21.2%
Health Care.................................. 7.2%
Industrials.................................. 13.7%
Information Technology....................... 20.0%
Materials.................................... 5.3%
Real Estate.................................. 0.5%
Telecommunication Services................... 2.4%
Utilities.................................... 2.2%
-----
100.0%
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
Consumer Discretionary....................... 16.8%
Consumer Staples............................. 6.4%
Energy....................................... 2.1%
Financials................................... 17.8%
Health Care.................................. 13.4%
Industrials.................................. 13.2%
Information Technology....................... 22.7%
Materials.................................... 3.6%
Real Estate.................................. 0.4%
Telecommunication Services................... 2.4%
Utilities.................................... 1.2%
-----
100.0%
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 7.2%
Energy....................................... 2.1%
Financials................................... 20.0%
Health Care.................................. 8.1%
Industrials.................................. 20.3%
Information Technology....................... 7.8%
Materials.................................... 9.4%
Real Estate.................................. 2.9%
Telecommunication Services................... 4.2%
Utilities.................................... 1.7%
-----
100.0%
12
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 14.0%
Consumer Staples............................. 5.7%
Energy....................................... 6.6%
Financials................................... 20.9%
Health Care.................................. 2.7%
Industrials.................................. 19.3%
Information Technology....................... 6.9%
Materials.................................... 14.2%
Real Estate.................................. 2.8%
Telecommunication Services................... 3.4%
Utilities.................................... 3.5%
-----
100.0%
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 10.4%
Consumer Staples............................. 6.8%
Energy....................................... 4.8%
Financials................................... 19.3%
Health Care.................................. 1.9%
Industrials.................................. 8.5%
Information Technology....................... 25.2%
Materials.................................... 11.6%
Real Estate.................................. 3.6%
Telecommunication Services................... 4.1%
Utilities.................................... 3.8%
-----
100.0%
FIXED INCOME PORTFOLIO
DFA SOCIAL FIXED INCOME PORTFOLIO
Corporate.................................... 38.2%
Government................................... 47.0%
Foreign Corporate............................ 11.8%
Foreign Government........................... 2.6%
Supranational................................ 0.4%
-----
100.0%
13
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (91.9%)
Consumer Discretionary -- (14.6%)
* Amazon.com, Inc.......................... 7,080 $ 7,825,382 0.8%
* Charter Communications, Inc. Class A..... 10,113 3,379,461 0.4%
Comcast Corp. Class A.................... 301,091 10,848,309 1.1%
Ford Motor Co............................ 216,066 2,651,130 0.3%
General Motors Co........................ 79,948 3,436,165 0.4%
Home Depot, Inc. (The)................... 19,997 3,315,103 0.4%
# Target Corp.............................. 40,321 2,380,552 0.3%
Time Warner, Inc......................... 32,617 3,205,925 0.3%
Walt Disney Co. (The).................... 49,347 4,826,630 0.5%
Other Securities......................... 111,750,441 11.4%
------------ -----
Total Consumer Discretionary................. 153,619,098 15.9%
------------ -----
Consumer Staples -- (4.7%)
Coca-Cola Co. (The)...................... 71,798 3,301,272 0.4%
CVS Health Corp.......................... 47,313 3,242,360 0.3%
PepsiCo, Inc............................. 23,169 2,553,919 0.3%
Wal-Mart Stores, Inc..................... 93,595 8,171,779 0.9%
Walgreens Boots Alliance, Inc............ 35,572 2,357,356 0.3%
Other Securities......................... 29,865,561 2.9%
------------ -----
Total Consumer Staples....................... 49,492,247 5.1%
------------ -----
Energy -- (5.9%)
Andeavor................................. 21,723 2,307,852 0.3%
Chevron Corp............................. 61,846 7,167,333 0.8%
Exxon Mobil Corp......................... 132,588 11,051,210 1.2%
Other Securities......................... 41,776,943 4.1%
------------ -----
Total Energy................................. 62,303,338 6.4%
------------ -----
Financials -- (19.4%)
American Express Co...................... 30,083 2,873,528 0.3%
Bank of America Corp..................... 347,998 9,531,665 1.0%
* Berkshire Hathaway, Inc. Class B......... 23,246 4,345,607 0.5%
Citigroup, Inc........................... 90,937 6,683,869 0.7%
Goldman Sachs Group, Inc. (The).......... 14,247 3,454,613 0.4%
JPMorgan Chase & Co...................... 142,691 14,356,142 1.5%
Morgan Stanley........................... 54,399 2,719,950 0.3%
PNC Financial Services Group, Inc. (The). 19,454 2,661,113 0.3%
U.S. Bancorp............................. 57,035 3,101,563 0.3%
Wells Fargo & Co......................... 190,948 10,719,821 1.1%
Other Securities......................... 143,656,580 14.7%
------------ -----
Total Financials............................. 204,104,451 21.1%
------------ -----
Health Care -- (6.6%)
Amgen, Inc............................... 23,111 4,049,509 0.4%
Cigna Corp............................... 12,250 2,415,945 0.3%
Gilead Sciences, Inc..................... 51,465 3,857,816 0.4%
Other Securities......................... 58,785,868 6.0%
------------ -----
Total Health Care............................ 69,109,138 7.1%
------------ -----
Industrials -- (12.6%)
Delta Air Lines, Inc..................... 55,557 2,779,517 0.3%
FedEx Corp............................... 10,914 2,464,490 0.3%
Union Pacific Corp....................... 23,781 2,753,602 0.3%
14
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
United Technologies Corp...................................... 36,393 $ 4,358,426 0.5%
Other Securities.............................................. 119,554,595 12.2%
-------------- ------
Total Industrials................................................... 131,910,630 13.6%
-------------- ------
Information Technology -- (18.4%)
* Alphabet, Inc. Class A........................................ 4,748 4,904,874 0.5%
* Alphabet, Inc. Class C........................................ 4,993 5,076,084 0.5%
Apple, Inc.................................................... 139,838 23,638,216 2.5%
Cisco Systems, Inc............................................ 190,767 6,514,693 0.7%
* Facebook, Inc. Class A........................................ 31,771 5,720,686 0.6%
Intel Corp.................................................... 228,869 10,411,251 1.1%
International Business Machines Corp.......................... 20,188 3,110,163 0.3%
* Micron Technology, Inc........................................ 79,107 3,505,231 0.4%
Microsoft Corp................................................ 142,291 11,835,765 1.2%
NVIDIA Corp................................................... 17,519 3,623,104 0.4%
Oracle Corp................................................... 65,440 3,330,896 0.4%
QUALCOMM, Inc................................................. 57,015 2,908,335 0.3%
# Visa, Inc. Class A............................................ 33,055 3,635,389 0.4%
Other Securities.............................................. 105,103,750 10.7%
-------------- ------
Total Information Technology........................................ 193,318,437 20.0%
-------------- ------
Materials -- (4.9%)
DowDuPont, Inc................................................ 51,129 3,697,138 0.4%
Other Securities.............................................. 47,584,759 4.9%
-------------- ------
Total Materials..................................................... 51,281,897 5.3%
-------------- ------
Real Estate -- (0.5%)
Other Securities.............................................. 4,928,324 0.5%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc..................................................... 375,645 12,640,454 1.3%
Verizon Communications, Inc................................... 91,738 4,391,498 0.5%
Other Securities.............................................. 5,895,326 0.6%
-------------- ------
Total Telecommunication Services.................................... 22,927,278 2.4%
-------------- ------
Utilities -- (2.1%)
Other Securities.............................................. 21,566,912 2.2%
-------------- ------
TOTAL COMMON STOCKS................................................. 964,561,750 99.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 20,829 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 964,582,579
--------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 8,336,507 8,336,507 0.9%
-------------- ------
SECURITIES LENDING COLLATERAL -- (7.3%)
(S)@ DFA Short Term Investment Fund................................ 6,660,492 77,068,554 7.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $761,981,724)............................................. $1,049,987,640 108.4%
============== ======
15
U.S. SOCIAL CORE EQUITY 2 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...... $153,619,098 -- -- $ 153,619,098
Consumer Staples............ 49,492,247 -- -- 49,492,247
Energy...................... 62,303,338 -- -- 62,303,338
Financials.................. 204,104,451 -- -- 204,104,451
Health Care................. 69,109,138 -- -- 69,109,138
Industrials................. 131,910,630 -- -- 131,910,630
Information Technology...... 193,318,437 -- -- 193,318,437
Materials................... 51,281,897 -- -- 51,281,897
Real Estate................. 4,928,324 -- -- 4,928,324
Telecommunication Services.. 22,927,278 -- -- 22,927,278
Utilities................... 21,566,912 -- -- 21,566,912
Rights/Warrants............... -- $ 20,829 -- 20,829
Temporary Cash Investments.... 8,336,507 -- -- 8,336,507
Securities Lending Collateral. -- 77,068,554 -- 77,068,554
------------ ----------- -- --------------
TOTAL......................... $972,898,257 $77,089,383 -- $1,049,987,640
============ =========== == ==============
See accompanying Notes to Financial Statements.
16
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (93.8%)
Consumer Discretionary -- (15.8%)
* Amazon.com, Inc...................... 26,376 $ 29,152,865 2.5%
* Charter Communications, Inc. Class A. 12,376 4,135,688 0.4%
Comcast Corp. Class A................ 358,130 12,903,424 1.1%
Home Depot, Inc. (The)............... 64,094 10,625,503 0.9%
* Priceline Group, Inc. (The).......... 1,943 3,714,938 0.3%
Time Warner, Inc..................... 48,537 4,770,702 0.4%
Walt Disney Co. (The)................ 65,247 6,381,809 0.5%
Other Securities..................... 128,123,106 10.6%
------------ -----
Total Consumer Discretionary............. 199,808,035 16.7%
------------ -----
Consumer Staples -- (6.0%)
Coca-Cola Co. (The).................. 166,623 7,661,325 0.7%
Costco Wholesale Corp................ 34,527 5,561,609 0.5%
CVS Health Corp...................... 81,534 5,587,525 0.5%
PepsiCo, Inc......................... 63,474 6,996,739 0.6%
Procter & Gamble Co. (The)........... 75,497 6,518,411 0.6%
Wal-Mart Stores, Inc................. 94,254 8,229,317 0.7%
Other Securities..................... 35,189,988 2.7%
------------ -----
Total Consumer Staples................... 75,744,914 6.3%
------------ -----
Energy -- (2.0%)
Other Securities..................... 25,010,866 2.1%
------------ -----
Financials -- (16.7%)
American Express Co.................. 44,013 4,204,122 0.4%
American International Group, Inc.... 60,123 3,884,547 0.3%
Bank of America Corp................. 252,605 6,918,851 0.6%
Citigroup, Inc....................... 113,116 8,314,026 0.7%
Goldman Sachs Group, Inc. (The)...... 23,314 5,653,179 0.5%
JPMorgan Chase & Co.................. 110,733 11,140,847 0.9%
Wells Fargo & Co..................... 119,610 6,714,905 0.6%
Other Securities..................... 165,429,442 13.8%
------------ -----
Total Financials......................... 212,259,919 17.8%
------------ -----
Health Care -- (12.6%)
AbbVie, Inc.......................... 76,879 6,938,330 0.6%
Aetna, Inc........................... 22,765 3,870,733 0.3%
Amgen, Inc........................... 25,363 4,444,105 0.4%
Anthem, Inc.......................... 17,824 3,728,959 0.3%
Bristol-Myers Squibb Co.............. 68,673 4,234,377 0.4%
* Celgene Corp......................... 40,370 4,076,159 0.4%
Gilead Sciences, Inc................. 65,617 4,918,650 0.4%
Johnson & Johnson.................... 96,534 13,457,805 1.1%
Pfizer, Inc.......................... 152,255 5,338,060 0.5%
UnitedHealth Group, Inc.............. 68,280 14,353,822 1.2%
Other Securities..................... 94,062,926 7.8%
------------ -----
Total Health Care........................ 159,423,926 13.4%
------------ -----
Industrials -- (12.4%)
3M Co................................ 18,062 4,157,692 0.4%
General Electric Co.................. 227,223 4,580,816 0.4%
Honeywell International, Inc......... 27,883 4,019,613 0.3%
United Technologies Corp............. 38,829 4,650,161 0.4%
17
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Other Securities.............................................. $ 139,389,221 11.6%
-------------- ------
Total Industrials................................................... 156,797,503 13.1%
-------------- ------
Information Technology -- (21.3%)
Accenture P.L.C. Class A...................................... 37,881 5,392,739 0.5%
* Alphabet, Inc. Class A........................................ 8,202 8,472,994 0.7%
* Alphabet, Inc. Class C........................................ 8,591 8,733,954 0.7%
Apple, Inc.................................................... 296,483 50,117,486 4.2%
Cisco Systems, Inc............................................ 191,955 6,555,263 0.6%
* Facebook, Inc. Class A........................................ 62,175 11,195,231 1.0%
Intel Corp.................................................... 144,256 6,562,205 0.6%
International Business Machines Corp.......................... 44,675 6,882,631 0.6%
Mastercard, Inc. Class A...................................... 58,060 8,637,586 0.7%
Microsoft Corp................................................ 293,979 24,453,173 2.1%
NVIDIA Corp................................................... 29,649 6,131,710 0.5%
Oracle Corp................................................... 98,510 5,014,159 0.4%
QUALCOMM, Inc................................................. 89,371 4,558,815 0.4%
# Visa, Inc. Class A............................................ 96,500 10,613,070 0.9%
Other Securities.............................................. 106,273,156 8.7%
-------------- ------
Total Information Technology........................................ 269,594,172 22.6%
-------------- ------
Materials -- (3.4%)
Other Securities.............................................. 43,184,989 3.6%
-------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 4,624,357 0.4%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc..................................................... 305,697 10,286,704 0.9%
Verizon Communications, Inc................................... 254,522 12,183,968 1.0%
Other Securities.............................................. 6,189,908 0.5%
-------------- ------
Total Telecommunication Services.................................... 28,660,580 2.4%
-------------- ------
Utilities -- (1.1%)
Other Securities.............................................. 14,054,499 1.2%
-------------- ------
TOTAL COMMON STOCKS................................................. 1,189,163,760 99.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 16,531 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 1,189,180,291
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 4,146,189 4,146,189 0.3%
-------------- ------
SECURITIES LENDING COLLATERAL -- (5.9%)
(S)@ DFA Short Term Investment Fund................................ 6,402,383 74,081,971 6.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $936,998,311)............................................. $1,267,408,451 106.2%
============== ======
18
U.S. SUSTAINABILITY CORE 1 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...... $ 199,808,035 -- -- $ 199,808,035
Consumer Staples............ 75,744,914 -- -- 75,744,914
Energy...................... 25,010,866 -- -- 25,010,866
Financials.................. 212,259,919 -- -- 212,259,919
Health Care................. 159,423,926 -- -- 159,423,926
Industrials................. 156,797,503 -- -- 156,797,503
Information Technology...... 269,594,172 -- -- 269,594,172
Materials................... 43,184,989 -- -- 43,184,989
Real Estate................. 4,624,357 -- -- 4,624,357
Telecommunication Services.. 28,660,580 -- -- 28,660,580
Utilities................... 14,054,499 -- -- 14,054,499
Rights/Warrants............... -- $ 16,531 -- 16,531
Temporary Cash Investments.... 4,146,189 -- -- 4,146,189
Securities Lending Collateral. -- 74,081,971 -- 74,081,971
-------------- ----------- -- --------------
TOTAL......................... $1,193,309,949 $74,098,502 -- $1,267,408,451
============== =========== == ==============
See accompanying Notes to Financial Statements.
19
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (94.2%)
AUSTRALIA -- (4.9%)
# Commonwealth Bank of Australia...... 57,740 $ 3,434,677 0.5%
National Australia Bank, Ltd........ 83,000 2,079,662 0.3%
Westpac Banking Corp................ 101,833 2,579,372 0.3%
Other Securities.................... 32,108,633 4.1%
----------- ----
TOTAL AUSTRALIA......................... 40,202,344 5.2%
----------- ----
AUSTRIA -- (0.4%)
Other Securities.................... 3,489,583 0.5%
----------- ----
BELGIUM -- (1.1%)
Other Securities.................... 8,637,995 1.1%
----------- ----
CANADA -- (7.1%)
Bank of Montreal.................... 24,263 1,858,703 0.3%
Bank of Nova Scotia (The)........... 38,993 2,517,120 0.3%
Royal Bank of Canada................ 31,679 2,476,909 0.3%
Toronto-Dominion Bank (The)......... 32,240 1,832,789 0.3%
Other Securities.................... 48,896,994 6.2%
----------- ----
TOTAL CANADA............................ 57,582,515 7.4%
----------- ----
DENMARK -- (2.3%)
Novo Nordisk A.S. Class B........... 100,137 4,985,703 0.7%
Vestas Wind Systems A.S............. 25,183 2,223,275 0.3%
Other Securities.................... 11,223,483 1.4%
----------- ----
TOTAL DENMARK........................... 18,432,461 2.4%
----------- ----
FINLAND -- (1.6%)
Other Securities.................... 12,726,244 1.6%
----------- ----
FRANCE -- (8.5%)
Airbus SE........................... 25,743 2,641,618 0.4%
Atos SE............................. 11,487 1,784,112 0.2%
AXA SA.............................. 69,077 2,085,323 0.3%
BNP Paribas SA...................... 35,662 2,783,398 0.4%
L'Oreal SA.......................... 13,354 2,972,112 0.4%
LVMH Moet Hennessy Louis Vuitton SE. 13,073 3,899,193 0.5%
Sanofi.............................. 27,960 2,647,436 0.4%
# Vinci SA............................ 20,123 1,971,602 0.3%
Other Securities.................... 47,937,245 6.0%
----------- ----
TOTAL FRANCE............................ 68,722,039 8.9%
----------- ----
GERMANY -- (7.0%)
Allianz SE.......................... 15,485 3,615,110 0.5%
BASF SE............................. 37,305 4,079,426 0.5%
Bayerische Motoren Werke AG......... 17,004 1,743,934 0.2%
Daimler AG.......................... 40,980 3,421,262 0.5%
Siemens AG.......................... 15,028 2,158,512 0.3%
Other Securities.................... 42,194,466 5.4%
----------- ----
TOTAL GERMANY........................... 57,212,710 7.4%
----------- ----
20
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.1%)
AIA Group, Ltd....................... 401,800 $ 3,027,755 0.4%
Other Securities..................... 13,807,385 1.8%
------------ -----
TOTAL HONG KONG.......................... 16,835,140 2.2%
------------ -----
IRELAND -- (0.5%)
Other Securities..................... 3,830,861 0.5%
------------ -----
ISRAEL -- (0.4%)
Other Securities..................... 3,629,124 0.5%
------------ -----
ITALY -- (2.7%)
Assicurazioni Generali SpA........... 121,247 2,206,666 0.3%
Other Securities..................... 20,082,344 2.6%
------------ -----
TOTAL ITALY.............................. 22,289,010 2.9%
------------ -----
JAPAN -- (23.0%)
Honda Motor Co., Ltd................. 60,700 1,902,159 0.3%
KDDI Corp............................ 85,200 2,269,953 0.3%
Mitsubishi UFJ Financial Group, Inc.. 330,000 2,238,437 0.3%
SoftBank Group Corp.................. 32,984 2,923,148 0.4%
Toyota Motor Corp.................... 66,919 4,150,721 0.6%
# Toyota Motor Corp. Sponsored ADR..... 17,953 2,226,172 0.3%
Other Securities..................... 170,943,763 21.9%
------------ -----
TOTAL JAPAN.............................. 186,654,353 24.1%
------------ -----
NETHERLANDS -- (3.4%)
Akzo Nobel NV........................ 21,911 1,978,143 0.3%
# Unilever NV.......................... 46,987 2,723,366 0.4%
Other Securities..................... 22,947,178 2.9%
------------ -----
TOTAL NETHERLANDS........................ 27,648,687 3.6%
------------ -----
NEW ZEALAND -- (0.4%)
Other Securities..................... 3,324,308 0.4%
------------ -----
NORWAY -- (0.7%)
Other Securities..................... 6,051,742 0.8%
------------ -----
PORTUGAL -- (0.1%)
Other Securities..................... 1,145,396 0.1%
------------ -----
SINGAPORE -- (1.1%)
Other Securities..................... 8,713,087 1.1%
------------ -----
SPAIN -- (2.4%)
Amadeus IT Group SA.................. 27,289 1,851,528 0.2%
Banco Santander SA................... 323,766 2,194,913 0.3%
Telefonica SA........................ 176,476 1,850,437 0.2%
Other Securities..................... 13,324,710 1.8%
------------ -----
TOTAL SPAIN.............................. 19,221,588 2.5%
------------ -----
SWEDEN -- (3.7%)
Volvo AB Class B..................... 105,859 2,096,669 0.3%
Other Securities..................... 28,092,940 3.6%
------------ -----
TOTAL SWEDEN............................. 30,189,609 3.9%
------------ -----
21
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (6.8%)
Adecco Group AG.................... 21,826 $ 1,731,616 0.2%
Cie Financiere Richemont SA........ 25,995 2,396,382 0.3%
Givaudan SA........................ 782 1,746,431 0.2%
Novartis AG Sponsored ADR.......... 38,672 3,193,534 0.4%
Roche Holding AG................... 32,557 7,524,931 1.0%
# Swisscom AG........................ 4,083 2,062,832 0.3%
Zurich Insurance Group AG.......... 6,675 2,036,977 0.3%
Other Securities................... 34,377,859 4.4%
------------ ------
TOTAL SWITZERLAND........................ 55,070,562 7.1%
------------ ------
UNITED KINGDOM -- (14.0%)
# AstraZeneca P.L.C. Sponsored ADR... 68,520 2,363,940 0.3%
Compass Group P.L.C................ 137,424 3,017,048 0.4%
Diageo P.L.C. Sponsored ADR........ 16,579 2,271,489 0.3%
HSBC Holdings P.L.C. Sponsored ADR. 75,259 3,670,381 0.5%
Persimmon P.L.C.................... 46,715 1,738,526 0.2%
Reckitt Benckiser Group P.L.C...... 23,620 2,113,202 0.3%
Unilever P.L.C. Sponsored ADR...... 34,389 1,948,137 0.3%
Other Securities................... 96,460,592 12.4%
------------ ------
TOTAL UNITED KINGDOM..................... 113,583,315 14.7%
------------ ------
TOTAL COMMON STOCKS...................... 765,192,673 98.9%
------------ ------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities................... 2,641,056 0.4%
------------ ------
TOTAL PREFERRED STOCKS................... 2,641,056 0.4%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................... 8,181 0.0%
------------ ------
ISRAEL -- (0.0%)
Other Securities................... 4 0.0%
------------ ------
SPAIN -- (0.0%)
Other Securities................... 39,198 0.0%
TOTAL RIGHTS/WARRANTS.................... 47,383 0.0%
------------
TOTAL INVESTMENT SECURITIES.............. 767,881,112
------------
SECURITIES LENDING COLLATERAL -- (5.5%)
(S)@ DFA Short Term Investment Fund..... 3,846,231 44,504,733 5.7%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $664,822,669).................. $812,385,845 105.0%
============ ======
22
INTERNATIONAL SUSTAINABILITY CORE 1 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................... $ 329,595 $ 39,872,749 -- $ 40,202,344
Austria..................... -- 3,489,583 -- 3,489,583
Belgium..................... 73,724 8,564,271 -- 8,637,995
Canada...................... 57,582,515 -- -- 57,582,515
Denmark..................... 859,299 17,573,162 -- 18,432,461
Finland..................... 100,279 12,625,965 -- 12,726,244
France...................... 291,409 68,430,630 -- 68,722,039
Germany..................... 3,164,232 54,048,478 -- 57,212,710
Hong Kong................... 46,970 16,788,170 -- 16,835,140
Ireland..................... 482,357 3,348,504 -- 3,830,861
Israel...................... 384,035 3,245,089 -- 3,629,124
Italy....................... 220,195 22,068,815 -- 22,289,010
Japan....................... 5,057,499 181,596,854 -- 186,654,353
Netherlands................. 5,769,183 21,879,504 -- 27,648,687
New Zealand................. 11,943 3,312,365 -- 3,324,308
Norway...................... 12,002 6,039,740 -- 6,051,742
Portugal.................... -- 1,145,396 -- 1,145,396
Singapore................... -- 8,713,087 -- 8,713,087
Spain....................... 1,446,768 17,774,820 -- 19,221,588
Sweden...................... 420,687 29,768,922 -- 30,189,609
Switzerland................. 5,053,670 50,016,892 -- 55,070,562
United Kingdom.............. 16,999,031 96,584,284 -- 113,583,315
Preferred Stocks
Germany..................... -- 2,641,056 -- 2,641,056
Rights/Warrants
Australia................... -- 8,181 -- 8,181
Israel...................... -- 4 -- 4
Spain....................... -- 39,198 -- 39,198
Securities Lending Collateral. -- 44,504,733 -- 44,504,733
----------- ------------ -- ------------
TOTAL......................... $98,305,393 $714,080,452 -- $812,385,845
=========== ============ == ============
See accompanying Notes to Financial Statements.
23
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.7%)
AUSTRALIA -- (5.7%)
# Australia & New Zealand Banking Group, Ltd.. 81,904 $ 1,879,578 0.2%
# BHP Billiton, Ltd........................... 184,610 3,800,898 0.5%
Commonwealth Bank of Australia.............. 35,437 2,107,978 0.3%
# National Australia Bank, Ltd................ 99,704 2,498,200 0.3%
# Westpac Banking Corp........................ 72,689 1,841,171 0.2%
Other Securities............................ 37,828,199 4.5%
----------- ----
TOTAL AUSTRALIA................................. 49,956,024 6.0%
----------- ----
AUSTRIA -- (0.7%)
Other Securities............................ 6,318,848 0.8%
----------- ----
BELGIUM -- (1.3%)
Ageas....................................... 33,500 1,624,585 0.2%
KBC Group NV................................ 19,032 1,580,967 0.2%
Other Securities............................ 8,300,337 1.0%
----------- ----
TOTAL BELGIUM................................... 11,505,889 1.4%
----------- ----
CANADA -- (9.0%)
Bank of Montreal............................ 22,524 1,725,484 0.2%
Bank of Nova Scotia (The)(064149107)........ 25,978 1,676,101 0.2%
Bank of Nova Scotia (The)(2076281).......... 25,800 1,665,471 0.2%
Royal Bank of Canada........................ 24,345 1,902,562 0.2%
Suncor Energy, Inc.......................... 60,646 2,059,538 0.3%
Toronto-Dominion Bank (The)................. 34,519 1,962,405 0.3%
Other Securities............................ 67,995,136 8.1%
----------- ----
TOTAL CANADA.................................... 78,986,697 9.5%
----------- ----
DENMARK -- (1.4%)
Other Securities............................ 11,900,769 1.4%
----------- ----
FINLAND -- (1.5%)
UPM-Kymmene Oyj............................. 64,508 1,937,321 0.3%
Other Securities............................ 11,132,230 1.3%
----------- ----
TOTAL FINLAND................................... 13,069,551 1.6%
----------- ----
FRANCE -- (7.4%)
AXA SA...................................... 60,956 1,840,163 0.2%
BNP Paribas SA.............................. 32,610 2,545,192 0.3%
Cie Generale des Etablissements Michelin.... 14,794 2,141,378 0.3%
Engie SA.................................... 103,467 1,748,804 0.2%
LVMH Moet Hennessy Louis Vuitton SE......... 5,903 1,760,647 0.2%
Orange SA................................... 102,146 1,678,021 0.2%
Societe Generale SA......................... 30,103 1,675,367 0.2%
Total SA.................................... 78,200 4,358,719 0.5%
Other Securities............................ 46,505,316 5.6%
----------- ----
TOTAL FRANCE.................................... 64,253,607 7.7%
----------- ----
GERMANY -- (6.3%)
Allianz SE.................................. 13,193 3,080,022 0.4%
BASF SE..................................... 48,323 5,284,281 0.6%
Deutsche Telekom AG......................... 217,290 3,934,538 0.5%
24
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
Other Securities...................... $ 42,473,066 5.1%
------------ -----
TOTAL GERMANY............................. 54,771,907 6.6%
------------ -----
HONG KONG -- (2.9%)
AIA Group, Ltd........................ 343,400 2,587,683 0.3%
Other Securities...................... 22,869,088 2.8%
------------ -----
TOTAL HONG KONG........................... 25,456,771 3.1%
------------ -----
IRELAND -- (0.6%)
Other Securities...................... 5,517,093 0.7%
------------ -----
ISRAEL -- (0.7%)
Other Securities...................... 5,915,690 0.7%
------------ -----
ITALY -- (3.0%)
Fiat Chrysler Automobiles NV.......... 95,249 1,646,977 0.2%
Intesa Sanpaolo SpA................... 474,075 1,593,794 0.2%
Other Securities...................... 22,538,063 2.7%
------------ -----
TOTAL ITALY............................... 25,778,834 3.1%
------------ -----
JAPAN -- (22.5%)
Honda Motor Co., Ltd.................. 97,000 3,039,694 0.4%
Mitsubishi UFJ Financial Group, Inc... 372,900 2,529,434 0.3%
Sumitomo Mitsui Financial Group, Inc.. 41,900 1,678,628 0.2%
Other Securities...................... 189,904,943 22.9%
------------ -----
TOTAL JAPAN............................... 197,152,699 23.8%
------------ -----
NETHERLANDS -- (2.6%)
Akzo Nobel NV......................... 20,406 1,842,271 0.2%
ING Groep NV.......................... 120,013 2,217,776 0.3%
Other Securities...................... 18,704,286 2.2%
------------ -----
TOTAL NETHERLANDS......................... 22,764,333 2.7%
------------ -----
NEW ZEALAND -- (0.5%)
Other Securities...................... 3,906,022 0.5%
------------ -----
NORWAY -- (0.9%)
Other Securities...................... 7,844,237 0.9%
------------ -----
PORTUGAL -- (0.3%)
Other Securities...................... 2,839,269 0.3%
------------ -----
SINGAPORE -- (1.2%)
Other Securities...................... 10,885,681 1.3%
------------ -----
SPAIN -- (2.7%)
Banco Santander SA.................... 493,776 3,347,459 0.4%
Iberdrola SA.......................... 262,599 2,122,064 0.3%
Repsol SA............................. 94,966 1,779,604 0.2%
Other Securities...................... 15,942,755 1.9%
------------ -----
TOTAL SPAIN............................... 23,191,882 2.8%
------------ -----
SWEDEN -- (2.6%)
Other Securities...................... 22,910,583 2.8%
------------ -----
25
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (4.3%)
ABB, Ltd........................................ 74,739 $ 1,951,811 0.3%
Zurich Insurance Group AG....................... 5,594 1,707,093 0.2%
Other Securities................................ 34,183,207 4.1%
------------ ------
TOTAL SWITZERLAND..................................... 37,842,111 4.6%
------------ ------
UNITED KINGDOM -- (15.6%)
Anglo American P.L.C............................ 131,814 2,486,409 0.3%
BHP Billiton P.L.C. ADR......................... 48,655 1,767,150 0.2%
BP P.L.C. Sponsored ADR......................... 67,492 2,744,895 0.3%
HSBC Holdings P.L.C. Sponsored ADR.............. 112,830 5,502,719 0.7%
# Rio Tinto P.L.C. Sponsored ADR.................. 62,049 2,974,009 0.4%
Rolls-Royce Holdings P.L.C...................... 124,927 1,614,429 0.2%
Royal Dutch Shell P.L.C. Class A................ 62,189 1,957,707 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 56,532 3,563,212 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 53,132 3,472,707 0.4%
* Standard Chartered P.L.C........................ 194,309 1,935,292 0.2%
Unilever P.L.C. Sponsored ADR................... 33,461 1,895,566 0.2%
Vodafone Group P.L.C............................ 941,613 2,693,331 0.3%
Other Securities................................ 103,995,937 12.7%
------------ ------
TOTAL UNITED KINGDOM.................................. 136,603,363 16.5%
------------ ------
TOTAL COMMON STOCKS................................... 819,371,860 98.8%
------------ ------
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities................................ 1,259,789 0.2%
------------ ------
TOTAL PREFERRED STOCKS................................ 1,259,789 0.2%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................................ 8,979 0.0%
------------ ------
ISRAEL -- (0.0%)
Other Securities................................ 2 0.0%
------------ ------
SPAIN -- (0.0%)
Other Securities................................ 51,467 0.0%
------------ ------
SWITZERLAND -- (0.0%)
Other Securities................................ 1,336 0.0%
------------ ------
TOTAL RIGHTS/WARRANTS................................. 61,784 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES........................... 820,693,433
------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (6.2%)
(S)@ DFA Short Term Investment Fund.................. 4,659,142 53,910,930 6.5%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $746,050,786)............................... $874,604,363 105.5%
============ ======
26
INTERNATIONAL SOCIAL CORE 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
Australia................... $ 39,722 $ 49,916,302 -- $ 49,956,024
Austria..................... -- 6,318,848 -- 6,318,848
Belgium..................... 24,215 11,481,674 -- 11,505,889
Canada...................... 78,986,697 -- -- 78,986,697
Denmark..................... 221,783 11,678,986 -- 11,900,769
Finland..................... -- 13,069,551 -- 13,069,551
France...................... 178,471 64,075,136 -- 64,253,607
Germany..................... 1,618,072 53,153,835 -- 54,771,907
Hong Kong................... -- 25,456,771 -- 25,456,771
Ireland..................... 1,437,241 4,079,852 -- 5,517,093
Israel...................... 245,239 5,670,451 -- 5,915,690
Italy....................... 645,437 25,133,397 -- 25,778,834
Japan....................... 25,818 197,126,881 -- 197,152,699
Netherlands................. 2,511,976 20,252,357 -- 22,764,333
New Zealand................. -- 3,906,022 -- 3,906,022
Norway...................... 62,981 7,781,256 -- 7,844,237
Portugal.................... -- 2,839,269 -- 2,839,269
Singapore................... -- 10,885,681 -- 10,885,681
Spain....................... 22,517 23,169,365 -- 23,191,882
Sweden...................... -- 22,910,583 -- 22,910,583
Switzerland................. 2,406,508 35,435,603 -- 37,842,111
United Kingdom.............. 28,561,273 108,042,090 -- 136,603,363
Preferred Stocks
Germany..................... -- 1,259,789 -- 1,259,789
Rights/Warrants
Australia................... -- 8,979 -- 8,979
Israel...................... -- 2 -- 2
Spain....................... -- 51,467 -- 51,467
Switzerland................. -- 1,336 -- 1,336
Securities Lending Collateral. -- 53,910,930 -- 53,910,930
------------ ------------ -- ------------
TOTAL......................... $116,987,950 $757,616,413 -- $874,604,363
============ ============ == ============
See accompanying Notes to Financial Statements.
27
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (94.6%)
BRAZIL -- (5.4%)
Lojas Renner SA..................................... 293,596 $ 3,094,547 0.2%
Vale SA............................................. 564,075 5,535,047 0.4%
# Vale SA Sponsored ADR............................... 317,514 3,108,466 0.2%
Other Securities.................................... 63,335,954 4.7%
------------ -----
TOTAL BRAZIL............................................ 75,074,014 5.5%
------------ -----
CHILE -- (1.6%)
Other Securities.................................... 22,421,613 1.7%
------------ -----
CHINA -- (17.0%)
* Alibaba Group Holding, Ltd. Sponsored ADR........... 66,000 12,202,740 0.9%
Bank of China, Ltd. Class H......................... 9,653,356 4,824,388 0.4%
China Construction Bank Corp. Class H............... 12,608,990 11,268,843 0.8%
China Mobile, Ltd................................... 460,500 4,631,877 0.4%
China Mobile, Ltd. Sponsored ADR.................... 155,765 7,858,344 0.6%
China Overseas Land & Investment, Ltd............... 1,024,000 3,324,944 0.3%
Geely Automobile Holdings, Ltd...................... 1,065,000 3,302,427 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 8,953,017 7,123,602 0.5%
NetEase, Inc. ADR................................... 12,473 3,516,388 0.3%
Ping An Insurance Group Co. of China, Ltd. Class H.. 1,144,000 10,053,402 0.8%
Tencent Holdings, Ltd............................... 675,400 30,355,914 2.2%
Other Securities.................................... 139,903,645 10.0%
------------ -----
TOTAL CHINA............................................. 238,366,514 17.5%
------------ -----
COLOMBIA -- (0.4%)
Other Securities.................................... 5,771,746 0.4%
------------ -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 2,251,052 0.2%
------------ -----
EGYPT -- (0.1%)
Other Securities.................................... 977,709 0.1%
------------ -----
GREECE -- (0.2%)
Other Securities.................................... 3,476,003 0.3%
------------ -----
HONG KONG -- (0.0%)
Other Securities.................................... 58,495 0.0%
------------ -----
HUNGARY -- (0.4%)
OTP Bank P.L.C...................................... 75,839 3,057,503 0.2%
Other Securities.................................... 2,698,292 0.2%
------------ -----
TOTAL HUNGARY........................................... 5,755,795 0.4%
------------ -----
INDIA -- (11.5%)
HDFC Bank, Ltd...................................... 193,056 5,398,812 0.4%
Housing Development Finance Corp., Ltd.............. 202,308 5,315,272 0.4%
Infosys, Ltd........................................ 510,418 7,268,544 0.6%
Tata Consultancy Services, Ltd...................... 108,975 4,408,462 0.3%
Vedanta, Ltd........................................ 664,777 3,414,307 0.3%
Other Securities.................................... 135,436,955 9.8%
------------ -----
TOTAL INDIA............................................. 161,242,352 11.8%
------------ -----
28
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
INDONESIA -- (2.8%)
Bank Central Asia Tbk PT.............. 1,938,700 $ 2,986,452 0.2%
Bank Rakyat Indonesia Persero Tbk PT.. 3,462,100 3,983,145 0.3%
Other Securities...................... 31,921,267 2.4%
------------ -----
TOTAL INDONESIA........................... 38,890,864 2.9%
------------ -----
MALAYSIA -- (2.8%)
Public Bank Bhd....................... 624,370 3,017,288 0.2%
Other Securities...................... 35,653,325 2.6%
------------ -----
TOTAL MALAYSIA............................ 38,670,613 2.8%
------------ -----
MEXICO -- (3.8%)
America Movil S.A.B. de C.V. Series L. 4,985,903 4,298,876 0.3%
Grupo Mexico S.A.B. de C.V. Series B.. 1,442,882 4,692,513 0.4%
Other Securities...................... 44,675,392 3.2%
------------ -----
TOTAL MEXICO.............................. 53,666,781 3.9%
------------ -----
PERU -- (0.2%)
Credicorp, Ltd........................ 15,339 3,212,600 0.3%
Other Securities...................... 340,484 0.0%
------------ -----
TOTAL PERU................................ 3,553,084 0.3%
------------ -----
PHILIPPINES -- (1.2%)
Other Securities...................... 16,383,609 1.2%
------------ -----
POLAND -- (2.0%)
Polski Koncern Naftowy Orlen SA....... 145,677 5,152,524 0.4%
Other Securities...................... 23,258,757 1.7%
------------ -----
TOTAL POLAND.............................. 28,411,281 2.1%
------------ -----
RUSSIA -- (1.2%)
Sberbank of Russia PJSC Sponsored ADR. 205,157 2,944,456 0.2%
Other Securities...................... 13,857,109 1.0%
------------ -----
TOTAL RUSSIA.............................. 16,801,565 1.2%
------------ -----
SOUTH AFRICA -- (6.6%)
AngloGold Ashanti, Ltd. Sponsored ADR. 320,438 2,980,073 0.2%
FirstRand, Ltd........................ 1,370,412 4,974,365 0.4%
Naspers, Ltd. Class N................. 30,058 7,323,106 0.5%
Sanlam, Ltd........................... 620,162 3,104,136 0.2%
Sasol, Ltd. Sponsored ADR............. 126,197 3,673,595 0.3%
Standard Bank Group, Ltd.............. 467,367 5,427,242 0.4%
Other Securities...................... 65,142,544 4.8%
------------ -----
TOTAL SOUTH AFRICA........................ 92,625,061 6.8%
------------ -----
SOUTH KOREA -- (16.4%)
LG Chem, Ltd.......................... 12,334 4,447,104 0.3%
NAVER Corp............................ 5,308 4,242,536 0.3%
Samsung Electronics Co., Ltd.......... 16,836 41,502,498 3.1%
Samsung Electronics Co., Ltd. GDR..... 16,921 20,862,466 1.6%
SK Holdings Co., Ltd.................. 15,617 4,041,209 0.3%
SK Hynix, Inc......................... 131,378 9,686,851 0.7%
Other Securities...................... 144,887,101 10.6%
------------ -----
TOTAL SOUTH KOREA......................... 229,669,765 16.9%
------------ -----
29
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (16.5%)
Catcher Technology Co., Ltd................................ 270,509 $ 2,879,007 0.2%
Hon Hai Precision Industry Co., Ltd........................ 3,607,499 13,408,867 1.0%
Largan Precision Co., Ltd.................................. 16,306 3,090,959 0.2%
Taiwan Semiconductor Manufacturing Co., Ltd................ 2,248,214 18,175,235 1.4%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR. 498,924 21,119,453 1.6%
Uni-President Enterprises Corp............................. 1,532,577 3,202,172 0.3%
# United Microelectronics Corp............................... 6,083,081 3,139,509 0.3%
Other Securities........................................... 166,676,561 12.0%
-------------- -----
TOTAL TAIWAN................................................... 231,691,763 17.0%
-------------- -----
THAILAND -- (2.9%)
PTT PCL.................................................... 366,900 4,638,712 0.4%
Other Securities........................................... 35,431,113 2.5%
-------------- -----
TOTAL THAILAND................................................. 40,069,825 2.9%
-------------- -----
TURKEY -- (1.4%)
Other Securities........................................... 19,658,190 1.4%
-------------- -----
TOTAL COMMON STOCKS............................................ 1,325,487,694 97.3%
-------------- -----
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA.......................................... 536,595 5,688,599 0.4%
Itau Unibanco Holding SA................................... 911,067 11,711,053 0.9%
Other Securities........................................... 13,944,663 1.0%
-------------- -----
TOTAL BRAZIL................................................... 31,344,315 2.3%
-------------- -----
CHILE -- (0.0%)
Other Securities........................................... 504,449 0.1%
-------------- -----
COLOMBIA -- (0.1%)
Other Securities........................................... 1,245,731 0.1%
-------------- -----
INDIA -- (0.0%)
Other Securities........................................... 9,594 0.0%
-------------- -----
TOTAL PREFERRED STOCKS......................................... 33,104,089 2.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities........................................... 20,937 0.0%
-------------- -----
CHILE -- (0.0%)
Other Securities........................................... 12,421 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities........................................... 686 0.0%
-------------- -----
INDIA -- (0.0%)
Other Securities........................................... 22,094 0.0%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities........................................... 5,565 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Securities........................................... 33,955 0.0%
-------------- -----
30
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (0.0%)
Other Securities............... $ 11,796 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities............... 61,995 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................ 169,449 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......... 1,358,761,232
--------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.0%)
(S)@ DFA Short Term Investment Fund. 3,681,211 42,595,288 3.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,064,949,695)............ $1,401,356,520 102.9%
============== ======
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......... $75,074,014 -- -- $ 75,074,014
Chile.......... 8,667,552 $ 13,754,061 -- 22,421,613
China.......... 39,317,010 199,049,504 -- 238,366,514
Colombia....... 5,771,746 -- -- 5,771,746
Czech Republic. -- 2,251,052 -- 2,251,052
Egypt.......... -- 977,709 -- 977,709
Greece......... -- 3,476,003 -- 3,476,003
Hong Kong...... -- 58,495 -- 58,495
Hungary........ -- 5,755,795 -- 5,755,795
India.......... 3,544,465 157,697,887 -- 161,242,352
Indonesia...... 2,688,349 36,202,515 -- 38,890,864
Malaysia....... -- 38,670,613 -- 38,670,613
Mexico......... 53,661,192 5,589 -- 53,666,781
Peru........... 3,553,084 -- -- 3,553,084
Philippines.... 375,033 16,008,576 -- 16,383,609
Poland......... -- 28,411,281 -- 28,411,281
Russia......... 4,054,069 12,747,496 -- 16,801,565
South Africa... 9,692,355 82,932,706 -- 92,625,061
South Korea.... 6,761,824 222,907,941 -- 229,669,765
Taiwan......... 24,440,439 207,251,324 -- 231,691,763
Thailand....... 40,032,572 37,253 -- 40,069,825
Turkey......... 232,384 19,425,806 -- 19,658,190
Preferred Stocks
Brazil......... 31,344,315 -- -- 31,344,315
Chile.......... -- 504,449 -- 504,449
Colombia....... 1,245,731 -- -- 1,245,731
India.......... 9,594 -- -- 9,594
31
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Rights/Warrants
Brazil...................... -- $ 20,937 -- $ 20,937
Chile....................... -- 12,421 -- 12,421
Hong Kong................... -- 686 -- 686
India....................... -- 22,094 -- 22,094
Malaysia.................... -- 5,565 -- 5,565
South Korea................. -- 33,955 -- 33,955
Taiwan...................... -- 11,796 -- 11,796
Thailand.................... -- 61,995 -- 61,995
Securities Lending Collateral. -- 42,595,288 -- 42,595,288
------------ -------------- -- --------------
TOTAL......................... $310,465,728 $1,090,890,792 -- $1,401,356,520
============ ============== == ==============
See accompanying Notes to Financial Statements.
32
DFA SOCIAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
------- ------
(000)
AGENCY OBLIGATIONS -- (19.8%)
Federal Farm Credit Bank
5.150%, 11/15/19.............................. 970 $ 1,036,789
Federal Home Loan Bank
1.875%, 03/13/20.............................. 440 441,625
4.125%, 03/13/20.............................. 500 527,809
1.875%, 11/29/21.............................. 1,700 1,695,582
2.625%, 12/10/21.............................. 1,500 1,536,499
3.250%, 03/08/24.............................. 250 264,218
2.875%, 06/14/24.............................. 700 723,848
5.375%, 08/15/24.............................. 800 948,637
2.875%, 09/13/24.............................. 2,000 2,065,818
2.750%, 12/13/24.............................. 1,000 1,022,917
5.750%, 06/12/26.............................. 200 248,044
Federal Home Loan Mortgage Corp.
6.750%, 03/15/31.............................. 450 649,345
Federal National Mortgage Association
1.875%, 09/18/18.............................. 220 220,766
2.000%, 01/05/22.............................. 2,000 1,999,988
2.625%, 09/06/24.............................. 1,600 1,633,126
2.125%, 04/24/26.............................. 800 777,902
1.875%, 09/24/26.............................. 1,600 1,515,819
6.250%, 05/15/29.............................. 180 242,110
7.250%, 05/15/30.............................. 450 662,382
6.625%, 11/15/30.............................. 1,700 2,410,824
Tennessee Valley Authority
2.875%, 09/15/24.............................. 1,249 1,288,211
2.875%, 02/01/27.............................. 2,000 2,047,184
7.125%, 05/01/30.............................. 500 724,951
-----------
TOTAL AGENCY OBLIGATIONS........................... 24,684,394
-----------
BONDS -- (52.8%)
21st Century Fox America, Inc.
3.000%, 09/15/22.............................. 180 183,243
3.700%, 09/15/24.............................. 200 208,303
3M Co.
1.625%, 06/15/19.............................. 375 374,946
2.875%, 10/15/27.............................. 600 599,886
ABB Finance USA, Inc.
2.875%, 05/08/22.............................. 100 101,900
Abbott Laboratories
3.250%, 04/15/23.............................. 50 51,074
Activision Blizzard, Inc.
3.400%, 06/15/27.............................. 100 100,179
Adobe Systems, Inc.
3.250%, 02/01/25.............................. 160 164,013
Advance Auto Parts, Inc.
4.500%, 12/01/23.............................. 200 209,294
Aetna, Inc.
3.500%, 11/15/24.............................. 50 50,978
Aflac, Inc.
3.625%, 11/15/24.............................. 250 263,954
3.250%, 03/17/25.............................. 50 50,952
FACE
AMOUNT^ VALUE+
------- ------
(000)
Ahold Finance USA LLC
6.875%, 05/01/29............................. 40 $ 49,154
Airbus SE
## 3.150%, 04/10/27............................. 200 202,603
Allstate Corp. (The)
3.150%, 06/15/23............................. 500 511,523
Alphabet, Inc.
3.375%, 02/25/24............................. 200 209,782
1.998%, 08/15/26............................. 200 188,001
American Express Credit Corp.
3.300%, 05/03/27............................. 200 202,186
American Honda Finance Corp.
2.300%, 09/09/26............................. 250 236,899
American International Group, Inc.
4.125%, 02/15/24............................. 50 53,179
3.750%, 07/10/25............................. 150 155,074
Ameriprise Financial, Inc.
4.000%, 10/15/23............................. 30 32,043
3.700%, 10/15/24............................. 400 418,024
Amgen, Inc.
3.125%, 05/01/25............................. 200 201,136
Analog Devices, Inc.
3.900%, 12/15/25............................. 33 34,661
Anglo American Capital P.L.C.
## 4.750%, 04/10/27............................. 200 211,405
## 4.000%, 09/11/27............................. 200 199,993
Anthem, Inc.
3.500%, 08/15/24............................. 150 153,760
ANZ New Zealand International Ltd.
## 3.450%, 07/17/27............................. 500 506,835
Aon P.L.C.
3.500%, 06/14/24............................. 275 283,572
Apple, Inc.
3.250%, 02/23/26............................. 250 255,551
2.450%, 08/04/26............................. 695 671,706
3.350%, 02/09/27............................. 800 820,966
3.000%, 06/20/27............................. 500 499,844
Applied Materials, Inc.
3.300%, 04/01/27............................. 300 306,782
Arrow Electronics, Inc.
3.875%, 01/12/28............................. 100 101,052
ASB Finance, Ltd.
0.500%, 06/10/22............................. EUR 225 263,749
Asian Development Bank
2.000%, 01/22/25............................. 150 146,190
AT&T, Inc.
3.875%, 08/15/21............................. 150 157,924
3.000%, 02/15/22............................. 50 50,569
3.950%, 01/15/25............................. 350 359,318
Australia & New Zealand Banking Group, Ltd.
3.700%, 11/16/25............................. 250 265,612
Autodesk, Inc.
4.375%, 06/15/25............................. 150 160,194
33
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
Automatic Data Processing, Inc.
3.375%, 09/15/25............................. 600 $618,218
AutoZone, Inc.
2.500%, 04/15/21............................. 70 69,882
3.125%, 04/21/26............................. 200 194,876
Avnet, Inc.
4.625%, 04/15/26............................. 250 260,719
Bank of America Corp.
3.300%, 01/11/23............................. 150 153,630
4.000%, 04/01/24............................. 250 264,867
Bank of Montreal
2.375%, 01/25/19............................. 100 100,608
Bank of New York Mellon Corp. (The)
3.650%, 02/04/24............................. 300 315,625
Barclays P.L.C.
4.375%, 01/12/26............................. 500 523,904
Bed Bath & Beyond, Inc.
# 3.749%, 08/01/24............................. 275 273,030
Bemis Co., Inc.
4.500%, 10/15/21............................. 100 106,303
Berkshire Hathaway, Inc.
3.125%, 03/15/26............................. 407 411,980
BlackRock, Inc.
3.375%, 06/01/22............................. 100 104,112
3.200%, 03/15/27............................. 200 202,663
BP Capital Markets P.L.C.
3.535%, 11/04/24............................. 50 52,085
BPCE SA
4.000%, 04/15/24............................. 500 530,840
British Columbia, Province of Canada
6.500%, 01/15/26............................. 200 249,879
Brown & Brown, Inc.
4.200%, 09/15/24............................. 40 42,039
Buckeye Partners L.P.
3.950%, 12/01/26............................. 225 224,866
Burlington Northern Santa Fe LLC
3.000%, 04/01/25............................. 75 75,897
CA, Inc.
4.500%, 08/15/23............................. 100 104,652
4.700%, 03/15/27............................. 250 263,701
Canadian Pacific Railway Co.
2.900%, 02/01/25............................. 50 49,964
Capital One Financial Corp.
3.750%, 04/24/24............................. 50 51,813
Cardinal Health, Inc.
4.625%, 12/15/20............................. 75 79,826
3.410%, 06/15/27............................. 200 197,788
CBS Corp.
3.500%, 01/15/25............................. 250 253,795
Charles Schwab Corp. (The)
3.200%, 03/02/27............................. 200 201,769
Chevron Corp.
2.419%, 11/17/20............................. 50 50,555
2.355%, 12/05/22............................. 500 499,112
FACE
AMOUNT^ VALUE+
------- ------
(000)
Chubb INA Holdings, Inc.
3.350%, 05/15/24............................. 50 $ 51,700
Cigna Corp.
3.250%, 04/15/25............................. 250 251,932
Cisco Systems, Inc.
2.200%, 02/28/21............................. 50 50,121
Citigroup, Inc.
3.875%, 10/25/23............................. 380 397,539
CME Group, Inc.
3.000%, 03/15/25............................. 85 86,535
CMS Energy Corp.
3.875%, 03/01/24............................. 175 183,955
CNA Financial Corp.
3.950%, 05/15/24............................. 300 312,454
4.500%, 03/01/26............................. 30 32,198
Coca-Cola Co. (The)
3.150%, 11/15/20............................. 48 49,756
3.200%, 11/01/23............................. 1,000 1,043,009
2.250%, 09/01/26............................. 140 133,329
Colgate-Palmolive Co.
3.250%, 03/15/24............................. 100 103,152
Comcast Corp.
3.150%, 03/01/26............................. 200 201,323
Commonwealth Bank of Australia
2.400%, 11/02/20............................. 250 251,789
## 2.850%, 05/18/26............................. 250 244,285
ConocoPhillips Co.
3.350%, 11/15/24............................. 300 310,831
Cooperatieve Rabobank UA
3.875%, 02/08/22............................. 50 53,065
3.375%, 05/21/25............................. 500 515,057
Credit Suisse AG
3.625%, 09/09/24............................. 500 520,543
CSX Corp.
3.700%, 10/30/20............................. 70 72,865
CVS Health Corp.
2.750%, 12/01/22............................. 200 199,099
3.875%, 07/20/25............................. 67 68,773
Deere & Co.
5.375%, 10/16/29............................. 80 97,567
Deutsche Bank AG
3.700%, 05/30/24............................. 30 30,442
4.100%, 01/13/26............................. 200 205,645
Discovery Communications LLC
3.250%, 04/01/23............................. 75 75,727
Dollar General Corp.
3.250%, 04/15/23............................. 100 102,592
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20............................. 250 253,486
Dominion Energy, Inc.
3.625%, 12/01/24............................. 100 103,475
Dow Chemical Co. (The)
4.250%, 11/15/20............................. 150 157,352
3.000%, 11/15/22............................. 30 30,562
3.500%, 10/01/24............................. 200 206,625
Dr Pepper Snapple Group, Inc.
3.400%, 11/15/25............................. 250 253,297
34
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
Duke Energy Corp.
3.750%, 04/15/24............................. 275 $287,511
Eaton Corp.
2.750%, 11/02/22............................. 207 208,025
eBay, Inc.
2.600%, 07/15/22............................. 175 174,677
Electricite de France SA
## 2.350%, 10/13/20............................. 30 30,109
Electronic Arts, Inc.
4.800%, 03/01/26............................. 250 275,920
Emerson Electric Co.
2.625%, 12/01/21............................. 450 457,437
Enbridge, Inc.
3.500%, 06/10/24............................. 300 305,223
Energy Transfer L.P.
4.750%, 01/15/26............................. 200 210,473
Enterprise Products Operating LLC
3.900%, 02/15/24............................. 200 210,462
EOG Resources, Inc.
3.150%, 04/01/25............................. 200 199,898
4.150%, 01/15/26............................. 100 106,525
ERAC USA Finance LLC
## 3.850%, 11/15/24............................. 200 207,661
European Investment Bank
3.250%, 01/29/24............................. 100 105,283
Eversource Energy
2.500%, 03/15/21............................. 100 100,281
Exelon Corp.
2.850%, 06/15/20............................. 150 152,583
3.400%, 04/15/26............................. 200 201,370
Express Scripts Holding Co.
3.900%, 02/15/22............................. 75 78,495
3.500%, 06/15/24............................. 250 253,039
3.400%, 03/01/27............................. 56 55,001
Exxon Mobil Corp.
2.222%, 03/01/21............................. 550 553,488
FedEx Corp.
2.625%, 08/01/22............................. 100 101,180
Fidelity National Information Services, Inc.
5.000%, 10/15/25............................. 63 70,153
Ford Motor Credit Co. LLC
3.200%, 01/15/21............................. 200 204,499
4.375%, 08/06/23............................. 200 211,761
GATX Corp.
3.250%, 09/15/26............................. 100 98,430
General Mills, Inc.
3.150%, 12/15/21............................. 200 205,365
General Motors Financial Co., Inc.
5.250%, 03/01/26............................. 250 273,092
Georgia-Pacific LLC
7.750%, 11/15/29............................. 40 55,966
Gilead Sciences, Inc.
4.500%, 04/01/21............................. 30 32,225
3.650%, 03/01/26............................. 100 104,081
Goldcorp, Inc.
3.625%, 06/09/21............................. 190 196,833
FACE
AMOUNT^ VALUE+
------- ------
(000)
Goldman Sachs Group, Inc. (The)
3.750%, 02/25/26............................. 500 $512,944
Halliburton Co.
3.500%, 08/01/23............................. 200 207,701
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 100 99,442
Hasbro, Inc.
3.150%, 05/15/21............................. 97 98,646
Home Depot, Inc. (The)
2.000%, 04/01/21............................. 100 99,785
2.700%, 04/01/23............................. 75 76,090
Honeywell International, Inc.
2.500%, 11/01/26............................. 200 191,471
HSBC Holdings P.L.C.
4.000%, 03/30/22............................. 350 369,876
Humana, Inc.
3.150%, 12/01/22............................. 400 407,786
Huntington Bancshares, Inc.
3.150%, 03/14/21............................. 75 76,739
2.300%, 01/14/22............................. 300 296,189
Hyatt Hotels Corp.
3.375%, 07/15/23............................. 100 102,346
Illinois Tool Works, Inc.
3.500%, 03/01/24............................. 100 105,212
ING Bank NV
## 2.050%, 08/15/21............................. 350 345,054
Intel Corp.
2.450%, 07/29/20............................. 30 30,433
Inter-American Development Bank
3.000%, 02/21/24............................. 250 260,359
Intercontinental Exchange, Inc.
3.750%, 12/01/25............................. 250 262,545
International Business Machines Corp.
3.300%, 01/27/27............................. 750 764,676
International Paper Co.
3.800%, 01/15/26............................. 75 78,178
Intesa Sanpaolo SpA
## 3.875%, 07/14/27............................. 200 201,071
ITC Holdings Corp.
3.650%, 06/15/24............................. 200 206,097
Janus Capital Group, Inc.
4.875%, 08/01/25............................. 350 376,291
Jefferies Group LLC
4.850%, 01/15/27............................. 100 106,267
JM Smucker Co. (The)
3.500%, 03/15/25............................. 70 71,470
JPMorgan Chase & Co.
3.250%, 09/23/22............................. 150 154,344
3.900%, 07/15/25............................. 30 31,589
Juniper Networks, Inc.
4.500%, 03/15/24............................. 200 212,013
Kellogg Co.
2.750%, 03/01/23............................. 75 74,553
3.250%, 04/01/26............................. 200 200,026
35
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
KeyCorp
5.100%, 03/24/21............................. 100 $108,911
Kimberly-Clark Corp.
2.400%, 06/01/23............................. 50 49,757
Kohl's Corp.
4.750%, 12/15/23............................. 243 252,827
Kommunalbanken A.S.
1.750%, 05/28/19............................. 100 99,959
Kommuninvest I Sverige AB
0.250%, 06/01/22............................. SEK 4,000 472,865
Kraft Heinz Foods Co.
3.500%, 06/06/22............................. 200 206,602
3.950%, 07/15/25............................. 200 207,515
Kroger Co. (The)
7.500%, 04/01/31............................. 250 329,455
Legg Mason, Inc.
4.750%, 03/15/26............................. 30 31,965
Lincoln National Corp.
3.350%, 03/09/25............................. 75 75,507
Lloyds Banking Group P.L.C.
3.750%, 01/11/27............................. 250 253,791
Loews Corp.
2.625%, 05/15/23............................. 50 50,021
3.750%, 04/01/26............................. 200 207,381
Lowe's Cos., Inc.
3.875%, 09/15/23............................. 50 53,042
3.375%, 09/15/25............................. 125 128,869
LyondellBasell Industries NV
6.000%, 11/15/21............................. 200 224,632
Macquarie Bank, Ltd.
## 3.900%, 01/15/26............................. 250 260,556
Manitoba, Province of Canada
1.750%, 05/30/19............................. 100 99,846
Manufacturers & Traders Trust Co.
2.900%, 02/06/25............................. 300 297,902
Marathon Petroleum Corp.
3.625%, 09/15/24............................. 100 102,532
Markel Corp.
5.350%, 06/01/21............................. 30 32,729
Marriott International, Inc.
2.875%, 03/01/21............................. 200 202,068
Maxim Integrated Products, Inc.
3.450%, 06/15/27............................. 150 152,446
McDonald's Corp.
2.750%, 12/09/20............................. 30 30,591
3.700%, 01/30/26............................. 150 156,833
McKesson Corp.
3.796%, 03/15/24............................. 75 78,089
Mead Johnson Nutrition Co.
4.125%, 11/15/25............................. 48 51,342
Medtronic, Inc.
3.125%, 03/15/22............................. 50 51,531
MetLife, Inc.
3.600%, 04/10/24............................. 50 52,538
Microsoft Corp.
2.400%, 08/08/26............................. 800 772,738
FACE
AMOUNT^ VALUE+
------- ------
(000)
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 200 $ 200,127
Monsanto Co.
3.375%, 07/15/24............................. 200 204,287
Morgan Stanley
5.500%, 07/28/21............................. 100 110,470
3.875%, 04/29/24............................. 350 367,573
Mosaic Co. (The)
4.250%, 11/15/23............................. 50 52,243
Nasdaq, Inc.
4.250%, 06/01/24............................. 75 79,713
National Australia Bank, Ltd.
1.875%, 07/12/21............................. 500 491,272
## 3.500%, 01/10/27............................. 250 256,373
National Rural Utilities Cooperative Finance
Corp.
8.000%, 03/01/32............................. 121 177,986
Nationwide Building Society
## 3.900%, 07/21/25............................. 200 210,058
Noble Energy, Inc.
4.150%, 12/15/21............................. 200 210,952
Nordstrom, Inc.
# 4.000%, 03/15/27............................. 200 196,853
NRW Bank
1.875%, 07/01/19............................. 100 100,056
Nuveen Finance LLC
## 4.125%, 11/01/24............................. 50 52,876
Occidental Petroleum Corp.
3.000%, 02/15/27............................. 300 299,456
Omnicom Group, Inc.
3.650%, 11/01/24............................. 100 102,841
ONEOK, Inc.
4.000%, 07/13/27............................. 300 305,263
Oracle Corp.
2.950%, 05/15/25............................. 1,900 1,918,910
Pacific Gas & Electric Co.
2.950%, 03/01/26............................. 250 245,344
Packaging Corp. of America
4.500%, 11/01/23............................. 200 217,020
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.050%, 01/09/20............................. 51 51,926
## 3.400%, 11/15/26............................. 200 198,196
PepsiCo, Inc.
2.750%, 03/05/22............................. 100 102,142
Phillips 66
4.300%, 04/01/22............................. 200 214,203
Phillips 66 Partners L.P.
3.550%, 10/01/26............................. 200 197,922
Plains All American Pipeline L.P. / PAA Finance
Corp.
4.500%, 12/15/26............................. 98 100,103
PNC Bank NA
3.250%, 06/01/25............................. 250 254,547
Potash Corp. of Saskatchewan, Inc.
3.625%, 03/15/24............................. 300 308,435
36
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
Praxair, Inc.
2.200%, 08/15/22............................. 50 $ 49,734
Precision Castparts Corp.
1.250%, 01/15/18............................. 100 99,964
3.250%, 06/15/25............................. 344 351,872
Priceline Group, Inc. (The)
3.600%, 06/01/26............................. 350 357,714
Principal Financial Group, Inc.
3.100%, 11/15/26............................. 100 99,608
Province of Ontario Canada
1.875%, 05/21/20............................. 50 49,818
3.150%, 06/02/22............................. CAD 340 276,385
Province of Quebec Canada
3.500%, 07/29/20............................. 35 36,396
7.500%, 09/15/29............................. 500 713,544
Prudential Financial, Inc.
4.500%, 11/16/21............................. 100 108,158
3.500%, 05/15/24............................. 200 208,404
PSEG Power LLC
5.125%, 04/15/20............................. 30 31,957
QUALCOMM, Inc.
3.450%, 05/20/25............................. 75 77,171
Quest Diagnostics, Inc.
3.500%, 03/30/25............................. 200 204,419
Reinsurance Group of America, Inc.
3.950%, 09/15/26............................. 100 102,320
Rio Tinto Finance USA P.L.C.
2.875%, 08/21/22............................. 4 4,059
Rockwell Automation, Inc.
2.875%, 03/01/25............................. 300 297,778
Royal Bank of Canada
2.200%, 07/27/18............................. 100 100,421
Santander Holdings USA, Inc.
4.500%, 07/17/25............................. 250 260,674
Santander UK Group Holdings P.L.C.
2.875%, 10/16/20............................. 350 354,365
Santander UK P.L.C.
4.000%, 03/13/24............................. 50 52,906
Scripps Networks Interactive, Inc.
3.500%, 06/15/22............................. 50 51,085
3.900%, 11/15/24............................. 150 154,089
Sempra Energy
3.550%, 06/15/24............................. 250 257,447
Shell International Finance BV
2.125%, 05/11/20............................. 180 180,782
3.400%, 08/12/23............................. 30 31,563
3.250%, 05/11/25............................. 1,000 1,028,751
2.875%, 05/10/26............................. 450 447,516
Sherwin-Williams Co. (The)
3.450%, 08/01/25............................. 100 101,736
Siemens Financieringsmaatschappij NV
## 6.125%, 08/17/26............................. 200 246,451
Societe Generale SA
## 2.500%, 04/08/21............................. 350 350,471
FACE
AMOUNT^ VALUE+
------- ------
(000)
Southern California Edison Co.
6.650%, 04/01/29............................. 65 $ 84,137
Southern Co. (The)
1.850%, 07/01/19............................. 300 299,405
Southern Power Co.
4.150%, 12/01/25............................. 50 52,829
Southwest Airlines Co.
3.000%, 11/15/26............................. 250 246,474
Starbucks Corp.
2.100%, 02/04/21............................. 100 100,257
State Street Corp.
4.375%, 03/07/21............................. 75 80,223
3.550%, 08/18/25............................. 200 208,647
Statoil ASA
2.250%, 11/08/19............................. 200 201,303
2.650%, 01/15/24............................. 100 99,540
Stryker Corp.
2.000%, 03/08/19............................. 180 180,375
3.375%, 05/15/24............................. 200 205,993
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21............................. 30 30,515
2.058%, 07/14/21............................. 350 344,417
Suncor Energy, Inc.
3.600%, 12/01/24............................. 200 206,922
SunTrust Banks, Inc.
2.900%, 03/03/21............................. 75 76,221
SVB Financial Group
5.375%, 09/15/20............................. 100 108,030
Sweden Government Bond
3.500%, 06/01/22............................. SEK 8,000 1,115,469
Sysco Corp.
2.600%, 10/01/20............................. 30 30,364
Tapestry, Inc.
4.250%, 04/01/25............................. 300 310,329
Target Corp.
2.900%, 01/15/22............................. 270 276,260
2.500%, 04/15/26............................. 75 72,073
TCI Communications, Inc.
7.875%, 02/15/26............................. 140 186,856
TD Ameritrade Holding Corp.
3.625%, 04/01/25............................. 30 31,245
Telefonica Europe BV
8.250%, 09/15/30............................. 275 388,963
Thomson Reuters Corp.
4.300%, 11/23/23............................. 100 106,300
Time Warner, Inc.
3.550%, 06/01/24............................. 200 202,523
Total Capital SA
2.125%, 08/10/18............................. 100 100,309
Total System Services, Inc.
4.800%, 04/01/26............................. 30 32,621
TransCanada PipeLines, Ltd.
2.500%, 08/01/22............................. 300 300,131
U.S. Bancorp
3.700%, 01/30/24............................. 75 79,127
37
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
U.S. Bank NA
2.800%, 01/27/25............................. 750 $ 747,047
UBS Group Funding Switzerland AG
## 4.125%, 09/24/25............................. 200 210,925
Union Pacific Corp.
3.750%, 03/15/24............................. 200 212,287
United Parcel Service, Inc.
2.450%, 10/01/22............................. 100 100,632
United Technologies Corp.
7.500%, 09/15/29............................. 40 55,726
Unum Group
3.000%, 05/15/21............................. 350 353,966
Valero Energy Corp.
3.400%, 09/15/26............................. 250 249,975
Verizon Communications, Inc.
## 3.376%, 02/15/25............................. 174 175,043
2.625%, 08/15/26............................. 200 188,635
Viacom, Inc.
3.875%, 04/01/24............................. 50 50,165
Visa, Inc.
3.150%, 12/14/25............................. 375 382,966
Vodafone Group P.L.C.
7.875%, 02/15/30............................. 200 273,580
Wal-Mart Stores, Inc.
2.550%, 04/11/23............................. 100 100,855
7.550%, 02/15/30............................. 200 291,289
Walgreens Boots Alliance, Inc.
3.450%, 06/01/26............................. 150 147,337
Waste Management, Inc.
3.500%, 05/15/24............................. 60 62,235
Wells Fargo & Co.
3.000%, 02/19/25............................. 350 347,200
3.000%, 04/22/26............................. 150 147,101
Westpac Banking Corp.
4.875%, 11/19/19............................. 100 105,835
2.850%, 05/13/26............................. 300 293,827
3.350%, 03/08/27............................. 550 558,064
WestRock MWV LLC
8.200%, 01/15/30............................. 222 311,936
Williams Partners L.P.
4.000%, 09/15/25............................. 250 258,184
3.750%, 06/15/27............................. 110 110,354
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 75 76,126
Wyndham Worldwide Corp.
3.900%, 03/01/23............................. 40 39,885
Xilinx, Inc.
3.000%, 03/15/21............................. 100 101,731
Zoetis, Inc.
