================================================================================
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 811-6067
-----------------
DIMENSIONAL INVESTMENT 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
DIMENSIONAL INVESTMENT GROUP INC.,
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(NAME AND ADDRESS OF AGENT FOR SERVICE)
-----------------
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400
DATE OF FISCAL YEAR END: OCTOBER 31
DATE OF REPORTING PERIOD: 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+
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(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+
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(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
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO II
DFA INTERNATIONAL VALUE PORTFOLIO II
[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.................................... 3
Disclosure of Fund Expenses............................................. 6
Disclosure of Portfolio Holdings........................................ 8
Schedules of Investments
U.S. Large Cap Value Portfolio II................................... 9
DFA International Value Portfolio II................................ 9
Statements of Assets and Liabilities.................................... 10
Statements of Operations................................................ 11
Statements of Changes in Net Assets..................................... 12
Financial Highlights.................................................... 13
Notes to Financial Statements........................................... 14
Report of Independent Registered Public Accounting Firm................. 21
THE DFA INVESTMENT TRUST COMPANY
Performance Charts...................................................... 22
Management's Discussion and Analysis.................................... 23
Disclosure of Fund Expenses............................................. 26
Disclosure of Portfolio Holdings........................................ 28
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series..................................... 29
The DFA International Value Series.................................. 32
Statements of Assets and Liabilities