3.000%, 09/12/27............................. 100 97,893
-----------
TOTAL BONDS...................................... 66,011,528
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
U.S. TREASURY OBLIGATIONS -- (27.1%)
U.S. Treasury Bonds
6.250%, 08/15/23............................. 1,810 $ 2,219,300
6.625%, 02/15/27............................. 600 816,305
6.125%, 11/15/27............................. 750 1,002,861
5.250%, 02/15/29............................. 870 1,114,620
6.125%, 08/15/29............................. 145 200,304
6.250%, 05/15/30............................. 430 607,308
5.375%, 02/15/31............................. 1,760 2,345,062
U.S. Treasury Notes
0.875%, 03/31/18............................. 500 499,219
0.750%, 08/15/19............................. 500 492,734
2.000%, 07/31/20............................. 2,000 2,015,000
1.250%, 03/31/21............................. 2,760 2,708,142
1.125%, 07/31/21............................. 1,800 1,751,766
1.500%, 02/28/23............................. 1,100 1,068,504
1.500%, 03/31/23............................. 2,430 2,357,859
1.750%, 05/15/23............................. 1,000 981,836
1.250%, 07/31/23............................. 3,300 3,145,184
2.500%, 05/15/24............................. 950 967,404
2.250%, 11/15/24............................. 1,500 1,500,996
2.125%, 05/15/25............................. 1,850 1,830,922
2.000%, 08/15/25............................. 1,550 1,517,729
2.250%, 11/15/25............................. 300 298,793
1.625%, 02/15/26............................. 1,000 947,461
1.625%, 05/15/26............................. 1,700 1,606,699
1.500%, 08/15/26............................. 2,000 1,866,484
------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 33,862,492
------------
TOTAL INVESTMENT SECURITIES........................ 124,558,414
------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (0.3%)
(S)@ DFA Short Term Investment Fund............... 30,743 355,732
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $125,991,476).............................. $124,914,146
============
38
DFA SOCIAL FIXED INCOME PORTFOLIO
CONTINUED
At October 31, 2017, DFA Social Fixed Income 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 268,068 EUR 226,245 Citibank, N.A. 01/08/18 $ 3,474
USD 281,031 CAD 356,518 Citibank, N.A. 01/24/18 4,437
USD 1,634,568 SEK 13,453,275 Citibank, N.A. 01/25/18 18,894
-------
TOTAL APPRECIATION $26,805
=======
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
------- ------------ ------- ------------
Agency Obligations............ -- $ 24,684,394 -- $ 24,684,394
Bonds......................... -- 66,011,528 -- 66,011,528
U.S. Treasury Obligations..... -- 33,862,492 -- 33,862,492
Securities Lending Collateral. -- 355,732 -- 355,732
Forward Currency Contracts**.. -- 26,805 -- 26,805
-- ------------ -- ------------
TOTAL......................... -- $124,940,951 -- $124,940,951
== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. INTERNATIONAL
U.S. SOCIAL SUSTAINABILITY SUSTAINABILITY
CORE EQUITY 2 CORE 1 CORE 1
PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------- -------------- --------------
ASSETS:
Investments at Value (including $112,096, $116,935 and $48,210 of
securities on loan, respectively).................................. $ 964,583 $ 1,189,180 $ 767,881
Temporary Cash Investments at Value & Cost.......................... 8,337 4,146 --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $77,064, $74,078 and $44,505)................... 77,069 74,082 44,505
Foreign Currencies at Value......................................... -- -- 532
Cash................................................................ -- -- 4,214
Receivables:
Investment Securities Sold........................................ 520 643 95
Dividends, Interest and Tax Reclaims.............................. 632 878 2,049
Securities Lending Income......................................... 38 46 54
Fund Shares Sold.................................................. 948 1,005 1,081
Unrealized Gain on Foreign Currency Contracts....................... -- -- 3
Prepaid Expenses and Other Assets................................... 18 13 6
-------------- -------------- --------------
Total Assets................................................... 1,052,145 1,269,993 820,420
-------------- -------------- --------------
LIABILITIES:
Payables:
Due to Custodian.................................................. 53 -- --
Upon Return of Securities Loaned.................................. 77,062 74,075 44,504
Investment Securities Purchased................................... 5,961 2,161 1,444
Fund Shares Redeemed.............................................. 174 262 194
Due to Advisor.................................................... 202 211 190
Accrued Expenses and Other Liabilities.............................. 75 100 88
Total Liabilities.............................................. 83,527 76,809 46,420
-------------- -------------- --------------
NET ASSETS.......................................................... $ 968,618 $ 1,193,184 $ 774,000
============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 62,190,312 58,297,033 71,270,103
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE.......................................................... $ 15.58 $ 20.47 $ 10.86
============== ============== ==============
Investments at Cost................................................. $ 676,581 $ 858,774 $ 620,318
============== ============== ==============
Foreign Currencies at Cost.......................................... $ -- $ -- $ 535
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 668,304 $ 850,063 $ 642,923
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 461 685 1,446
Accumulated Net Realized Gain (Loss)................................ 11,846 12,026 (17,926)
Net Unrealized Foreign Exchange Gain (Loss)......................... -- -- (3)
Net Unrealized Appreciation (Depreciation).......................... 288,007 330,410 147,560
-------------- -------------- --------------
NET ASSETS.......................................................... $ 968,618 $ 1,193,184 $ 774,000
============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED..................................... 1,000,000,000 1,000,000,000 1,000,000,000
============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
40
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL EMERGING
SOCIAL CORE MARKETS SOCIAL DFA SOCIAL
EQUITY CORE EQUITY FIXED INCOME
PORTFOLIO* PORTFOLIO* PORTFOLIO
-------------- -------------- --------------
ASSETS:
Investments at Value (including $53,941, $70,214 and $348 of
securities on loan, respectively).................................. $ 820,693 $ 1,358,761 $ 124,558
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $53,910, $42,593 and $356)...................... 53,911 42,595 356
Foreign Currencies at Value......................................... 215 3,124 --
Cash................................................................ 12,136 64 387
Receivables:
Investment Securities Sold........................................ 95 2,044 --
Dividends, Interest and Tax Reclaims.............................. 2,107 1,010 1,034
Securities Lending Income......................................... 88 200 --
Fund Shares Sold.................................................. 530 397 88
Unrealized Gain on Forward Currency Contracts....................... -- -- 27
Unrealized Gain on Foreign Currency Contracts....................... 2 -- --
Prepaid Expenses and Other Assets................................... 21 9 9
-------------- -------------- --------------
Total Assets................................................... 889,798 1,408,204 126,459
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 53,912 42,593 356
Investment Securities Purchased................................... 6,559 2,303 --
Fund Shares Redeemed.............................................. 98 376 --
Due to Advisor.................................................... 198 540 30
Line of Credit.................................................... -- 291 --
Unrealized Loss on Foreign Currency Contracts....................... 2 -- --
Accrued Expenses and Other Liabilities.............................. 113 179 39
Total Liabilities.............................................. 60,882 46,282 425
-------------- -------------- --------------
NET ASSETS.......................................................... $ 828,916 $ 1,361,922 $ 126,034
============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 60,535,986 94,535,647 12,725,042
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE.......................................................... $ 13.69 $ 14.41 $ 9.90
============== ============== ==============
Investments at Cost................................................. $ 692,140 $ 1,022,356 $ 125,636
============== ============== ==============
Foreign Currencies at Cost.......................................... $ 215 $ 3,124 $ --
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 705,119 $ 1,099,272 $ 127,405
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 1,790 259 137
Accumulated Net Realized Gain (Loss)................................ (6,543) (74,012) (456)
Net Unrealized Foreign Exchange Gain (Loss)......................... (4) (4) 26
Net Unrealized Appreciation (Depreciation).......................... 128,554 336,407 (1,078)
-------------- -------------- --------------
NET ASSETS.......................................................... $ 828,916 $ 1,361,922 $ 126,034
============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED..................................... 1,000,000,000 1,500,000,000 1,000,000,000
============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
41
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
U.S. INTERNATIONAL
U.S. SOCIAL SUSTAINABILITY SUSTAINABILITY
CORE EQUITY 2 CORE 1 CORE 1
PORTFOLIO# PORTFOLIO# PORTFOLIO#
------------- -------------- --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $4, $4 and $1,626,
respectively)....................................................... $ 14,457 $ 17,045 $ 16,749
Non Cash Income...................................................... -- -- 925
Income from Securities Lending....................................... 372 347 653
-------- -------- --------
Total Investment Income........................................... 14,829 17,392 18,327
-------- -------- --------
EXPENSES
Investment Management Fees........................................... 2,094 2,452 2,116
Accounting & Transfer Agent Fees..................................... 49 72 63
Custodian Fees....................................................... 18 17 150
Filing Fees.......................................................... 45 71 44
Shareholders' Reports................................................ 27 25 15
Directors'/Trustees' Fees & Expenses................................. 8 9 6
Professional Fees.................................................... 14 16 14
Other................................................................ 76 35 32
-------- -------- --------
Total Expenses.................................................... 2,331 2,697 2,440
-------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... -- (216) 8
Fees Paid Indirectly (Note C)........................................ -- -- (38)
-------- -------- --------
Net Expenses......................................................... 2,331 2,481 2,410
-------- -------- --------
NET INVESTMENT INCOME (LOSS)......................................... 12,498 14,911 15,917
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................... 12,091 12,099 110
Affiliated Investment Companies Shares Sold........................ 1 2 (1)
Futures............................................................ -- 192 1
Foreign Currency Transactions...................................... -- -- (86)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 156,516 187,064 129,515
Affiliated Investment Companies Shares............................. (11) (10) (4)
Translation of Foreign Currency Denominated Amounts................ -- -- 40
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 168,597 199,347 129,575
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $181,095 $214,258 $145,492
======== ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
EMERGING
INTERNATIONAL MARKETS
SOCIAL CORE SOCIAL CORE DFA SOCIAL
EQUITY EQUITY FIXED INCOME
PORTFOLIO# PORTFOLIO# PORTFOLIO#
------------- ----------- ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,619, $3,924 and $0,
respectively)....................................................... $ 17,797 $ 30,503 --
Non Cash Income...................................................... 1,311 -- --
Interest............................................................. -- -- $2,176
Income from Securities Lending....................................... 867 2,095 3
-------- -------- ------
Total Investment Income........................................... 19,975 32,598 2,179
-------- -------- ------
EXPENSES
Investment Management Fees........................................... 2,110 6,097 197
Accounting & Transfer Agent Fees..................................... 50 80 8
Custodian Fees....................................................... 237 642 3
Filing Fees.......................................................... 45 38 23
Shareholders' Reports................................................ 25 30 15
Directors'/Trustees' Fees & Expenses................................. 6 12 1
Professional Fees.................................................... 13 93 1
Offering Costs....................................................... -- -- 30
Other................................................................ 75 94 5
-------- -------- ------
Total Expenses.................................................... 2,561 7,086 283
-------- -------- ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... -- -- (17)
Fees Paid Indirectly (Note C)........................................ (37) (27) (2)
-------- -------- ------
Net Expenses......................................................... 2,524 7,059 264
-------- -------- ------
NET INVESTMENT INCOME (LOSS)......................................... 17,451 25,539 1,915
-------- -------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................... (2,552) 6,746 (442)
Affiliated Investment Companies Shares Sold........................ (2) (1) --
Futures............................................................ 157 3 --
Foreign Currency Transactions...................................... (42) 50 --
Forward Currency Contracts......................................... -- -- (58)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 142,427 254,476 (428)
Affiliated Investment Companies Shares............................. (4) (5) --
Translation of Foreign Currency Denominated Amounts................ 41 (24) (1)
Forward Currency Contracts......................................... -- -- 27
-------- -------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 140,025 261,245 (902)
-------- -------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $157,476 $286,784 $1,013
======== ======== ======
----------
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
43
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. SOCIAL CORE EQUITY 2 U.S. SUSTAINABILITY CORE 1
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)...................... $ 12,498 $ 10,898 $ 14,911 $ 10,812
Net Realized Gain (Loss) on:
Investment Securities Sold*..................... 12,091 7,666 12,099 7,355
Affiliated Investment Companies Shares
Sold........................................... 1 -- 2 --
Futures......................................... -- -- 192 --
Foreign Currency Transactions................... -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................................... 156,516 365 187,064 7,225
Affiliated Investment Companies Shares.......... (11) -- (10) --
Translation of Foreign Currency Denominated
Amounts........................................ -- -- -- --
--------- --------- ---------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 181,095 18,929 214,258 25,392
--------- --------- ---------- --------
Distributions From:
Net Investment Income............................. (12,378) (10,502) (15,082) (10,043)
Net Long-Term Gains............................... (7,378) (10,434) (7,062) (5,718)
--------- --------- ---------- --------
Total Distributions............................ (19,756) (20,936) (22,144) (15,761)
--------- --------- ---------- --------
Capital Share Transactions (1):
Shares Issued..................................... 262,707 200,728 370,948 281,621
Shares Issued in Lieu of Cash Distributions....... 18,338 19,233 21,620 15,407
Shares Redeemed................................... (160,468) (137,775) (141,352) (97,412)
--------- --------- ---------- --------
Net Increase (Decrease) from Capital Share
Transactions.................................. 120,577 82,186 251,216 199,616
--------- --------- ---------- --------
Total Increase (Decrease) in Net Assets........ 281,916 80,179 443,330 209,247
NET ASSETS
Beginning of Year................................. 686,702 606,523 749,854 540,607
--------- --------- ---------- --------
End of Year....................................... $ 968,618 $ 686,702 $1,193,184 $749,854
========= ========= ========== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 18,392 16,085 19,847 17,385
Shares Issued in Lieu of Cash Distributions....... 1,276 1,560 1,158 945
Shares Redeemed................................... (11,253) (11,293) (7,501) (5,997)
--------- --------- ---------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed........................... 8,415 6,352 13,504 12,333
========= ========= ========== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ 461 $ 797 $ 685 $ 1,349
INTERNATIONAL SUSTAINABILITY
CORE 1 PORTFOLIO
---------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
--------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 15,917 $ 11,415
Net Realized Gain (Loss) on:
Investment Securities Sold*..................... 110 (14,614)
Affiliated Investment Companies Shares
Sold........................................... (1) --
Futures......................................... 1 --
Foreign Currency Transactions................... (86) (51)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................................... 129,515 2,505
Affiliated Investment Companies Shares.......... (4) --
Translation of Foreign Currency Denominated
Amounts........................................ 40 (30)
--------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 145,492 (775)
--------- ---------
Distributions From:
Net Investment Income............................. (15,275) (10,814)
Net Long-Term Gains............................... -- --
--------- ---------
Total Distributions............................ (15,275) (10,814)
--------- ---------
Capital Share Transactions (1):
Shares Issued..................................... 214,498 248,715
Shares Issued in Lieu of Cash Distributions....... 13,007 9,447
Shares Redeemed................................... (103,863) (127,481)
--------- ---------
Net Increase (Decrease) from Capital Share
Transactions.................................. 123,642 130,681
--------- ---------
Total Increase (Decrease) in Net Assets........ 253,859 119,092
NET ASSETS
Beginning of Year................................. 520,141 401,049
--------- ---------
End of Year....................................... $ 774,000 $ 520,141
========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 22,006 28,541
Shares Issued in Lieu of Cash Distributions....... 1,312 1,098
Shares Redeemed................................... (10,816) (14,745)
--------- ---------
Net Increase (Decrease) from Shares
Issued and Redeemed........................... 12,502 14,894
========= =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ 1,446 $ 1,213
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL SOCIAL CORE EMERGING MARKETS SOCIAL DFA SOCIAL FIXED INCOME
EQUITY PORTFOLIO CORE EQUITY PORTFOLIO PORTFOLIO
------------------------ ---------------------- ----------------------
PERIOD
YEAR YEAR YEAR YEAR YEAR APRIL 5,
ENDED ENDED ENDED ENDED ENDED 2016(A)
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, TO OCT. 31,
2017 2016 2017 2016 2017 2016
--------- -------- ---------- ---------- -------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 17,451 $ 13,307 $ 25,539 $ 21,089 $ 1,915 $ 374
Net Realized Gain (Loss) on:
Investment Securities Sold*..................... (2,552) (1,541) 6,746 (47,636) (442) 19
Affiliated Investment Companies Shares Sold..... (2) -- (1) -- -- --
Futures......................................... 157 (9) 3 166 -- --
Foreign Currency Transactions................... (42) 41 50 28 (58) --
Forward Currency Contracts...................... -- (5) -- (3) -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency...... 142,427 1,388 254,476 151,807 (428) (650)
Affiliated Investment Companies Shares.......... (4) -- (5) -- -- --
Translation of Foreign Currency Denominated
Amounts........................................ 41 (40) (24) 70 (1) --
Forward Currency Contracts...................... -- -- -- -- 27 --
--------- -------- ---------- ---------- -------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 157,476 13,141 286,784 125,521 1,013 (257)
--------- -------- ---------- ---------- -------- -------
Distributions From:
Net Investment Income............................. (17,057) (12,707) (25,771) (20,974) (1,771) (323)
Net Short-Term Gains.............................. -- -- -- -- (33) --
--------- -------- ---------- ---------- -------- -------
Total Distributions............................ (17,057) (12,707) (25,771) (20,974) (1,804) (323)
--------- -------- ---------- ---------- -------- -------
Capital Share Transactions (1):
Shares Issued..................................... 243,671 175,506 238,716 258,920 47,232 85,728
Shares Issued in Lieu of Cash Distributions....... 16,073 11,685 22,914 18,534 1,800 323
Shares Redeemed................................... (117,960) (65,310) (237,648) (265,020) (5,906) (1,772)
--------- -------- ---------- ---------- -------- -------
Net Increase (Decrease) from Capital Share
Transactions.................................. 141,784 121,881 23,982 12,434 43,126 84,279
--------- -------- ---------- ---------- -------- -------
Total Increase (Decrease) in Net Assets........ 282,203 122,315 284,995 116,981 42,335 83,699
NET ASSETS
Beginning of Period............................... 546,713 424,398 1,076,927 959,946 83,699 --
--------- -------- ---------- ---------- -------- -------
End of Period..................................... $ 828,916 $546,713 $1,361,922 $1,076,927 $126,034 $83,699
========= ======== ========== ========== ======== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 19,691 16,236 19,064 25,535 4,784 8,501
Shares Issued in Lieu of Cash Distributions....... 1,296 1,094 1,762 1,714 183 32
Shares Redeemed................................... (9,544) (6,030) (17,864) (25,868) (600) (175)
--------- -------- ---------- ---------- -------- -------
Net Increase (Decrease) from Shares Issued
and Redeemed.................................. 11,443 11,300 2,962 1,381 4,367 8,358
========= ======== ========== ========== ======== =======
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ 1,790 $ 1,642 $ 259 $ 1,250 $ 137 $ 51
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $2, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
45
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO U.S. SUSTAINABILITY CORE 1 PORTFOLIO
------------------------------------------------ --------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------
Net Asset
Value,
Beginning
of Year........... $ 12.77 $ 12.79 $ 13.18 $ 12.10 $ 9.31 $ 16.74 $ 16.65 $ 16.63 $ 14.81 $ 11.43
-------- -------- -------- -------- -------- ---------- -------- -------- -------- --------
Income
from
Investment
Operations
----------
Net
Investment
Income
(Loss)
(A)............. 0.22 0.22 0.21 0.19 0.18 0.28 0.28 0.26 0.23 0.21
Net
Gains
(Losses)
on
Securities
(Realized
and
Unrealized)..... 2.93 0.19 (0.15) 1.29 2.87 3.89 0.24 0.23 1.91 3.44
-------- -------- -------- -------- -------- ---------- -------- -------- -------- --------
Total
from
Investment
Operations..... 3.15 0.41 0.06 1.48 3.05 4.17 0.52 0.49 2.14 3.65
-------------------------------------------------------------------------------------------------------------------------
Less
Distributions
-------------
Net
Investment
Income.......... (0.21) (0.21) (0.20) (0.17) (0.17) (0.29) (0.26) (0.25) (0.21) (0.22)
Net
Realized
Gains........... (0.13) (0.22) (0.25) (0.23) (0.09) (0.15) (0.17) (0.22) (0.11) (0.05)
-------- -------- -------- -------- -------- ---------- -------- -------- -------- --------
Total
Distributions.. (0.34) (0.43) (0.45) (0.40) (0.26) (0.44) (0.43) (0.47) (0.32) (0.27)
-------------------------------------------------------------------------------------------------------------------------
Net Asset
Value,
End of
Year
$15.58............ $ 15.58 $ 12.77 $ 12.79 $ 13.18 $ 12.10 $ 20.47 $ 16.74 $ 16.65 $ 16.63 $ 14.81
================= ======== ======== ======== ======== ======== ========== ======== ======== ======== ========
Total
Return............ 24.99% 3.40% 0.52% 12.50% 33.47% 25.18% 3.21% 3.08% 14.66% 32.40%
-------------------------------------------------------------------------------------------------------------------------
Net
Assets,
End of
Year
(thousands)....... $968,618 $686,702 $606,523 $510,366 $411,025 $1,193,184 $749,854 $540,607 $426,547 $297,661
Ratio of
Expenses
to
Average
Net
Assets............ 0.28% 0.28% 0.29% 0.28% 0.30% 0.25% 0.27% 0.32% 0.32% 0.33%
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% 0.29% 0.28% 0.30% 0.27% 0.32% 0.32% 0.32% 0.33%
Ratio of
Net
Investment
Income
to
Average
Net
Assets............ 1.49% 1.80% 1.60% 1.47% 1.64% 1.50% 1.69% 1.56% 1.44% 1.61%
Portfolio
Turnover
Rate.............. 10% 17% 16% 11% 12% 5% 26% 11% 7% 2%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
46
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SUSTAINABILITY CORE 1 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......... $ 8.85 $ 9.14 $ 9.46 $ 9.79 $ 7.89
-------- -------- -------- -------- --------
Income
from
Investment
Operations
----------
Net
Investment
Income
(Loss)
(A)............. 0.25 0.23 0.23 0.30 0.23
Net
Gains
(Losses)
on
Securities
(Realized
and
Unrealized)..... 2.00 (0.30) (0.33) (0.33) 1.90
-------- -------- -------- -------- --------
Total
from
Investment
Operations..... 2.25 (0.07) (0.10) (0.03) 2.13
-------------------------------------------------------------------------
Less
Distributions
-------------
Net
Investment
Income.......... (0.24) (0.22) (0.22) (0.28) (0.23)
Net
Realized
Gains........... -- -- -- (0.02) --
-------- -------- -------- -------- --------
Total
Distributions.. (0.24) (0.22) (0.22) (0.30) (0.23)
-------------------------------------------------------------------------
Net Asset
Value,
End of
Period............ $ 10.86 $ 8.85 $ 9.14 $ 9.46 $ 9.79
================= ======== ======== ======== ======== ========
Total
Return............ 25.66% (0.74)% (1.09)% (0.43)% 27.38%
-------------------------------------------------------------------------
Net
Assets,
End of
Period
(thousands)....... $774,000 $520,141 $401,049 $327,847 $206,602
Ratio of
Expenses
to
Average
Net
Assets............ 0.39% 0.44% 0.48% 0.49% 0.52%
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% 0.50% 0.48% 0.49% 0.50%
Ratio of
Net
Investment
Income
to
Average
Net
Assets............ 2.51% 2.64% 2.46% 2.98% 2.57%
Portfolio
Turnover
Rate.............. 10% 24% 8% 3% 2%
-------------------------------------------------------------------------
INTERNATIONAL SOCIAL CORE EQUITY 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......... $ 11.14 $ 11.23 $ 11.76 $ 12.30 $ 10.00
-------- -------- -------- -------- --------
Income
from
Investment
Operations
----------
Net
Investment
Income
(Loss)
(A)............. 0.32 0.31 0.30 0.35 0.27
Net
Gains
(Losses)
on
Securities
(Realized
and
Unrealized)..... 2.54 (0.11) (0.50) (0.50) 2.27
-------- -------- -------- -------- --------
Total
from
Investment
Operations..... 2.86 0.20 (0.20) (0.15) 2.54
------------------------------------------------------------------------------
Less
Distributions
-------------
Net
Investment
Income.......... (0.31) (0.29) (0.28) (0.35) (0.24)
Net
Realized
Gains........... -- -- (0.05) (0.04) --
-------- -------- -------- -------- --------
Total
Distributions.. (0.31) (0.29) (0.33) (0.39) (0.24)
------------------------------------------------------------------------------
Net Asset
Value,
End of
Period............ $ 13.69 $ 11.14 $ 11.23 $ 11.76 $ 12.30
================= ======== ======== ======== ======== ==========
Total
Return............ 25.98% 1.94% (1.67)% (1.40)% 25.81%(C)
------------------------------------------------------------------------------
Net
Assets,
End of
Period
(thousands)....... $828,916 $546,713 $424,398 $306,772 $148,856
Ratio of
Expenses
to
Average
Net
Assets............ 0.38% 0.45% 0.46% 0.53% 0.60%(B)(D)
Ratio of
Expenses
to
Average
Net
Assets
(Excluding
Fees
(Waived),
(Expenses
Reimbursed),
and/or
Previously
Waived
Fees
Recovered
by
Advisor
and Fees
Paid
Indirectly)....... 0.38% 0.45% 0.46% 0.50% 0.68%(B)(D)
Ratio of
Net
Investment
Income
to
Average
Net
Assets............ 2.58% 2.84% 2.58% 2.78% 2.44%(B)(D)
Portfolio
Turnover
Rate.............. 11% 8% 7% 5% 14%(C)
------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
47
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO DFA SOCIAL FIXED INCOME PORTFOLIO
----------------------------------------------------- ---------------------------------
PERIOD
APRIL 5,
YEAR YEAR YEAR YEAR YEAR YEAR 2016(A)
ENDED ENDED ENDED ENDED ENDED ENDED TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2017 2016
------------------------------------------------------------------------------------------------------------
Net Asset
Value,
Beginning
of Period......... $ 11.76 $ 10.64 $ 12.80 $ 12.92 $ 12.55 $ 10.01 $ 10.00
---------- ---------- -------- -------- -------- -------- -------
Income
from
Investment
Operations
----------
Net
Investment
Income
(Loss)
(A)............. 0.26 0.23 0.24 0.26 0.24 0.19 0.09
Net
Gains
(Losses)
on
Securities
(Realized
and
Unrealized)..... 2.65 1.12 (2.16) (0.13) 0.72 (0.12) (0.02)
---------- ---------- -------- -------- -------- -------- -------
Total
from
Investment
Operations..... 2.91 1.35 (1.92) 0.13 0.96 0.07 0.07
------------------------------------------------------------------------------------------------------------
Less
Distributions
-------------
Net
Investment
Income.......... (0.26) (0.23) (0.24) (0.25) (0.23) (0.18) (0.06)
Net
Realized
Gains........... -- -- -- -- (0.36) -- --
---------- ---------- -------- -------- -------- -------- -------
Total
Distributions.. (0.26) (0.23) (0.24) (0.25) (0.59) (0.18) (0.06)
------------------------------------------------------------------------------------------------------------
Net Asset
Value,
End of
Period............ $ 14.41 $ 11.76 $ 10.64 $ 12.80 $ 12.92 $ 9.90 $ 10.01
================= ========== ========== ======== ======== ======== ============= ============
Total
Return............ 25.04% 12.87% (15.07)% 0.98% 7.74% 0.73% 0.75%(C)
------------------------------------------------------------------------------------------------------------
Net
Assets,
End of
Period
(thousands)....... $1,361,922 $1,076,927 $959,946 $903,396 $764,187 $126,034 $83,699
Ratio of
Expenses
to
Average
Net
Assets............ 0.57% 0.63% 0.65% 0.63% 0.66% 0.27% 0.26%(B)(D)
Ratio of
Expenses
to
Average
Net
Assets
(Excluding
Fees
(Waived),
(Expenses
Reimbursed),
and/or
Previously
Waived
Fees
Recovered
by
Advisor
and Fees
Paid
Indirectly)....... 0.57% 0.64% 0.65% 0.63% 0.66% 0.29% 0.56%(B)(D)
Ratio of
Net
Investment
Income
to
Average
Net
Assets............ 2.06% 2.13% 2.02% 2.04% 1.94% 1.95% 1.58%(B)(D)
Portfolio
Turnover
Rate.............. 14% 12% 11% 10% 2% 24% 47%(C)
------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
48
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 whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors. The
Fund offers one hundred operational portfolios, six of which, U.S. Social Core
Equity 2 Portfolio, U.S. Sustainability Core 1 Portfolio, International
Sustainability Core 1 Portfolio, International Social Core Equity Portfolio,
Emerging Markets Social Core Equity Portfolio, and DFA Social Fixed Income
Portfolio (the "Portfolios"), are included in this report. The remaining
ninety-four 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."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by the DFA Social Fixed Income Portfolio are valued on
the basis of evaluated prices provided by one or more pricing services or other
reasonably reliable sources including broker/dealers that typically handle the
purchase and sale of such securities. Securities that are traded
over-the-counter and on a stock exchange generally will be valued according to
the broadest and most representative market, and it is expected that for bonds
and other fixed income securities, this ordinarily will be the over-the-counter
market. Securities for which quotations are not readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. These securities are generally categorized
as Level 2 in the hierarchy.
Securities held by U.S. Social Core Equity 2 Portfolio and U.S.
Sustainability Core 1 Portfolio (the "Domestic Equity Portfolios") and
International Sustainability Core 1 Portfolio, International Social Core Equity
Portfolio and Emerging Markets Social Core Equity Portfolio (the "International
Equity Portfolios"), including over-the-counter securities, are valued at the
last quoted sale price of the day. International equity securities are subject
to a fair value factor, as described later in this note. Securities held by the
Domestic Equity Portfolios and the International Equity Portfolios that are
listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If
there is no last reported sale price or NOCP for the day, the Domestic Equity
Portfolios and the International Equity Portfolios value the securities within
the range of the most recent quoted bid and asked prices. Price information on
listed
49
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 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 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 Portfolios are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. 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 International Equity Portfolios and DFA Social Fixed Income
Portfolio 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 and DFA Social Fixed Income Portfolio 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.
50
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of October 31, 2017, none of the Directors
have requested or received a distribution of proceeds of a deferred fee account.
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. 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.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is a deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
Emerging Markets Social Core Equity Portfolio is subject to a 15% tax on
short-term capital gains for investments in India. Such taxes are due upon sale
of individual securities. The capital gains taxes are recognized when the
capital gains are earned.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
51
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:
U.S. Social Core Equity 2 Portfolio............... 0.25%
U.S. Sustainability Core 1 Portfolio (1).......... 0.25%
International Sustainability Core 1 Portfolio (2). 0.33%
International Social Core Equity Portfolio (3).... 0.31%
Emerging Markets Social Core Equity Portfolio (4). 0.49%
DFA Social Fixed Income Portfolio................. 0.20%
(1) Effective February 28, 2017, the U.S. Sustainability Core 1 Portfolio's
investment management fee was reduced from 0.29% to 0.23%.
(2) Effective February 28, 2017, the International Sustainability Core 1
Portfolio's investment management fee was reduced from 0.42% to 0.30%.
(3) Effective February 28, 2017, the International Social Core Equity
Portfolio's investment management fee was reduced from 0.37% to 0.29%.
(4) Effective February 28, 2017, the Emerging Markets Social 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, including management fees, and in certain instances, assume
certain expenses of the Portfolios, as described below. The Fee Waiver
Agreement for the Portfolios described below will remain in effect through
February 28, 2018 and may only be terminated by the Fund's Board of Directors
prior to that date. The Fee Waiver Agreement shall continue in effect from year
to year thereafter unless terminated by the Fund or the Advisor. 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 Portfolios, is not obligated to reimburse the Advisor for fees previously
waived or expenses previously assumed by the Advisor more than thirty-six
months before the date of recovery.
NET
WAIVED FEES/
EXPENSES
ASSUMED
PREVIOUSLY (RECOVERED
RECOVERY WAIVED FEES/ PREVIOUSLY
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED WAIVED FEES/
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE EXPENSES
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY ASSUMED)
-------------------------- ---------- ---------------- ----------------- ------------
U.S. Social Core Equity 2 Portfolio (1).. 0.60% -- -- --
U.S. Sustainability Core 1 Portfolio (2). 0.25% -- $528 $216
International Sustainability Core 1
Portfolio (2).......................... 0.38% $152 248 (8)
International Social Core Equity
Portfolio (2).......................... 0.38% 40 -- --
Emerging Markets Social Core Equity
Portfolio (2).......................... 0.57% 90 -- --
DFA Social Fixed Income Portfolio (2).... 0.27% 14 86 17
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee to the extent necessary to reduce the Portfolio's ordinary
operating expenses (excluding expenses incurred through its investment in other
investment companies) ("Portfolio Expenses") of a class of the Portfolio so
that such Portfolio Expenses, on an annualized basis, do not exceed the rate
listed above as a percentage of a class of the Portfolio's average net assets
(the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of the
52
U.S. Social Core Equity 2 Portfolio are less than the Expense Limitation Amount
of a class of the Portfolio, the Advisor retains the right to recover fees
previously waived and/or expenses previously assumed to the extent that such
reimbursement will not cause the annualized Portfolio Expenses for such class
of shares of the Portfolio to exceed the Expense Limitation Amount.
(2) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of each of
the Portfolios listed above (excluding the expenses that the Portfolio incurs
indirectly through its investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a class
of each Portfolio listed above, on an annualized basis, to the rates listed
above as a percentage of a class of the respective Portfolio's average net
assets (the "Expense Limitation Amount"). At any time that the Portfolio
Expenses of a class of a Portfolio are less than the Expense Limitation Amount
for such class of shares of the Portfolio, the Advisor retains the right to
recover for any fees previously waived and/or expenses previously assumed to
the extent that such recovery will not cause the annualized Portfolio Expenses
for such class of shares of the Portfolio to exceed the applicable Expense
Limitation Amount identified above. Prior to January 1, 2017, the Expense
Limitation Amounts for the International Sustainability Core 1 Portfolio,
International Social Core Equity Portfolio and Emerging Markets Social Core
Equity Portfolio were 0.42%, 0.60% and 0.85%, respectively, of the average net
assets of each such Portfolio on an annualized basis.
EARNED INCOME CREDIT:
In addition, the Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of each Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the year ended October 31, 2017, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
International Sustainability Core 1 Portfolio. $38
International Social Core Equity Portfolio.... 37
Emerging Markets Social Core Equity Portfolio. 27
DFA Social Fixed Income Portfolio............. 2
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 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):
U.S. Social Core Equity 2 Portfolio........... $14
U.S. Sustainability Core 1 Portfolio.......... 14
International Sustainability Core 1 Portfolio. 10
International Social Core Equity Portfolio.... 7
Emerging Markets Social Core Equity Portfolio. 32
DFA Social Fixed Income Portfolio............. 1
53
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2017, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
----------------- ------------------
PURCHASES SALES PURCHASES SALES
--------- ------- --------- --------
U.S. Social Core Equity 2 Portfolio........... -- -- $216,960 $ 86,889
U.S. Sustainability Core 1 Portfolio.......... -- -- 312,891 54,121
International Sustainability Core 1 Portfolio. -- -- 187,891 65,207
International Social Core Equity Portfolio.... -- -- 208,804 72,305
Emerging Markets Social Core Equity Portfolio. -- -- 201,061 171,416
DFA Social Fixed Income Portfolio............. $37,093 $10,783 30,155 12,630
For the year ended October 31, 2017, transactions related to Affiliated
Investment Companies were as follows (amounts in thousands):
NET REALIZED DIVIDEND
GAIN/ INCOME CAPITAL GAIN
(LOSS) ON CHANGE IN FROM DISTRIBUTIONS
SALES OF UNREALIZED SHARES AFFILIATED FROM
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT AS OF INVESTMENT AFFILIATED
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES INVESTMENT
---------- --------- ---------- ------------ ------------- ---------- -------- ---------- -------------
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
DFA Short Term
Investment Fund. $100,916 $181,548 $205,385 $ 1 $(11) $77,069 6,660 $746 --
-------- -------- -------- --- ---- ------- ----- ---- --
TOTAL............ $100,916 $181,548 $205,385 $ 1 $(11) $77,069 6,660 $746 --
======== ======== ======== === ==== ======= ===== ==== ==
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
DFA Short Term
Investment Fund. $ 94,098 $214,102 $234,110 $ 2 $(10) $74,082 6,402 $747 --
-------- -------- -------- --- ---- ------- ----- ---- --
TOTAL............ $ 94,098 $214,102 $234,110 $ 2 $(10) $74,082 6,402 $747 --
======== ======== ======== === ==== ======= ===== ==== ==
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
DFA Short Term
Investment Fund. $ 28,200 $193,779 $177,469 $(1) $ (4) $44,505 3,846 $401 --
-------- -------- -------- --- ---- ------- ----- ---- --
TOTAL............ $ 28,200 $193,779 $177,469 $(1) $ (4) $44,505 3,846 $401 --
======== ======== ======== === ==== ======= ===== ==== ==
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
DFA Short Term
Investment Fund. $ 33,147 $210,287 $189,517 $(2) $ (4) $53,911 4,659 $458 --
-------- -------- -------- --- ---- ------- ----- ---- --
TOTAL............ $ 33,147 $210,287 $189,517 $(2) $ (4) $53,911 4,659 $458 --
======== ======== ======== === ==== ======= ===== ==== ==
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
DFA Short Term
Investment Fund. $ 44,752 $163,683 $165,834 $(1) $ (5) $42,595 3,681 $423 --
-------- -------- -------- --- ---- ------- ----- ---- --
TOTAL............ $ 44,752 $163,683 $165,834 $(1) $ (5) $42,595 3,681 $423 --
======== ======== ======== === ==== ======= ===== ==== ==
DFA SOCIAL FIXED INCOME PORTFOLIO
DFA Short Term
Investment Fund. $ 108 $ 16,477 $ 16,229 -- -- $ 356 31 $ 10 --
-------- -------- -------- --- ---- ------- ----- ---- --
TOTAL............ $ 108 $ 16,477 $ 16,229 -- -- $ 356 31 $ 10 --
======== ======== ======== === ==== ======= ===== ==== ==
54
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax, tax equalization,
non-deductible expenses, and realized gains on securities considered to be
"passive foreign investment companies", were reclassified to the following
accounts. These reclassifications had no effect on net assets or net asset
value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
U.S. Social Core Equity 2 Portfolio........... $ 824 $(456) $(368)
U.S. Sustainability Core 1 Portfolio.......... 778 (493) (285)
International Sustainability Core 1 Portfolio. 481 (409) (72)
International Social Core Equity Portfolio.... 573 (246) (327)
Emerging Markets Social Core Equity Portfolio. 1,244 (759) (485)
DFA Social Fixed Income Portfolio............. --* (58) 58
* 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
-------------- ------------- -------
U.S. Social Core Equity 2 Portfolio
2016.......................................... $10,502 $10,434 $20,936
2017.......................................... 12,378 7,378 19,756
U.S. Sustainability Core 1 Portfolio
2016.......................................... 10,043 5,718 15,761
2017.......................................... 15,082 7,062 22,144
International Sustainability Core 1 Portfolio
2016.......................................... 10,814 -- 10,814
2017.......................................... 15,275 -- 15,275
International Social Core Equity Portfolio
2016.......................................... 12,707 -- 12,707
2017.......................................... 17,057 -- 17,057
Emerging Markets Social Core Equity Portfolio
2016.......................................... 20,974 -- 20,974
2017.......................................... 25,771 -- 25,771
DFA Social Fixed Income Portfolio
2016.......................................... 323 -- 323
2017.......................................... 1,803 -- 1,803
55
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
-------------- ------------- -------
U.S. Social Core Equity 2 Portfolio........... $ (419) $(405) $ (824)
U.S. Sustainability Core 1 Portfolio.......... (425) (353) (778)
International Sustainability Core 1 Portfolio. (481) -- (481)
International Social Core Equity Portfolio.... (573) -- (573)
Emerging Markets Social Core Equity Portfolio. (1,244) -- (1,244)
DFA Social Fixed Income Portfolio............. -- -- --
At October 31, 2017, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED
NET INVESTMENT
INCOME AND UNDISTRIBUTED UNREALIZED
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION TOTAL NET
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) DISTRIBUTABLE
-------------- ------------- ------------- -------------- -------------
U.S. Social Core Equity 2 Portfolio........... $ 506 $11,680 -- $288,141 $300,327
U.S. Sustainability Core 1 Portfolio.......... 746 12,017 -- 330,372 343,135
International Sustainability Core 1 Portfolio. 3,857 -- $(17,635) 144,872 131,094
International Social Core Equity Portfolio.... 5,182 -- (6,359) 124,985 123,808
Emerging Markets Social Core Equity Portfolio. 6,519 -- (73,231) 329,397 262,685
DFA Social Fixed Income Portfolio............. 164 -- (444) (1,090) (1,370)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 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
--------- -------
U.S. Social Core Equity 2 Portfolio........... -- --
U.S. Sustainability Core 1 Portfolio.......... -- --
International Sustainability Core 1 Portfolio. $17,635 $17,635
International Social Core Equity Portfolio.... 6,359 6,359
Emerging Markets Social Core Equity Portfolio. 73,231 73,231
DFA Social Fixed Income Portfolio............. 444 444
56
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)
----------- ------------ ------------ --------------
U.S. Social Core Equity 2 Portfolio........... $ 761,847 $315,762 $(27,621) $288,141
U.S. Sustainability Core 1 Portfolio.......... 937,036 351,700 (21,328) 330,372
International Sustainability Core 1 Portfolio. 667,514 170,837 (25,965) 144,872
International Social Core Equity Portfolio.... 749,619 162,169 (37,184) 124,985
Emerging Markets Social Core Equity Portfolio. 1,071,959 421,809 (92,412) 329,397
DFA Social Fixed Income Portfolio............. 126,030 472 (1,562) (1,090)
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 any of the Portfolios' financial statements. The
Portfolios are not aware of any tax positions for which it is more likely than
not that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months. Each Portfolios' federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue
Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
2. FUTURES CONTRACTS: The Domestic Equity Portfolios and the International
Equity 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
Domestic Equity Portfolios and the International Equity Portfolios, however, do
not intend to sell futures contracts to establish short positions in individual
securities. Upon entering into a futures contract, the Domestic Equity
Portfolios and the International Equity 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 Domestic Equity
Portfolios and the International Equity Portfolios as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Domestic Equity Portfolios and the International Equity 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
57
instruments and from the possibility that the Domestic Equity Portfolios and
the International Equity Portfolios could lose more than the initial margin
requirements.
The Domestic Equity Portfolios and the International Equity Portfolios
entering into stock index futures are subject to equity price risk from those
futures contracts.
3. FORWARD CURRENCY CONTRACTS: The DFA Social Fixed Income Portfolio
hedges its foreign currency exposure to attempt to protect against uncertainty
in the level of future foreign currency exchange rates. The DFA Social Fixed
Income Portfolio may enter into forward foreign currency contracts to hedge
against fluctuations in currency exchange rates or to transfer balances from
one currency to another currency. The DFA Social Fixed Income Portfolio also
may enter into a forward contract to buy or sell the amount of foreign currency
approximating the value of some or all of the portfolio securities quoted or
denominated in such foreign currency. The International Social Core Equity
Portfolio and Emerging Markets Social Core Equity Portfolio may acquire and
sell forward foreign currency exchange contracts in order to attempt to protect
against uncertainty in the level of future foreign currency exchange rates.
Such Portfolios may into a forward contract in connection with the purchase or
sale of foreign equity securities, typically to "lock in" the value of the
transaction with respect to a different currency. In addition, such portfolios
may, from time to time, enter into a forward contract to transfer balances from
one currency to another currency. The decision to hedge a Portfolio's currency
exposure with respect to a foreign market will be based primarily on the
Portfolio's existing exposure to a given foreign currency. Each contract is
valued daily and the change in value is recorded by the Portfolio as an
unrealized gain or loss, which is presented in the 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.
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
--------- -------
U.S. Sustainability Core 1 Portfolio.......... -- $1,436
Emerging Markets Social Core Equity Portfolio. -- 545
DFA Social Fixed Income Portfolio............. $761 --
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
--------------- ---------------------------------
Forward currency Changes in unrealized
contracts appreciation (depreciation) of
forward currency 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
AT CURRENCY
OCTOBER 31, 2017 CONTRACTS
---------------- ---------
DFA Social Fixed Income Portfolio. $27 $27
58
The following is a summary of the location on the Portfolios' Statement 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: Foreign Currency Transactions
Change in Unrealized Appreciation (Depreciation) of: Translation of
Foreign Currency Denominated Amounts
Equity contracts Net Realized Gain (Loss) on: Futures
The following is a summary of the location of 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*
----- --------- ----------
U.S. Sustainability Core 1 Portfolio.......... $192 -- $192
International Sustainability Core 1 Portfolio. 1 -- 1
International Social Core Equity Portfolio.... 157 -- 157
Emerging Markets Social Core Equity Portfolio. 3 -- 3
DFA Social Fixed Income Portfolio............. (58) $(58) --
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS CONTRACTS
----- --------- ----------
DFA Social Fixed Income Portfolio............. $ 27 $ 27 --
* As of October 31, 2017, there were no futures or forward currency contracts
outstanding. During the year ended October 31, 2017, the Portfolios had
limited activity in futures and forward currency contracts.
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and 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."
59
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 SOCIAL FIXED
INCOME PORTFOLIO
Forward Currency
Contracts........ $27 $27 -- -- $27 -- -- -- -- --
(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 J contains information regarding securities lending amounts that are
subject to netting arrangements.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
60
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. Social Core Equity 2 Portfolio........... 1.52% $3,574 36 $ 6 $10,924
U.S. Sustainability Core 1 Portfolio.......... 1.66% 243 2 -- 377
International Sustainability Core 1 Portfolio. 1.50% 3,030 15 2 8,794
International Social Core Equity Portfolio.... 1.62% 1,974 41 4 7,281
Emerging Markets Social Core Equity
Portfolio................................... 1.63% 5,935 78 23 54,537
* 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.
At October 31, 2017, Emerging Markets Social Core Equity Portfolio had loans
outstanding in the amount of $291 (amount in thousands).
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.
I. 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. Social Core Equity 2 Portfolio........... $17,567 $11,804 $(1,172)
U.S. Sustainability Core 1 Portfolio.......... 21,793 14,563 2,005
International Sustainability Core 1 Portfolio. 14,321 4,771 241
International Social Core Equity Portfolio.... 11,285 7,600 93
Emerging Markets Social Core Equity Portfolio. 2,518 916 142
61
J. SECURITIES LENDING:
As of October 31, 2017, the Portfolios had securities on loan to
brokers/dealers, for which each Portfolio received cash collateral. In
addition, the Portfolios received non-cash collateral consisting of
short-and/or long-term U.S. Treasuries and U.S. government agency securities as
follows (amounts in thousands):
MARKET
VALUE
-------
U.S. Social Core Equity 2 Portfolio........... $37,477
U.S. Sustainability Core 1 Portfolio.......... 45,627
International Sustainability Core 1 Portfolio. 6,029
International Social Core Equity Portfolio.... 2,876
Emerging Markets Social Core Equity Portfolio. 33,321
The Portfolios invest the cash collateral, as described below, and record a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the
Portfolios' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, the Portfolios 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 Portfolios also may invest the cash
collateral received for the loaned securities in securities of the U.S.
government or its agencies, repurchase agreements collateralized by securities
of the U.S. government or its agencies, and affiliated and unaffiliated
registered and unregistered money market funds. For purposes of this paragraph,
agencies include both agency debentures and agency mortgage-backed securities.
In addition, the Portfolios 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
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants....... $77,068,554 -- -- -- $77,068,554
U.S. SUSTAINABILITY CORE 1 PORTFOLIO
Common Stocks, Rights/Warrants....... 74,081,971 -- -- -- 74,081,971
62
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2017
--------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
- ------------- -------- ------------ -------- -----------
INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO
Common Stocks................................. $44,504,733 -- -- -- $44,504,733
INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO
Common Stocks................................. 53,910,930 -- -- -- 53,910,930
EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO
Common Stocks................................. 42,595,288 -- -- -- 42,595,288
DFA SOCIAL FIXED INCOME PORTFOLIO
Bonds......................................... 355,732 -- -- -- 355,732
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. 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, the following number of shareholders held the following
approximate percentages of the stated Portfolios' outstanding shares. One or
more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -------------
U.S. Social Core Equity 2 Portfolio........... 5 76%
U.S. Sustainability Core 1 Portfolio.......... 4 83%
International Sustainability Core 1 Portfolio. 4 78%
International Social Core Equity Portfolio.... 3 46%
Emerging Markets Social Core Equity Portfolio. 2 34%
DFA Social Fixed Income Portfolio............. 4 96%
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
63
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 schedule 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 U.S. Social Core Equity 2 Portfolio, U.S. Sustainability Core 1
Portfolio, International Sustainability Core 1 Portfolio, International Social
Core Equity Portfolio, Emerging Markets Social Core Equity Portfolio and DFA
Social Fixed Income Portfolio (six 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 for the year then
ended and 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 agent of the
investee fund, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
64
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.
65
PORTFOLIOS WITHIN
THE DFA FUND
NAME, ADDRESS AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION DURING COMPLEX/2/
YEAR OF BIRTH POSITION LENGTH OF SERVICE PAST 5 YEARS OVERSEEN
-----------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
----------------------------------------------------------------------------------------------------------------
George M. Director of DFAIDG- Since Leo Melamed Professor of 126 portfolios in
Constantinides DFAIDG and DIG 1983 Finance, University of 4 investment
University of Trustee of DFAITC DIG- Since 1993 Chicago Booth School of companies
Chicago Booth and DEM DFAITC- Since Business (since 1978).
School of Business 1992
5807 S. Woodlawn DEM- Since 1993
Avenue
Chicago, IL 60637
1947
-----------------------------------------------------------------------------------------------------------------
Douglas W. Director of DFAIDG- Since Merton H. Miller 126 portfolios in
Diamond DFAIDG and DIG June 2017 Distinguished Service 4 investment
University of Trustee of DFAITC DIG- Since June Professor of Finance, companies
Chicago Booth and DEM 2017 University of Chicago Booth
School of Business DFAITC- Since June School of Business (since
5807 S. Woodlawn 2017 1988). Visiting Scholar,
Avenue DEM- Since June Federal Reserve Bank of
Chicago, IL 60637 2017 Richmond (since
1953 1990). Formerly, Fischer
Black Visiting Professor of
Financial Economics, Alfred
P. Sloan School of
Management, Massachusetts
Institute of Technology (2015
to 2016).
-----------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Director of DFAIDG- Since Professor in Practice 126 portfolios in
Yale School of DFAIDG and DIG 1981 Emeritus of Finance, Yale 4 investment
Management Trustee of DFAITC DIG- Since 1993 School of Management (since companies
P.O. Box 208200 and DEM DFAITC- Since 1984). Chairman, CIO and
New Haven, CT 1992 Partner, Zebra Capital
06520-8200 DEM- Since 1993 Management, LLC (hedge fund
1943 and asset manager) (since
2001). Formerly, Consultant
to Morningstar, Inc.
(2006--2016).
-----------------------------------------------------------------------------------------------------------------
Edward P. Lazear Director of DFAIDG- Since Distinguished Visiting 126 portfolios in
Stanford University DFAIDG and DIG 2010 Fellow, Becker Friedman 4 investment
Graduate School of Trustee of DFAITC DIG- Since 2010 Institute for Research in companies
Business and DEM DFAITC- Since Economics, University of
Knight Management 2010 Chicago (since 2015). Morris
Center, E346 DEM- Since 2010 Arnold Cox Senior Fellow,
Stanford, CA 94305 Hoover Institution (since
1948 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).
-----------------------------------------------------------------------------------------------------------------
OTHER
DIRECTORSHIPS OF
PUBLIC
COMPANIES
PRINCIPAL OCCUPATION DURING HELD DURING
PAST 5 YEARS PAST 5 YEARS
------------------------------------------------
------------------
Leo Melamed Professor of None
Finance, University of
Chicago Booth School of
Business (since 1978).
------------------------------------------------
Merton H. Miller None
Distinguished Service
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 None
Emeritus of Finance, 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 None
Fellow, Becker 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).
------------------------------------------------
66
PORTFOLIOS WITHIN
THE DFA FUND
NAME, ADDRESS AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION DURING COMPLEX/2/
YEAR OF BIRTH POSITION LENGTH OF SERVICE PAST 5 YEARS OVERSEEN
------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
-----------------------------------------------------------------------------------------------------------------
Myron S. Scholes Director of DFAIDG- Since Chief Investment Strategist, 126 portfolios in
c/o Dimensional Fund DFAIDG and DIG 1981 Janus Henderson Investors 4 investment
Advisors LP Trustee of DFAITC DIG- Since 1993 (since 2014). Frank E. Buck companies
6300 Bee Cave and DEM DFAITC- Since Professor of Finance,
Road, Building One 1992 Emeritus, Graduate School of
Austin, TX 78746 DEM- Since 1993 Business, Stanford University
1941 (since 1981).
------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Director of DFAIDG- Since Boris and Irene Stern 126 portfolios in
University of DFAIDG and DIG 2000 Distinguished Service 4 investment
Chicago Booth Trustee of DFAITC DIG- Since 2000 Professor of Accounting, companies
School of Business and DEM DFAITC- Since University of Chicago Booth
5807 S. Woodlawn 2000 School of Business (since
Avenue DEM- Since 2000 1980).
Chicago, IL 60637
1953
------------------------------------------------------------------------------------------------------------------
OTHER
DIRECTORSHIPS OF
PUBLIC
COMPANIES
PRINCIPAL OCCUPATION DURING HELD DURING
PAST 5 YEARS PAST 5 YEARS
---------------------------------------------------
---------------------
Chief Investment Strategist, Formerly,
Janus Henderson Investors Adviser, Kuapay,
(since 2014). Frank E. Buck Inc. (2013-
Professor of Finance, 2014). Formerly,
Emeritus, Graduate School of Director,
Business, Stanford University American
(since 1981). Century Fund
Complex
(registered
investment
companies) (43
Portfolios) (1980-
2014).
---------------------------------------------------
Boris and Irene Stern Lead Director,
Distinguished Service (beginning May
Professor of Accounting, 2014) and
University of Chicago Booth Director (since
School of Business (since 2000), HNI
1980). 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).
---------------------------------------------------
67
OTHER
PORTFOLIOS DIRECTORSHIPS
WITHIN THE OF PUBLIC
DFA FUND COMPANIES
NAME, ADDRESS AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION LENGTH OF SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
---------------------------------------------------------------------------------------------------------------------------
David G. Booth Chairman DFAIDG- Since Chairman, Director/Trustee, 126 portfolios None
6300 Bee Cave Director of 1981 and formerly, President and in 4
Road, Building One DFAIDG and DIG DIG- Since 1992 Co-Chief Executive Officer investment
Austin, TX 78746 Trustee of DFAITC DFAITC- Since (each until March 2017) of companies
1946 and DEM 1992 Dimensional Emerging Markets
DEM- Since 1993 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.
68
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
1967 Assistant Secretary DFA Entities, DFA 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
1964 Officer (since 2017); 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 Since 2017 Executive Vice President (since March 2017) and
1972 President formerly, Vice 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
Crossan Global Chief of all the DFA Entities, DFA Australia Limited and
1965 Compliance Officer Dimensional Fund Advisors Ltd. 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.
----------------------------------------------------------------------------------------------------------------
69
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------------
(Michael) Sam Executive Vice Since 2017 Executive Vice President and Chief Operating Officer
Gilliland President of the DFA Fund Complex (since March 2017).
1962 Executive Vice President (since 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).
-----------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Chief Since 2015 Vice President, Chief Financial Officer, and
1958 Financial Officer, and Treasurer of all the DFA Entities. Chief Financial
Treasurer Officer, Treasurer and Vice 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 since 2004 Vice President and Assistant Secretary (since 2004
1973 Assistant Secretary and Assistant Secretary and March 2017, respectively) of all the DFA Entities
since 2017 and Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
-----------------------------------------------------------------------------------------------------------------------------
Catherine L. President and General Since 2017 President and General Counsel (since March 2017),
Newell Counsel and formerly, Vice President and Secretary (1997
1964 and 2000, respectively, to 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.
-----------------------------------------------------------------------------------------------------------------------------
70
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer (since December 2012) of Dimensional Fund
Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President and Vice President since 2010 Vice President and Secretary (since 2010 and March
1974 Secretary and Secretary since 2017 2017, respectively) of all the DFA Entities,
Dimensional Cayman Commodity Fund I Ltd., and
Dimensional Fund Advisors Canada ULC (since April
2016).
------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Co-Chief Executive Since 2017 Co-Chief Executive Officer and Chief Investment
1976 Officer and Chief Officer of DFAIDG, DFAITC, DIG and DEM (since
Investment Officer September, 2017) and Dimensional 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).
------------------------------------------------------------------------------------------------------------------------
71
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. Information regarding how the Advisor votes these proxies
is available from the EDGAR database on the SEC's website at http://www.sec.gov
and from the Advisor's website at http://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
72
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 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 QUALIFYING U.S.
DFA INVESTMENT DIMENSIONS INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND GOVERNMENT
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) INTEREST (3)
------------------------- ------------- ------------- ------------- ------------- ------------- ---------- ------------
U.S. Social Core Equity 2
Portfolio....................... 62% -- 38% 100% 100% 100% --
U.S. Sustainability Core 1
Portfolio....................... 68% -- 32% 100% 100% 100% --
International Sustainability
Core 1 Portfolio................ 100% -- -- 100% 100% 100% --
International Social Core Equity
Portfolio....................... 100% -- -- 100% 100% 100% --
Emerging Markets Social Core
Equity Portfolio................ 100% -- -- 100% 100% 100% --
DFA Social Fixed Income
Portfolio....................... 98% 2% -- 100% -- -- 36%
QUALIFYING
FOREIGN QUALIFYING SHORT-TERM
DFA INVESTMENT DIMENSIONS FOREIGN TAX SOURCE INTEREST CAPITAL
GROUP INC. CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
------------------------- ----------- ---------- ---------- ----------
U.S. Social Core Equity 2
Portfolio....................... -- -- 100% 100%
U.S. Sustainability Core 1
Portfolio....................... -- -- 100% 100%
International Sustainability
Core 1 Portfolio................ 8% 100% 100% 100%
International Social Core Equity
Portfolio....................... 7% 95% 100% 100%
Emerging Markets Social Core
Equity Portfolio................ 7% 100% 100% 100%
DFA Social Fixed Income
Portfolio....................... -- -- 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
73
DFA 103117-014A
[LOGO] 00202783
[LOGO]
Annual Report
YEAR ENDED: OCTOBER 31, 2017
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC. / THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
TAX-MANAGED U.S. EQUITY PORTFOLIO
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
T.A. U.S. CORE EQUITY 2 PORTFOLIO
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
[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........................................................... 2
Management's Discussion and Analysis......................................... 6
Disclosure of Fund Expenses.................................................. 11
Disclosure of Portfolio Holdings............................................. 13
Schedule of Investments/Summary Schedules of Portfolio Holdings
Tax-Managed U.S. Marketwide Value Portfolio.............................. 15
Tax-Managed U.S. Equity Portfolio........................................ 16
Tax-Managed U.S. Targeted Value Portfolio................................ 19
Tax-Managed U.S. Small Cap Portfolio..................................... 22
T.A. U.S. Core Equity 2 Portfolio........................................ 25
Tax-Managed DFA International Value Portfolio............................ 28
T.A. World ex U.S. Core Equity Portfolio................................. 32
Statements of Assets and Liabilities......................................... 38
Statements of Operations..................................................... 40
Statements of Changes in Net Assets.......................................... 42
Financial Highlights......................................................... 44
Notes to Financial Statements................................................ 48
Report of Independent Registered Public Accounting Firm...................... 64
THE DFA INVESTMENT TRUST COMPANY - THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Performance Chart............................................................ 65
Management's Discussion and Analysis......................................... 66
Disclosure of Fund Expenses.................................................. 67
Disclosure of Portfolio Holdings............................................. 68
Summary Schedule of Portfolio Holdings....................................... 69
Statement of Assets and Liabilities.......................................... 72
Statement of Operations...................................................... 73
Statements of Changes in Net Assets.......................................... 74
Financial Highlights......................................................... 75
Notes to Financial Statements................................................ 76
Report of Independent Registered Public Accounting Firm......................
FUND MANAGEMENT................................................................. 84
VOTING PROXIES ON FUND PORTFOLIO SECURITIES..................................... 91
NOTICE TO SHAREHOLDERS.......................................................... 92
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
N/A Does not apply to this Fund.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS.
RUSSELL 3000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Tax-Managed U.S. Marketwide Russell 3000/R/
Value Portfolio Value Index
--------------------------- ----------------
10/2007 $10,000 $10,000
11/2007 $9,414 $9,490
12/2007 $9,372 $9,399
01/2008 $8,999 $9,022
02/2008 $8,670 $8,646
03/2008 $8,516 $8,596
04/2008 $8,995 $9,003
05/2008 $9,193 $9,014
06/2008 $8,178 $8,151
07/2008 $8,111 $8,156
08/2008 $8,277 $8,315
09/2008 $7,574 $7,723
10/2008 $5,881 $6,368
11/2008 $5,298 $5,888
12/2008 $5,475 $5,992
01/2009 $4,761 $5,289
02/2009 $4,120 $4,581
03/2009 $4,553 $4,973
04/2009 $5,338 $5,527
05/2009 $5,739 $5,850
06/2009 $5,664 $5,809
07/2009 $6,238 $6,300
08/2009 $6,653 $6,627
09/2009 $6,954 $6,889
10/2009 $6,618 $6,658
11/2009 $6,926 $7,021
12/2009 $7,176 $7,176
01/2010 $6,975 $6,974
02/2010 $7,296 $7,202
03/2010 $7,871 $7,682
04/2010 $8,175 $7,909
05/2010 $7,475 $7,257
06/2010 $6,903 $6,830
07/2010 $7,455 $7,294
08/2010 $6,966 $6,963
09/2010 $7,658 $7,520
10/2010 $7,952 $7,750
11/2010 $7,970 $7,728
12/2010 $8,724 $8,341
01/2011 $8,938 $8,514
02/2011 $9,443 $8,838
03/2011 $9,502 $8,880
04/2011 $9,722 $9,109
05/2011 $9,571 $9,007
06/2011 $9,403 $8,819
07/2011 $9,001 $8,527
08/2011 $8,249 $7,977
09/2011 $7,411 $7,352
10/2011 $8,441 $8,211
11/2011 $8,377 $8,170
12/2011 $8,456 $8,332
01/2012 $8,898 $8,666
02/2012 $9,369 $8,994
03/2012 $9,566 $9,262
04/2012 $9,389 $9,164
05/2012 $8,727 $8,625
06/2012 $9,185 $9,052
07/2012 $9,262 $9,132
08/2012 $9,613 $9,336
09/2012 $9,959 $9,635
10/2012 $9,989 $9,583
11/2012 $10,049 $9,581
12/2012 $10,336 $9,794
01/2013 $11,021 $10,427
02/2013 $11,189 $10,574
03/2013 $11,744 $10,995
04/2013 $11,823 $11,147
05/2013 $12,208 $11,437
06/2013 $12,133 $11,340
07/2013 $12,870 $11,962
08/2013 $12,489 $11,502
09/2013 $12,944 $11,820
10/2013 $13,557 $12,327
11/2013 $14,115 $12,681
12/2013 $14,502 $12,996
01/2014 $13,929 $12,531
02/2014 $14,441 $13,075
03/2014 $14,648 $13,376
04/2014 $14,685 $13,465
05/2014 $15,027 $13,654
06/2014 $15,415 $14,029
07/2014 $15,169 $13,741
08/2014 $15,727 $14,253
09/2014 $15,323 $13,907
10/2014 $15,587 $14,269
11/2014 $15,790 $14,533
12/2014 $15,941 $14,646
01/2015 $15,143 $14,058
02/2015 $16,238 $14,737
03/2015 $16,079 $14,571
04/2015 $16,241 $14,671
05/2015 $16,489 $14,843
06/2015 $16,317 $14,571
07/2015 $16,361 $14,597
08/2015 $15,327 $13,739
09/2015 $14,844 $13,320
10/2015 $16,013 $14,304
11/2015 $16,045 $14,386
12/2015 $15,504 $14,041
01/2016 $14,510 $13,298
02/2016 $14,479 $13,302
03/2016 $15,493 $14,272
04/2016 $15,878 $14,572
05/2016 $16,061 $14,801
06/2016 $16,046 $14,923
07/2016 $16,478 $15,384
08/2016 $16,649 $15,522
09/2016 $16,719 $15,501
10/2016 $16,439 $15,241
11/2016 $17,688 $16,198
12/2016 $18,166 $16,624
01/2017 $18,382 $16,723
02/2017 $18,880 $17,295
03/2017 $18,721 $17,122
04/2017 $18,899 $17,097
05/2017 $18,827 $17,040
06/2017 $19,147 $17,342
07/2017 $19,437 $17,564
08/2017 $19,246 $17,342
09/2017 $19,950 $17,908
10/2017 $20,122 $18,030 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
---------------------------------------------------- Investment Group 1995-2017, all rights
22.41% 15.03% 7.24% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TAX-MANAGED U.S. EQUITY PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Tax-Managed U.S. Equity Russell 3000/R/
Portfolio Index
--------------------------- ----------------
10/2007 $10,000 $10,000
11/2007 $9,558 $9,550
12/2007 $9,507 $9,492
01/2008 $8,933 $8,917
02/2008 $8,674 $8,640
03/2008 $8,627 $8,589
04/2008 $9,055 $9,018
05/2008 $9,240 $9,203
06/2008 $8,511 $8,443
07/2008 $8,461 $8,376
08/2008 $8,592 $8,506
09/2008 $7,808 $7,706
10/2008 $6,471 $6,340
11/2008 $6,021 $5,839
12/2008 $6,129 $5,951
01/2009 $5,618 $5,451
02/2009 $5,050 $4,880
03/2009 $5,464 $5,308
04/2009 $5,915 $5,866
05/2009 $6,200 $6,179
06/2009 $6,233 $6,200
07/2009 $6,698 $6,683
08/2009 $6,896 $6,922
09/2009 $7,175 $7,212
10/2009 $7,008 $7,026
11/2009 $7,399 $7,426
12/2009 $7,610 $7,637
01/2010 $7,333 $7,362
02/2010 $7,577 $7,612
03/2010 $8,050 $8,091
04/2010 $8,212 $8,266
05/2010 $7,566 $7,613
06/2010 $7,136 $7,175
07/2010 $7,636 $7,673
08/2010 $7,266 $7,312
09/2010 $7,957 $8,003
10/2010 $8,277 $8,315
11/2010 $8,329 $8,363
12/2010 $8,888 $8,930
01/2011 $9,078 $9,125
02/2011 $9,406 $9,458
03/2011 $9,448 $9,500
04/2011 $9,731 $9,783
05/2011 $9,613 $9,671
06/2011 $9,453 $9,498
07/2011 $9,235 $9,280
08/2011 $8,681 $8,723
09/2011 $8,037 $8,047
10/2011 $8,932 $8,973
11/2011 $8,925 $8,948
12/2011 $8,993 $9,022
01/2012 $9,426 $9,477
02/2012 $9,840 $9,878
03/2012 $10,133 $10,183
04/2012 $10,060 $10,116
05/2012 $9,431 $9,491
06/2012 $9,792 $9,862
07/2012 $9,900 $9,960
08/2012 $10,148 $10,209
09/2012 $10,422 $10,477
10/2012 $10,233 $10,296
11/2012 $10,314 $10,376
12/2012 $10,430 $10,503
01/2013 $11,002 $11,079
02/2013 $11,145 $11,226
03/2013 $11,581 $11,666
04/2013 $11,759 $11,857
05/2013 $12,073 $12,137
06/2013 $11,925 $11,979
07/2013 $12,583 $12,636
08/2013 $12,226 $12,283
09/2013 $12,672 $12,740
10/2013 $13,216 $13,281
11/2013 $13,636 $13,666
12/2013 $13,994 $14,027
01/2014 $13,517 $13,584
02/2014 $14,146 $14,228
03/2014 $14,235 $14,303
04/2014 $14,242 $14,321
05/2014 $14,555 $14,633
06/2014 $14,912 $15,000
07/2014 $14,619 $14,704
08/2014 $15,226 $15,321
09/2014 $14,938 $15,002
10/2014 $15,316 $15,415
11/2014 $15,687 $15,788
12/2014 $15,672 $15,788
01/2015 $15,187 $15,349
02/2015 $16,115 $16,237
03/2015 $15,922 $16,072
04/2015 $16,035 $16,145
05/2015 $16,261 $16,368
06/2015 $15,992 $16,094
07/2015 $16,247 $16,364
08/2015 $15,269 $15,376
09/2015 $14,818 $14,928
10/2015 $16,001 $16,107
11/2015 $16,086 $16,196
12/2015 $15,744 $15,864
01/2016 $14,884 $14,969
02/2016 $14,876 $14,964
03/2016 $15,887 $16,017
04/2016 $15,980 $16,117
05/2016 $16,261 $16,405
06/2016 $16,255 $16,439
07/2016 $16,885 $17,091
08/2016 $16,950 $17,135
09/2016 $16,975 $17,162
10/2016 $16,648 $16,790
11/2016 $17,418 $17,542
12/2016 $17,740 $17,884
01/2017 $18,083 $18,221
02/2017 $18,747 $18,898
03/2017 $18,767 $18,911
04/2017 $18,964 $19,112
05/2017 $19,184 $19,307
06/2017 $19,330 $19,481
07/2017 $19,697 $19,849
08/2017 $19,719 $19,887 Past performance is not predictive of
09/2017 $20,216 $20,372 future performance.
10/2017 $20,689 $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
24.27% 15.12% 7.54% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Tax-Managed U.S. Targeted Russell 2000/R/
Value Portfolio Value Index
--------------------------- -----------------
10/2007 $10,000 $10,000
11/2007 $9,221 $9,251
12/2007 $9,134 $9,173
01/2008 $8,698 $8,796
02/2008 $8,463 $8,447
03/2008 $8,540 $8,574
04/2008 $8,797 $8,845
05/2008 $9,160 $9,148
06/2008 $8,297 $8,270
07/2008 $8,353 $8,694
08/2008 $8,640 $9,107
09/2008 $7,902 $8,680
10/2008 $6,192 $6,946
11/2008 $5,388 $6,142
12/2008 $5,685 $6,519
01/2009 $4,913 $5,588
02/2009 $4,232 $4,812
03/2009 $4,617 $5,239
04/2009 $5,482 $6,071
05/2009 $5,704 $6,202
06/2009 $5,679 $6,182
07/2009 $6,345 $6,897
08/2009 $6,650 $7,224
09/2009 $7,002 $7,586
10/2009 $6,527 $7,082
11/2009 $6,745 $7,308
12/2009 $7,256 $7,861
01/2010 $7,077 $7,631
02/2010 $7,484 $7,984
03/2010 $8,090 $8,649
04/2010 $8,690 $9,254
05/2010 $7,950 $8,472
06/2010 $7,231 $7,732
07/2010 $7,796 $8,284
08/2010 $7,183 $7,661
09/2010 $8,031 $8,484
10/2010 $8,382 $8,812
11/2010 $8,707 $9,036
12/2010 $9,464 $9,787
01/2011 $9,504 $9,793
02/2011 $10,042 $10,290
03/2011 $10,227 $10,433
04/2011 $10,408 $10,602
05/2011 $10,161 $10,412
06/2011 $9,959 $10,156
07/2011 $9,646 $9,821
08/2011 $8,675 $8,953
09/2011 $7,643 $7,975
10/2011 $8,850 $9,125
11/2011 $8,832 $9,106
12/2011 $8,918 $9,249
01/2012 $9,491 $9,864
02/2012 $9,846 $10,010
03/2012 $10,047 $10,321
04/2012 $9,883 $10,172
05/2012 $9,159 $9,550
06/2012 $9,521 $10,010
07/2012 $9,486 $9,908
08/2012 $9,913 $10,214
09/2012 $10,234 $10,578
10/2012 $10,212 $10,445
11/2012 $10,408 $10,477
12/2012 $10,781 $10,918
01/2013 $11,514 $11,569
02/2013 $11,721 $11,701
03/2013 $12,287 $12,188
04/2013 $12,191 $12,177
05/2013 $12,780 $12,540
06/2013 $12,690 $12,490
07/2013 $13,590 $13,292
08/2013 $13,087 $12,704
09/2013 $13,821 $13,438
10/2013 $14,358 $13,874
11/2013 $15,079 $14,416
12/2013 $15,510 $14,688
01/2014 $14,753 $14,119
02/2014 $15,486 $14,766
03/2014 $15,697 $14,949
04/2014 $15,416 $14,564
05/2014 $15,631 $14,656
06/2014 $16,270 $15,305
07/2014 $15,472 $14,379
08/2014 $16,284 $15,004
09/2014 $15,353 $13,992
10/2014 $15,951 $14,969
11/2014 $15,932 $14,900
12/2014 $16,162 $15,307
01/2015 $15,469 $14,670
02/2015 $16,561 $15,351
03/2015 $16,859 $15,610
04/2015 $16,619 $15,277
05/2015 $16,899 $15,403
06/2015 $16,919 $15,423
07/2015 $16,689 $14,998
08/2015 $15,982 $14,261
09/2015 $15,372 $13,768
10/2015 $16,252 $14,539
11/2015 $16,578 $14,952
12/2015 $15,627 $14,164
01/2016 $14,558 $13,212
02/2016 $14,721 $13,302
03/2016 $15,861 $14,405
04/2016 $16,024 $14,710
05/2016 $16,197 $14,980
06/2016 $15,986 $15,025
07/2016 $16,718 $15,836
08/2016 $16,939 $16,229
09/2016 $17,080 $16,357
10/2016 $16,610 $15,820
11/2016 $18,737 $17,920
12/2016 $19,352 $18,659
01/2017 $19,346 $18,526
02/2017 $19,548 $18,794
03/2017 $19,445 $18,635
04/2017 $19,467 $18,709
05/2017 $18,931 $18,126
06/2017 $19,529 $18,760
07/2017 $19,721 $18,879 Past performance is not predictive of
08/2017 $19,266 $18,415 future performance.
09/2017 $20,610 $19,719 The returns shown do not reflect the
10/2017 $20,830 $19,745 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
25.40% 15.32% 7.61% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Tax-Managed U.S. Small Russell 2000/R/
Cap Portfolio Index
--------------------------- ----------------
10/2007 $10,000 $10,000
11/2007 $9,223 $9,282
12/2007 $9,212 $9,276
01/2008 $8,540 $8,644
02/2008 $8,318 $8,323
03/2008 $8,318 $8,358
04/2008 $8,581 $8,708
05/2008 $8,976 $9,108
06/2008 $8,268 $8,407
07/2008 $8,472 $8,718
08/2008 $8,679 $9,033
09/2008 $7,881 $8,313
10/2008 $6,222 $6,584
11/2008 $5,436 $5,805
12/2008 $5,672 $6,142
01/2009 $5,006 $5,459
02/2009 $4,392 $4,796
03/2009 $4,819 $5,224
04/2009 $5,609 $6,031
05/2009 $5,779 $6,213
06/2009 $5,921 $6,304
07/2009 $6,482 $6,911
08/2009 $6,601 $7,109
09/2009 $6,955 $7,520
10/2009 $6,470 $7,009
11/2009 $6,621 $7,229
12/2009 $7,161 $7,811
01/2010 $6,926 $7,523
02/2010 $7,233 $7,862
03/2010 $7,812 $8,502
04/2010 $8,323 $8,983
05/2010 $7,676 $8,302
06/2010 $7,087 $7,659
07/2010 $7,590 $8,185
08/2010 $6,991 $7,579
09/2010 $7,859 $8,523
10/2010 $8,191 $8,872
11/2010 $8,544 $9,180
12/2010 $9,209 $9,909
01/2011 $9,201 $9,883
02/2011 $9,727 $10,425
03/2011 $10,029 $10,695
04/2011 $10,238 $10,978
05/2011 $10,025 $10,772
06/2011 $9,864 $10,523
07/2011 $9,554 $10,143
08/2011 $8,682 $9,261
09/2011 $7,716 $8,222
10/2011 $8,888 $9,467
11/2011 $8,856 $9,432
12/2011 $8,930 $9,495
01/2012 $9,532 $10,166
02/2012 $9,767 $10,409
03/2012 $10,046 $10,676
04/2012 $9,908 $10,511
05/2012 $9,269 $9,815
06/2012 $9,674 $10,305
07/2012 $9,605 $10,162
08/2012 $9,934 $10,501
09/2012 $10,278 $10,846
10/2012 $10,128 $10,611
11/2012 $10,237 $10,667
12/2012 $10,586 $11,047
01/2013 $11,226 $11,739
02/2013 $11,362 $11,868
03/2013 $11,891 $12,416
04/2013 $11,797 $12,370
05/2013 $12,392 $12,865
06/2013 $12,397 $12,799
07/2013 $13,323 $13,695
08/2013 $12,899 $13,260
09/2013 $13,717 $14,106
10/2013 $14,133 $14,461
11/2013 $14,866 $15,040
12/2013 $15,177 $15,336
01/2014 $14,524 $14,911
02/2014 $15,165 $15,614
03/2014 $15,268 $15,507
04/2014 $14,789 $14,906
05/2014 $14,863 $15,026
06/2014 $15,498 $15,825
07/2014 $14,583 $14,867
08/2014 $15,287 $15,604
09/2014 $14,471 $14,660
10/2014 $15,346 $15,627
11/2014 $15,363 $15,641
12/2014 $15,766 $16,086
01/2015 $15,091 $15,569
02/2015 $16,063 $16,493
03/2015 $16,365 $16,781
04/2015 $16,004 $16,353
05/2015 $16,271 $16,726
06/2015 $16,443 $16,851
07/2015 $16,183 $16,655
08/2015 $15,395 $15,609
09/2015 $14,825 $14,843
10/2015 $15,701 $15,679
11/2015 $16,110 $16,189
12/2015 $15,225 $15,376
01/2016 $14,266 $14,024
02/2016 $14,392 $14,024
03/2016 $15,456 $15,143
04/2016 $15,600 $15,381
05/2016 $15,793 $15,727
06/2016 $15,731 $15,717
07/2016 $16,488 $16,656
08/2016 $16,731 $16,950
09/2016 $16,817 $17,139
10/2016 $16,289 $16,324
11/2016 $18,293 $18,144
12/2016 $18,877 $18,653
01/2017 $18,817 $18,726
02/2017 $19,043 $19,088
03/2017 $18,992 $19,113
04/2017 $19,172 $19,322
05/2017 $18,705 $18,929
06/2017 $19,217 $19,584
07/2017 $19,370 $19,729
08/2017 $18,962 $19,478 Past performance is not predictive of
09/2017 $20,321 $20,694 future performance.
10/2017 $20,599 $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
26.46% 15.26% 7.49% reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
T.A. U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
T.A. U.S. Core Equity Russell 3000/R/
2 Portfolio Index
------------------------- -----------------
10/2007 $10,000 $10,000
11/2007 $9,447 $9,550
12/2007 $9,352 $9,492
01/2008 $8,919 $8,917
02/2008 $8,657 $8,640
03/2008 $8,568 $8,589
04/2008 $8,982 $9,018
05/2008 $9,235 $9,203
06/2008 $8,381 $8,443
07/2008 $8,462 $8,376
08/2008 $8,685 $8,506
09/2008 $7,945 $7,706
10/2008 $6,409 $6,340
11/2008 $5,839 $5,839
12/2008 $6,021 $5,951
01/2009 $5,397 $5,451
02/2009 $4,772 $4,880
03/2009 $5,247 $5,308
04/2009 $5,957 $5,866
05/2009 $6,214 $6,179
06/2009 $6,219 $6,200
07/2009 $6,777 $6,683
08/2009 $7,056 $6,922
09/2009 $7,400 $7,212
10/2009 $7,079 $7,026
11/2009 $7,400 $7,426
12/2009 $7,748 $7,637
01/2010 $7,498 $7,362
02/2010 $7,811 $7,612
03/2010 $8,368 $8,091
04/2010 $8,682 $8,266
05/2010 $7,982 $7,613
06/2010 $7,421 $7,175
07/2010 $7,976 $7,673
08/2010 $7,495 $7,312
09/2010 $8,285 $8,003
10/2010 $8,600 $8,315
11/2010 $8,747 $8,363
12/2010 $9,427 $8,930
01/2011 $9,618 $9,125
02/2011 $10,051 $9,458
03/2011 $10,174 $9,500
04/2011 $10,417 $9,783
05/2011 $10,248 $9,671
06/2011 $10,046 $9,498
07/2011 $9,706 $9,280
08/2011 $8,973 $8,723
09/2011 $8,123 $8,047
10/2011 $9,200 $8,973
11/2011 $9,168 $8,948
12/2011 $9,243 $9,022
01/2012 $9,747 $9,477
02/2012 $10,176 $9,878
03/2012 $10,420 $10,183
04/2012 $10,312 $10,116
05/2012 $9,603 $9,491
06/2012 $9,983 $9,862
07/2012 $10,026 $9,960
08/2012 $10,350 $10,209
09/2012 $10,661 $10,477
10/2012 $10,563 $10,296
11/2012 $10,671 $10,376
12/2012 $10,900 $10,503
01/2013 $11,600 $11,079
02/2013 $11,731 $11,226
03/2013 $12,227 $11,666
04/2013 $12,326 $11,857
05/2013 $12,775 $12,137
06/2013 $12,659 $11,979
07/2013 $13,418 $12,636
08/2013 $13,000 $12,283
09/2013 $13,558 $12,740
10/2013 $14,110 $13,281
11/2013 $14,584 $13,666
12/2013 $14,994 $14,027
01/2014 $14,445 $13,584
02/2014 $15,128 $14,228
03/2014 $15,291 $14,303
04/2014 $15,212 $14,321
05/2014 $15,493 $14,633
06/2014 $15,976 $15,000
07/2014 $15,526 $14,704
08/2014 $16,179 $15,321
09/2014 $15,661 $15,002
10/2014 $16,068 $15,415
11/2014 $16,351 $15,788
12/2014 $16,427 $15,788
01/2015 $15,828 $15,349
02/2015 $16,853 $16,237
03/2015 $16,789 $16,072
04/2015 $16,824 $16,145
05/2015 $17,044 $16,368
06/2015 $16,829 $16,094
07/2015 $16,829 $16,364
08/2015 $15,878 $15,376
09/2015 $15,329 $14,928
10/2015 $16,412 $16,107
11/2015 $16,563 $16,196
12/2015 $16,012 $15,864
01/2016 $15,040 $14,969
02/2016 $15,145 $14,964
03/2016 $16,225 $16,017
04/2016 $16,366 $16,117
05/2016 $16,625 $16,405
06/2016 $16,543 $16,439
07/2016 $17,216 $17,091
08/2016 $17,358 $17,135
09/2016 $17,386 $17,162
10/2016 $16,995 $16,790
11/2016 $18,240 $17,542
12/2016 $18,623 $17,884
01/2017 $18,897 $18,221
02/2017 $19,433 $18,898
03/2017 $19,393 $18,911
04/2017 $19,549 $19,112
05/2017 $19,537 $19,307
06/2017 $19,826 $19,481
07/2017 $20,126 $19,849
08/2017 $19,982 $19,887 Past performance is not predictive of
09/2017 $20,769 $20,372 future performance.
10/2017 $21,154 $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
24.47% 14.90% 7.78% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Tax-Managed DFA International MSCI World ex USA
Value Portfolio Index (net dividends)
----------------------------- ---------------------
10/2007 $10,000 $10,000
11/2007 $9,416 $9,609
12/2007 $9,219 $9,428
01/2008 $8,450 $8,578
02/2008 $8,327 $8,734
03/2008 $8,447 $8,609
04/2008 $8,815 $9,088
05/2008 $8,820 $9,225
06/2008 $7,965 $8,508
07/2008 $7,757 $8,205
08/2008 $7,428 $7,888
09/2008 $6,630 $6,749
10/2008 $5,124 $5,345
11/2008 $4,789 $5,055
12/2008 $5,127 $5,322
01/2009 $4,443 $4,825
02/2009 $3,882 $4,337
03/2009 $4,269 $4,623
04/2009 $5,038 $5,219
05/2009 $5,788 $5,879
06/2009 $5,710 $5,818
07/2009 $6,375 $6,364
08/2009 $6,721 $6,669
09/2009 $7,048 $6,944
10/2009 $6,777 $6,833
11/2009 $6,978 $7,002
12/2009 $7,065 $7,113
01/2010 $6,646 $6,780
02/2010 $6,666 $6,773
03/2010 $7,170 $7,209
04/2010 $7,049 $7,102
05/2010 $6,225 $6,318
06/2010 $6,120 $6,227
07/2010 $6,848 $6,802
08/2010 $6,520 $6,599
09/2010 $7,215 $7,232
10/2010 $7,478 $7,489
11/2010 $7,123 $7,172
12/2010 $7,786 $7,750
01/2011 $8,117 $7,917
02/2011 $8,386 $8,210
03/2011 $8,164 $8,046
04/2011 $8,589 $8,484
05/2011 $8,263 $8,232
06/2011 $8,126 $8,115
07/2011 $7,868 $7,981
08/2011 $7,035 $7,307
09/2011 $6,273 $6,573
10/2011 $6,894 $7,212
11/2011 $6,676 $6,879
12/2011 $6,485 $6,804
01/2012 $6,919 $7,171
02/2012 $7,299 $7,565
03/2012 $7,237 $7,509
04/2012 $6,969 $7,382
05/2012 $6,100 $6,540
06/2012 $6,533 $6,969
07/2012 $6,500 $7,056
08/2012 $6,768 $7,257
09/2012 $7,003 $7,477
10/2012 $7,085 $7,530
11/2012 $7,189 $7,688
12/2012 $7,545 $7,920
01/2013 $7,915 $8,310
02/2013 $7,667 $8,227
03/2013 $7,680 $8,292
04/2013 $8,050 $8,670
05/2013 $7,940 $8,476
06/2013 $7,656 $8,158
07/2013 $8,167 $8,592
08/2013 $8,111 $8,482
09/2013 $8,732 $9,081
10/2013 $9,025 $9,386
11/2013 $9,059 $9,443
12/2013 $9,254 $9,586
01/2014 $8,914 $9,199
02/2014 $9,413 $9,701
03/2014 $9,348 $9,657
04/2014 $9,487 $9,809
05/2014 $9,591 $9,961
06/2014 $9,710 $10,103
07/2014 $9,487 $9,923
08/2014 $9,481 $9,931
09/2014 $9,056 $9,523
10/2014 $8,909 $9,371
11/2014 $8,903 $9,487
12/2014 $8,557 $9,171
01/2015 $8,497 $9,139
02/2015 $9,106 $9,685
03/2015 $8,907 $9,523
04/2015 $9,387 $9,935
05/2015 $9,387 $9,849
06/2015 $9,120 $9,569
07/2015 $9,030 $9,721
08/2015 $8,362 $9,013
09/2015 $7,776 $8,558
10/2015 $8,381 $9,201
11/2015 $8,272 $9,055
12/2015 $8,007 $8,893
01/2016 $7,386 $8,280
02/2016 $7,143 $8,165
03/2016 $7,683 $8,719
04/2016 $8,062 $8,999
05/2016 $7,909 $8,898
06/2016 $7,618 $8,627
07/2016 $7,954 $9,052
08/2016 $8,165 $9,060
09/2016 $8,255 $9,170
10/2016 $8,355 $8,992
11/2016 $8,393 $8,848
12/2016 $8,664 $9,137
01/2017 $9,041 $9,409
02/2017 $8,971 $9,517
03/2017 $9,173 $9,759
04/2017 $9,312 $9,967
05/2017 $9,469 $10,299
06/2017 $9,572 $10,308
07/2017 $10,014 $10,615
08/2017 $9,995 $10,613 Past performance is not predictive of
09/2017 $10,358 $10,888 future performance.
10/2017 $10,538 $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
26.13% 8.26% 0.53% rights reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
MARCH 6, 2008-OCTOBER 31, 2017
[CHART]
T.A. World Ex U.S. Core MSCI ALL Country World ex
Equity Portfolio USA Index (net dividends)
--------------------------- -------------------------
03/2008 $10,000 $10,000
03/2008 $10,160 $9,940
04/2008 $10,630 $10,541
05/2008 $10,750 $10,708
06/2008 $9,681 $9,828
07/2008 $9,357 $9,474
08/2008 $8,942 $9,031
09/2008 $7,757 $7,674
10/2008 $5,929 $5,985
11/2008 $5,584 $5,638
12/2008 $6,015 $5,960
01/2009 $5,382 $5,433
02/2009 $4,841 $4,926
03/2009 $5,344 $5,321
04/2009 $6,193 $6,046
05/2009 $7,186 $6,865
06/2009 $7,119 $6,789
07/2009 $7,884 $7,453
08/2009 $8,205 $7,729
09/2009 $8,681 $8,126
10/2009 $8,442 $8,025
11/2009 $8,743 $8,255
12/2009 $8,924 $8,430
01/2010 $8,486 $8,018
02/2010 $8,528 $8,018
03/2010 $9,183 $8,563
04/2010 $9,152 $8,488
05/2010 $8,129 $7,595
06/2010 $8,051 $7,497
07/2010 $8,874 $8,174
08/2010 $8,579 $7,950
09/2010 $9,531 $8,741
10/2010 $9,859 $9,038
11/2010 $9,488 $8,689
12/2010 $10,314 $9,370
01/2011 $10,431 $9,462
02/2011 $10,644 $9,711
03/2011 $10,649 $9,689
04/2011 $11,182 $10,162
05/2011 $10,851 $9,869
06/2011 $10,663 $9,726
07/2011 $10,490 $9,593
08/2011 $9,530 $8,771
09/2011 $8,278 $7,795
10/2011 $9,115 $8,617
11/2011 $8,799 $8,177
12/2011 $8,560 $8,086
01/2012 $9,294 $8,634
02/2012 $9,809 $9,119
03/2012 $9,721 $8,994
04/2012 $9,502 $8,852
05/2012 $8,405 $7,847
06/2012 $8,878 $8,309
07/2012 $8,867 $8,427
08/2012 $9,123 $8,603
09/2012 $9,494 $8,925
10/2012 $9,561 $8,959
11/2012 $9,729 $9,130
12/2012 $10,221 $9,446
01/2013 $10,581 $9,830
02/2013 $10,480 $9,726
03/2013 $10,548 $9,746
04/2013 $10,886 $10,104
05/2013 $10,638 $9,870
06/2013 $10,191 $9,442
07/2013 $10,704 $9,856
08/2013 $10,556 $9,720
09/2013 $11,347 $10,395
10/2013 $11,749 $10,777
11/2013 $11,760 $10,795
12/2013 $11,919 $10,890
01/2014 $11,433 $10,396
02/2014 $12,058 $10,918
03/2014 $12,110 $10,946
04/2014 $12,238 $11,090
05/2014 $12,412 $11,306
06/2014 $12,634 $11,496
07/2014 $12,399 $11,382
08/2014 $12,517 $11,445
09/2014 $11,837 $10,891
10/2014 $11,719 $10,783
11/2014 $11,684 $10,861
12/2014 $11,327 $10,469
01/2015 $11,315 $10,454
02/2015 $11,944 $11,013
03/2015 $11,742 $10,835
04/2015 $12,431 $11,382
05/2015 $12,336 $11,204
06/2015 $12,008 $10,892
07/2015 $11,791 $10,862
08/2015 $10,999 $10,031
09/2015 $10,581 $9,566
10/2015 $11,234 $10,278
11/2015 $11,113 $10,066
12/2015 $10,923 $9,877
01/2016 $10,254 $9,205
02/2016 $10,072 $9,100
03/2016 $10,963 $9,839
04/2016 $11,231 $10,098
05/2016 $11,073 $9,928
06/2016 $10,924 $9,776
07/2016 $11,492 $10,260
08/2016 $11,578 $10,324
09/2016 $11,786 $10,452
10/2016 $11,625 $10,301
11/2016 $11,377 $10,063
12/2016 $11,595 $10,321
01/2017 $12,119 $10,686
02/2017 $12,343 $10,857
03/2017 $12,662 $11,132
04/2017 $12,962 $11,370
05/2017 $13,299 $11,739
06/2017 $13,414 $11,776
07/2017 $13,944 $12,210
08/2017 $14,070 $12,273 Past performance is not predictive of
09/2017 $14,339 $12,501 future performance.
10/2017 $14,631 $12,736 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
25.86% 8.88% 4.02% rights reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
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.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
The Tax-Managed U.S. Marketwide Value Portfolio invests in a broadly
diversified group of U.S. low relative price (value) stocks by purchasing
shares of The Tax-Managed U.S. Marketwide Value Series, a Master Fund managed
by Dimensional that invests in such stocks while considering the federal tax
implications of investment decisions. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2017, the Master Fund held
approximately 900 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 22.41% for the
Portfolio and 18.30% for the Russell 3000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
the Portfolio's performance was determined principally by broad trends in the
U.S. equity market rather than by the behavior of a limited number of stocks.
Exclusive of real estate investment trusts (REITs) and certain utilities, the
Master Fund's greater focus on low relative price (value) stocks benefited
performance relative to the benchmark, as the lowest relative price (deep
value) stocks in the benchmark outperformed for the period. 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.
TAX-MANAGED U.S. EQUITY PORTFOLIO
The Tax-Managed U.S. Equity Portfolio invests in a broadly diversified group
of U.S. securities while considering the federal tax implications of investment
decisions. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Portfolio held approximately 2,200
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
6
For the 12 months ended October 31, 2017, total returns were 24.27% 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 general exclusion
of real estate investment trusts (REITs) contributed positively to performance
relative to the benchmark, as REITs underperformed the benchmark.
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
The Tax-Managed 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 Tax-Managed 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 tax management
strategies employed by the Portfolio are designed to maximize the after-tax
value of a shareholder's investment. 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 25.40% 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
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. Conversely, 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.
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
The Tax-Managed U.S. Small Cap Portfolio invests in a broadly diversified
group of U.S. small-cap stocks. The tax management strategies employed by the
Portfolio are designed to maximize the after-tax value of a shareholder's
investment. 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 1,700
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 26.46% 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 most other sectors in
the benchmark.
T.A. U.S. CORE EQUITY 2 PORTFOLIO
The T.A. 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 market while considering federal tax implications of investment
decisions. 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 24.47% for the
Portfolio and 23.98% for the Russell 3000(R) Index, the Portfolio's benchmark.
The Portfolio's emphasis on stocks with higher profitability contributed
positively to performance relative to the benchmark, as higher-profitability
stocks generally
7
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.
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.
8
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.
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
The Tax-Managed DFA International Value Portfolio invests in a broadly
diversified group of developed ex U.S. large company value stocks. Value is
measured primarily by price-to-book ratio. The tax-managed strategies employed
by the Portfolio are designed to maximize the after-tax value of a
shareholder's investment. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2017, the Portfolio held
approximately 470 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 26.13% 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. With low relative price (value) stocks outperforming high relative
price (growth) stocks for the period, the Portfolio's emphasis on value stocks
contributed positively to performance relative to the benchmark. The
Portfolio's 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.
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
The T.A. 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, and higher profitability, while
considering potential federal tax implications of investment decisions. 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 8,200 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 25.86% 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.
9
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.
10
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*
--------- --------- ---------- --------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,064.70 0.37% $1.93
Hypothetical 5% Annual Return................. $1,000.00 $1,023.34 0.37% $1.89
TAX-MANAGED U.S. EQUITY PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,090.90 0.22% $1.16
Hypothetical 5% Annual Return................. $1,000.00 $1,024.10 0.22% $1.12
11
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
-----------------------------------------
Actual Fund Return............................ $1,000.00 $1,070.00 0.44% $2.30
Hypothetical 5% Annual Return................. $1,000.00 $1,022.99 0.44% $2.24
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
------------------------------------
Actual Fund Return............................ $1,000.00 $1,074.40 0.52% $2.72
Hypothetical 5% Annual Return................. $1,000.00 $1,022.58 0.52% $2.65
T.A. U.S. CORE EQUITY 2 PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,082.10 0.24% $1.26
Hypothetical 5% Annual Return................. $1,000.00 $1,024.00 0.24% $1.22
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,131.70 0.52% $2.79
Hypothetical 5% Annual Return................. $1,000.00 $1,022.58 0.52% $2.65
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,128.70 0.37% $1.99
Hypothetical 5% Annual Return................. $1,000.00 $1,023.34 0.37% $1.89
----------
* 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).
12
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
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
FEEDER FUND
AFFILIATED INVESTMENT COMPANY
-----------------------------
Tax-Managed U.S. Marketwide Value Portfolio. 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
TAX-MANAGED U.S. EQUITY PORTFOLIO
Consumer Discretionary....................... 12.8%
Consumer Staples............................. 7.5%
Energy....................................... 5.7%
Financials................................... 15.6%
Health Care.................................. 13.8%
Industrials.................................. 11.2%
Information Technology....................... 24.5%
Materials.................................... 3.5%
Real Estate.................................. 0.2%
Telecommunication Services................... 1.9%
Utilities.................................... 3.3%
-----
100.0%
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 14.2%
Consumer Staples............................. 3.3%
Energy....................................... 6.8%
Financials................................... 26.9%
Health Care.................................. 5.4%
Industrials.................................. 21.7%
Information Technology....................... 13.1%
Materials.................................... 7.1%
Real Estate.................................. 0.3%
Telecommunication Services................... 0.7%
Utilities.................................... 0.5%
-----
100.0%
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Consumer Discretionary....................... 14.7%
Consumer Staples............................. 4.0%
Energy....................................... 3.7%
Financials................................... 21.9%
Health Care.................................. 8.6%
Industrials.................................. 20.5%
Information Technology....................... 15.2%
Materials.................................... 5.9%
Real Estate.................................. 0.4%
Telecommunication Services................... 1.2%
Utilities.................................... 3.9%
-----
100.0%
13
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 14.3%
Consumer Staples............................. 6.0%
Energy....................................... 5.4%
Financials................................... 19.3%
Health Care.................................. 11.0%
Industrials.................................. 14.8%
Information Technology....................... 19.8%
Materials.................................... 4.8%
Real Estate.................................. 0.4%
Telecommunication Services................... 2.2%
Utilities.................................... 2.0%
-----
100.0%
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Consumer Discretionary....................... 15.5%
Consumer Staples............................. 1.8%
Energy....................................... 15.3%
Financials................................... 31.3%
Health Care.................................. 2.0%
Industrials.................................. 8.5%
Information Technology....................... 2.7%
Materials.................................... 15.3%
Real Estate.................................. 2.1%
Telecommunication Services................... 3.7%
Utilities.................................... 1.8%
-----
100.0%
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 15.0%
Consumer Staples............................. 7.0%
Energy....................................... 6.0%
Financials................................... 17.8%
Health Care.................................. 4.9%
Industrials.................................. 16.6%
Information Technology....................... 9.9%
Materials.................................... 13.3%
Real Estate.................................. 3.3%
Telecommunication Services................... 3.2%
Utilities.................................... 3.0%
-----
100.0%
14
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series
of The DFA Investment Trust Company....................... $4,851,478,602
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $4,851,478,602
==============
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.
15
TAX-MANAGED U.S. EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.9%)
Consumer Discretionary -- (12.2%)
* Amazon.com, Inc................... 53,999 $ 59,684,015 1.8%
Comcast Corp. Class A............. 616,140 22,199,524 0.7%
Home Depot, Inc. (The)............ 157,438 26,100,072 0.8%
McDonald's Corp................... 106,816 17,828,659 0.6%
* Priceline Group, Inc. (The)....... 6,433 12,299,639 0.4%
Walt Disney Co. (The)............. 203,856 19,939,155 0.6%
Other Securities.................. 263,301,031 7.8%
------------ -----
Total Consumer Discretionary.......... 421,352,095 12.7%
------------ -----
Consumer Staples -- (7.2%)
Altria Group, Inc................. 252,652 16,225,311 0.5%
Coca-Cola Co. (The)............... 537,002 24,691,352 0.8%
PepsiCo, Inc...................... 187,432 20,660,629 0.6%
Philip Morris International, Inc.. 206,003 21,556,154 0.7%
Procter & Gamble Co. (The)........ 336,044 29,014,039 0.9%
Wal-Mart Stores, Inc.............. 198,027 17,289,737 0.5%
Other Securities.................. 119,029,827 3.5%
------------ -----
Total Consumer Staples................ 248,467,049 7.5%
------------ -----
Energy -- (5.5%)
Chevron Corp...................... 250,215 28,997,416 0.9%
Exxon Mobil Corp.................. 559,120 46,602,652 1.4%
Other Securities.................. 113,821,444 3.4%
------------ -----
Total Energy.......................... 189,421,512 5.7%
------------ -----
Financials -- (15.0%)
Bank of America Corp.............. 1,395,864 38,232,715 1.2%
* Berkshire Hathaway, Inc. Class B.. 252,940 47,284,604 1.4%
Citigroup, Inc.................... 366,966 26,972,001 0.8%
JPMorgan Chase & Co............... 466,165 46,900,861 1.4%
Wells Fargo & Co.................. 622,108 34,925,143 1.1%
Other Securities.................. 321,803,676 9.7%
------------ -----
Total Financials...................... 516,119,000 15.6%
------------ -----
Health Care -- (13.2%)
Abbott Laboratories............... 228,411 12,386,729 0.4%
AbbVie, Inc....................... 208,574 18,823,803 0.6%
Amgen, Inc........................ 95,696 16,767,853 0.5%
Bristol-Myers Squibb Co........... 215,080 13,261,833 0.4%
Gilead Sciences, Inc.............. 171,038 12,821,008 0.4%
Johnson & Johnson................. 355,487 49,558,443 1.5%
Medtronic P.L.C................... 178,078 14,338,841 0.4%
Merck & Co., Inc.................. 357,324 19,684,979 0.6%
Pfizer, Inc....................... 783,269 27,461,411 0.8%
UnitedHealth Group, Inc........... 127,283 26,757,432 0.8%
Other Securities.................. 243,366,071 7.4%
------------ -----
Total Health Care..................... 455,228,403 13.8%
------------ -----
Industrials -- (10.8%)
3M Co............................. 78,879 18,157,157 0.6%
Boeing Co. (The).................. 75,795 19,553,594 0.6%
General Electric Co............... 1,136,991 22,921,739 0.7%
16
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Honeywell International, Inc.................................. 94,545 $ 13,629,607 0.4%
Other Securities.............................................. 296,737,290 8.9%
-------------- ------
Total Industrials................................................... 370,999,387 11.2%
-------------- ------
Information Technology -- (23.5%)
* Alphabet, Inc. Class A........................................ 39,354 40,654,256 1.2%
* Alphabet, Inc. Class C........................................ 41,216 41,901,834 1.3%
Apple, Inc.................................................... 650,343 109,933,981 3.3%
Broadcom, Ltd................................................. 53,837 14,208,123 0.4%
Cisco Systems, Inc............................................ 652,305 22,276,216 0.7%
* Facebook, Inc. Class A........................................ 314,080 56,553,245 1.7%
Intel Corp.................................................... 615,014 27,976,987 0.9%
International Business Machines Corp.......................... 116,779 17,990,973 0.6%
Mastercard, Inc. Class A...................................... 124,258 18,485,863 0.6%
Microsoft Corp................................................ 969,202 80,618,222 2.5%
NVIDIA Corp................................................... 78,523 16,239,342 0.5%
Oracle Corp................................................... 410,180 20,878,162 0.6%
Texas Instruments, Inc........................................ 130,028 12,572,407 0.4%
# Visa, Inc. Class A............................................ 241,287 26,536,744 0.8%
Other Securities.............................................. 302,136,596 8.9%
-------------- ------
Total Information Technology........................................ 808,962,951 24.4%
-------------- ------
Materials -- (3.3%)
DowDuPont, Inc................................................ 237,104 17,144,990 0.5%
Other Securities.............................................. 96,923,434 2.9%
-------------- ------
Total Materials..................................................... 114,068,424 3.4%
-------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 4,942,416 0.2%
-------------- ------
Telecommunication Services -- (1.8%)
AT&T, Inc..................................................... 806,462 27,137,446 0.8%
Verizon Communications, Inc................................... 538,296 25,768,230 0.8%
Other Securities.............................................. 9,146,142 0.3%
-------------- ------
Total Telecommunication Services.................................... 62,051,818 1.9%
-------------- ------
Utilities -- (3.2%)
Other Securities.............................................. 109,205,073 3.3%
-------------- ------
TOTAL COMMON STOCKS................................................. 3,300,818,128 99.7%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 80,470 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 3,300,898,598
--------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 12,730,327 12,730,327 0.4%
-------------- ------
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund................................ 11,193,056 129,514,846 3.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,882,177,153)........................................... $3,443,143,771 104.0%
============== ======
17
TAX-MANAGED U.S. 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...... $ 421,352,095 -- -- $ 421,352,095
Consumer Staples............ 248,467,049 -- -- 248,467,049
Energy...................... 189,421,512 -- -- 189,421,512
Financials.................. 516,119,000 -- -- 516,119,000
Health Care................. 455,228,403 -- -- 455,228,403
Industrials................. 370,999,387 -- -- 370,999,387
Information Technology...... 808,962,951 -- -- 808,962,951
Materials................... 114,068,424 -- -- 114,068,424
Real Estate................. 4,942,416 -- -- 4,942,416
Telecommunication Services.. 62,051,818 -- -- 62,051,818
Utilities................... 109,205,073 -- -- 109,205,073
Rights/Warrants............... -- $ 80,470 -- 80,470
Temporary Cash Investments.... 12,730,327 -- -- 12,730,327
Securities Lending Collateral. -- 129,514,846 -- 129,514,846
-------------- ------------ -- --------------
TOTAL......................... $3,313,548,455 $129,595,316 -- $3,443,143,771
============== ============ == ==============
See accompanying Notes to Financial Statements.
18
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (89.8%)
Consumer Discretionary -- (12.8%)
# CalAtlantic Group, Inc............. 385,075 $ 18,999,600 0.4%
# Kohl's Corp........................ 482,977 20,169,120 0.4%
PulteGroup, Inc.................... 1,191,748 36,026,542 0.8%
Toll Brothers, Inc................. 833,225 38,361,679 0.8%
Other Securities................... 558,882,355 11.8%
-------------- -----
Total Consumer Discretionary........... 672,439,296 14.2%
-------------- -----
Consumer Staples -- (3.0%)
#* Post Holdings, Inc................. 241,453 20,023,697 0.4%
Other Securities................... 137,609,761 2.9%
-------------- -----
Total Consumer Staples................. 157,633,458 3.3%
-------------- -----
Energy -- (6.1%)
# Helmerich & Payne, Inc............. 299,637 16,273,285 0.3%
# HollyFrontier Corp................. 558,945 20,653,018 0.4%
# Murphy Oil Corp.................... 622,293 16,646,338 0.4%
Other Securities................... 267,201,708 5.7%
-------------- -----
Total Energy........................... 320,774,349 6.8%
-------------- -----
Financials -- (24.1%)
American Financial Group, Inc...... 294,639 31,081,468 0.7%
Assurant, Inc...................... 319,133 32,120,736 0.7%
Assured Guaranty, Ltd.............. 454,707 16,869,630 0.4%
Axis Capital Holdings, Ltd......... 324,451 17,646,890 0.4%
CNO Financial Group, Inc........... 1,201,584 28,801,968 0.6%
# First American Financial Corp...... 291,331 15,854,233 0.3%
Old Republic International Corp.... 876,356 17,781,263 0.4%
# People's United Financial, Inc..... 1,285,328 23,984,220 0.5%
Reinsurance Group of America, Inc.. 203,201 30,354,165 0.7%
RenaissanceRe Holdings, Ltd........ 150,298 20,795,231 0.4%
# Sterling Bancorp................... 674,195 16,888,591 0.4%
Umpqua Holdings Corp............... 800,263 16,373,381 0.4%
Validus Holdings, Ltd.............. 295,391 15,383,963 0.3%
Wintrust Financial Corp............ 182,739 14,854,853 0.3%
WR Berkley Corp.................... 223,655 15,338,260 0.3%
# Zions Bancorporation............... 770,717 35,807,512 0.8%
Other Securities................... 918,327,042 19.2%
-------------- -----
Total Financials....................... 1,268,263,406 26.8%
-------------- -----
Health Care -- (4.8%)
#* Molina Healthcare, Inc............. 291,138 19,747,891 0.4%
Other Securities................... 235,032,735 5.0%
-------------- -----
Total Health Care...................... 254,780,626 5.4%
-------------- -----
Industrials -- (19.5%)
* AECOM.............................. 586,908 20,576,994 0.4%
AGCO Corp.......................... 272,879 18,711,313 0.4%
# AMERCO............................. 64,113 25,173,328 0.5%
* Genesee & Wyoming, Inc. Class A.... 209,015 15,003,097 0.3%
Jacobs Engineering Group, Inc...... 471,823 27,464,817 0.6%
#* JetBlue Airways Corp............... 1,410,800 27,016,820 0.6%
Oshkosh Corp....................... 188,184 17,230,127 0.4%
Owens Corning...................... 367,806 30,413,878 0.7%
19
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
* Quanta Services, Inc.......................................... 516,102 $ 19,472,528 0.4%
Ryder System, Inc............................................. 233,530 18,934,612 0.4%
Trinity Industries, Inc....................................... 637,050 20,716,866 0.4%
Other Securities.............................................. 783,548,284 16.5%
-------------- ------
Total Industrials................................................... 1,024,262,664 21.6%
-------------- ------
Information Technology -- (11.8%)
* Arrow Electronics, Inc........................................ 414,304 34,631,671 0.7%
Avnet, Inc.................................................... 440,800 17,543,840 0.4%
* CACI International, Inc. Class A.............................. 127,408 18,314,900 0.4%
#* Cree, Inc..................................................... 487,345 17,398,216 0.4%
# Jabil, Inc.................................................... 608,732 17,214,941 0.4%
Marvell Technology Group, Ltd................................. 938,136 17,327,372 0.4%
MKS Instruments, Inc.......................................... 172,747 18,768,962 0.4%
SYNNEX Corp................................................... 181,005 24,413,954 0.5%
#* Tech Data Corp................................................ 163,716 15,187,933 0.3%
Other Securities.............................................. 438,798,032 9.2%
-------------- ------
Total Information Technology........................................ 619,599,821 13.1%
-------------- ------
Materials -- (6.4%)
* Alcoa Corp.................................................... 437,568 20,906,999 0.4%
Olin Corp..................................................... 404,464 14,775,070 0.3%
Reliance Steel & Aluminum Co.................................. 236,532 18,175,119 0.4%
Steel Dynamics, Inc........................................... 585,303 21,779,125 0.5%
Other Securities.............................................. 259,454,203 5.5%
-------------- ------
Total Materials..................................................... 335,090,516 7.1%
-------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 12,723,105 0.3%
-------------- ------
Telecommunication Services -- (0.7%)
Other Securities.............................................. 35,627,922 0.7%
-------------- ------
Utilities -- (0.4%)
* Calpine Corp.................................................. 1,031,434 15,409,624 0.3%
Other Securities.............................................. 6,077,628 0.2%
-------------- ------
Total Utilities..................................................... 21,487,252 0.5%
-------------- ------
TOTAL COMMON STOCKS................................................. 4,722,682,415 99.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 10,936 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 4,722,693,351
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 10,542,663 10,542,663 0.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (10.0%)
(S)@ DFA Short Term Investment Fund................................ 45,498,334 526,461,225 11.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,218,518,049)........................................... $5,259,697,239 111.1%
============== ======
20
TAX-MANAGED U.S. TARGETED VALUE 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...... $ 672,439,296 -- -- $ 672,439,296
Consumer Staples............ 157,633,458 -- -- 157,633,458
Energy...................... 320,774,349 -- -- 320,774,349
Financials.................. 1,268,263,406 -- -- 1,268,263,406
Health Care................. 254,780,626 -- -- 254,780,626
Industrials................. 1,024,262,664 -- -- 1,024,262,664
Information Technology...... 619,599,821 -- -- 619,599,821
Materials................... 335,090,516 -- -- 335,090,516
Real Estate................. 12,723,105 -- -- 12,723,105
Telecommunication Services.. 35,627,922 -- -- 35,627,922
Utilities................... 21,487,252 -- -- 21,487,252
Rights/Warrants............... -- $ 10,936 -- 10,936
Temporary Cash Investments.... 10,542,663 -- -- 10,542,663
Securities Lending Collateral. -- 526,461,225 -- 526,461,225
-------------- ------------ -- --------------
TOTAL......................... $4,733,225,078 $526,472,161 -- $5,259,697,239
============== ============ == ==============
See accompanying Notes to Financial Statements.
21
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (85.9%)
Consumer Discretionary -- (12.6%)
#* Grand Canyon Education, Inc................ 78,329 $ 7,011,229 0.2%
Thor Industries, Inc....................... 67,583 9,206,156 0.3%
Other Securities........................... 414,956,385 14.2%
------------ -----
Total Consumer Discretionary................... 431,173,770 14.7%
------------ -----
Consumer Staples -- (3.4%)
# National Beverage Corp..................... 81,150 7,944,585 0.3%
# Sanderson Farms, Inc....................... 44,322 6,629,242 0.2%
# Snyder's-Lance, Inc........................ 167,173 6,290,720 0.2%
Other Securities........................... 96,689,172 3.3%
------------ -----
Total Consumer Staples......................... 117,553,719 4.0%
------------ -----
Energy -- (3.2%)
# PBF Energy, Inc. Class A................... 222,394 6,442,754 0.2%
Other Securities........................... 101,723,804 3.5%
------------ -----
Total Energy................................... 108,166,558 3.7%
------------ -----
Financials -- (18.8%)
Associated Banc-Corp....................... 252,334 6,384,050 0.2%
BancorpSouth, Inc.......................... 203,866 6,442,166 0.2%
Cathay General Bancorp..................... 211,584 8,844,211 0.3%
CNO Financial Group, Inc................... 336,171 8,058,019 0.3%
# Fulton Financial Corp...................... 353,155 6,427,421 0.2%
Home BancShares, Inc....................... 310,213 6,973,588 0.2%
# Interactive Brokers Group, Inc. Class A.... 114,563 6,188,693 0.2%
Pinnacle Financial Partners, Inc........... 99,359 6,577,566 0.2%
# Primerica, Inc............................. 81,641 7,225,228 0.3%
Radian Group, Inc.......................... 324,032 6,791,711 0.2%
Sterling Bancorp........................... 462,647 11,589,307 0.4%
TCF Financial Corp......................... 354,252 6,454,471 0.2%
Valley National Bancorp.................... 555,117 6,383,845 0.2%
Washington Federal, Inc.................... 213,015 7,412,922 0.3%
# Webster Financial Corp..................... 125,318 6,891,237 0.2%
Wintrust Financial Corp.................... 82,462 6,703,336 0.2%
Other Securities........................... 527,404,508 18.1%
------------ -----
Total Financials............................... 642,752,279 21.9%
------------ -----
Health Care -- (7.3%)
Cantel Medical Corp........................ 83,217 8,161,923 0.3%
Hill-Rom Holdings, Inc..................... 87,296 7,045,660 0.2%
Other Securities........................... 235,136,469 8.0%
------------ -----
Total Health Care.............................. 250,344,052 8.5%
------------ -----
Industrials -- (17.7%)
Curtiss-Wright Corp........................ 52,878 6,252,823 0.2%
#* Dycom Industries, Inc...................... 72,056 6,328,678 0.2%
EMCOR Group, Inc........................... 88,383 7,115,715 0.2%
# John Bean Technologies Corp................ 62,171 6,646,080 0.2%
#* Kirby Corp................................. 93,431 6,619,586 0.2%
#* Knight-Swift Transportation Holdings, Inc.. 214,118 8,875,191 0.3%
* On Assignment, Inc......................... 101,799 6,232,135 0.2%
Regal Beloit Corp.......................... 76,789 6,231,427 0.2%
22
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Terex Corp.................................................... 149,749 $ 7,054,675 0.2%
Other Securities.............................................. 540,555,372 18.6%
-------------- ------
Total Industrials................................................... 601,911,682 20.5%
-------------- ------
Information Technology -- (13.0%)
* Advanced Energy Industries, Inc............................... 85,671 7,258,047 0.3%
# Blackbaud, Inc................................................ 63,914 6,474,488 0.2%
* CACI International, Inc. Class A.............................. 46,822 6,730,662 0.2%
* Cirrus Logic, Inc............................................. 125,945 7,052,920 0.2%
* Coherent, Inc................................................. 26,801 7,040,891 0.2%
Entegris, Inc................................................. 204,204 6,687,681 0.2%
Fair Isaac Corp............................................... 47,990 6,966,228 0.2%
#* Integrated Device Technology, Inc............................. 216,250 6,718,887 0.2%
# Littelfuse, Inc............................................... 31,974 6,682,566 0.2%
MKS Instruments, Inc.......................................... 93,116 10,117,053 0.4%
# Monolithic Power Systems, Inc................................. 65,929 8,021,581 0.3%
SYNNEX Corp................................................... 51,712 6,974,915 0.2%
#* Tech Data Corp................................................ 67,291 6,242,586 0.2%
#* Zynga, Inc. Class A........................................... 1,611,163 6,283,536 0.2%
Other Securities.............................................. 345,676,304 12.0%
-------------- ------
Total Information Technology........................................ 444,928,345 15.2%
-------------- ------
Materials -- (5.1%)
# United States Steel Corp...................................... 315,227 7,981,548 0.3%
Other Securities.............................................. 164,380,344 5.6%
-------------- ------
Total Materials..................................................... 172,361,892 5.9%
-------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 12,494,986 0.4%
-------------- ------
Telecommunication Services -- (1.1%)
Other Securities.............................................. 36,313,129 1.2%
-------------- ------
Utilities -- (3.3%)
# New Jersey Resources Corp..................................... 145,601 6,471,964 0.2%
# WGL Holdings, Inc............................................. 82,214 7,045,740 0.2%
Other Securities.............................................. 99,075,722 3.5%
-------------- ------
Total Utilities..................................................... 112,593,426 3.9%
-------------- ------
TOTAL COMMON STOCKS................................................. 2,930,593,838 99.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 6,472 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 2,930,600,310
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund,
0.960% 4,358,221 4,358,221 0.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (14.0%)
(S)@ DFA Short Term Investment Fund................................ 41,107,094 475,650,182 16.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,019,325,353)........................................... $3,410,608,713 116.3%
============== ======
23
TAX-MANAGED U.S. SMALL CAP 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...... $ 431,173,770 -- -- $ 431,173,770
Consumer Staples............ 117,553,719 -- -- 117,553,719
Energy...................... 108,166,558 -- -- 108,166,558
Financials.................. 642,752,279 -- -- 642,752,279
Health Care................. 250,344,052 -- -- 250,344,052
Industrials................. 601,911,682 -- -- 601,911,682
Information Technology...... 444,928,345 -- -- 444,928,345
Materials................... 172,361,892 -- -- 172,361,892
Real Estate................. 12,494,986 -- -- 12,494,986
Telecommunication Services.. 36,313,129 -- -- 36,313,129
Utilities................... 112,593,426 -- -- 112,593,426
Rights/Warrants............... -- $ 6,472 -- 6,472
Temporary Cash Investments.... 4,358,221 -- -- 4,358,221
Securities Lending Collateral. -- 475,650,182 -- 475,650,182
-------------- ------------ -- --------------
TOTAL......................... $2,934,952,059 $475,656,654 -- $3,410,608,713
============== ============ == ==============
See accompanying Notes to Financial Statements.
24
T.A. U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (90.5%)
Consumer Discretionary -- (13.0%)
* Amazon.com, Inc...................... 43,671 $ 48,268,683 0.6%
* Charter Communications, Inc. Class A. 76,071 25,420,646 0.3%
Comcast Corp. Class A................ 2,172,328 78,268,978 1.0%
Ford Motor Co........................ 1,604,855 19,691,571 0.3%
General Motors Co.................... 614,834 26,425,565 0.3%
Home Depot, Inc. (The)............... 119,588 19,825,299 0.3%
Time Warner, Inc..................... 259,315 25,488,071 0.3%
Walt Disney Co. (The)................ 365,590 35,758,358 0.4%
Other Securities..................... 898,204,065 10.8%
-------------- -----
Total Consumer Discretionary............. 1,177,351,236 14.3%
-------------- -----
Consumer Staples -- (5.4%)
Coca-Cola Co. (The).................. 484,883 22,294,920 0.3%
CVS Health Corp...................... 339,252 23,248,940 0.3%
Procter & Gamble Co. (The)........... 458,732 39,606,921 0.5%
Wal-Mart Stores, Inc................. 683,245 59,654,121 0.7%
Other Securities..................... 347,434,409 4.2%
-------------- -----
Total Consumer Staples................... 492,239,311 6.0%
-------------- -----
Energy -- (4.9%)
Chevron Corp......................... 442,170 51,243,081 0.6%
Exxon Mobil Corp..................... 943,449 78,636,474 1.0%
Other Securities..................... 312,800,761 3.8%
-------------- -----
Total Energy............................. 442,680,316 5.4%
-------------- -----
Financials -- (17.5%)
American Express Co.................. 272,571 26,035,982 0.3%
Bank of America Corp................. 2,427,013 66,475,886 0.8%
* Berkshire Hathaway, Inc. Class B..... 161,309 30,155,104 0.4%
Citigroup, Inc....................... 627,426 46,115,811 0.6%
Goldman Sachs Group, Inc. (The)...... 92,294 22,379,449 0.3%
JPMorgan Chase & Co.................. 1,047,163 105,355,069 1.3%
U.S. Bancorp......................... 445,407 24,221,233 0.3%
Wells Fargo & Co..................... 1,393,576 78,235,357 1.0%
Other Securities..................... 1,183,632,835 14.2%
-------------- -----
Total Financials......................... 1,582,606,726 19.2%
-------------- -----
Health Care -- (10.0%)
Abbott Laboratories.................. 436,158 23,652,848 0.3%
Aetna, Inc........................... 117,503 19,979,035 0.3%
Amgen, Inc........................... 109,613 19,206,390 0.2%
Johnson & Johnson.................... 440,876 61,462,523 0.8%
Merck & Co., Inc..................... 600,469 33,079,837 0.4%
Pfizer, Inc.......................... 1,952,589 68,457,770 0.8%
Thermo Fisher Scientific, Inc........ 99,017 19,192,465 0.2%
UnitedHealth Group, Inc.............. 234,939 49,388,877 0.6%
Other Securities..................... 608,507,926 7.4%
-------------- -----
Total Health Care........................ 902,927,671 11.0%
-------------- -----
Industrials -- (13.3%)
FedEx Corp........................... 96,271 21,738,955 0.3%
General Electric Co.................. 1,383,002 27,881,320 0.4%
Union Pacific Corp................... 237,535 27,504,178 0.3%
25
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
United Technologies Corp...................................... 294,265 $ 35,241,176 0.4%
Other Securities.............................................. 1,097,961,342 13.3%
-------------- ------
Total Industrials................................................... 1,210,326,971 14.7%
-------------- ------
Information Technology -- (18.0%)
* Alphabet, Inc. Class A........................................ 34,523 35,663,640 0.4%
* Alphabet, Inc. Class C........................................ 36,168 36,769,836 0.5%
Apple, Inc.................................................... 1,125,427 190,242,180 2.3%
Cisco Systems, Inc............................................ 1,672,490 57,115,533 0.7%
* Facebook, Inc. Class A........................................ 200,045 36,020,103 0.4%
Intel Corp.................................................... 1,852,635 84,276,366 1.0%
International Business Machines Corp.......................... 128,410 19,782,845 0.3%
* Micron Technology, Inc........................................ 649,261 28,768,755 0.4%
Microsoft Corp................................................ 1,187,445 98,771,675 1.2%
NVIDIA Corp................................................... 162,000 33,503,220 0.4%
Oracle Corp................................................... 481,175 24,491,807 0.3%
QUALCOMM, Inc................................................. 467,869 23,865,998 0.3%
# Visa, Inc. Class A............................................ 285,324 31,379,934 0.4%
Other Securities.............................................. 927,672,445 11.2%
-------------- ------
Total Information Technology........................................ 1,628,324,337 19.8%
-------------- ------
Materials -- (4.3%)
DowDuPont, Inc................................................ 367,666 26,585,928 0.3%
Other Securities.............................................. 368,558,846 4.5%
-------------- ------
Total Materials..................................................... 395,144,774 4.8%
-------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 33,961,993 0.4%
-------------- ------
Telecommunication Services -- (1.9%)
# AT&T, Inc..................................................... 2,782,072 93,616,723 1.2%
Verizon Communications, Inc................................... 830,314 39,747,131 0.5%
Other Securities.............................................. 43,231,955 0.4%
-------------- ------
Total Telecommunication Services.................................... 176,595,809 2.1%
-------------- ------
Utilities -- (1.8%)
Other Securities.............................................. 161,620,182 2.0%
-------------- ------
TOTAL COMMON STOCKS................................................. 8,203,779,326 99.7%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 151,900 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 8,203,931,226
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 26,052,535 26,052,535 0.3%
-------------- ------
SECURITIES LENDING COLLATERAL -- (9.2%)
(S)@ DFA Short Term Investment Fund................................ 71,957,113 832,615,755 10.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,501,238,906)........................................... $9,062,599,516 110.1%
============== ======
26
T.A. U.S. CORE EQUITY 2 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...... $1,177,351,236 -- -- $1,177,351,236
Consumer Staples............ 492,239,311 -- -- 492,239,311
Energy...................... 442,680,316 -- -- 442,680,316
Financials.................. 1,582,606,726 -- -- 1,582,606,726
Health Care................. 902,927,671 -- -- 902,927,671
Industrials................. 1,210,326,971 -- -- 1,210,326,971
Information Technology...... 1,628,324,337 -- -- 1,628,324,337
Materials................... 395,144,774 -- -- 395,144,774
Real Estate................. 33,961,993 -- -- 33,961,993
Telecommunication Services.. 176,595,809 -- -- 176,595,809
Utilities................... 161,620,182 -- -- 161,620,182
Rights/Warrants............... -- $ 151,900 -- 151,900
Temporary Cash Investments.... 26,052,535 -- -- 26,052,535
Securities Lending Collateral. -- 832,615,755 -- 832,615,755
-------------- ------------ -- --------------
TOTAL......................... $8,229,831,861 $832,767,655 -- $9,062,599,516
============== ============ == ==============
See accompanying Notes to Financial Statements.
27
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (98.2%)
AUSTRALIA -- (5.7%)
Australia & New Zealand Banking Group, Ltd.. 1,855,541 $ 42,581,968 1.1%
BHP Billiton, Ltd........................... 1,789,949 36,852,895 0.9%
BHP Billiton, Ltd. Sponsored ADR............ 593,811 24,334,375 0.6%
Woodside Petroleum, Ltd..................... 864,632 20,381,981 0.5%
Other Securities............................ 99,940,288 2.6%
------------ ----
TOTAL AUSTRALIA................................. 224,091,507 5.7%
------------ ----
AUSTRIA -- (0.2%)
Other Securities............................ 6,869,794 0.2%
------------ ----
BELGIUM -- (1.2%)
Other Securities............................ 46,373,750 1.2%
------------ ----
CANADA -- (8.0%)
Bank of Montreal............................ 551,867 42,278,531 1.1%
Suncor Energy, Inc.......................... 1,023,634 34,753,255 0.9%
Other Securities............................ 236,424,504 6.0%
------------ ----
TOTAL CANADA.................................... 313,456,290 8.0%
------------ ----
DENMARK -- (1.7%)
Other Securities............................ 65,478,170 1.7%
------------ ----
FINLAND -- (1.0%)
Other Securities............................ 37,784,447 1.0%
------------ ----
FRANCE -- (9.8%)
AXA SA...................................... 584,162 17,634,909 0.5%
BNP Paribas SA.............................. 778,765 60,782,156 1.6%
# Engie SA.................................... 1,590,737 26,886,716 0.7%
Orange SA................................... 1,639,915 26,939,992 0.7%
Peugeot SA.................................. 895,333 21,242,270 0.5%
Renault SA.................................. 264,765 26,254,941 0.7%
Societe Generale SA......................... 587,035 32,671,123 0.8%
Total SA.................................... 1,786,914 99,599,179 2.5%
Other Securities............................ 70,777,806 1.8%
------------ ----
TOTAL FRANCE.................................... 382,789,092 9.8%
------------ ----
GERMANY -- (7.4%)
Allianz SE.................................. 93,173 21,752,057 0.5%
Bayerische Motoren Werke AG................. 329,322 33,775,342 0.8%
Daimler AG.................................. 904,523 75,515,140 1.9%
Other Securities............................ 159,461,749 4.2%
------------ ----
TOTAL GERMANY................................... 290,504,288 7.4%
------------ ----
HONG KONG -- (2.6%)
CK Hutchison Holdings, Ltd.................. 1,938,348 24,620,330 0.6%
Other Securities............................ 77,681,862 2.0%
------------ ----
TOTAL HONG KONG................................. 102,302,192 2.6%
------------ ----
IRELAND -- (0.3%)
Other Securities............................ 11,205,313 0.3%
------------ ----
28
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
ISRAEL -- (0.4%)
Other Securities...................... $ 14,639,295 0.4%
------------ -----
ITALY -- (1.7%)
Fiat Chrysler Automobiles NV.......... 987,351 17,072,558 0.4%
* UniCredit SpA......................... 1,284,976 24,556,701 0.6%
Other Securities...................... 24,921,578 0.7%
------------ -----
TOTAL ITALY............................... 66,550,837 1.7%
------------ -----
JAPAN -- (22.3%)
Hitachi, Ltd.......................... 3,364,000 26,788,693 0.7%
Honda Motor Co., Ltd.................. 1,293,300 40,528,213 1.0%
Mitsubishi UFJ Financial Group, Inc... 4,778,634 32,414,152 0.8%
Mizuho Financial Group, Inc........... 9,062,800 16,466,023 0.4%
Nissan Motor Co., Ltd................. 1,904,600 18,522,948 0.5%
Sumitomo Mitsui Financial Group, Inc.. 900,727 36,085,571 0.9%
Toyota Motor Corp..................... 1,413,688 87,685,487 2.2%
Other Securities...................... 611,850,553 15.7%
------------ -----
TOTAL JAPAN............................... 870,341,640 22.2%
------------ -----
NETHERLANDS -- (3.2%)
ING Groep NV.......................... 1,741,138 32,175,296 0.8%
Koninklijke DSM NV.................... 214,831 18,328,881 0.5%
Other Securities...................... 75,228,731 1.9%
------------ -----
TOTAL NETHERLANDS......................... 125,732,908 3.2%
------------ -----
NEW ZEALAND -- (0.2%)
Other Securities...................... 5,537,273 0.1%
------------ -----
NORWAY -- (0.9%)
Other Securities...................... 34,003,958 0.9%
------------ -----
PORTUGAL -- (0.0%)
Other Securities...................... 1,564,476 0.0%
------------ -----
SINGAPORE -- (1.1%)
Other Securities...................... 41,148,837 1.1%
------------ -----
SPAIN -- (2.7%)
Banco Santander SA.................... 8,310,675 56,340,642 1.4%
Repsol SA............................. 1,722,173 32,272,481 0.8%
Other Securities...................... 18,434,466 0.5%
------------ -----
TOTAL SPAIN............................... 107,047,589 2.7%
------------ -----
SWEDEN -- (2.7%)
Nordea Bank AB........................ 2,330,270 28,160,628 0.7%
Other Securities...................... 78,719,829 2.0%
------------ -----
TOTAL SWEDEN.............................. 106,880,457 2.7%
------------ -----
SWITZERLAND -- (7.8%)
Adecco Group AG....................... 222,707 17,668,975 0.5%
Cie Financiere Richemont SA........... 404,189 37,260,679 0.9%
Novartis AG........................... 430,906 35,540,796 0.9%
Swiss Re AG........................... 336,799 31,696,253 0.8%
UBS Group AG.......................... 1,117,685 19,015,291 0.5%
Zurich Insurance Group AG............. 133,732 40,810,335 1.0%
29
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Other Securities................................ $ 124,326,442 3.2%
-------------- -----
TOTAL SWITZERLAND..................................... 306,318,771 7.8%
-------------- -----
UNITED KINGDOM -- (17.3%)
Anglo American P.L.C............................ 1,711,075 32,276,026 0.8%
BP P.L.C. Sponsored ADR......................... 2,856,329 116,166,911 3.0%
Glencore P.L.C.................................. 7,256,731 35,000,660 0.9%
HSBC Holdings P.L.C............................. 2,249,451 21,966,154 0.6%
HSBC Holdings P.L.C. Sponsored ADR.............. 1,579,472 77,030,849 2.0%
Lloyds Banking Group P.L.C...................... 49,077,747 44,485,567 1.1%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 1,357,603 85,569,701 2.2%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 1,146,218 74,916,808 1.9%
* Standard Chartered P.L.C........................ 1,730,993 17,240,463 0.4%
Vodafone Group P.L.C............................ 23,523,365 67,284,783 1.7%
Vodafone Group P.L.C. Sponsored ADR............. 653,411 18,935,840 0.5%
Other Securities................................ 85,596,131 2.2%
-------------- -----
TOTAL UNITED KINGDOM.................................. 676,469,893 17.3%
-------------- -----
TOTAL COMMON STOCKS................................... 3,837,090,777 98.0%
-------------- -----
PREFERRED STOCKS -- (1.1%)
GERMANY -- (1.1%)
Volkswagen AG................................... 184,222 33,731,627 0.8%
Other Securities................................ 10,239,265 0.3%
-------------- -----
TOTAL GERMANY......................................... 43,970,892 1.1%
-------------- -----
TOTAL PREFERRED STOCKS................................ 43,970,892 1.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities................................ 425,055 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES........................... 3,881,486,724
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (0.7%)
(S)@ DFA Short Term Investment Fund.................. 2,320,217 26,847,228 0.7%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,316,347,133)............................. $3,908,333,952 99.8%
============== =====
At October 31, 2017, Tax-Managed DFA International 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:
MSCI EAFE Index Future.. 65 12/15/17 $ 6,344,612 $ 6,524,050 $179,438
S&P 500 Emini Index(R).. 88 12/15/17 10,839,477 11,319,880 480,403
----------- ----------- --------
TOTAL FUTURES CONTRACTS. $17,184,089 $17,843,930 $659,841
=========== =========== ========
30
TAX-MANAGED DFA INTERNATIONAL VALUE 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................... $ 27,118,505 $ 196,973,002 -- $ 224,091,507
Austria..................... -- 6,869,794 -- 6,869,794
Belgium..................... -- 46,373,750 -- 46,373,750
Canada...................... 313,456,290 -- -- 313,456,290
Denmark..................... -- 65,478,170 -- 65,478,170
Finland..................... -- 37,784,447 -- 37,784,447
France...................... 5,677,147 377,111,945 -- 382,789,092
Germany..................... 38,897,145 251,607,143 -- 290,504,288
Hong Kong................... -- 102,302,192 -- 102,302,192
Ireland..................... 5,556,562 5,648,751 -- 11,205,313
Israel...................... 282,224 14,357,071 -- 14,639,295
Italy....................... 5,097,924 61,452,913 -- 66,550,837
Japan....................... 15,047,804 855,293,836 -- 870,341,640
Netherlands................. 10,358,496 115,374,412 -- 125,732,908
New Zealand................. -- 5,537,273 -- 5,537,273
Norway...................... 1,729,600 32,274,358 -- 34,003,958
Portugal.................... -- 1,564,476 -- 1,564,476
Singapore................... -- 41,148,837 -- 41,148,837
Spain....................... 13,817 107,033,772 -- 107,047,589
Sweden...................... -- 106,880,457 -- 106,880,457
Switzerland................. 12,751,084 293,567,687 -- 306,318,771
United Kingdom.............. 399,926,586 276,543,307 -- 676,469,893
Preferred Stocks
Germany..................... -- 43,970,892 -- 43,970,892
Rights/Warrants
Spain....................... -- 425,055 -- 425,055
Securities Lending Collateral. -- 26,847,228 -- 26,847,228
Futures Contracts**........... 659,841 -- -- 659,841
------------ -------------- -- --------------
TOTAL......................... $836,573,025 $3,072,420,768 -- $3,908,993,793
============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
31
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (98.1%)
AUSTRALIA -- (4.3%)
Australia & New Zealand Banking Group, Ltd.......... 218,548 $ 5,015,359 0.2%
BHP Billiton, Ltd................................... 414,517 8,534,406 0.3%
Macquarie Group, Ltd................................ 70,545 5,321,922 0.2%
National Australia Bank, Ltd........................ 208,492 5,224,010 0.2%
Westpac Banking Corp................................ 215,524 5,459,101 0.2%
Other Securities.................................... 118,051,221 3.3%
------------ ----
TOTAL AUSTRALIA......................................... 147,606,019 4.4%
------------ ----
AUSTRIA -- (0.5%)
Other Securities.................................... 17,684,415 0.5%
------------ ----
BELGIUM -- (1.1%)
Anheuser-Busch InBev SA/NV.......................... 41,726 5,116,488 0.2%
Other Securities.................................... 33,378,983 0.9%
------------ ----
TOTAL BELGIUM........................................... 38,495,471 1.1%
------------ ----
BRAZIL -- (1.4%)
Other Securities.................................... 47,828,465 1.4%
------------ ----
CANADA -- (6.1%)
Royal Bank of Canada................................ 69,446 5,427,205 0.2%
Toronto-Dominion Bank (The)......................... 92,478 5,257,218 0.2%
Other Securities.................................... 194,879,759 5.7%
------------ ----
TOTAL CANADA............................................ 205,564,182 6.1%
------------ ----
CHILE -- (0.3%)
Other Securities.................................... 11,393,214 0.3%
------------ ----
CHINA -- (7.1%)
China Construction Bank Corp. Class H............... 12,259,200 10,956,231 0.3%
* China Evergrande Group.............................. 2,232,000 8,609,614 0.3%
Geely Automobile Holdings, Ltd...................... 2,045,000 6,341,279 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 10,068,460 8,011,121 0.3%
Ping An Insurance Group Co. of China, Ltd. Class H.. 722,000 6,344,892 0.2%
Tencent Holdings, Ltd............................... 150,500 6,764,236 0.2%
Other Securities.................................... 192,589,061 5.6%
------------ ----
TOTAL CHINA............................................. 239,616,434 7.1%
------------ ----
COLOMBIA -- (0.1%)
Other Securities.................................... 2,536,277 0.1%
------------ ----
CZECH REPUBLIC -- (0.0%)
Other Securities.................................... 933,665 0.0%
------------ ----
DENMARK -- (1.3%)
Other Securities.................................... 44,354,860 1.3%
------------ ----
EGYPT -- (0.0%)
Other Securities.................................... 137,803 0.0%
------------ ----
FINLAND -- (1.4%)
UPM-Kymmene Oyj..................................... 210,965 6,335,756 0.2%
Other Securities.................................... 39,758,243 1.2%
------------ ----
TOTAL FINLAND........................................... 46,093,999 1.4%
------------ ----
32
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
FRANCE -- (5.5%)
BNP Paribas SA........................... 91,698 $ 7,156,976 0.2%
Cie Generale des Etablissements Michelin. 41,357 5,986,275 0.2%
Engie SA................................. 309,221 5,226,469 0.2%
Total SA................................. 219,419 12,229,997 0.4%
Other Securities......................... 157,055,154 4.6%
------------ -----
TOTAL FRANCE................................. 187,654,871 5.6%
------------ -----
GERMANY -- (5.6%)
Allianz SE............................... 28,581 6,672,486 0.2%
BASF SE.................................. 125,517 13,725,701 0.4%
Bayerische Motoren Werke AG.............. 57,820 5,930,033 0.2%
Daimler AG............................... 158,406 13,224,706 0.4%
Deutsche Telekom AG...................... 460,839 8,344,557 0.3%
E.ON SE.................................. 507,298 6,008,658 0.2%
* RWE AG................................... 206,559 5,193,690 0.2%
Other Securities......................... 130,914,360 3.7%
------------ -----
TOTAL GERMANY................................ 190,014,191 5.6%
------------ -----
GREECE -- (0.1%)
Other Securities......................... 2,564,510 0.1%
------------ -----
HONG KONG -- (2.1%)
AIA Group, Ltd........................... 729,000 5,493,364 0.2%
Other Securities......................... 66,098,262 1.9%
------------ -----
TOTAL HONG KONG.............................. 71,591,626 2.1%
------------ -----
HUNGARY -- (0.1%)
Other Securities......................... 3,330,692 0.1%
------------ -----
INDIA -- (3.0%)
Other Securities......................... 100,857,413 3.0%
------------ -----
INDONESIA -- (0.6%)
Other Securities......................... 20,338,828 0.6%
------------ -----
IRELAND -- (0.4%)
Other Securities......................... 13,100,827 0.4%
------------ -----
ISRAEL -- (0.5%)
Other Securities......................... 17,449,460 0.5%
------------ -----
ITALY -- (2.1%)
Other Securities......................... 71,684,161 2.1%
------------ -----
JAPAN -- (17.6%)
Hitachi, Ltd............................. 727,000 5,789,352 0.2%
Honda Motor Co., Ltd..................... 240,500 7,536,562 0.2%
Toyota Motor Corp........................ 270,373 16,770,170 0.5%
Toyota Motor Corp. Sponsored ADR......... 42,528 5,273,472 0.2%
Other Securities......................... 560,198,159 16.6%
------------ -----
TOTAL JAPAN.................................. 595,567,715 17.7%
------------ -----
MALAYSIA -- (0.7%)
Other Securities......................... 22,310,739 0.7%
------------ -----
33
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MEXICO -- (0.8%)
Other Securities.................. $ 26,470,204 0.8%
------------ ----
NETHERLANDS -- (2.1%)
Koninklijke DSM NV................ 66,455 5,669,786 0.2%
Other Securities.................. 65,638,824 1.9%
------------ ----
TOTAL NETHERLANDS..................... 71,308,610 2.1%
------------ ----
NEW ZEALAND -- (0.3%)
Other Securities.................. 10,840,320 0.3%
------------ ----
NORWAY -- (0.6%)
Other Securities.................. 20,967,360 0.6%
------------ ----
PERU -- (0.0%)
Other Securities.................. 748,154 0.0%
------------ ----
PHILIPPINES -- (0.3%)
Other Securities.................. 9,040,893 0.3%
------------ ----
POLAND -- (0.4%)
Other Securities.................. 13,215,588 0.4%
------------ ----
PORTUGAL -- (0.2%)
Other Securities.................. 7,068,346 0.2%
------------ ----
RUSSIA -- (0.3%)
Other Securities.................. 8,944,489 0.3%
------------ ----
SINGAPORE -- (0.9%)
Other Securities.................. 30,678,480 0.9%
------------ ----
SOUTH AFRICA -- (1.8%)
Other Securities.................. 59,669,695 1.8%
------------ ----
SOUTH KOREA -- (4.0%)
Samsung Electronics Co., Ltd...... 5,671 13,979,589 0.4%
Samsung Electronics Co., Ltd. GDR. 8,033 9,904,154 0.3%
SK Hynix, Inc..................... 69,101 5,095,001 0.2%
Other Securities.................. 105,928,912 3.1%
------------ ----
TOTAL SOUTH KOREA..................... 134,907,656 4.0%
------------ ----
SPAIN -- (1.8%)
Banco Santander SA................ 904,605 6,132,597 0.2%
Iberdrola SA...................... 646,207 5,222,003 0.2%
Other Securities.................. 49,055,649 1.4%
------------ ----
TOTAL SPAIN........................... 60,410,249 1.8%
------------ ----
SWEDEN -- (2.2%)
Other Securities.................. 74,260,656 2.2%
------------ ----
SWITZERLAND -- (4.4%)
ABB, Ltd.......................... 219,337 5,727,992 0.2%
Lonza Group AG.................... 19,759 5,249,198 0.2%
Nestle SA......................... 261,736 22,022,075 0.7%
Novartis AG Sponsored ADR......... 117,451 9,699,104 0.3%
Other Securities.................. 105,040,508 3.0%
------------ ----
TOTAL SWITZERLAND..................... 147,738,877 4.4%
------------ ----
34
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (3.6%)
Other Securities................................ $ 123,644,827 3.7%
-------------- -----
THAILAND -- (0.7%)
Other Securities................................ 22,811,496 0.7%
-------------- -----
TURKEY -- (0.3%)
Other Securities................................ 11,160,814 0.3%
-------------- -----
UNITED KINGDOM -- (11.5%)
Anglo American P.L.C............................ 360,657 6,803,077 0.2%
BP P.L.C. Sponsored ADR......................... 333,610 13,567,922 0.4%
HSBC Holdings P.L.C. Sponsored ADR.............. 236,494 11,533,812 0.4%
Rio Tinto P.L.C. Sponsored ADR.................. 118,367 5,673,330 0.2%
Royal Dutch Shell P.L.C. Class A................ 174,646 5,497,805 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 177,031 11,158,248 0.3%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 149,242 9,754,457 0.3%
Vodafone Group P.L.C............................ 3,174,160 9,079,173 0.3%
Other Securities................................ 316,223,977 9.3%
-------------- -----
TOTAL UNITED KINGDOM................................ 389,291,801 11.6%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities................................ 353,581 0.0%
-------------- -----
TOTAL COMMON STOCKS................................. 3,322,241,933 98.6%
-------------- -----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.5%)
Other Securities................................ 16,846,304 0.5%
-------------- -----
CHILE -- (0.0%)
Other Securities................................ 119,965 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities................................ 515,443 0.0%
-------------- -----
GERMANY -- (0.4%)
Volkswagen AG................................... 35,025 6,413,187 0.2%
Other Securities................................ 6,739,908 0.2%
-------------- -----
TOTAL GERMANY....................................... 13,153,095 0.4%
-------------- -----
INDIA -- (0.0%)
Other Securities................................ 1,070 0.0%
-------------- -----
TOTAL PREFERRED STOCKS.............................. 30,635,877 0.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................................ 25,877 0.0%
-------------- -----
BRAZIL -- (0.0%)
Other Securities................................ 10,827 0.0%
-------------- -----
CHILE -- (0.0%)
Other Securities................................ 11,142 0.0%
-------------- -----
FRANCE -- (0.0%)
Other Securities................................ 40 0.0%
-------------- -----
35
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (0.0%)
Other Securities................ $ 741 0.0%
-------------- ------
INDIA -- (0.0%)
Other Securities................ 9,749 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 10,068 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 20,562 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 136,218 0.0%
-------------- ------
SWITZERLAND -- (0.0%)
Other Securities................ 4,434 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................ 16,454 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................ 42,899 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 289,011 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 3,353,166,821
--------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (1.0%)
(S)@ DFA Short Term Investment Fund.. 2,876,530 33,284,324 1.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,566,976,511).............. $3,386,451,145 100.5%
============== ======
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
Australia...... $ 2,535,880 $145,070,139 -- $147,606,019
Austria........ -- 17,684,415 -- 17,684,415
Belgium........ 1,179,769 37,315,702 -- 38,495,471
Brazil......... 47,828,465 -- -- 47,828,465
Canada......... 205,564,182 -- -- 205,564,182
Chile.......... 3,452,640 7,940,574 -- 11,393,214
China.......... 24,994,798 214,621,636 -- 239,616,434
Colombia....... 2,536,277 -- -- 2,536,277
Czech Republic. -- 933,665 -- 933,665
Denmark........ 1,535,748 42,819,112 -- 44,354,860
Egypt.......... -- 137,803 -- 137,803
Finland........ 28,134 46,065,865 -- 46,093,999
France......... 3,469,222 184,185,649 -- 187,654,871
Germany........ 11,338,697 178,675,494 -- 190,014,191
Greece......... -- 2,564,510 -- 2,564,510
Hong Kong...... 307,082 71,284,544 -- 71,591,626
36
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Common Stocks (Continued)
Hungary..................... $ -- $ 3,330,692 -- $ 3,330,692
India....................... 2,971,253 97,886,160 -- 100,857,413
Indonesia................... 358,158 19,980,670 -- 20,338,828
Ireland..................... 2,584,265 10,516,562 -- 13,100,827
Israel...................... 2,387,509 15,061,951 -- 17,449,460
Italy....................... 2,259,252 69,424,909 -- 71,684,161
Japan....................... 14,941,869 580,625,846 -- 595,567,715
Malaysia.................... -- 22,310,739 -- 22,310,739
Mexico...................... 26,461,128 9,076 -- 26,470,204
Netherlands................. 12,074,952 59,233,658 -- 71,308,610
New Zealand................. 29,682 10,810,638 -- 10,840,320
Norway...................... 797,643 20,169,717 -- 20,967,360
Peru........................ 748,154 -- -- 748,154
Philippines................. 156,109 8,884,784 -- 9,040,893
Poland...................... -- 13,215,588 -- 13,215,588
Portugal.................... -- 7,068,346 -- 7,068,346
Russia...................... 1,580,101 7,364,388 -- 8,944,489
Singapore................... -- 30,678,480 -- 30,678,480
South Africa................ 5,842,330 53,827,365 -- 59,669,695
South Korea................. 6,414,410 128,493,246 -- 134,907,656
Spain....................... 4,549,893 55,860,356 -- 60,410,249
Sweden...................... 568,098 73,692,558 -- 74,260,656
Switzerland................. 15,812,285 131,926,592 -- 147,738,877
Taiwan...................... 5,442,858 118,201,969 -- 123,644,827
Thailand.................... 22,781,701 29,795 -- 22,811,496
Turkey...................... 85,984 11,074,830 -- 11,160,814
United Kingdom.............. 84,782,577 304,509,224 -- 389,291,801
United States............... -- 353,581 -- 353,581
Preferred Stocks
Brazil...................... 16,846,304 -- -- 16,846,304
Chile....................... -- 119,965 -- 119,965
Colombia.................... 515,443 -- -- 515,443
Germany..................... -- 13,153,095 -- 13,153,095
India....................... 1,070 -- -- 1,070
Rights/Warrants
Australia................... -- 25,877 -- 25,877
Brazil...................... -- 10,827 -- 10,827
Chile....................... -- 11,142 -- 11,142
France...................... -- 40 -- 40
Hong Kong................... -- 741 -- 741
India....................... -- 9,749 -- 9,749
Malaysia.................... -- 10,068 -- 10,068
South Korea................. -- 20,562 -- 20,562
Spain....................... -- 136,218 -- 136,218
Switzerland................. -- 4,434 -- 4,434
Taiwan...................... -- 16,454 -- 16,454
Thailand.................... -- 42,899 -- 42,899
Securities Lending Collateral. -- 33,284,324 -- 33,284,324
------------ -------------- -- --------------
TOTAL......................... $535,763,922 $2,850,687,223 -- $3,386,451,145
============ ============== == ==============
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED
U.S. TAX-MANAGED TAX-MANAGED TAX-MANAGED
MARKETWIDE U.S. EQUITY U.S. TARGETED U.S. SMALL CAP
VALUE PORTFOLIO PORTFOLIO* VALUE PORTFOLIO* PORTFOLIO*
--------------- -------------- ---------------- --------------
ASSETS:
Investments in Affiliated Investment Company at
Value............................................... $ 4,851,479 -- -- --
Investments at Value (including $0, $256,572,
$820,785 and $678,988 of securities on loan,
respectively)....................................... -- $ 3,300,899 $ 4,722,693 $ 2,930,600
Temporary Cash Investments at Value & Cost........... -- 12,730 10,543 4,358
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $129,541,
$526,458 and $475,634).............................. -- 129,515 526,461 475,650
Cash................................................. -- -- 2 --
Receivables:
Investment Securities/Affiliated Investment
Company Sold...................................... -- 2 274 316
Dividends, Interest and Tax Reclaims............... -- 2,502 1,328 716
Securities Lending Income.......................... -- 67 289 261
Fund Shares Sold................................... 759 869 1,358 692
Prepaid Expenses and Other Assets.................... 29 27 44 28
-------------- -------------- -------------- --------------
Total Assets.................................... 4,852,267 3,446,611 5,262,992 3,412,621
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... -- 129,490 526,400 475,624
Investment Securities/Affiliated Investment
Company Purchased................................. -- 4,835 37 1,005
Fund Shares Redeemed............................... 1,095 818 841 830
Due to Advisor..................................... 616 557 1,681 1,240
Accrued Expenses and Other Liabilities............... 194 271 352 217
-------------- -------------- -------------- --------------
Total Liabilities............................... 1,905 135,971 529,311 478,916
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 4,850,362 $ 3,310,640 $ 4,733,681 $ 2,933,705
============== ============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).............. 160,090,186 118,209,556 124,765,859 66,143,751
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 30.30 $ 28.01 $ 37.94 $ 44.35
============== ============== ============== ==============
Investments at Cost.................................. $ N/A $ 1,739,906 $ 2,681,517 $ 1,539,333
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 2,492,344 $ 1,748,189 $ 2,512,944 $ 1,463,270
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 5,654 1,361 757 134
Accumulated Net Realized Gain (Loss)................. 151,289 118 178,801 79,018
Net Unrealized Appreciation (Depreciation)........... 2,201,075 1,560,972 2,041,179 1,391,283
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 4,850,362 $ 3,310,640 $ 4,733,681 $ 2,933,705
============== ============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED...................... 1,700,000,000 1,500,000,000 1,700,000,000 1,500,000,000
============== ============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED T.A. WORLD EX
T.A. U.S. CORE DFA U.S. CORE
EQUITY 2 INTERNATIONAL EQUITY
PORTFOLIO* VALUE PORTFOLIO* PORTFOLIO*
-------------- ---------------- --------------
ASSETS:
Investments at Value (including $1,315,488, $59,801 and $50,439 of
securities on loan, respectively).................................. $ 8,203,931 $ 3,881,487 $ 3,353,167
Temporary Cash Investments at Value & Cost.......................... 26,053 -- --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $832,567, $26,848 and $33,285).................. 832,616 26,847 33,284
Segregated Cash for Futures Contracts............................... -- 627 --
Foreign Currencies at Value......................................... -- 19,415 4,981
Cash................................................................ 2 4,921 7,026
Receivables:
Investment Securities Sold........................................ 13 -- 570
Dividends, Interest and Tax Reclaims.............................. 5,502 13,332 7,465
Securities Lending Income......................................... 346 225 182
Fund Shares Sold.................................................. 3,482 1,374 1,245
Futures Margin Variation.......................................... -- 44 --
Unrealized Gain on Foreign Currency Contracts....................... -- -- 3
Prepaid Expenses and Other Assets................................... 64 38 17
-------------- -------------- --------------
Total Assets................................................... 9,072,009 3,948,310 3,407,940
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 832,607 26,855 33,280
Investment Securities Purchased................................... 4,289 -- 2,960
Fund Shares Redeemed.............................................. 2,110 1,415 1,488
Due to Advisor.................................................... 1,522 1,644 904
Unrealized Loss on Foreign Currency Contracts....................... -- -- 2
Accrued Expenses and Other Liabilities.............................. 543 327 307
-------------- -------------- --------------
Total Liabilities.............................................. 841,071 30,241 38,941
-------------- -------------- --------------
NET ASSETS.......................................................... $ 8,230,938 $ 3,918,069 $ 3,368,999
============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 468,674,495 239,007,120 292,263,125
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................................. $ 17.56 $ 16.39 $ 11.53
============== ============== ==============
Investments at Cost................................................. $ 4,642,619 $ 3,289,500 $ 2,533,692
============== ============== ==============
Foreign Currencies at Cost.......................................... $ -- $ 19,732 $ 5,010
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 4,597,515 $ 3,369,443 $ 2,590,448
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 6,244 11,086 6,626
Accumulated Net Realized Gain (Loss)................................ 65,818 (54,823) (47,527)
Net Unrealized Foreign Exchange Gain (Loss)......................... -- 29 7
Net Unrealized Appreciation (Depreciation).......................... 3,561,361 592,334 819,445
-------------- -------------- --------------
NET ASSETS.......................................................... $ 8,230,938 $ 3,918,069 $ 3,368,999
============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED..................................... 2,000,000,000 1,700,000,000 1,500,000,000
============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
U.S. TAX-MANAGED
MARKETWIDE TAX-MANAGED U.S. TARGETED TAX-MANAGED
VALUE U.S. EQUITY VALUE U.S. SMALL
PORTFOLIO*# PORTFOLIO# PORTFOLIO# CAP PORTFOLIO#
----------- ----------- ------------- --------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $4, $0, $0 and $0,
respectively).................................................... $101,067 -- -- --
Income from Securities Lending.................................... 493 -- -- --
Expenses Allocated from Affiliated Investment Company............. (9,570) -- -- --
-------- -------- -------- --------
Total Net Investment Income Received from Affiliated
Investment Company.............................................. 91,990 -- -- --
-------- -------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $5, $26 and $17,
respectively)...................................................... -- $ 57,227 $ 61,956 $ 34,598
Income.............................................................. -- 708 2,296 2,362
-------- -------- -------- --------
Total Investment Income.......................................... -- 57,935 64,252 36,960
-------- -------- -------- --------
FUND EXPENSES
Investment Management Fees.......................................... 15,912 6,032 18,269 13,353
Accounting & Transfer Agent Fees.................................... 74 181 277 176
Custodian Fees...................................................... -- 37 55 39
Filing Fees......................................................... 79 70 107 73
Shareholders' Reports............................................... 66 38 65 47
Directors'/Trustees' Fees & Expenses................................ 45 29 43 27
Professional Fees................................................... 15 49 70 44
Other............................................................... 23 87 123 78
-------- -------- -------- --------
Total Expenses................................................... 16,214 6,523 19,009 13,837
-------- -------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)................................. (9,093) 81 -- --
-------- -------- -------- --------
Net Expenses........................................................ 7,121 6,604 19,009 13,837
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS)........................................ 84,869 51,331 45,243 23,123
-------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................................... 156,290 226,688 184,340 82,575
Affiliated Investment Companies Shares Sold....................... -- 46 48 8
Futures........................................................... 56 3,359 1,430 294
Foreign Currency Transactions..................................... -- -- 2 3
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................. 653,780 361,678 730,643 504,335
Affiliated Investment Companies Shares............................ -- (59) (86) (58)
Futures........................................................... -- 507 -- --
-------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 810,126 592,219 916,377 587,157
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $894,995 $643,550 $961,620 $610,280
======== ======== ======== ========
----------
* 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.
40
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
DFA T.A. WORLD EX
T.A. U.S. CORE INTERNATIONAL U.S. CORE
EQUITY 2 VALUE EQUITY
PORTFOLIO# PORTFOLIO# PORTFOLIO#
-------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $27, $9,898 and $7,470,
respectively)....................................................... $ 128,684 $103,405 $ 72,051
Non Cash Income...................................................... -- 17,175 5,109
Income from Securities Lending....................................... 3,152 1,176 2,449
---------- -------- --------
Total Investment Income........................................... 131,836 121,756 79,609
---------- -------- --------
FUND EXPENSES
Investment Management Fees........................................... 16,150 17,256 9,737
Accounting & Transfer Agent Fees..................................... 419 242 195
Custodian Fees....................................................... 86 319 663
Filing Fees.......................................................... 194 132 108
Shareholders' Reports................................................ 69 66 48
Directors'/Trustees' Fees & Expenses................................. 71 33 27
Professional Fees.................................................... 118 76 93
Other................................................................ 207 121 112
---------- -------- --------
Total Expenses.................................................... 17,314 18,245 10,983
---------- -------- --------
Fees Paid Indirectly (Note C)........................................ -- (228) (88)
---------- -------- --------
Net Expenses......................................................... 17,314 18,017 10,895
---------- -------- --------
NET INVESTMENT INCOME (LOSS)......................................... 114,522 103,739 68,714
---------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................... 68,376 50,070 9,664
Affiliated Investment Companies Shares Sold........................ (49) (9) 4
Futures............................................................ -- 3,348 --
Foreign Currency Transactions...................................... 2 (329) (265)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 1,376,859 644,611 582,092
Affiliated Investment Companies Shares............................. (68) (6) (7)
Futures............................................................ -- 1,460 --
Translation of Foreign Currency Denominated Amounts................ -- 411 174
---------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 1,445,120 699,556 591,662
---------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $1,559,642 $803,295 $660,376
========== ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
41
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S. TAX-MANAGED U.S. EQUITY TAX-MANAGED U.S. TARGETED
MARKETWIDE VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO
------------------------- ---------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017 2016
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........ $ 84,869 $ 73,162 $ 51,331 $ 47,494 $ 45,243 $ 42,145
Net Realized Gain (Loss) on:
Investment Securities Sold/
Affiliated Investment Company
Sold*............................ 156,290 137,584 226,688 88,808 184,340 126,974
Affiliated Investment
Companies Shares Sold............ -- -- 46 -- 48 --
Futures........................... 56 4,341 3,359 1,284 1,430 4,185
Foreign Currency
Transactions..................... -- -- -- -- 2 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/
Affiliated Investment
Company.......................... 653,780 (108,432) 361,678 (30,585) 730,643 (81,804)
Affiliated Investment
Companies Shares................. -- -- (59) -- (86) --
Futures........................... -- -- 507 (507) -- --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations....................... 894,995 106,655 643,550 106,494 961,620 91,500
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income.............. (82,721) (72,925) (52,066) (48,479) (43,922) (43,827)
Net Long-Term Gains................ (101,284) -- -- -- (127,982) (128,578)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............... (184,005) (72,925) (52,066) (48,479) (171,904) (172,405)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued....................... 471,847 604,274 345,297 373,342 471,241 699,094
Shares Issued in Lieu of Cash
Distributions...................... 181,793 71,818 50,784 46,609 170,374 170,363
Shares Redeemed..................... (526,743) (558,218) (313,364) (335,680) (470,952) (685,722)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share
Transactions..................... 126,897 117,874 82,717 84,271 170,663 183,735
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets....................... 837,887 151,604 674,201 142,286 960,379 102,830
NET ASSETS
Beginning of Year................... 4,012,475 3,860,871 2,636,439 2,494,153 3,773,302 3,670,472
---------- ---------- ---------- ---------- ---------- ----------
End of Year......................... $4,850,362 $4,012,475 $3,310,640 $2,636,439 $4,733,681 $3,773,302
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................... 16,503 24,749 13,450 17,067 13,305 24,009
Shares Issued in Lieu of Cash
Distributions...................... 6,410 2,864 1,962 2,081 4,750 5,626
Shares Redeemed..................... (18,433) (22,805) (12,181) (15,202) (13,207) (23,205)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed......................... 4,480 4,808 3,231 3,946 4,848 6,430
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)............ $ 5,654 $ 5,630 $ 1,361 $ 4,408 $ 757 $ 586
TAX-MANAGED 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)........ $ 23,123 $ 22,649
Net Realized Gain (Loss) on:
Investment Securities Sold/
Affiliated Investment Company
Sold*............................ 82,575 54,458
Affiliated Investment
Companies Shares Sold............ 8 --
Futures........................... 294 259
Foreign Currency
Transactions..................... 3 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/
Affiliated Investment
Company.......................... 504,335 9,515
Affiliated Investment
Companies Shares................. (58) --
Futures........................... -- --
---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations....................... 610,280 86,881
---------- ----------
Distributions From:
Net Investment Income.............. (22,983) (22,742)
Net Long-Term Gains................ (54,088) (94,181)
---------- ----------
Total Distributions............... (77,071) (116,923)
---------- ----------
Capital Share Transactions (1):
Shares Issued....................... 305,494 416,890
Shares Issued in Lieu of Cash
Distributions...................... 75,950 114,492
Shares Redeemed..................... (277,642) (394,954)
---------- ----------
Net Increase (Decrease) from
Capital Share
Transactions..................... 103,802 136,428
---------- ----------
Total Increase (Decrease) in
Net Assets....................... 637,011 106,386
NET ASSETS
Beginning of Year................... 2,296,694 2,190,308
---------- ----------
End of Year......................... $2,933,705 $2,296,694
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................... 7,440 12,370
Shares Issued in Lieu of Cash
Distributions...................... 1,834 3,318
Shares Redeemed..................... (6,751) (11,643)
---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed......................... 2,523 4,045
========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)............ $ 134 $ 547
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
T.A. U.S. CORE EQUITY 2 TAX-MANAGED DFA T.A. WORLD EX U.S. CORE
PORTFOLIO INTERNATIONAL VALUE PORTFOLIO EQUITY PORTFOLIO
----------------------- ---------------------------- ----------------------
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)................. $ 114,522 $ 105,500 $ 103,739 $ 92,980 $ 68,714 $ 56,403
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 68,376 (4,863) 50,070 (82,213) 9,664 (25,607)
Affiliated Investment Companies Shares
Sold...................................... (49) -- (9) -- 4 --
Futures.................................... -- 5,040 3,348 2,620 -- --
Foreign Currency Transactions.............. 2 -- (329) 434 (265) 344
Forward Currency Contracts................. -- -- -- (20) -- 6
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 1,376,859 119,407 644,611 (19,773) 582,092 50,075
Affiliated Investment Companies
Shares.................................... (68) -- (6) -- (7) --
Futures.................................... -- -- 1,460 (800) -- --
Translation of Foreign Currency
Denominated Amounts....................... -- -- 411 (301) 174 (113)
---------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 1,559,642 225,084 803,295 (7,073) 660,376 81,108
---------- ----------- ---------- ----------- ---------- ----------
Distributions From:
Net Investment Income...................... (115,587) (104,283) (99,420) (92,814) (68,459) (56,154)
Net Long-Term Gains........................ (231) (166) -- -- -- --
---------- ----------- ---------- ----------- ---------- ----------
Total Distributions....................... (115,818) (104,449) (99,420) (92,814) (68,459) (56,154)
---------- ----------- ---------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................ 1,216,846 1,468,327 521,234 1,176,415 636,884 917,900
Shares Issued in Lieu of Cash
Distributions............................... 114,916 103,804 98,482 91,799 68,018 55,965
Shares Redeemed.............................. (763,920) (1,022,647) (410,547) (1,158,233) (335,168) (715,784)
---------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 567,842 549,484 209,169 109,981 369,734 258,081
---------- ----------- ---------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 2,011,666 670,119 913,044 10,094 961,651 283,035
NET ASSETS
Beginning of Year............................ 6,219,272 5,549,153 3,005,025 2,994,931 2,407,348 2,124,313
---------- ----------- ---------- ----------- ---------- ----------
End of Year.................................. $8,230,938 $ 6,219,272 $3,918,069 $ 3,005,025 $3,368,999 $2,407,348
========== =========== ========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 74,772 108,691 35,464 94,213 62,099 104,147
Shares Issued in Lieu of Cash
Distributions............................... 7,003 7,436 6,610 7,334 6,507 6,257
Shares Redeemed.............................. (47,107) (75,853) (27,853) (92,625) (32,901) (82,262)
---------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 34,668 40,274 14,221 8,922 35,705 28,142
========== =========== ========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)............................ $ 6,244 $ 9,703 $ 11,086 $ 7,613 $ 6,626 $ 6,348
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $1,
respectively.
See accompanying Notes to Financial Statements.
43
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE 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......................... $ 25.79 $ 25.60 $ 25.33 $ 22.35
---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.54 0.47 0.43 0.35
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. 5.14 0.19 0.25 2.98
---------- ---------- ----------
Total from Investment Operations........................ 5.68 0.66 0.68 3.33
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................... (0.52) (0.47) (0.41) (0.35)
Net Realized Gains....................................... (0.65) -- -- --
---------- ---------- ----------
Total Distributions..................................... (1.17) (0.47) (0.41) (0.35)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................... $ 30.30 $ 25.79 $ 25.60 $ 25.33
=========================================================== ========== ========== ========== ==========
Total Return............................................... 22.41% 2.66% 2.73% 14.98%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................ $4,850,362 $4,012,475 $3,860,871 $3,664,174
Ratio of Expenses to Average Net Assets.................... 0.37%(B) 0.37%(B) 0.37%(B) 0.37%(B)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................ 0.57%(B) 0.57%(B) 0.43%(B) 0.37%(B)
Ratio of Net Investment Income to Average Net Assets....... 1.87% 1.90% 1.65% 1.45%
Portfolio Turnover Rate.................................... N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2013
---------------------------------------------------------------------------
Net Asset Value, Beginning of Year......................... $ 16.76
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.32
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. 5.60
----------
Total from Investment Operations........................ 5.92
---------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................... (0.33)
Net Realized Gains....................................... --
----------
Total Distributions..................................... (0.33)
---------------------------------------------------------------------------
Net Asset Value, End of Year............................... $ 22.35
=========================================================== ==========
Total Return............................................... 35.71%
---------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................ $3,110,436
Ratio of Expenses to Average Net Assets.................... 0.37%(B)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................ 0.37%(B)
Ratio of Net Investment Income to Average Net Assets....... 1.66%
Portfolio Turnover Rate.................................... N/A
---------------------------------------------------------------------------
TAX-MANAGED U.S. 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......................... $ 22.93 $ 22.46 $ 21.89 $ 19.20 $ 15.16
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.44 0.42 0.40 0.34 0.32
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. 5.09 0.48 0.56 2.69 4.05
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........................ 5.53 0.90 0.96 3.03 4.37
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................... (0.45) (0.43) (0.39) (0.34) (0.33)
Net Realized Gains....................................... -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions..................................... (0.45) (0.43) (0.39) (0.34) (0.33)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................... $ 28.01 $ 22.93 $ 22.46 $ 21.89 $ 19.20
=========================================================== ========== ========== ========== ========== ==========
Total Return............................................... 24.27% 4.05% 4.47% 15.89% 29.15%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................ $3,310,640 $2,636,439 $2,494,153 $2,311,451 $1,991,461
Ratio of Expenses to Average Net Assets.................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................ 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets....... 1.70% 1.87% 1.79% 1.66% 1.89%
Portfolio Turnover Rate.................................... 8% 4% 1% 2% 3%
-----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. TARGETED 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........................... $ 31.47 $ 32.34 $ 33.34 $ 31.06 $ 22.89
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
-
Net Investment Income (Loss) (A)........................... 0.37 0.36 0.39 0.26 0.33
Net Gains (Losses) on Securities (Realized and Unrealized). 7.53 0.28 0.16 3.11 8.69
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 7.90 0.64 0.55 3.37 9.02
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income...................................... (0.36) (0.37) (0.37) (0.27) (0.34)
Net Realized Gains......................................... (1.07) (1.14) (1.18) (0.82) (0.51)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (1.43) (1.51) (1.55) (1.09) (0.85)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 37.94 $ 31.47 $ 32.34 $ 33.34 $ 31.06
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 25.40% 2.21% 1.89% 11.10% 40.60%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $4,733,681 $3,773,302 $3,670,472 $3,572,307 $3,201,053
Ratio of Expenses to Average Net Assets...................... 0.44% 0.44% 0.44% 0.43% 0.44%
Ratio of Net Investment Income to Average Net Assets......... 1.04% 1.17% 1.19% 0.80% 1.24%
Portfolio Turnover Rate...................................... 14% 20% 14% 7% 6%
--------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED 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........................... $ 36.10 $ 36.77 $ 36.99 $ 34.31 $ 24.93
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
-
Net Investment Income (Loss) (A)........................... 0.36 0.36 0.36 0.25 0.35
Net Gains (Losses) on Securities (Realized and Unrealized). 9.10 0.92 0.45 2.69 9.40
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 9.46 1.28 0.81 2.94 9.75
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income...................................... (0.36) (0.37) (0.34) (0.26) (0.37)
Net Realized Gains......................................... (0.85) (1.58) (0.69) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (1.21) (1.95) (1.03) (0.26) (0.37)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 44.35 $ 36.10 $ 36.77 $ 36.99 $ 34.31
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 26.46% 3.75% 2.31% 8.58% 39.55%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $2,933,705 $2,296,694 $2,190,308 $2,092,558 $1,872,935
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......... 0.87% 1.04% 0.96% 0.70% 1.20%
Portfolio Turnover Rate...................................... 11% 10% 8% 7% 7%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
45
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. U.S. CORE EQUITY 2 PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 14.33 $ 14.09 $ 14.21 $ 12.78 $ 9.75
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.25 0.25 0.24 0.20 0.19
Net Gains (Losses) on Securities (Realized and Unrealized). 3.24 0.24 0.05 1.55 3.04
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 3.49 0.49 0.29 1.75 3.23
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.26) (0.25) (0.23) (0.20) (0.19)
Net Realized Gains......................................... -- -- (0.18) (0.12) (0.01)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.26) (0.25) (0.41) (0.32) (0.20)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 17.56 $ 14.33 $ 14.09 $ 14.21 $ 12.78
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 24.47% 3.55% 2.14% 13.88% 33.58%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $8,230,938 $6,219,272 $5,549,153 $5,056,211 $4,103,753
Ratio of Expenses to Average Net Assets...................... 0.24% 0.24% 0.24% 0.24% 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% 0.24% 0.24%
Ratio of Net Investment Income to Average Net Assets......... 1.56% 1.82% 1.65% 1.51% 1.72%
Portfolio Turnover Rate...................................... 2% 7% 7% 7% 2%
--------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 13.37 $ 13.87 $ 15.17 $ 15.99 $ 12.91
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.45 0.42 0.44 0.66 0.39
Net Gains (Losses) on Securities (Realized and Unrealized). 3.00 (0.50) (1.32) (0.83) 3.09
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 3.45 (0.08) (0.88) (0.17) 3.48
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.43) (0.42) (0.41) (0.65) (0.40)
Net Realized Gains......................................... -- -- (0.01) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.43) (0.42) (0.42) (0.65) (0.40)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 16.39 $ 13.37 $ 13.87 $ 15.17 $ 15.99
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 26.13% (0.30)% (5.93)% (1.29)% 27.39%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $3,918,069 $3,005,025 $2,994,931 $2,977,257 $2,758,384
Ratio of Expenses to Average Net Assets...................... 0.53% 0.53% 0.53% 0.53% 0.53%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly)......... 0.53% 0.53% 0.53% 0.53% 0.53%
Ratio of Net Investment Income to Average Net Assets......... 3.01% 3.32% 2.99% 4.13% 2.70%
Portfolio Turnover Rate...................................... 16% 18% 25% 13% 12%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
46
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. WORLD EX U.S. 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..................... $ 9.38 $ 9.30 $ 9.94 $ 10.25 $ 8.56
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................ 0.25 0.23 0.24 0.28 0.23
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 2.15 0.08 (0.65) (0.30) 1.70
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... 2.40 0.31 (0.41) (0.02) 1.93
-------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.25) (0.23) (0.23) (0.27) (0.24)
Net Realized Gains.......... -- -- -- (0.02) --
Total Distributions....... (0.25) (0.23) (0.23) (0.29) (0.24)
-------------------------------------------------------------------------------------------
Net Asset Value, End of Year. $ 11.53 $ 9.38 $ 9.30 $ 9.94 $ 10.25
============================ ========== ========== ========== ========== ==========
Total Return................. 25.86% 3.48% (4.15)% (0.25)% 22.88%
-------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................. $3,368,999 $2,407,348 $2,124,313 $1,995,500 $1,725,895
Ratio of Expenses to
Average Net Assets.......... 0.39% 0.45% 0.45% 0.45% 0.46%
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% 0.45% 0.45% 0.45% 0.46%
Ratio of Net Investment
Income to Average Net
Assets...................... 2.42% 2.57% 2.42% 2.71% 2.45%
Portfolio Turnover Rate...... 4% 7% 5% 8% 2%
-------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
47
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, seven of which (the "Portfolios"), are included in this
section of the report. The remaining ninety-three portfolios are presented in
separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946,
"Financial Services-Investment Companies."
Tax-Managed U.S. Marketwide Value Portfolio (the "Feeder Fund") primarily
invests its assets in The Tax-Managed U.S. Marketwide Value Series (the
"Series"), a corresponding series of The DFA Investment Trust Company. At
October 31, 2017, the Feeder Fund owned 73% of its Series.
The financial statements of the Series are included elsewhere in this report
and should be read in conjunction with the financial statements of the Feeder
Fund.
Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value
Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2
Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S.
Core Equity Portfolio each invests directly in securities.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S.
Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, and T.A. U.S.
Core Equity 2 Portfolio (the "Domestic Equity Portfolios") and Tax-Managed DFA
International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio (the
"International Equity Portfolios"), including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Domestic Equity Portfolios and the International Equity
Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
the Domestic Equity Portfolios and the International Equity Portfolios value
the securities within the range of the most recent quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is
48
primarily traded. Generally, securities issued by open-end management
investment companies are valued using their respective net asset values or
public offering prices, as appropriate, for purchase orders placed at the close
of the New York Stock Exchange (NYSE). These securities are generally
categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of Directors of
the Fund has determined that movements in relevant indices or other appropriate
market indicators, after the close of the Tokyo Stock Exchange or the London
Stock Exchange, demonstrate that market quotations may be unreliable. Fair
valuation of portfolio securities may occur on a daily basis. The fair value
pricing by the International Equity Portfolios utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the International Equity
Portfolios use fair value pricing, the values assigned to the foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
as Level 2 in the hierarchy.
Futures contracts held by the Portfolios are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy.
Tax-Managed U.S. Marketwide Value Portfolio's investment reflects its
proportionate interest in the net assets of the Series. These valuations are
classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings (except for the Feeder Fund). The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the 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 International Equity Portfolios whose values are initially
expressed in foreign currencies are translated to U.S. dollars using the mean
between the most recent bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked-to-market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized.
49
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in The Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of October 31, 2017, none of the Directors
have requested or received a distribution of proceeds of a deferred fee account.
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Expenses directly attributable
to a Portfolio are directly charged. Common expenses of the Fund or the
Portfolios are allocated using methods approved by the Board, generally based
on average net assets.
The Feeder Fund recognizes its pro-rata share of net investment income and
realized and unrealized gains/losses of investment securities, on a daily
basis, from its Series, which is treated as a partnership for federal income
tax purposes.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is a deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
T.A. World ex U.S. Core Equity Portfolio is subject to a 15% tax on
short-term capital gains for investments in India. Such taxes are due upon sale
of individual securities. The capital gains taxes are recognized when the
capital gains are earned.
50
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the 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:
INVESTMENT
MANAGEMENT FEES
- ---------------
Tax-Managed U.S. Marketwide Value Portfolio... 0.35%
Tax-Managed U.S. Equity Portfolio............. 0.20%
Tax-Managed U.S. Targeted Value Portfolio..... 0.42%
Tax-Managed U.S. Small Cap Portfolio.......... 0.50%
T.A. U.S. Core Equity 2 Portfolio............. 0.22%
Tax-Managed DFA International Value Portfolio. 0.50%
T.A. World ex U.S. Core Equity Portfolio(1)... 0.34%
(1) Effective February 28, 2017, the T.A. World ex U.S. Core Equity
Portfolio's investment management fee was reduced from 0.40% to 0.32%.
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees and in certain instances, assume certain expenses of the
Tax-Managed U.S. Equity Portfolio, T.A. U.S. Core Equity 2 Portfolio, and T.A.
World ex U.S. Core Equity Portfolio, as described in the notes below. The Fee
Waiver Agreement for the Portfolios below will remain in effect through
February 28, 2018, and may only be terminated by the Fund's Board of Directors
prior to that date. The Fee Waiver Agreement shall continue in effect from year
to year thereafter unless terminated by the Fund or the Advisor. Pursuant to a
Fee Waiver Agreement with the Feeder Fund, the Advisor has contractually agreed
to waive certain management fees paid by the Feeder Fund, as described in the
notes below. The Fee Waiver Agreement with the Feeder Fund will remain in
effect permanently, unless terminated by the Fund. For the year ended
October 31, 2017, the Portfolios listed had expense limits based on a
percentage of average net assets on an annualized basis, and the Advisor
recovered previously waived fees and/or expenses assumed as listed below
(amounts in thousands). Previously waived fees/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 Portfolios listed, is not obligated to reimburse the
Advisor for fees previously waived or expenses previously assumed by the
Advisor more than thirty-six months before the date of recovery.
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)
-------------------------- ---------- ---------------- ----------------- ---------------------
Tax-Managed U.S. Marketwide
Value Portfolio (1)............. 0.35% -- -- $9,093
Tax-Managed U.S. Equity
Portfolio (2)................... 0.22% $ 91 -- (81)
T.A. U.S. Core Equity 2 Portfolio
(3)............................. 0.30% -- -- --
T.A. World ex U.S. Core Equity
Portfolio(4).................... 0.39% 202 -- --
(1) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Feeder Fund to
the extent necessary to limit the total management fees paid to the Advisor by
the Feeder Fund, including the proportionate share of the management fees the
Feeder Fund pays indirectly through its investment in other funds managed by
the Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund (the
"Money Market Series"), to the rate listed above as a percentage of the average
net assets of a class of the Feeder Fund on an annualized basis.
51
(2) The Advisor has contractually agreed to waive its management fee and
assume the ordinary operating expenses of a class of the Tax-Managed U.S.
Equity Portfolio (excluding the expenses that the Portfolio incurs indirectly
through investment in other investment companies) ("Portfolio Expenses") to the
extent necessary to reduce the expenses of a class of the Portfolio when its
total operating expenses exceed the rate listed above as a percentage of the
average net assets of a class of the Portfolio on an annualized basis (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of the Portfolio are less than the Expense Limitation Amount for a class
of the Portfolio, the Advisor retains the right to recover any fees previously
waived and/or any expenses previously assumed to the extent that such recovery
will not cause the annualized Portfolio Expenses for such class of shares of
the Portfolio to exceed the Expense Limitation Amount.
(3) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of the
T.A. U.S. Core Equity 2 Portfolio (excluding the expenses that the Portfolio
incurs indirectly through investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a class
of the Portfolio to the rate listed above as a percentage of the average net
assets of a class of the Portfolio on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of a class of the
Portfolio are less than the Expense Limitation Amount for such class of shares
of the Portfolio, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery will
not cause the annualized Portfolio Expenses for such class of shares of the
Portfolio to exceed the applicable Expense Limitation Amount.
(4) The Advisor has agreed to waive all or a portion of its management fee
and to assume the expenses of a class of the T.A. World ex U.S. Core Equity
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in the Money Market Series and its investment in unaffiliated
investment companies) ("Portfolio Expenses") to the extent necessary to limit
the Portfolio Expenses of a class of the Portfolio to the rate listed above as
a percentage of the average net assets of a class of the Portfolio on an
annualized basis (the "Expense Limitation Amount"). Prior to January 1, 2017,
the Expense Limitation Amount was 0.60% of the average net assets of such class
of the Portfolio on an annualized basis. At any time that the Portfolio
Expenses of a class of the Portfolio are less than the Expense Limitation
Amount for a class of the Portfolio, the Advisor retains the right to recover
any fees previously waived and/or expenses previously assumed to the extent
that such recovery will not cause the annualized Portfolio Expenses for such
class of shares of the Portfolio to exceed the Expense Limitation Amount.
EARNED INCOME CREDIT:
In addition, certain Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of each Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the year ended October 31, 2017, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
Tax-Managed DFA International Value Portfolio. $228
T.A. World ex U.S. Core Equity Portfolio...... 88
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 to the CCO
by the Fund were $303 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
52
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):
Tax-Managed U.S. Marketwide Value Portfolio... $130
Tax-Managed U.S. Equity Portfolio............. 127
Tax-Managed U.S. Targeted Value Portfolio..... 132
Tax-Managed U.S. Small Cap Portfolio.......... 78
T.A. U.S. Core Equity 2 Portfolio............. 157
Tax-Managed DFA International Value Portfolio. 112
T.A. World ex U.S. Core Equity Portfolio...... 64
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2017, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
PURCHASES SALES
- --------- --------
Tax-Managed U.S. Equity Portfolio............. $367,236 $236,706
Tax-Managed U.S. Targeted Value Portfolio..... 883,436 626,818
Tax-Managed U.S. Small Cap Portfolio.......... 449,010 297,601
T.A. U.S. Core Equity 2 Portfolio............. 820,397 124,331
Tax-Managed DFA International Value Portfolio. 721,643 535,504
T.A. World ex U.S. Core Equity Portfolio...... 486,772 114,803
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/ INCOME
(LOSS) ON CHANGE IN FROM
PROCEEDS SALES OF UNREALIZED SHARES AFFILIATED
BALANCE AT PURCHASES FROM AFFILIATED APPRECIATION/ BALANCE AT AS OF INVESTMENT
10/31/16 AT COST SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES
- ---------- ---------- ---------- ---------- ------------- ---------- -------- ----------
TAX-MANAGED U.S. EQUITY
PORTFOLIO
DFA Short Term Investment
Fund...................... $235,747 $ 515,310 $ 621,529 $46 $(59) $129,515 11,193 $1,455
-------- ---------- ---------- --- ---- -------- ------ ------
Total...................... $235,747 $ 515,310 $ 621,529 $46 $(59) $129,515 11,193 $1,455
======== ========== ========== === ==== ======== ====== ======
TAX-MANAGED U.S. TARGETED
VALUE PORTFOLIO
DFA Short Term Investment
Fund...................... $532,461 $1,968,767 $1,974,729 $48 $(86) $526,461 45,498 $5,006
-------- ---------- ---------- --- ---- -------- ------ ------
Total...................... $532,461 $1,968,767 $1,974,729 $48 $(86) $526,461 45,498 $5,006
======== ========== ========== === ==== ======== ====== ======
TAX-MANAGED U.S. SMALL CAP
PORTFOLIO
DFA Short Term Investment
Fund...................... $462,987 $1,819,053 $1,806,340 $ 8 $(58) $475,650 41,107 $4,697
-------- ---------- ---------- --- ---- -------- ------ ------
Total...................... $462,987 $1,819,053 $1,806,340 $ 8 $(58) $475,650 41,107 $4,697
======== ========== ========== === ==== ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
- -------------
TAX-MANAGED U.S. EQUITY
PORTFOLIO
DFA Short Term Investment
Fund...................... --
--
Total...................... --
==
TAX-MANAGED U.S. TARGETED
VALUE PORTFOLIO
DFA Short Term Investment
Fund...................... --
--
Total...................... --
==
TAX-MANAGED U.S. SMALL CAP
PORTFOLIO
DFA Short Term Investment
Fund...................... --
--
Total...................... --
==
53
NET
REALIZED DIVIDEND
GAIN/ INCOME
(LOSS) ON CHANGE IN FROM
PROCEEDS SALES OF UNREALIZED SHARES AFFILIATED
BALANCE AT PURCHASES FROM AFFILIATED APPRECIATION/ BALANCE AT AS OF INVESTMENT
10/31/16 AT COST SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES
- ---------- ---------- ---------- ---------- ------------- ---------- -------- ----------
T.A. U.S. CORE EQUITY 2
PORTFOLIO
DFA Short Term Investment
Fund.......................... $706,220 $3,488,934 $3,362,421 $(49) $(68) $832,616 71,957 $7,254
-------- ---------- ---------- ---- ---- -------- ------ ------
Total.......................... $706,220 $3,488,934 $3,362,421 $(49) $(68) $832,616 71,957 $7,254
======== ========== ========== ==== ==== ======== ====== ======
TAX-MANAGED DFA
INTERNATIONAL VALUE PORTFOLIO
DFA Short Term Investment
Fund.......................... $ 49,318 $ 794,927 $ 817,383 $ (9) $ (6) $ 26,847 2,320 $ 493
-------- ---------- ---------- ---- ---- -------- ------ ------
Total.......................... $ 49,318 $ 794,927 $ 817,383 $ (9) $ (6) $ 26,847 2,320 $ 493
======== ========== ========== ==== ==== ======== ====== ======
T.A. WORLD EX U.S. CORE EQUITY
PORTFOLIO
DFA Short Term Investment
Fund.......................... $ 58,207 $ 253,882 $ 278,802 $ 4 $ (7) $ 33,284 2,877 $ 499
-------- ---------- ---------- ---- ---- -------- ------ ------
Total.......................... $ 58,207 $ 253,882 $ 278,802 $ 4 $ (7) $ 33,284 2,877 $ 499
======== ========== ========== ==== ==== ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
- -------------
T.A. U.S. CORE EQUITY 2
PORTFOLIO
DFA Short Term Investment
Fund.......................... --
--
Total.......................... --
==
TAX-MANAGED DFA
INTERNATIONAL VALUE PORTFOLIO
DFA Short Term Investment
Fund.......................... --
--
Total.......................... --
==
T.A. WORLD EX U.S. 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 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 net foreign
currency gains/losses, realized gains on securities considered to be "passive
foreign investment companies", non-deductible expenses, foreign capital gains
tax, tax equalization, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
Tax-Managed U.S. Marketwide Value Portfolio... $ 6,746 $(2,124) $(4,622)
Tax-Managed U.S. Equity Portfolio............. (1,006) (2,312) 3,318
Tax-Managed U.S. Targeted Value Portfolio..... 5,937 (1,150) (4,787)
Tax-Managed U.S. Small Cap Portfolio.......... 2,691 (553) (2,138)
T.A. U.S. Core Equity 2 Portfolio............. 3,198 (2,394) (804)
Tax-Managed DFA International Value Portfolio. 1,370 (846) (524)
T.A. World ex U.S. Core Equity Portfolio...... 1,222 23 (1,245)
54
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
-------------- ------------- --------
Tax-Managed U.S. Marketwide Value Portfolio
2016.......................................... $ 72,925 -- $ 72,925
2017.......................................... 82,721 $101,284 184,005
Tax-Managed U.S. Equity Portfolio
2016.......................................... 48,479 -- 48,479
2017.......................................... 52,066 -- 52,066
Tax-Managed U.S. Targeted Value Portfolio
2016.......................................... 43,823 128,582 172,405
2017.......................................... 43,922 127,982 171,904
Tax-Managed U.S. Small Cap Portfolio
2016.......................................... 22,739 94,184 116,923
2017.......................................... 22,983 54,088 77,071
T.A. U.S. Core Equity 2 Portfolio
2016.......................................... 104,283 166 104,449
2017.......................................... 115,587 231 115,818
Tax-Managed DFA International Value Portfolio
2016.......................................... 92,814 -- 92,814
2017.......................................... 99,420 -- 99,420
T.A. World ex U.S. Core Equity Portfolio
2016.......................................... 56,154 -- 56,154
2017.......................................... 68,459 -- 68,459
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
-------------- ------------- -------
Tax-Managed U.S. Marketwide Value Portfolio... $(2,378) $(4,368) $(6,746)
Tax-Managed U.S. Equity Portfolio............. (2,166) -- (2,166)
Tax-Managed U.S. Targeted Value Portfolio..... (1,158) (4,779) (5,937)
Tax-Managed U.S. Small Cap Portfolio.......... (580) (2,111) (2,691)
T.A. U.S. Core Equity 2 Portfolio............. (2,000) (1,198) (3,198)
Tax-Managed DFA International Value Portfolio. (1,370) -- (1,370)
T.A. World ex U.S. Core Equity Portfolio...... (1,222) -- (1,222)
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)
-------------- ------------- ------------- -------------- -------------
Tax-Managed U.S. Marketwide Value
Portfolio....................... $5,880 $151,391 -- $2,200,976 $2,358,247
Tax-Managed U.S. Equity Portfolio. 1,485 -- -- 1,561,081 1,562,566
55
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
Tax-Managed U.S. Targeted Value
Portfolio......................... $ 888 $182,085 -- $2,037,894 $2,220,867
Tax-Managed U.S. Small Cap
Portfolio......................... 212 82,063 -- 1,388,238 1,470,513
T.A. U.S. Core Equity 2 Portfolio... 6,404 67,321 -- 3,559,858 3,633,583
Tax-Managed DFA International Value
Portfolio......................... 13,608 -- $(38,372) 573,783 549,019
T.A. World ex U.S. Core Equity
Portfolio......................... 9,769 -- (44,688) 813,556 778,637
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 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
--------- -------
Tax-Managed U.S. Marketwide Value Portfolio... -- --
Tax-Managed U.S. Equity Portfolio............. -- --
Tax-Managed U.S. Targeted Value Portfolio..... -- --
Tax-Managed U.S. Small Cap Portfolio.......... -- --
T.A. U.S. Core Equity 2 Portfolio............. -- --
Tax-Managed DFA International Value Portfolio. $38,372 $38,372
T.A. World ex U.S. Core Equity Portfolio...... 44,688 44,688
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):
Tax-Managed U.S. Equity Portfolio............. $230,454
Tax-Managed DFA International Value Portfolio. 55,667
T.A. World ex U.S. Core Equity Portfolio...... 8,217
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)
---------- ------------ ------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio... $2,650,506 $2,200,976 -- $2,200,976
Tax-Managed U.S. Equity Portfolio............. 1,882,062 1,608,606 $ (47,524) 1,561,082
Tax-Managed U.S. Targeted Value Portfolio..... 3,221,803 2,098,816 (60,921) 2,037,895
Tax-Managed U.S. Small Cap Portfolio.......... 2,022,371 1,425,028 (36,817) 1,388,211
T.A. U.S. Core Equity 2 Portfolio............. 5,502,741 3,674,619 (114,761) 3,559,858
Tax-Managed DFA International Value Portfolio. 3,335,210 747,172 (173,389) 573,783
T.A. World ex U.S. Core Equity Portfolio...... 2,572,895 1,014,359 (200,803) 813,556
56
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
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. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. FUTURES CONTRACTS: The Portfolios may purchase or sell futures
contracts and options on futures contracts for equity securities and indices to
adjust market exposure based on actual or expected cash inflows to or outflows
from the Portfolios. The Portfolios, however, do not intend to sell futures
contracts to establish short positions in individual securities. Upon entering
into a futures contract, the Portfolios deposit cash or pledge U.S. government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Portfolio as unrealized gains
or losses until the contracts are closed. When the contracts are closed, the
Portfolio records a realized gain or loss, which is presented in the Statements
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
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.
3. FORWARD CURRENCY CONTRACTS: The T.A. World ex U.S. Core Equity Portfolio
may acquire and sell forward currency contracts to hedge against adverse
changes in the relationship of the U.S. dollar to foreign currencies (foreign
exchange rate risk). The decision to hedge the T.A. World ex U.S. Core Equity
Portfolio's currency exposure with respect to a foreign market will be based
primarily on the Portfolio's existing exposure to a given foreign currency.
Each contract is valued daily and the change in value is recorded by the T.A.
World ex U.S. Core Equity Portfolio as an unrealized gain or loss, which is
presented in the 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
T.A. World ex U.S. Core Equity Portfolio records a
57
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.
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
-------
Tax-Managed U.S. Equity Portfolio............. $18,784
Tax-Managed DFA International Value Portfolio. 22,582
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
--------------- ----------------------------------------------------
Equity contracts Receivables: Futures
Margin Variation
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 AT EQUITY
OCTOBER 31, 2017 CONTRACTS*
---------------- ----------
Tax-Managed DFA International Value Portfolio. $660 $660
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings for 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 Portfolios' 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
------ ---------
Tax-Managed U.S. Marketwide Value Portfolio*(1). $ 56 $ 56
Tax-Managed U.S. Equity Portfolio*.............. 3,359 3,359
Tax-Managed U.S. Targeted Value Portfolio*...... 1,430 1,430
Tax-Managed U.S. Small Cap Portfolio*........... 294 294
Tax-Managed DFA International Value Portfolio... 3,348 3,348
58
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------------
EQUITY
TOTAL CONTRACTS
------ ---------
Tax-Managed U.S. Equity Portfolio*............ $ 507 $ 507
Tax-Managed DFA International Value Portfolio. 1,460 1,460
* 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 Series.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
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
------------- ------------ ------------ -------- ---------------
Tax-Managed U.S. Targeted Value
Portfolio.............................. 1.41% $1,390 5 $(1) $1,985
Tax-Managed U.S. Small Cap Portfolio..... 1.41% 2,770 5 1 3,398
T.A. World ex U.S. Core Equity Portfolio. 1.64% 1,236 9 1 2,220
* 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.
59
The Portfolios 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 Portfolios pursuant to procedures adopted by the Board of Directors of the
Fund to ensure compliance with Rule17a-7 under the Investment Company Act of
1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors/trustees and/or common officers. At its
regularly scheduled meetings, the Board reviews such transactions for
compliance with the requirements and restrictions set forth by Rule 17a-7 under
the 1940 Act.
For the year ended October 31, 2017, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
REALIZED
GAIN
PORTFOLIO PURCHASES SALES (LOSS)
--------- --------- -------- --------
Tax-Managed U.S. Equity Portfolio............. $ 34,380 $ 2,964 $ 1,833
Tax-Managed U.S. Targeted Value Portfolio..... 55,186 130,758 (6,397)
Tax-Managed U.S. Small Cap Portfolio.......... 50,015 98,322 (5,964)
T.A. U.S. Core Equity 2 Portfolio............. 118,696 23,953 (3,996)
Tax-Managed DFA International Value Portfolio. 39,345 31,034 868
T.A. World ex U.S. Core Equity Portfolio...... 19,847 5,287 849
J. SECURITIES LENDING:
As of October 31, 2017, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolios received cash collateral. In
addition, the following Portfolios received non-cash collateral consisting of
short-and/or long-term U.S. Treasuries and U.S. government agency securities as
follows (amounts in thousands):
MARKET
VALUE
--------
Tax-Managed U.S. Equity Portfolio............. $132,933
Tax-Managed U.S. Targeted Value Portfolio..... 310,484
Tax-Managed U.S. Small Cap Portfolio.......... 217,258
T.A. U.S. Core Equity 2 Portfolio............. 512,186
Tax-Managed DFA International Value Portfolio. 36,434
T.A. World ex U.S. Core Equity Portfolio...... 20,813
Each Portfolio with securities on loan invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral in an amount (i) equal to at least
100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) generally equal to 102%
of the current market value of the loaned securities with respect to U.S.
securities, and (iii) generally equal to 105% of the current market value of
the loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolios' collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities. In the event of the bankruptcy of the borrower, a Portfolio
could experience delay in recovering the loaned securities or only recover cash
or a security of equivalent value.
60
Subject to their stated investment policies, the Portfolios with securities
on loan will generally invest the cash collateral received for the loaned
securities in The DFA Short Term Investment Fund (the "Money Market Series"),
an affiliated registered money market fund advised by the Advisor for which the
Advisor receives a management fee of 0.05% of the average daily net assets of
the Money Market Series. 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. Such Portfolios also may invest
the cash collateral received for the loaned securities in securities of the
U.S. government or its agencies, repurchase agreements collateralized by
securities of the U.S. government or its agencies, and affiliated and
unaffiliated registered and unregistered money market funds. For purposes of
this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, each Portfolio with securities on loan
will be able to terminate the loan at any time and will receive reasonable
interest on the loan, as well as amounts equal to any dividends, interest or
other distributions on the loaned securities. However, dividend income received
from loaned securities may not be eligible to be taxed at qualified dividend
income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of 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
TAX-MANAGED U.S. EQUITY PORTFOLIO
Common Stocks, Rights/Warrants........... $129,514,846 -- -- -- $129,514,846
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Common Stocks............................ 526,461,225 -- -- -- 526,461,225
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Common Stocks............................ 475,650,182 -- -- -- 475,650,182
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants........... 832,615,755 -- -- -- 832,615,755
TAX-MANAGED DFA INTERNATIONAL VALUE
PORTFOLIO
Common Stocks............................ 26,847,228 -- -- -- 26,847,228
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Common Stocks............................ 33,284,324 -- -- -- 33,284,324
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. 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
61
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, the following number of shareholders held the following
approximate percentages of the Portfolios' outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio... 3 91%
Tax-Managed U.S. Equity Portfolio............. 3 89%
Tax-Managed U.S. Targeted Value Portfolio..... 3 96%
Tax-Managed U.S. Small Cap Portfolio.......... 3 93%
T.A. U.S. Core Equity 2 Portfolio............. 3 90%
Tax-Managed DFA International Value Portfolio. 3 94%
T.A. World ex U.S. Core Equity Portfolio...... 3 89%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The Tax-Managed U.S. Marketwide Value Series has been named as a defendant
in a multi-district litigation pending in the United States District Court for
the Southern District of New York (the "Court"), captioned IN RE TRIBUNE
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The Tax-Managed U.S. Marketwide Value Series, sold Tribune shares
back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee (the "Trustee") on
behalf of the committee of unsecured creditors of Tribune (the "Committee
Action," and with the Individual Creditor Actions, collectively referred to as
the "Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as
fraudulent transfers and recover the stock repurchase proceeds paid to the
Tribune shareholders who participated in the LBO. On September 23, 2013, the
Court entered an order dismissing the Individual Creditor Actions in their
entirety on the grounds that the individual creditor plaintiffs lack standing
to pursue their claims. The parties appealed the Court's dismissal order to the
United States Court of Appeals for the Second Circuit (the "Second Circuit"),
and, on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on
the grounds that the individual creditor plaintiffs' claims are preempted by
the Bankruptcy Code's safe harbor for securities transactions. The individual
creditor plaintiffs have petitioned the Supreme Court of the United States to
review the Second Circuit's ruling, and that petition is pending. On January 6,
2017, the Court granted the shareholder defendant's motion to dismiss the
claims against them in the Committee Action. The Trustee requested that the
Court certify the dismissal order for appeal to the Second Circuit, and the
District Court advised that it will certify the dismissal order for appeal
after it rules on the additional pending motions to dismiss (not involving the
shareholder defendants).
Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the
Lawsuits has advised management that it does not believe that it is possible,
at this early stage in the proceedings, to predict with any reasonable
certainty the probable outcome of the Lawsuits or quantify the ultimate
exposure to The Tax-Managed U.S. Marketwide Value Series arising from the
Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The Tax-Managed U.S. Marketwide Value
Series will be made relating to the
62
Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the
full recovery the plaintiffs seek, the amount would be less than 1% of the net
asset value of The Tax-Managed U.S. Marketwide Value Series at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be borne by The Tax-Managed U.S.
Marketwide Value Series as incurred and in a manner similar to any other
expenses incurred by The Tax-Managed U.S. Marketwide Value Series.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
63
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 schedule 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 Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S.
Equity Portfolio, Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S.
Small Cap Portfolio, T.A. U.S. Core Equity 2 Portfolio, Tax-Managed DFA
International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio
(seven 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 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 custodians,
broker and transfer agents of the investee funds, provide a reasonable basis
for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
64
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The Tax-Managed U.S. Marketwide Russell 3000/R/
Value Series Value Index
------------------------------- -------------------
10/2007 $10,000 $10,000
11/2007 $9,413 $9,490
12/2007 $9,374 $9,399
01/2008 $9,003 $9,022
02/2008 $8,676 $8,646
03/2008 $8,517 $8,596
04/2008 $8,999 $9,003
05/2008 $9,201 $9,014
06/2008 $8,185 $8,151
07/2008 $8,122 $8,156
08/2008 $8,286 $8,315
09/2008 $7,583 $7,723
10/2008 $5,888 $6,368
11/2008 $5,306 $5,888
12/2008 $5,484 $5,992
01/2009 $4,771 $5,289
02/2009 $4,131 $4,581
03/2009 $4,564 $4,973
04/2009 $5,354 $5,527
05/2009 $5,758 $5,850
06/2009 $5,676 $5,809
07/2009 $6,259 $6,300
08/2009 $6,673 $6,627
09/2009 $6,972 $6,889
10/2009 $6,639 $6,658
11/2009 $6,948 $7,021
12/2009 $7,203 $7,176
01/2010 $7,000 $6,974
02/2010 $7,323 $7,202
03/2010 $7,901 $7,682
04/2010 $8,209 $7,909
05/2010 $7,506 $7,257
06/2010 $6,933 $6,830
07/2010 $7,487 $7,294
08/2010 $6,996 $6,963
09/2010 $7,694 $7,520
10/2010 $7,992 $7,750
11/2010 $8,012 $7,728
12/2010 $8,767 $8,341
01/2011 $8,984 $8,514
02/2011 $9,490 $8,838
03/2011 $9,552 $8,880
04/2011 $9,779 $9,109
05/2011 $9,624 $9,007
06/2011 $9,456 $8,819
07/2011 $9,056 $8,527
08/2011 $8,300 $7,977
09/2011 $7,458 $7,352
10/2011 $8,498 $8,211
11/2011 $8,430 $8,170
12/2011 $8,517 $8,332
01/2012 $8,960 $8,666
02/2012 $9,432 $8,994
03/2012 $9,634 $9,262
04/2012 $9,456 $9,164
05/2012 $8,792 $8,625
06/2012 $9,254 $9,052
07/2012 $9,336 $9,132
08/2012 $9,687 $9,336
09/2012 $10,034 $9,635
10/2012 $10,067 $9,583
11/2012 $10,130 $9,581
12/2012 $10,424 $9,794
01/2013 $11,112 $10,427
02/2013 $11,286 $10,574
03/2013 $11,844 $10,995
04/2013 $11,926 $11,147
05/2013 $12,316 $11,437
06/2013 $12,244 $11,340
07/2013 $12,990 $11,962
08/2013 $12,605 $11,502
09/2013 $13,067 $11,820
10/2013 $13,683 $12,327
11/2013 $14,251 $12,681
12/2013 $14,646 $12,996
01/2014 $14,068 $12,531
02/2014 $14,584 $13,075
03/2014 $14,800 $13,376
04/2014 $14,834 $13,465
05/2014 $15,185 $13,654
06/2014 $15,575 $14,029
07/2014 $15,335 $13,741
08/2014 $15,898 $14,253
09/2014 $15,494 $13,907
10/2014 $15,758 $14,269
11/2014 $15,965 $14,533
12/2014 $16,124 $14,646
01/2015 $15,315 $14,058
02/2015 $16,428 $14,737
03/2015 $16,269 $14,571
04/2015 $16,437 $14,671
05/2015 $16,688 $14,843
06/2015 $16,514 $14,571
07/2015 $16,562 $14,597
08/2015 $15,518 $13,739
09/2015 $15,031 $13,320
10/2015 $16,221 $14,304
11/2015 $16,249 $14,386
12/2015 $15,705 $14,041
01/2016 $14,704 $13,298
02/2016 $14,670 $13,302
03/2016 $15,701 $14,272
04/2016 $16,095 $14,572
05/2016 $16,283 $14,801
06/2016 $16,264 $14,923
07/2016 $16,707 $15,384
08/2016 $16,880 $15,522
09/2016 $16,957 $15,501
10/2016 $16,673 $15,241
11/2016 $17,944 $16,198
12/2016 $18,430 $16,624
01/2017 $18,652 $16,723
02/2017 $19,162 $17,295
03/2017 $19,003 $17,122
04/2017 $19,186 $17,097
05/2017 $19,119 $17,040
06/2017 $19,442 $17,342
07/2017 $19,735 $17,564
08/2017 $19,552 $17,342 Past performance is not predictive of
09/2017 $20,265 $17,908 future performance.
10/2017 $20,443 $18,030 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
22.61% 15.22% 7.41% reserved.
--------------------------------------------------------------------------------
65
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 IndexSM........... 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.
TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
The Tax-Managed U.S. Marketwide Value Series invests in a broadly
diversified group of U.S. low relative price (value) stocks while considering
the federal tax implications of investment decisions. Value is measured
primarily by book-to-market ratio. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2017, the Series held
approximately 900 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 22.61% for the
Series and 18.30% for the Russell 3000(R) Value Index, the Series' benchmark.
As a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. Exclusive of real estate investment
trusts (REITs) and certain utilities, the Series' greater focus on low relative
price (value) stocks benefited performance relative to the benchmark, as the
lowest relative price (deep value) stocks in the benchmark outperformed for the
period. 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.
66
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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,065.50 0.21% $1.09
Hypothetical 5% Annual Return................ $1,000.00 $1,024.15 0.21% $1.07
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
67
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.
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Consumer Discretionary....................... 14.8%
Consumer Staples............................. 7.6%
Energy....................................... 12.1%
Financials................................... 23.8%
Health Care.................................. 12.3%
Industrials.................................. 11.7%
Information Technology....................... 12.2%
Materials.................................... 1.8%
Telecommunication Services................... 3.6%
Utilities.................................... 0.1%
-----
100.0%
68
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (98.3%)
Consumer Discretionary -- (14.6%)
* Charter Communications, Inc. Class A... 339,394 $ 113,415,293 1.7%
Comcast Corp. Class A.................. 7,221,594 260,194,032 3.9%
Ford Motor Co.......................... 2,865,869 35,164,213 0.5%
General Motors Co...................... 1,095,598 47,088,802 0.7%
Royal Caribbean Cruises, Ltd........... 322,500 39,915,825 0.6%
Time Warner, Inc....................... 1,534,860 150,861,389 2.3%
Twenty-First Century Fox, Inc. Class A. 1,287,383 33,665,065 0.5%
Other Securities....................... 308,268,621 4.6%
-------------- -----
Total Consumer Discretionary............... 988,573,240 14.8%
-------------- -----
Consumer Staples -- (7.4%)
Archer-Daniels-Midland Co.............. 813,476 33,246,764 0.5%
CVS Health Corp........................ 1,510,745 103,531,355 1.6%
Mondelez International, Inc. Class A... 2,081,099 86,219,932 1.3%
Wal-Mart Stores, Inc................... 1,266,497 110,577,853 1.7%
Walgreens Boots Alliance, Inc.......... 725,538 48,081,403 0.7%
Other Securities....................... 122,752,296 1.8%
-------------- -----
Total Consumer Staples..................... 504,409,603 7.6%
-------------- -----
Energy -- (11.9%)
Chevron Corp........................... 1,102,451 127,763,046 1.9%
ConocoPhillips......................... 1,489,306 76,178,002 1.2%
Exxon Mobil Corp....................... 2,900,873 241,787,765 3.6%
Marathon Petroleum Corp................ 903,936 54,001,137 0.8%
Phillips 66............................ 775,455 70,628,441 1.1%
Schlumberger, Ltd...................... 603,242 38,607,488 0.6%
Valero Energy Corp..................... 605,899 47,799,372 0.7%
Other Securities....................... 146,943,475 2.2%
-------------- -----
Total Energy............................... 803,708,726 12.1%
-------------- -----
Financials -- (23.4%)
American International Group, Inc...... 665,461 42,995,435 0.7%
Bank of America Corp................... 5,929,137 162,399,062 2.4%
Bank of New York Mellon Corp. (The).... 732,922 37,708,837 0.6%
Capital One Financial Corp............. 372,872 34,371,341 0.5%
Citigroup, Inc......................... 1,870,326 137,468,961 2.1%
Goldman Sachs Group, Inc. (The)........ 209,155 50,715,904 0.8%
JPMorgan Chase & Co.................... 2,748,095 276,485,838 4.2%
MetLife, Inc........................... 949,912 50,896,285 0.8%
Morgan Stanley......................... 1,102,617 55,130,850 0.8%
Prudential Financial, Inc.............. 497,625 54,967,657 0.8%
Wells Fargo & Co....................... 3,062,801 171,945,648 2.6%
Other Securities....................... 507,281,803 7.4%
-------------- -----
Total Financials........................... 1,582,367,621 23.7%
-------------- -----
Health Care -- (12.0%)
Abbott Laboratories.................... 915,297 49,636,556 0.8%
Aetna, Inc............................. 558,462 94,955,294 1.4%
Anthem, Inc............................ 504,640 105,575,734 1.6%
Danaher Corp........................... 405,225 37,390,111 0.6%
Humana, Inc............................ 236,814 60,470,455 0.9%
Medtronic P.L.C........................ 814,175 65,557,371 1.0%
Pfizer, Inc............................ 4,178,729 146,506,239 2.2%
69
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc................................. 499,520 $ 96,821,962 1.5%
Other Securities.............................................. 158,668,446 2.2%
-------------- ------
Total Health Care................................................... 815,582,168 12.2%
-------------- ------
Industrials -- (11.6%)
CSX Corp...................................................... 1,242,950 62,681,968 1.0%
General Electric Co........................................... 2,120,584 42,750,973 0.7%
Norfolk Southern Corp......................................... 545,229 71,653,995 1.1%
Southwest Airlines Co......................................... 645,761 34,780,687 0.5%
Union Pacific Corp............................................ 888,128 102,836,341 1.6%
United Technologies Corp...................................... 357,152 42,772,524 0.7%
Other Securities.............................................. 424,562,850 6.1%
-------------- ------
Total Industrials................................................... 782,039,338 11.7%
-------------- ------
Information Technology -- (12.0%)
Activision Blizzard, Inc...................................... 982,162 64,321,789 1.0%
Cisco Systems, Inc............................................ 4,715,767 161,043,443 2.4%
Intel Corp.................................................... 4,978,195 226,458,091 3.4%
#* Micron Technology, Inc........................................ 789,853 34,998,386 0.5%
QUALCOMM, Inc................................................. 1,059,256 54,032,649 0.8%
Other Securities.............................................. 274,534,469 4.1%
-------------- ------
Total Information Technology........................................ 815,388,827 12.2%
-------------- ------
Materials -- (1.8%)
Other Securities.............................................. 118,654,927 1.8%
-------------- ------
Real Estate -- (0.0%)
Other Securities.............................................. 3,170,704 0.1%
-------------- ------
Telecommunication Services -- (3.5%)
# AT&T, Inc..................................................... 6,369,205 214,323,748 3.2%
Other Securities.............................................. 25,099,426 0.4%
-------------- ------
Total Telecommunication Services.................................... 239,423,174 3.6%
-------------- ------
Utilities -- (0.1%)
Other Securities.............................................. 3,715,934 0.1%
-------------- ------
TOTAL COMMON STOCKS................................................. 6,657,034,262 99.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 162,725 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 6,657,196,987
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 4,529,115 4,529,115 0.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (1.6%)
(S)@ DFA Short Term Investment Fund................................ 9,416,487 108,958,173 1.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,699,158,691) $6,770,684,275 101.6%
============== ======
70
THE TAX-MANAGED U.S. MARKETWIDE 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
Consumer Discretionary...... $ 988,573,240 -- -- $ 988,573,240
Consumer Staples............ 504,409,603 -- -- 504,409,603
Energy...................... 803,708,726 -- -- 803,708,726
Financials.................. 1,582,367,621 -- -- 1,582,367,621
Health Care................. 815,582,168 -- -- 815,582,168
Industrials................. 782,039,338 -- -- 782,039,338
Information Technology...... 815,388,827 -- -- 815,388,827
Materials................... 118,654,927 -- -- 118,654,927
Real Estate................. 3,170,704 -- -- 3,170,704
Telecommunication Services.. 239,423,174 -- -- 239,423,174
Utilities................... 3,715,934 -- -- 3,715,934
Rights/Warrants............... -- $ 162,725 -- 162,725
Temporary Cash Investments.... 4,529,115 -- -- 4,529,115
Securities Lending Collateral. -- 108,958,173 -- 108,958,173
-------------- ------------ -- --------------
TOTAL......................... $6,661,563,377 $109,120,898 -- $6,770,684,275
============== ============ == ==============
See accompanying Notes to Financial Statements.
71
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $207,829 of securities on loan)*............................... $6,657,197
Temporary Cash Investments at Value & Cost..................................................... 4,529
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $108,953). 108,958
Receivables:
Dividends and Interest....................................................................... 6,826
Securities Lending Income.................................................................... 65
----------
Total Assets.............................................................................. 6,777,575
----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 108,928
Due to Advisor............................................................................... 1,129
Accrued Expenses and Other Liabilities......................................................... 422
----------
Total Liabilities......................................................................... 110,479
----------
NET ASSETS..................................................................................... $6,667,096
==========
Investments at Cost............................................................................ $3,585,676
==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
72
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES#
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $6)............... $ 138,879
Income from Securities Lending................................ 678
----------
Total Investment Income.................................... 139,557
----------
EXPENSES
Investment Management Fees.................................... 12,494
Accounting & Transfer Agent Fees.............................. 279
Custodian Fees................................................ 67
Directors'/Trustees' Fees & Expenses.......................... 62
Professional Fees............................................. 94
Other......................................................... 153
----------
Total Expenses............................................. 13,149
----------
Net Expenses.................................................. 13,149
----------
NET INVESTMENT INCOME (LOSS).................................. 126,408
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 218,751
Affiliated Investment Companies Shares Sold................. 22
Futures..................................................... 77
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................... 896,370
Affiliated Investment Companies Shares...................... (29)
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 1,115,191
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $1,241,599
==========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
73
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE TAX-MANAGED U.S.
MARKETWIDE VALUE SERIES
----------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 126,408 $ 109,377
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 218,751 194,648
Affiliated Investment Companies Shares Sold......................... 22 --
Futures............................................................. 77 5,998
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................... 896,370 (153,025)
Affiliated Investment Companies Shares.............................. (29) --
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 1,241,599 156,998
---------- ----------
Transactions in Interest:
Contributions......................................................... 176,018 280,866
Withdrawals........................................................... (288,925) (247,872)
---------- ----------
Net Increase (Decrease) from Transactions in Interest.............. (112,907) 32,994
---------- ----------
Total Increase (Decrease) in Net Assets............................ 1,128,692 189,992
NET ASSETS
Beginning of Year..................................................... 5,538,404 5,348,412
---------- ----------
End of Year........................................................... $6,667,096 $5,538,404
========== ==========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
74
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------
Total Return......................................... 22.61% 2.79% 2.93% 15.17% 35.92%
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......................... $6,667,096 $5,538,404 $5,348,412 $5,143,977 $4,389,755
Ratio of Expenses to Average Net Assets.............. 0.21% 0.21% 0.21% 0.21% 0.21%
Ratio of Net Investment Income to Average Net Assets. 2.02% 2.05% 1.82% 1.61% 1.82%
Portfolio Turnover Rate.............................. 7% 9% 6% 2% 5%
-----------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
75
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, one of which, The Tax-Managed
U.S. Marketwide Value Series (the "Series"), is presented in this section of
the report. The remaining ten operational portfolios are presented in separate
reports. The Series is an investment company, and accordingly, follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities within the range of the most recent quoted bid and
asked prices. Price information on listed securities is taken from the exchange
where the security is primarily traded. Generally, securities issued by
open-end management investment companies are valued using their respective net
asset values or public offering prices, as appropriate, for purchase orders
placed at the close of the New York Stock Exchange (NYSE). These securities are
generally categorized as Level 1 in the hierarchy. Futures contracts held by
the Series are valued using the settlement price established each day on the
exchange on which they are traded. These valuations are generally categorized
as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
76
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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. 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. 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 $181 (in thousands).
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Trust; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of October 31, 2017, none of the Trustees have requested
or received a distribution of proceeds of a deferred fee account.
3. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are accounted for on the basis of identified cost. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimates the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or its Series are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 2017, the Series'
investment management fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.20% of average daily net assets of the
Series.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and 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 the Series
is included in Other Expenses on the Statement of Operations.
77
D. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2017, the Series made the following purchases
and sales of investment securities, other than short-term securities and U.S.
government securities (amounts in thousands):
PURCHASES SALES
--------- --------
The Tax-Managed U.S. Marketwide Value Series. $507,651 $433,018
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
---------- ---------- ---------- ------------ ------------- ---------- ------------ ----------- -------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
DFA Short Term
Investment Fund. $304,658 $1,048,404 $1,244,097 $22 $(29) $108,958 9,416 $1,211 --
-------- ---------- ---------- --- ---- -------- ----- ------ --
TOTAL $304,658 $1,048,404 $1,244,097 $22 $(29) $108,958 9,416 $1,211 --
E. FEDERAL INCOME TAXES:
The Series is treated as a partnership for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net
investment income and realized and unrealized gains and losses have been deemed
to have been "passed down" to its partners.
At 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 Tax-Managed U.S. Marketwide Value Series. $3,699,159 $3,155,503 $(83,977) $3,071,526
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
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 the Series' financial statements. The Series is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
1. Futures Contracts: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows
78
from the Series. The Series, however, does not intend to sell futures contracts
to establish short positions in individual securities. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Series as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Series records a realized gain or loss, which is presented in the Statements of
Operations as a net realized gain or loss on futures, equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series will be subject to equity price risk
when entering into stock index futures. Counterparty credit risk related to
exchange-traded futures is minimal because the exchange's clearinghouse, as
counterparty to all exchange-traded futures, guarantees the futures against
default.
The following is a summary of the location on the Series' Statement of
Operations of realized and change in unrealized gains and losses from the
Series' derivative instrument holdings through the year ended October 31, 2017:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME
--------------- -----------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS*
----- ----------
The Tax-Managed U.S. Marketwide Value Series*. $77 $77
* As of October 31, 2017, there were no futures contracts outstanding. During
the year ended October 31, 2017, the Series had limited activity in futures
contracts.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
79
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
AVERAGE AVERAGE DAYS EXPENSE
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED
------------- ------------ ------------ --------
The Tax-Managed U.S. Marketwide Value Series.................................... 1.53% $3,894 23 $4
MAXIMUM AMOUNT
BORROWED DURING
THE PERIOD
---------------
The Tax-Managed U.S. Marketwide Value Series.................................... $6,845
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2017, that the Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of 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.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not utilize the interfund lending program during the year
ended October 31, 2017.
H. 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 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 Tax-Managed U.S. Marketwide Value Series. $55,950 $11,114 $3,280
I. SECURITIES LENDING:
As of October 31, 2017, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. In addition,
the Series received non-cash collateral consisting of short and/or long term
U.S. Treasuries and U.S. government agency securities with a market value of
$102,227 (in thousands). The Series invests the cash collateral, as described
below, and records a liability for the return of the collateral, during the
period the securities are on loan. Loans of securities are expected at all
times to be secured by collateral in an amount (i) equal to at least 100% of
the current market value of the loaned securities with respect to securities of
the U.S. government or its agencies, (ii) generally equal to 102% of the
current market value of the loaned securities with respect to U.S. securities,
and (iii) generally equal to 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to
80
return loaned securities, and cash collateral being maintained by the borrower
is insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Series could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in The 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 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, the Series will be able to terminate the loan at any time and will
receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible to be taxed
at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of 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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Common Stocks, Rights/Warrants. $108,958,173 -- -- -- $108,958,173
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that contain a variety of representations and warranties that provide
general indemnification. The Trust's maximum exposure under these arrangements
is unknown as this would involve future claims that may be made against the
Trust and/or its affiliates that have not yet occurred. However, based on
experience, the Trust expects the risk of loss to be remote.
K. 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. OTHER:
The Series is subject to claims and suits that arise from time to time in
the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
81
The Tax-Managed U.S. Marketwide Value Series has been named as a defendant
in a multi-district litigation pending in the United States District Court for
the Southern District of New York (the "Court"), captioned IN RE TRIBUNE
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The Tax-Managed U.S. Marketwide Value Series, sold Tribune shares
back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee (the "Trustee") on
behalf of the committee of unsecured creditors of Tribune (the "Committee
Action," and with the Individual Creditor Actions, collectively referred to as
the "Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as
fraudulent transfers and recover the stock repurchase proceeds paid to the
Tribune shareholders who participated in the LBO. On September 23, 2013, the
Court entered an order dismissing the Individual Creditor Actions in their
entirety on the grounds that the individual creditor plaintiffs lack standing
to pursue their claims. The parties appealed the Court's dismissal order to the
United States Court of Appeals for the Second Circuit (the "Second Circuit"),
and, on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on
the grounds that the individual creditor plaintiffs' claims are preempted by
the Bankruptcy Code's safe harbor for securities transactions. The individual
creditor plaintiffs have petitioned the Supreme Court of the United States to
review the Second Circuit's ruling, and that petition is pending. On January 6,
2017, the Court granted the shareholder defendant's motion to dismiss the
claims against them in the Committee Action. The Trustee requested that the
Court certify the dismissal order for appeal to the Second Circuit and the
District Court advised that it will certify the dismissal order for appeal
after it rules on the additional pending motions to dismiss (not involving the
shareholder defendants).
Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the
Lawsuits has advised management that it does not believe that it is possible,
at this early stage in the proceedings, to predict with any reasonable
certainty the probable outcome of the Lawsuits or quantify the ultimate
exposure to The Tax-Managed U.S. Marketwide Value Series arising from the
Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The Tax-Managed U.S. Marketwide Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The Tax-Managed U.S.
Marketwide Value Series at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be borne by The Tax-Managed U.S.
Marketwide Value Series as incurred and in a manner similar to any other
expenses incurred by The Tax-Managed U.S. Marketwide Value Series.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the 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.
82
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of The Tax-Managed U.S. Marketwide Value Series
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 The Tax-Managed
U.S. Marketwide Value Series (one of the portfolios constituting The DFA
Investment Trust Company, hereafter referred to as the "Series") 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 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 custodian and the
transfer agent of the investee fund, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
83
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.
84
OTHER
TERM OF PORTFOLIOS WITHIN DIRECTORSHIPS OF
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND PUBLIC COMPANIES
AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
-------------------------------------------------------------------------------------------------------------------------------
George M. Director of DFAIDG-Since Leo Melamed Professor of 126 portfolios in None
Constantinides DFAIDG and DIG 1983 Finance, University of Chicago 4 investment
University of Trustee of DIG-Since 1993 Booth School of Business companies
Chicago Booth DFAITC and DFAITC-Since (since 1978).
School of Business DEM 1992
5807 S. Woodlawn DEM-Since 1993
Avenue
Chicago, IL 60637
1947
-------------------------------------------------------------------------------------------------------------------------------
Douglas W. Director of DFAIDG-Since Merton H. Miller Distinguished 126 portfolios in None
Diamond DFAIDG and DIG June 2017 Service Professor of Finance, 4 investment
University of Trustee of DIG-Since June University of Chicago Booth companies
Chicago Booth DFAITC and 2017 School of Business (since
School of DEM DFAITC-Since 1988). Visiting Scholar, Federal
Business June 2017 Reserve Bank of Richmond
5807 S. Woodlawn DEM-Since June (since 1990). Formerly, Fischer
Avenue 2017 Black Visiting Professor of
Chicago, IL 60637 Financial Economics, Alfred P.
1953 Sloan School of Management,
Massachusetts Institute of
Technology (2015 to 2016).
-------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Director of DFAIDG-Since Professor in Practice Emeritus 126 portfolios in None
Yale School of DFAIDG and DIG 1981 of Finance, Yale School of 4 investment
Management Trustee of DIG-Since 1993 Management (since 1984). companies
P.O. Box 208200 DFAITC and DFAITC-Since Chairman, CIO and Partner,
New Haven, CT DEM 1992 Zebra Capital Management,
06520-8200 DEM-Since 1993 LLC (hedge fund and asset
1943 manager) (since 2001).
Formerly, Consultant to
Morningstar, Inc. (2006-2016).
-------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Director of DFAIDG-Since Distinguished Visiting Fellow, 126 portfolios in None
Stanford University DFAIDG and DIG 2010 Becker Friedman Institute for 4 investment
Graduate School Trustee of DIG- Since 2010 Research in Economics, companies
of Business DFAITC and DFAITC-Since University of Chicago (since
Knight DEM 2010 2015). Morris Arnold Cox
Management DEM-Since 2010 Senior Fellow, Hoover
Center, E346 Institution (since 2002). Jack
Stanford, CA Steele Parker Professor of
94305 Human Resources
1948 Management and Economics,
Graduate School of Business,
Stanford University (since
1995). Cornerstone Research
(expert testimony and
economic and financial
analysis) (since 2009).
-------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Director of DFAIDG-Since Chief Investment Strategist, 126 portfolios in Formerly, Adviser,
c/o Dimensional DFAIDG and DIG 1981 Janus Henderson Investors 4 investment Kuapay, Inc.
Fund Advisors LP Trustee of DIG-Since 1993 (since 2014). Frank E. Buck companies (2013-2014).
6300 Bee Cave DFAITC and DFAITC-Since Professor of Finance, Emeritus, Formerly, Director,
Road, Building DEM 1992 Graduate School of Business, American Century
One DEM-Since 1993 Stanford University (since Fund Complex
Austin, TX 78746 1981). (registered
1941 investment
companies) (43
Portfolios) (1980-
2014).
85
OTHER
TERM OF PORTFOLIOS WITHIN DIRECTORSHIPS OF
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND PUBLIC COMPANIES
AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Director of DFAIDG-Since Boris and Irene Stern 126 portfolios in Lead Director,
University of DFAIDG and DIG 2000 Distinguished Service 4 investment (beginning May
Chicago Booth Trustee of DIG-Since 2000 Professor of Accounting, companies 2014) and Director
School of DFAITC and DFAITC-Since University of Chicago Booth (since 2000), HNI
Business DEM 2000 School of Business (since Corporation
5807 S. Woodlawn DEM-Since 2000 1980). (formerly known as
Avenue HON Industries
Chicago, IL 60637 Inc.) (office
1953 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).
86
OTHER
TERM OF PORTFOLIOS WITHIN DIRECTORSHIPS OF
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND PUBLIC COMPANIES
AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
-------------------------------------------------------------------------------------------------------------------------
David G. Booth Chairman DFAIDG-Since Chairman, Director/Trustee, 126 portfolios in 4 None
6300 Bee Cave Director of 1981 and formerly, President and investment
Road, DFAIDG and DIG DIG- Since 1992 Co-Chief Executive Officer companies
Building One Trustee of DFAITC-Since (each until March 2017) of
Austin, TX 78746 DFAITC and 1992 Dimensional Emerging Markets
1946 DEM DEM-Since 1993 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.
87
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund Advisors
Pte. 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
1964 Officer (since 2017); 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 Since 2017 Executive Vice President (since March 2017) and
1972 President formerly, Vice 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. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer
1965 Global Chief of all the DFA Entities, DFA Australia Limited and
Compliance Officer Dimensional Fund Advisors Ltd. Chief Compliance
Officer and Chief Privacy Officer of Dimensional
Fund Advisors Canada ULC (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.
88
TERM OF OFFICE/1/
NAME AND YEAR AND LENGTH OF
OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------------
(Michael) Sam Gilliland Executive Vice Since 2017 Executive Vice President and Chief Operating Officer of the
1962 President DFA Fund Complex (since March 2017). Executive Vice
President (since 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).
--------------------------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President, Since 2015 Vice President, Chief Financial Officer, and Treasurer of
1958 Chief Financial all the DFA Entities. Chief Financial Officer, Treasurer
Officer, and and Vice President of Dimensional Advisors Ltd.,
Treasurer 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 since Vice President and Assistant Secretary (since 2004 and
1973 Assistant Secretary 2004 and Assistant March 2017, respectively) of all the DFA Entities and
Secretary since 2017 Dimensional Cayman Commodity Fund I Ltd.
--------------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and Dimensional
1972 Cayman Commodity Fund I Ltd.
--------------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell President and Since 2017 President and General Counsel (since March 2017), and
1964 General Counsel formerly, Vice President and Secretary (1997 and 2000,
respectively, to 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.
89
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer
1961 Deputy Chief of all the DFA Entities. Deputy Chief Compliance
Compliance Officer Officer (since December 2012) of Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President and Vice President since 2010 Vice President and Secretary (since 2010 and March
1974 Secretary and Secretary since 2017 2017, respectively) of all the DFA Entities,
Dimensional Cayman Commodity Fund I Ltd., and
Dimensional Fund Advisors Canada ULC (since April
2016).
----------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Co-Chief Executive Since 2017 Co-Chief Executive Officer and Chief Investment
1976 Officer and Chief Officer of DFAIDG, DFAITC, DIG and DEM (since
Investment Officer September, 2017) and Dimensional 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).
90
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.
91
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 QUALIFYING FOREIGN FOREIGN
DFA INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX SOURCE
DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) CREDIT (3) INCOME (4)
------------------------ ------------- ------------- ------------- ------------- ------------- ---------- ---------- ----------
Tax-Managed U.S.
Marketwide Value
Portfolio.............. 45% -- 55% 100% 100% 100% -- 6%
Tax-Managed U.S.
Equity Portfolio....... 100% -- -- 100% 100% 100% -- --
Tax-Managed U.S.
Targeted Value
Portfolio.............. 25% -- 75% 100% 100% 100% -- --
Tax-Managed U.S.
Small Cap
Portfolio.............. 30% -- 70% 100% 100% 100% -- --
T.A. U.S. Core Equity 2
Portfolio.............. 99% -- 1% 100% 100% 100% -- --
Tax-Managed DFA
International Value
Portfolio.............. 100% -- -- 100% 100% 100% 9% 100%
T.A. World ex U.S.
Core Equity
Portfolio.............. 100% -- -- 100% 100% 100% 9% 100%
QUALIFYING
SHORT-
QUALIFYING TERM
DFA INVESTMENT INTEREST CAPITAL
DIMENSIONS GROUP INC. INCOME (5) GAIN (6)
------------------------ ---------- ----------
Tax-Managed U.S.
Marketwide Value
Portfolio.............. 100% 100%
Tax-Managed U.S.
Equity Portfolio....... 100% 100%
Tax-Managed U.S.
Targeted Value
Portfolio.............. 100% 100%
Tax-Managed U.S.
Small Cap
Portfolio.............. 100% 100%
T.A. U.S. Core Equity 2
Portfolio.............. 100% 100%
Tax-Managed DFA
International Value
Portfolio.............. 100% 100%
T.A. World ex U.S.
Core Equity
Portfolio.............. 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(5)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(6)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
92
DFA103117-002A
[LOGO] 00202777
[LOGO]
Annual Report
YEAR ENDED: OCTOBER 31, 2017
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC. / DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
DFA TWO-YEAR FIXED INCOME PORTFOLIO
DFA TWO-YEAR GOVERNMENT PORTFOLIO
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
[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
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES.................................................. 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts....................................................................... 2
Management's Discussion and Analysis..................................................... 4
Disclosure of Fund Expenses.............................................................. 7
Disclosure of Portfolio Holdings......................................................... 9
Schedules of Investments
LWAS/DFA U.S. High Book to Market Portfolio.......................................... 10
DFA Two-Year Fixed Income Portfolio.................................................. 11
DFA Two-Year Government Portfolio.................................................... 13
Statements of Assets and Liabilities..................................................... 14
Statements of Operations................................................................. 16
Statements of Changes in Net Assets...................................................... 17
Financial Highlights..................................................................... 18
Notes to Financial Statements............................................................ 21
Report of Independent Registered Public Accounting Firm.................................. 29
DFA INVESTMENT DIMENSIONS GROUP INC. - LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
Performance Charts....................................................................... 30
Management's Discussion and Analysis..................................................... 31
Disclosure of Fund Expenses.............................................................. 33
Disclosure of Portfolio Holdings......................................................... 34
Schedule of Investments.................................................................. 35
Statement of Assets and Liabilities...................................................... 36
Statement of Operations.................................................................. 37
Statement of Changes in Net Assets....................................................... 38
Financial Highlights..................................................................... 39
Notes to Financial Statements............................................................ 40
Report of Independent Registered Public Accounting Firm.................................. 46
THE DFA INVESTMENT TRUST COMPANY
Performance Charts....................................................................... 47
Management's Discussion and Analysis..................................................... 48
Disclosure of Fund Expenses.............................................................. 51
Disclosure of Portfolio Holdings......................................................... 52
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series...................................................... 53
The DFA International Value Series................................................... 56
Statements of Assets and Liabilities..................................................... 60
Statements of Operations................................................................. 61
Statements of Changes in Net Assets...................................................... 62
Financial Highlights..................................................................... 63
Notes to Financial Statements............................................................ 64
Report of Independent Registered Public Accounting Firm.................................. 73
FUND MANAGEMENT............................................................................. 74
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................................................. 81
NOTICE TO SHAREHOLDERS...................................................................... 82
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
## Rule 144 A, Section 4(2), or other security which is restricted as to resale to institutional investors. The
Fund's Advisor has deemed this security to be liquid based upon procedures approved by the Board of
Trustees.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
LWAS/DFA U.S. High Book to Russell 1000/R/
Market Portfolio Value Index
-------------------------- -----------------
10/2007 $10,000 $10,000
11/2007 $9,440 $9,511
12/2007 $9,403 $9,419
01/2008 $9,043 $9,042
02/2008 $8,768 $8,663
03/2008 $8,680 $8,598
04/2008 $9,230 $9,017
05/2008 $9,447 $9,003
06/2008 $8,411 $8,141
07/2008 $8,319 $8,112
08/2008 $8,476 $8,250
09/2008 $7,715 $7,644
10/2008 $5,977 $6,320
11/2008 $5,388 $5,867
12/2008 $5,566 $5,949
01/2009 $4,904 $5,265
02/2009 $4,215 $4,561
03/2009 $4,628 $4,951
04/2009 $5,375 $5,482
05/2009 $5,789 $5,821
06/2009 $5,718 $5,778
07/2009 $6,261 $6,251
08/2009 $6,682 $6,578
09/2009 $6,970 $6,832
10/2009 $6,670 $6,623
11/2009 $7,045 $6,996
12/2009 $7,240 $7,120
01/2010 $7,069 $6,920
02/2010 $7,377 $7,138
03/2010 $7,949 $7,603
04/2010 $8,196 $7,800
05/2010 $7,497 $7,158
06/2010 $6,930 $6,755
07/2010 $7,467 $7,213
08/2010 $7,012 $6,904
09/2010 $7,701 $7,440
10/2010 $7,985 $7,663
11/2010 $7,922 $7,622
12/2010 $8,696 $8,224
01/2011 $8,968 $8,410
02/2011 $9,455 $8,720
03/2011 $9,502 $8,755
04/2011 $9,732 $8,988
05/2011 $9,599 $8,893
06/2011 $9,422 $8,711
07/2011 $8,994 $8,422
08/2011 $8,230 $7,896
09/2011 $7,401 $7,299
10/2011 $8,422 $8,135
11/2011 $8,352 $8,093
12/2011 $8,413 $8,256
01/2012 $8,831 $8,568
02/2012 $9,342 $8,910
03/2012 $9,513 $9,174
04/2012 $9,314 $9,081
05/2012 $8,652 $8,548
06/2012 $9,116 $8,972
07/2012 $9,202 $9,065
08/2012 $9,567 $9,262
09/2012 $9,917 $9,556
10/2012 $9,939 $9,509
11/2012 $9,960 $9,505
12/2012 $10,258 $9,702
01/2013 $10,974 $10,332
02/2013 $11,112 $10,480
03/2013 $11,647 $10,896
04/2013 $11,763 $11,060
05/2013 $12,249 $11,344
06/2013 $12,108 $11,244
07/2013 $12,829 $11,851
08/2013 $12,443 $11,402
09/2013 $12,808 $11,687
10/2013 $13,459 $12,199
11/2013 $14,022 $12,540
12/2013 $14,389 $12,857
01/2014 $13,818 $12,401
02/2014 $14,282 $12,937
03/2014 $14,619 $13,246
04/2014 $14,711 $13,372
05/2014 $15,031 $13,567
06/2014 $15,437 $13,922
07/2014 $15,322 $13,685
08/2014 $15,805 $14,187
09/2014 $15,413 $13,895
10/2014 $15,529 $14,207
11/2014 $15,706 $14,498
12/2014 $15,829 $14,587
01/2015 $15,035 $14,004
02/2015 $16,103 $14,681
03/2015 $15,789 $14,482
04/2015 $16,113 $14,617
05/2015 $16,288 $14,793
06/2015 $16,017 $14,497
07/2015 $15,975 $14,561
08/2015 $15,006 $13,694
09/2015 $14,518 $13,280
10/2015 $15,702 $14,282
11/2015 $15,761 $14,337
12/2015 $15,269 $14,029
01/2016 $14,220 $13,304
02/2016 $14,247 $13,300
03/2016 $15,277 $14,258
04/2016 $15,693 $14,558
05/2016 $15,906 $14,784
06/2016 $15,887 $14,912
07/2016 $16,427 $15,345
08/2016 $16,623 $15,463
09/2016 $16,698 $15,431
10/2016 $16,408 $15,192
11/2016 $17,698 $16,060
12/2016 $18,143 $16,461
01/2017 $18,393 $16,578
02/2017 $18,951 $17,174
03/2017 $18,776 $16,999
04/2017 $18,906 $16,967
05/2017 $18,886 $16,951
06/2017 $19,202 $17,228
07/2017 $19,524 $17,457 Past performance is not predictive of
08/2017 $19,343 $17,253 future performance.
09/2017 $20,084 $17,764 The returns shown do not reflect the
10/2017 $20,377 $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
24.19% 15.44% 7.38% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA TWO-YEAR FIXED INCOME PORTFOLIO VS.
ICE BOFAML 1-3 YEAR US CORPORATE & GOVERNMENT INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA Two-Year ICE BofAML 1-3 Year
Fixed Income Portfolio US Corporate & Government Index
---------------------- ---------------------------------
10/2007 $10,000 $10,000
11/2007 $10,030 $10,145
12/2007 $10,079 $10,173
01/2008 $10,110 $10,348
02/2008 $10,140 $10,442
03/2008 $10,153 $10,443
04/2008 $10,173 $10,383
05/2008 $10,194 $10,361
06/2008 $10,208 $10,386
07/2008 $10,239 $10,416
08/2008 $10,259 $10,462
09/2008 $10,214 $10,405
10/2008 $10,277 $10,397
11/2008 $10,381 $10,528
12/2008 $10,473 $10,650
01/2009 $10,484 $10,661
02/2009 $10,473 $10,646
03/2009 $10,519 $10,692
04/2009 $10,561 $10,755
05/2009 $10,604 $10,840
06/2009 $10,619 $10,861
07/2009 $10,640 $10,909
08/2009 $10,683 $10,974
09/2009 $10,699 $11,018
10/2009 $10,720 $11,058
11/2009 $10,763 $11,128
12/2009 $10,705 $11,059
01/2010 $10,759 $11,148
02/2010 $10,769 $11,174
03/2010 $10,760 $11,161
04/2010 $10,781 $11,195
05/2010 $10,792 $11,221
06/2010 $10,837 $11,273
07/2010 $10,869 $11,319
08/2010 $10,880 $11,349
09/2010 $10,900 $11,377
10/2010 $10,922 $11,409
11/2010 $10,900 $11,387
12/2010 $10,901 $11,370
01/2011 $10,911 $11,395
02/2011 $10,911 $11,393
03/2011 $10,910 $11,393
04/2011 $10,943 $11,448
05/2011 $10,976 $11,490
06/2011 $10,978 $11,493
07/2011 $10,989 $11,526
08/2011 $11,000 $11,547
09/2011 $10,991 $11,520
10/2011 $11,002 $11,546
11/2011 $10,991 $11,537
12/2011 $10,991 $11,548
01/2012 $11,024 $11,588
02/2012 $11,024 $11,594
03/2012 $11,030 $11,600
04/2012 $11,041 $11,623
05/2012 $11,041 $11,621
06/2012 $11,050 $11,628
07/2012 $11,072 $11,669
08/2012 $11,072 $11,681
09/2012 $11,084 $11,695
10/2012 $11,084 $11,699
11/2012 $11,084 $11,710
12/2012 $11,094 $11,719
01/2013 $11,094 $11,726
02/2013 $11,094 $11,739
03/2013 $11,099 $11,745
04/2013 $11,110 $11,763
05/2013 $11,099 $11,746
06/2013 $11,094 $11,728
07/2013 $11,105 $11,754
08/2013 $11,094 $11,746
09/2013 $11,113 $11,778
10/2013 $11,113 $11,800
11/2013 $11,113 $11,815
12/2013 $11,113 $11,801
01/2014 $11,124 $11,824
02/2014 $11,124 $11,841
03/2014 $11,127 $11,830
04/2014 $11,138 $11,850
05/2014 $11,138 $11,877
06/2014 $11,131 $11,874
07/2014 $11,131 $11,864
08/2014 $11,143 $11,885
09/2014 $11,136 $11,878
10/2014 $11,147 $11,908
11/2014 $11,159 $11,926
12/2014 $11,145 $11,893
01/2015 $11,178 $11,954
02/2015 $11,156 $11,937
03/2015 $11,184 $11,964
04/2015 $11,184 $11,973
05/2015 $11,184 $11,983
06/2015 $11,185 $11,981
07/2015 $11,185 $11,988
08/2015 $11,185 $11,980
09/2015 $11,211 $12,015
10/2015 $11,211 $12,013
11/2015 $11,189 $11,989
12/2015 $11,180 $11,973
01/2016 $11,225 $12,036
02/2016 $11,225 $12,049
03/2016 $11,256 $12,090
04/2016 $11,268 $12,107
05/2016 $11,256 $12,099
06/2016 $11,300 $12,171
07/2016 $11,300 $12,173
08/2016 $11,288 $12,160
09/2016 $11,294 $12,174
10/2016 $11,294 $12,169
11/2016 $11,283 $12,119
12/2016 $11,280 $12,127
01/2017 $11,303 $12,148
02/2017 $11,314 $12,169
03/2017 $11,318 $12,175
04/2017 $11,341 $12,196
05/2017 $11,352 $12,216
06/2017 $11,363 $12,211
07/2017 $11,386 $12,243
08/2017 $11,398 $12,267 Past performance is not predictive of
09/2017 $11,399 $12,253 future performance.
10/2017 $11,399 $12,251 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.
---------------------------------------------------------- ICE BofAML index data copyright 2017
0.92% 0.56% 1.32% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA TWO-YEAR GOVERNMENT PORTFOLIO VS.
ICE BOFAML 1-3 YEAR US TREASURY & AGENCY INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA Two-Year ICE BofAML 1-3 Year
Government Portfolio US Treasury & Agency Index
-------------------- -------------------------------
10/2007 $10,000 $10,000
11/2007 $10,030 $10,156
12/2007 $10,066 $10,188
01/2008 $10,097 $10,363
02/2008 $10,128 $10,458
03/2008 $10,137 $10,485
04/2008 $10,158 $10,412
05/2008 $10,137 $10,378
06/2008 $10,158 $10,409
07/2008 $10,189 $10,448
08/2008 $10,220 $10,490
09/2008 $10,213 $10,552
10/2008 $10,244 $10,630
11/2008 $10,432 $10,767
12/2008 $10,604 $10,876
01/2009 $10,562 $10,837
02/2009 $10,562 $10,837
03/2009 $10,618 $10,894
04/2009 $10,650 $10,895
05/2009 $10,692 $10,923
06/2009 $10,689 $10,913
07/2009 $10,700 $10,931
08/2009 $10,732 $10,975
09/2009 $10,756 $11,002
10/2009 $10,778 $11,026
11/2009 $10,820 $11,090
12/2009 $10,765 $11,010
01/2010 $10,808 $11,089
02/2010 $10,830 $11,112
03/2010 $10,820 $11,087
04/2010 $10,842 $11,116
05/2010 $10,864 $11,163
06/2010 $10,907 $11,213
07/2010 $10,929 $11,242
08/2010 $10,940 $11,262
09/2010 $10,958 $11,282
10/2010 $10,990 $11,308
11/2010 $10,958 $11,286
12/2010 $10,969 $11,268
01/2011 $10,980 $11,286
02/2011 $10,969 $11,278
03/2011 $10,963 $11,274
04/2011 $11,008 $11,323
05/2011 $11,041 $11,363
06/2011 $11,040 $11,367
07/2011 $11,051 $11,396
08/2011 $11,062 $11,435
09/2011 $11,063 $11,420
10/2011 $11,063 $11,430
11/2011 $11,074 $11,436
12/2011 $11,075 $11,442
01/2012 $11,097 $11,457
02/2012 $11,097 $11,446
03/2012 $11,098 $11,440
04/2012 $11,110 $11,463
05/2012 $11,110 $11,468
06/2012 $11,103 $11,463
07/2012 $11,114 $11,489
08/2012 $11,125 $11,490
09/2012 $11,119 $11,492
10/2012 $11,119 $11,486
11/2012 $11,119 $11,496
12/2012 $11,123 $11,500
01/2013 $11,123 $11,502
02/2013 $11,123 $11,511
03/2013 $11,124 $11,514
04/2013 $11,135 $11,525
05/2013 $11,124 $11,509
06/2013 $11,124 $11,500
07/2013 $11,135 $11,519
08/2013 $11,124 $11,509
09/2013 $11,137 $11,534
10/2013 $11,148 $11,547
11/2013 $11,148 $11,558
12/2013 $11,140 $11,542
01/2014 $11,151 $11,561
02/2014 $11,151 $11,571
03/2014 $11,151 $11,559
04/2014 $11,162 $11,574
05/2014 $11,174 $11,595
06/2014 $11,164 $11,590
07/2014 $11,164 $11,581
08/2014 $11,175 $11,600
09/2014 $11,169 $11,594
10/2014 $11,191 $11,625
11/2014 $11,203 $11,642
12/2014 $11,176 $11,615
01/2015 $11,221 $11,673
02/2015 $11,199 $11,649
03/2015 $11,215 $11,675
04/2015 $11,226 $11,681
05/2015 $11,226 $11,689
06/2015 $11,224 $11,693
07/2015 $11,224 $11,699
08/2015 $11,224 $11,694
09/2015 $11,246 $11,730
10/2015 $11,234 $11,719
11/2015 $11,200 $11,691
12/2015 $11,188 $11,679
01/2016 $11,245 $11,750
02/2016 $11,245 $11,763
03/2016 $11,271 $11,784
04/2016 $11,271 $11,788
05/2016 $11,260 $11,776
06/2016 $11,310 $11,845
07/2016 $11,299 $11,839
08/2016 $11,287 $11,820
09/2016 $11,299 $11,834
10/2016 $11,299 $11,827
11/2016 $11,265 $11,780
12/2016 $11,276 $11,783
01/2017 $11,287 $11,799
02/2017 $11,287 $11,811
03/2017 $11,298 $11,815
04/2017 $11,309 $11,831
05/2017 $11,309 $11,845
06/2017 $11,304 $11,836
07/2017 $11,327 $11,861
08/2017 $11,338 $11,883
09/2017 $11,332 $11,864 Past performance is not predictive of
10/2017 $11,320 $11,857 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.
------------------------------------------------------- ICE BofAML index data copyright 2017
0.19% 0.36% 1.25% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
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.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
The LWAS/DFA U.S. High Book to Market Portfolio seeks to capture the returns
of U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. Value
is measured primarily by book-to-market ratio. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2017, the
Master Fund held approximately 300 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.19% 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,
the Portfolio's 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 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 less profitable stocks, and the Master Fund's greater emphasis on
more profitable stocks 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.
4
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
Interest rates in both U.S. and developed international fixed income markets
generally increased across their respective yield curves for the 12 months
ended October 31, 2017. In the U.S., the yield curve flattened as yields on
shorter-term bonds increased more than yields on longer-term bonds. The
Eurozone, U.K., and Japan also saw an increase in bond yields across the curve.
While longer-term government bonds underperformed shorter-term government
bonds, the same was not true for investment grade corporate bonds and municipal
bonds. Credit spreads were positive during the period and generally narrowed.
As a result, longer-term bonds outperformed shorter-term bonds across the U.S.
municipal, U.S. investment grade credit, and developed international fixed
income credit markets. In particular, municipal bonds with maturities of 10
years and longer outperformed shorter maturity bonds. In the U.S. investment
grade credit and developed international fixed income credit markets, bonds
with maturities of 15 years and longer outperformed shorter maturity bonds. For
example, the Bloomberg Barclays U.S. Credit Index Long, which contains U.S.
credit securities with maturities beyond 10 years, returned 5.81%, while the
Bloomberg Barclays U.S. Credit Index 1-5 Years returned 1.70% for the period.
The one-month U.S. Treasury bill yield increased to 0.98% during the period,
while the yield on 10-year U.S. Treasury notes increased to 2.38%.
OCTOBER 31, 2016 OCTOBER 31, 2017 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.17% 0.98% 0.81%
Ten-Year U.S. Treasury Notes (yield). 1.83% 2.38% 0.55%
----------
Source: Bloomberg
OCTOBER 31, 2016 OCTOBER 31, 2017 CHANGE
---------------- ---------------- ------
Bloomberg Barclays US Credit Index 1-5 Years (yield). 1.81% 2.24% 0.43%
Bloomberg Barclays US Credit Index Long (yield)...... 4.24% 4.16% -0.08%
----------
Source: Bloomberg
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the 12 months
ended October 31, 2017, the total return was 0.73% for three-month U.S.
Treasury bills, -1.54% for five-year U.S. Treasury notes, and -3.83% for
30-year U.S. Treasury bonds.
----------
Source: Bloomberg Barclays US Treasury Bellwethers.
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies a maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities may
be lengthened to position a portfolio to seek the higher expected returns
associated with longer maturities. These higher returns may be achieved by
capital appreciation (from holding bonds through an upwardly sloped term
structure) as well as by earning higher current yields. During the period under
review, the portfolios employing a variable maturity approach continued to take
term risk, reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive opportunity
on a risk-adjusted basis. When credit spreads are wide, additional credit risk
may be taken to position a portfolio to seek the higher expected returns
associated with increased credit risk. Credit spreads generally narrowed
throughout the 12 months ending October 31, 2017. As a result, the portfolios
employing a variable-credit approach increased their allocation to
higher-quality bonds and held less than market weight in single-A and BBB-rated
bonds.
5
DFA TWO-YEAR FIXED INCOME PORTFOLIO
The DFA Two-Year Fixed Income Portfolio is designed to maximize total
returns consistent with preservation of capital by investing in high-quality
fixed income securities maturing in two years or less. The investment strategy
uses a variable-maturity approach and shifts maturities based on changes in the
yield curve. The strategy uses current yields and identifies favorable maturity
ranges for risk-adjusted expected returns based on potential buy and sell
strategies. Maturity targets are shifted based on Dimensional's expectations
for term premium. The average maturity of the Portfolio increased to 1.37 years
as of October 31, 2017, from 1.23 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 0.92% for the
Portfolio and 0.67% for The ICE BofAML 1-3 Year US Corporate & Government
Index, the Portfolio's benchmark. The Portfolio's greater weight in securities
with maturities between zero and two years contributed positively to
performance relative to the benchmark during a period in which interest rates
rose. The Portfolio's greater weight in corporate securities also had a
positive impact on relative performance during a period in which credit
premiums were positive.
DFA TWO-YEAR GOVERNMENT PORTFOLIO
The DFA Two-Year Government Portfolio is designed to maximize total returns
consistent with preservation of capital by investing in securities of the U.S.
government and its agencies maturing in two years or less. The investment
strategy uses a variable maturity approach and shifts maturities based on
changes in the yield curve. The strategy uses current yields and identifies
favorable maturity ranges for risk-adjusted expected returns based on potential
buy and sell strategies for each eligible country. Maturity targets are shifted
based on Dimensional's expectations for term premia. The average maturity of
the Portfolio increased to 1.45 years as of October 31, 2017, from 1.31 years
as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 0.19% for the
Portfolio and 0.26% for The ICE BofAML 1-3 Year US Treasury & Agency Index, the
Portfolio's Benchmark. The Portfolio's greater weight in securities with
maturities between zero and two years contributed positively to performance
relative to the benchmark during a period in which interest rates rose.
6
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2017
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,077.80 0.18% $0.94
Hypothetical 5% Annual Return................. $1,000.00 $1,024.55 0.18% $0.92
DFA TWO-YEAR FIXED INCOME PORTFOLIO
-----------------------------------
Actual Fund Return............................ $1,000.00 $1,005.10 0.24% $1.21
Hypothetical 5% Annual Return................. $1,000.00 $1,024.00 0.24% $1.22
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
DFA TWO-YEAR GOVERNMENT PORTFOLIO
---------------------------------
Actual Fund Return................ $1,000.00 $1,001.00 0.23% $1.16
Hypothetical 5% Annual Return..... $1,000.00 $1,024.05 0.23% $1.17
----------
* 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).
8
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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.
The categories of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
FEEDER FUND
AFFILIATED INVESTMENT COMPANY
-----------------------------
LWAS/DFA U.S. High Book to Market Portfolio. 100.0%
FIXED INCOME PORTFOLIOS
DFA TWO-YEAR FIXED INCOME PORTFOLIO
Corporate.................................... 19.1%
Government................................... 3.8%
Foreign Corporate............................ 29.8%
Foreign Government........................... 38.6%
Supranational................................ 8.7%
-----
100.0%
DFA TWO-YEAR GOVERNMENT PORTFOLIO
Government................................... 100.0%
-----
100.0%
9
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company.................... $57,082,520
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $57,082,520
===========
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.
10
DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (3.4%)
Federal Home Loan Bank
1.375%, 03/18/19............................. $ 500 $ 498,578
5.375%, 05/15/19............................. 810 856,727
1.625%, 06/14/19............................. 600 600,207
Federal National Mortgage Association
0.875%, 08/02/19............................. 250 246,752
1.000%, 10/24/19............................. 500 493,633
----------
TOTAL AGENCY OBLIGATIONS......................... 2,695,897
----------
BONDS -- (95.8%)
African Development Bank
1.000%, 11/02/18............................. 450 447,224
1.125%, 09/20/19............................. 500 494,125
Agence Francaise de Developpement
1.375%, 08/02/19............................. 600 593,996
ANZ New Zealand International Ltd.
2.600%, 09/23/19............................. 200 202,017
Apple, Inc.
1.550%, 02/08/19............................. 659 658,433
2.100%, 05/06/19............................. 500 503,246
1.500%, 09/12/19............................. 1,150 1,146,206
Asian Development Bank
1.875%, 04/12/19............................. 250 250,669
Australia & New Zealand Banking Group, Ltd.
2.000%, 11/16/18............................. 500 501,155
2.250%, 06/13/19............................. 500 502,283
1.600%, 07/15/19............................. 500 497,240
Bank Nederlandse Gemeenten NV
1.375%, 01/28/19............................. 700 697,014
## 1.500%, 02/15/19............................. 250 249,289
1.500%, 02/15/19............................. 900 897,507
Bank of Montreal
1.350%, 08/28/18............................. 236 235,413
Bank of Nova Scotia (The)
2.050%, 10/30/18............................. 1,748 1,753,432
1.950%, 01/15/19............................. 500 500,816
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 469 471,975
Caisse d'Amortissement de la Dette Sociale
1.500%, 01/28/19............................. 750 747,470
## 1.500%, 01/28/19............................. 600 598,084
Caisse des Depots et Consignations
1.500%, 11/13/18............................. 1,800 1,793,916
Chevron Corp.
1.790%, 11/16/18............................. 2,200 2,203,032
Cisco Systems, Inc.
2.125%, 03/01/19............................. 2,100 2,111,361
Commonwealth Bank of Australia
2.500%, 09/20/18............................. 250 251,825
1.750%, 11/02/18............................. 1,125 1,124,204
2.250%, 03/13/19............................. 476 478,584
FACE
AMOUNT VALUE+
------ ------
(000)
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. $1,450 $1,457,475
Council Of Europe Development Bank
1.500%, 05/17/19............................. 800 797,408
Dexia Credit Local SA
2.250%, 01/30/19............................. 600 602,328
Erste Abwicklungsanstalt
1.625%, 02/21/19............................. 1,600 1,593,971
European Bank for Reconstruction & Development
1.625%, 11/15/18............................. 1,100 1,099,033
European Investment Bank
2.125%, 03/15/19............................. 467 469,880
1.250%, 05/15/19............................. 1,250 1,241,475
1.125%, 08/15/19............................. 500 494,896
Export Development Canada
1.500%, 10/03/18............................. 250 249,705
1.750%, 08/19/19............................. 500 500,182
Exxon Mobil Corp.
1.708%, 03/01/19............................. 1,275 1,276,038
FMS Wertmanagement AoeR
1.625%, 11/20/18............................. 600 599,799
1.000%, 08/16/19............................. 1,200 1,183,776
General Electric Co.
6.000%, 08/07/19............................. 1,000 1,072,297
Inter-American Development Bank
1.125%, 09/12/19............................. 543 537,060
International Bank for Reconstruction &
Development
1.875%, 10/07/19............................. 1,000 1,002,684
Kommunalbanken A.S.
2.125%, 03/15/19............................. 2,300 2,311,500
Kommunekredit
1.125%, 08/23/19............................. 1,000 987,996
Kommuninvest I Sverige AB
1.125%, 10/09/18............................. 250 248,810
1.125%, 09/17/19............................. 600 592,363
Kreditanstalt fuer Wiederaufbau
1.500%, 02/06/19............................. 750 748,260
1.500%, 09/09/19............................. 1,150 1,144,434
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.625%, 02/01/19............................. 300 299,646
Manitoba, Province of Canada
1.750%, 05/30/19............................. 2,200 2,196,604
Microsoft Corp.
1.300%, 11/03/18............................. 1,375 1,371,373
Municipality Finance P.L.C.
## 1.250%, 09/10/18............................. 1,000 996,534
1.250%, 04/18/19............................. 700 694,638
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 1,250 1,257,117
11
DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Nederlandse Waterschapsbank NV
## 1.500%, 01/23/19............................. $1,150 $1,146,757
1.875%, 03/13/19............................. 500 500,679
## 1.250%, 09/09/19............................. 450 445,138
NRW Bank
1.375%, 08/20/18............................. 400 399,030
1.250%, 07/29/19............................. 250 247,406
Oesterreichische Kontrollbank AG
1.625%, 03/12/19............................. 1,600 1,598,208
1.125%, 04/26/19............................. 500 495,088
Ontario, Province of Canada
2.000%, 01/30/19............................. 500 501,256
1.250%, 06/17/19............................. 1,850 1,832,018
Oracle Corp.
2.375%, 01/15/19............................. 1,025 1,033,414
Pfizer, Inc.
2.100%, 05/15/19............................. 876 880,992
Royal Bank of Canada
2.150%, 03/15/19............................. 1,420 1,427,630
1.625%, 04/15/19............................. 842 839,548
Shell International Finance BV
1.625%, 11/10/18............................. 1,925 1,924,323
2.000%, 11/15/18............................. 150 150,544
1.375%, 09/12/19............................. 200 198,466
State of North Rhine-Westphalia Germany
1.875%, 06/17/19............................. 900 900,466
Statoil ASA
1.150%, 05/15/18............................. 400 399,176
Svensk Exportkredit AB
1.250%, 04/12/19............................. 1,150 1,141,721
1.875%, 06/17/19............................. 1,000 1,001,170
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 2,116 2,132,474
Toronto-Dominion Bank (The)
2.125%, 07/02/19............................. 1,250 1,255,718
1.900%, 10/24/19............................. 1,000 998,979
FACE
AMOUNT VALUE+
------ ------
(000)
Total Capital International SA
2.125%, 01/10/19............................. $ 300 $ 301,541
2.100%, 06/19/19............................. 500 502,731
Total Capital SA
2.125%, 08/10/18............................. 1,440 1,444,447
Toyota Motor Credit Corp.
1.550%, 07/13/18............................. 750 750,003
2.100%, 01/17/19............................. 750 752,877
1.700%, 02/19/19............................. 500 499,580
1.400%, 05/20/19............................. 198 196,904
Westpac Banking Corp.
2.250%, 01/17/19............................. 2,334 2,345,126
-----------
TOTAL BONDS........................................ 75,181,208
-----------
U.S. TREASURY OBLIGATIONS -- (0.3%)
U.S. Treasury Notes
0.875%, 04/15/19............................. 250 247,598
-----------
TOTAL INVESTMENT SECURITIES........................ 78,124,703
-----------
SHARES
------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government
Money Market Fund, 0.960%................... 404,829 404,829
-----------
TEMPORARY CASH INVESTMENTS -- (0.0%)
(S)@ DFA Short Term Investment Fund............... 17 202
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $78,662,551)............................... $78,529,734
===========
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
-------- ----------- ------- -----------
Agency Obligations............ -- $ 2,695,897 -- $ 2,695,897
Bonds......................... -- 75,181,208 -- 75,181,208
U.S. Treasury Obligations..... -- 247,598 -- 247,598
Temporary Cash Investments.... $404,829 -- -- 404,829
Securities Lending Collateral. -- 202 -- 202
-------- ----------- -- -----------
TOTAL......................... $404,829 $78,124,905 -- $78,529,734
======== =========== == ===========
See accompanying Notes to Financial Statements.
12
DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
-------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (96.0%)
U.S. Treasury Notes
1.375%, 12/31/18..................................................... $ 6,200 $ 6,190,070
1.125%, 01/15/19..................................................... 6,500 6,469,785
1.250%, 01/31/19..................................................... 5,250 5,233,184
0.750%, 02/15/19..................................................... 5,000 4,951,563
2.750%, 02/15/19..................................................... 9,600 9,749,250
1.500%, 02/28/19..................................................... 29,400 29,386,219
1.000%, 03/15/19..................................................... 2,000 1,985,782
0.875%, 04/15/19..................................................... 23,300 23,076,101
0.875%, 09/15/19..................................................... 5,000 4,933,789
1.750%, 09/30/19..................................................... 6,200 6,216,953
1.000%, 10/15/19..................................................... 10,500 10,379,004
------------
TOTAL U.S. TREASURY OBLIGATIONS........................................ 108,571,700
------------
AGENCY OBLIGATIONS -- (3.6%)
Federal Home Loan Bank
1.375%, 03/18/19..................................................... 4,100 4,088,343
------------
TOTAL INVESTMENT SECURITIES............................................ 112,660,043
------------
SHARES
--------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund, 0.960%. 405,338 405,338
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $113,383,764)................................................... $113,065,381
============
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
-------- ------------ ------- ------------
U.S. Treasury Obligations.. -- $108,571,700 -- $108,571,700
Agency Obligations......... -- 4,088,343 -- 4,088,343
Temporary Cash Investments. $405,338 -- -- 405,338
-------- ------------ -- ------------
TOTAL...................... $405,338 $112,660,043 -- $113,065,381
======== ============ == ============
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company (Affiliated Investment Company) at Value............. $ 57,083
Prepaid Expenses and Other Assets...................................................... 5
------------
Total Assets...................................................................... 57,088
------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 9
Accrued Expenses and Other Liabilities................................................. 10
------------
Total Liabilities................................................................. 19
------------
NET ASSETS............................................................................. $ 57,069
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 2,834,905
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 20.13
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 17,350
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 50
Accumulated Net Realized Gain (Loss)................................................... 5,971
Net Unrealized Appreciation (Depreciation)............................................. 33,698
------------
NET ASSETS............................................................................. $ 57,069
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000
============
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA TWO-YEAR DFA TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
------------ ------------
ASSETS:
Investments at Value................................................................... $ 78,125 $ 112,660
Temporary Cash Investments at Value & Cost............................................. 405 405
Receivables:
Investment Securities Sold........................................................... 401 --
Dividends, Interest and Tax Reclaims................................................. 397 246
Prepaid Expenses and Other Assets...................................................... 6 7
------------ ------------
Total Assets...................................................................... 79,334 113,318
------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased...................................................... 494 --
Fund Shares Redeemed................................................................. -- 350
Due to Advisor....................................................................... 10 14
Accrued Expenses and Other Liabilities................................................. 15 20
------------ ------------
Total Liabilities................................................................. 519 384
------------ ------------
NET ASSETS............................................................................. $ 78,815 $ 112,934
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 7,899,923 11,506,442
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.98 $ 9.81
============ ============
Investments at Cost.................................................................... $ 78,257 $ 112,979
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 78,982 $ 113,687
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 102 117
Accumulated Net Realized Gain (Loss)................................................... (137) (551)
Net Unrealized Appreciation (Depreciation)............................................. (132) (319)
------------ ------------
NET ASSETS............................................................................. $ 78,815 $ 112,934
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
LWAS/DFA
U.S. HIGH
BOOK TO DFA TWO-YEAR DFA TWO-YEAR
MARKET FIXED INCOME GOVERNMENT
PORTFOLIO*# PORTFOLIO# PORTFOLIO
----------- ------------ ------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Company:
Dividends............................................................ $ 1,298 -- --
Income from Securities Lending....................................... 6 -- --
Expenses Allocated from Affiliated Investment Company................ (62) -- --
------- ------ ------
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 1,242 -- --
------- ------ ------
FUND INVESTMENT INCOME
Dividends.............................................................. -- $ 4 $ 3
Interest............................................................... -- 1,098 1,293
Income from Securities Lending......................................... -- 1 --
------- ------ ------
Total Investment Income............................................. -- 1,103 1,296
------- ------ ------
FUND EXPENSES
Investment Management Fees............................................. 62 120 168
Accounting & Transfer Agent Fees....................................... 4 8 10
Shareholder Servicing Fees............................................. 28 21 29
Custodian Fees......................................................... -- 4 1
Filing Fees............................................................ 18 18 19
Shareholders' Reports.................................................. 7 10 14
Directors'/Trustees' Fees & Expenses................................... 1 1 1
Professional Fees...................................................... 3 6 7
Other.................................................................. -- 3 5
------- ------ ------
Total Expenses...................................................... 123 191 254
------- ------ ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (56) -- --
------- ------ ------
Net Expenses........................................................... 67 191 254
------- ------ ------
NET INVESTMENT INCOME (LOSS)........................................... 1,175 912 1,042
------- ------ ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... 6,226 (120) (283)
Futures.............................................................. 51 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................ 4,829 (123) (476)
Futures.............................................................. (14) -- --
------- ------ ------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 11,092 (243) (759)
------- ------ ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $12,267 $ 669 $ 283
======= ====== ======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LWAS/DFA U.S. HIGH BOOK DFA TWO-YEAR FIXED DFA TWO-YEAR
TO MARKET PORTFOLIO INCOME PORTFOLIO GOVERNMENT PORTFOLIO
---------------------- ------------------ ------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017 2016 2017 2016
-------- -------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 1,175 $ 1,207 $ 912 $ 648 $ 1,042 $ 670
Net Realized Gain (Loss) on:
Investment Securities Sold*..................... 6,226 3,454 (120) (18) (283) (267)
Futures......................................... 51 59 -- -- -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities........................... 4,829 (2,441) (123) 49 (476) 227
Futures......................................... (14) (9) -- -- -- --
-------- ------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 12,267 2,270 669 679 283 630
-------- ------- -------- -------- -------- --------
Distributions From:
Net Investment Income............................. (1,129) (1,193) (895) (605) (1,008) (610)
Net Short-Term Gains.............................. (40) -- -- (205) -- (352)
Net Long-Term Gains............................... (3,325) (4,712) -- (5) -- --
-------- ------- -------- -------- -------- --------
Total Distributions............................ (4,494) (5,905) (895) (815) (1,008) (962)
-------- ------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued..................................... 696 1,005 7,220 3,649 15,655 5,405
Shares Issued in Lieu of Cash Distributions....... 4,494 5,905 895 815 1,008 962
Shares Redeemed................................... (10,508) (8,182) (10,242) (14,939) (18,503) (24,184)
-------- ------- -------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions.................................. (5,318) (1,272) (2,127) (10,475) (1,840) (17,817)
-------- ------- -------- -------- -------- --------
Total Increase (Decrease) in Net Assets........ 2,455 (4,907) (2,353) (10,611) (2,565) (18,149)
NET ASSETS
Beginning of Year................................. 54,614 59,521 81,168 91,779 115,499 133,648
-------- ------- -------- -------- -------- --------
End of Year....................................... $ 57,069 $54,614 $ 78,815 $ 81,168 $112,934 $115,499
======== ======= ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 37 59 723 365 1,590 548
Shares Issued in Lieu of Cash Distributions....... 242 351 90 82 103 98
Shares Redeemed................................... (555) (482) (1,026) (1,494) (1,881) (2,451)
-------- ------- -------- -------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed.................................. (276) (72) (213) (1,047) (188) (1,805)
======== ======= ======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)................................. $ 50 $ 64 $ 102 $ 100 $ 117 $ 102
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
-------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 17.55 $ 18.70 $ 20.16 $ 18.40 $ 13.84
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................ 0.39 0.37 0.38 0.32 0.28
Net Gains (Losses) on Securities (Realized and Unrealized).. 3.71 0.36 (0.23) 2.41 4.57
------- ------- ------- ------- -------
Total from Investment Operations.......................... 4.10 0.73 0.15 2.73 4.85
----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................................... (0.39) (0.37) (0.36) (0.29) (0.29)
Net Realized Gains.......................................... (1.13) (1.51) (1.25) (0.68) --
------- ------- ------- ------- -------
Total Distributions....................................... (1.52) (1.88) (1.61) (0.97) (0.29)
----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 20.13 $ 17.55 $ 18.70 $ 20.16 $ 18.40
============================================================ ======== ======== ======== ======== ========
Total Return................................................. 24.19% 4.49% 1.12% 15.38% 35.41%
----------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $57,069 $54,614 $59,521 $68,214 $67,266
Ratio of Expenses to Average Net Assets (B).................. 0.23% 0.33% 0.32% 0.34% 0.34%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B).............................. 0.33% 0.43% 0.35% 0.34% 0.34%
Ratio of Net Investment Income to Average Net Assets......... 2.08% 2.19% 1.99% 1.67% 1.77%
----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA TWO-YEAR FIXED INCOME PORTFOLIO
-------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 10.00 $ 10.02 $ 10.02 $ 10.02 $ 10.07
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.11 0.08 0.04 0.02 0.03
Net Gains (Losses) on Securities (Realized and Unrealized). (0.02) (0.01) 0.02 0.01 --
------- ------- ------- ------- -------
Total from Investment Operations.......................... 0.09 0.07 0.06 0.03 0.03
----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.11) (0.07) (0.04) (0.02) (0.03)
Net Realized Gains......................................... -- (0.02) (0.02) (0.01) (0.05)
------- ------- ------- ------- -------
Total Distributions....................................... (0.11) (0.09) (0.06) (0.03) (0.08)
----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 9.98 $ 10.00 $ 10.02 $ 10.02 $ 10.02
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 0.92% 0.74% 0.57% 0.31% 0.26%
----------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $78,815 $81,168 $91,779 $98,961 $94,726
Ratio of Expenses to Average Net Assets...................... 0.24% 0.29% 0.29% 0.28% 0.29%
Ratio of Net Investment Income to Average Net Assets......... 1.14% 0.75% 0.43% 0.20% 0.27%
Portfolio Turnover Rate...................................... 115% 93% 238% 122% 57%
----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA TWO-YEAR GOVERNMENT PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 9.88 $ 9.90 $ 9.92 $ 9.91 $ 9.96
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.09 0.05 0.03 0.01 0.01
Net Gains (Losses) on Securities (Realized and Unrealized). (0.07) 0.01 0.01 0.03 0.02
-------- -------- -------- -------- --------
Total from Investment Operations.......................... 0.02 0.06 0.04 0.04 0.03
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.09) (0.05) (0.03) (0.01) (0.01)
Net Realized Gains......................................... -- (0.03) (0.03) (0.02) (0.07)
-------- -------- -------- -------- --------
Total Distributions....................................... (0.09) (0.08) (0.06) (0.03) (0.08)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 9.81 $ 9.88 $ 9.90 $ 9.92 $ 9.91
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 0.19% 0.58% 0.38% 0.39% 0.26%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $112,934 $115,499 $133,648 $145,231 $145,205
Ratio of Expenses to Average Net Assets...................... 0.23% 0.28% 0.28% 0.27% 0.28%
Ratio of Net Investment Income to Average Net Assets......... 0.93% 0.55% 0.31% 0.12% 0.05%
Portfolio Turnover Rate...................................... 176% 118% 262% 225% 160%
---------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
20
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fourteen
portfolios, three of which, LWAS/DFA U.S. High Book to Market Portfolio, DFA
Two-Year Fixed Income Portfolio (formerly known as LWAS/DFA Two-Year Fixed
Income Portfolio) and DFA Two-Year Government Portfolio (formerly known as
LWAS/DFA Two-Year Government Portfolio) (the "Portfolios"), are presented in
this report. The remaining operational portfolios are presented in separate
reports. The Portfolios are investment companies, and accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") primarily
invests its assets in The U.S. Large Cap Value Series (the "Series"), a
corresponding series of The DFA Investment Trust Company. At October 31, 2017,
the Feeder Fund owned less than 1% of the Series. The financial statements of
the Series are included elsewhere in this report and should be read in
conjunction with the financial statements of the Feeder Fund.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by DFA Two-Year Fixed Income Portfolio and DFA Two-Year
Government Portfolio are valued on the basis of evaluated prices provided by
one or more pricing services or other reasonably reliable sources including
broker/dealers that typically handle the purchase and sale of such securities.
Securities that are traded over-the-counter and on a stock exchange generally
will be valued according to the broadest and most representative market, and it
is expected that for bonds and other fixed income securities, this ordinarily
will be the over-the-counter market. Securities for which quotations are not
readily available (including restricted securities), or for which market
quotations have become unreliable, are valued in good faith at fair value in
accordance with procedures adopted by the Board of Directors of the Fund. Fair
value pricing may also be used if events that have a significant effect on the
value of an investment (as determined in the discretion of Dimensional Fund
Advisors LP) occur before the net asset value of the Portfolio is calculated.
When fair value pricing is used, the prices of securities used by the
Portfolios may differ from the quoted or published prices for the same
securities on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
21
The Feeder Fund's investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments for the Portfolios (except for the Feeder Fund). The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the year ended October 31, 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 of net investment
income and realized and unrealized gains/losses of investment securities, on a
daily basis, from its Series, which is treated as a partnership for federal
income tax purposes. Security transactions are accounted for as of the trade
date. Costs used in determining realized gains and losses on the sale of
investment securities are accounted for on the basis of identified cost.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities, utilizing the effective interest method. Expenses directly
attributable to a Portfolio are directly charged. Common expenses of the Fund
or the Portfolios are allocated using methods approved by the Board, generally
based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 2017, the
Portfolios' investment management fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates of average daily net
assets:
LWAS/DFA U.S. High Book to Market Portfolio (1). 0.11%
DFA Two-Year Fixed Income Portfolio............. 0.15%
DFA Two-Year Government Portfolio............... 0.15%
(1) Effective as of July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Feeder Fund to
the extent necessary to limit the total management fees paid to the Advisor by
the Feeder Fund, including the proportionate share of the management fees the
Feeder Fund pays
22
indirectly through its investment in other funds managed by the Advisor, except
for the fees paid indirectly through its investment of securities lending cash
collateral in the DFA Short Term Investment Fund, to 0.11% of the average net
assets of a class of the Feeder Fund on an annualized basis. The Fee Waiver
Agreement for the Feeder Fund will remain in effect permanently, unless
terminated by the Fund.
For the year ended October 31, 2017 approximately $56 (in thousands) of the
LWAS/DFA U.S. High Book to Market Portfolio's management fees were waived
pursuant to the Fee Waiver Agreement.
Prior to February 28, 2017, pursuant to a Client Service Agreement with LWI
Financial Inc. ("LWIF"), the Portfolios paid monthly Shareholder Servicing Fees
to LWIF at the following effective annual rates of their average daily net
assets:
SHAREHOLDER
SERVICING FEES
--------------
LWAS/DFA U.S. High Book to Market Portfolio. 0.15%
DFA Two-Year Fixed Income Portfolio......... 0.08%
DFA Two-Year Government Portfolio........... 0.08%
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2017, the total related amounts paid by the Fund
to the CCO were $31 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 2017, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
LWAS/DFA U.S. High Book to Market Portfolio. $4
DFA Two-Year Fixed Income Portfolio......... 5
DFA Two-Year Government Portfolio........... 8
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2017, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------ -----------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- -------
DFA Two-Year Fixed Income Portfolio. $ 8,869 $ 11,944 $82,565 $81,570
DFA Two-Year Government Portfolio... 195,583 196,863 -- --
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 SHARES AS AFFILIATED FROM
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT OF INVESTMENT AFFILIATED
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES INVESTMENT
---------- --------- ---------- ------------ ------------- ---------- --------- ----------- -------------
DFA TWO-YEAR FIXED INCOME PORTFOLIO
DFA Short Term
Investment Fund. $1,131 $7,083 $8,214 -- -- -- -- $4,922 --
------ ------ ------ -- -- -- -- ------ --
TOTAL............ $1,131 $7,083 $8,214 -- -- -- -- $4,922 --
23
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 tax equalization,
were reclassified to the following accounts. These reclassifications had no
effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio. $375 $(60) $(315)
DFA Two-Year Fixed Income Portfolio......... 15 (15) --
DFA Two-Year Government Portfolio........... 19 (19) --
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 TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
LWAS/DFA U.S. High Book to Market Portfolio
2016........................................ $1,193 $4,712 -- $5,905
2017........................................ 1,169 3,325 -- 4,494
DFA Two-Year Fixed Income Portfolio
2016........................................ 809 5 -- 814
2017........................................ 895 -- -- 895
DFA Two-Year Government Portfolio
2016........................................ 962 -- -- 962
2017........................................ 1,008 -- -- 1,008
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
-------------- ------------- -----
LWAS/DFA U.S. High Book to Market Portfolio. $(72) $(303) $(375)
DFA Two-Year Fixed Income Portfolio......... (15) -- (15)
DFA Two-Year Government Portfolio........... (19) -- (19)
24
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)
-------------- ------------- ------------- -------------- -------------
LWAS/DFA U.S. High Book to Market
Portfolio......................... $312 $5,756 -- $33,656 $39,724
DFA Two-Year Fixed Income Portfolio. 108 -- $(137) (133) (162)
DFA Two-Year Government Portfolio... 124 -- (551) (318) (745)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 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
--------- -----
LWAS/DFA U.S. High Book to Market Portfolio. -- --
DFA Two-Year Fixed Income Portfolio......... $137 $137
DFA Two-Year Government Portfolio........... 551 551
During the year ended October 31, 2017, the Portfolios did not utilize
capital loss carryforwards to offset realized capital gains for federal income
tax purposes.
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)
-------- ------------ ------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio. $ 23,427 $33,656 -- $33,656
DFA Two-Year Fixed Income Portfolio......... 78,663 8 $(141) (133)
DFA Two-Year Government Portfolio........... 113,384 -- (318) (318)
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 each of
the Portfolio's tax positions and has concluded that no additional provision
for income tax is required in any of the Portfolio's financial statements. The
Portfolios are not aware of any tax positions for which it is more likely than
not that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months. The Portfolios' federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue
Service.
25
G. 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. 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 following is a summary of the location of derivative instrument holdings
on the Portfolios' Statements of Operations categorized by primary risk
exposure for the year ended October 31, 2017 (amounts in thousands):
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Equity Contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------------
EQUITY
TOTAL CONTRACTS*(1)
----- ----------------
LWAS/DFA U.S. High Book to Market Portfolio. $ 51 $ 51
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------------
TOTAL EQUITY CONTRACTS
----- ----------------
LWAS/DFA U.S. High Book to Market Portfolio. $(14) $(14)
* 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.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
26
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
There were no borrowings by the Portfolios under the lines of credit during
the year ended 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.
I. 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.
J. 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.
K. 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
------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio. 2 92%
DFA Two-Year Fixed Income Portfolio......... 3 96%
DFA Two-Year Government Portfolio........... 3 97%
27
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee (the "Trustee") on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
parties appealed the Court's dismissal order to the United States Court of
Appeals for the Second Circuit (the "Second Circuit"), and, on March 29, 2016,
the Second Circuit affirmed the dismissal, albeit on the grounds that the
individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's
safe harbor for securities transactions. The individual creditor plaintiffs
have petitioned the Supreme Court of the United States to review the Second
Circuit's ruling, and that petition is pending. On January 6, 2017, the Court
granted the shareholder defendant's motion to dismiss the claims against them
in the Committee Action. The Trustee requested that the Court certify the
dismissal order for appeal to the Second Circuit, and the District Court
advised that it will certify the dismissal order for appeal after it rules on
the additional pending motions to dismiss (not involving the shareholder
defendants).
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The U.S. Large Cap Value
Series at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be borne by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expenses incurred by The U.S. Large Cap Value
Series.
L. SUBSEQUENT EVENT EVALUATIONS:
The Board of Directors of the Fund, on behalf of the LWAS/DFA U.S. High Book
to Market Portfolio (the "LWAS Portfolio"), approved an Agreement and Plan of
Reorganization, under which the LWAS Portfolio will be reorganized with and
into the U.S. Large Cap Value Portfolio III (the "Large Cap Value Portfolio
III"), another portfolio of the Fund (the "Reorganization"). The LWAS Portfolio
and the Large Cap Value Portfolio III have identical investment objectives and
fundamental investment restrictions, and each Portfolio invests substantially
all of its assets in The U.S. Large Cap Value Series, a series of The DFA
Investment Trust Company. Shareholder approval of the Reorganization is not
required and will not be solicited. It is currently expected that the
Reorganization will be completed on or about February 26, 2018. Management has
evaluated the impact of all subsequent events on the remaining 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.
28
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of the Portfolios, as defined
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of LWAS/DFA U.S. High
Book to Market Portfolio, DFA Two-Year Fixed Income Portfolio and DFA Two-Year
Government Portfolio (three 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 and transfer agents of the investee funds, provide a reasonable basis
for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
29
DFA INVESTMENT DIMENSIONS GROUP
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
LWAS/DFA International MSCI World
High Book to ex USA Index
Market Portfolio (net dividends)
------------------------- ---------------
10/2007 $10,000 $10,000
11/2007 $9,394 $9,609
12/2007 $9,191 $9,428
01/2008 $8,443 $8,578
02/2008 $8,335 $8,734
03/2008 $8,432 $8,609
04/2008 $8,806 $9,088
05/2008 $8,810 $9,225
06/2008 $7,937 $8,508
07/2008 $7,711 $8,205
08/2008 $7,387 $7,888
09/2008 $6,524 $6,749
10/2008 $4,886 $5,345
11/2008 $4,586 $5,055
12/2008 $4,923 $5,322
01/2009 $4,241 $4,825
02/2009 $3,720 $4,337
03/2009 $4,126 $4,623
04/2009 $4,888 $5,219
05/2009 $5,610 $5,879
06/2009 $5,525 $5,818
07/2009 $6,177 $6,364
08/2009 $6,531 $6,669
09/2009 $6,866 $6,944
10/2009 $6,593 $6,833
11/2009 $6,784 $7,002
12/2009 $6,861 $7,113
01/2010 $6,467 $6,780
02/2010 $6,488 $6,773
03/2010 $6,997 $7,209
04/2010 $6,880 $7,102
05/2010 $6,071 $6,318
06/2010 $5,959 $6,227
07/2010 $6,710 $6,802
08/2010 $6,380 $6,599
09/2010 $7,062 $7,232
10/2010 $7,308 $7,489
11/2010 $6,935 $7,172
12/2010 $7,582 $7,750
01/2011 $7,905 $7,917
02/2011 $8,169 $8,210
03/2011 $7,943 $8,046
04/2011 $8,365 $8,484
05/2011 $8,056 $8,232
06/2011 $7,945 $8,115
07/2011 $7,692 $7,981
08/2011 $6,864 $7,307
09/2011 $6,114 $6,573
10/2011 $6,701 $7,212
11/2011 $6,477 $6,879
12/2011 $6,300 $6,804
01/2012 $6,725 $7,171
02/2012 $7,077 $7,565
03/2012 $7,015 $7,509
04/2012 $6,762 $7,382
05/2012 $5,927 $6,540
06/2012 $6,345 $6,969
07/2012 $6,320 $7,056
08/2012 $6,579 $7,257
09/2012 $6,811 $7,477
10/2012 $6,895 $7,530
11/2012 $7,004 $7,688
12/2012 $7,349 $7,920
01/2013 $7,694 $8,310
02/2013 $7,458 $8,227
03/2013 $7,479 $8,292
04/2013 $7,851 $8,670
05/2013 $7,751 $8,476
06/2013 $7,481 $8,158
07/2013 $7,989 $8,592
08/2013 $7,934 $8,482
09/2013 $8,522 $9,081
10/2013 $8,819 $9,386
11/2013 $8,847 $9,443
12/2013 $9,045 $9,586
01/2014 $8,712 $9,199
02/2014 $9,201 $9,701
03/2014 $9,140 $9,657
04/2014 $9,289 $9,809
05/2014 $9,388 $9,961
06/2014 $9,511 $10,103
07/2014 $9,288 $9,923
08/2014 $9,288 $9,931
09/2014 $8,884 $9,523
10/2014 $8,732 $9,371
11/2014 $8,732 $9,487
12/2014 $8,408 $9,171
01/2015 $8,345 $9,139
02/2015 $8,941 $9,685
03/2015 $8,758 $9,523
04/2015 $9,229 $9,935
05/2015 $9,229 $9,849
06/2015 $8,961 $9,569
07/2015 $8,876 $9,721
08/2015 $8,216 $9,013
09/2015 $7,656 $8,558
10/2015 $8,244 $9,201
11/2015 $8,126 $9,055
12/2015 $7,874 $8,893
01/2016 $7,257 $8,280
02/2016 $7,021 $8,165
03/2016 $7,548 $8,719
04/2016 $7,920 $8,999
05/2016 $7,762 $8,898
06/2016 $7,482 $8,627
07/2016 $7,815 $9,052
08/2016 $8,022 $9,060
09/2016 $8,113 $9,170
10/2016 $8,206 $8,992
11/2016 $8,252 $8,848
12/2016 $8,520 $9,137
01/2017 $8,881 $9,409
02/2017 $8,822 $9,517
03/2017 $9,019 $9,759
04/2017 $9,147 $9,967
05/2017 $9,310 $10,299
06/2017 $9,412 $10,308
07/2017 $9,851 $10,615
08/2017 $9,839 $10,613 Past performance is not predictive of
09/2017 $10,190 $10,888 future performance.
10/2017 $10,380 $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
26.51% 8.53% 0.37% rights reserved.
--------------------------------------------------------------------------------
30
DFA INVESTMENT DIMENSIONS 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.
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%
31
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
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 funds' relative performance.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
The LWAS/DFA International High Book to Market Portfolio seeks to capture
the returns of International large-cap value stocks by purchasing shares of The
DFA International Value Series, a Master Fund managed by Dimensional that
invests in such stocks. Value is measured primarily by book-to-market 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 Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 26.51% for the
Portfolio 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 the
International equity market 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 also had a positive impact on relative performance, as REITs
and utilities underperformed the benchmark.
32
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2017
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO**
------------------------------------------------------
Actual Fund Return..................................... $1,000.00 $1,134.80 0.28% $1.51
Hypothetical 5% Annual Return.......................... $1,000.00 $1,023.79 0.28% $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.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
33
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 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 of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by country.
FEEDER FUND
AFFILIATED INVESTMENT COMPANY
-----------------------------
LWAS/DFA International High Book to Market Portfolio. 100.0%
34
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $58,137,452
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $58,137,452
===========
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.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investment in The DFA International Value Series of
The DFA Investment Trust Company (Affiliated Investment Company) at Value............. $ 58,137
Prepaid Expenses and Other Assets...................................................... 7
--------------
Total Assets...................................................................... 58,144
--------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 6
Accrued Expenses and Other Liabilities................................................. 9
--------------
Total Liabilities................................................................. 15
--------------
NET ASSETS............................................................................. $ 58,129
==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 6,668,405
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 8.72
==============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 46,652
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 125
Accumulated Net Realized Gain (Loss)................................................... 211
Net Unrealized Foreign Exchange Gain (Loss)............................................ 5
Net Unrealized Appreciation (Depreciation)............................................. 11,136
--------------
NET ASSETS............................................................................. $ 58,129
==============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 1,000,000,000
==============
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO*#
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Company:
Dividends (Net of Foreign Taxes Withheld of $160)............................................... $ 1,923
Income from Securities Lending.................................................................. 47
Expenses Allocated from Affiliated Investment Company........................................... (118)
-------
Total Investment Income........................................................................ 1,852
-------
EXPENSES
Investment Management Fees........................................................................ 117
Accounting & Transfer Agent Fees.................................................................. 5
Shareholder Servicing Fees........................................................................ 34
Filing Fees....................................................................................... 19
Shareholders' Reports............................................................................. 7
Directors'/Trustees' Fees & Expenses.............................................................. 1
Professional Fees................................................................................. 2
-------
Total Expenses................................................................................. 185
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C). (112)
-------
Net Expenses...................................................................................... 73
-------
NET INVESTMENT INCOME (LOSS)...................................................................... 1,779
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................................... 1,468
Futures......................................................................................... 83
Foreign Currency Transactions................................................................... (15)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... 9,982
Futures......................................................................................... (44)
Translation of Foreign Currency Denominated Amounts............................................. 6
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................... 11,480
-------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................... $13,259
=======
----------
* 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.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LWAS/DFA INTERNATIONAL
HIGH BOOK TO MARKET
PORTFOLIO
---------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
-------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................................................... $ 1,779 $ 1,822
Net Realized Gain (Loss) on:
Investment Securities Sold*........................................................ 1,468 (1,293)
Futures............................................................................ 83 37
Foreign Currency Transactions...................................................... (15) 33
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... 9,982 (990)
Futures............................................................................ (44) (7)
Translation of Foreign Currency Denominated Amounts................................ 6 (5)
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 13,259 (403)
-------- --------
Distributions From:
Net Investment Income................................................................ (1,870) (1,752)
Net Long-Term Gains.................................................................. -- (2,241)
-------- --------
Total Distributions............................................................... (1,870) (3,993)
-------- --------
Capital Share Transactions (1):
Shares Issued........................................................................ 1,257 4,830
Shares Issued in Lieu of Cash Distributions.......................................... 1,870 3,993
Shares Redeemed...................................................................... (10,612) (10,274)
-------- --------
Net Increase (Decrease) from Capital Share Transactions........................... (7,485) (1,451)
-------- --------
Total Increase (Decrease) in Net Assets........................................... 3,904 (5,847)
NET ASSETS
Beginning of Year.................................................................... 54,225 60,072
-------- --------
End of Year.......................................................................... $ 58,129 $ 54,225
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................................ 159 692
Shares Issued in Lieu of Cash Distributions.......................................... 239 583
Shares Redeemed...................................................................... (1,331) (1,469)
-------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........................... (933) (194)
======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME). $ 125 $ 290
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
---------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------
Net Asset
Value,
Beginning
of Year........... $ 7.13 $ 7.71 $ 8.61 $ 9.50 $ 8.22
------- ------- ------- ------- -------
Income
from
Investment
Operations
----------
Net
Investment
Income
(Loss)
(A)............. 0.25 0.23 0.25 0.39 0.25
Net
Gains
(Losses)
on
Securities
(Realized
and
Unrealized)..... 1.61 (0.29) (0.72) (0.47) 1.87
------- ------- ------- ------- -------
Total
from
Investment
Operations..... 1.86 (0.06) (0.47) (0.08) 2.12
------------------------------------------------------------------------
Less
Distributions
-------------
Net
Investment
Income.......... (0.27) (0.23) (0.24) (0.38) (0.27)
Net
Realized
Gains........... -- (0.29) (0.19) (0.43) (0.57)
------- ------- ------- ------- -------
Total
Distributions.. (0.27) (0.52) (0.43) (0.81) (0.84)
------------------------------------------------------------------------
Net Asset
Value,
End of
Year.............. $ 8.72 $ 7.13 $ 7.71 $ 8.61 $ 9.50
================= ========= ========= ========= ========= =========
Total
Return............ 26.51% (0.46)% (5.59)% (0.99)% 27.91%
------------------------------------------------------------------------
Net
Assets,
End of
Year
(thousands)....... $58,129 $54,225 $60,072 $68,666 $77,901
Ratio of
Expenses
to
Average
Net
Assets
(B)............... 0.35% 0.48% 0.47% 0.50% 0.49%
Ratio of
Expenses
to
Average
Net
Assets
(Excluding
Fees
(Waived),
(Expenses
Reimbursed),
and/or
Previously
Waived
Fees
Recovered
by
Advisor)
(B)............... 0.55% 0.68% 0.53% 0.50% 0.49%
Ratio of
Net
Investment
Income
to
Average
Net
Assets............ 3.18% 3.42% 3.05% 4.28% 2.91%
------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of one hundred operational
portfolios, one of which, LWAS/DFA International High Book to Market Portfolio
(the "Portfolio"), is presented in this report. The remaining operational
portfolios are presented in separate reports. The Portfolio is an investment
company, and accordingly, follows the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
The Portfolio primarily invests its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At October 31, 2017, the Portfolio owned less than 1% of the Series.
The financial statements of the Series are included elsewhere in this report
and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
40
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 Directors is included in Accrued Expenses and Other Liabilities
on the Statement of Assets and Liabilities in the amount of $4 (in thousands).
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of October 31, 2017, none of the Directors
have requested or received a distribution of proceeds of a deferred fee account.
3. Other: The Portfolio recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Distributions received on
securities that represent a return of capital or capital gains are recorded as
a reduction of cost of investments or as a realized gain, respectively.
Expenses directly attributable to the Portfolio are directly charged. Common
expenses of the Fund or the Portfolios are allocated using methods approved by
the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
For the year ended October 31, 2017, the Portfolio's investment management
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.21% of the Portfolio's average daily net assets.
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of the Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by the
Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in the DFA Short Term Investment Fund, to
0.21% of the average net assets of a class of the Portfolio on an annualized
basis. The Fee Waiver Agreement for the Portfolio will remain in effect
permanently, unless terminated by the Fund.
For the period ended October 31, 2017 approximately $112 (in thousands) of
the Portfolio's management fees were waived pursuant to the Fee Waiver
Agreement.
Prior to February 28, 2017, pursuant to a Client Service Agreement with LWI
Financial Inc. ("LWIF"), the Portfolio paid a monthly Shareholder Servicing Fee
to LWIF at an effective annual rate of 0.19% of its average daily net assets.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the 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.
41
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to net foreign
currency gains (losses) and gains on securities considered to be "passive
foreign investment companies", tax equalization and foreign capital gains tax
were reclassified to the following accounts. These reclassifications had no
effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
LWAS/DFA International High Book to Market Portfolio. $85 $(74) $(11)
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 TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
LWAS/DFA International High Book to Market Portfolio
2016................................................. $1,752 $2,241 -- $3,993
2017................................................. 1,870 -- -- 1,870
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
-------------- ------------- -----
LWAS/DFA International High Book to Market Portfolio. $(69) $(16) $(85)
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)
-------------- ------------- ------------- -------------- -------------
LWAS/DFA International High Book to
Market Portfolio.................. $306 $406 -- $10,772 $11,484
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
42
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 no capital loss
carryforwards available to offset future realized capital gains.
During the year ended October 31, 2017, the Portfolio utilized the following
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands):
LWAS/DFA International High Book to Market Portfolio. $1,184
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)
-------- ------------ ------------ --------------
LWAS/DFA International High Book to Market Portfolio. $47,366 $10,772 -- $10,772
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
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.
E. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolio.
1. Futures Contracts: The Portfolio 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 Portfolio. The Portfolio, however, does not intend to sell futures
contracts to establish short positions in individual securities. When the
contracts are closed, the Portfolio records a realized gain or loss, which is
presented in the Statement of Operations as a net realized gain or loss on
futures, equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolio 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 following is a summary of the location of derivative instrument holdings
on the Portfolios' Statements of Operations categorized by primary risk
exposure for the year ended October 31, 2017 (amounts in thousands):
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Equity Contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
43
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-------------------------
EQUITY
TOTAL CONTRACTS*(1)
----- -------------
LWAS/DFA International High Book to Market Portfolio. $ 83 $ 83
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-------------------------
EQUITY
TOTAL CONTRACTS
----- -------------
LWAS/DFA International High Book to Market Portfolio. $(44) $(44)
* 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.
F. 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 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.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
44
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. 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.
I. OTHER:
At October 31, 2017, two shareholders held approximately 94% of the
outstanding shares of the Portfolio. One or more of the shareholders may be
omnibus accounts, which typically hold shares for the benefit of several other
underlying investors.
J. SUBSEQUENT EVENT EVALUATIONS:
The Board of Directors of the Fund, on behalf of the Portfolio, approved an
Agreement and Plan of Reorganization, under which the Portfolio will be
reorganized with and into the DFA International Value Portfolio III (the
"International Portfolio III"), a portfolio of Dimensional Investment Group
Inc. (the "Reorganization"). The Portfolio and the International Portfolio III
have identical investment objectives and fundamental investment restrictions,
and each Portfolio invests substantially all of its assets in The DFA
International Value Series, a series of The DFA Investment Trust Company.
Shareholder approval of the Reorganization is not required and will not be
solicited. It is currently expected that the Reorganization will be completed
on or about February 26, 2018.
45
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of LWAS/DFA International High Book to Market Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of LWAS/DFA International High Book
to Market Portfolio (one of the portfolios constituting DFA Investment
Dimensions Group Inc., hereafter referred to as the "Portfolio") as of
October 31, 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 transfer agent
of the investee fund, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
46
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The U.S. Large Cap Russell 1000/R/
Value Series Value Index
---------------------- ---------------
10/2007 $10,000 $10,000
11/2007 $9,441 $9,511
12/2007 $9,410 $9,419
01/2008 $9,050 $9,042
02/2008 $8,773 $8,663
03/2008 $8,691 $8,598
04/2008 $9,239 $9,017
05/2008 $9,460 $9,003
06/2008 $8,423 $8,141
07/2008 $8,332 $8,112
08/2008 $8,493 $8,250
09/2008 $7,730 $7,644
10/2008 $5,992 $6,320
11/2008 $5,405 $5,867
12/2008 $5,580 $5,949
01/2009 $4,918 $5,265
02/2009 $4,229 $4,561
03/2009 $4,647 $4,951
04/2009 $5,398 $5,482
05/2009 $5,812 $5,821
06/2009 $5,741 $5,778
07/2009 $6,287 $6,251
08/2009 $6,714 $6,578
09/2009 $7,008 $6,832
10/2009 $6,705 $6,623
11/2009 $7,083 $6,996
12/2009 $7,279 $7,120
01/2010 $7,110 $6,920
02/2010 $7,417 $7,138
03/2010 $7,995 $7,603
04/2010 $8,248 $7,800
05/2010 $7,541 $7,158
06/2010 $6,972 $6,755
07/2010 $7,519 $7,213
08/2010 $7,066 $6,904
09/2010 $7,755 $7,440
10/2010 $8,044 $7,663
11/2010 $7,982 $7,622
12/2010 $8,760 $8,224
01/2011 $9,040 $8,410
02/2011 $9,529 $8,720
03/2011 $9,574 $8,755
04/2011 $9,818 $8,988
05/2011 $9,676 $8,893
06/2011 $9,507 $8,711
07/2011 $9,071 $8,422
08/2011 $8,306 $7,896
09/2011 $7,466 $7,299
10/2011 $8,502 $8,135
11/2011 $8,431 $8,093
12/2011 $8,497 $8,256
01/2012 $8,920 $8,568
02/2012 $9,436 $8,910
03/2012 $9,609 $9,174
04/2012 $9,413 $9,081
05/2012 $8,746 $8,548
06/2012 $9,218 $8,972
07/2012 $9,307 $9,065
08/2012 $9,676 $9,262
09/2012 $10,032 $9,556
10/2012 $10,058 $9,509
11/2012 $10,080 $9,505
12/2012 $10,387 $9,702
01/2013 $11,112 $10,332
02/2013 $11,254 $10,480
03/2013 $11,792 $10,896
04/2013 $11,917 $11,060
05/2013 $12,406 $11,344
06/2013 $12,268 $11,244
07/2013 $13,002 $11,851
08/2013 $12,619 $11,402
09/2013 $12,988 $11,687
10/2013 $13,647 $12,199
11/2013 $14,220 $12,540
12/2013 $14,598 $12,857
01/2014 $14,020 $12,401
02/2014 $14,496 $12,937
03/2014 $14,838 $13,246
04/2014 $14,936 $13,372
05/2014 $15,265 $13,567
06/2014 $15,679 $13,922
07/2014 $15,568 $13,685
08/2014 $16,061 $14,187
09/2014 $15,665 $13,895
10/2014 $15,785 $14,207
11/2014 $15,972 $14,498
12/2014 $16,092 $14,587
01/2015 $15,296 $14,004
02/2015 $16,377 $14,681
03/2015 $16,066 $14,482
04/2015 $16,390 $14,617
05/2015 $16,572 $14,793
06/2015 $16,306 $14,497
07/2015 $16,266 $14,561
08/2015 $15,278 $13,694
09/2015 $14,789 $13,280
10/2015 $15,994 $14,282
11/2015 $16,057 $14,337
12/2015 $15,554 $14,029
01/2016 $14,496 $13,304
02/2016 $14,523 $13,300
03/2016 $15,581 $14,258
04/2016 $16,003 $14,558
05/2016 $16,221 $14,784
06/2016 $16,203 $14,912
07/2016 $16,764 $15,345
08/2016 $16,964 $15,463
09/2016 $17,044 $15,431
10/2016 $16,755 $15,192
11/2016 $18,071 $16,060
12/2016 $18,525 $16,461
01/2017 $18,791 $16,578
02/2017 $19,365 $17,174
03/2017 $19,183 $16,999
04/2017 $19,316 $16,967
05/2017 $19,294 $16,951
06/2017 $19,618 $17,228
07/2017 $19,952 $17,457 Past performance is not predictive of
08/2017 $19,765 $17,253 future performance.
09/2017 $20,530 $17,764 The returns shown do not reflect the
10/2017 $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)
----------------- ------------------------
10/2007 $10,000 $10,000
11/2007 $9,394 $9,609
12/2007 $9,192 $9,428
01/2008 $8,447 $8,578
02/2008 $8,340 $8,734
03/2008 $8,440 $8,609
04/2008 $8,817 $9,088
05/2008 $8,821 $9,225
06/2008 $7,949 $8,508
07/2008 $7,724 $8,205
08/2008 $7,401 $7,888
09/2008 $6,536 $6,749
10/2008 $4,897 $5,345
11/2008 $4,597 $5,055
12/2008 $4,945 $5,322
01/2009 $4,262 $4,825
02/2009 $3,738 $4,337
03/2009 $4,146 $4,623
04/2009 $4,910 $5,219
05/2009 $5,640 $5,879
06/2009 $5,554 $5,818
07/2009 $6,215 $6,364
08/2009 $6,571 $6,669
09/2009 $6,906 $6,944
10/2009 $6,631 $6,833
11/2009 $6,829 $7,002
12/2009 $6,906 $7,113
01/2010 $6,507 $6,780
02/2010 $6,533 $6,773
03/2010 $7,048 $7,209
04/2010 $6,927 $7,102
05/2010 $6,116 $6,318
06/2010 $6,009 $6,227
07/2010 $6,760 $6,802
08/2010 $6,430 $6,599
09/2010 $7,121 $7,232
10/2010 $7,370 $7,489
11/2010 $7,000 $7,172
12/2010 $7,653 $7,750
01/2011 $7,979 $7,917
02/2011 $8,245 $8,210
03/2011 $8,018 $8,046
04/2011 $8,447 $8,484
05/2011 $8,142 $8,232
06/2011 $8,031 $8,115
07/2011 $7,773 $7,981
08/2011 $6,940 $7,307
09/2011 $6,181 $6,573
10/2011 $6,777 $7,212
11/2011 $6,554 $6,879
12/2011 $6,378 $6,804
01/2012 $6,807 $7,171
02/2012 $7,164 $7,565
03/2012 $7,103 $7,509
04/2012 $6,850 $7,382
05/2012 $6,005 $6,540
06/2012 $6,430 $6,969
07/2012 $6,404 $7,056
08/2012 $6,670 $7,257
09/2012 $6,906 $7,477
10/2012 $6,992 $7,530
11/2012 $7,103 $7,688
12/2012 $7,451 $7,920
01/2013 $7,803 $8,310
02/2013 $7,567 $8,227
03/2013 $7,593 $8,292
04/2013 $7,966 $8,670
05/2013 $7,872 $8,476
06/2013 $7,593 $8,158
07/2013 $8,112 $8,592
08/2013 $8,056 $8,482
09/2013 $8,662 $9,081
10/2013 $8,962 $9,386
11/2013 $8,996 $9,443
12/2013 $9,194 $9,586
01/2014 $8,859 $9,199
02/2014 $9,365 $9,701
03/2014 $9,297 $9,657
04/2014 $9,456 $9,809
05/2014 $9,563 $9,961
06/2014 $9,679 $10,103
07/2014 $9,464 $9,923
08/2014 $9,468 $9,931
09/2014 $9,052 $9,523
10/2014 $8,898 $9,371
11/2014 $8,902 $9,487
12/2014 $8,571 $9,171
01/2015 $8,516 $9,139
02/2015 $9,125 $9,685
03/2015 $8,932 $9,523
04/2015 $9,421 $9,935
05/2015 $9,426 $9,849
06/2015 $9,155 $9,569
07/2015 $9,065 $9,721
08/2015 $8,391 $9,013
09/2015 $7,820 $8,558
10/2015 $8,421 $9,201
11/2015 $8,310 $9,055
12/2015 $8,043 $8,893
01/2016 $7,417 $8,280
02/2016 $7,181 $8,165
03/2016 $7,726 $8,719
04/2016 $8,099 $8,999
05/2016 $7,949 $8,898
06/2016 $7,661 $8,627
07/2016 $8,001 $9,052
08/2016 $8,215 $9,060
09/2016 $8,305 $9,170
10/2016 $8,413 $8,992
11/2016 $8,451 $8,848
12/2016 $8,734 $9,137
01/2017 $9,108 $9,409
02/2017 $9,048 $9,517
03/2017 $9,250 $9,759
04/2017 $9,383 $9,967
05/2017 $9,546 $10,299
06/2017 $9,649 $10,308
07/2017 $10,104 $10,615 Past performance is not predictive of
08/2017 $10,095 $10,613 future performance.
09/2017 $10,456 $10,888 The returns shown do not reflect the
10/2017 $10,644 $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
26.53% 8.77% 0.63% rights reserved.
--------------------------------------------------------------------------------
47
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 less profitable stocks, and the Series'
greater emphasis on more profitable stocks 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.
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.
48
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.
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%
49
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
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 funds' 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.
50
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
----------
* 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.
51
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%
52
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%
53
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%
=============== ======
54
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.
55
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%
-------------- ----
56
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (0.2%)
Other Securities...................... $ 30,764,664 0.2%
-------------- -----
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%
57
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
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%
--------------- ------
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
============ ============ ==========
58
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.
59
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE THE DFA
CAP VALUE INTERNATIONAL
SERIES* VALUE SERIES*
-------------- -------------
ASSETS:
Investments at Value (including $1,536,545 and $671,908 of securities on loan,
respectively)................................................................................ $27,395,893 $12,573,213
Temporary Cash Investments at Value & Cost.................................................... 272,071 --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $522,384
and $593,874)................................................................................ 522,421 593,861
Segregated Cash for Futures Contracts......................................................... 6,624 3,846
Foreign Currencies at Value................................................................... -- 52,788
Cash.......................................................................................... -- 53,297
Receivables:
Investment Securities Sold.................................................................. 21,871 5,948
Dividends, Interest and Tax Reclaims........................................................ 30,022 44,910
Securities Lending Income................................................................... 273 795
Futures Margin Variation.................................................................... 324 265
----------- -----------
Total Assets............................................................................. 28,249,499 13,328,923
----------- -----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 522,365 593,795
Investment Securities Purchased............................................................. 46,685 --
Due to Advisor.............................................................................. 2,336 2,141
Accrued Expenses and Other Liabilities........................................................ 1,567 837
----------- -----------
Total Liabilities........................................................................ 572,953 596,773
----------- -----------
NET ASSETS.................................................................................... $27,676,546 $12,732,150
=========== ===========
Investments at Cost........................................................................... $18,606,092 $10,456,529
=========== ===========
Foreign Currencies at Cost.................................................................... $ -- $ 53,423
=========== ===========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
60
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP INTERNATIONAL
VALUE SERIES# VALUE SERIES#
------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1 and $32,179, respectively). $ 565,477 $ 332,211
Non Cash Income........................................................... -- 55,069
Income from Securities Lending............................................ 2,756 9,477
---------- ----------
Total Investment Income................................................ 568,233 396,757
---------- ----------
EXPENSES
Investment Management Fees................................................ 24,712 22,418
Accounting & Transfer Agent Fees.......................................... 1,102 509
Custodian Fees............................................................ 255 962
Directors'/Trustees' Fees & Expenses...................................... 241 108
Professional Fees......................................................... 369 229
Other..................................................................... 574 345
---------- ----------
Total Expenses......................................................... 27,253 24,571
---------- ----------
Fees Paid Indirectly (Note C)............................................. -- (877)
---------- ----------
Net Expenses.............................................................. 27,253 23,694
---------- ----------
NET INVESTMENT INCOME (LOSS).............................................. 540,980 373,063
---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................ 1,415,252 133,582
Affiliated Investment Companies Shares Sold............................. (4) 55
Futures................................................................. 22,013 16,570
Foreign Currency Transactions........................................... -- (2,679)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................. 3,199,777 2,126,222
Affiliated Investment Companies Shares.................................. (95) (73)
Futures................................................................. 11,932 3,736
Translation of Foreign Currency Denominated Amounts..................... -- 1,069
---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................... 4,648,875 2,278,482
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............. $5,189,855 $2,651,545
========== ==========
----------
**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.
61
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP THE DFA INTERNATIONAL
VALUE SERIES VALUE SERIES
------------------------ -----------------------
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)................................ $ 540,980 $ 464,438 $ 373,063 $ 332,006
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 1,415,252 567,193 133,582 (261,808)
Affiliated Investment Companies Shares Sold............... (4) -- 55 --
Futures................................................... 22,013 21,037 16,570 5,988
Foreign Currency Transactions............................. -- -- (2,679) 5,590
Forward Currency Contracts................................ -- -- -- 8
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 3,199,777 (57,128) 2,126,222 (32,753)
Affiliated Investment Companies Shares.................... (95) -- (73) --
Futures................................................... 11,932 (3,872) 3,736 (852)
Translation of Foreign Currency Denominated Amounts....... -- -- 1,069 (908)
----------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 5,189,855 991,668 2,651,545 47,271
----------- ----------- ----------- ----------
Transactions in Interest:
Contributions............................................... 2,626,519 1,812,211 995,812 1,394,282
Withdrawals................................................. (1,056,396) (981,368) (644,747) (939,918)
----------- ----------- ----------- ----------
Net Increase (Decrease) from Transactions in Interest.... 1,570,123 830,843 351,065 454,364
----------- ----------- ----------- ----------
Total Increase (Decrease) in Net Assets.................. 6,759,978 1,822,511 3,002,610 501,635
NET ASSETS
Beginning of Year........................................... 20,916,568 19,094,057 9,729,540 9,227,905
----------- ----------- ----------- ----------
End of Year................................................. $27,676,546 $20,916,568 $12,732,150 $9,729,540
=========== =========== =========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
62
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 Expenses to Average Net Assets (Excluding Fees
Paid Indirectly)....................................... 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 YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------
Total Return............................................ 26.53% (0.10)% (5.35)% (0.72)% 28.18%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $12,732,150 $9,729,540 $9,227,905 $9,343,666 $8,792,130
Ratio of Expenses to Average Net Assets................. 0.21% 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% 0.22%
Ratio of Net Investment Income to Average Net Assets.... 3.33% 3.72% 3.31% 4.50% 3.20%
Portfolio Turnover Rate................................. 17% 17% 21% 17% 15%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
63
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, two of which, The U.S. Large Cap Value
Series and The DFA International Value Series (the "Series"), are presented in
this report. The remaining operational portfolios are presented in separate
reports. The Series are investment companies, and accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 2:00 a.m. ET), which is fourteen hours before the close of
64
the NYSE (normally, 4:00 p.m. ET) and the time that the net asset value of the
International Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the time the
International Series prices its shares at the close of the NYSE, the
International Series will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Series foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined
that the use of such prices will have a material impact on the net asset value
of the International Series. When the International Series uses fair value
pricing, the values assigned to the International Series' foreign investments
may not be the quoted or published prices of the investments on their primary
markets or exchanges. These securities are generally categorized as Level 2 in
the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy. Over-the-counter derivative contracts, which include forward
currency contracts, do not require material subjectivity as pricing inputs are
observed from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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 Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such 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.
65
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 Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series. For the year ended October 31, 2017, the investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.10% and 0.20% of average daily net assets for The
U.S. Large Cap Value Series and The DFA International Value Series,
respectively.
EARNED INCOME CREDIT:
In addition, the Series entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of the Series' net assets.
During the year ended October 31, 2017, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
- ----------
The DFA International Value Series. $877
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.
66
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
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2017, the Series made the following purchases
and sales of investment securities, other than short-term securities and U.S.
government securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series.... $5,711,924 $3,550,329
The DFA International Value Series. 2,380,334 1,837,613
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
======== ========== ========== === ==== ======== ====== ======
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................. --
==
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 difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
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
67
each Series' tax positions and has concluded that no additional provision for
income tax is required in any Series' financial statements. No Series is aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each Series' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. Futures Contracts: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposit cash or pledges U.S. government securities
to a broker, equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and
are recorded daily by the Series as unrealized gains or losses until the
contracts are closed. When the contracts are closed, the Series record a
realized gain or loss, which is presented in the Statements of Operations as a
net realized gain or loss on futures, equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Series could lose more than
the initial margin requirements. The Series entering into stock index futures
are subject to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
3. Forward Currency Contracts: The International Series may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge a Series' currency exposure with respect to a
foreign market will be based primarily on the Series' existing exposure to a
given foreign currency. Each contract is valued daily and the change in value
is recorded by the Series as an unrealized gain or loss, which is presented in
the Statement of Operations as the change in unrealized appreciation or
depreciation from translation of foreign-currency-denominated amounts. When the
contract is closed or offset with the same counterparty, the Series records a
realized gain or loss equal to the change in the value of the contract when it
was opened and the value at the time it was closed or offset. This is presented
in the Statement of Operations as a net realized gain or loss on foreign
currency transactions. Risks may arise upon entering into these contracts from
the potential inability of counterparties to meet the terms of their contracts
and from unanticipated movements in the value of foreign currency relative to
the U.S. dollar.
68
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 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 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
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location of derivative instrument holdings
on the Series' Statements of Operations categorized by primary risk exposure
for the 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 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
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
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
69
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
There were no borrowings by the Series under the lines of credit during the
year ended 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.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice. The Series did not utilize the interfund lending program
during the year ended October 31, 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 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):
REALIZED
PORTFOLIO PURCHASES SALES 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
J. SECURITIES LENDING:
As of October 31, 2017, each Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. Each Series
invests the cash collateral, as described below, and records a liability for
the return of the collateral, during the period the securities are on loan. In
addition, The U.S. Large Cap Value Series, and The DFA International Value
Series, received non-cash collateral consisting of short and/or long term U.S.
Treasury and U.S. government agency securities with a market value of
$1,023,222 and $124,520 (amounts in thousands), respectively. Loans of
securities are expected at all times to be secured by collateral in an amount
(i) equal to at least 100% of the current market value of the loaned securities
with respect to securities of the U.S. government or its agencies,
(ii) generally equal to 102% of the current market value of the loaned
securities with respect to U.S. securities, and (iii) generally equal to 105%
of the current market value of the loaned securities with respect to
70
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 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
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. 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.
71
M. OTHER:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee (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.
72
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of the Series, as defined
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series and The DFA International Value Series (two 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, broker and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
73
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.
74
OTHER
TERM OF PORTFOLIOS WITHIN DIRECTORSHIPS OF
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND PUBLIC COMPANIES
AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
------------------------------------------------------------------------------------------------------------------------------
George M. Director of DFAIDG- Since Leo Melamed Professor of 126 portfolios in None
Constantinides DFAIDG and DIG 1983 Finance, University of 4 investment
University of Trustee of DIG- Since 1993 Chicago Booth School of companies
Chicago Booth DFAITC and DFAITC- Since Business (since 1978).
School of Business DEM 1992
5807 S. Woodlawn DEM- Since 1993
Avenue
Chicago, IL 60637
1947
------------------------------------------------------------------------------------------------------------------------------
Douglas W. Director of DFAIDG- Since Merton H. Miller 126 portfolios in None
Diamond DFAIDG and DIG June 2017 Distinguished Service 4 investment
University of Trustee of DIG- Since June Professor of Finance, companies
Chicago Booth DFAITC and 2017 University of Chicago Booth
School of Business DEM DFAITC- Since School of Business (since
5807 S. Woodlawn June 2017 1988). Visiting Scholar,
Avenue DEM- Since June Federal Reserve Bank of
Chicago, IL 60637 2017 Richmond (since 1990).
1953 Formerly, Fischer Black
Visiting Professor of Financial
Economics, Alfred P. Sloan
School of Management,
Massachusetts Institute of
Technology (2015 to 2016).
------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Director of DFAIDG- Since Professor in Practice 126 portfolios in None
Yale School of DFAIDG and DIG 1981 Emeritus of Finance, Yale 4 investment
Management Trustee of DIG- Since 1993 School of Management (since companies
P.O. Box 208200 DFAITC and DFAITC- Since 1984). Chairman, CIO and
New Haven, CT DEM 1992 Partner, Zebra Capital
06520-8200 DEM- Since 1993 Management, LLC (hedge
1943 fund and asset manager)
(since 2001). Formerly,
Consultant to Morningstar,
Inc. (2006-2016).
------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Director of DFAIDG- Since Distinguished Visiting Fellow, 126 portfolios in None
Stanford University DFAIDG and DIG 2010 Becker Friedman Institute for 4 investment
Graduate School of Trustee of DIG- Since 2010 Research in Economics, companies
Business DFAITC and DFAITC- Since University of Chicago (since
Knight Management DEM 2010 2015). Morris Arnold Cox
Center, E346 DEM- Since 2010 Senior Fellow, Hoover
Stanford, CA 94305 Institution (since 2002). Jack
1948 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).
------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Director of DFAIDG- Since Chief Investment Strategist, 126 portfolios in Formerly, Adviser,
c/o Dimensional DFAIDG and DIG 1981 Janus Henderson Investors 4 investment Kuapay, Inc. (2013-
Fund Advisors LP Trustee of DIG- Since 1993 (since 2014). Frank E. Buck companies 2014). Formerly,
6300 Bee Cave DFAITC and DFAITC- Since Professor of Finance, Director, American
Road, Building One DEM 1992 Emeritus, Graduate School of Century Fund
Austin, TX 78746 DEM- Since 1993 Business, Stanford University Complex (registered
1941 (since 1981). investment
companies)
(43 Portfolios)
(1980-2014).
------------------------------------------------------------------------------------------------------------------------------
75
OTHER
TERM OF PORTFOLIOS WITHIN DIRECTORSHIPS OF
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND PUBLIC COMPANIES
AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Director of DFAIDG- Since Boris and Irene Stern 126 portfolios in Lead Director,
University of DFAIDG and DIG 2000 Distinguished Service 4 investment (beginning May
Chicago Booth Trustee of DIG- Since 2000 Professor of Accounting, companies 2014) and Director
School of Business DFAITC and DFAITC- Since University of Chicago Booth (since 2000), HNI
5807 S. Woodlawn DEM 2000 School of Business (since Corporation
Avenue DEM- Since 2000 1980). (formerly known as
Chicago, IL 60637 HON Industries
1953 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).
76
OTHER
TERM OF PORTFOLIOS WITHIN DIRECTORSHIPS OF
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND PUBLIC COMPANIES
AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
--------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
--------------------------------------------------------------------------------------------------------------------------
David G. Booth Chairman DFAIDG- Since Chairman, Director/Trustee, 126 portfolios in None
6300 Bee Cave Director of 1981 and formerly, President and 4 investment
Road, Building One DFAIDG and DIG DIG- Since Co-Chief Executive Officer companies
Austin, TX 78746 Trustee of 1992 (each until March 2017) of
1946 DFAITC and DFAITC- Since Dimensional Emerging Markets
DEM 1992 Value Fund ("DEM"), DFAIDG,
DEM- Since Dimensional Investment Group
1993 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.
77
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
1967 Assistant Secretary Entities, DFA 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
1964 Officer 2017); 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 Since 2017 Executive Vice President (since March 2017) and formerly,
1972 President Vice 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
Crossan Global Chief the DFA Entities, DFA Australia Limited and Dimensional
1965 Compliance Officer Fund Advisors Ltd. 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 Since 2017 Executive Vice President and Chief Operating Officer of the
Gilliland President DFA Fund Complex (since March 2017). Executive Vice
1962 President (since 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).
------------------------------------------------------------------------------------------------------------------------
78
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
1958 Financial Officer, and Treasurer of all the DFA Entities. Chief
Treasurer Financial Officer, Treasurer and Vice 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 since 2004 Vice President and Assistant Secretary (since
1973 Assistant Secretary and Assistant Secretary 2004 and March 2017, respectively) of all the DFA
since 2017 Entities and Dimensional Cayman Commodity Fund I
Ltd.
------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
------------------------------------------------------------------------------------------------------------------------
Catherine L. President and General Since 2017 President and General Counsel (since March 2017),
Newell Counsel and formerly, Vice President and Secretary (1997
1964 and 2000, respectively, to 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
1961 Deputy Chief Officer of all the DFA Entities. Deputy Chief
Compliance Officer Compliance Officer (since December 2012) of
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President and Vice President since 2010 Vice President and Secretary (since 2010 and
1974 Secretary and Secretary since 2017 March 2017, respectively) of all the DFA
Entities, Dimensional Cayman Commodity Fund I
Ltd., and Dimensional Fund Advisors Canada ULC
(since April 2016).
------------------------------------------------------------------------------------------------------------------------
79
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
1976 Officer and Chief DFAIDG, DFAITC, DIG and DEM (since September, 2017)
Investment Officer and Dimensional 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).
80
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.
81
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
NET FOR CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND
DIMENSIONAL INVESTMENT GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2)
------------------------------------------- ------------- ------------- ------------- ------------- ------------- ----------
LWAS/DFA U.S. High Book to Market
Portfolio................................. 24% 1% 75% 100% 100% 100%
DFA Two-Year Fixed Income Portfolio........ 100% -- -- 100% -- --
DFA Two-Year Government Portfolio.......... 100% -- -- 100% -- --
LWAS/DFA International High Book to Market
Portfolio................................. 99% -- 1% 100% 100% 100%
QUALIFYING
SHORT-
U.S. FOREIGN FOREIGN QUALIFYING TERM
GOVERNMENT TAX SOURCE INTEREST CAPITAL
DIMENSIONAL INVESTMENT GROUP INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
------------------------------------------- ------------ ---------- ---------- ---------- ----------
LWAS/DFA U.S. High Book to Market
Portfolio................................. -- -- 6% 100% 100%
DFA Two-Year Fixed Income Portfolio........ 4% -- -- 100% 100%
DFA Two-Year Government Portfolio.......... 100% -- -- 100% 100%
LWAS/DFA International High Book to Market
Portfolio................................. -- 4% 100% 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
82
DFA103117-003A
[LOGO] 00202778
[LOGO]
Annual Report
Year Ended: October 31, 2017
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
VA U.S. Targeted Value Portfolio
VA U.S. Large Value Portfolio
VA International Value Portfolio
VA International Small Portfolio
VA Short-Term Fixed Portfolio
VA Global Bond Portfolio
VIT Inflation-Protected Securities Portfolio
DFA VA Global Moderate Allocation Portfolio
VA Equity Allocation Portfolio
[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
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........................... 1
Performance Charts................................................ 2
Management's Discussion and Analysis.............................. 7
Disclosure of Fund Expenses....................................... 13
Disclosure of Portfolio Holdings.................................. 15
Summary Schedules of Portfolio Holdings/Schedules of Investments
VA U.S. Targeted Value Portfolio.............................. 17
VA U.S. Large Value Portfolio................................. 20
VA International Value Portfolio.............................. 23
VA International Small Portfolio.............................. 27
VA Short-Term Fixed Portfolio................................. 31
VA Global Bond Portfolio...................................... 35
VIT Inflation-Protected Securities Portfolio.................. 40
DFA VA Global Moderate Allocation Portfolio................... 41
VA Equity Allocation Portfolio................................ 42
Statements of Assets and Liabilities.............................. 43
Statements of Operations.......................................... 46
Statements of Changes in Net Assets............................... 49
Financial Highlights.............................................. 53
Notes to Financial Statements..................................... 58
Report of Independent Registered Public Accounting Firm........... 75
FUND MANAGEMENT...................................................... 76
VOTING PROXIES ON FUND PORTFOLIO SECURITIES.......................... 83
NOTICE TO SHAREHOLDERS............................................... 84
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS/SCHEDULES OF INVESTMENTS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
SGD Singapore Dollars
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Denominated in USD, unless otherwise noted.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of October 31, 2017.
## 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.
(S) Affiliated Fund.
^^^ Face Amount of security is not adjusted for inflation.
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
Underlying Funds.
(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.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
VA U.S. TARGETED VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
VA U.S. Targeted Value Portfolio Russell 2000/R/ Value Index
-------------------------------- ---------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,163 9,251
12/31/2007 9,033 9,173
1/31/2008 8,680 8,796
2/29/2008 8,351 8,447
3/31/2008 8,420 8,574
4/30/2008 8,496 8,845
5/31/2008 8,772 9,148
6/30/2008 7,784 8,270
7/31/2008 7,998 8,694
8/31/2008 8,389 9,107
9/30/2008 7,876 8,680
10/31/2008 6,229 6,946
11/30/2008 5,393 6,142
12/31/2008 5,696 6,519
1/31/2009 4,832 5,588
2/28/2009 4,172 4,812
3/31/2009 4,604 5,239
4/30/2009 5,476 6,071
5/31/2009 5,665 6,202
6/30/2009 5,680 6,182
7/31/2009 6,356 6,897
8/31/2009 6,623 7,224
9/30/2009 6,953 7,586
10/31/2009 6,498 7,082
11/30/2009 6,702 7,308
12/31/2009 7,212 7,861
1/31/2010 7,022 7,631
2/28/2010 7,419 7,984
3/31/2010 7,990 8,649
4/30/2010 8,577 9,254
5/31/2010 7,879 8,472
6/30/2010 7,196 7,732
7/31/2010 7,760 8,284
8/31/2010 7,165 7,661
9/30/2010 7,982 8,484
10/31/2010 8,252 8,812
11/30/2010 8,553 9,036
12/31/2010 9,309 9,787
1/31/2011 9,341 9,793
2/28/2011 9,820 10,290
3/31/2011 10,003 10,433
4/30/2011 10,179 10,602
5/31/2011 9,956 10,412
6/30/2011 9,780 10,156
7/31/2011 9,469 9,821
8/31/2011 8,582 8,953
9/30/2011 7,616 7,975
10/31/2011 8,742 9,125
11/30/2011 8,766 9,106
12/31/2011 8,886 9,249
1/31/2012 9,441 9,864
2/29/2012 9,747 10,010
3/31/2012 9,996 10,321
4/30/2012 9,827 10,172
5/31/2012 9,135 9,550
6/30/2012 9,489 10,010
7/31/2012 9,441 9,908
8/31/2012 9,859 10,214
9/30/2012 10,189 10,578
10/31/2012 10,125 10,445
11/30/2012 10,310 10,477
12/31/2012 10,673 10,918
1/31/2013 11,400 11,569
2/28/2013 11,620 11,701
3/31/2013 12,192 12,188
4/30/2013 12,094 12,177
5/31/2013 12,698 12,540
6/30/2013 12,649 12,490
7/31/2013 13,564 13,292
8/31/2013 13,082 12,704
9/30/2013 13,800 13,438
10/31/2013 14,397 13,874
11/30/2013 15,050 14,416
12/31/2013 15,436 14,688
1/31/2014 14,728 14,119
2/28/2014 15,526 14,766
3/31/2014 15,831 14,949
4/30/2014 15,551 14,564
5/31/2014 15,691 14,656
6/30/2014 16,365 15,305
7/31/2014 15,551 14,379
8/31/2014 16,349 15,004
9/30/2014 15,345 13,992
10/31/2014 15,864 14,969
11/30/2014 15,757 14,900
12/31/2014 16,008 15,307
1/31/2015 15,297 14,670
2/28/2015 16,394 15,351
3/31/2015 16,613 15,610
4/30/2015 16,446 15,277
5/31/2015 16,639 15,403
6/30/2015 16,587 15,423
7/31/2015 16,157 14,998
8/31/2015 15,525 14,261
9/30/2015 14,806 13,768
10/31/2015 15,736 14,539
11/30/2015 16,157 14,952
12/31/2015 15,171 14,164
1/31/2016 14,117 13,212
2/28/2016 14,318 13,302
3/31/2016 15,544 14,405
4/30/2016 15,851 14,710
5/31/2016 15,927 14,980
6/30/2016 15,717 15,025
7/31/2016 16,560 15,836
8/31/2016 16,847 16,229
9/30/2016 17,019 16,357
10/31/2016 16,502 15,820
11/30/2016 18,781 17,920
12/31/2016 19,341 18,659
1/31/2017 19,371 18,526
2/28/2017 19,531 18,794
3/31/2017 19,361 18,635
4/30/2017 19,271 18,709
5/31/2017 18,641 18,126
6/30/2017 19,291 18,760
7/31/2017 19,461 18,879
8/31/2017 18,951 18,415
9/30/2017 20,352 19,719
10/31/2017 20,432 19,745
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
---------------------------------------------------------------- Investment Group 1995-2017, all rights
23.81% 15.08% 7.41% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VA U.S. LARGE VALUE PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
VA U.S. Large Value Portfolio Russell 1000/R/ Value Index
----------------------------- ---------------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,443 9,511
12/31/2007 9,385 9,419
1/31/2008 9,051 9,042
2/29/2008 8,755 8,663
3/31/2008 8,656 8,598
4/30/2008 9,193 9,017
5/31/2008 9,396 9,003
6/30/2008 8,349 8,141
7/31/2008 8,349 8,112
8/31/2008 8,503 8,250
9/30/2008 7,790 7,644
10/31/2008 6,085 6,320
11/30/2008 5,482 5,867
12/31/2008 5,641 5,949
1/31/2009 4,939 5,265
2/28/2009 4,238 4,561
3/31/2009 4,651 4,951
4/30/2009 5,426 5,482
5/31/2009 5,850 5,821
6/30/2009 5,782 5,778
7/31/2009 6,337 6,251
8/31/2009 6,761 6,578
9/30/2009 7,049 6,832
10/31/2009 6,755 6,623
11/30/2009 7,134 6,996
12/31/2009 7,329 7,120
1/31/2010 7,162 6,920
2/28/2010 7,467 7,138
3/31/2010 8,049 7,603
4/30/2010 8,302 7,800
5/31/2010 7,599 7,158
6/30/2010 7,030 6,755
7/31/2010 7,576 7,213
8/31/2010 7,127 6,904
9/30/2010 7,830 7,440
10/31/2010 8,112 7,663
11/30/2010 8,060 7,622
12/31/2010 8,841 8,224
1/31/2011 9,128 8,410
2/28/2011 9,619 8,720
3/31/2011 9,654 8,755
4/30/2011 9,900 8,988
5/31/2011 9,760 8,893
6/30/2011 9,578 8,711
7/31/2011 9,133 8,422
8/31/2011 8,372 7,896
9/30/2011 7,512 7,299
10/31/2011 8,548 8,135
11/30/2011 8,472 8,093
12/31/2011 8,538 8,256
1/31/2012 8,961 8,568
2/29/2012 9,480 8,910
3/31/2012 9,659 9,174
4/30/2012 9,450 9,081
5/31/2012 8,776 8,548
6/30/2012 9,229 8,972
7/31/2012 9,319 9,065
8/31/2012 9,694 9,262
9/30/2012 10,046 9,556
10/31/2012 10,076 9,509
11/30/2012 10,094 9,505
12/31/2012 10,411 9,702
1/31/2013 11,152 10,332
2/28/2013 11,267 10,480
3/31/2013 11,807 10,896
4/30/2013 11,941 11,060
5/31/2013 12,469 11,344
6/30/2013 12,287 11,244
7/31/2013 13,040 11,851
8/31/2013 12,651 11,402
9/30/2013 13,034 11,687
10/31/2013 13,707 12,199
11/30/2013 14,284 12,540
12/31/2013 14,661 12,857
1/31/2014 14,078 12,401
2/28/2014 14,580 12,937
3/31/2014 14,909 13,246
4/30/2014 15,002 13,372
5/31/2014 15,324 13,567
6/30/2014 15,753 13,922
7/31/2014 15,606 13,685
8/31/2014 16,101 14,187
9/30/2014 15,639 13,895
10/31/2014 15,726 14,207
11/30/2014 15,907 14,498
12/31/2014 15,993 14,587
1/31/2015 15,206 14,004
2/28/2015 16,292 14,681
3/31/2015 16,013 14,482
4/30/2015 16,313 14,617
5/31/2015 16,487 14,793
6/30/2015 16,208 14,497
7/31/2015 16,174 14,561
8/31/2015 15,220 13,694
9/30/2015 14,712 13,280
10/31/2015 15,895 14,282
11/30/2015 15,951 14,337
12/31/2015 15,448 14,029
1/31/2016 14,379 13,304
2/28/2016 14,431 13,300
3/31/2016 15,485 14,258
4/30/2016 15,889 14,558
5/31/2016 16,098 14,784
6/30/2016 16,083 14,912
7/31/2016 16,652 15,345
8/31/2016 16,839 15,463
9/30/2016 16,898 15,431
10/31/2016 16,614 15,192
11/30/2016 17,915 16,060
12/31/2016 18,363 16,461
1/31/2017 18,632 16,578
2/28/2017 19,199 17,174
3/31/2017 19,015 16,999
4/30/2017 19,130 16,967
5/31/2017 19,099 16,951
6/30/2017 19,429 17,228
7/31/2017 19,759 17,457
8/31/2017 19,559 17,253 Past performance is not predictive of
9/30/2017 20,311 17,764 future performance.
10/31/2017 20,610 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
24.05% 15.39% 7.50% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
VA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2007-October 31, 2017
[CHART]
VA International MSCI World ex USA
Value Portfolio Index (net dividends)
---------------- ---------------------
10/31/07 $10,000 $10,000
11/30/07 9,405 9,609
12/31/07 9,199 9,428
1/31/08 8,427 8,578
2/29/08 8,301 8,734
3/31/08 8,427 8,609
4/30/08 8,806 9,088
5/31/08 8,781 9,225
6/30/08 7,898 8,508
7/31/08 7,709 8,205
8/31/08 7,384 7,888
9/30/08 6,613 6,749
10/31/08 4,949 5,345
11/30/08 4,657 5,055
12/31/08 4,985 5,322
1/31/09 4,300 4,825
2/28/09 3,768 4,337
3/31/09 4,140 4,623
4/30/09 4,902 5,219
5/31/09 5,641 5,879
6/30/09 5,552 5,818
7/31/09 6,214 6,364
8/31/09 6,556 6,669
9/30/09 6,899 6,944
10/31/09 6,627 6,833
11/30/09 6,810 7,002
12/31/09 6,876 7,113
1/31/10 6,489 6,780
2/28/10 6,519 6,773
3/31/10 7,034 7,209
4/30/10 6,925 7,102
5/31/10 6,131 6,318
6/30/10 5,961 6,227
7/31/10 6,725 6,802
8/31/10 6,386 6,599
9/30/10 7,070 7,232
10/31/10 7,312 7,489
11/30/10 6,949 7,172
12/31/10 7,600 7,750
1/31/11 7,940 7,917
2/28/11 8,225 8,210
3/31/11 7,977 8,046
4/30/11 8,386 8,484
5/31/11 8,076 8,232
6/30/11 7,946 8,115
7/31/11 7,711 7,981
8/31/11 6,858 7,307
9/30/11 6,110 6,573
10/31/11 6,722 7,212
11/30/11 6,493 6,879
12/31/11 6,312 6,804
1/31/12 6,769 7,171
2/29/12 7,135 7,565
3/31/12 7,058 7,509
4/30/12 6,782 7,382
5/31/12 5,945 6,540
6/30/12 6,396 6,969
7/31/12 6,344 7,056
8/31/12 6,627 7,257
9/30/12 6,865 7,477
10/31/12 6,962 7,530
11/30/12 7,045 7,688
12/31/12 7,384 7,920
1/31/13 7,743 8,310
2/28/13 7,497 8,227
3/31/13 7,517 8,292
4/30/13 7,849 8,670
5/31/13 7,756 8,476
6/30/13 7,457 8,158
7/31/13 7,962 8,592
8/31/13 7,902 8,482
9/30/13 8,493 9,081
10/31/13 8,778 9,386
11/30/13 8,812 9,443
12/31/13 8,983 9,586
1/31/14 8,663 9,199
2/28/14 9,153 9,701
3/31/14 9,092 9,657
4/30/14 9,248 9,809
5/31/14 9,350 9,961
6/30/14 9,466 10,103
7/31/14 9,242 9,923
8/31/14 9,248 9,931
9/30/14 8,840 9,523
10/31/14 8,676 9,371
11/30/14 8,669 9,487
12/31/14 8,340 9,171
1/31/15 8,261 9,139
2/28/15 8,852 9,685
3/31/15 8,660 9,523
4/30/15 9,143 9,935
5/31/15 9,136 9,849
6/30/15 8,866 9,569
7/31/15 8,780 9,721
8/31/15 8,112 9,013
9/30/15 7,551 8,558
10/31/15 8,134 9,201
11/30/15 8,013 9,055
12/31/15 7,759 8,893
1/31/16 7,171 8,280
2/28/16 6,921 8,165
3/31/16 7,450 8,719
4/30/16 7,825 8,999
5/31/16 7,678 8,898
6/30/16 7,406 8,627
7/31/16 7,737 9,052
8/31/16 7,950 9,060
9/30/16 8,046 9,170
10/31/16 8,149 8,992
11/30/16 8,193 8,848
12/31/16 8,466 9,137
1/31/17 8,838 9,409
2/28/17 8,769 9,517
3/31/17 8,959 9,759
4/30/17 9,088 9,967
5/31/17 9,247 10,299
6/30/17 9,331 10,308
7/31/17 9,771 10,615
8/31/17 9,755 10,613
9/30/17 10,120 10,888 Past performance is not predictive of
10/31/17 10,294 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
26.32% 8.14% 0.29% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VA INTERNATIONAL SMALL PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2007-October 31, 2017
[CHART]
VA International MSCI World ex USA
Small Portfolio Small Cap Index(net dividends)
---------------- ------------------------------
10/31/07 $10,000 $10,000
11/30/07 9,255 9,178
12/31/07 8,963 8,909
1/31/08 8,272 8,045
2/29/08 8,482 8,427
3/31/08 8,496 8,334
4/30/08 8,679 8,537
5/31/08 8,930 8,710
6/30/08 8,292 8,037
7/31/08 7,906 7,632
8/31/08 7,614 7,350
9/30/08 6,462 6,057
10/31/08 4,970 4,562
11/30/08 4,746 4,341
12/31/08 5,120 4,630
1/31/09 4,701 4,361
2/28/09 4,244 3,963
3/31/09 4,511 4,217
4/30/09 5,143 4,867
5/31/09 5,867 5,588
6/30/09 5,920 5,655
7/31/09 6,362 6,109
8/31/09 6,789 6,580
9/30/09 7,185 6,950
10/31/09 7,010 6,843
11/30/09 7,101 6,896
12/31/09 7,161 6,983
1/31/10 7,060 6,891
2/28/10 7,022 6,852
3/31/10 7,558 7,361
4/30/10 7,666 7,507
5/31/10 6,781 6,605
6/30/10 6,742 6,543
7/31/10 7,379 7,104
8/31/10 7,138 6,919
9/30/10 7,938 7,704
10/31/10 8,249 8,022
11/30/10 8,024 7,812
12/31/10 8,938 8,695
1/31/11 9,025 8,740
2/28/11 9,294 8,989
3/31/11 9,302 8,981
4/30/11 9,754 9,426
5/31/11 9,492 9,165
6/30/11 9,326 8,967
7/31/11 9,223 8,918
8/31/11 8,525 8,213
9/30/11 7,543 7,270
10/31/11 8,082 7,860
11/30/11 7,836 7,466
12/31/11 7,613 7,320
1/31/12 8,246 7,925
2/29/12 8,674 8,374
3/31/12 8,733 8,318
4/30/12 8,639 8,275
5/31/12 7,647 7,303
6/30/12 7,955 7,555
7/31/12 7,921 7,613
8/31/12 8,186 7,832
9/30/12 8,520 8,203
10/31/12 8,571 8,243
11/30/12 8,656 8,285
12/31/12 9,091 8,600
1/31/13 9,465 9,014
2/28/13 9,474 9,046
3/31/13 9,643 9,222
4/30/13 9,884 9,490
5/31/13 9,661 9,267
6/30/13 9,430 8,901
7/31/13 10,036 9,457
8/31/13 10,000 9,440
9/30/13 10,829 10,233
10/31/13 11,185 10,535
11/30/13 11,239 10,549
12/31/13 11,552 10,797
1/31/14 11,364 10,610
2/28/14 12,078 11,212
3/31/14 12,050 11,170
4/30/14 12,031 11,135
5/31/14 12,135 11,275
6/30/14 12,360 11,531
7/31/14 11,965 11,232
8/31/14 12,041 11,260
9/30/14 11,317 10,577
10/31/14 11,119 10,310
11/30/14 11,016 10,299
12/31/14 10,884 10,220
1/31/15 10,776 10,129
2/28/15 11,504 10,778
3/31/15 11,308 10,632
4/30/15 11,937 11,173
5/31/15 12,085 11,240
6/30/15 11,908 11,074
7/31/15 11,839 11,058
8/31/15 11,317 10,565
9/30/15 10,943 10,185
10/31/15 11,485 10,790
11/30/15 11,504 10,766
12/31/15 11,517 10,778
1/31/16 10,768 9,958
2/29/16 10,695 10,011
3/31/16 11,580 10,843
4/30/16 11,871 11,185
5/31/16 11,912 11,199
6/30/16 11,434 10,704
7/31/16 12,100 11,340
8/31/16 12,110 11,245
9/30/16 12,464 11,560
10/31/16 12,121 11,217
11/30/16 11,923 10,940
12/31/16 12,235 11,243
1/31/17 12,729 11,648
2/28/17 12,901 11,872
3/31/17 13,223 12,099
4/30/17 13,663 12,527
5/31/17 14,050 12,938
6/30/17 14,201 12,980
7/31/17 14,705 13,437
8/31/17 14,770 13,550
9/30/17 15,200 13,922 Past performance is not predictive of
10/31/17 15,361 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
26.73% 12.38% 4.39% rights reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
VA SHORT-TERM FIXED PORTFOLIO VS.
ICE BOFAML US 6-MONTH TREASURY BILL INDEX,
ICE BOFAML 1-YEAR US TREASURY NOTE INDEX
October 31, 2007-October 31, 2017
[CHARTS]
ICE BofAML ICE BofAML
VA Short-Term US 6-Month 1-Year US
Fixed Portfolio Treasury Bill Index Treasury Note Index
--------------- ------------------- ------------------
10/31/2007 $10,000 $10,000 $10,000
11/30/2007 $10,028 $10,068 $10,100
12/31/2007 $10,069 $10,097 $10,122
1/31/2008 $10,109 $10,181 $10,252
2/29/2008 $10,138 $10,209 $10,305
3/31/2008 $10,138 $10,235 $10,337
4/30/2008 $10,168 $10,247 $10,317
5/31/2008 $10,188 $10,248 $10,312
6/30/2008 $10,208 $10,261 $10,318
7/31/2008 $10,238 $10,293 $10,352
8/31/2008 $10,258 $10,315 $10,381
9/30/2008 $10,228 $10,362 $10,427
10/31/2008 $10,278 $10,404 $10,487
11/30/2008 $10,367 $10,440 $10,553
12/31/2008 $10,467 $10,458 $10,602
1/31/2009 $10,477 $10,457 $10,592
2/28/2009 $10,467 $10,459 $10,575
3/31/2009 $10,508 $10,469 $10,601
4/30/2009 $10,549 $10,483 $10,622
5/31/2009 $10,580 $10,488 $10,631
6/30/2009 $10,600 $10,490 $10,636
7/31/2009 $10,611 $10,498 $10,649
8/31/2009 $10,641 $10,505 $10,663
9/30/2009 $10,651 $10,511 $10,671
10/31/2009 $10,672 $10,514 $10,682
11/30/2009 $10,692 $10,518 $10,701
12/31/2009 $10,662 $10,519 $10,687
1/31/2010 $10,694 $10,524 $10,711
2/28/2010 $10,704 $10,525 $10,716
3/31/2010 $10,694 $10,526 $10,713
4/30/2010 $10,704 $10,529 $10,719
5/31/2010 $10,704 $10,534 $10,725
6/30/2010 $10,736 $10,537 $10,741
7/31/2010 $10,756 $10,541 $10,753
8/31/2010 $10,767 $10,545 $10,763
9/30/2010 $10,777 $10,548 $10,768
10/31/2010 $10,788 $10,553 $10,775
11/30/2010 $10,777 $10,553 $10,773
12/31/2010 $10,781 $10,557 $10,775
1/31/2011 $10,791 $10,560 $10,785
2/28/2011 $10,791 $10,561 $10,788
3/31/2011 $10,791 $10,564 $10,792
4/30/2011 $10,812 $10,569 $10,803
5/31/2011 $10,823 $10,571 $10,810
6/30/2011 $10,823 $10,574 $10,813
7/31/2011 $10,834 $10,573 $10,810
8/31/2011 $10,834 $10,581 $10,829
9/30/2011 $10,834 $10,581 $10,827
10/31/2011 $10,834 $10,583 $10,831
11/30/2011 $10,823 $10,584 $10,834
12/31/2011 $10,827 $10,585 $10,837
1/31/2012 $10,859 $10,585 $10,839
2/29/2012 $10,859 $10,585 $10,837
3/31/2012 $10,870 $10,586 $10,837
4/30/2012 $10,880 $10,588 $10,842
5/31/2012 $10,880 $10,590 $10,844
6/30/2012 $10,891 $10,591 $10,841
7/31/2012 $10,902 $10,594 $10,851
8/31/2012 $10,912 $10,596 $10,853
9/30/2012 $10,912 $10,597 $10,856
10/31/2012 $10,912 $10,598 $10,855
11/30/2012 $10,923 $10,601 $10,859
12/31/2012 $10,919 $10,603 $10,863
1/31/2013 $10,929 $10,605 $10,865
2/28/2013 $10,929 $10,605 $10,867
3/31/2013 $10,929 $10,608 $10,871
4/30/2013 $10,940 $10,611 $10,876
5/31/2013 $10,940 $10,612 $10,876
6/30/2013 $10,929 $10,613 $10,875
7/31/2013 $10,940 $10,615 $10,882
8/31/2013 $10,929 $10,617 $10,883
9/30/2013 $10,951 $10,619 $10,889
10/31/2013 $10,951 $10,619 $10,889
11/30/2013 $10,951 $10,619 $10,889
12/31/2013 $10,946 $10,622 $10,890
1/31/2014 $10,957 $10,625 $10,893
2/28/2014 $10,957 $10,626 $10,895
3/31/2014 $10,957 $10,627 $10,899
4/30/2014 $10,968 $10,628 $10,904
5/31/2014 $10,968 $10,629 $10,906
6/30/2014 $10,968 $10,629 $10,907
7/31/2014 $10,968 $10,630 $10,908
8/31/2014 $10,968 $10,632 $10,914
9/30/2014 $10,968 $10,634 $10,917
10/31/2014 $10,979 $10,633 $10,919
11/30/2014 $10,979 $10,634 $10,921
12/31/2014 $10,962 $10,635 $10,910
1/31/2015 $10,995 $10,638 $10,922
2/28/2015 $10,984 $10,640 $10,919
3/31/2015 $10,995 $10,640 $10,922
4/30/2015 $10,995 $10,644 $10,929
5/31/2015 $10,995 $10,645 $10,932
6/30/2015 $10,995 $10,647 $10,933
7/31/2015 $10,995 $10,646 $10,936
8/31/2015 $10,995 $10,647 $10,935
9/30/2015 $11,005 $10,658 $10,945
10/31/2015 $11,016 $10,654 $10,943
11/30/2015 $11,005 $10,654 $10,926
12/31/2015 $10,995 $10,658 $10,927
1/31/2016 $11,017 $10,668 $10,949
2/29/2016 $11,017 $10,671 $10,951
3/31/2016 $11,039 $10,681 $10,966
4/30/2016 $11,050 $10,688 $10,977
5/31/2016 $11,050 $10,689 $10,972
6/30/2016 $11,071 $10,702 $10,998
7/31/2016 $11,082 $10,706 $10,997
8/31/2016 $11,071 $10,707 $10,997
9/30/2016 $11,082 $10,716 $11,004
10/31/2016 $11,082 $10,723 $11,009
11/30/2016 $11,071 $10,725 $11,002
12/31/2016 $11,082 $10,730 $11,009
1/31/2017 $11,093 $10,738 $11,025
2/28/2017 $11,104 $10,744 $11,032
3/31/2017 $11,115 $10,744 $11,027
4/30/2017 $11,126 $10,752 $11,036
5/31/2017 $11,137 $10,759 $11,039
6/30/2017 $11,147 $10,769 $11,042
7/31/2017 $11,158 $10,780 $11,057
8/31/2017 $11,169 $10,795 $11,068
9/30/2017 $11,180 $10,803 $11,070 Past performance is not predictive of
10/31/2017 $11,180 $10,813 $11,074 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.
------------------------------------------------------------- ICE BofAML index data copyright 2017
0.89% 0.49% 1.12% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VA GLOBAL BOND PORTFOLIO VS.
CITI WORLD GOVERNMENT BOND INDEX, 1-5 YEARS,
CURRENCY-HEDGED IN USD TERMS
October 31, 2007-October 31, 2017
[CHARTS]
VA Global Bond Citigroup World Government Bond Index,
Portfolio 1-5 Years,Currency-Hedged in USD Terms
------------- --------------------------------------
10/31/2007 $10,000 $10,000
11/30/2007 $10,037 $10,109
12/31/2007 $10,087 $10,138
1/31/2008 $10,143 $10,289
2/29/2008 $10,199 $10,357
3/31/2008 $10,218 $10,354
4/30/2008 $10,134 $10,286
5/31/2008 $10,097 $10,227
6/30/2008 $10,134 $10,228
7/31/2008 $10,190 $10,303
8/31/2008 $10,256 $10,367
9/30/2008 $10,190 $10,434
10/31/2008 $10,256 $10,586
11/30/2008 $10,405 $10,699
12/31/2008 $10,537 $10,806
1/31/2009 $10,527 $10,811
2/28/2009 $10,517 $10,833
3/31/2009 $10,546 $10,889
4/30/2009 $10,595 $10,891
5/31/2009 $10,663 $10,895
6/30/2009 $10,721 $10,913
7/31/2009 $10,827 $10,953
8/31/2009 $10,933 $10,991
9/30/2009 $11,011 $11,025
10/31/2009 $11,069 $11,036
11/30/2009 $11,204 $11,095
12/31/2009 $11,044 $11,054
1/31/2010 $11,185 $11,096
2/28/2010 $11,256 $11,142
3/31/2010 $11,246 $11,138
4/30/2010 $11,326 $11,143
5/31/2010 $11,397 $11,215
6/30/2010 $11,497 $11,244
7/31/2010 $11,649 $11,285
8/31/2010 $11,790 $11,338
9/30/2010 $11,830 $11,330
10/31/2010 $11,911 $11,341
11/30/2010 $11,800 $11,286
12/31/2010 $11,655 $11,273
1/31/2011 $11,677 $11,265
2/28/2011 $11,666 $11,255
3/31/2011 $11,677 $11,248
4/30/2011 $11,828 $11,281
5/31/2011 $11,959 $11,336
6/30/2011 $11,959 $11,342
7/31/2011 $12,143 $11,382
8/31/2011 $12,230 $11,481
9/30/2011 $12,208 $11,485
10/31/2011 $12,241 $11,469
11/30/2011 $12,089 $11,446
12/31/2011 $12,181 $11,534
1/31/2012 $12,317 $11,583
2/29/2012 $12,340 $11,603
3/31/2012 $12,374 $11,593
4/30/2012 $12,420 $11,617
5/31/2012 $12,499 $11,627
6/30/2012 $12,499 $11,639
7/31/2012 $12,659 $11,678
8/31/2012 $12,693 $11,708
9/30/2012 $12,716 $11,729
10/31/2012 $12,727 $11,736
11/30/2012 $12,773 $11,766
12/31/2012 $12,772 $11,776
1/31/2013 $12,702 $11,766
2/28/2013 $12,796 $11,793
3/31/2013 $12,819 $11,805
4/30/2013 $12,878 $11,843
5/31/2013 $12,772 $11,803
6/30/2013 $12,620 $11,767
7/31/2013 $12,690 $11,799
8/31/2013 $12,620 $11,782
9/30/2013 $12,725 $11,823
10/31/2013 $12,807 $11,862
11/30/2013 $12,831 $11,880
12/31/2013 $12,728 $11,849
1/31/2014 $12,859 $11,900
2/28/2014 $12,883 $11,916
3/31/2014 $12,823 $11,914
4/30/2014 $12,883 $11,935
5/31/2014 $12,990 $11,970
6/30/2014 $12,967 $11,983
7/31/2014 $12,931 $11,985
8/31/2014 $13,014 $12,019
9/30/2014 $12,967 $12,017
10/31/2014 $13,050 $12,046
11/30/2014 $13,146 $12,076
12/31/2014 $13,095 $12,074
1/31/2015 $13,315 $12,141
2/28/2015 $13,217 $12,123
3/31/2015 $13,278 $12,149
4/30/2015 $13,290 $12,146
5/31/2015 $13,290 $12,154
6/30/2015 $13,217 $12,135
7/31/2015 $13,266 $12,167
8/31/2015 $13,254 $12,165
9/30/2015 $13,364 $12,205
10/31/2015 $13,364 $12,209
11/30/2015 $13,339 $12,205
12/31/2015 $13,297 $12,195
1/31/2016 $13,447 $12,286
2/29/2016 $13,484 $12,321
3/31/2016 $13,609 $12,334
4/30/2016 $13,634 $12,335
5/31/2016 $13,609 $12,340
6/30/2016 $13,771 $12,422
7/31/2016 $13,809 $12,426
8/31/2016 $13,759 $12,412
9/30/2016 $13,771 $12,436
10/31/2016 $13,721 $12,411
11/30/2016 $13,522 $12,352
12/31/2016 $13,527 $12,377
1/31/2017 $13,578 $12,380
2/28/2017 $13,629 $12,410
3/31/2017 $13,642 $12,413
4/30/2017 $13,718 $12,448
5/31/2017 $13,782 $12,475
6/30/2017 $13,757 $12,457
7/31/2017 $13,820 $12,488 Past performance is not predictive of
8/31/2017 $13,884 $12,530 future performance.
9/30/2017 $13,833 $12,509 The returns shown do not reflect the
10/31/2017 $13,859 $12,526 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.
----------------------------------------------------------- Citi fixed income indices copyright 2017
1.00% 1.72% 3.32% by Citigroup.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
VIT INFLATION PROTECTED SECURITIES PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. TIPS INDEX
MAY 29, 2015-OCTOBER 31, 2017
VIT Inflation Protected
Securities Portfolio Barclays U.S. TIPS Index
----------------------- ------------------------
5/29/2015 $10,000 $10,000
5/31/2015 $10,000 $10,000
6/30/2015 $9,860 $9,903
7/31/2015 $9,900 $9,923
8/31/2015 $9,790 $9,847
9/30/2015 $9,760 $9,789
10/31/2015 $9,770 $9,814
11/30/2015 $9,760 $9,804
12/31/2015 $9,644 $9,727
1/31/2016 $9,824 $9,871
2/29/2016 $9,945 $9,981
3/31/2016 $10,115 $10,160
4/30/2016 $10,145 $10,195
5/31/2016 $10,055 $10,123
6/30/2016 $10,286 $10,334
7/31/2016 $10,346 $10,423
8/31/2016 $10,286 $10,377
9/30/2016 $10,386 $10,433
10/31/2016 $10,336 $10,392
11/30/2016 $10,085 $10,192
12/31/2016 $10,076 $10,182
1/31/2017 $10,188 $10,268
2/28/2017 $10,229 $10,316
3/31/2017 $10,229 $10,311
4/30/2017 $10,300 $10,372
5/31/2017 $10,300 $10,367
6/30/2017 $10,188 $10,269
7/31/2017 $10,269 $10,315
8/31/2017 $10,381 $10,424 Past performance is not predictive of
9/30/2017 $10,280 $10,358 future performance.
10/31/2017 $10,310 $10,380 The returns shown do not reflect the
deduction of taxes that a shareholder
ONE SINCE would pay on fund distributions or the
TOTAL RETURN YEAR INCEPTION redemption of fund shares.
----------------------------------------------- Bloomberg Barclays data provided by
-0.25% 1.27% Bloomberg.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA VA GLOBAL MODERATE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS),
CITI WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
65% MSCI ACWI (NET DIV)/35%
CITI WORLD GOVT BOND INDEX 1-3 YR (HEDGED) INDEX
APRIL 8, 2013-OCTOBER 31, 2017
[CHART]
Citi World 65% MSCI ACWI
Government Bond (net div)/35%
DFA VA Global MSCI All Country Index, 1-3 Years, Citi World Govt
Moderate World Index Currency-Hedged Bond Index 1-3 yr
End Date Portfolio (net dividends) in USD Terms (hedged) Index
-------- --------- ---------------- ----------------- -----------------
4/8/2013 $10,000 $10,000 $10,000 $10,000
4/30/2013 $10,150 $10,365 $10,012 $10,242
5/31/2013 $10,200 $10,337 $10,001 $10,219
6/30/2013 $10,020 $10,035 $9,990 $10,021
7/31/2013 $10,410 $10,515 $10,008 $10,340
8/31/2013 $10,210 $10,296 $10,004 $10,198
9/30/2013 $10,620 $10,828 $10,023 $10,547
10/31/2013 $10,910 $11,263 $10,042 $10,830
11/30/2013 $11,050 $11,423 $10,054 $10,934
12/31/2013 $11,195 $11,620 $10,046 $11,054
1/31/2014 $10,931 $11,155 $10,067 $10,774
2/28/2014 $11,307 $11,694 $10,074 $11,115
3/31/2014 $11,368 $11,746 $10,074 $11,147
4/30/2014 $11,398 $11,857 $10,083 $11,220
5/31/2014 $11,550 $12,110 $10,098 $11,381
6/30/2014 $11,743 $12,338 $10,104 $11,522
7/31/2014 $11,550 $12,188 $10,106 $11,432
8/31/2014 $11,784 $12,457 $10,121 $11,602
9/30/2014 $11,449 $12,053 $10,121 $11,358
10/31/2014 $11,550 $12,138 $10,135 $11,415
11/30/2014 $11,642 $12,341 $10,148 $11,545
12/31/2014 $11,544 $12,103 $10,143 $11,398
1/31/2015 $11,389 $11,914 $10,176 $11,295
2/28/2015 $11,824 $12,577 $10,170 $11,701
3/31/2015 $11,741 $12,382 $10,184 $11,589
4/30/2015 $11,907 $12,741 $10,187 $11,809
5/31/2015 $11,938 $12,725 $10,194 $11,802
6/30/2015 $11,783 $12,425 $10,192 $11,620
7/31/2015 $11,741 $12,533 $10,202 $11,690
8/31/2015 $11,264 $11,674 $10,201 $11,168
9/30/2015 $11,016 $11,251 $10,220 $10,913
10/31/2015 $11,524 $12,134 $10,222 $11,470
11/30/2015 $11,534 $12,034 $10,215 $11,406
12/31/2015 $11,309 $11,817 $10,214 $11,272
1/31/2016 $10,888 $11,104 $10,256 $10,846
2/29/2016 $10,888 $11,028 $10,270 $10,803
3/31/2016 $11,488 $11,845 $10,279 $11,327
4/30/2016 $11,604 $12,020 $10,286 $11,438
5/31/2016 $11,635 $12,035 $10,287 $11,448
6/30/2016 $11,635 $11,962 $10,328 $11,419
7/31/2016 $11,983 $12,478 $10,328 $11,739
8/31/2016 $12,025 $12,520 $10,324 $11,763
9/30/2016 $12,078 $12,596 $10,340 $11,816
10/31/2016 $11,920 $12,383 $10,335 $11,684
11/30/2016 $12,172 $12,477 $10,318 $11,734
12/31/2016 $12,334 $12,746 $10,335 $11,906
1/31/2017 $12,561 $13,095 $10,342 $12,120
2/28/2017 $12,776 $13,462 $10,357 $12,347
3/31/2017 $12,819 $13,627 $10,360 $12,447
4/30/2017 $12,938 $13,839 $10,376 $12,580 Past performance is not predictive of
5/31/2017 $13,024 $14,145 $10,390 $12,766 future performance.
6/30/2017 $13,132 $14,209 $10,384 $12,801 The returns shown do not reflect the
7/31/2017 $13,347 $14,606 $10,405 $13,043 deduction of taxes that a shareholder
8/31/2017 $13,347 $14,662 $10,426 $13,085 would pay on fund distributions or the
9/30/2017 $13,563 $14,945 $10,420 $13,247 redemption of fund shares.
10/31/2017 $13,767 $15,256 $10,431 $13,430 MSCI data copyright MSCI 2017, all
rights reserved.
Citi fixed income indices copyright 2017
ONE SINCE by Citigroup.
TOTAL RETURN YEAR INCEPTION Data includes composite data from
----------------------------------------------------------- multiple sources; see data descriptions
15.50% 7.26% for additional details.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
VA EQUITY ALLOCATION PORTFOLIO VS.
MSCI WORLD INDEX (NET DIVIDENDS)
July 10, 2017-October 31, 2017
[CHART]
VA Equity Allocation Portfolio MSCI World Index (net dividends)
------------------------------ --------------------------------
7/10/2017 $10,000 $10,000
7/31/2017 10,230 10,233
8/31/2017 10,220 10,247 Past performance is not predictive of
9/30/2017 10,530 10,477 future performance.
10/31/2017 10,720 10,675 The returns shown do not reflect the
deduction of taxes that a shareholder
Since would pay on fund distributions or the
Total Return Inception redemption of fund shares.
-------------------------------------------------------- MSCI data copyright MSCI 2017, all
7.20% rights reserved.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
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.
VA U.S. TARGETED VALUE PORTFOLIO
The VA 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 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 1,300
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 23.81% 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. 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 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.
VA U.S. LARGE VALUE PORTFOLIO
The VA U.S. Large Value Portfolio 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 Portfolio held approximately
300 securities. In general, average cash exposure throughout the year was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.05% for the
Portfolio and 17.78% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Portfolio's diversified investment
7
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 smaller stocks within 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 Portfolio'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 Fund's greater emphasis on stocks with
higher profitability contributed to relative performance. At the sector level,
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.
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
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP ------------ ----------------------
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%
8
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
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST EMERGING MARKETS BY MARKET CAP ------------ ----------------------
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.
VA INTERNATIONAL VALUE PORTFOLIO
The VA International Value Portfolio 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 Portfolio held approximately
440 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 26.32% 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. With low relative price (value) stocks outperforming high relative
price (growth) stocks for the period, the Portfolio's emphasis on value stocks
contributed positively to performance relative to the benchmark. 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.
VA INTERNATIONAL SMALL PORTFOLIO
The VA International Small Portfolio is designed to capture the returns of
developed ex U.S. small company 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 3,200 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2017, total returns were 26.73% 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
9
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 contributed
positively to the Portfolio's performance relative to the benchmark, as REITs
underperformed most other sectors for the period. The Portfolio's 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 Portfolio's greater emphasis on micro-cap
securities had a positive impact in Japan.
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2017
Interest rates in both U.S. and developed international fixed income markets
generally increased across their respective yield curves for the 12 months
ended October 31, 2017. In the U.S., the yield curve flattened as yields on
shorter-term bonds increased more than yields on longer-term bonds. The
Eurozone, U.K., and Japan also saw an increase in bond yields across the curve.
While longer-term government bonds underperformed shorter-term government
bonds, the same was not true for investment grade corporate bonds and municipal
bonds. Credit spreads were positive during the period and generally narrowed.
As a result, longer-term bonds outperformed shorter-term bonds across the U.S.
municipal, U.S. investment grade credit, and developed international fixed
income credit markets. In particular, municipal bonds with maturities of 10
years and longer outperformed shorter maturity bonds. In the U.S. investment
grade credit and developed international fixed income credit markets, bonds
with maturities of 15 years and longer outperformed shorter maturity bonds. For
example, the Bloomberg Barclays U.S. Credit Index Long, which contains U.S.
credit securities with maturities beyond 10 years, returned 5.81%, while the
Bloomberg Barclays U.S. Credit Index 1-5 Years returned 1.70% for the period.
The one-month U.S. Treasury bill yield increased to 0.98% during the period,
while the yield on 10-year U.S. Treasury notes increased to 2.38%.
OCTOBER 31, 2016 OCTOBER 31, 2017 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.17% 0.98% 0.81%
Ten-Year U.S. Treasury Notes (yield). 1.83% 2.38% 0.55%
----------
Source: Bloomberg
OCTOBER 31, 2016 OCTOBER 31, 2017 CHANGE
---------------- ---------------- ------
Bloomberg Barclays US Credit Index 1-5 Years (yield). 1.81% 2.24% 0.43%
Bloomberg Barclays US Credit Index Long (yield)...... 4.24% 4.16% -0.08%
----------
Source: Bloomberg
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the 12 months
ended October 31, 2017, the total return was 0.73% for three-month U.S.
Treasury bills, -1.54% for five-year U.S. Treasury notes, and -3.83% for
30-year U.S. Treasury bonds.
----------
Source: Bloomberg Barclays US Treasury Bellwethers.
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies a maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities may
be lengthened to position a portfolio to seek the higher expected returns
associated with longer maturities. These higher returns may be achieved by
capital appreciation (from holding bonds through an upwardly sloped term
structure) as well as by earning higher current yields. During the period under
review, the portfolios employing a variable maturity approach continued to take
term risk, reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable-credit
approach that varies exposure to credit risk. When credit spreads are narrow,
higher-quality securities are believed to offer the more attractive
10
opportunity on a risk-adjusted basis. When credit spreads are wide, additional
credit risk may be taken to position a portfolio to seek the higher expected
returns associated with increased credit risk. Credit spreads generally
narrowed throughout the 12 months ending October 31, 2017. As a result, the
portfolios employing a variable-credit approach increased their allocation to
higher-quality bonds and held less than market weight in single-A and BBB-rated
bonds.
VA SHORT-TERM FIXED PORTFOLIO
The VA Short-Term Fixed Portfolio is designed to achieve a stable real
return in excess of the rate of inflation by investing in high-quality fixed
income securities with a typical average maturity of one year or less. The
investment strategy uses a variable maturity approach and shifts maturities
based on changes in the yield curve. The strategy uses current yields and
identifies favorable maturity ranges for risk-adjusted expected returns based
on potential buy and sell strategies. Maturity targets are shifted based on the
Advisor's expectations for term premia. The average maturity of the Portfolio
increased to 350 days as of October 31, 2017, from 318 days as of October 31,
2016.
For the 12 months ended October 31, 2017, the total return was 0.89% for the
Portfolio, 0.84% for The ICE BofAML U.S. 6-Month Treasury Bill Index, and 0.58%
for The ICE BofAML 1-Year U.S. Treasury Note Index, the Portfolio's benchmarks.
As the yield curve remained upwardly sloped, the Portfolio's maturity structure
remained extended. During the period, interest rates increased across the
eligible maturity range as yields on the two-year U.S. Treasury note increased
from approximately 0.73% to 0.84%. While two-year rates moved higher,
negatively impacting returns, the Portfolio benefited from capital appreciation
as bonds were held through the upwardly sloped term structure. The Portfolio's
corporate bonds and floating rate notes contributed to returns as there was a
positive credit premium during the period and the Portfolio's benchmarks held
only government securities.
VA GLOBAL BOND PORTFOLIO
The VA Global Bond Portfolio is designed to provide a market rate of return
by investing in U.S. and foreign government securities and high-quality
corporate and global fixed income instruments with an average maturity of five
years or less. The Portfolio hedges substantially all of the currency risk of
its non-U.S. dollar-denominated securities. Eligible countries for the
Portfolio to invest in include but are not limited to Australia, Canada,
Denmark, certain European Economic and Monetary Union countries, Japan, New
Zealand, Norway, Singapore, Sweden, Switzerland, the United Kingdom, and the
United States. The investment strategy shifts maturities and country
allocations based on changes in the eligible yield curves. The strategy uses a
variable maturity approach and uses current yields and identifies favorable
maturity ranges for risk-adjusted expected returns based on potential buy and
sell strategies for each eligible country. Maturity targets and country
allocations are shifted based on the Advisor's expectations for term premia.
The average maturity of the Portfolio increased to 3.98 years as of October 31,
2017, from 3.65 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was 1.00% for the
Portfolio and 0.92% for the Citi World Government Bond Index, 1-5 Years,
Currency-Hedged in USD Terms, the Portfolio's benchmark. The Portfolio had an
average allocation during the period of approximately 94% of assets in U.S.
dollar-denominated securities and the majority of the remainder invested in
currency-hedged Euro- and Swedish krona-denominated bonds. The Portfolio's
greater exposure than the benchmark to U.S. dollar-denominated corporate bonds
contributed to relative performance as these bonds outperformed, while the lack
of exposure to lower credit quality government securities in countries such
Italy and Spain, which are included in the benchmark, detracted from relative
performance, as these securities outperformed.
VIT INFLATION-PROTECTED SECURITIES PORTFOLIO
The VIT Inflation-Protected Securities Portfolio is designed to provide
inflation protection and current income by investing generally in
inflation-protected securities issued by the U.S. government and its agencies
and instrumentalities with maturities of between five and 20 years. The average
maturity of the Portfolio decreased to 8.28 years as of October 31, 2017, from
8.42 years as of October 31, 2016.
For the 12 months ended October 31, 2017, the total return was -0.25% for
the Portfolio and -0.11% for the Bloomberg Barclays U.S. TIPS Index, the
Portfolio's benchmark. The Portfolio's underperformance was primarily due to
the Portfolio's emphasis on the intermediate segment of the real yield curve
during a period when the intermediate segment underperformed the combination of
the long and short ends of the real yield curve.
11
DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO
The DFA VA Global Moderate Allocation Portfolio seeks capital appreciation
and current income by investing in a combination of other mutual funds managed
by Dimensional that invest in equity and fixed income securities. Under normal
market circumstances, the Portfolio seeks to achieve its investment objective
through a moderate allocation to both global equity and global fixed income
securities by allocating approximately 50% to 70% of its assets to domestic and
international equity underlying funds and 30% to 50% of its assets to fixed
income underlying funds. As of the date of this report, the Portfolio's
investments in domestic equity funds included the U.S. Core Equity 1 Portfolio,
the U.S. Core Equity 2 Portfolio, VA U.S. Large Value Portfolio, and the DFA
Real Estate Securities Portfolio; the Portfolio's investments in international
equity funds included the International Core Equity Portfolio, Emerging Markets
Core Equity Portfolio, and VA International Value Portfolio (collectively, the
"Equity Underlying Funds"); and the Portfolio's investments in fixed income
funds included the DFA Two-Year Global Fixed Income Portfolio, DFA Selectively
Hedged Global Fixed Income Portfolio, VA Global Bond Portfolio, and VA
Short-Term Fixed Portfolio ("Fixed Income Underlying Funds," and, collectively
with the Equity Underlying Funds, the "Equity and Fixed Income Underlying
Funds"). The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2017, the Equity and Fixed Income Underlying
Funds collectively held more than 12,000 equity securities in 44 countries and
approximately 600 fixed income securities in 18 countries, excluding
supranationals.
For the 12 months ended October 31, 2017, total returns were 15.50% for the
Portfolio and 14.95% for the Portfolio's composite benchmark, a hypothetical
composite index composed of 65% MSCI All Country World Index (net dividends)
and 35% Citi World Government Bond Index 1-3 Years (hedged to USD), the
Portfolio's primary benchmarks. As a result of the Equity and Fixed Income
Underlying Funds' diversified investment approach, performance was determined
principally by broad trends in global equity and fixed income markets rather
than by the behavior of a limited group of securities. The Portfolio's equity
and fixed income components each outperformed the relevant component of the
composite benchmark and contributed to the Portfolio's outperformance relative
to the composite benchmark.
With U.S. and developed ex U.S. small-caps generally outperforming large for
the period, the Equity Underlying Funds' inclusion of and emphasis on small-cap
stocks contributed positively to performance relative to the equity benchmark
(which is mostly composed of large- and mid-cap stocks).
During the period ended October 31, 2017, interest rates generally
increased, while term spreads remained positive for the period and credit
spreads narrowed. The Fixed Income Underlying Funds' greater exposure to credit
relative to the benchmark was the primary driver of outperformance during a
period in which credit premia were positive. This was partly offset by the
Fixed Income Underlying Funds' longer duration in a period of rising interest
rates, which detracted from relative returns.
VA EQUITY ALLOCATION PORTFOLIO
The VA Equity Allocation Portfolio seeks long-term capital appreciation by
investing in a combination of other mutual funds managed by Dimensional that
invest in domestic and international equity securities. As of the date of this
report, the Portfolio's investments in the domestic equity funds included the
U.S. Core Equity 1 Portfolio, the U.S. Large Company Portfolio, the VA U.S.
Large Value Portfolio, the VA U.S. Targeted Value Portfolio, and the DFA Real
Estate Securities Portfolio; and the Portfolio's investments in the
international equity funds included the International Core Equity Portfolio,
the VA International Small Portfolio, the VA International Value Portfolio, and
the 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 13,000 equity securities in 44 countries.
From its inception on July 10, 2017 through October 31, 2017, total returns
were 7.20% for the Portfolio and 6.75% for the MSCI World Index (net
dividends), the Portfolio's benchmark. As a result of the Underlying Funds'
diversified investment approach, the Portfolio's performance for the period
since inception 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 larger names for the
period, the Underlying Funds' inclusion of and emphasis on small-cap stocks
contributed positively to the Portfolio's performance relative to the benchmark
(which is mostly composed of large- and mid-cap stocks). Conversely, with low
relative price (value) stocks underperforming high relative price (growth)
stocks across global markets, the Underlying Funds' greater emphasis on value
stocks detracted from relative performance.
12
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*
--------- --------- ---------- --------
VA U.S. TARGETED VALUE PORTFOLIO
--------------------------------
Actual Fund Return $1,000.00 $1,060.20 0.37% $1.92
Hypothetical 5% Annual Return $1,000.00 $1,023.34 0.37% $1.89
VA U.S. LARGE VALUE PORTFOLIO
-----------------------------
Actual Fund Return $1,000.00 $1,077.40 0.27% $1.41
Hypothetical 5% Annual Return $1,000.00 $1,023.84 0.27% $1.38
13
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/17 10/31/17 RATIO* PERIOD*
--------- --------- ---------- --------
VA INTERNATIONAL VALUE PORTFOLIO
--------------------------------
Actual Fund Return $1,000.00 $1,131.80 0.43% $2.31
Hypothetical 5% Annual Return $1,000.00 $1,023.04 0.43% $2.19
VA INTERNATIONAL SMALL PORTFOLIO
--------------------------------
Actual Fund Return $1,000.00 $1,124.20 0.57% $3.05
Hypothetical 5% Annual Return $1,000.00 $1,022.33 0.57% $2.91
VA SHORT-TERM FIXED PORTFOLIO
-----------------------------
Actual Fund Return $1,000.00 $1,004.90 0.27% $1.36
Hypothetical 5% Annual Return $1,000.00 $1,023.84 0.27% $1.38
VA GLOBAL BOND PORTFOLIO
------------------------
Actual Fund Return $1,000.00 $1,010.20 0.24% $1.22
Hypothetical 5% Annual Return $1,000.00 $1,024.00 0.24% $1.22
VIT INFLATION -- PROTECTED SECURITIES PORTFOLIO
-----------------------------------------------
Actual Fund Return $1,000.00 $1,001.00 0.12% $0.61
Hypothetical 5% Annual Return $1,000.00 $1,024.60 0.12% $0.61
DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO**
---------------------------------------------
Actual Fund Return $1,000.00 $1,064.10 0.40% $2.08
Hypothetical 5% Annual Return $1,000.00 $1,023.19 0.40% $2.04
VA EQUITY ALLOCATION PORTFOLIO (1)
----------------------------------
Actual Fund Return $1,000.00 $1,072.00 0.40% $1.27
Hypothetical 5% Annual Return $1,000.00 $1,014.12 0.40% $1.24
----------
* 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 Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Underlying Funds (Affiliated Investment
Companies).
(1)The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Underlying Funds (Affiliated Investment
Companies). VA Equity Allocation Portfolio commenced operations on July 10,
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 (112), 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
is a Fund of Funds. The expenses shown reflect the direct expenses of the
Fund of Funds and the indirect payment of the Fund of Funds' portion of the
expenses of its Master Funds (Affiliated Investment Companies).
14
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.
FUND OF FUNDS
AFFILIATED INVESTMENT COMPANY
-----------------------------
DFA VA Global Moderate Allocation Portfolio. 100.0%
VA Equity Allocation Portfolio.............. 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
VA U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 15.5%
Consumer Staples............................. 2.7%
Energy....................................... 9.4%
Financials................................... 25.6%
Health Care.................................. 6.1%
Industrials.................................. 20.6%
Information Technology....................... 12.3%
Materials.................................... 5.8%
Real Estate.................................. 0.7%
Telecommunication Services................... 0.6%
Utilities.................................... 0.7%
-----
100.0%
VA U.S. LARGE VALUE PORTFOLIO
Consumer Discretionary....................... 13.5%
Consumer Staples............................. 6.3%
Energy....................................... 11.7%
Financials................................... 24.8%
Health Care.................................. 12.0%
Industrials.................................. 8.4%
Information Technology....................... 15.0%
Materials.................................... 3.7%
Real Estate.................................. 0.1%
Telecommunication Services................... 4.1%
Utilities.................................... 0.4%
-----
100.0%
VA INTERNATIONAL VALUE PORTFOLIO
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 1.9%
Energy....................................... 15.3%
Financials................................... 31.2%
Health Care.................................. 2.3%
Industrials.................................. 8.2%
Information Technology....................... 2.6%
Materials.................................... 14.5%
Real Estate.................................. 2.3%
Telecommunication Services................... 3.4%
Utilities.................................... 2.0%
-----
100.0%
15
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
VA INTERNATIONAL SMALL PORTFOLIO
Consumer Discretionary....................... 17.0%
Consumer Staples............................. 6.4%
Energy....................................... 4.6%
Financials................................... 11.4%
Health Care.................................. 4.9%
Industrials.................................. 24.7%
Information Technology....................... 11.3%
Materials.................................... 11.6%
Real Estate.................................. 4.1%
Telecommunication Services................... 1.5%
Utilities.................................... 2.5%
-----
100.0%
FIXED INCOME PORTFOLIOS
VA SHORT-TERM FIXED PORTFOLIO
Corporate.................................... 19.6%
Government................................... 8.1%
Foreign Corporate............................ 30.4%
Foreign Government........................... 34.3%
Supranational................................ 7.6%
-----
100.0%
VA GLOBAL BOND PORTFOLIO
Corporate.................................... 27.7%
Foreign Corporate............................ 30.3%
Foreign Government........................... 38.0%
Supranational................................ 4.0%
-----
100.0%
VIT INFLATION -- PROTECTED SECURITIES PORTFOLIO
Government................................... 100.0%
-----
100.0%
16
VA U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (89.9%)
Consumer Discretionary -- (13.9%)
#* AutoNation, Inc....................... 22,896 $ 1,085,270 0.3%
# CalAtlantic Group, Inc................ 26,414 1,303,267 0.4%
# International Game Technology P.L.C... 50,779 1,193,306 0.4%
# Kohl's Corp........................... 40,712 1,700,133 0.5%
# Macy's, Inc........................... 68,998 1,294,402 0.4%
PulteGroup, Inc....................... 57,753 1,745,873 0.5%
Toll Brothers, Inc.................... 43,252 1,991,322 0.6%
Other Securities...................... 40,230,561 12.4%
----------- -----
Total Consumer Discretionary.............. 50,544,134 15.5%
----------- -----
Consumer Staples -- (2.4%)
# Sanderson Farms, Inc.................. 7,420 1,109,809 0.4%
Other Securities...................... 7,683,309 2.3%
----------- -----
Total Consumer Staples.................... 8,793,118 2.7%
----------- -----
Energy -- (8.4%)
#* Antero Resources Corp................. 72,874 1,413,756 0.4%
# Helmerich & Payne, Inc................ 22,988 1,248,478 0.4%
HollyFrontier Corp.................... 49,208 1,818,236 0.6%
# Murphy Oil Corp....................... 44,623 1,193,665 0.4%
* Rice Energy, Inc...................... 65,259 1,850,093 0.6%
* RSP Permian, Inc...................... 38,674 1,330,772 0.4%
Other Securities...................... 21,768,463 6.6%
----------- -----
Total Energy.............................. 30,623,463 9.4%
----------- -----
Financials -- (23.0%)
Associated Banc-Corp.................. 41,724 1,055,617 0.3%
Assurant, Inc......................... 14,654 1,474,925 0.5%
Assured Guaranty, Ltd................. 30,658 1,137,412 0.4%
Axis Capital Holdings, Ltd............ 20,422 1,110,753 0.3%
# CIT Group, Inc........................ 21,836 1,017,994 0.3%
Hanover Insurance Group, Inc. (The)... 10,453 1,028,366 0.3%
# Investors Bancorp, Inc................ 75,714 1,041,067 0.3%
New York Community Bancorp, Inc....... 100,738 1,265,269 0.4%
Old Republic International Corp....... 58,070 1,178,240 0.4%
PacWest Bancorp....................... 27,612 1,334,204 0.4%
# People's United Financial, Inc........ 81,193 1,515,061 0.5%
Pinnacle Financial Partners, Inc...... 16,484 1,091,241 0.3%
Prosperity Bancshares, Inc............ 15,628 1,028,010 0.3%
RenaissanceRe Holdings, Ltd........... 9,693 1,341,123 0.4%
* Santander Consumer USA Holdings, Inc.. 62,361 1,037,687 0.3%
Umpqua Holdings Corp.................. 54,549 1,116,073 0.3%
Other Securities...................... 64,809,109 19.9%
----------- -----
Total Financials.......................... 83,582,151 25.6%
----------- -----
Health Care -- (5.5%)
* Envision Healthcare Corp.............. 25,423 1,083,020 0.3%
Other Securities...................... 18,695,737 5.8%
----------- -----
Total Health Care......................... 19,778,757 6.1%
----------- -----
Industrials -- (18.5%)
* AECOM................................. 59,965 2,102,373 0.6%
Air Lease Corp........................ 42,726 1,856,445 0.6%
17
VA U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
AMERCO........................................................ 3,997 $ 1,569,382 0.5%
* Colfax Corp................................................... 33,031 1,377,723 0.4%
* Genesee & Wyoming, Inc. Class A............................... 15,696 1,126,659 0.3%
Jacobs Engineering Group, Inc................................. 32,915 1,915,982 0.6%
* JetBlue Airways Corp.......................................... 84,042 1,609,404 0.5%
* Kirby Corp.................................................... 14,913 1,056,586 0.3%
Owens Corning................................................. 19,593 1,620,145 0.5%
* Quanta Services, Inc.......................................... 38,352 1,447,021 0.4%
Trinity Industries, Inc....................................... 46,408 1,509,188 0.5%
#* XPO Logistics, Inc............................................ 22,429 1,555,451 0.5%
Other Securities.............................................. 48,482,525 14.9%
------------ ------
Total Industrials................................................... 67,228,884 20.6%
------------ ------
Information Technology -- (11.0%)
* ARRIS International P.L.C..................................... 36,298 1,034,493 0.3%
* Arrow Electronics, Inc........................................ 32,324 2,701,963 0.8%
Avnet, Inc.................................................... 44,699 1,779,020 0.6%
Jabil, Inc.................................................... 41,431 1,171,669 0.4%
Other Securities.............................................. 33,335,771 10.1%
------------ ------
Total Information Technology........................................ 40,022,916 12.2%
------------ ------
Materials -- (5.2%)
Mosaic Co. (The).............................................. 68,840 1,537,886 0.5%
Reliance Steel & Aluminum Co.................................. 21,094 1,620,863 0.5%
Other Securities.............................................. 15,761,661 4.8%
------------ ------
Total Materials..................................................... 18,920,410 5.8%
------------ ------
Real Estate -- (0.7%)
Other Securities.............................................. 2,454,014 0.7%
------------ ------
Telecommunication Services -- (0.6%)
Other Securities.............................................. 2,124,157 0.6%
------------ ------
Utilities -- (0.7%)
* Calpine Corp.................................................. 80,250 1,198,935 0.4%
Other Securities.............................................. 1,119,685 0.3%
------------ ------
Total Utilities..................................................... 2,318,620 0.7%
------------ ------
TOTAL COMMON STOCKS................................................. 326,390,624 99.9%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 1,182 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES......................................... 326,391,806
------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 545,646 545,646 0.2%
------------ ------
SECURITIES LENDING COLLATERAL -- (9.9%)
(S)@ DFA Short Term Investment Fund................................ 3,109,518 35,980,238 11.0%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $316,289,041)............................................. $362,917,690 111.1%
============ ======
18
VA U.S. TARGETED VALUE 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...... $ 50,544,134 -- -- $ 50,544,134
Consumer Staples............ 8,793,118 -- -- 8,793,118
Energy...................... 30,623,463 -- -- 30,623,463
Financials.................. 83,582,151 -- -- 83,582,151
Health Care................. 19,778,757 -- -- 19,778,757
Industrials................. 67,228,884 -- -- 67,228,884
Information Technology...... 40,022,916 -- -- 40,022,916
Materials................... 18,920,410 -- -- 18,920,410
Real Estate................. 2,454,014 -- -- 2,454,014
Telecommunication Services.. 2,124,157 -- -- 2,124,157
Utilities................... 2,318,620 -- -- 2,318,620
RIGHTS/WARRANTS............... -- $ 1,182 -- 1,182
Temporary Cash Investments.... 545,646 -- -- 545,646
Securities Lending Collateral. -- 35,980,238 -- 35,980,238
------------ ----------- -- ------------
TOTAL......................... $326,936,270 $35,981,420 -- $362,917,690
============ =========== == ============
See accompanying Notes to Financial Statements.
19
VA U.S. LARGE VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (98.6%)
Consumer Discretionary -- (13.4%)
* Charter Communications, Inc. Class A.......... 13,652 $ 4,562,089 1.2%
Comcast Corp. Class A......................... 260,358 9,380,699 2.5%
DR Horton, Inc................................ 43,747 1,934,055 0.5%
Ford Motor Co................................. 230,420 2,827,253 0.8%
General Motors Co............................. 86,268 3,707,799 1.0%
Royal Caribbean Cruises, Ltd.................. 18,430 2,281,081 0.6%
Time Warner, Inc.............................. 47,918 4,709,860 1.3%
Other Securities.............................. 21,228,259 5.6%
----------- -----
Total Consumer Discretionary...................... 50,631,095 13.5%
----------- -----
Consumer Staples -- (6.2%)
CVS Health Corp............................... 62,948 4,313,826 1.1%
Mondelez International, Inc. Class A.......... 45,494 1,884,816 0.5%
Wal-Mart Stores, Inc.......................... 76,563 6,684,716 1.8%
Walgreens Boots Alliance, Inc................. 35,133 2,328,264 0.6%
Other Securities.............................. 8,490,819 2.3%
----------- -----
Total Consumer Staples............................ 23,702,441 6.3%
----------- -----
Energy -- (11.5%)
Chevron Corp.................................. 61,850 7,167,796 1.9%
ConocoPhillips................................ 41,685 2,132,188 0.6%
Exxon Mobil Corp.............................. 177,094 14,760,785 4.0%
Marathon Petroleum Corp....................... 30,658 1,831,509 0.5%
Occidental Petroleum Corp..................... 31,081 2,006,900 0.5%
Valero Energy Corp............................ 31,170 2,459,001 0.7%
Other Securities.............................. 13,316,136 3.5%
----------- -----
Total Energy...................................... 43,674,315 11.7%
----------- -----
Financials -- (24.5%)
American International Group, Inc............. 28,509 1,841,966 0.5%
Bank of America Corp.......................... 233,649 6,399,646 1.7%
Bank of New York Mellon Corp. (The)........... 60,809 3,128,623 0.8%
Capital One Financial Corp.................... 30,384 2,800,797 0.8%
Citigroup, Inc................................ 93,355 6,861,592 1.8%
Goldman Sachs Group, Inc. (The)............... 15,622 3,788,023 1.0%
Hartford Financial Services Group, Inc. (The). 34,909 1,921,740 0.5%
JPMorgan Chase & Co........................... 150,826 15,174,604 4.1%
Morgan Stanley................................ 76,875 3,843,750 1.0%
PNC Financial Services Group, Inc. (The)...... 19,407 2,654,684 0.7%
Travelers Cos., Inc. (The).................... 16,747 2,218,140 0.6%
Wells Fargo & Co.............................. 209,313 11,750,832 3.1%
Other Securities.............................. 30,462,917 8.2%
----------- -----
Total Financials.................................. 92,847,314 24.8%
----------- -----
Health Care -- (11.8%)
Abbott Laboratories........................... 64,289 3,486,392 0.9%
Aetna, Inc.................................... 21,525 3,659,896 1.0%
Anthem, Inc................................... 17,136 3,585,023 1.0%
Danaher Corp.................................. 27,189 2,508,729 0.7%
* Express Scripts Holding Co.................... 37,088 2,273,123 0.6%
Humana, Inc................................... 8,868 2,264,444 0.6%
Medtronic P.L.C............................... 59,231 4,769,280 1.3%
Pfizer, Inc................................... 201,581 7,067,430 1.9%
20
VA U.S. LARGE VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc................................. 11,061 $ 2,143,954 0.6%
Other Securities.............................................. 13,047,695 3.4%
------------ ------
Total Health Care................................................... 44,805,966 12.0%
------------ ------
Industrials -- (8.3%)
Delta Air Lines, Inc.......................................... 42,197 2,111,116 0.6%
Eaton Corp. P.L.C............................................. 26,186 2,095,404 0.6%
Norfolk Southern Corp......................................... 17,791 2,338,093 0.6%
Stanley Black & Decker, Inc................................... 14,134 2,283,348 0.6%
Other Securities.............................................. 22,671,333 6.0%
------------ ------
Total Industrials................................................... 31,499,294 8.4%
------------ ------
Information Technology -- (14.8%)
Cisco Systems, Inc............................................ 307,974 10,517,312 2.8%
HP, Inc....................................................... 106,724 2,299,902 0.6%
Intel Corp.................................................... 314,314 14,298,144 3.8%
Lam Research Corp............................................. 13,623 2,841,349 0.8%
* Micron Technology, Inc........................................ 71,442 3,165,595 0.9%
QUALCOMM, Inc................................................. 71,958 3,670,578 1.0%
Other Securities.............................................. 19,191,237 5.1%
------------ ------
Total Information Technology........................................ 55,984,117 15.0%
------------ ------
Materials -- (3.7%)
Nucor Corp.................................................... 33,193 1,919,551 0.5%
Other Securities.............................................. 11,970,203 3.2%
------------ ------
Total Materials..................................................... 13,889,754 3.7%
------------ ------
Real Estate -- (0.1%)
Other Securities.............................................. 478,936 0.1%
------------ ------
Telecommunication Services -- (4.0%)
AT&T, Inc..................................................... 366,304 12,326,130 3.3%
Other Securities.............................................. 2,795,622 0.7%
------------ ------
Total Telecommunication Services.................................... 15,121,752 4.0%
------------ ------
Utilities -- (0.3%)
Other Securities.............................................. 1,277,954 0.3%
------------ ------
TOTAL COMMON STOCKS................................................. 373,912,938 99.8%
------------ ------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 697,458 697,458 0.2%
------------ ------
SECURITIES LENDING COLLATERAL -- (1.2%)
(S)@ DFA Short Term Investment Fund................................ 389,094 4,502,203 1.2%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $279,648,290)............................................. $379,112,599 101.2%
============ ======
21
VA U.S. LARGE VALUE 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...... $ 50,631,095 -- -- $ 50,631,095
Consumer Staples............ 23,702,441 -- -- 23,702,441
Energy...................... 43,674,315 -- -- 43,674,315
Financials.................. 92,847,314 -- -- 92,847,314
Health Care................. 44,805,966 -- -- 44,805,966
Industrials................. 31,499,294 -- -- 31,499,294
Information Technology...... 55,984,117 -- -- 55,984,117
Materials................... 13,889,754 -- -- 13,889,754
Real Estate................. 478,936 -- -- 478,936
Telecommunication Services.. 15,121,752 -- -- 15,121,752
Utilities................... 1,277,954 -- -- 1,277,954
Temporary Cash Investments.... 697,458 -- -- 697,458
Securities Lending Collateral. -- $4,502,203 -- 4,502,203
------------ ---------- -- ------------
TOTAL......................... $374,610,396 $4,502,203 -- $379,112,599
============ ========== == ============
See accompanying Notes to Financial Statements.
22
VA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (94.8%)
AUSTRALIA -- (5.6%)
# Australia & New Zealand Banking Group, Ltd.... 123,085 $ 2,824,622 1.1%
BHP Billiton, Ltd............................. 167,909 3,457,044 1.4%
Woodside Petroleum, Ltd....................... 52,384 1,234,849 0.5%
Other Securities.............................. 7,026,173 2.8%
----------- ----
TOTAL AUSTRALIA................................... 14,542,688 5.8%
----------- ----
AUSTRIA -- (0.1%)
Other Securities.............................. 279,222 0.1%
----------- ----
BELGIUM -- (1.2%)
Other Securities.............................. 3,036,079 1.2%
----------- ----
CANADA -- (7.7%)
Bank of Montreal.............................. 35,612 2,728,235 1.1%
Manulife Financial Corp....................... 69,281 1,392,548 0.6%
Suncor Energy, Inc. (867224107)............... 34,074 1,157,153 0.5%
Suncor Energy, Inc. (B3NB1P2)................. 55,331 1,878,534 0.7%
Other Securities.............................. 13,015,948 5.1%
----------- ----
TOTAL CANADA...................................... 20,172,418 8.0%
----------- ----
DENMARK -- (1.5%)
Other Securities.............................. 3,998,672 1.6%
----------- ----
FINLAND -- (0.9%)
Other Securities.............................. 2,395,630 1.0%
----------- ----
FRANCE -- (9.1%)
AXA SA........................................ 49,735 1,501,420 0.6%
BNP Paribas SA................................ 46,478 3,627,581 1.4%
# Engie SA...................................... 100,100 1,691,895 0.7%
Orange SA..................................... 107,079 1,759,059 0.7%
Peugeot SA.................................... 57,023 1,352,902 0.5%
Renault SA.................................... 18,549 1,839,378 0.7%
Societe Generale SA........................... 32,125 1,787,900 0.7%
Total SA...................................... 122,835 6,846,589 2.7%
Other Securities.............................. 3,368,558 1.4%
----------- ----
TOTAL FRANCE...................................... 23,775,282 9.4%
----------- ----
GERMANY -- (7.7%)
Allianz SE.................................... 6,749 1,575,613 0.6%
Bayerische Motoren Werke AG................... 21,739 2,229,557 0.9%
Daimler AG.................................... 60,765 5,073,036 2.0%
Muenchener Rueckversicherungs-Gesellschaft AG. 5,389 1,209,842 0.5%
* RWE AG........................................ 42,734 1,074,498 0.4%
Other Securities.............................. 8,775,500 3.5%
----------- ----
TOTAL GERMANY..................................... 19,938,046 7.9%
----------- ----
HONG KONG -- (2.6%)
CK Hutchison Holdings, Ltd.................... 143,512 1,822,847 0.7%
Other Securities.............................. 4,952,874 2.0%
----------- ----
TOTAL HONG KONG................................... 6,775,721 2.7%
----------- ----
23
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (0.4%)
Other Securities...................... $ 921,025 0.4%
----------- -----
ISRAEL -- (0.3%)
Other Securities...................... 717,120 0.3%
----------- -----
ITALY -- (2.1%)
Fiat Chrysler Automobiles NV.......... 113,627 1,964,756 0.8%
* UniCredit SpA......................... 97,112 1,855,868 0.7%
Other Securities...................... 1,748,159 0.7%
----------- -----
TOTAL ITALY............................... 5,568,783 2.2%
----------- -----
JAPAN -- (21.6%)
Hitachi, Ltd.......................... 203,000 1,616,559 0.6%
Honda Motor Co., Ltd.................. 83,500 2,616,644 1.0%
Mitsubishi UFJ Financial Group, Inc... 397,400 2,695,621 1.1%
Nissan Motor Co., Ltd................. 112,700 1,096,050 0.4%
Sumitomo Mitsui Financial Group, Inc.. 51,500 2,063,230 0.8%
Toyota Motor Corp..................... 105,370 6,535,685 2.6%
Other Securities...................... 39,657,255 15.8%
----------- -----
TOTAL JAPAN............................... 56,281,044 22.3%
----------- -----
NETHERLANDS -- (2.9%)
ING Groep NV.......................... 105,622 1,951,838 0.8%
Other Securities...................... 5,484,274 2.2%
----------- -----
TOTAL NETHERLANDS......................... 7,436,112 3.0%
----------- -----
NEW ZEALAND -- (0.1%)
Other Securities...................... 347,422 0.1%
----------- -----
NORWAY -- (0.8%)
Other Securities...................... 2,173,930 0.9%
----------- -----
PORTUGAL -- (0.0%)
Other Securities...................... 64,454 0.0%
----------- -----
SINGAPORE -- (0.9%)
Other Securities...................... 2,333,483 0.9%
----------- -----
SPAIN -- (2.9%)
Banco Santander SA.................... 574,879 3,897,281 1.5%
Repsol SA............................. 118,050 2,212,185 0.9%
Other Securities...................... 1,540,999 0.6%
----------- -----
TOTAL SPAIN............................... 7,650,465 3.0%
----------- -----
SWEDEN -- (2.8%)
Nordea Bank AB........................ 167,882 2,028,805 0.8%
Other Securities...................... 5,141,660 2.0%
----------- -----
TOTAL SWEDEN.............................. 7,170,465 2.8%
----------- -----
SWITZERLAND -- (7.4%)
Adecco Group AG....................... 13,828 1,097,076 0.4%
Cie Financiere Richemont SA........... 24,867 2,292,396 0.9%
Novartis AG........................... 20,736 1,710,289 0.7%
Novartis AG Sponsored ADR............. 17,251 1,424,588 0.6%
Swiss Re AG........................... 13,991 1,316,697 0.5%
Zurich Insurance Group AG............. 8,427 2,571,626 1.0%
24
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Other Securities................................ $ 8,773,286 3.5%
------------ ------
TOTAL SWITZERLAND..................................... 19,185,958 7.6%
------------ ------
UNITED KINGDOM -- (16.2%)
Anglo American P.L.C............................ 116,552 2,198,522 0.9%
BP P.L.C. Sponsored ADR......................... 161,971 6,587,356 2.6%
Glencore P.L.C.................................. 439,685 2,120,688 0.8%
HSBC Holdings P.L.C. Sponsored ADR.............. 125,644 6,127,658 2.4%
Lloyds Banking Group P.L.C...................... 1,959,721 1,776,351 0.7%
# Lloyds Banking Group P.L.C. ADR................. 374,716 1,382,702 0.5%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 101,150 6,375,484 2.5%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 67,602 4,418,467 1.8%
* Standard Chartered P.L.C........................ 124,368 1,238,689 0.5%
Vodafone Group P.L.C............................ 1,510,348 4,320,106 1.7%
Other Securities................................ 5,651,432 2.3%
------------ ------
TOTAL UNITED KINGDOM.................................. 42,197,455 16.7%
------------ ------
TOTAL COMMON STOCKS................................... 246,961,474 97.9%
------------ ------
PREFERRED STOCKS -- (1.1%)
GERMANY -- (1.1%)
Volkswagen AG................................... 12,186 2,231,295 0.9%
Other Securities................................ 691,406 0.3%
------------ ------
TOTAL GERMANY......................................... 2,922,701 1.2%
------------ ------
TOTAL PREFERRED STOCKS................................ 2,922,701 1.2%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities................................ 30,231 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES........................... 249,914,406
------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (4.1%)
(S)@ DFA Short Term Investment Fund.................. 931,162 10,774,478 4.3%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $233,361,285)............................... $260,688,884 103.4%
============ ======
25
VA INTERNATIONAL VALUE 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................... $ 55,427 $ 14,487,261 -- $ 14,542,688
Austria..................... -- 279,222 -- 279,222
Belgium..................... -- 3,036,079 -- 3,036,079
Canada...................... 20,172,418 -- -- 20,172,418
Denmark..................... -- 3,998,672 -- 3,998,672
Finland..................... -- 2,395,630 -- 2,395,630
France...................... -- 23,775,282 -- 23,775,282
Germany..................... 2,329,254 17,608,792 -- 19,938,046
Hong Kong................... -- 6,775,721 -- 6,775,721
Ireland..................... 508,621 412,404 -- 921,025
Israel...................... -- 717,120 -- 717,120
Italy....................... 154,980 5,413,803 -- 5,568,783
Japan....................... 265,360 56,015,684 -- 56,281,044
Netherlands................. 1,535,381 5,900,731 -- 7,436,112
New Zealand................. -- 347,422 -- 347,422
Norway...................... -- 2,173,930 -- 2,173,930
Portugal.................... -- 64,454 -- 64,454
Singapore................... -- 2,333,483 -- 2,333,483
Spain....................... -- 7,650,465 -- 7,650,465
Sweden...................... 91,675 7,078,790 -- 7,170,465
Switzerland................. 2,064,011 17,121,947 -- 19,185,958
United Kingdom.............. 27,269,014 14,928,441 -- 42,197,455
Preferred Stocks
Germany..................... -- 2,922,701 -- 2,922,701
RIGHTS/WARRANTS
Spain....................... -- 30,231 -- 30,231
Securities Lending Collateral. -- 10,774,478 -- 10,774,478
----------- ------------ -- ------------
TOTAL......................... $54,446,141 $206,242,743 -- $260,688,884
=========== ============ == ============
See accompanying Notes to Financial Statements.
26
VA INTERNATIONAL SMALL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.7%)
AUSTRALIA -- (5.9%)
Other Securities.......... $14,530,735 6.4%
----------- ----
AUSTRIA -- (1.3%)
Other Securities.......... 3,270,481 1.4%
----------- ----
BELGIUM -- (1.6%)
Umicore SA................ 13,338 596,078 0.3%
Other Securities.......... 3,297,965 1.4%
----------- ----
TOTAL BELGIUM................. 3,894,043 1.7%
----------- ----
CANADA -- (8.0%)
Toromont Industries, Ltd.. 8,251 363,719 0.2%
Other Securities.......... 19,213,853 8.4%
----------- ----
TOTAL CANADA.................. 19,577,572 8.6%
----------- ----
CHINA -- (0.0%)
Other Securities.......... 22,912 0.0%
----------- ----
DENMARK -- (1.8%)
GN Store Nord A.S......... 13,176 436,041 0.2%
Other Securities.......... 3,898,041 1.7%
----------- ----
TOTAL DENMARK................. 4,334,082 1.9%
----------- ----
FINLAND -- (2.2%)
Elisa Oyj................. 9,007 362,686 0.2%
Huhtamaki Oyj............. 9,902 421,774 0.2%
Nokian Renkaat Oyj........ 9,938 455,629 0.2%
Other Securities.......... 4,221,981 1.8%
----------- ----
TOTAL FINLAND................. 5,462,070 2.4%
----------- ----
FRANCE -- (5.0%)
Edenred................... 19,087 550,252 0.3%
Ingenico Group SA......... 4,878 473,695 0.2%
Rexel SA.................. 25,457 453,950 0.2%
Rubis SCA................. 8,402 527,247 0.2%
* Ubisoft Entertainment SA.. 6,345 484,121 0.2%
Other Securities.......... 9,666,112 4.3%
----------- ----
TOTAL FRANCE.................. 12,155,377 5.4%
----------- ----
GERMANY -- (5.4%)
Freenet AG................ 12,499 418,565 0.2%
Hugo Boss AG.............. 4,284 383,158 0.2%
# K+S AG.................... 16,523 401,703 0.2%
Lanxess AG................ 6,091 477,587 0.2%
LEG Immobilien AG......... 4,979 507,183 0.2%
Rheinmetall AG............ 3,652 433,742 0.2%
Other Securities.......... 10,548,820 4.6%
----------- ----
TOTAL GERMANY................. 13,170,758 5.8%
----------- ----
HONG KONG -- (2.6%)
Other Securities.......... 6,436,575 2.8%
----------- ----
27
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (0.5%)
Other Securities............... $ 1,140,481 0.5%
----------- -----
ISRAEL -- (0.9%)
Other Securities............... 2,182,996 1.0%
----------- -----
ITALY -- (3.9%)
* Banco BPM SpA.................. 136,500 475,277 0.2%
Prysmian SpA................... 10,484 360,748 0.2%
Unione di Banche Italiane SpA.. 96,710 453,902 0.2%
Other Securities............... 8,331,984 3.6%
----------- -----
TOTAL ITALY........................ 9,621,911 4.2%
----------- -----
JAPAN -- (22.1%)
Other Securities............... 54,189,857 23.9%
----------- -----
NETHERLANDS -- (2.4%)
Aalberts Industries NV......... 8,911 439,408 0.2%
ASM International NV........... 5,440 364,556 0.2%
BE Semiconductor Industries NV. 5,041 396,133 0.2%
Other Securities............... 4,733,568 2.0%
----------- -----
TOTAL NETHERLANDS.................. 5,933,665 2.6%
----------- -----
NEW ZEALAND -- (0.7%)
Other Securities............... 1,753,566 0.8%
----------- -----
NORWAY -- (0.8%)
Other Securities............... 1,954,675 0.9%
----------- -----
PERU -- (0.0%)
Other Securities............... 1 0.0%
----------- -----
PORTUGAL -- (0.4%)
Other Securities............... 1,011,682 0.5%
----------- -----
SINGAPORE -- (1.2%)
Other Securities............... 2,824,210 1.2%
----------- -----
SPAIN -- (2.1%)
Enagas SA...................... 15,946 459,304 0.2%
Other Securities............... 4,677,185 2.1%
----------- -----
TOTAL SPAIN........................ 5,136,489 2.3%
----------- -----
SWEDEN -- (2.6%)
Other Securities............... 6,360,992 2.8%
----------- -----
SWITZERLAND -- (4.1%)
ams AG......................... 4,508 411,295 0.2%
Georg Fischer AG............... 369 454,634 0.2%
Logitech International SA...... 10,282 367,678 0.2%
Temenos Group AG............... 3,300 381,056 0.2%
Other Securities............... 8,441,202 3.6%
----------- -----
TOTAL SWITZERLAND.................. 10,055,865 4.4%
----------- -----
UNITED KINGDOM -- (16.2%)
Balfour Beatty P.L.C........... 117,948 429,081 0.2%
BBA Aviation P.L.C............. 94,726 400,183 0.2%
28
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Bellway P.L.C....................... 13,938 $ 675,795 0.3%
Close Brothers Group P.L.C.......... 26,209 483,378 0.2%
Daily Mail & General Trust P.L.C.... 50,166 462,022 0.2%
Electrocomponents P.L.C............. 78,060 719,949 0.3%
Halma P.L.C......................... 34,384 539,515 0.2%
Hays P.L.C.......................... 241,578 598,010 0.3%
Hiscox, Ltd......................... 25,898 491,105 0.2%
Howden Joinery Group P.L.C.......... 108,138 588,912 0.3%
Inchcape P.L.C...................... 37,680 391,113 0.2%
Jardine Lloyd Thompson Group P.L.C.. 23,553 407,659 0.2%
John Wood Group P.L.C............... 71,839 679,298 0.3%
Melrose Industries P.L.C............ 126,503 369,498 0.2%
Renishaw P.L.C...................... 6,328 416,304 0.2%
Rightmove P.L.C..................... 7,687 424,080 0.2%
RPC Group P.L.C..................... 42,898 536,847 0.2%
Spectris P.L.C...................... 20,883 709,990 0.3%
Tate & Lyle P.L.C................... 68,864 591,561 0.3%
Travis Perkins P.L.C................ 18,894 381,412 0.2%
* Tullow Oil P.L.C.................... 242,733 587,329 0.3%
Victrex P.L.C....................... 14,959 476,308 0.2%
Other Securities.................... 28,407,702 12.3%
------------ ------
TOTAL UNITED KINGDOM...................... 39,767,051 17.5%
------------ ------
TOTAL COMMON STOCKS....................... 224,788,046 99.0%
------------ ------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities.................... 738,958 0.3%
------------ ------
TOTAL PREFERRED STOCKS.................... 738,958 0.3%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................... 4,488 0.0%
------------ ------
ISRAEL -- (0.0%)
Other Securities.................... 3 0.0%
------------ ------
SPAIN -- (0.0%)
Other Securities.................... 22,150 0.0%
------------ ------
SWITZERLAND -- (0.0%)
Other Securities.................... 2,508 0.0%
------------ ------
TOTAL RIGHTS/WARRANTS..................... 29,149 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES............... 225,556,153
------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (8.0%)
(S)@ DFA Short Term Investment Fund...... 1,701,682 $ 19,690,162 8.7%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $208,370,070)................... $245,246,315 108.0%
============ ======
29
VA INTERNATIONAL SMALL 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................... $ 28,599 $ 14,502,136 -- $ 14,530,735
Austria..................... -- 3,270,481 -- 3,270,481
Belgium..................... 49,189 3,844,854 -- 3,894,043
Canada...................... 19,572,015 5,557 -- 19,577,572
China....................... -- 22,912 -- 22,912
Denmark..................... 145,565 4,188,517 -- 4,334,082
Finland..................... -- 5,462,070 -- 5,462,070
France...................... -- 12,155,377 -- 12,155,377
Germany..................... -- 13,170,758 -- 13,170,758
Hong Kong................... 1,522 6,435,053 -- 6,436,575
Ireland..................... -- 1,140,481 -- 1,140,481
Israel...................... 58,104 2,124,892 -- 2,182,996
Italy....................... -- 9,621,911 -- 9,621,911
Japan....................... -- 54,189,857 -- 54,189,857
Netherlands................. -- 5,933,665 -- 5,933,665
New Zealand................. -- 1,753,566 -- 1,753,566
Norway...................... -- 1,954,675 -- 1,954,675
Peru........................ 1 -- -- 1
Portugal.................... -- 1,011,682 -- 1,011,682
Singapore................... -- 2,824,210 -- 2,824,210
Spain....................... -- 5,136,489 -- 5,136,489
Sweden...................... -- 6,360,992 -- 6,360,992
Switzerland................. -- 10,055,865 -- 10,055,865
United Kingdom.............. -- 39,767,051 -- 39,767,051
Preferred Stocks
Germany..................... -- 738,958 -- 738,958
Rights/Warrants
Australia................... -- 4,488 -- 4,488
Israel...................... -- 3 -- 3
Spain....................... -- 22,150 -- 22,150
Switzerland................. -- 2,508 -- 2,508
Securities Lending Collateral. -- 19,690,162 -- 19,690,162
----------- ------------ -- ------------
TOTAL......................... $19,854,995 $225,391,320 -- $245,246,315
=========== ============ == ============
See accompanying Notes to Financial Statements.
30
VA SHORT-TERM FIXED PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (5.0%)
Federal Home Loan Bank
1.750%, 12/14/18............................. $3,255 $ 3,260,859
1.250%, 01/16/19............................. 3,000 2,988,900
1.375%, 05/28/19............................. 1,000 996,725
1.625%, 06/14/19............................. 1,200 1,200,414
1.500%, 10/21/19............................. 500 498,640
Federal National Mortgage Association
1.125%, 10/19/18............................. 1,200 1,196,076
1.125%, 12/14/18............................. 500 497,768
1.375%, 01/28/19............................. 500 498,957
0.875%, 08/02/19............................. 1,000 987,007
1.750%, 09/12/19............................. 900 901,669
-----------
TOTAL AGENCY OBLIGATIONS............................ 13,027,015
-----------
BONDS -- (84.7%)
African Development Bank
1.625%, 10/02/18............................. 500 500,055
1.000%, 11/02/18............................. 500 496,915
1.125%, 09/20/19............................. 500 494,125
Agence Francaise de Developpement
1.375%, 08/02/19............................. 400 395,998
ANZ New Zealand International Ltd.
2.600%, 09/23/19............................. 200 202,017
Apple, Inc.
1.000%, 05/03/18............................. 900 898,015
1.550%, 02/08/19............................. 2,044 2,042,240
1.700%, 02/22/19............................. 500 500,376
1.500%, 09/12/19............................. 400 398,680
Apple, Inc. Floating Rate Note 3M USD LIBOR +
0.080%, FRN
(r) 1.392%, 02/08/19............................. 1,500 1,501,002
(r) 1.612%, 05/06/19............................. 1,300 1,305,831
Australia & New Zealand Banking Group, Ltd.
1.600%, 07/15/19............................. 500 497,240
Australia & New Zealand Banking Group, Ltd.
Floating Rate Note 3M USD LIBOR + 0.440%, FRN
(r) 1.799%, 01/16/18............................. 550 550,480
(r)## 1.799%, 01/16/18............................. 1,000 1,000,873
(r)## 2.064%, 11/16/18............................. 2,000 2,012,385
Bank Nederlandse Gemeenten NV
1.375%, 03/19/18............................. 500 499,756
## 1.125%, 05/25/18............................. 500 498,804
### 1.000%, 09/20/18............................. 500 497,150
1.375%, 01/28/19............................. 1,300 1,294,454
## 1.500%, 02/15/19............................. 200 199,431
1.875%, 06/11/19............................. 1,892 1,894,829
FACE
AMOUNT VALUE+
------ ------
(000)
Bank of Montreal Floating Rate Note 3M USD LIBOR +
0.600%, FRN
(r) 1.950%, 04/09/18............................. $1,000 $1,002,096
Bank of Nova Scotia (The)
# 2.050%, 10/30/18............................. 2,000 2,006,215
Berkshire Hathaway Finance Corp.
1.450%, 03/07/18............................. 675 674,960
Berkshire Hathaway Finance Corp. Floating Rate Note
3M USD LIBOR + 0.300%, FRN
(r) 1.657%, 01/12/18............................. 2,000 2,001,206
(r) 1.606%, 01/11/19............................. 2,000 2,005,523
(r) 2.010%, 03/15/19............................. 800 807,481
(r) 1.575%, 08/15/19............................. 500 501,630
Caisse d'Amortissement de la Dette Sociale
## 1.500%, 01/28/19............................. 1,000 996,807
1.500%, 01/28/19............................. 2,100 2,092,915
Caisse d'Amortissement de la Dette Sociale Floating
Rate Note 3M USD LIBOR + 0.380%, FRN
(r)## 1.700%, 03/15/18............................. 500 500,630
Caisse des Depots et Consignations
1.250%, 06/04/18............................. 1,000 997,480
Chevron Corp.
1.790%, 11/16/18............................. 334 334,460
# 1.686%, 02/28/19............................. 130 129,958
# 1.561%, 05/16/19............................. 1,700 1,695,396
Chevron Corp. Floating Rate Note 3M USD LIBOR +
0.500%, FRN
(r) 1.814%, 05/16/18............................. 497 498,285
(r) 1.824%, 11/16/18............................. 987 991,644
(r) 1.407%, 02/28/19............................. 885 885,000
Cisco Systems, Inc.
1.650%, 06/15/18............................. 2,530 2,533,401
2.125%, 03/01/19............................. 1,950 1,960,549
1.400%, 09/20/19............................. 861 855,588
Coca-Cola Co. (The)
1.650%, 11/01/18............................. 181 181,017
Commonwealth Bank of Australia
## 1.375%, 09/06/18............................. 1,868 1,863,256
1.750%, 11/02/18............................. 500 499,646
2.250%, 03/13/19............................. 436 438,367
2.300%, 09/06/19............................. 517 519,921
Commonwealth Bank of Australia Floating Rate Note
3M USD LIBOR + 0.790%, FRN
(r)## 2.167%, 11/02/18............................. 925 931,036
#(r) 2.380%, 03/15/19............................. 2,400 2,427,007
(r) 1.866%, 09/06/19............................. 336 337,780
31
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. $4,630 $4,653,868
1.375%, 08/09/19............................. 250 247,644
Council Of Europe Development Bank
# 1.000%, 02/04/19............................. 1,100 1,090,888
# 1.500%, 05/17/19............................. 3,500 3,488,660
Erste Abwicklungsanstalt
1.625%, 02/21/19............................. 1,400 1,394,725
1.375%, 10/30/19............................. 400 394,680
European Bank for Reconstruction & Development
1.625%, 11/15/18............................. 900 899,209
European Investment Bank
1.125%, 08/15/18............................. 1,000 996,342
1.625%, 12/18/18............................. 500 499,980
1.875%, 03/15/19............................. 500 501,415
2.125%, 03/15/19............................. 771 775,756
1.250%, 05/15/19............................. 3,200 3,178,176
1.125%, 08/15/19............................. 1,300 1,286,730
Export Development Canada
1.500%, 10/03/18............................. 1,250 1,248,525
1.000%, 11/01/18............................. 500 496,771
1.750%, 08/19/19............................. 2,200 2,200,802
Exxon Mobil Corp.
1.708%, 03/01/19............................. 1,000 1,000,814
Exxon Mobil Corp. Floating Rate Note 3M USD LIBOR
+ 0.600%, FRN
(r) 1.917%, 02/28/18............................. 1,011 1,013,059
FMS Wertmanagement AoeR
1.000%, 08/16/19............................. 1,800 1,775,664
General Electric Co.
5.250%, 12/06/17............................. 1,900 1,906,784
5.625%, 05/01/18............................. 1,197 1,220,856
General Electric Co. Floating Rate Note 3M USD
LIBOR + 0.270%, FRN
(r) 1.582%, 08/07/18............................. 400 400,510
(r) 1.869%, 01/14/19............................. 1,050 1,054,684
Inter-American Development Bank Floating Rate
Note 1M USD LIBOR + 0.040%, FRN
(r) 1.280%, 11/26/18............................. 1,959 1,958,179
International Bank for Reconstruction &
Development
1.000%, 10/05/18............................. 669 666,076
1.875%, 10/07/19............................. 1,000 1,002,684
Kommunalbanken A.S.
1.125%, 05/23/18............................. 500 498,834
2.125%, 03/15/19............................. 2,950 2,964,750
1.750%, 05/28/19............................. 600 599,756
1.500%, 10/22/19............................. 1,034 1,027,176
Kommunalbanken A.S. Floating Rate Note 3M USD
LIBOR + 0.180%, FRN
(r) 1.496%, 02/20/18............................. 500 500,288
FACE
AMOUNT VALUE+
------ ------
(000)
Kommunekredit
1.125%, 01/16/18............................. $1,500 $1,499,265
1.125%, 08/23/19............................. 3,900 3,853,184
Kommuninvest I Sverige AB
1.125%, 10/09/18............................. 1,710 1,701,857
1.000%, 11/13/18............................. 700 695,424
1.125%, 09/17/19............................. 800 789,818
Kommuninvest I Sverige AB Floating Rate Note 3M USD
LIBOR + 0.140%, FRN
(r) 1.454%, 08/17/18............................. 1,000 1,001,080
Kreditanstalt fuer Wiederaufbau
1.500%, 02/06/19............................. 2,000 1,995,360
1.875%, 04/01/19............................. 200 200,502
1.500%, 09/09/19............................. 4,300 4,279,188
1.250%, 09/30/19............................. 200 198,097
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.625%, 02/01/19............................. 500 499,410
Manitoba, Province of Canada
# 1.750%, 05/30/19............................. 3,607 3,601,432
Merck & Co., Inc. Floating Rate Note 3M USD LIBOR +
0.360%, FRN
#(r) 1.677%, 05/18/18............................. 2,070 2,073,921
Microsoft Corp.
1.300%, 11/03/18............................. 749 747,025
4.200%, 06/01/19............................. 300 311,674
Municipality Finance P.L.C.
## 1.250%, 09/10/18............................. 1,000 996,534
1.250%, 09/10/18............................. 2,600 2,590,988
1.250%, 04/18/19............................. 1,450 1,438,893
1.750%, 05/21/19............................. 2,000 1,999,148
National Australia Bank, Ltd.
2.000%, 01/14/19............................. 500 500,903
# 2.250%, 07/01/19............................. 1,000 1,005,694
1.375%, 07/12/19............................. 1,700 1,684,926
National Australia Bank, Ltd. Floating Rate Note 3M
USD LIBOR + 0.640%, FRN
#(r)## 2.003%, 07/23/18............................. 2,150 2,158,475
(r)## 1.607%, 07/25/19............................. 1,000 999,626
(r)## 1.557%, 08/29/19............................. 400 399,837
Nederlandse Waterschapsbank NV
## 1.500%, 04/16/18............................. 1,000 999,716
0.875%, 07/13/18............................. 1,000 994,870
## 1.500%, 01/23/19............................. 2,200 2,193,796
1.875%, 03/13/19............................. 1,500 1,502,037
1.750%, 09/05/19............................. 800 798,804
## 1.250%, 09/09/19............................. 450 445,138
Nestle Holdings, Inc.
1.375%, 07/24/18............................. 600 598,649
Nordea Bank AB Floating Rate Note 3M USD LIBOR +
0.840%, FRN
(r)## 2.161%, 09/17/18............................. 2,000 2,013,300
32
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Nordic Investment Bank
0.875%, 09/27/18............................. $1,000 $ 993,392
NRW Bank
1.250%, 07/29/19............................. 260 257,303
Oesterreichische Kontrollbank AG
1.125%, 05/29/18............................. 200 199,584
1.625%, 03/12/19............................. 2,500 2,497,200
1.125%, 04/26/19............................. 300 297,053
Ontario, Province of Canada
3.000%, 07/16/18............................. 500 504,809
2.000%, 09/27/18............................. 200 200,571
# 1.625%, 01/18/19............................. 2,100 2,095,904
2.000%, 01/30/19............................. 2,200 2,205,528
1.250%, 06/17/19............................. 2,123 2,102,364
Oracle Corp.
2.375%, 01/15/19............................. 1,787 1,801,669
Oracle Corp. Floating Rate Note 3M USD LIBOR +
0.580%, FRN
(r) 1.939%, 01/15/19............................. 328 330,188
Pfizer, Inc.
1.200%, 06/01/18............................. 2,000 1,996,983
2.100%, 05/15/19............................. 1,513 1,521,623
Quebec, Province of Canada Floating Rate Note 3M
USD LIBOR + 0.280%, FRN
(r) 1.643%, 07/21/19............................. 3,655 3,668,357
Royal Bank of Canada
1.500%, 06/07/18............................. 1,000 999,519
2.200%, 07/27/18............................. 500 502,107
1.800%, 07/30/18............................. 431 431,370
2.150%, 03/15/19............................. 2,532 2,545,605
1.625%, 04/15/19............................. 500 498,544
Royal Bank of Canada Floating Rate Note 3M USD
LIBOR + 0.400%, FRN
(r) 1.780%, 10/31/18............................. 1,000 1,000,989
Shell International Finance BV
1.900%, 08/10/18............................. 1,500 1,504,041
1.625%, 11/10/18............................. 1,895 1,894,334
1.375%, 09/12/19............................. 300 297,699
Shell International Finance BV Floating Rate Note
3M USD LIBOR + 0.580%, FRN
(r) 1.889%, 11/10/18............................. 1,000 1,005,721
#(r) 1.660%, 09/12/19............................. 2,078 2,089,570
State of North Rhine-Westphalia Germany
1.375%, 07/16/18............................. 500 499,040
1.875%, 06/17/19............................. 300 300,155
1.625%, 07/25/19............................. 1,900 1,892,611
1.250%, 09/16/19............................. 1,000 988,378
State of North Rhine-Westphalia Germany Floating
Rate Note 3M USD LIBOR + 0.170%, FRN
(r) 1.484%, 11/23/18............................. 3,300 3,304,544
Statoil ASA
1.150%, 05/15/18............................. 3,030 3,023,757
1.950%, 11/08/18............................. 1,650 1,653,799
FACE
AMOUNT VALUE+
------ ------
(000)
Statoil ASA Floating Rate Note 3M USD LIBOR +
0.290%, FRN
(r) 1.605%, 05/15/18............................. $ 420 $ 420,518
(r) 1.772%, 11/08/18............................. 500 502,079
Svensk Exportkredit AB
1.125%, 04/05/18............................. 2,000 1,996,770
1.250%, 04/12/19............................. 500 496,401
1.875%, 06/17/19............................. 1,500 1,501,755
Svensk Exportkredit AB Floating Rate Note 3M USD
LIBOR + 0.100%, FRN
(r) 1.436%, 10/04/18............................. 3,000 3,002,753
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 3,450 3,476,860
2.250%, 06/17/19............................. 300 301,725
Svenska Handelsbanken AB Floating Rate Note 3M USD
LIBOR + 0.490%, FRN
(r) 1.811%, 06/17/19............................. 500 502,526
Swedbank AB
## 2.375%, 02/27/19............................. 1,225 1,230,988
Toronto-Dominion Bank (The)
1.450%, 09/06/18............................. 350 349,315
2.625%, 09/10/18............................. 2,198 2,215,466
1.950%, 01/22/19............................. 3,450 3,456,610
2.125%, 07/02/19............................. 215 215,984
Toronto-Dominion Bank (The) Floating Rate Note 3M
USD LIBOR + 0.840%, FRN
(r) 2.203%, 01/22/19............................. 500 504,390
#(r) 1.959%, 08/13/19............................. 500 504,217
Total Capital International SA
# 2.125%, 01/10/19............................. 1,000 1,005,136
Total Capital International SA Floating Rate Note
3M USD LIBOR + 0.570%, FRN
(r) 1.879%, 08/10/18............................. 750 752,930
(r) 1.674%, 06/19/19............................. 927 930,503
Total Capital SA
2.125%, 08/10/18............................. 1,593 1,597,919
Toyota Motor Credit Corp.
1.700%, 01/09/19............................. 1,397 1,396,110
2.100%, 01/17/19............................. 700 702,685
1.400%, 05/20/19............................. 343 341,101
2.125%, 07/18/19............................. 187 187,928
Toyota Motor Credit Corp. Floating Rate Note 3M USD
LIBOR + 0.230%, FRN
(r) 1.545%, 08/15/18............................. 500 500,693
(r) 1.743%, 01/17/19............................. 236 236,621
USAA Capital Corp. Floating Rate Note 3M USD LIBOR
+ 0.230%, FRN
(r)## 1.607%, 02/01/19............................. 3,620 3,623,858
Wal-Mart Stores, Inc.
1.750%, 10/09/19............................. 1,500 1,499,434
33
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Westpac Banking Corp.
2.250%, 01/17/19............................. $3,275 $ 3,290,611
1.600%, 08/19/19............................. 500 496,976
Westpac Banking Corp. Floating Rate Note 3M USD
LIBOR + 0.740%, FRN
(r) 2.118%, 07/30/18............................. 1,320 1,326,109
(r) 2.054%, 11/23/18............................. 250 251,696
(r) 2.019%, 05/13/19............................. 1,000 1,007,652
------------
TOTAL BONDS....................................... 220,993,396
------------
U.S. TREASURY OBLIGATIONS -- (2.7%)
U.S. Treasury Notes
1.250%, 12/31/18............................. 500 498,516
1.375%, 12/31/18............................. 2,500 2,495,996
1.125%, 01/15/19............................. 1,000 995,351
1.250%, 01/31/19............................. 1,300 1,295,836
0.875%, 09/15/19............................. 500 493,379
1.000%, 10/15/19............................. 1,200 1,186,172
------------
TOTAL U.S. TREASURY OBLIGATIONS................... 6,965,250
------------
TOTAL INVESTMENT SECURITIES 240,985,661
------------
CERTIFICATES OF DEPOSIT -- (2.2%)
Bank of Nova Scotia Floating Rate Note 3M USD
LIBOR + 0.380%, FRN
(r) 1.697%, 02/28/19............................. 2,000 1,999,474
Nordea Bank AB
1.610%, 05/02/18............................. 300 299,678
FACE
AMOUNT VALUE+
------ ------
(000)
Nordea Bank AB Floating Rate Note 3M USD LIBOR +
0.340%, FRN
(r) 1.657%, 03/07/19............................. $ 1,000 $ 999,732
(r) 1.630%, 04/10/19............................. 1,000 999,856
Svenska Handelsbanken Floating Rate Note 3M USD
LIBOR + 0.210%, FRN
(r) 1.544%, 01/03/19............................. 500 499,883
(r) 1.709%, 02/12/19............................. 1,000 999,872
------------
TOTAL CERTIFICATES OF DEPOSIT....................... 5,798,495
------------
COMMERCIAL PAPER -- (0.6%)
Sanofi
(r)## 1.220%, 12/22/17............................. 1,500 1,497,526
SHARES
------ -
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S. Government
Money Market Fund, 0.960%................... 1,548,397 1,548,397
------------
SECURITIES LENDING COLLATERAL -- (4.2%)
(S)@ DFA Short Term Investment Fund............... 959,887 11,106,856
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $261,232,303)............................... $260,936,935
============
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
---------- ------------ ------- ------------
Agency Obligations............ -- $ 13,027,015 -- $ 13,027,015
Bonds......................... -- 220,993,396 -- 220,993,396
U.S. Treasury Obligations..... -- 6,965,250 -- 6,965,250
Certificates of Deposit....... -- 5,798,495 -- 5,798,495
Commercial Paper.............. -- 1,497,526 -- 1,497,526
Temporary Cash Investments.... $1,548,397 -- -- 1,548,397
Securities Lending Collateral. -- 11,106,856 -- 11,106,856
---------- ------------ -- ------------
TOTAL......................... $1,548,397 $259,388,538 -- $260,936,935
========== ============ == ============
See accompanying Notes to Financial Statements.
34
VA GLOBAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
BONDS -- (99.5%)
AUSTRALIA -- (7.1%)
Australia & New Zealand Banking Group, Ltd.
2.550%, 11/23/21............................. 500 $ 500,745
Commonwealth Bank of Australia
2.400%, 11/02/20............................. 1,500 1,510,735
## 2.000%, 09/06/21............................. 2,000 1,964,324
## 2.750%, 03/10/22............................. 1,312 1,326,335
3.250%, 03/31/22............................. AUD 1,000 775,401
National Australia Bank, Ltd.
1.875%, 07/12/21............................. 500 491,272
2.800%, 01/10/22............................. 3,000 3,040,156
3.250%, 03/24/22............................. AUD 1,000 775,871
2.500%, 05/22/22............................. 1,587 1,585,164
0.350%, 09/07/22............................. EUR 600 701,355
Western Australian Treasury Corp.
2.750%, 10/20/22............................. AUD 3,000 2,316,875
Westpac Banking Corp.
2.100%, 05/13/21............................. 1,200 1,191,376
2.800%, 01/11/22............................. 4,400 4,472,145
0.250%, 01/17/22............................. EUR 600 700,930
2.500%, 06/28/22............................. 412 413,069
-----------
TOTAL AUSTRALIA.................................. 21,765,753
-----------
AUSTRIA -- (3.6%)
Oesterreichische Kontrollbank AG
0.750%, 03/07/22............................. GBP 1,836 2,405,147
Republic of Austria Government Bond
## 0.0%, 09/20/22............................... EUR 7,400 8,714,860
-----------
TOTAL AUSTRIA.................................... 11,120,007
-----------
CANADA -- (19.9%)
Alberta, Province of Canada
1.350%, 09/01/21............................. CAD 5,000 3,790,055
Bank of Montreal
1.900%, 08/27/21............................. 3,930 3,862,528
Bank of Nova Scotia (The)
2.450%, 03/22/21............................. 1,667 1,675,628
2.700%, 03/07/22............................. 2,300 2,317,122
CPPIB Capital, Inc.
2.250%, 01/25/22............................. 1,500 1,501,407
## 2.250%, 01/25/22............................. 2,000 2,001,876
Province of British Columbia Canada
2.650%, 09/22/21............................. 500 509,578
3.250%, 12/18/21............................. CAD 2,500 2,039,357
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
CANADA -- (Continued)
Province of Manitoba Canada
2.050%, 11/30/20............................. 4,600 $ 4,588,990
1.550%, 09/05/21............................. CAD 3,200 2,444,958
2.125%, 05/04/22............................. 2,000 1,982,180
Province of Ontario Canada
2.500%, 09/10/21............................. 928 937,331
2.400%, 02/08/22............................. 5,000 5,021,176
3.150%, 06/02/22............................. CAD 2,300 1,869,666
Province of Quebec Canada
2.375%, 01/31/22............................. 5,500 5,523,925
0.875%, 05/24/22............................. GBP 800 1,048,362
Royal Bank of Canada
2.500%, 01/19/21............................. 1,500 1,513,850
2.750%, 02/01/22............................. 5,683 5,771,488
1.968%, 03/02/22............................. CAD 1,611 1,234,992
Toronto-Dominion Bank (The)
2.125%, 04/07/21............................. 1,780 1,771,622
1.800%, 07/13/21............................. 3,000 2,947,412
1.994%, 03/23/22............................. CAD 5,000 3,838,268
Total Capital Canada, Ltd.
1.125%, 03/18/22............................. EUR 2,500 3,044,020
-----------
TOTAL CANADA..................................... 61,235,791
-----------
FINLAND -- (0.9%)
Finland Government Bond
## 1.625%, 09/15/22............................. EUR 1,100 1,398,961
Municipality Finance P.L.C.
1.375%, 09/21/21............................. 1,000 972,564
OP Corporate Bank P.L.C.
0.750%, 03/03/22............................. EUR 200 239,108
0.375%, 10/11/22............................. EUR 100 117,312
-----------
TOTAL FINLAND.................................... 2,727,945
-----------
FRANCE -- (5.1%)
Agence Francaise de Developpement
0.125%, 04/30/22............................. EUR 1,700 1,994,134
Caisse d'Amortissement de la Dette Sociale
2.000%, 03/22/21............................. 1,800 1,793,956
1.875%, 02/12/22............................. 500 492,895
Dexia Credit Local SA
1.875%, 09/15/21............................. 1,000 979,462
1.125%, 06/15/22............................. GBP 1,500 1,982,527
French Republic Government Bond OAT
3.000%, 04/25/22............................. EUR 915 1,225,380
--%, 05/25/22................................ EUR 3,940 4,644,521
35
VA GLOBAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
FRANCE -- (Continued)
Sanofi
4.000%, 03/29/21............................. 1,306 $ 1,381,573
Unedic Asseo
0.875%, 10/25/22............................. EUR 1,000 1,220,998
-----------
TOTAL FRANCE..................................... 15,715,446
-----------
GERMANY -- (3.8%)
FMS Wertmanagement AoeR
0.875%, 02/14/22............................. GBP 400 529,036
Kreditanstalt fuer Wiederaufbau
2.625%, 01/25/22............................. 2,000 2,043,078
2.125%, 03/07/22............................. 5,000 5,002,267
0.875%, 03/15/22............................. GBP 130 171,895
0.625%, 07/04/22............................. EUR 800 967,522
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.375%, 07/21/21............................. 993 967,581
0.875%, 03/07/22............................. GBP 100 131,701
Landwirtschaftliche Rentenbank
2.700%, 09/05/22............................. AUD 1,000 768,713
NRW Bank
0.0%, 08/10/22............................... EUR 1,000 1,166,806
-----------
TOTAL GERMANY.................................... 11,748,599
-----------
IRELAND -- (2.5%)
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 7,600 7,636,024
-----------
JAPAN -- (2.7%)
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 2,250 1,724,343
-----------
Toyota Motor Credit Corp.
1.900%, 04/08/21............................. 3,524 3,493,551
2.750%, 05/17/21............................. 2,000 2,031,830
2.600%, 01/11/22............................. 1,218 1,235,034
-----------
TOTAL JAPAN...................................... 8,484,758
-----------
NETHERLANDS -- (9.8%)
Bank Nederlandse Gemeenten NV
1.625%, 04/19/21............................. 4,800 4,731,413
## 2.375%, 02/01/22............................. 3,000 3,021,159
1.000%, 03/15/22............................. GBP 850 1,124,791
Cooperatieve Rabobank UA
4.500%, 01/11/21............................. 1,000 1,069,281
2.500%, 01/19/21............................. 4,200 4,241,609
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
NETHERLANDS -- (Continued)
2.750%, 01/10/22.............................. 1,300 $ 1,319,700
4.000%, 01/11/22.............................. EUR 850 1,152,230
4.750%, 06/06/22.............................. EUR 300 423,086
Nederlandse Waterschapsbank NV
1.875%, 04/14/22.............................. 4,500 4,434,255
Shell International Finance BV
2.125%, 05/11/20.............................. 2,200 2,209,557
2.250%, 11/10/20.............................. 2,000 2,014,040
1.750%, 09/12/21.............................. 4,000 3,934,034
1.250%, 03/15/22.............................. EUR 300 368,632
-----------
TOTAL NETHERLANDS.................................. 30,043,787
-----------
NEW ZEALAND -- (0.9%)
ANZ New Zealand International, Ltd.
0.400%, 03/01/22.............................. EUR 1,700 1,990,773
ASB Finance, Ltd.
0.500%, 06/10/22.............................. EUR 700 820,553
-----------
TOTAL NEW ZEALAND.................................. 2,811,326
-----------
NORWAY -- (3.1%)
Kommunalbanken A.S.
1.625%, 02/10/21.............................. 1,458 1,439,948
2.250%, 01/25/22.............................. 6,700 6,712,040
Statoil ASA
2.900%, 11/08/20.............................. 1,500 1,534,466
-----------
TOTAL NORWAY....................................... 9,686,454
-----------
SINGAPORE -- (1.4%)
Singapore Government Bond
1.750%, 04/01/22.............................. SGD 2,500 1,839,484
Temasek Financial I, Ltd.
0.500%, 03/01/22.............................. EUR 1,970 2,336,573
-----------
TOTAL SINGAPORE.................................... 4,176,057
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.9%)
Council Of Europe Development Bank
1.625%, 03/16/21.............................. 1,000 987,848
European Investment Bank
2.000%, 03/15/21.............................. 1,500 1,501,284
1.625%, 06/15/21.............................. 600 591,371
1.375%, 09/15/21.............................. 2,400 2,339,418
Inter-American Development Bank
3.750%, 07/25/22.............................. AUD 1,250 1,008,595
36
VA GLOBAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
International Bank for Reconstruction &
Development
2.000%, 01/26/22............................. 500 $ 498,351
2.600%, 09/20/22............................. AUD 2,000 1,533,588
International Finance Corp.
2.800%, 08/15/22............................. AUD 1,500 1,160,541
Nordic Investment Bank
2.125%, 02/01/22............................. 2,500 2,502,371
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 12,123,367
-----------
SWEDEN -- (9.4%)
Kommuninvest I Sverige AB
0.250%, 06/01/22............................. SEK 68,000 8,038,712
Nordea Bank AB
## 2.500%, 09/17/20............................. 3,500 3,530,200
2.000%, 02/17/21............................. EUR 150 186,432
## 2.250%, 05/27/21............................. 2,000 1,992,053
3.250%, 07/05/22............................. EUR 500 666,357
Skandinaviska Enskilda Banken AB
0.300%, 02/17/22............................. EUR 300 352,585
1.250%, 08/05/22............................. GBP 100 131,795
Svensk Exportkredit AB
1.750%, 03/10/21............................. 3,000 2,972,528
Svenska Handelsbanken AB
2.400%, 10/01/20............................. 500 503,796
# 2.450%, 03/30/21............................. 1,703 1,712,335
0.250%, 02/28/22............................. EUR 900 1,053,518
Sweden Government Bond
3.500%, 06/01/22............................. SEK 56,000 7,808,280
-----------
TOTAL SWEDEN..................................... 28,948,591
-----------
SWITZERLAND -- (0.3%)
Novartis Capital Corp.
2.400%, 05/17/22............................. 958 962,771
-----------
UNITED STATES -- (25.1%)
3M Co.
0.375%, 02/15/22............................. EUR 1,300 1,533,675
Alphabet, Inc.
3.625%, 05/19/21............................. 1,000 1,051,231
Apple, Inc.
2.250%, 02/23/21............................. 3,891 3,910,522
2.850%, 05/06/21............................. 500 512,324
1.550%, 08/04/21............................. 1,000 979,010
2.500%, 02/09/22............................. 1,700 1,717,487
2.300%, 05/11/22............................. 1,500 1,500,335
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Berkshire Hathaway, Inc.
# 2.200%, 03/15/21............................. 5,310 $5,332,318
Chevron Corp.
1.961%, 03/03/20............................. 1,300 1,302,957
2.411%, 03/03/22............................. 500 503,421
2.498%, 03/03/22............................. 3,500 3,537,664
Cisco Systems, Inc.
2.200%, 02/28/21............................. 1,500 1,503,633
Coca-Cola Co. (The)
1.875%, 10/27/20............................. 3,200 3,193,994
3.300%, 09/01/21............................. 1,000 1,044,769
2.200%, 05/25/22............................. 210 210,339
Colgate-Palmolive Co.
2.300%, 05/03/22............................. 3,487 3,497,430
Exxon Mobil Corp.
2.222%, 03/01/21............................. 3,210 3,230,358
General Electric Co.
0.375%, 05/17/22............................. EUR 700 820,916
International Business Machines Corp.
2.250%, 02/19/21............................. 3,500 3,521,022
2.500%, 01/27/22............................. 1,000 1,010,113
Johnson & Johnson
1.650%, 03/01/21............................. 1,400 1,385,613
2.250%, 03/03/22............................. 1,200 1,204,733
Merck & Co., Inc.
3.875%, 01/15/21............................. 1,500 1,584,774
2.350%, 02/10/22............................. 2,500 2,514,971
Microsoft Corp.
1.550%, 08/08/21............................. 1,500 1,469,885
2.400%, 02/06/22............................. 3,621 3,651,119
Nestle Holdings, Inc.
1.375%, 07/13/21............................. 1,000 975,000
Oracle Corp.
2.800%, 07/08/21............................. 2,707 2,768,480
1.900%, 09/15/21............................. 3,500 3,462,960
2.500%, 05/15/22............................. 2,250 2,267,875
Pfizer, Inc.
1.950%, 06/03/21............................. 5,000 4,980,902
5.750%, 06/03/21............................. EUR 500 703,718
2.200%, 12/15/21............................. 2,000 2,006,385
0.250%, 03/06/22............................. EUR 900 1,056,109
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 2,307 2,293,215
2.300%, 02/06/22............................. 1,000 1,001,646
2.150%, 08/11/22............................. 1,474 1,467,408
2.000%, 08/16/22............................. EUR 100 126,879
Roche Holdings, Inc.
6.500%, 03/04/21............................. EUR 300 426,733
Toyota Motor Credit Corp.
0.750%, 07/21/22............................. EUR 100 119,980
USAA Capital Corp.
## 2.000%, 06/01/21............................. 1,000 987,480
37
VA GLOBAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Wal-Mart Stores, Inc.
4.250%, 04/15/21............................. 800 $ 857,463
------------
TOTAL UNITED STATES.............................. 77,226,846
------------
TOTAL BONDS...................................... 306,413,522
------------
TOTAL INVESTMENT SECURITIES...................... 306,413,522
------------
SHARES VALUE+
- ------ ------
SECURITIES LENDING COLLATERAL -- (0.5%)
(S)@ DFA Short Term Investment Fund............... 133,339 $ 1,542,866
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $308,626,641).............................. $307,956,388
============
At October 31, 2017, VA Global Bond Portfolio had entered into the following
forward currency contracts and the net unrealized foreign exchange gain (loss)
is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ------------------ --------------
USD.. 792,311 AUD 1,011,582 Citibank, N.A. 11/03/17 $ 18,104
USD.. 794,493 AUD 1,034,329 Citibank, N.A. 11/03/17 2,876
USD.. 804,324 AUD 1,009,952 Citibank, N.A. 11/03/17 31,364
USD.. 812,321 AUD 1,012,642 Citibank, N.A. 11/03/17 37,303
USD.. 1,046,874 AUD 1,325,671 Citibank, N.A. 11/03/17 32,281
USD.. 1,167,378 AUD 1,481,139 Citibank, N.A. 11/03/17 33,799
USD.. 1,578,123 AUD 2,028,393 Citibank, N.A. 11/03/17 25,708
USD.. 1,594,510 AUD 1,998,023 Citibank, N.A. 11/03/17 65,338
USD.. 3,411,448 SGD 4,579,681 ANZ Securities 12/19/17 50,355
USD.. 16,404,947 SEK 133,389,587 State Street Bank and Trust 12/21/17 422,859
USD.. 3,800 EUR 3,187 Citibank, N.A. 01/05/18 74
USD.. 603,680 EUR 508,670 Citibank, N.A. 01/05/18 8,895
USD.. 739,717 EUR 624,261 Citibank, N.A. 01/05/18 9,773
USD.. 783,795 EUR 670,007 Citibank, N.A. 01/05/18 360
USD.. 1,586,963 EUR 1,339,125 Citibank, N.A. 01/05/18 21,131
USD.. 1,870,625 EUR 1,573,342 ANZ Securities 01/05/18 30,925
USD.. 2,042,857 EUR 1,723,902 Citibank, N.A. 01/05/18 27,108
USD.. 2,073,121 EUR 1,750,172 ANZ Securities 01/05/18 26,655
USD.. 4,813,362 EUR 4,052,879 Barclays Capital 01/05/18 74,354
USD.. 26,471,361 EUR 22,520,825 UBS AG 01/05/18 137,888
USD.. 14,550,499 CAD 18,384,767 Citibank, N.A. 01/22/18 287,501
USD.. 2,762,828 CAD 3,532,603 Citibank, N.A. 01/25/18 22,131
----------
TOTAL APPRECIATION $1,366,782
SGD.. 1,035,258 USD 761,104 Citibank, N.A. 12/19/17 $ (1,314)
SGD.. 1,030,351 USD 758,924 Citibank, N.A. 12/19/17 (2,735)
USD.. 112,490 GBP 84,678 Citibank, N.A. 01/18/18 (255)
USD.. 7,420,653 GBP 5,613,325 State Street Bank and Trust 01/18/18 (53,238)
----------
TOTAL
(DEPRECIATION) $ (57,542)
----------
TOTAL APPRECIATION
(DEPRECIATION) $1,309,240
==========
38
VA GLOBAL BOND 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
------- ------------ ------- ------------
Bonds
Australia.............................. -- $ 21,765,753 -- $ 21,765,753
Austria................................ -- 11,120,007 -- 11,120,007
Canada................................. -- 61,235,791 -- 61,235,791
Finland................................ -- 2,727,945 -- 2,727,945
France................................. -- 15,715,446 -- 15,715,446
Germany................................ -- 11,748,599 -- 11,748,599
Ireland................................ -- 7,636,024 -- 7,636,024
Japan.................................. -- 8,484,758 -- 8,484,758
Netherlands............................ -- 30,043,787 -- 30,043,787
New Zealand............................ -- 2,811,326 -- 2,811,326
Norway................................. -- 9,686,454 -- 9,686,454
Singapore.............................. -- 4,176,057 -- 4,176,057
Supranational Organization Obligations. -- 12,123,367 -- 12,123,367
Sweden................................. -- 28,948,591 -- 28,948,591
Switzerland............................ -- 962,771 -- 962,771
United States.......................... -- 77,226,846 -- 77,226,846
Securities Lending Collateral............ -- 1,542,866 -- 1,542,866
Forward Currency Contracts**............. -- 1,309,240 -- 1,309,240
-- ------------ -- ------------
TOTAL.................................... -- $309,265,628 -- $309,265,628
== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
39
VIT INFLATION-PROTECTED SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
FACE
AMOUNT^^^ VALUE+
--------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (99.7%)
Treasury Inflation Protected Security
0.125%, 01/15/23................................................... $ 2,605 $ 2,758,229
0.375%, 07/15/23................................................... 6,290 6,706,833
0.625%, 01/15/24................................................... 9,030 9,678,593
0.125%, 07/15/24................................................... 9,850 10,062,417
0.250%, 01/15/25................................................... 10,090 10,341,728
2.375%, 01/15/25................................................... 5,235 7,770,022
0.375%, 07/15/25................................................... 10,690 11,054,457
0.625%, 01/15/26................................................... 10,250 10,720,864
2.000%, 01/15/26................................................... 4,255 5,905,936
0.125%, 07/15/26................................................... 9,750 9,704,539
0.375%, 01/15/27................................................... 1,700 1,704,555
2.375%, 01/15/27................................................... 3,925 5,571,669
1.750%, 01/15/28................................................... 3,730 4,886,784
3.625%, 04/15/28................................................... 3,292 6,529,662
2.500%, 01/15/29................................................... 4,200 5,786,172
3.875%, 04/15/29................................................... 3,040 6,157,151
3.375%, 04/15/32................................................... 1,420 2,699,037
------------
TOTAL U.S. TREASURY OBLIGATIONS...................................... 118,038,648
------------
TOTAL INVESTMENT SECURITIES.......................................... 118,038,648
------------
SHARES
---------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund, 0.960%. 320,030 320,030
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $119,295,530)................................................. $118,358,678
============
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
-------- ------------ ------- ------------
U.S. Treasury Obligations.. -- $118,038,648 -- $118,038,648
Temporary Cash Investments. $320,030 -- -- 320,030
-------- ------------ -- ------------
TOTAL...................... $320,030 $118,038,648 -- $118,358,678
======== ============ == ============
See accompanying Notes to Financial Statements.
40
DFA VA GLOBAL MODERATE ALLOCATION 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................................. 1,944,022 $ 40,630,052
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 1,351,878 19,237,229
Investment in VA Global Bond Portfolio of
DFA Investment Dimensions Group Inc................................. 1,569,102 17,040,450
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 1,758,950 16,991,460
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................. 659,750 14,521,087
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 311,801 6,978,117
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 681,426 6,807,447
Investment in VA Short-Term Fixed Portfolio of
DFA Investment Dimensions Group Inc................................. 662,184 6,800,633
Investment in VA U.S. Large Value Portfolio of
DFA Investment Dimensions Group Inc................................. 108,107 2,905,910
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 64,078 2,242,094
Investment in VA International Value Portfolio of
DFA Investment Dimensions Group Inc................................. 158,250 2,147,446
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $116,180,937).............................................. 136,301,925
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 0.960%
(Cost $52,525)...................................................... 52,525 52,525
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $116,233,462).............................................. $136,354,450
============
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. $136,301,925 -- -- $136,301,925
Temporary Cash Investments...... 52,525 -- -- 52,525
------------ -- -- ------------
TOTAL........................... $136,354,450 -- -- $136,354,450
============ == == ============
See accompanying Notes to Financial Statements.
41
VA EQUITY ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
SHARES VALUE+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.................... 223,409 $ 4,917,225
Investment in U.S. Large Company Portfolio of
Dimensional Investment Group Inc....................... 196,495 3,939,718
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 206,390 2,936,932
Investment in VA U.S. Targeted Value Portfolio of
DFA Investment Dimensions Group Inc.................... 108,118 2,207,762
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 66,110 1,479,537
Investment in VA U.S. Large Value Portfolio of
DFA Investment Dimensions Group Inc.................... 45,569 1,224,890
Investment in VA International Small Portfolio of
DFA Investment Dimensions Group Inc.................... 63,269 904,749
Investment in VA International Value Portfolio of
DFA Investment Dimensions Group Inc.................... 50,135 680,336
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc.................... 13,532 473,493
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $17,627,146).................................. 18,764,642
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,627,146).................................. $18,764,642
===========
Summary of the Portfolio's investments as of October 31, 2017, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE)
---------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------- ------- -----------
Affiliated Investment Companies. $18,764,642 -- -- $18,764,642
----------- -- -- -----------
TOTAL........................... $18,764,642 -- -- $18,764,642
=========== == == ===========
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
VA U.S. VA VA
TARGETED VALUE VA U.S. LARGE INTERNATIONAL INTERNATIONAL
PORTFOLIO* VALUE PORTFOLIO* VALUE PORTFOLIO* SMALL PORTFOLIO*
-------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $49,840, $6,143,
$10,512 and $19,760 of securities on loan,
respectively)..................................... $ 326,392 $ 373,913 $ 249,914 $ 225,556
Temporary Cash Investments at Value & Cost......... 546 697 -- --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $35,979,
$4,502, $10,775 and $19,689)...................... 35,980 4,502 10,774 19,690
Foreign Currencies at Value........................ -- -- 336 964
Cash............................................... -- -- 541 186
Receivables:
Investment Securities Sold....................... 540 1,138 1,087 167
Dividends, Interest and Tax Reclaims............. 85 407 853 540
Securities Lending Income........................ 25 2 16 52
Fund Shares Sold................................. 54 132 49 99
Prepaid Expenses and Other Assets.................. -- 3 -- --
-------------- -------------- -------------- --------------
Total Assets.................................. 363,622 380,794 263,570 247,254
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................. 35,975 4,501 10,775 19,690
Investment Securities Purchased.................. 332 1,273 315 124
Fund Shares Redeemed............................. 385 344 226 122
Due to Advisor................................... 97 79 85 95
Accrued Expenses and Other Liabilities........... 28 33 41 38
-------------- -------------- -------------- --------------
Total Liabilities............................. 36,817 6,230 11,442 20,069
-------------- -------------- -------------- --------------
NET ASSETS......................................... $ 326,805 $ 374,564 $ 252,128 $ 227,185
============== ============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............ 16,004,973 13,935,979 18,586,492 15,889,440
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE........................ $ 20.42 $ 26.88 $ 13.57 $ 14.30
============== ============== ============== ==============
Investments at Cost................................ $ 279,764 $ 274,449 $ 222,586 $ 188,681
============== ============== ============== ==============
Foreign Currencies at Cost......................... $ -- $ -- $ 339 $ 972
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.................................... $ 256,868 $ 254,558 $ 225,352 $ 181,483
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)............... 2,411 5,577 5,916 2,976
Accumulated Net Realized Gain (Loss)............... 20,897 14,965 (6,463) 5,860
Net Unrealized Foreign Exchange Gain (Loss)........ -- -- (1) (2)
Net Unrealized Appreciation (Depreciation)......... 46,629 99,464 27,324 36,868
-------------- -------------- -------------- --------------
NET ASSETS......................................... $ 326,805 $ 374,564 $ 252,128 $ 227,185
============== ============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED.................... 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000
============== ============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
43
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
VIT INFLATION -
VA SHORT- PROTECTED
TERM FIXED VA GLOBAL SECURITIES
PORTFOLIO BOND PORTFOLIO PORTFOLIO
-------------- -------------- ---------------
ASSETS:
Investments at Value (including $10,873, $1,510 and $0 of securities on
loan, respectively).................................................... $ 248,282 $ 306,414 $ 118,039
Temporary Cash Investments at Value & Cost.............................. 1,548 -- 320
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $11,107, $1,543 and $0)............................. 11,107 1,543 --
Foreign Currencies at Value............................................. -- 2 --
Cash.................................................................... -- 2,295 --
Receivables:
Investment Securities Sold............................................ 300 330 --
Dividends, Interest and Tax Reclaims.................................. 996 1,637 266
Securities Lending Income............................................. 1 -- --
Fund Shares Sold...................................................... 107 10 51
Unrealized Gain on Forward Currency Contracts......................... -- 1,367 --
-------------- -------------- --------------
Total Assets....................................................... 262,341 313,598 118,676
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned...................................... 11,108 1,543 --
Investment Securities Purchased....................................... 1,030 1,383 --
Fund Shares Redeemed.................................................. 53 211 18
Due to Advisor........................................................ 52 56 10
Unrealized Loss on Forward Currency Contracts........................... -- 58 --
Unrealized Loss on Foreign Currency Contracts........................... -- 3 --
Accrued Expenses and Other Liabilities.................................. 26 24 11
-------------- -------------- --------------
Total Liabilities.................................................. 12,269 3,278 39
-------------- -------------- --------------
NET ASSETS.............................................................. $ 250,072 $ 310,320 $ 118,637
============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................. 24,351,803 28,585,753 11,704,855
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.................................................................. $ 10.27 $ 10.86 $ 10.14
============== ============== ==============
Investments at Cost..................................................... $ 248,577 $ 307,084 $ 118,976
============== ============== ==============
Foreign Currencies at Cost.............................................. $ -- $ 2 $ --
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital......................................................... $ 248,416 $ 306,064 $ 118,030
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)..................................................... 2,044 3,474 1,742
Accumulated Net Realized Gain (Loss).................................... (93) 148 (198)
Net Unrealized Foreign Exchange Gain (Loss)............................. -- 1,304 --
Net Unrealized Appreciation (Depreciation).............................. (295) (670) (937)
-------------- -------------- --------------
NET ASSETS.............................................................. $ 250,072 $ 310,320 $ 118,637
============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED......................................... 1,000,000,000 1,000,000,000 1,000,000,000
============== ============== ==============
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA VA
GLOBAL
MODERATE VA EQUITY
ALLOCATION ALLOCATION
PORTFOLIO PORTFOLIO
-------------- ------------
ASSETS:
Investments in Affiliated Investment Companies at Value................................ $ 136,302 $ 18,765
Temporary Cash Investments at Value & Cost............................................. 53 --
Cash................................................................................... -- 8
Receivables:
Fund Shares Sold..................................................................... 13 --
From Advisor......................................................................... -- 4
Deferred Offering Costs................................................................ -- 13
Prepaid Expenses and Other Assets...................................................... 1 --
-------------- ------------
Total Assets...................................................................... 136,369 18,790
-------------- ------------
LIABILITIES:
Payables:
Due to Advisor....................................................................... 15 --
Accrued Expenses and Other Liabilities................................................. 6 3
-------------- ------------
Total Liabilities................................................................. 21 3
-------------- ------------
NET ASSETS............................................................................. $ 136,348 $ 18,787
============== ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 10,672,705 1,753,258
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 12.78 $ 10.72
============== ============
Investments in Affiliated Investment Companies at Cost................................. $ 116,181 $ 17,627
-------------- ------------
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 114,827 $ 17,595
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 982 54
Accumulated Net Realized Gain (Loss)................................................... 418 --
Net Unrealized Appreciation (Depreciation)............................................. 20,121 1,138
-------------- ------------
NET ASSETS............................................................................. $ 136,348 $ 18,787
============== ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 1,000,000,000 500,000,000
============== ============
See accompanying Notes to Financial Statements.
45
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
VA U.S. VA VA
TARGETED VA U.S. LARGE INTERNATIONAL INTERNATIONAL
VALUE VALUE VALUE SMALL
PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
---------- ------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $3, $0, $619 and
$400, respectively).......................................... $ 4,127 $ 7,519 $ 6,433 $ 4,590
Non Cash Income............................................... -- -- 975 --
Income from Securities Lending................................ 193 23 144 473
------- ------- ------- -------
Total Investment Income.................................... 4,320 7,542 7,552 5,063
------- ------- ------- -------
EXPENSES
Investment Management Fees.................................... 1,062 823 853 948
Accounting & Transfer Agent Fees.............................. 15 16 21 19
Custodian Fees................................................ 11 6 37 87
Filing Fees................................................... 4 5 3 4
Shareholders' Reports......................................... 5 5 4 6
Directors'/Trustees' Fees & Expenses.......................... 3 3 2 2
Professional Fees............................................. 11 10 4 6
Other......................................................... 14 14 14 12
------- ------- ------- -------
Total Expenses............................................. 1,125 882 938 1,084
------- ------- ------- -------
Fees Paid Indirectly (Note C)................................. -- -- (11) (10)
------- ------- ------- -------
Net Expenses.................................................. 1,125 882 927 1,074
------- ------- ------- -------
NET INVESTMENT INCOME (LOSS).................................. 3,195 6,660 6,625 3,989
------- ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 21,107 15,214 1,824 6,077
Affiliated Investment Companies Shares Sold................. 3 1 -- (1)
Futures..................................................... -- -- 10 --
Foreign Currency Transactions............................... -- -- (58) 11
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 35,722 45,692 41,266 35,262
Affiliated Investment Companies Shares...................... (6) (2) (1) (2)
Translation of Foreign Currency Denominated Amounts......... -- -- 21 12
------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 56,826 60,905 43,062 41,359
------- ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS..................................................... $60,021 $67,565 $49,687 $45,348
======= ======= ======= =======
----------
**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.
46
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
VIT INFLATION-
VA SHORT- VA GLOBAL PROTECTED
TERM FIXED BOND SECURITIES
PORTFOLIO# PORTFOLIO# PORTFOLIO
---------- ---------- --------------
INVESTMENT INCOME
Dividends...................................................................... $ 18 -- $ 2
Interest....................................................................... 2,898 $ 5,344 2,222
Income from Securities Lending................................................. 9 9 --
------ ------- -------
Total Investment Income..................................................... 2,925 5,353 2,224
------ ------- -------
EXPENSES
Investment Management Fees..................................................... 555 615 107
Accounting & Transfer Agent Fees............................................... 11 14 5
Custodian Fees................................................................. 8 10 2
Filing Fees.................................................................... 7 5 4
Shareholders' Reports.......................................................... 5 5 2
Directors'/Trustees' Fees & Expenses........................................... 2 3 1
Professional Fees.............................................................. 6 8 1
Other.......................................................................... 5 7 4
------ ------- -------
Total Expenses.............................................................. 599 667 126
------ ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered
by Advisor (Note C)........................................................... -- -- 34
Fees Paid Indirectly (Note C).................................................. -- (10) --
------ ------- -------
Net Expenses................................................................ 599 657 160
------ ------- -------
NET INVESTMENT INCOME (LOSS)................................................... 2,326 4,696 2,064
------ ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................................. (77) 129 (88)
Foreign Currency Transactions................................................ -- (16) --
Forward Currency Contracts................................................... -- (445) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................... (350) (2,728) (1,958)
Translation of Foreign Currency Denominated Amounts.......................... -- (5) --
Forward Currency Contracts................................................... -- 1,245 --
------ ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................ (427) (1,820) (2,046)
------ ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................. $1,899 $ 2,876 $ 18
====== ======= =======
----------
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
47
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
DFA VA
GLOBAL
MODERATE VA EQUITY
ALLOCATION ALLOCATION
PORTFOLIO PORTFOLIO(A)
---------- ------------
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment Companies........................ $ 2,274 $ 61
------- ------
Total Net Investment Income Received from Affiliated Investment Companies.............. 2,274 61
------- ------
EXPENSES
Investment Management Fees................................................................ 331 16
Accounting & Transfer Agent Fees.......................................................... 1 --
Custodian Fees............................................................................ 1 1
Filing Fees............................................................................... 1 1
Shareholders' Reports..................................................................... 7 --
Directors'/Trustees' Fees & Expenses...................................................... 1 --
Professional Fees......................................................................... 4 --
Organizational & Offering Costs........................................................... -- 6
Other..................................................................................... 2 --
------- ------
Total Expenses......................................................................... 348 24
------- ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. (141) (17)
------- ------
Net Expenses.............................................................................. 207 7
------- ------
NET INVESTMENT INCOME (LOSS).............................................................. 2,067 54
------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Companies.................. 425 --
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares Sold**........................................... 411 --
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares.................................................. 15,684 1,138
------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... 16,520 1,138
------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $18,587 $1,192
======= ======
----------
**Net of foreign capital gain taxes withheld of $0 and $0, respectively.
(a)The Portfolio commenced operations on July 10, 2017.
See accompanying Notes to Financial Statements.
48
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
VA U.S. TARGETED VA U.S. LARGE
VALUE PORTFOLIO 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).......................................... $ 3,195 $ 2,574 $ 6,660 $ 5,394
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 21,107 9,740 15,214 2,081
Affiliated Investment Companies Shares Sold......................... 3 -- 1 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................... 35,722 (1,884) 45,692 3,826
Affiliated Investment Companies Shares.............................. (6) -- (2) --
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 60,021 10,430 67,565 11,301
-------- -------- -------- --------
Distributions From:
Net Investment Income................................................. (2,744) (2,558) (5,480) (4,847)
Net Short-Term Gains.................................................. (1,306) (2,378) -- --
Net Long-Term Gains................................................... (8,434) (10,897) (2,097) (10,777)
-------- -------- -------- --------
Total Distributions................................................ (12,484) (15,833) (7,577) (15,624)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 91,061 72,867 97,683 55,725
Shares Issued in Lieu of Cash Distributions........................... 12,361 15,653 7,558 15,584
Shares Redeemed....................................................... (71,257) (26,251) (60,910) (29,310)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions............ 32,165 62,269 44,331 41,999
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets............................ 79,702 56,866 104,319 37,676
-------- -------- -------- --------
NET ASSETS
Beginning of Year..................................................... 247,103 190,237 270,245 232,569
-------- -------- -------- --------
End of Year........................................................... $326,805 $247,103 $374,564 $270,245
======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 4,705 4,327 3,903 2,594
Shares Issued in Lieu of Cash Distributions........................... 639 988 314 755
Shares Redeemed....................................................... (3,685) (1,573) (2,441) (1,375)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ 1,659 3,742 1,776 1,974
======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 2,411 $ 1,944 $ 5,577 $ 4,397
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
49
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
VA INTERNATIONAL VA INTERNATIONAL
VALUE PORTFOLIO SMALL 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).......................................... $ 6,625 $ 5,500 $ 3,989 $ 3,143
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 1,824 (7,136) 6,077 1,399
Affiliated Investment Companies Shares Sold......................... -- -- (1) --
Futures............................................................. 10 -- -- --
Foreign Currency Transactions....................................... (58) (12) 11 14
Forward Currency Contracts.......................................... -- (5) -- 7
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 41,266 4,088 35,262 3,416
Affiliated Investment Companies Shares.............................. (1) -- (2) --
Translation of Foreign Currency Denominated Amounts................. 21 (19) 12 (13)
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 49,687 2,416 45,348 7,966
-------- -------- -------- --------
Distributions From:
Net Investment Income................................................. (5,740) (4,932) (3,623) (2,717)
Net Short-Term Gains.................................................. -- -- (967) (204)
Net Long-Term Gains................................................... -- -- (293) (3,999)
-------- -------- -------- --------
Total Distributions................................................ (5,740) (4,932) (4,883) (6,920)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 62,915 45,586 58,382 36,942
Shares Issued in Lieu of Cash Distributions........................... 5,721 4,916 4,814 6,824
Shares Redeemed....................................................... (40,223) (23,469) (27,685) (21,416)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions............ 28,413 27,033 35,511 22,350
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets............................ 72,360 24,517 75,976 23,396
NET ASSETS
Beginning of Year..................................................... 179,768 155,251 151,209 127,813
-------- -------- -------- --------
End of Year........................................................... $252,128 $179,768 $227,185 $151,209
======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 5,186 4,391 4,648 3,283
Shares Issued in Lieu of Cash Distributions........................... 511 474 428 630
Shares Redeemed....................................................... (3,330) (2,215) (2,164) (1,888)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ 2,367 2,650 2,912 2,025
======== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 5,916 $ 5,031 $ 2,976 $ 2,439
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
50
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
VA SHORT-TERM FIXED VA GLOBAL VIT INFLATION-PROTECTED
PORTFOLIO BOND PORTFOLIO 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)...................... $ 2,326 $ 1,218 $ 4,696 $ 4,150 $ 2,064 $ 722
Net Realized Gain (Loss) on:
Investment Securities Sold*..................... (77) (17) 129 921 (88) 57
Foreign Currency Transactions................... -- -- (16) (4) -- --
Forward Currency Contracts...................... -- -- (445) 888 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency...... (350) 63 (2,728) 756 (1,958) 1,144
Translation of Foreign Currency Denominated
Amounts........................................ -- -- (5) -- -- --
Forward Currency Contracts...................... -- -- 1,245 51 -- --
-------- -------- -------- -------- -------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 1,899 1,264 2,876 6,762 18 1,923
-------- -------- -------- -------- -------- -------
Distributions From:
Net Investment Income............................. (1,351) (573) (4,547) (3,687) (1,145) (55)
Net Short-Term Gains.............................. -- (130) (163) (194) (50) --
Net Long-Term Gains............................... -- (45) (1,280) (786) (10) --
-------- -------- -------- -------- -------- -------
Total Distributions............................ (1,351) (748) (5,990) (4,667) (1,205) (55)
-------- -------- -------- -------- -------- -------
Capital Share Transactions (1):
Shares Issued..................................... 93,096 54,107 79,707 69,815 46,171 82,620
Shares Issued in Lieu of Cash Distributions....... 1,348 746 5,915 4,612 1,205 55
Shares Redeemed................................... (37,792) (49,291) (40,917) (42,875) (21,250) (7,224)
-------- -------- -------- -------- -------- -------
Net Increase (Decrease) from Capital Share
Transactions.................................. 56,652 5,562 44,705 31,552 26,126 75,451
-------- -------- -------- -------- -------- -------
Total Increase (Decrease) in Net Assets........ 57,200 6,078 41,591 33,647 24,939 77,319
-------- -------- -------- -------- -------- -------
NET ASSETS
Beginning of Year................................. 192,872 186,794 268,729 235,082 93,698 16,379
-------- -------- -------- -------- -------- -------
End of Year....................................... $250,072 $192,872 $310,320 $268,729 $118,637 $93,698
======== ======== ======== ======== ======== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 9,103 5,295 7,397 6,401 4,596 8,131
Shares Issued in Lieu of Cash Distributions....... 133 73 561 432 123 6
Shares Redeemed................................... (3,694) (4,825) (3,799) (3,919) (2,112) (716)
-------- -------- -------- -------- -------- -------
Net Increase (Decrease) from Shares Issued
and Redeemed.................................. 5,542 543 4,159 2,914 2,607 7,421
======== ======== ======== ======== ======== =======
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ 2,044 $ 1,069 $ 3,474 $ 3,807 $ 1,742 $ 719
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
51
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA VA GLOBAL MODERATE VA EQUITY ALLOCATION
ALLOCATION PORTFOLIO PORTFOLIO
--------------------- --------------------
PERIOD
JULY 10,
YEAR YEAR 2017(A)
ENDED ENDED TO
OCT. 31, OCT. 31, OCT. 31,
2017 2016 2017
-------- -------- --------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............................................. $ 2,067 $ 1,610 $ 54
Capital Gain Distributions Received from Affiliated Investment Companies. 425 881 --
Net Realized Gain (Loss) on:
Investment Securities Sold*............................................ -- (298) --
Affiliated Investment Companies Shares Sold............................ 411 -- --
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares................................. 15,684 1,471 1,138
-------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations....... 18,587 3,664 1,192
-------- -------- -------
Distributions From:
Net Investment Income.................................................... (1,956) (1,376) --
Net Long-Term Gains...................................................... (842) (196) --
-------- -------- -------
Total Distributions................................................... (2,798) (1,572) --
-------- -------- -------
Capital Share Transactions (1):
Shares Issued............................................................ 38,060 20,071 17,711
Shares Issued in Lieu of Cash Distributions.............................. 2,798 1,572 --
Shares Redeemed.......................................................... (36,513) (6,408) (116)
-------- -------- -------
Net Increase (Decrease) from Capital Share Transactions............... 4,345 15,235 17,595
-------- -------- -------
Total Increase (Decrease) in Net Assets............................... 20,134 17,327 18,787
NET ASSETS
Beginning of Period...................................................... 116,214 98,887 --
-------- -------- -------
End of Period............................................................ $136,348 $116,214 $18,787
======== ======== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................................ 3,168 1,817 1,764
Shares Issued in Lieu of Cash Distributions.............................. 243 146 --
Shares Redeemed.......................................................... (3,007) (583) (11)
-------- -------- -------
Net Increase (Decrease) from Shares Issued and Redeemed............... 404 1,380 1,753
======== ======== =======
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)........................................................ $ 982 $ 869 $ 54
----------
Seepage 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, and $0, respectively.
See accompanying Notes to Financial Statements.
52
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
VA U.S. TARGETED VALUE PORTFOLIO
------------------------------------------------- ---------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2017
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 17.23 $ 17.94 $ 19.28 $ 17.63 $ 12.58 $ 22.22
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.20 0.21 0.23 0.17 0.19 0.51
Net Gains (Losses) on Securities (Realized and Unrealized). 3.86 0.54 (0.44) 1.62 5.05 4.76
-------- -------- -------- -------- -------- --------
Total from Investment Operations.......................... 4.06 0.75 (0.21) 1.79 5.24 5.27
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.19) (0.24) (0.18) (0.14) (0.19) (0.44)
Net Realized Gains......................................... (0.68) (1.22) (0.95) -- -- (0.17)
-------- -------- -------- -------- -------- --------
Total Distributions....................................... (0.87) (1.46) (1.13) (0.14) (0.19) (0.61)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 20.42 $ 17.23 $ 17.94 $ 19.28 $ 17.63 $ 26.88
============================================================= ======== ======== ======== ======== ======== ========
Total Return................................................. 23.81% 4.87% (0.80)% 10.19% 42.19% 24.05%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $326,805 $247,103 $190,237 $206,769 $161,321 $374,564
Ratio of Expenses to Average Net Assets...................... 0.37% 0.38% 0.39% 0.37% 0.39% 0.27%
Ratio of Net Investment Income to Average Net Assets......... 1.05% 1.25% 1.27% 0.93% 1.28% 2.02%
Portfolio Turnover Rate...................................... 28% 33% 33% 21% 15% 18%
---------------------------------------------------------------------------------------------------------------------------
VA U.S. LARGE VALUE PORTFOLIO
---------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 22.83 $ 23.47 $ 22.58 $ 16.90
-------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.48 0.46 0.39 0.35
Net Gains (Losses) on Securities (Realized and Unrealized). 0.43 (0.24) 2.67 5.64
-------- -------- -------- --------
Total from Investment Operations.......................... 0.91 0.22 3.06 5.99
-----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.47) (0.43) (0.32) (0.31)
Net Realized Gains......................................... (1.05) (0.43) (1.85) --
-------- -------- -------- --------
Total Distributions....................................... (1.52) (0.86) (2.17) (0.31)
-----------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 22.22 $ 22.83 $ 23.47 $ 22.58
============================================================= ======== ======== ======== ========
Total Return................................................. 4.52% 1.07% 14.73% 36.04%
-----------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $270,245 $232,569 $258,705 $200,123
Ratio of Expenses to Average Net Assets...................... 0.27% 0.29% 0.27% 0.28%
Ratio of Net Investment Income to Average Net Assets......... 2.25% 2.00% 1.71% 1.78%
Portfolio Turnover Rate...................................... 15% 31% 19% 29%
-----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
53
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
VA INTERNATIONAL 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....................................... $ 11.08 $ 11.44 $ 12.74 $ 13.22 $ 10.82
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....................................... 0.38 0.36 0.37 0.55 0.34
Net Gains (Losses) on Securities (Realized and Unrealized)............. 2.46 (0.36) (1.17) (0.71) 2.41
-------- -------- -------- -------- --------
Total from Investment Operations...................................... 2.84 -- (0.80) (0.16) 2.75
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................................. (0.35) (0.36) (0.50) (0.32) (0.35)
Net Realized Gains..................................................... -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions................................................... (0.35) (0.36) (0.50) (0.32) (0.35)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................................. $ 13.57 $ 11.08 $ 11.44 $ 12.74 $ 13.22
========================================================================= ======== ======== ======== ======== ========
Total Return............................................................. 26.32% 0.19% (6.26)% (1.16)% 26.10%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $252,128 $179,768 $155,251 $164,973 $137,908
Ratio of Expenses to Average Net Assets.................................. 0.44% 0.46% 0.47% 0.46% 0.47%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.44% 0.46% 0.47% 0.46% 0.47%
Ratio of Net Investment Income to Average Net Assets..................... 3.11% 3.46% 3.01% 4.16% 2.90%
Portfolio Turnover Rate.................................................. 20% 15% 20% 16% 14%
------------------------------------------------------------------------------------------------------------------------------
VA INTERNATIONAL SMALL 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....................................... $ 11.65 $ 11.67 $ 11.83 $ 12.55 $ 10.02
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....................................... 0.27 0.26 0.25 0.25 0.26
Net Gains (Losses) on Securities (Realized and Unrealized)............. 2.74 0.34 0.09 (0.33) 2.69
-------- -------- -------- -------- --------
Total from Investment Operations...................................... 3.01 0.60 0.34 (0.08) 2.95
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................................. (0.27) (0.24) (0.25) (0.27) (0.25)
Net Realized Gains..................................................... (0.09) (0.38) (0.25) (0.37) (0.17)
-------- -------- -------- -------- --------
Total Distributions................................................... (0.36) (0.62) (0.50) (0.64) (0.42)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................................. $ 14.30 $ 11.65 $ 11.67 $ 11.83 $ 12.55
========================================================================= ======== ======== ======== ======== ========
Total Return............................................................. 26.73% 5.54% 3.28% (0.59)% 30.50%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $227,185 $151,209 $127,813 $135,499 $119,927
Ratio of Expenses to Average Net Assets.................................. 0.57% 0.60% 0.61% 0.59% 0.65%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.57% 0.60% 0.61% 0.59% 0.65%
Ratio of Net Investment Income to Average Net Assets..................... 2.10% 2.29% 2.13% 1.99% 2.36%
Portfolio Turnover Rate.................................................. 12% 12% 25% 8% 12%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
54
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
VA SHORT-TERM FIXED 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....................................... $ 10.25 $ 10.23 $ 10.22 $ 10.23 $ 10.26
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....................................... 0.11 0.07 0.03 0.02 0.03
Net Gains (Losses) on Securities (Realized and Unrealized)............. (0.02) (0.01) 0.01 0.01 --
-------- -------- -------- -------- --------
Total from Investment Operations...................................... 0.09 0.06 0.04 0.03 0.03
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................................. (0.07) (0.03) (0.02) (0.03) (0.04)
Net Realized Gains..................................................... -- (0.01) (0.01) (0.01) (0.02)
-------- -------- -------- -------- --------
Total Distributions................................................... (0.07) (0.04) (0.03) (0.04) (0.06)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................................. $ 10.27 $ 10.25 $ 10.23 $ 10.22 $ 10.23
========================================================================= ======== ======== ======== ======== ========
Total Return............................................................. 0.89% 0.60% 0.34% 0.25% 0.35%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $250,072 $192,872 $186,794 $189,716 $137,906
Ratio of Expenses to Average Net Assets.................................. 0.27% 0.27% 0.28% 0.27% 0.29%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.27% 0.27% 0.28% 0.27% 0.29%
Ratio of Net Investment Income to Average Net Assets..................... 1.05% 0.65% 0.28% 0.20% 0.32%
Portfolio Turnover Rate.................................................. 86% 50% 105% 70% 55%
----------------------------------------------------------------------------------------------------------------------------
VA GLOBAL BOND 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....................................... $ 11.00 $ 10.93 $ 10.92 $ 10.92 $ 11.18
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....................................... 0.18 0.18 0.17 0.15 0.11
Net Gains (Losses) on Securities (Realized and Unrealized)............. (0.08) 0.11 0.09 0.05 (0.04)
-------- -------- -------- -------- --------
Total from Investment Operations...................................... 0.10 0.29 0.26 0.20 0.07
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................................. (0.18) (0.17) (0.23) (0.05) (0.18)
Net Realized Gains..................................................... (0.06) (0.05) (0.02) (0.15) (0.15)
-------- -------- -------- -------- --------
Total Distributions................................................... (0.24) (0.22) (0.25) (0.20) (0.33)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year............................................. $ 10.86 $ 11.00 $ 10.93 $ 10.92 $ 10.92
========================================================================= ======== ======== ======== ======== ========
Total Return............................................................. 1.00% 2.68% 2.40% 1.90% 0.63%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $310,320 $268,729 $235,082 $207,021 $167,293
Ratio of Expenses to Average Net Assets.................................. 0.24% 0.24% 0.26% 0.25% 0.27%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.24% 0.24% 0.26% 0.25% 0.27%
Ratio of Net Investment Income to Average Net Assets..................... 1.66% 1.63% 1.61% 1.37% 1.04%
Portfolio Turnover Rate.................................................. 67% 47% 54% 75% 73%
---------------------------------------------------------------------------------------------------------------------------
55
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
VIT INFLATION-PROTECTED
SECURITIES PORTFOLIO DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO
---------------------------- ----------------------------------------------------------
PERIOD PERIOD
YEAR YEAR MAY 29, YEAR YEAR YEAR YEAR APRIL 8,
ENDED ENDED 2015(A) TO ENDED ENDED ENDED ENDED 2013(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------
Net Asset
Value,
Beginning
of Period......... $ 10.30 $ 9.77 $ 10.00 $ 11.32 $ 11.12 $ 11.37 $ 10.91 $ 10.00
-------- ------- ------- -------- -------- ------- ------- -------
Income
from
Investment
Operations
----------
Net
Investment
Income
(Loss) (A)...... 0.19 0.17 0.05 0.19 0.17 0.18 0.14 0.07
Net
Gains
(Losses)
on
Securities
(Realized
and
Unrealized)..... (0.22) 0.39 (0.28) 1.53 0.20 (0.22) 0.49 0.84
-------- ------- ------- -------- -------- ------- ------- -------
Total
from
Investment
Operations..... (0.03) 0.56 (0.23) 1.72 0.37 (0.04) 0.63 0.91
----------------------------------------------------------------------------------------------------------------------------
Less
Distributions
-------------
Net
Investment
Income.......... (0.12) (0.03) -- (0.18) (0.15) (0.17) (0.14) --
Net
Realized
Gains........... (0.01) -- -- (0.08) (0.02) (0.04) (0.03) --
-------- ------- ------- -------- -------- ------- ------- -------
Total
Distributions.. (0.13) (0.03) -- (0.26) (0.17) (0.21) (0.17) --
----------------------------------------------------------------------------------------------------------------------------
Net Asset
Value,
End of
Period............ $ 10.14 $ 10.30 $ 9.77 $ 12.78 $ 11.32 $ 11.12 $ 11.37 $ 10.91
================= ======== ======== ========== ======== ======== ======== ======== ==========
Total
Return............ (0.25)% 5.79% (2.30)%(D) 15.50% 3.44% (0.23)% 5.87% 9.10%(D)
----------------------------------------------------------------------------------------------------------------------------
Net
Assets,
End of
Period
(thousands)....... $118,637 $93,698 $16,379 $136,348 $116,214 $98,887 $64,997 $40,483
Ratio of
Expenses
to
Average
Net
Assets............ 0.15% 0.18% 0.18%(C)(E) 0.40%(B) 0.40%(B) 0.40%(B) 0.40%(B) 0.40%(B)(C)(E)
Ratio of
Expenses
to
Average
Net
Assets
(Excluding
Fees
(Waived),
(Expenses
Reimbursed),
and/or
Previously
Waived
Fees
Recovered
by
Advisor).......... 0.12% 0.19% 0.88%(C)(E) 0.51%(B) 0.52%(B) 0.54%(B) 0.66%(B) 0.93%(B)(C)(E)
Ratio of
Net
Investment
Income
to
Average
Net
Assets............ 1.92% 1.72% 1.29%(C)(E) 1.56% 1.54% 1.56% 1.27% 1.12%(C)(E)
Portfolio
Turnover
Rate.............. 25% 21% 4%(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.
56
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
VA EQUITY ALLOCATION PORTFOLIO
------------------------------
PERIOD
JULY 10,
2017(A)
TO
OCT. 31,
2017
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period..................................................... $ 10.00
-------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....................................................... 0.03
Net Gains (Losses) on Securities (Realized and Unrealized)............................. 0.69
-------
Total from Investment Operations...................................................... 0.72
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................................................. --
Net Realized Gains..................................................................... --
-------
Total Distributions................................................................... --
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period........................................................... $ 10.72
========================================================================================= ==============================
Total Return............................................................................. 7.20%(D)
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................................... $18,787
Ratio of Expenses to Average Net Assets (B).............................................. 0.32%(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) (B)........ 0.66%(C)(E)
Ratio of Net Investment Income to Average Net Assets..................................... 0.99%(C)(E)
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
57
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund" or "IDG") is an open-end
management investment company registered under the Investment Company Act of
1940, 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, nine of
which (the "Portfolios") are included in this report. The remaining ninety-one
are presented in separate reports. The Portfolios are only available through a
select group of insurance products. 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 VA Global Moderate Allocation Portfolio and VA Equity Allocation
Portfolio invest in other portfolios within the Fund and Dimensional Investment
Group Inc. ("DIG") (the "Underlying Funds").
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 Underlying Funds as detailed below:
UNDERLYING FUNDS
- ----------------
DFA VA Global Moderate Allocation Portfolio U.S. Core Equity 1 Portfolio -*
U.S. Core Equity 2 Portfolio -*
International Core Equity Portfolio -*
Emerging Markets Core Equity Portfolio -*
DFA Two-Year Global Fixed Income Portfolio -*
DFA Selectively Hedged Global Fixed Income Portfolio 1%
VA U.S. Large Value Portfolio 1%
VA International Value Portfolio 1%
DFA Real Estate Securities Portfolio -*
VA Short-Term Fixed Portfolio 3%
VA Global Bond Portfolio 5%
VA Equity Allocation Portfolio U.S. Core Equity 1 Portfolio -*
DFA Real Estate Securities Portfolio -*
International Core Equity Portfolio -*
Emerging Markets Core Equity Portfolio -*
VA U.S. Large Value Portfolio -*
VA U.S. Targeted Value Portfolio 1%
U.S. Large Company Portfolio -*
VA International Value Portfolio -*
VA International Small Portfolio -*
* Amounts designated as -- are less than 1%.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the 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)
58
. 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 VA U.S. Targeted Value Portfolio and VA U.S. Large Value
Portfolio (the "Domestic Equity Portfolios") and by VA International Value
Portfolio and VA International Small Portfolio (the "International Equity
Portfolios"), including over-the-counter securities, are valued at the last
quoted sale price of the day. International equity securities are subject to a
fair value factor, as described later in this note. Securities held by the
Domestic Equity Portfolios and the International Equity Portfolios that are
listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If
there is no last reported sale price or NOCP for the day, the Domestic Equity
Portfolios and the International Equity Portfolios value the securities within
the range of the most recent quoted bid and asked prices. Price information on
listed securities is taken from the exchange where the security is primarily
traded. Generally, securities issued by open-end management investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios' are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of Directors of
the Fund has determined that movements in relevant indices or other appropriate
market indicators, after the close of the Tokyo Stock Exchange or the London
Stock Exchange, demonstrate that market quotations may be unreliable. Fair
valuation of portfolio securities may occur on a daily basis. The fair value
pricing by the International Equity Portfolios utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the International Equity
Portfolios use fair value pricing, the values assigned to the foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
as Level 2 in the hierarchy.
Debt securities held by VA Short-Term Fixed Portfolio, VA Global Bond
Portfolio and VIT Inflation-Protected Securities Portfolio (the "Fixed Income
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
securities are generally categorized as Level 2 in the hierarchy.
59
Futures contracts held by the Portfolios are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy.
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 DFA VA Global Moderate Allocation Portfolio and the VA
Equity Allocation Portfolio of the Underlying Funds, which are treated as
regulated investment companies, and the shares held by the Portfolios in other
investment companies, are valued at their respective daily net asset values as
reported by their administrator. These securities 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. Valuation hierarchy tables have 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. Foreign Currency Translation: Securities and other assets and
liabilities of the International Equity Portfolios and VA Global Bond Portfolio
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 VA Global Bond Portfolio also enters 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 VA
Global Bond Portfolio does 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 and VA Global Bond Portfolio and the U.S.
dollar equivalent amounts actually received or paid.
3. Treasury Inflation-Protected Securities (TIPS): Inflation-protected
securities (also known as inflation-indexed securities) are securities whose
principal and/or interest payments are adjusted for inflation, unlike
conventional debt securities that make fixed principal and interest payments.
Inflation-protected securities include Treasury Inflation-Protected Securities
("TIPS"), which are securities issued by the U.S. Treasury. The principal value
of TIPS is adjusted for inflation (payable at maturity) and the semi-annual
interest payments by TIPS equal a fixed percentage of the inflation-adjusted
principal amount. These inflation adjustments are based upon the Consumer Price
Index for Urban Consumers (CPI-U). The original principal value of TIPS is
guaranteed, even during period of deflation. At maturity, TIPS are redeemed at
the greater of their inflation-adjusted principal or par amount at original
issue. Other types of inflation-protected securities may use other methods to
adjust for inflation and other measures of inflation. In addition,
inflation-protected securities issued by entities other than the U.S. Treasury
may not provide a guarantee of principal value at maturity.
4. 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;
60
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.
5. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. 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.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is a deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the 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:
VA U.S. Targeted Value Portfolio............. 0.35%
VA U.S. Large Value Portfolio................ 0.25%
VA International Value Portfolio............. 0.40%
VA International Small Portfolio............. 0.50%
VA Short-Term Fixed Portfolio................ 0.25%
VA Global Bond Portfolio..................... 0.22%*
VIT Inflation-Protected Securities Portfolio. 0.10%
DFA VA Global Moderate Allocation Portfolio.. 0.25%
VA Equity Allocation Portfolio............... 0.30%
* The VA Global Bond Portfolio's investment management fees are based on an
effective annual rate of 0.25% of the first $100 million of average daily net
assets and 0.20% of average daily net assets exceeding $100 million.
Pursuant to a 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 VIT
Inflation-Protected Securities Portfolio, DFA VA Global Moderate Allocation
Portfolio and VA Equity Allocation
61
Portfolio, as described in the notes below. The Fee Waiver Agreements for the
VIT Inflation-Protected Securities Portfolio and DFA VA Global Moderate
Allocation 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 for the VA Equity Allocation Portfolio will remain in effect
through February 28, 2019, and may only be terminated by the Fund's Board of
Directors prior to that date. The Fee Waiver Agreements shall continue in
effect from year to year thereafter unless terminated by the Fund or the
Advisor. For the year ended October 31, 2017, the Portfolios had the expense
limits listed below based on a percentage of average net assets on an
annualized basis. 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 reflected below (amounts in thousands). The Fund, on
behalf of the Portfolios, is not obligated to reimburse the Advisor for fees
previously waived or expenses previously assumed by the Advisor more than
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)
-------------------------- ---------- ---------------- ----------------- ---------------------
VIT Inflation-Protected Securities
Portfolio (1).................... 0.18% $34 -- $(34)
DFA VA Global Moderate
Allocation Portfolio (2)......... 0.40% -- $389 141
VA Equity Allocation Portfolio
(3).............................. 0.40% -- 17 17
(1) 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 (excluding the expenses that the Portfolio incurs indirectly 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 Portfolio's average net assets on
an annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses 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 Portfolio's annualized Portfolio Expenses to exceed the
Expense Limitation Amount.
(2) The Advisor has agreed to waive all or a portion of its management fee
and to assume the expenses of the Institutional Class shares of the Portfolio
(including the expenses that the Portfolio bears as a shareholder of other
funds managed by the Advisor but excluding the expenses that the Portfolio
incurs indirectly through investment of its securities lending cash collateral
in The DFA Short Term Investment Fund (the "Money Market Series"), and its
investment in unaffiliated companies) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses of the Institutional Class shares of
the Portfolio, on an annualized basis, to the rate listed above as a percentage
of the Portfolio's average net assets (the "Expense Limitation Amount"). At any
time that the Portfolio Expenses of the Institutional Class shares 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 of such class of shares to exceed the Expense
Limitation Amount.
(3) 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 other funds managed by the Advisor, 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 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
62
time that the Portfolio's annualized Portfolio Expenses are less than the
Portfolio's 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 will not cause the annualized Portfolio Expenses of a class
of the Portfolio to exceed the Expense Limitation Amount.
EARNED INCOME CREDIT:
In addition, the 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
----------
VA International Value Portfolio. $11
VA International Small Portfolio. 10
VA Global Bond Portfolio......... 10
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):
VA U.S. Targeted Value Portfolio............. $ 7
VA U.S. Large Value Portfolio................ 8
VA International Value Portfolio............. 6
VA International Small Portfolio............. 5
VA Short-Term Fixed Portfolio................ 7
VA Global Bond Portfolio..................... 8
VIT Inflation-Protected Securities Portfolio. 1
DFA VA Global Moderate Allocation Portfolio.. 2
VA Equity Allocation Portfolio............... --
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2017, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
----------------- ------------------
PURCHASES SALES PURCHASES SALES
--------- ------- --------- --------
VA U.S. Targeted Value Portfolio............. -- -- $118,358 $ 83,197
VA U.S. Large Value Portfolio................ -- -- 106,105 60,587
VA International Value Portfolio............. -- -- 67,442 41,695
VA International Small Portfolio............. -- -- 57,739 22,311
VA Short-Term Fixed Portfolio................ $34,704 $27,346 200,168 153,576
VA Global Bond Portfolio..................... 1,491 1,495 230,948 186,849
VIT Inflation-Protected Securities Portfolio. 55,289 26,361 -- --
63
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
PROCEEDS ON SALES OF UNREALIZED AFFILIATED FROM
BALANCE AT PURCHASES FROM AFFILIATED APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT AFFILIATED
10/31/16 AT COST SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES INVESTMENT
- ---------- --------- -------- ------------ ------------- ---------- ------------ ----------- -------------
VA U.S.
TARGETED
VALUE
PORTFOLIO
DFA Short
Term
Investment
Fund......... $ 59,269 $ 88,882 $112,168 $ 3 $ (6) $ 35,980 3,110 $ 305 --
-------- -------- -------- ----- ------- -------- ----- ------ ----
TOTAL......... $ 59,269 $ 88,882 $112,168 $ 3 $ (6) $ 35,980 3,110 $ 305 --
======== ======== ======== ===== ======= ======== ===== ====== ====
VA U.S. LARGE VALUE PORTFOLIO
DFA Short
Term
Investment
Fund......... $ 17,015 $ 60,796 $ 73,308 $ 1 $ (2) $ 4,502 389 $ 53 --
-------- -------- -------- ----- ------- -------- ----- ------ ----
TOTAL......... $ 17,015 $ 60,796 $ 73,308 $ 1 $ (2) $ 4,502 389 $ 53 --
======== ======== ======== ===== ======= ======== ===== ====== ====
VA INTERNATIONAL VALUE PORTFOLIO
DFA Short
Term
Investment
Fund......... $ 6,242 $140,165 $135,630 -- $ (1) $ 10,774 931 $ 93 --
-------- -------- -------- ----- ------- -------- ----- ------ ----
TOTAL......... $ 6,242 $140,165 $135,630 -- $ (1) $ 10,774 931 $ 93 --
======== ======== ======== ===== ======= ======== ===== ====== ====
VA INTERNATIONAL SMALL PORTFOLIO
DFA Short
Term
Investment
Fund......... $ 13,493 $ 46,107 $ 39,909 $ (1) $ (2) $ 19,690 1,702 $ 181 --
-------- -------- -------- ----- ------- -------- ----- ------ ----
TOTAL......... $ 13,493 $ 46,107 $ 39,909 $ (1) $ (2) $ 19,690 1,702 $ 181 --
======== ======== ======== ===== ======= ======== ===== ====== ====
VA SHORT-TERM FIXED PORTFOLIO
DFA Short
Term
Investment
Fund......... $ 613 $ 67,486 $ 56,992 -- -- $ 11,107 960 $ 45 --
-------- -------- -------- ----- ------- -------- ----- ------ ----
TOTAL......... $ 613 $ 67,486 $ 56,992 -- -- $ 11,107 960 $ 45 --
======== ======== ======== ===== ======= ======== ===== ====== ====
VA GLOBAL BOND PORTFOLIO
DFA Short
Term
Investment
Fund......... -- $ 30,454 $ 28,911 -- -- $ 1,543 133 $ 49 --
-------- -------- -------- ----- ------- -------- ----- ------ ----
TOTAL......... -- $ 30,454 $ 28,911 -- -- $ 1,543 133 $ 49 --
======== ======== ======== ===== ======= ======== ===== ====== ====
DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO
U.S. Core
Equity 2
Portfolio.... $ 34,762 $ 8,771 $ 10,363 $ 510 $ 6,950 $ 40,630 1,944 $ 644 $247
International
Core
Equity
Portfolio.... 16,262 3,538 4,355 57 3,735 19,237 1,352 475 --
VA Global
Bond
Portfolio.... 14,545 7,005 4,361 (75) (73) 17,041 1,569 263 83
DFA
Selectively
Hedged
Global
Fixed
Income
Portfolio.... 14,542 6,809 4,298 (284) 223 16,992 1,759 247 --
U.S. Core
Equity 1
Portfolio.... 12,426 2,733 3,401 221 2,542 14,521 660 245 59
Emerging
Markets
Core
Equity
Portfolio.... 5,695 1,403 1,421 14 1,287 6,978 312 125 --
DFA
Two-Year
Global
Fixed
Income
Portfolio.... 5,831 2,570 1,595 (17) 18 6,807 682 64 --
VA
Short-Term
Fixed
Portfolio.... 5,825 2,553 1,594 -- 17 6,801 662 42 --
VA U.S.
Large
Value
Portfolio.... 2,495 495 608 30 494 2,906 108 50 19
DFA Real
Estate
Securities
Portfolio.... 1,882 807 474 (23) 50 2,242 64 61 17
VA
International
Value
Portfolio.... 1,832 361 465 (22) 441 2,147 158 58 --
-------- -------- -------- ----- ------- -------- ----- ------ ----
TOTAL......... $116,097 $ 37,045 $ 32,935 $ 411 $15,684 $136,302 9,270 $2,274 $425
======== ======== ======== ===== ======= ======== ===== ====== ====
64
NET REALIZED DIVIDEND CAPITAL GAIN
GAIN/(LOSS) CHANGE IN INCOME FROM DISTRIBUTIONS
PROCEEDS ON SALES OF UNREALIZED AFFILIATED FROM
BALANCE AT PURCHASES FROM AFFILIATED APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT AFFILIATED
10/31/16 AT COST SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES INVESTMENT
- ---------- --------- -------- ------------ ------------- ---------- ------------ ----------- -------------
VA EQUITY ALLOCATION PORTFOLIO
U.S. Core
Equity 1
Portfolio
of........... -- $ 4,643 $18 -- $ 292 $ 4,917 224 $19 --
U.S.
Large
Company
Portfolio
of........... -- 3,734 13 -- 219 3,940 196 17 --
International
Core
Equity
Portfolio
of........... -- 2,766 29 -- 200 2,937 206 12 --
VA U.S.
Targeted
Value
Portfolio
of........... -- 2,081 3 -- 130 2,208 108 -- --
Emerging
Markets
Core
Equity
Portfolio
of........... -- 1,379 -- -- 101 1,480 66 12 --
VA U.S.
Large
Value
Portfolio
of........... -- 1,160 -- -- 65 1,225 46 -- --
VA
International
Small
Portfolio
of........... -- 846 8 -- 67 905 63 -- --
VA
International
Value
Portfolio
of........... -- 627 -- -- 53 680 50 -- --
DFA Real
Estate
Securities
Portfolio
of........... -- 466 4 -- 11 473 14 1 --
-- ------- --- -- ------ ------- --- --- --
TOTAL......... -- $17,702 $75 -- $1,138 $18,765 973 $61 --
== ======= === == ====== ======= === === ==
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to realized gains on
securities considered to be "passive foreign investment companies", 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)
--------------- -------------- --------------
VA U.S. Targeted Value Portfolio............... -- $ 16 $ (16)
VA U.S. Large Value Portfolio.................. -- -- --
VA International Value Portfolio............... $(2,412) -- 2,412
VA International Small Portfolio............... -- 171 (171)
VA Short-Term Fixed Portfolio.................. -- -- --
VA Global Bond Portfolio....................... -- (482) 482
VIT Inflation - Protected Securities Portfolio. -- 104 (104)
DFA VA Global Moderate Allocation Portfolio.... -- 2 (2)
VA Equity Allocation Portfolio................. -- -- --
65
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
-------------- ------------- -------
VA U.S. Targeted Value Portfolio
2016........................................... $4,936 $10,897 $15,833
2017........................................... 4,050 8,434 12,484
VA U.S. Large Value Portfolio
2016........................................... 4,847 10,777 15,624
2017........................................... 5,468 2,110 7,578
VA International Value Portfolio
2016........................................... 4,932 -- 4,932
2017........................................... 5,740 -- 5,740
VA International Small Portfolio
2016........................................... 2,921 3,999 6,920
2017........................................... 4,590 293 4,883
VA Short-Term Fixed Portfolio
2016........................................... 702 45 747
2017........................................... 1,351 -- 1,351
VA Global Bond Portfolio
2016........................................... 3,881 786 4,667
2017........................................... 4,711 1,280 5,991
VIT Inflation - Protected Securities Portfolio
2016........................................... 55 -- 55
2017........................................... 1,195 10 1,205
DFA VA Global Moderate Allocation Portfolio
2016........................................... 1,376 196 1,572
2017........................................... 1,956 842 2,798
VA Equity Allocation Portfolio
2017........................................... -- -- --
VA Equity Allocation Portfolio commenced operations on July 10, 2017 and did
not pay any distributions for the year ended October 31, 2016.
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)
-------------- ------------- ------------- -------------- -------------
VA U.S. Targeted Value Portfolio..... $9,264 $14,148 -- $46,532 $ 69,944
VA U.S. Large Value Portfolio........ 6,582 14,206 -- 99,227 120,015
VA International Value Portfolio..... 6,442 -- $(5,191) 25,534 26,785
VA International Small Portfolio..... 5,942 5,190 -- 34,585 45,717
VA Short-Term Fixed Portfolio........ 2,051 -- (93) (296) 1,662
VA Global Bond Portfolio............. 4,744 150 -- (624) 4,270
VIT Inflation - Protected Securities
Portfolio.......................... 1,743 -- (158) (977) 608
DFA VA Global Moderate Allocation
Portfolio.......................... 1,004 1,029 -- 19,490 21,523
VA Equity Allocation Portfolio....... 54 -- -- 1,137 1,191
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
66
the Regulated Investment Company Modernization Act of 2010, capital losses
incurred by these Portfolios after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 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
--------- ------
VA U.S. Targeted Value Portfolio............... -- --
VA U.S. Large Value Portfolio.................. -- --
VA International Value Portfolio............... $5,191 $5,191
VA International Small Portfolio............... -- --
VA Short-Term Fixed Portfolio.................. 93 93
VA Global Bond Portfolio....................... -- --
VIT Inflation - Protected Securities Portfolio. 158 158
DFA VA Global Moderate Allocation Portfolio.... -- --
VA Equity Allocation 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):
VA International Value Portfolio. $1,845
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)
-------- ------------ ------------ --------------
VA U.S. Targeted Value Portfolio............... $316,386 $ 73,276 $(26,745) $46,531
VA U.S. Large Value Portfolio.................. 279,886 107,315 (8,088) 99,227
VA International Value Portfolio............... 235,155 38,645 (13,110) 25,535
VA International Small Portfolio............... 210,662 56,325 (21,741) 34,584
VA Short-Term Fixed Portfolio.................. 261,233 44 (340) (296)
VA Global Bond Portfolio....................... 309,890 2,337 (2,961) (624)
VIT Inflation - Protected Securities Portfolio. 119,336 62 (1,040) (978)
DFA VA Global Moderate Allocation Portfolio.... 116,864 19,490 -- 19,490
VA Equity Allocation Portfolio................. 17,627 1,137 -- 1,137
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 any of the Portfolios' financial statements. The
Portfolios are not aware of any tax positions for which it is more likely than
not that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months. The Portfolios' federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue
Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial
67
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 Portfolios may be inhibited.
2. Inflation Protection Risks: Because the interest and/or principal
payments on an inflation-protected security are adjusted periodically for
changes in inflation, the income distributed by the VIT Inflation-Protected
Securities Portfolio may be irregular. Although the U.S. Treasury guarantees to
pay at least the original face value of any inflation-protected securities the
Treasury issues, other issuers may not offer the same guarantee. Also,
inflation-protected securities, including those issued by the U.S. Treasury,
are not protected against deflation. As a result, in a period of deflation, the
principal and income of inflation-protected securities held by the Portfolio
will decline and the Portfolio may suffer a loss during such periods. While
inflation-protected securities are expected to be protected from long-term
inflationary trends, short-term increases in inflation may lead to a decline in
the Portfolio's value. For example, if interest rates rise due to reasons other
than inflation, the Portfolio's investment in these securities may not be
protected to the extent that the increase is not reflected in the securities'
inflation measures. In addition, positive adjustments to principal generally
will result in taxable income to the Portfolio at the time of such adjustments
(which generally would be distributed by the Portfolio as part of its taxable
dividends), even though the principal amount is not paid until maturity. The
current market value of inflation-protected securities is not guaranteed and
will fluctuate.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
3. Forward Currency Contracts: The International Equity Portfolios may
acquire and sell forward currency contracts in connection with the purchase or
sale of foreign equity securities, typically to "lock in" the value of the
transaction with respect to a different currency. In addition, the
International Equity Portfolios may, from time to time, enter into forward
currency contracts to transfer balances from one currency to another currency.
The VA Global Bond Portfolio may enter into forward currency contracts only to
hedge against adverse changes in the relationship of the U.S. dollar to foreign
currencies (foreign exchange rate risk) or to transfer balances from one
currency to another currency. The decision to hedge a Portfolio's currency
exposure with respect to a foreign market will be based primarily on the
Portfolio's existing exposure to a given foreign currency. Each contract is
valued daily and the change in value is recorded by the Portfolio as an
unrealized gain or loss, which is presented in the 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.
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.
4. Futures Contracts: The VA International Value Portfolio 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 Portfolio. The VA International Value Portfolio,
however, does not intend to sell futures contracts to establish short positions
in individual securities or to use derivatives for purposes of speculation or
leveraging investment returns.
Upon entering into a futures contract, the Portfolio 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
Portfolio as unrealized gains or losses until the contracts are closed. When
the contracts are closed, the Portfolio records a realized
68
gain or loss, which is presented in the Statement of Operations as a net
realized gain or loss on futures, equal to the difference between the value of
the contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolio could lose more than
the initial margin requirements. A Portfolio entering into stock index futures
is 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
--------- -------
VA International Value Portfolio. -- $262
VA Global Bond Portfolio......... $25,783 --
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
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
AT CURRENCY
OCTOBER 31, 2017 CONTRACTS
---------------- ---------
VA Global Bond Portfolio. $1,367 $1,367
LIABILITY DERIVATIVES VALUE
-------------------------
TOTAL VALUE FORWARD
AT CURRENCY
OCTOBER 31, 2017 CONTRACTS
---------------- ---------
VA Global Bond Portfolio. $ (58) $ (58)
The following is a summary of the location on the Portfolios' Statement of
Operations of realized and change in unrealized gains and losses from the
Portfolio's 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
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 for the year ended October 31, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS CONTRACTS
----- --------- ---------
VA International Value Portfolio. $ 10 -- $10*
VA Global Bond Portfolio......... (445) $(445) --
69
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS CONTRACTS
------ --------- ---------
VA Global Bond Portfolio. $1,245 $1,245 --
* As of October 31, 2017, there were no futures contracts outstanding. During
the year ended October 31, 2017, the Fund had limited activity in futures
contracts.
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and 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."
The following table presents the VA Global Bond 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
---------------------------------------------------- -----------------------------------------------------
VA GLOBAL
BOND
PORTFOLIO
Forward
Currency
Contracts.. $1,367 $1,367 $(58) -- $1,309 $58 $58 $(58) -- --
(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 J contains information regarding securities lending amounts that are
subject to netting arrangements.
70
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
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 LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
VA U.S. Targeted Value Portfolio............ 1.79% $ 776 41 $ 2 $ 2,216
VA U.S. Large Value Portfolio............... 1.68% 929 44 2 2,976
VA International Value Portfolio............ 1.44% 738 27 1 3,888
VA International Small Portfolio............ 1.91% 13 1 -- 13
DFA VA Global Moderate Allocation Portfolio. 1.63% 1,382 29 2 24,087
VA Equity Allocation Portfolio.............. 1.91% 23 6 -- 27
* 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.
I. 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
71
advisers), common directors/trustees and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the year ended October 31, 2017, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------- --------------------
VA U.S. Targeted Value Portfolio. $12,565 $27,248 $6,238
VA U.S. Large Value Portfolio.... 11,964 6,478 1,218
VA International Value Portfolio. 3,771 3,209 285
VA International Small Portfolio. 2,995 2,301 820
J. 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. In
addition, the Portfolios received non-cash collateral consisting of
short-and/or long-term U.S Treasuries and U.S. government agency securities as
follows (amounts in thousands):
MARKET
VALUE
-------
VA U.S. Targeted Value Portfolio. $14,921
VA U.S. Large Value Portfolio.... 1,739
VA International Value Portfolio. 171
VA International Small Portfolio. 1,233
Each Portfolio with securities on loan invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral in an amount (i) equal to at least
100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) generally equal to 102%
of the current market value of the loaned securities with respect to U.S.
securities, and (iii) generally equal to 105% of the current market value of
the loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolios' collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities. In the event of the bankruptcy of the borrower, a Portfolio
could experience delay in recovering the loaned securities or only recover cash
or a security of equivalent value.
Subject to their stated investment policies, the Portfolios with securities
on loan will generally invest the cash collateral received for the loaned
securities in The DFA Short Term Investment Fund (the "Money Market Series"),
an affiliated registered money market fund advised by the Advisor for which the
Advisor receives a management fee of 0.05% of the average daily net assets of
the Money Market Series. 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. Such Portfolios also may invest
the cash collateral received for the loaned securities in securities of the
U.S. government or its agencies, repurchase agreements collateralized by
securities of the U.S. government or its agencies, and affiliated and
unaffiliated registered and unregistered money market funds. For purposes of
this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, each Portfolio with securities on loan
will be able to terminate the loan at any time and will receive reasonable
interest on the loan, as well as amounts equal to any dividends, interest or
other distributions on the loaned securities. However, dividend income received
from loaned securities may not be eligible to be taxed at qualified dividend
income rates.
72
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
VA U.S. TARGETED VALUE PORTFOLIO
Common Stocks.................... $35,980,238 -- -- -- $35,980,238
VA U.S. LARGE VALUE PORTFOLIO
Common Stocks.................... 4,502,203 -- -- -- 4,502,203
VA INTERNATIONAL VALUE PORTFOLIO
Common Stocks.................... 10,774,478 -- -- -- 10,774,478
VA INTERNATIONAL SMALL PORTFOLIO
Common Stocks.................... 19,690,162 -- -- -- 19,690,162
VA SHORT-TERM FIXED PORTFOLIO
Bonds............................ 11,106,856 -- -- -- 11,106,856
VA GLOBAL BOND PORTFOLIO
Bonds............................ 1,542,866 -- -- -- 1,542,866
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. 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, the following number of shareholders held the following
approximate percentages of the Portfolios' outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
VA U.S. Targeted Value Portfolio. 5 74%
VA U.S. Large Value Portfolio.... 4 72%
VA International Value Portfolio. 5 81%
VA International Small Portfolio. 5 73%
VA Short-Term Fixed Portfolio.... 5 79%
VA Global Bond Portfolio......... 5 79%
73
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
VIT Inflation-Protected Securities Portfolio. 5 94%
DFA VA Global Moderate Allocation Portfolio.. 5 92%
VA Equity Allocation Portfolio............... 2 100%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The VA U.S. Large Value Portfolio 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 VA
U.S. Large Value Portfolio, 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 VA U.S. Large Value Portfolio 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 VA U.S. Large
Value Portfolio arising from the Lawsuits. Until the VA U.S. Large Value
Portfolio can do so, no reduction of the net asset value of the VA U.S. Large
Value Portfolio 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 VA U.S.
Large Value Portfolio at this time.
The VA U.S. Large Value Portfolio 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 VA
U.S. Large Value Portfolio will pay or receive, as the case may be, a price
based on the net asset value of the VA U.S. Large Value Portfolio, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by the VA U.S. Large Value Portfolio as incurred and
in a manner similar to any other expenses incurred by the VA U.S. Large Value
Portfolio.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
74
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 VA U.S. Targeted Value Portfolio, VA U.S. Large Value Portfolio, VA
International Value Portfolio, VA International Small Portfolio, VA Short-Term
Fixed Portfolio, VA Global Bond Portfolio, VIT Inflation-Protected Securities
Portfolio, DFA VA Global Moderate Allocation Portfolio and VA Equity Allocation
Portfolio (nine 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
75
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.
76
PORTFOLIOS WITHIN
THE DFA FUND
NAME, ADDRESS AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION DURING COMPLEX/2/
YEAR OF BIRTH POSITION LENGTH OF SERVICE PAST 5 YEARS OVERSEEN
-----------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
----------------------------------------------------------------------------------------------------------------------
George M. Director of DFAIDG- Since Leo Melamed Professor of 126 portfolios in
Constantinides DFAIDG and DIG 1983 Finance, University of 4 investment
University of Trustee of DFAITC DIG- Since 1993 Chicago Booth School of companies
Chicago Booth and DEM DFAITC- Since Business (since 1978).
School of Business 1992
5807 S. Woodlawn DEM- Since 1993
Avenue
Chicago, IL 60637
1947
-----------------------------------------------------------------------------------------------------------------------
Douglas W. Director of DFAIDG- Since Merton H. Miller 126 portfolios in
Diamond DFAIDG and DIG June 2017 Distinguished Service 4 investment
University of Trustee of DFAITC DIG- Since June Professor of Finance, companies
Chicago Booth and DEM 2017 University of Chicago Booth
School of Business DFAITC- Since School of Business (since
5807 S. Woodlawn June 2017 1988). Visiting Scholar,
Avenue DEM- Since June Federal Reserve Bank of
Chicago, IL 60637 2017 Richmond (since
1953 1990). Formerly, Fischer
Black Visiting Professor of
Financial Economics, Alfred
P. Sloan School of
Management, Massachusetts
Institute of Technology (2015
to 2016).
-----------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Director of DFAIDG- Since Professor in Practice 126 portfolios in
Yale School of DFAIDG and DIG 1981 Emeritus of Finance, Yale 4 investment
Management Trustee of DFAITC DIG- Since 1993 School of Management (since companies
P.O. Box 208200 and DEM DFAITC- Since 1984). Chairman, CIO and
New Haven, CT 06520- 1992 Partner, Zebra Capital
8200 DEM- Since 1993 Management, LLC (hedge fund
1943 and asset manager) (since
2001). Formerly, Consultant
to Morningstar, Inc.
(2006-2016).
-----------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Director of DFAIDG- Since Distinguished Visiting 126 portfolios in
Stanford University DFAIDG and DIG 2010 Fellow, Becker Friedman 4 investment
Graduate School of Trustee of DFAITC DIG- Since 2010 Institute for Research in companies
Business and DEM DFAITC- Since Economics, University of
Knight Management Center, 2010 Chicago (since 2015). Morris
E346 DEM- Since 2010 Arnold Cox Senior Fellow,
Stanford, CA 94305 Hoover Institution (since
1948 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).
-----------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Director of DFAIDG- Since Chief Investment Strategist, 126 portfolios in
c/o Dimensional Fund DFAIDG and DIG 1981 Janus Henderson Investors 4 investment
Advisors LP Trustee of DFAITC DIG- Since 1993 (since 2014). Frank E. Buck companies
6300 Bee Cave Road, and DEM DFAITC- Since Professor of Finance,
Building One 1992 Emeritus, Graduate School of
Austin, TX 78746 DEM- Since 1993 Business, Stanford University
1941 (since 1981).
-----------------------------------------------------------------------------------------------------------------------
OTHER
DIRECTORSHIPS OF
PUBLIC
COMPANIES
PRINCIPAL OCCUPATION DURING HELD DURING
PAST 5 YEARS PAST 5 YEARS
------------------------------------------------
------------------
Leo Melamed Professor of None
Finance, University of
Chicago Booth School of
Business (since 1978).
------------------------------------------------
Merton H. Miller None
Distinguished Service
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 None
Emeritus of Finance, 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 None
Fellow, Becker 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, Formerly,
Janus Henderson Investors Adviser,
(since 2014). Frank E. Buck Kuapay, Inc.
Professor of Finance, (2013-
Emeritus, Graduate School of 2014). Formerly,
Business, Stanford University Director,
(since 1981). American
Century Fund
Complex
(registered
investment
companies)
(43 Portfolios)
(1980-2014).
------------------------------------------------
77
PORTFOLIOS WITHIN
THE DFA FUND
NAME, ADDRESS AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION DURING COMPLEX/2/
YEAR OF BIRTH POSITION LENGTH OF SERVICE PAST 5 YEARS OVERSEEN
---------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
--------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Director of DFAIDG- Since Boris and Irene Stern 126 portfolios in
University of DFAIDG and DIG 2000 Distinguished Service 4 investment
Chicago Booth Trustee of DFAITC DIG- Since 2000 Professor of Accounting, companies
School of Business and DEM DFAITC- Since University of Chicago Booth
5807 S. Woodlawn Avenue 2000 School of Business (since
Chicago, IL 60637 DEM- Since 2000 1980).
1953
---------------------------------------------------------------------------------------------------------------------
OTHER
DIRECTORSHIPS OF
PUBLIC
COMPANIES
PRINCIPAL OCCUPATION DURING HELD DURING
PAST 5 YEARS PAST 5 YEARS
------------------------------------------------
------------------
Boris and Irene Stern Lead Director,
Distinguished Service (beginning May
Professor of Accounting, 2014) and
University of Chicago Booth Director (since
School of Business (since 2000), HNI
1980). 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).
------------------------------------------------
78
PORTFOLIOS WITHIN
THE DFA FUND
NAME, ADDRESS AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION DURING COMPLEX/2/
YEAR OF BIRTH POSITION LENGTH OF SERVICE PAST 5 YEARS OVERSEEN
-----------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
----------------------------------------------------------------------------------------------------------------
David G. Booth Chairman DFAIDG- Since Chairman, Director/Trustee, 126 portfolios in
6300 Bee Cave Road, Director of 1981 and formerly, President and 4 investment
Building One DFAIDG and DIG DIG- Since 1992 Co-Chief Executive Officer companies
Austin, TX 78746 Trustee of DFAITC DFAITC- Since (each until March 2017) of
1946 and DEM 1992 Dimensional Emerging Markets
DEM- Since 1993 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).
OTHER
DIRECTORSHIPS OF
PUBLIC
COMPANIES
PRINCIPAL OCCUPATION DURING HELD DURING
PAST 5 YEARS PAST 5 YEARS
------------------------------------------------
------------------
Chairman, Director/Trustee, None
and formerly, 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.
79
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
1967 Assistant Secretary Entities, DFA 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
1964 Officer 2017); 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,
1972 Vice 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
Crossan Global Chief Compliance the DFA Entities, DFA Australia Limited and Dimensional
1965 Officer Fund Advisors Ltd. 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
Gilliland DFA Fund Complex (since March 2017). Executive Vice
1962 President (since 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).
---------------------------------------------------------------------------------------------------------------------------
80
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
1958 Financial Officer, and all the DFA Entities. Chief Financial Officer, Treasurer
Treasurer and Vice 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
1973 Assistant Secretary since 2004 and March 2017, respectively) of all the DFA Entities and
Assistant Dimensional Cayman Commodity Fund I Ltd.
Secretary since
2017
--------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and Dimensional
1972 Cayman Commodity Fund I Ltd.
--------------------------------------------------------------------------------------------------------------------------
Catherine L. President and General Since 2017 President and General Counsel (since March 2017), and
Newell Counsel formerly, Vice President and Secretary (1997 and 2000,
1964 respectively, to 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
1961 Deputy Chief the DFA Entities. Deputy Chief Compliance Officer (since
Compliance Officer December 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
2017 ULC (since April 2016).
--------------------------------------------------------------------------------------------------------------------------
81
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).
82
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.
83
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 RETURN DIVIDENDS
DFA INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED
DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1)
------------------------------------- ------------- ------------- ------------- ------- ---------- ------------- --------------
VA U.S. Targeted Value Portfolio..... 22% 10% 68% -- -- 100% --
VA U.S. Large Value Portfolio........ 72% -- 28% -- -- 100% --
VA International Value Portfolio..... 100% -- -- -- -- 100% --
VA International Small Portfolio..... 74% 20% 6% -- -- 100% --
VA Short-Term Fixed Portfolio........ 100% -- -- -- -- 100% --
VA Global Bond Portfolio............. 76% 3% 21% -- -- 100% --
VIT Inflation - Protected Securities
Portfolio........................... 95% 4% 1% -- -- 100% --
DFA VA Global Moderate
Allocation Portfolio................ 70% -- 30% -- -- 100% --
VA Equity Allocation Portfolio....... -- -- -- -- -- -- --
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)
------------------------------------- ---------- ------------ ---------- ---------- ---------- ----------
VA U.S. Targeted Value Portfolio..... -- -- -- -- 100% 100%
VA U.S. Large Value Portfolio........ -- -- -- -- 100% 100%
VA International Value Portfolio..... -- -- 5% 100% 100% 100%
VA International Small Portfolio..... -- -- 5% 92% 100% 100%
VA Short-Term Fixed Portfolio........ -- 13% -- -- 100% 100%
VA Global Bond Portfolio............. -- -- -- -- 100% 100%
VIT Inflation - Protected Securities
Portfolio........................... -- 25% -- -- 100% 100%
DFA VA Global Moderate
Allocation Portfolio................ -- -- -- -- 100% 100%
VA Equity Allocation Portfolio....... -- -- 3% 46% 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
84
DFA103117-004A
[LOGO] 00202779
[LOGO]
Annual Report
YEAR ENDED: OCTOBER 31, 2017
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
U.S. LARGE CAP GROWTH PORTFOLIO
U.S. SMALL CAP GROWTH PORTFOLIO
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
[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
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES.................. 1
Performance Charts....................................... 2
Management's Discussion and Analysis..................... 4
Disclosure of Fund Expenses.............................. 7
Disclosure of Portfolio Holdings......................... 9
Summary Schedules of Portfolio Holdings
U.S. Large Cap Growth Portfolio...................... 11
U.S. Small Cap Growth Portfolio...................... 14
International Large Cap Growth Portfolio............. 17
International Small Cap Growth Portfolio............. 21
Statements of Assets and Liabilities..................... 25
Statements of Operations................................. 26
Statements of Changes in Net Assets...................... 27
Financial Highlights..................................... 28
Notes to Financial Statements............................ 30
Report of Independent Registered Public Accounting Firm.. 42
FUND MANAGEMENT............................................. 43
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................. 50
NOTICE TO SHAREHOLDERS...................................... 51
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
---------------------------------------
Investment Abbreviations
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Because of commencement of operations and related preliminary transaction costs, these ratios
are not necessarily indicative of future ratios.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
U.S. LARGE CAP GROWTH PORTFOLIO VS.
RUSSELL 1000(R) GROWTH INDEX
December 20, 2012-October 31, 2017
[CHART]
U.S. Large Cap Growth Russell 1000/R/
Portfolio Growth Index
--------------------------- ----------------
12/20/2012 $10,000 $10,000
12/31/2012 9,980 9,901
1/31/2013 10,470 10,326
2/28/2013 10,590 10,454
3/31/2013 10,979 10,846
4/30/2013 11,150 11,076
5/31/2013 11,440 11,282
6/30/2013 11,269 11,070
7/31/2013 11,892 11,657
8/31/2013 11,611 11,457
9/30/2013 12,104 11,968
10/31/2013 12,658 12,497
11/30/2013 13,072 12,850
12/31/2013 13,366 13,217
1/31/2014 12,769 12,840
2/28/2014 13,437 13,501
3/31/2014 13,470 13,365
4/30/2014 13,531 13,365
5/31/2014 13,877 13,782
6/30/2014 14,106 14,050
7/31/2014 13,851 13,835
8/31/2014 14,483 14,469
9/30/2014 14,237 14,259
10/31/2014 14,646 14,635
11/30/2014 15,199 15,099
12/31/2014 15,025 14,941
1/31/2015 14,684 14,713
2/28/2015 15,552 15,693
3/31/2015 15,373 15,515
4/30/2015 15,425 15,592
5/31/2015 15,539 15,812
6/30/2015 15,216 15,533
7/31/2015 15,581 16,060
8/31/2015 14,706 15,085
9/30/2015 14,333 14,712
10/31/2015 15,494 15,978
11/30/2015 15,494 16,023
12/31/2015 15,271 15,788
1/31/2016 14,563 14,907
2/29/2016 14,721 14,900
3/31/2016 15,723 15,905
4/30/2016 15,554 15,760
5/31/2016 15,798 16,066
6/30/2016 15,831 16,003
7/31/2016 16,481 16,758
8/31/2016 16,417 16,675
9/30/2016 16,376 16,736
10/31/2016 15,959 16,343
11/30/2016 16,537 16,699
12/31/2016 16,737 16,905
1/31/2017 17,124 17,475
2/28/2017 17,801 18,201
3/31/2017 17,927 18,411
4/30/2017 18,110 18,832
5/31/2017 18,423 19,322
6/30/2017 18,450 19,271
7/31/2017 18,710 19,784 Past performance is not predictive of
8/31/2017 18,862 20,146 future performance.
9/30/2017 19,321 20,408 The returns shown do not reflect the
10/31/2017 19,843 21,199 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
24.34% 15.13% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. SMALL CAP GROWTH PORTFOLIO VS.
RUSSELL 2000(R) GROWTH INDEX
December 20, 2012-October 31, 2017
[CHART]
U.S. Small Cap Growth Russell 2000/R/ Growth
Portfolio Index
--------------------- ----------------------
12/20/2012 $10,000 $10,000
12/31/2012 10,060 9,977
1/31/2013 10,630 10,634
2/28/2013 10,690 10,747
3/31/2013 11,225 11,295
4/30/2013 11,085 11,221
5/31/2013 11,705 11,790
6/30/2013 11,718 11,717
7/31/2013 12,529 12,603
8/31/2013 12,249 12,357
9/30/2013 13,036 13,217
10/31/2013 13,517 13,458
11/30/2013 14,099 14,011
12/31/2013 14,358 14,297
1/31/2014 13,679 14,050
2/28/2014 14,237 14,730
3/31/2014 14,274 14,367
4/30/2014 13,848 13,629
5/31/2014 13,869 13,760
6/30/2014 14,591 14,614
7/31/2014 13,758 13,729
8/31/2014 14,347 14,495
9/30/2014 13,746 13,719
10/31/2014 14,550 14,570
11/30/2014 14,733 14,664
12/31/2014 14,966 15,098
1/31/2015 14,515 14,754
2/28/2015 15,561 15,816
3/31/2015 15,840 16,099
4/30/2015 15,419 15,626
5/31/2015 15,768 16,200
6/30/2015 15,968 16,418
7/31/2015 15,926 16,485
8/31/2015 14,970 15,236
9/30/2015 14,333 14,273
10/31/2015 15,178 15,083
11/30/2015 15,497 15,636
12/31/2015 14,726 14,890
1/31/2016 13,779 13,277
2/29/2016 13,883 13,183
3/31/2016 14,928 14,193
4/30/2016 14,959 14,334
5/31/2016 15,240 14,720
6/30/2016 15,136 14,653
7/31/2016 15,919 15,611
8/31/2016 16,013 15,777
9/30/2016 15,997 16,004
10/31/2016 15,348 15,009
11/30/2016 16,845 16,352
12/31/2016 17,249 16,575
1/31/2017 17,323 16,844
2/28/2017 17,544 17,257
3/31/2017 17,674 17,462
4/30/2017 18,086 17,783
5/31/2017 17,790 17,622
6/30/2017 18,175 18,228
7/31/2017 18,334 18,383 Past performance is not predictive of
8/31/2017 17,963 18,362 future performance.
09/2017 19,033 19,362 The returns shown do not reflect the
10/2017 19'362 19,662 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
26.15% 14.55% rights reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO VS.
MSCI WORLD EX USA GROWTH INDEX (NET DIVIDENDS)
December 20, 2012-October 31, 2017
[CHART]
International Large Cap MSCI World ex USA Growth
Growth Portfolio Index (net dividends)
----------------------- ------------------------
12/20/2012 $10,000 $10,000
12/31/2012 10,030 9,932
1/31/2013 10,370 10,366
2/28/2013 10,300 10,401
3/31/2013 10,455 10,553
4/30/2013 10,846 10,926
5/31/2013 10,726 10,714
6/30/2013 10,440 10,347
7/31/2013 11,017 10,831
8/31/2013 10,835 10,683
9/30/2013 11,642 11,392
10/31/2013 11,998 11,691
11/30/2013 12,099 11,773
12/31/2013 12,336 11,971
1/31/2014 11,784 11,452
2/28/2014 12,479 12,073
3/31/2014 12,449 12,018
4/30/2014 12,593 12,127
5/31/2014 12,777 12,355
6/30/2014 12,955 12,498
7/31/2014 12,614 12,230
8/31/2014 12,707 12,298
9/30/2014 12,173 11,843
10/31/2014 12,142 11,727
11/30/2014 12,267 11,959
12/31/2014 11,797 11,581
1/31/2015 11,881 11,635
2/28/2015 12,460 12,309
3/31/2015 12,295 12,163
4/30/2015 12,727 12,639
5/31/2015 12,706 12,593
6/30/2015 12,315 12,264
7/31/2015 12,571 12,532
8/31/2015 11,697 11,623
9/30/2015 11,300 11,147
10/31/2015 11,985 12,000
11/30/2015 11,996 11,908
12/31/2015 11,796 11,772
1/31/2016 11,334 11,056
2/29/2016 11,076 10,906
3/31/2016 11,765 11,613
4/30/2016 11,884 11,845
5/31/2016 11,916 11,799
6/30/2016 11,782 11,620
7/31/2016 12,219 12,183
8/31/2016 12,109 12,019
9/30/2016 12,285 12,197
10/31/2016 11,814 11,691
11/30/2016 11,507 11,323
12/31/2016 11,727 11,552
1/31/2017 12,112 11,935
2/28/2017 12,321 12,158
3/31/2017 12,767 12,480
4/30/2017 13,142 12,817
5/31/2017 13,728 13,417
6/30/2017 13,702 13,351
7/31/2017 13,925 13,680
8/31/2017 14,059 13,757 Past performance is not predictive of
9/30/2017 14,357 14,032 future performance.
10/31/2017 14,559 14,310 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
23.23% 8.03% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP GROWTH INDEX (NET DIVIDENDS)
December 20, 2012-October 31, 2017
[CHART]
International Small Cap MSCI World ex USA Small Cap
Growth Portfolio Growth Index (net dividends)
----------------------- ----------------------------
12/20/2012 $10,000 $10,000
12/31/2012 10,050 9,979
1/31/2013 10,460 10,332
2/28/2013 10,530 10,348
3/31/2013 10,813 10,608
4/30/2013 11,123 10,813
5/31/2013 10,793 10,585
6/30/2013 10,619 10,181
7/31/2013 11,255 10,814
8/31/2013 11,225 10,784
9/30/2013 12,048 11,690
10/31/2013 12,383 11,933
11/30/2013 12,484 12,008
12/31/2013 12,824 12,307
1/31/2014 12,447 12,074
2/28/2014 13,150 12,775
3/31/2014 13,175 12,667
4/30/2014 13,175 12,552
5/31/2014 13,348 12,745
6/30/2014 13,518 13,054
7/31/2014 13,076 12,710
8/31/2014 13,220 12,782
9/30/2014 12,464 12,034
10/31/2014 12,361 11,772
11/30/2014 12,320 11,792
12/31/2014 12,200 11,711
1/31/2015 12,158 11,597
2/28/2015 12,901 12,315
3/31/2015 12,824 12,223
4/30/2015 13,486 12,840
5/31/2015 13,685 13,020
6/30/2015 13,523 12,874
7/31/2015 13,597 12,969
8/31/2015 12,993 12,399
9/30/2015 12,599 11,940
10/31/2015 13,237 12,661
11/30/2015 13,439 12,797
12/31/2015 13,477 12,873
1/31/2016 12,645 11,868
2/29/2016 12,505 11,894
3/31/2016 13,519 12,878
4/30/2016 13,638 13,181
5/31/2016 13,877 13,338
6/30/2016 13,329 12,789
7/31/2016 14,041 13,470
8/31/2016 13,975 13,256
9/30/2016 14,410 13,716
10/31/2016 13,927 13,162
11/30/2016 13,444 12,712
12/31/2016 13,656 12,983
1/31/2017 14,220 13,444
2/28/2017 14,519 13,730
3/31/2017 14,976 14,082
4/30/2017 15,585 14,669
5/31/2017 16,206 15,278
6/30/2017 16,333 15,231
7/31/2017 16,925 15,739
8/31/2017 17,048 15,929 Past performance is not predictive of
9/30/2017 17,509 16,380 future performance.
10/31/2017 17,756 16,752 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
27.49% 12.53% rights reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(UNAUDITED)
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 stock.
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.
DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
U.S. LARGE CAP GROWTH PORTFOLIO
The U.S. Large Cap Growth Portfolio seeks to capture the returns of U.S.
large-cap growth stocks with higher profitability. Growth is measured primarily
by book-to-market ratio. In assessing profitability, Dimensional may consider
factors such 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 300
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.34% for the
Portfolio and 29.71% for the Russell 1000(R) Growth 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 detracted from
performance relative to the benchmark, as higher-profitability stocks generally
underperformed among large-cap growth stocks for the period. To a lesser
extent, the Portfolio's greater emphasis on smaller stocks within the large-cap
universe also detracted from relative performance, as those stocks
underperformed for the period.
U.S. SMALL CAP GROWTH PORTFOLIO
The U.S. Small Cap Growth Portfolio invests in a broadly diversified group
of U.S. small-cap growth stocks with higher profitability. Growth 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
4
approximately 550 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 26.15% for the
Portfolio and 31.00% for the Russell 2000(R) Growth 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 prices was
the primary driver of underperformance, as those stocks outperformed for the
year.
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.
5
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 pm 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.
INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
The International Large Cap Growth Portfolio seeks to capture the returns of
developed ex U.S. large-cap growth stocks with higher profitability. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2017, the Portfolio held approximately 520 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 23.23% for the
Portfolio and 22.40% for the MSCI World ex USA Growth 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 defines growth stocks as those with high
price-to-book ratios, while the benchmark uses multiple metrics. The
Portfolio's general exclusion of real estate investment trusts (REITs) and
certain utilities had a positive impact performance relative to the benchmark,
as REITs and utilities underperformed the benchmark. Additionally,
high-profitability stocks generally outperformed low-profitability stocks among
smaller large-caps, and the Portfolio's greater emphasis on high-profitability
stocks had a positive impact on relative performance.
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
The International Small Cap Growth Portfolio seeks to capture the returns of
developed ex U.S. small-cap growth stocks, with an emphasis on those with
higher profitability. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2017, the Portfolio held over 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 27.49% for the
Portfolio and 27.28% for the MSCI World ex USA Small Cap Growth 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 high-profitability stocks generally
outperforming low-profitability stocks for the period, the Portfolio's greater
emphasis on high-profitability stocks contributed positively to performance
relative to the 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 for the period.
6
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*
--------- --------- ---------- --------
U.S. LARGE CAP GROWTH PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares..... $1,000.00 $1,095.70 0.20% $1.06
Hypothetical 5% Annual Return
Institutional Class Shares..... $1,000.00 $1,024.20 0.20% $1.02
U.S. SMALL CAP GROWTH PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares..... $1,000.00 $1,070.50 0.39% $2.04
Hypothetical 5% Annual Return
Institutional Class Shares..... $1,000.00 $1,023.24 0.39% $1.99
7
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 LARGE CAP GROWTH PORTFOLIO
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,107.70 0.30% $1.59
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.69 0.30% $1.53
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,139.30 0.55% $2.97
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.43 0.55% $2.80
----------
* 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.
8
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.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. LARGE CAP GROWTH PORTFOLIO
Consumer Discretionary....................... 18.9%
Consumer Staples............................. 10.8%
Energy....................................... 0.1%
Financials................................... 2.4%
Health Care.................................. 15.7%
Industrials.................................. 19.4%
Information Technology....................... 24.2%
Materials.................................... 5.4%
Real Estate.................................. 0.1%
Telecommunication Services................... 2.8%
Utilities.................................... 0.2%
-----
100.0%
U.S. SMALL CAP GROWTH PORTFOLIO
Consumer Discretionary....................... 18.8%
Consumer Staples............................. 6.1%
Energy....................................... 1.1%
Financials................................... 7.7%
Health Care.................................. 11.2%
Industrials.................................. 26.0%
Information Technology....................... 19.1%
Materials.................................... 7.9%
Real Estate.................................. 0.7%
Telecommunication Services................... 1.1%
Utilities.................................... 0.3%
-----
100.0%
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
Consumer Discretionary....................... 18.0%
Consumer Staples............................. 12.2%
Energy....................................... 1.7%
Financials................................... 6.9%
Health Care.................................. 13.3%
Industrials.................................. 21.7%
Information Technology....................... 7.2%
Materials.................................... 8.1%
Real Estate.................................. 0.6%
Telecommunication Services................... 7.2%
Utilities.................................... 3.1%
-----
100.0%
9
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
Consumer Discretionary....................... 20.3%
Consumer Staples............................. 8.7%
Energy....................................... 1.8%
Financials................................... 5.8%
Health Care.................................. 5.5%
Industrials.................................. 26.6%
Information Technology....................... 17.2%
Materials.................................... 9.4%
Real Estate.................................. 1.2%
Telecommunication Services................... 2.9%
Utilities.................................... 0.6%
-----
100.0%
10
U.S. LARGE CAP GROWTH PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (94.0%)
Consumer Discretionary -- (17.8%)
* Amazon.com, Inc.................... 59,408 $ 65,662,474 4.0%
Home Depot, Inc. (The)............. 256,987 42,603,305 2.6%
Lowe's Cos., Inc................... 173,941 13,906,583 0.8%
NIKE, Inc. Class B................. 254,985 14,021,625 0.8%
Starbucks Corp..................... 295,135 16,185,203 1.0%
TJX Cos., Inc. (The)............... 123,874 8,646,405 0.5%
Walt Disney Co. (The).............. 168,155 16,447,241 1.0%
Other Securities................... 132,854,318 8.2%
------------ -----
Total Consumer Discretionary........... 310,327,154 18.9%
------------ -----
Consumer Staples -- (10.2%)
Altria Group, Inc.................. 400,943 25,748,559 1.6%
Coca-Cola Co. (The)................ 367,291 16,888,040 1.0%
Costco Wholesale Corp.............. 88,104 14,191,792 0.9%
Dr Pepper Snapple Group, Inc....... 118,620 10,160,989 0.6%
Kimberly-Clark Corp................ 67,976 7,647,980 0.5%
PepsiCo, Inc....................... 303,504 33,455,246 2.0%
Procter & Gamble Co. (The)......... 115,113 9,938,856 0.6%
Other Securities................... 59,396,691 3.6%
------------ -----
Total Consumer Staples................. 177,428,153 10.8%
------------ -----
Energy -- (0.1%)
Other Securities................... 1,840,473 0.1%
------------ -----
Financials -- (2.3%)
Marsh & McLennan Cos., Inc......... 96,020 7,770,899 0.5%
Other Securities................... 32,119,526 1.9%
------------ -----
Total Financials....................... 39,890,425 2.4%
------------ -----
Health Care -- (14.7%)
AbbVie, Inc........................ 336,623 30,380,226 1.9%
# AmerisourceBergen Corp............. 128,208 9,865,606 0.6%
Amgen, Inc......................... 78,509 13,756,347 0.8%
* Biogen, Inc........................ 40,546 12,636,566 0.8%
Bristol-Myers Squibb Co............ 219,931 13,560,945 0.8%
* Celgene Corp....................... 103,477 10,448,073 0.6%
Eli Lilly & Co..................... 109,134 8,942,440 0.5%
Gilead Sciences, Inc............... 364,242 27,303,580 1.7%
Johnson & Johnson.................. 388,822 54,205,675 3.3%
* Mettler-Toledo International, Inc.. 11,085 7,566,953 0.5%
UnitedHealth Group, Inc............ 134,866 28,351,530 1.7%
Other Securities................... 40,594,561 2.5%
------------ -----
Total Health Care...................... 257,612,502 15.7%
------------ -----
Industrials -- (18.2%)
3M Co.............................. 126,414 29,099,239 1.8%
Boeing Co. (The)................... 120,718 31,142,830 1.9%
Caterpillar, Inc................... 73,492 9,980,214 0.6%
General Dynamics Corp.............. 50,264 10,202,587 0.6%
Honeywell International, Inc....... 102,585 14,788,654 0.9%
Illinois Tool Works, Inc........... 58,914 9,221,219 0.6%
11
U.S. LARGE CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Lockheed Martin Corp.......................................... 52,819 $ 16,276,703 1.0%
Northrop Grumman Corp......................................... 28,114 8,308,530 0.5%
Union Pacific Corp............................................ 168,416 19,500,889 1.2%
United Parcel Service, Inc. Class B........................... 139,515 16,397,198 1.0%
Waste Management, Inc......................................... 107,316 8,818,156 0.5%
Other Securities.............................................. 144,746,608 8.8%
-------------- ------
Total Industrials................................................... 318,482,827 19.4%
-------------- ------
Information Technology -- (22.7%)
Accenture P.L.C. Class A...................................... 125,110 17,810,660 1.1%
Apple, Inc.................................................... 407,093 68,815,001 4.2%
Applied Materials, Inc........................................ 172,554 9,737,222 0.6%
Automatic Data Processing, Inc................................ 76,888 8,938,999 0.5%
International Business Machines Corp.......................... 200,051 30,819,857 1.9%
Mastercard, Inc. Class A...................................... 199,551 29,687,202 1.8%
Microsoft Corp................................................ 526,745 43,814,649 2.7%
NVIDIA Corp................................................... 78,878 16,312,759 1.0%
Texas Instruments, Inc........................................ 204,723 19,794,667 1.2%
# Visa, Inc. Class A............................................ 258,984 28,483,060 1.7%
Other Securities.............................................. 123,015,426 7.4%
-------------- ------
Total Information Technology........................................ 397,229,502 24.1%
-------------- ------
Materials -- (5.0%)
LyondellBasell Industries NV Class A.......................... 85,403 8,841,773 0.5%
Praxair, Inc.................................................. 55,360 8,089,203 0.5%
Other Securities.............................................. 71,219,062 4.4%
-------------- ------
Total Materials..................................................... 88,150,038 5.4%
-------------- ------
Real Estate -- (0.1%)
Other Securities.............................................. 1,139,533 0.1%
-------------- ------
Telecommunication Services -- (2.7%)
Verizon Communications, Inc................................... 914,953 43,798,800 2.6%
Other Securities.............................................. 3,108,228 0.2%
-------------- ------
Total Telecommunication Services.................................... 46,907,028 2.8%
-------------- ------
Utilities -- (0.2%)
Other Securities.............................................. 4,000,675 0.2%
-------------- ------
TOTAL COMMON STOCKS................................................. 1,643,008,310 99.9%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 1,643,008,310
--------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
State Street Institutional U.S. Government Money Market Fund,
0.960%....................................................... 595,255 595,255 0.0%
DFA Short Term Investment Fund................................ 7,399,174 20,167,642 1.2%
-------------- ------
TOTAL TEMPORARY CASH INVESTMENTS.................................... 20,762,897 1.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (4.8%)
(S)@ DFA Short Term Investment Fund................................ 1,559,229 83,490,042 5.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,386,981,007).............................................. $1,747,261,249 106.2%
============== ======
12
U.S. LARGE CAP GROWTH 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......... $ 310,327,154 -- -- $ 310,327,154
Consumer Staples............... 177,428,153 -- -- 177,428,153
Energy......................... 1,840,473 -- -- 1,840,473
Financials..................... 39,890,425 -- -- 39,890,425
Health Care.................... 257,612,502 -- -- 257,612,502
Industrials.................... 318,482,827 -- -- 318,482,827
Information Technology......... 397,229,502 -- -- 397,229,502
Materials...................... 88,150,038 -- -- 88,150,038
Real Estate.................... 1,139,533 -- -- 1,139,533
Telecommunication Services..... 46,907,028 -- -- 46,907,028
Utilities...................... 4,000,675 -- -- 4,000,675
Temporary Cash Investments...... 20,762,897 -- -- 20,762,897
Securities Lending Collateral... -- 83,490,042 -- 83,490,042
-------------- ---------- -- --------------
TOTAL........................... 1,663,771,207 83,490,042 -- $1,747,261,249
============== ========== == ==============
See accompanying Notes to Financial Statements.
13
U.S. SMALL CAP GROWTH PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (86.9%)
Consumer Discretionary -- (16.3%)
# Cracker Barrel Old Country Store, Inc...... 12,494 $ 1,950,688 0.4%
Dana, Inc.................................. 75,321 2,296,537 0.5%
* Five Below, Inc............................ 45,756 2,528,019 0.5%
* Grand Canyon Education, Inc................ 22,389 2,004,039 0.4%
* Hilton Grand Vacations, Inc................ 51,489 2,108,989 0.4%
LCI Industries............................. 16,366 2,026,111 0.4%
Tenneco, Inc............................... 37,543 2,181,624 0.4%
Texas Roadhouse, Inc....................... 40,612 2,031,006 0.4%
Tupperware Brands Corp..................... 35,905 2,109,419 0.4%
* Visteon Corp............................... 21,223 2,674,947 0.5%
# Wendy's Co. (The).......................... 139,364 2,119,726 0.4%
Other Securities........................... 71,473,862 14.1%
----------- -----
Total Consumer Discretionary................... 95,504,967 18.8%
----------- -----
Consumer Staples -- (5.3%)
# National Beverage Corp..................... 19,515 1,910,519 0.4%
Nu Skin Enterprises, Inc. Class A.......... 30,877 1,964,086 0.4%
Other Securities........................... 27,089,573 5.3%
----------- -----
Total Consumer Staples......................... 30,964,178 6.1%
----------- -----
Energy -- (1.0%)
Other Securities........................... 5,718,249 1.1%
----------- -----
Financials -- (6.7%)
BGC Partners, Inc. Class A................. 127,458 1,933,538 0.4%
Evercore, Inc. Class A..................... 29,655 2,375,365 0.5%
# Federated Investors, Inc. Class B.......... 71,251 2,213,769 0.4%
# Interactive Brokers Group, Inc. Class A.... 38,271 2,067,399 0.4%
* LendingTree, Inc........................... 7,132 1,911,733 0.4%
LPL Financial Holdings, Inc................ 41,781 2,072,755 0.4%
Primerica, Inc............................. 26,071 2,307,283 0.5%
Other Securities........................... 24,300,330 4.7%
----------- -----
Total Financials............................... 39,182,172 7.7%
----------- -----
Health Care -- (9.7%)
Cantel Medical Corp........................ 25,018 2,453,765 0.5%
* Catalent, Inc.............................. 64,790 2,759,406 0.5%
# Chemed Corp................................ 10,283 2,297,531 0.5%
* Masimo Corp................................ 27,541 2,416,998 0.5%
Other Securities........................... 46,790,533 9.2%
----------- -----
Total Health Care.............................. 56,718,233 11.2%
----------- -----
Industrials -- (22.6%)
#* Avis Budget Group, Inc..................... 49,004 2,021,415 0.4%
Brink's Co. (The).......................... 32,135 2,445,473 0.5%
Healthcare Services Group, Inc............. 45,787 2,421,674 0.5%
John Bean Technologies Corp................ 18,284 1,954,560 0.4%
# Kennametal, Inc............................ 44,633 1,948,230 0.4%
#* Knight-Swift Transportation Holdings, Inc.. 90,157 3,737,008 0.7%
Landstar System, Inc....................... 26,555 2,622,306 0.5%
* Trex Co., Inc.............................. 21,694 2,374,408 0.5%
14
U.S. SMALL CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Other Securities......................... $112,291,264 22.1%
------------ ------
Total Industrials.............................. 131,816,338 26.0%
------------ ------
Information Technology -- (16.6%)
* Advanced Energy Industries, Inc.......... 25,917 2,195,688 0.4%
# Blackbaud, Inc........................... 27,883 2,824,548 0.6%
Cabot Microelectronics Corp.............. 20,643 1,995,559 0.4%
#* Ciena Corp............................... 89,738 1,908,727 0.4%
#* Cimpress NV.............................. 20,295 2,214,996 0.4%
* CoreLogic, Inc........................... 41,573 1,949,774 0.4%
Entegris, Inc............................ 73,088 2,393,632 0.5%
* Integrated Device Technology, Inc........ 66,717 2,072,897 0.4%
#* Lumentum Holdings, Inc................... 32,026 2,022,442 0.4%
#* Paycom Software, Inc..................... 35,245 2,897,139 0.6%
Science Applications International Corp.. 25,978 1,905,227 0.4%
* Silicon Laboratories, Inc................ 23,359 2,216,769 0.4%
* Stamps.com, Inc.......................... 9,502 2,132,249 0.4%
Other Securities......................... 68,489,110 13.4%
------------ ------
Total Information Technology................... 97,218,757 19.1%
------------ ------
Materials -- (6.8%)
* Louisiana-Pacific Corp................... 76,564 2,081,010 0.4%
PolyOne Corp............................. 45,299 2,086,925 0.4%
Trinseo SA............................... 27,499 1,952,429 0.4%
Worthington Industries, Inc.............. 44,214 2,011,737 0.4%
Other Securities......................... 31,760,319 6.3%
------------ ------
Total Materials................................ 39,892,420 7.9%
------------ ------
Real Estate -- (0.6%)
HFF, Inc. Class A........................ 43,484 1,907,208 0.4%
Other Securities......................... 1,678,324 0.3%
------------ ------
Total Real Estate.............................. 3,585,532 0.7%
------------ ------
Telecommunication Services -- (1.0%)
Other Securities......................... 5,614,921 1.1%
------------ ------
Utilities -- (0.3%)
Other Securities......................... 1,489,364 0.3%
------------ ------
TOTAL COMMON STOCKS............................ 507,705,131 100.0%
------------ ------
TOTAL INVESTMENT SECURITIES.................... 507,705,131
------------
SECURITIES LENDING COLLATERAL -- (13.1%)
(S)@ DFA Short Term Investment Fund........... 6,607,662 76,457,259 15.0%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $473,937,658)........................ $584,162,390 115.0%
============ ======
15
U.S. SMALL CAP GROWTH 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......... $ 95,504,967 -- -- $ 95,504,967
Consumer Staples............... 30,964,178 -- -- 30,964,178
Energy......................... 5,718,249 -- -- 5,718,249
Financials..................... 39,182,172 -- -- 39,182,172
Health Care.................... 56,718,233 -- -- 56,718,233
Industrials.................... 131,816,338 -- -- 131,816,338
Information Technology......... 97,218,757 -- -- 97,218,757
Materials...................... 39,892,420 -- -- 39,892,420
Real Estate.................... 3,585,532 -- -- 3,585,532
Telecommunication Services..... 5,614,921 -- -- 5,614,921
Utilities...................... 1,489,364 -- -- 1,489,364
Securities Lending Collateral... -- $76,457,259 -- 76,457,259
------------ ----------- -- ------------
TOTAL........................... $507,705,131 $76,457,259 -- $584,162,390
============ =========== == ============
See accompanying Notes to Financial Statements.
16
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (92.7%)
AUSTRALIA -- (5.6%)
# Commonwealth Bank of Australia............ 48,358 $ 2,876,587 0.9%
CSL, Ltd.................................. 23,259 2,476,178 0.8%
Other Securities.......................... 14,172,142 4.4%
----------- ----
TOTAL AUSTRALIA............................... 19,524,907 6.1%
----------- ----
AUSTRIA -- (0.2%)
Other Securities.......................... 842,931 0.3%
----------- ----
BELGIUM -- (1.0%)
Anheuser-Busch InBev SA/NV................ 12,579 1,542,451 0.5%
Other Securities.......................... 2,080,552 0.6%
----------- ----
TOTAL BELGIUM................................. 3,623,003 1.1%
----------- ----
CANADA -- (7.6%)
Canadian National Railway Co.............. 33,646 2,708,167 0.8%
# Royal Bank of Canada(2754383)............. 22,390 1,750,623 0.5%
Royal Bank of Canada(780087102)........... 19,804 1,547,683 0.5%
Other Securities.......................... 20,280,743 6.4%
----------- ----
TOTAL CANADA.................................. 26,287,216 8.2%
----------- ----
DENMARK -- (1.7%)
Novo Nordisk A.S. Class B................. 93,935 4,676,913 1.5%
Other Securities.......................... 1,134,192 0.3%
----------- ----
TOTAL DENMARK................................. 5,811,105 1.8%
----------- ----
FINLAND -- (0.8%)
Other Securities.......................... 2,720,768 0.8%
----------- ----
FRANCE -- (9.0%)
Air Liquide SA............................ 15,258 1,942,708 0.6%
Airbus SE................................. 23,615 2,423,253 0.7%
Cie Generale des Etablissements Michelin.. 22,124 3,202,368 1.0%
LVMH Moet Hennessy Louis Vuitton SE....... 8,522 2,541,798 0.8%
Safran SA................................. 14,362 1,512,639 0.5%
Valeo SA.................................. 29,860 2,021,646 0.6%
Vinci SA.................................. 18,638 1,826,106 0.6%
Other Securities.......................... 15,820,691 4.9%
----------- ----
TOTAL FRANCE.................................. 31,291,209 9.7%
----------- ----
GERMANY -- (8.0%)
BASF SE................................... 15,279 1,670,809 0.5%
Bayer AG.................................. 29,869 3,885,324 1.2%
Continental AG............................ 5,467 1,391,319 0.4%
Deutsche Post AG.......................... 40,021 1,834,566 0.6%
Deutsche Telekom AG....................... 159,217 2,882,992 0.9%
E.ON SE................................... 181,853 2,153,946 0.7%
Fresenius SE & Co. KGaA................... 16,413 1,374,034 0.4%
* RWE AG.................................... 57,488 1,445,470 0.5%
Other Securities.......................... 11,065,734 3.4%
----------- ----
TOTAL GERMANY................................. 27,704,194 8.6%
----------- ----
17
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.5%)
AIA Group, Ltd....................... 236,200 $ 1,779,880 0.5%
Hong Kong Exchanges & Clearing, Ltd.. 54,153 1,508,932 0.4%
Other Securities..................... 5,549,528 1.8%
----------- -----
TOTAL HONG KONG.......................... 8,838,340 2.7%
----------- -----
IRELAND -- (0.4%)
Other Securities..................... 1,346,384 0.4%
----------- -----
ISRAEL -- (0.4%)
Other Securities..................... 1,396,199 0.4%
----------- -----
ITALY -- (2.3%)
Other Securities..................... 7,813,493 2.4%
----------- -----
JAPAN -- (20.8%)
Japan Tobacco, Inc................... 44,300 1,466,338 0.4%
KDDI Corp............................ 103,100 2,746,856 0.8%
NTT DOCOMO, Inc...................... 55,900 1,353,828 0.4%
Panasonic Corp....................... 124,700 1,882,890 0.6%
SoftBank Group Corp.................. 49,540 4,390,340 1.4%
Sony Corp............................ 50,600 2,116,835 0.6%
Other Securities..................... 58,055,920 18.1%
----------- -----
TOTAL JAPAN.............................. 72,013,007 22.3%
----------- -----
NETHERLANDS -- (2.9%)
RELX NV.............................. 71,813 1,621,307 0.5%
# Unilever NV.......................... 69,098 4,004,920 1.2%
Other Securities..................... 4,410,870 1.4%
----------- -----
TOTAL NETHERLANDS........................ 10,037,097 3.1%
----------- -----
NEW ZEALAND -- (0.3%)
Other Securities..................... 957,843 0.3%
----------- -----
NORWAY -- (0.8%)
Other Securities..................... 2,780,972 0.9%
----------- -----
PORTUGAL -- (0.0%)
Other Securities..................... 32,486 0.0%
----------- -----
SINGAPORE -- (1.0%)
Other Securities..................... 3,314,663 1.0%
----------- -----
SPAIN -- (2.9%)
Amadeus IT Group SA.................. 42,665 2,894,773 0.9%
Telefonica SA........................ 270,480 2,836,104 0.9%
Other Securities..................... 4,288,159 1.3%
----------- -----
TOTAL SPAIN.............................. 10,019,036 3.1%
----------- -----
SWEDEN -- (2.7%)
Other Securities..................... 9,499,494 2.9%
----------- -----
SWITZERLAND -- (7.2%)
Givaudan SA.......................... 930 2,076,958 0.6%
Nestle SA............................ 50,421 4,242,347 1.3%
Roche Holding AG..................... 35,350 8,170,480 2.5%
Sika AG.............................. 212 1,569,112 0.5%
18
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Other Securities...................... $ 8,721,264 2.8%
------------ ------
TOTAL SWITZERLAND........................... 24,780,161 7.7%
------------ ------
UNITED KINGDOM -- (14.6%)
Ashtead Group P.L.C................... 70,971 1,828,178 0.6%
# AstraZeneca P.L.C. Sponsored ADR...... 80,431 2,774,869 0.9%
BAE Systems P.L.C..................... 294,970 2,323,578 0.7%
BT Group P.L.C........................ 435,140 1,499,288 0.5%
Centrica P.L.C........................ 689,470 1,554,871 0.5%
Compass Group P.L.C................... 72,373 1,588,894 0.5%
Diageo P.L.C. Sponsored ADR........... 12,703 1,740,438 0.5%
Experian P.L.C........................ 65,315 1,376,076 0.4%
# GlaxoSmithKline P.L.C. Sponsored ADR.. 110,142 4,012,473 1.2%
Rolls-Royce Holdings P.L.C............ 177,081 2,288,414 0.7%
SSE P.L.C............................. 148,543 2,728,126 0.8%
Unilever P.L.C. Sponsored ADR......... 44,638 2,528,743 0.8%
Other Securities...................... 24,265,263 7.6%
------------ ------
TOTAL UNITED KINGDOM........................ 50,509,211 15.7%
------------ ------
TOTAL COMMON STOCKS......................... 321,143,719 99.5%
------------ ------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities...................... 625,431 0.2%
------------ ------
TOTAL PREFERRED STOCKS...................... 625,431 0.2%
------------ ------
TOTAL INVESTMENT SECURITIES................. 321,769,150
------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (7.1%)
(S)@ DFA Short Term Investment Fund........ 2,117,376 24,500,154 7.6%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $293,750,141)....................... $346,269,304 107.3%
============ ======
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... -- $19,524,907 -- $19,524,907
Austria..... -- 842,931 -- 842,931
Belgium..... $ 313,703 3,309,300 -- 3,623,003
Canada...... 26,287,216 -- -- 26,287,216
Denmark..... -- 5,811,105 -- 5,811,105
Finland..... -- 2,720,768 -- 2,720,768
France...... -- 31,291,209 -- 31,291,209
Germany..... 105,635 27,598,559 -- 27,704,194
Hong Kong... -- 8,838,340 -- 8,838,340
Ireland..... 22,512 1,323,872 -- 1,346,384
Israel...... 452,231 943,968 -- 1,396,199
Italy....... 347,551 7,465,942 -- 7,813,493
Japan....... -- 72,013,007 -- 72,013,007
19
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ ------- ------------
Netherlands.................... $ 4,053,361 $ 5,983,736 -- $ 10,037,097
New Zealand.................... -- 957,843 -- 957,843
Norway......................... -- 2,780,972 -- 2,780,972
Portugal....................... -- 32,486 -- 32,486
Singapore...................... -- 3,314,663 -- 3,314,663
Spain.......................... -- 10,019,036 -- 10,019,036
Sweden......................... -- 9,499,494 -- 9,499,494
Switzerland.................... 181,049 24,599,112 -- 24,780,161
United Kingdom................. 12,770,489 37,738,722 -- 50,509,211
Preferred Stocks
Germany........................ -- 625,431 -- 625,431
Securities Lending Collateral... -- 24,500,154 -- 24,500,154
----------- ------------ -- ------------
TOTAL........................... $44,533,747 $301,735,557 -- $346,269,304
=========== ============ == ============
See accompanying Notes to Financial Statements.
20
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.0%)
AUSTRALIA -- (6.1%)
Other Securities.......... $11,874,450 6.7%
----------- ----
AUSTRIA -- (0.9%)
ANDRITZ AG................ 12,353 698,513 0.4%
Other Securities.......... 1,043,210 0.6%
----------- ----
TOTAL AUSTRIA................. 1,741,723 1.0%
----------- ----
BELGIUM -- (1.5%)
bpost SA.................. 18,547 522,915 0.3%
Other Securities.......... 2,451,695 1.4%
----------- ----
TOTAL BELGIUM................. 2,974,610 1.7%
----------- ----
CANADA -- (7.7%)
Toromont Industries, Ltd.. 12,004 529,159 0.3%
Other Securities.......... 14,360,459 8.1%
----------- ----
TOTAL CANADA.................. 14,889,618 8.4%
----------- ----
CHINA -- (0.0%)
Other Securities.......... 22,912 0.0%
----------- ----
DENMARK -- (1.8%)
Ambu A.S. Class B......... 5,761 531,001 0.3%
GN Store Nord A.S......... 27,952 925,031 0.5%
Royal Unibrew A.S......... 8,908 512,839 0.3%
SimCorp A.S............... 8,214 501,649 0.3%
Other Securities.......... 957,832 0.5%
----------- ----
TOTAL DENMARK................. 3,428,352 1.9%
----------- ----
FINLAND -- (2.3%)
Elisa Oyj................. 22,180 893,125 0.5%
Huhtamaki Oyj............. 11,881 506,069 0.3%
Nokian Renkaat Oyj........ 15,580 714,299 0.4%
Other Securities.......... 2,362,475 1.3%
----------- ----
TOTAL FINLAND................. 4,475,968 2.5%
----------- ----
FRANCE -- (4.8%)
Faurecia.................. 8,359 607,660 0.3%
Ingenico Group SA......... 7,467 725,108 0.4%
* Ubisoft Entertainment SA.. 12,800 976,635 0.6%
Other Securities.......... 6,909,094 3.9%
----------- ----
TOTAL FRANCE.................. 9,218,497 5.2%
----------- ----
GERMANY -- (5.1%)
Hugo Boss AG.............. 9,268 828,924 0.5%
MTU Aero Engines AG....... 6,697 1,133,276 0.6%
Other Securities.......... 7,825,963 4.4%
----------- ----
TOTAL GERMANY................. 9,788,163 5.5%
----------- ----
HONG KONG -- (2.5%)
Other Securities.......... 4,814,947 2.7%
----------- ----
IRELAND -- (0.4%)
Glanbia P.L.C............. 29,000 560,911 0.3%
21
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
IRELAND -- (Continued)
Other Securities...................... $ 276,903 0.2%
----------- -----
TOTAL IRELAND............................. 837,814 0.5%
----------- -----
ISRAEL -- (0.7%)
Other Securities...................... 1,312,581 0.7%
----------- -----
ITALY -- (4.2%)
FinecoBank Banca Fineco SpA........... 74,807 699,669 0.4%
Moncler SpA........................... 28,334 804,362 0.5%
Prysmian SpA.......................... 27,824 957,407 0.5%
Other Securities...................... 5,602,184 3.1%
----------- -----
TOTAL ITALY............................... 8,063,622 4.5%
----------- -----
JAPAN -- (23.7%)
Other Securities...................... 45,721,785 25.7%
----------- -----
NETHERLANDS -- (2.7%)
Aalberts Industries NV................ 20,954 1,033,258 0.6%
BE Semiconductor Industries NV........ 8,408 660,719 0.4%
TKH Group NV.......................... 8,056 542,486 0.3%
Other Securities...................... 2,880,308 1.6%
----------- -----
TOTAL NETHERLANDS......................... 5,116,771 2.9%
----------- -----
NEW ZEALAND -- (0.8%)
* a2 Milk Co., Ltd...................... 91,338 542,275 0.3%
Other Securities...................... 995,301 0.6%
----------- -----
TOTAL NEW ZEALAND......................... 1,537,576 0.9%
----------- -----
NORWAY -- (0.8%)
Other Securities...................... 1,552,538 0.9%
----------- -----
PORTUGAL -- (0.3%)
Other Securities...................... 598,805 0.3%
----------- -----
SINGAPORE -- (1.1%)
Venture Corp., Ltd.................... 35,200 503,173 0.3%
Other Securities...................... 1,594,228 0.9%
----------- -----
TOTAL SINGAPORE........................... 2,097,401 1.2%
----------- -----
SPAIN -- (2.0%)
Bolsas y Mercados Espanoles SHMSF SA.. 15,337 526,810 0.3%
Cellnex Telecom SA.................... 29,773 739,024 0.4%
Distribuidora Internacional de
Alimentacion SA...................... 131,375 642,553 0.4%
Other Securities...................... 2,040,537 1.1%
----------- -----
TOTAL SPAIN............................... 3,948,924 2.2%
----------- -----
SWEDEN -- (2.5%)
Other Securities...................... 4,786,670 2.7%
----------- -----
SWITZERLAND -- (4.1%)
dormakaba Holding AG.................. 513 507,753 0.3%
Georg Fischer AG...................... 595 733,082 0.4%
Logitech International SA............. 23,464 839,057 0.4%
Temenos Group AG...................... 8,866 1,023,770 0.6%
Other Securities...................... 4,832,099 2.7%
----------- -----
TOTAL SWITZERLAND......................... 7,935,761 4.4%
----------- -----
22
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (15.0%)
B&M European Value Retail SA.... 116,868 $ 616,664 0.3%
Booker Group P.L.C.............. 244,737 653,857 0.4%
Capita P.L.C.................... 81,598 568,250 0.3%
Electrocomponents P.L.C......... 75,809 699,188 0.4%
Halma P.L.C..................... 52,695 826,831 0.5%
Hays P.L.C...................... 235,979 584,150 0.3%
HomeServe P.L.C................. 46,409 527,682 0.3%
Howden Joinery Group P.L.C...... 107,177 583,678 0.3%
IMI P.L.C....................... 46,021 746,717 0.4%
Inmarsat P.L.C.................. 67,643 557,954 0.3%
Jupiter Fund Management P.L.C... 69,161 545,714 0.3%
Playtech P.L.C.................. 41,773 545,835 0.3%
Rightmove P.L.C................. 15,638 862,725 0.5%
Rotork P.L.C.................... 145,762 508,645 0.3%
Spirax-Sarco Engineering P.L.C.. 11,041 828,456 0.5%
SSP Group P.L.C................. 78,775 611,773 0.3%
Tate & Lyle P.L.C............... 63,855 548,532 0.3%
WH Smith P.L.C.................. 19,030 517,382 0.3%
Other Securities................ 17,603,507 10.0%
------------ ------
TOTAL UNITED KINGDOM.................. 28,937,540 16.3%
------------ ------
TOTAL COMMON STOCKS................... 175,677,028 98.8%
------------ ------
PREFERRED STOCKS -- (0.7%)
GERMANY -- (0.7%)
Fuchs Petrolub SE............... 8,841 497,858 0.3%
Other Securities................ 826,114 0.4%
------------ ------
TOTAL GERMANY......................... 1,323,972 0.7%
------------ ------
TOTAL PREFERRED STOCKS................ 1,323,972 0.7%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
TOTAL INVESTMENT SECURITIES........... 177,001,000
------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (8.3%)
(S)@ DFA Short Term Investment Fund.. 1,392,138 16,108,429 9.1%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $157,669,292)............... $193,109,429 108.6%
============ ======
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... -- $11,874,450 -- $11,874,450
Austria..... -- 1,741,723 -- 1,741,723
Belgium..... $ 389,148 2,585,462 -- 2,974,610
Canada...... 14,889,618 -- -- 14,889,618
China....... -- 22,912 -- 22,912
Denmark..... -- 3,428,352 -- 3,428,352
Finland..... -- 4,475,968 -- 4,475,968
France...... -- 9,218,497 -- 9,218,497
23
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ ------- ------------
Germany........................ -- $ 9,788,163 -- $ 9,788,163
Hong Kong...................... -- 4,814,947 -- 4,814,947
Ireland........................ -- 837,814 -- 837,814
Israel......................... -- 1,312,581 -- 1,312,581
Italy.......................... -- 8,063,622 -- 8,063,622
Japan.......................... -- 45,721,785 -- 45,721,785
Netherlands.................... -- 5,116,771 -- 5,116,771
New Zealand.................... -- 1,537,576 -- 1,537,576
Norway......................... -- 1,552,538 -- 1,552,538
Portugal....................... -- 598,805 -- 598,805
Singapore...................... $ 19,032 2,078,369 -- 2,097,401
Spain.......................... -- 3,948,924 -- 3,948,924
Sweden......................... -- 4,786,670 -- 4,786,670
Switzerland.................... -- 7,935,761 -- 7,935,761
United Kingdom................. -- 28,937,540 -- 28,937,540
Preferred Stocks
Germany........................ -- 1,323,972 -- 1,323,972
Securities Lending Collateral... -- 16,108,429 -- 16,108,429
----------- ------------ -- ------------
TOTAL........................... $15,297,798 $177,811,631 -- $193,109,429
=========== ============ == ============
See accompanying Notes to Financial Statements.
24
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL INTERNATIONAL
U.S. LARGE CAP U.S. SMALL CAP LARGE CAP SMALL CAP
GROWTH GROWTH GROWTH GROWTH
PORTFOLIO * PORTFOLIO * PORTFOLIO * PORTFOLIO *
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $141,941, $106,349,
$23,687 and $16,412 of securities on loan,
respectively)........................................... $ 1,643,008 $ 507,705 $ 321,769 $ 177,001
Temporary Cash Investments at Value & Cost............... 20,763 -- -- --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $83,488, $76,455,
$24,501 and $16,108).................................... 83,490 76,457 24,500 16,108
Foreign Currencies at Value.............................. -- -- 306 436
Cash..................................................... -- -- 2 116
Receivables:
Investment Securities Sold............................. -- 990 -- 90
Dividends, Interest and Tax Reclaims................... 1,827 61 867 326
Securities Lending Income.............................. 33 89 8 42
Fund Shares Sold....................................... 843 299 108 160
Prepaid Expenses and Other Assets........................ 21 21 19 17
-------------- -------------- -------------- --------------
Total Assets........................................ 1,749,985 585,622 347,579 194,296
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 103,647 76,454 24,501 16,108
Investment Securities Purchased........................ -- -- 11 224
Fund Shares Redeemed................................... 730 480 163 105
Due to Advisor......................................... 226 150 65 50
Line of Credit......................................... -- 353 6 --
Accrued Expenses and Other Liabilities................... 127 48 37 39
-------------- -------------- -------------- --------------
Total Liabilities................................... 104,730 77,485 24,783 16,526
-------------- -------------- -------------- --------------
NET ASSETS............................................... $ 1,645,255 $ 508,137 $ 322,796 $ 177,770
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$1,645,255; $508,137; $322,796 and $177,770 and
shares outstanding of 90,289,421; 27,842,048;
24,821,716 and 11,230,373, respectively................. $ 18.22 $ 18.25 $ 13.00 $ 15.83
============== ============== ============== ==============
Investments at Cost...................................... $ 1,302,898 $ 397,482 $ 269,249 $ 141,561
============== ============== ============== ==============
Foreign Currencies at Cost............................... $ -- $ -- $ 314 $ 437
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 1,279,159 $ 392,686 $ 285,564 $ 137,602
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 1,424 38 572 279
Accumulated Net Realized Gain (Loss)..................... 4,392 5,188 (15,849) 4,450
Net Unrealized Foreign Exchange Gain (Loss).............. -- -- (2) --
Net Unrealized Appreciation (Depreciation)............... 360,280 110,225 52,511 35,439
-------------- -------------- -------------- --------------
NET ASSETS............................................... $ 1,645,255 $ 508,137 $ 322,796 $ 177,770
============== ============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED.......................... 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000
============== ============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
U.S. LARGE U.S. SMALL INTERNATIONAL INTERNATIONAL
CAP CAP LARGE CAP SMALL CAP
GROWTH GROWTH GROWTH GROWTH
PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
---------- ---------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $4, $0, $629 and $287,
respectively)...................................................... $ 27,114 $ 4,725 $ 6,447 $ 3,216
Non Cash Income..................................................... -- -- 384 --
Income from Securities Lending...................................... 341 446 202 353
-------- ------- ------- -------
Total Investment Income.......................................... 27,455 5,171 7,033 3,569
-------- ------- ------- -------
FUND EXPENSES
Investment Management Fees.......................................... 2,357 1,458 680 709
Accounting & Transfer Agent Fees.................................... 98 33 35 24
Custodian Fees...................................................... 18 13 50 92
Filing Fees......................................................... 109 67 55 47
Shareholders' Reports............................................... 41 18 13 8
Directors'/Trustees' Fees & Expenses................................ 13 4 3 1
Professional Fees................................................... 22 7 6 4
Other............................................................... 43 15 14 9
-------- ------- ------- -------
Total Expenses................................................... 2,701 1,615 856 894
-------- ------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)................................. 72 25 (40) (114)
Fees Paid Indirectly (Note C)....................................... -- -- (14) (5)
-------- ------- ------- -------
Net Expenses........................................................ 2,773 1,640 802 775
-------- ------- ------- -------
NET INVESTMENT INCOME (LOSS)........................................ 24,682 3,531 6,231 2,794
-------- ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................................... 8,844 5,379 699 4,663
Affiliated Investment Companies Shares Sold....................... 7 1 -- (1)
Futures........................................................... -- (27) 42 (24)
Foreign Currency Transactions..................................... -- -- (70) 30
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ 262,156 83,166 50,579 27,588
Affiliated Investment Companies Shares............................ (18) (10) (2) (2)
Translation of Foreign Currency Denominated Amounts............... -- -- 14 8
-------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 270,989 88,509 51,262 32,262
-------- ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................................... $295,671 $92,040 $57,493 $35,056
======== ======= ======= =======
----------
**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.
26
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP U.S. SMALL CAP INTERNATIONAL LARGE
GROWTH PORTFOLIO GROWTH PORTFOLIO CAP GROWTH 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)............... $ 24,682 $ 16,830 $ 3,531 $ 2,515 $ 6,231 $ 4,997
Net Realized Gain (Loss) on:
Investment Securities Sold*............... 8,844 (4,281) 5,379 2,303 699 (5,598)
Affiliated Investment Companies Shares
Sold..................................... 7 -- 1 -- -- --
Futures................................... -- (81) (27) (330) 42 239
Foreign Currency Transactions............. -- -- -- -- (70) 4
Forward Currency Contracts................ -- -- -- -- -- (1)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................. 262,156 17,925 83,166 (4,519) 50,579 (1,805)
Affiliated Investment Companies
Shares................................... (18) -- (10) -- (2) --
Translation of Foreign Currency
Denominated Amounts...................... -- -- -- -- 14 (14)
---------- ---------- -------- --------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations............... 295,671 30,393 92,040 (31) 57,493 (2,178)
---------- ---------- -------- --------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares................ (24,288) (16,719) (3,400) (2,486) (5,943) (4,712)
Net Short-Term Gains:
Institutional Class Shares................ -- -- -- (117) -- --
Net Long-Term Gains:
Institutional Class Shares................ -- (3,863) (1,839) (1,669) -- --
---------- ---------- -------- --------- -------- --------
Total Distributions...................... (24,288) (20,582) (5,239) (4,272) (5,943) (4,712)
---------- ---------- -------- --------- -------- --------
Capital Share Transactions (1):
Shares Issued.............................. 484,563 475,731 163,136 175,891 97,181 124,823
Shares Issued in Lieu of Cash
Distributions............................. 24,063 20,411 5,189 4,230 5,883 4,565
Shares Redeemed............................ (237,334) (140,910) (66,013) (108,609) (57,704) (64,741)
---------- ---------- -------- --------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions...................... 271,292 355,232 102,312 71,512 45,360 64,647
---------- ---------- -------- --------- -------- --------
Total Increase (Decrease) in Net
Assets.................................. 542,675 365,043 189,113 67,209 96,910 57,757
NET ASSETS
Beginning of Period........................ 1,102,580 737,537 319,024 251,815 225,886 168,129
---------- ---------- -------- --------- -------- --------
End of Period.............................. $1,645,255 $1,102,580 $508,137 $ 319,024 $322,796 $225,886
========== ========== ======== ========= ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.............................. 29,120 32,435 9,709 12,300 8,467 11,570
Shares Issued in Lieu of Cash
Distributions............................. 1,437 1,380 308 292 493 421
Shares Redeemed............................ (14,216) (9,629) (3,939) (7,914) (5,090) (6,067)
---------- ---------- -------- --------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed..................... 16,341 24,186 6,078 4,678 3,870 5,924
========== ========== ======== ========= ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME).......................... $ 1,424 $ 1,512 $ 38 $ 16 $ 572 $ 485
INTERNATIONAL SMALL
CAP GROWTH PORTFOLIO
------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
-------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............... $ 2,794 $ 2,174
Net Realized Gain (Loss) on:
Investment Securities Sold*............... 4,663 232
Affiliated Investment Companies Shares
Sold..................................... (1) --
Futures................................... (24) --
Foreign Currency Transactions............. 30 42
Forward Currency Contracts................ -- (2)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................. 27,588 3,240
Affiliated Investment Companies
Shares................................... (2) --
Translation of Foreign Currency
Denominated Amounts...................... 8 (8)
-------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations............... 35,056 5,678
-------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares................ (2,806) (2,089)
Net Short-Term Gains:
Institutional Class Shares................ -- --
Net Long-Term Gains:
Institutional Class Shares................ (222) (1,165)
-------- --------
Total Distributions...................... (3,028) (3,254)
-------- --------
Capital Share Transactions (1):
Shares Issued.............................. 43,796 37,416
Shares Issued in Lieu of Cash
Distributions............................. 3,000 3,232
Shares Redeemed............................ (19,751) (16,841)
-------- --------
Net Increase (Decrease) from Capital
Share Transactions...................... 27,045 23,807
-------- --------
Total Increase (Decrease) in Net
Assets.................................. 59,073 26,231
NET ASSETS
Beginning of Period........................ 118,697 92,466
-------- --------
End of Period.............................. $177,770 $118,697
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.............................. 3,116 3,034
Shares Issued in Lieu of Cash
Distributions............................. 216 262
Shares Redeemed............................ (1,456) (1,370)
-------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed..................... 1,876 1,926
======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME).......................... $ 279 $ 339
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
27
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP GROWTH PORTFOLIO
---------------------------------------------------- ---------
PERIOD
DEC. 20,
YEAR YEAR YEAR YEAR 2012(A) YEAR
ENDED ENDED ENDED ENDED TO ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013 2017
---------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 14.91 $ 14.82 $ 14.31 $ 12.56 $ 10.00 $ 14.66
---------- ---------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.30 0.27 0.26 0.23 0.16 0.14
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 3.30 0.17 0.56 1.73 2.49 3.68
---------- ---------- -------- -------- -------- --------
Total from Investment Operations..... 3.60 0.44 0.82 1.96 2.65 3.82
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.29) (0.27) (0.24) (0.21) (0.09) (0.14)
Net Realized Gains..................... -- (0.08) (0.07) -- -- (0.09)
---------- ---------- -------- -------- -------- --------
Total Distributions.................. (0.29) (0.35) (0.31) (0.21) (0.09) (0.23)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 18.22 $ 14.91 $ 14.82 $ 14.31 $ 12.56 $ 18.25
======================================= ========== ========== ======== ======== ======== ========
Total Return............................ 24.34% 3.00% 5.79% 15.70% 26.58%(C) 26.15%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $1,645,255 $1,102,580 $737,537 $508,736 $223,904 $508,137
Ratio of Expenses to Average Net Assets. 0.20% 0.20% 0.20% 0.20% 0.20%(B)(D) 0.39%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)............. 0.19% 0.20% 0.20% 0.22% 0.28%(B)(D) 0.39%
Ratio of Net Investment Income to
Average Net Assets..................... 1.78% 1.86% 1.77% 1.69% 1.59%(D) 0.85%
Portfolio Turnover Rate................. 14% 14% 15% 8% 10%(C) 27%
---------------------------------------------------------------------------------------------------------------
U.S. SMALL CAP GROWTH PORTFOLIO
---------------------------------------
PERIOD
DEC. 20,
YEAR YEAR YEAR 2012(A)
ENDED ENDED ENDED TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2016 2015 2014 2013
--------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 14.74 $ 14.30 $ 13.47 $ 10.00
-------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.14 0.10 0.09 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.02 0.51 0.93 3.44
-------- -------- -------- --------
Total from Investment Operations..... 0.16 0.61 1.02 3.51
--------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.14) (0.10) (0.09) (0.04)
Net Realized Gains..................... (0.10) (0.07) (0.10) --
-------- -------- -------- --------
Total Distributions.................. (0.24) (0.17) (0.19) (0.04)
--------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 14.66 $ 14.74 $ 14.30 $ 13.47
======================================= ======== ======== ======== ========
Total Return............................ 1.12% 4.31% 7.64% 35.17%(C)
--------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $319,024 $251,815 $181,619 $121,634
Ratio of Expenses to Average Net Assets. 0.40% 0.40% 0.40% 0.40%(B)(D)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)............. 0.39% 0.40% 0.41% 0.49%(B)(D)
Ratio of Net Investment Income to
Average Net Assets..................... 0.95% 0.70% 0.66% 0.71%(D)
Portfolio Turnover Rate................. 47% 16% 19% 25%(C)
--------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
28
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
--------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR DEC. 20,
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.... $ 10.78 $ 11.19 $ 11.68 $ 11.81 $ 10.00
-------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.27 0.27 0.28 0.31 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 2.21 (0.43) (0.43) (0.16) 1.74
-------- -------- -------- -------- -------
Total from Investment Operations..... 2.48 (0.16) (0.15) 0.15 1.98
---------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.26) (0.25) (0.27) (0.28) (0.17)
Net Realized Gains..................... -- -- (0.07) -- --
-------- -------- -------- -------- -------
Total Distributions.................. (0.26) (0.25) (0.34) (0.28) (0.17)
---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 13.00 $ 10.78 $ 11.19 $ 11.68 $ 11.81
======================================= ======== ======== ======== ======== ==========
Total Return............................ 23.23% (1.43)% (1.29)% 1.21% 19.98%(C)
---------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $322,796 $225,886 $168,129 $141,264 $46,708
Ratio of Expenses to Average Net Assets. 0.30% 0.30% 0.30% 0.30% 0.30%(B)(D)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees
Paid Indirectly)....................... 0.31% 0.33% 0.34% 0.37% 0.65%(B)(D)
Ratio of Net Investment Income to
Average Net Assets..................... 2.29% 2.47% 2.45% 2.59% 2.60%(D)
Portfolio Turnover Rate................. 21% 20% 37% 20% 3%(C)
---------------------------------------------------------------------------------------------------
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
-----------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR DEC. 20,
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.... $ 12.69 $ 12.45 $ 11.98 $ 12.22 $ 10.00
-------- -------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.28 0.25 0.28 0.25 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 3.16 0.38 0.55 (0.26) 2.13
-------- -------- ------- ------- -------
Total from Investment Operations..... 3.44 0.63 0.83 (0.01) 2.37
-----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.28) (0.24) (0.25) (0.23) (0.15)
Net Realized Gains..................... (0.02) (0.15) (0.11) -- --
-------- -------- ------- ------- -------
Total Distributions.................. (0.30) (0.39) (0.36) (0.23) (0.15)
-----------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 15.83 $ 12.69 $ 12.45 $ 11.98 $ 12.22
======================================= ======== ======== ======== ======== ==========
Total Return............................ 27.49% 5.21% 7.09% (0.18)% 23.83%(C)
-----------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $177,770 $118,697 $92,466 $65,678 $44,274
Ratio of Expenses to Average Net Assets. 0.55% 0.55% 0.55% 0.55% 0.55%(B)(D)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees
Paid Indirectly)....................... 0.63% 0.65% 0.67% 0.72% 1.00%(B)(D)
Ratio of Net Investment Income to
Average Net Assets..................... 1.97% 2.04% 2.24% 2.00% 2.50%(D)
Portfolio Turnover Rate................. 27% 29% 30% 29% 7%(C)
-----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
29
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 offers one hundred
operational portfolios, four of which, U.S. Large Cap Growth Portfolio, U.S.
Small Cap Growth Portfolio, International Large Cap Growth Portfolio and
International Small Cap Growth Portfolio (the "Portfolios"), are included in
this report. The remaining ninety-six 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."
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 U.S. Large Cap Growth Portfolio and U.S. Small Cap Growth
Portfolio (the "Domestic Equity Portfolios") and International Large Cap Growth
Portfolio and International Small Cap Growth Portfolio (the "International
Equity Portfolios"), including over-the-counter securities, are valued at the
last quoted sale price of the day. International equity securities are subject
to a fair value factor, as described later in this note. Securities held by the
Domestic Equity Portfolios and the International Equity Portfolios that are
listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If
there is no last reported sale price or NOCP for the day, the Domestic Equity
Portfolios and the International Equity Portfolios value the securities within
the range of the most recent quoted bid and asked prices. Price information on
listed securities is taken from the exchange where the security is primarily
traded. Generally, securities issued by open-end management investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities
30
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.
Futures contracts held by the Portfolios are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy.
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 Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. 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 International Equity Portfolios whose values are initially
expressed in foreign currencies are translated to U.S. dollars using the mean
between the most recent bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked-to-market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
gains or losses from the disposition of foreign currencies, currency gains or
losses realized between the trade and settlement dates on securities
transactions, and the difference between amounts of interest, dividends and any
foreign withholding taxes recorded on the books of the International Equity
Portfolios and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap
31
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.
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Expenses directly attributable
to a Portfolio are directly charged. Common expenses of the Fund or the
Portfolios are allocated using methods approved by the Board, generally based
on average net assets.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The International
Equity Portfolios accrue such taxes when the related income or capital gains
are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the 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:
U.S. Large Cap Growth Portfolio........... 0.17%
U.S. Small Cap Growth Portfolio........... 0.35%
International Large Cap Growth Portfolio.. 0.25%
International Small Cap Growth Portfolio.. 0.50%
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement") for the Portfolios, the Advisor has
contractually agreed to waive all or a portion of its management fee and assume
the ordinary operating expenses of a class of each Portfolio (excluding the
expenses that the Portfolio incurs indirectly through its investment of its
securities lending cash collateral in The DFA Short Term Investment Fund (the
"Money Market Series") and its investment in other investment companies)
("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses
of a class of each Portfolio, on an annualized basis, to the rates listed below
as a percentage of a class of the respective Portfolio's average net assets
(the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of a 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
32
and/or expenses previously assumed to the extent that such recovery will not
cause the annualized Portfolio Expenses for such class of shares of the
Portfolio to exceed the applicable Expense Limitation Amount identified below.
The Fee Waiver Agreement for the Portfolios will remain in effect through
February 28, 2018, and may only be terminated by the Fund's Board of Directors
prior to that date. The Fee Waiver Agreement shall continue in effect from year
to year thereafter unless terminated by the Fund or the Advisor.
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 Portfolios, is not obligated to reimburse the Advisor
for fees previously waived or expenses previously assumed by the Advisor more
than thirty-six months before the date of recovery.
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)
-------------------------- ---------- ---------------- ----------------- ---------------------
U.S. Large Cap Growth Portfolio........... 0.20% $83 $ 60 $(72)
U.S. Small Cap Growth Portfolio........... 0.40% 26 -- (25)
International Large Cap Growth Portfolio.. 0.30% 8 171 40
International Small Cap Growth Portfolio.. 0.55% -- 319 114
EARNED INCOME CREDIT:
In addition, the 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
----------
International Large Cap Growth Portfolio... $14
International Small Cap Growth Portfolio... 5
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 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):
U.S. Large Cap Growth Portfolio............ $14
U.S. Small Cap Growth Portfolio............ 4
International Large Cap Growth Portfolio... 3
International Small Cap Growth Portfolio... 2
33
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2017, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
PURCHASES SALES
--------- --------
U.S. Large Cap Growth Portfolio........... $472,759 $189,002
U.S. Small Cap Growth Portfolio........... 227,067 113,772
International Large Cap Growth Portfolio.. 103,182 57,781
International Small Cap Growth Portfolio.. 66,764 38,357
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 SHARES AS AFFILIATED FROM
BALANCE AT PURCHASES PROCEEDS AFFILIATED APPRECIATION/ BALANCE AT OF INVESTMENT AFFILIATED
10/31/16 AT COST FROM SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES INVESTMENT
---------- --------- ---------- ------------ ------------- ---------- --------- ----------- -------------
U.S. LARGE CAP GROWTH PORTFOLIO
DFA Short Term
Investment
Fund......... $143,831 $459,625 $499,787 $ 7 $(18) $103,658 8,958 $1,050 --
-------- -------- -------- --- ---- -------- ----- ------ --
TOTAL $143,831 $459,625 $499,787 $ 7 $(18) $103,658 8,958 $1,050 --
U.S. SMALL CAP GROWTH PORTFOLIO
DFA Short Term
Investment
Fund......... $ 92,476 $179,699 $195,709 $ 1 $(10) $ 76,457 6,608 $ 692 --
-------- -------- -------- --- ---- -------- ----- ------ --
TOTAL.......... $ 92,476 $179,699 $195,709 $ 1 $(10) $ 76,457 6,608 $ 692 --
INTERNATIONAL LARGE CAP GROWTH PORTFOLIO
DFA Short Term
Investment
Fund......... $ 14,711 $171,424 $161,633 $-- $ (2) $ 24,500 2,117 $ 199 --
-------- -------- -------- --- ---- -------- ----- ------ --
TOTAL $ 14,711 $171,424 $161,633 $-- $ (2) $ 24,500 2,117 $ 199 --
INTERNATIONAL SMALL CAP GROWTH PORTFOLIO
DFA Short Term
Investment
Fund......... $ 9,873 $ 48,034 $ 41,796 $(1) $ (2) $ 16,108 1,392 $ 152 --
-------- -------- -------- --- ---- -------- ----- ------ --
TOTAL.......... $ 9,873 $ 48,034 $ 41,796 $(1) $ (2) $ 16,108 1,392 $ 152 --
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,
34
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 net foreign currency gains/losses, and tax-equalization, were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
U.S. Large Cap Growth Portfolio........... $570 $(482) $ (88)
U.S. Small Cap Growth Portfolio........... 274 (109) (165)
International Large Cap Growth Portfolio.. 131 (201) 70
International Small Cap Growth Portfolio.. 264 (48) (216)
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
-------------- ------------- -------
U.S. Large Cap Growth Portfolio
2016..................................... $16,719 $3,863 $20,582
2017..................................... 24,288 -- 24,288
U.S. Small Cap Growth Portfolio
2016..................................... 2,602 1,669 4,271
2017..................................... 3,400 1,839 5,239
International Large Cap Growth Portfolio
2016..................................... 4,712 -- 4,712
2017..................................... 5,943 -- 5,943
International Small Cap Growth Portfolio
2016..................................... 2,089 1,165 3,254
2017..................................... 2,806 222 3,028
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
-------------- ------------- -----
U.S. Large Cap Growth Portfolio........... $(482) $ (88) $(570)
U.S. Small Cap Growth Portfolio........... (109) (165) (274)
International Large Cap Growth Portfolio.. (131) -- (131)
International Small Cap Growth Portfolio.. (102) (162) (264)
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)
-------------- ------------- ------------- -------------- -------------
U.S. Large Cap Growth Portfolio.......... $1,437 $4,401 -- $360,272 $366,110
U.S. Small Cap Growth Portfolio.......... 43 5,194 -- 110,218 115,455
International Large Cap Growth Portfolio. 603 -- $(15,671) 52,313 37,245
International Small Cap Growth Portfolio. 405 4,453 -- 35,312 40,170
35
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. 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
--------- -------
U.S. Large Cap Growth Portfolio.......... -- --
U.S. Small Cap Growth Portfolio.......... -- --
International Large Cap Growth Portfolio. $15,671 $15,671
International Small Cap Growth 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):
U.S. Large Cap Growth Portfolio.......... $4,369
International Large Cap Growth Portfolio. 784
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)
---------- ------------ ------------ --------------
U.S. Large Cap Growth Portfolio.......... $1,386,990 $385,537 $(25,266) $360,271
U.S. Small Cap Growth Portfolio.......... 473,944 120,551 (10,333) 110,218
International Large Cap Growth Portfolio. 293,956 63,110 (10,797) 52,313
International Small Cap Growth Portfolio. 157,797 40,764 (5,452) 35,312
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 each
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in any Portfolio's financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior fiscal
period remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the International Equity Portfolios may be inhibited.
36
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. 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 or indices, 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. Entering into stock index futures
subjects the Portfolios 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 foreign currency exchange contracts in order to
attempt to protect against uncertainty in the level of future foreign currency
exchange rates. The International Equity Portfolios may enter into a forward
contract in connection with the purchase or sale of foreign equity securities,
typically to "lock in" the value of the transaction with respect to a different
currency. In addition, the International Equity Portfolios may, from time to
time, enter into a forward contract to transfer balances from one currency to
another currency. The decision to hedge an International Equity Portfolio's
currency exposure with respect to a foreign market will be based primarily on
the Portfolio's existing exposure to a given foreign currency. Each contract is
valued daily and the change in value is recorded by the International Equity
Portfolio as an unrealized gain or loss, which is presented in the Statements
of Operations as the change in unrealized appreciation or depreciation from
translation of foreign-currency-denominated amounts. When the contract is
closed or offset with the same counterparty, the International Equity Portfolio
records a realized gain or loss equal to the change in the value of the
contract when it was opened and the value at the time it was closed or offset.
This is presented in the Statements of Operations as a net realized gain or
loss on foreign currency transactions. 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. 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.
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. Small Cap Growth Portfolio........... $831
International Large Cap Growth Portfolio.. 78
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 RECOGNIZED IN INCOME
--------------- -----------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
37
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2017 (amounts in
thousands):
REALIZED GAIN (LOSS)
ON DERIVATIVES
-------------------
EQUITY
TOTAL CONTRACTS*
----- ----------
U.S. Small Cap Growth Portfolio........... $(27) $(27)
International Large Cap Growth Portfolio.. 42 42
International Small Cap Growth Portfolio.. (24) (24)
* As of October 31, 2017, there were no futures or forward currency contracts
outstanding. During the year ended October 31, 2017, the Portfolios had
limited activity in futures and forward currency contracts.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar 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 Cap Growth Portfolio........... 1.80% $2,811 15 $ 2 $ 8,476
U.S. Small Cap Growth Portfolio........... 1.47% 3,318 9 1 6,023
International Large Cap Growth Portfolio.. 1.64% 2,557 25 2 10,471
International Small Cap Growth Portfolio.. 1.49% 300 25 -- 1,942
* 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.
At October 31, 2017, U.S. Small Cap Growth Portfolio and International Large
Cap Growth Portfolio had loans outstanding in the amount of $353 and $6,
respectively (amounts in thousands).
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
38
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.
I. 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 Growth Portfolio........... $56,789 $48,891 $(2,866)
U.S. Small Cap Growth Portfolio........... 43,211 45,858 (5,716)
International Large Cap Growth Portfolio.. 13,033 6,287 (173)
International Small Cap Growth Portfolio.. 5,759 5,453 135
J. 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 Growth Portfolio........... $61,509
U.S. Small Cap Growth Portfolio........... 31,682
International Large Cap Growth Portfolio.. 118
International Small Cap Growth Portfolio.. 1,200
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
Portfolios' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, each 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
39
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.
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 <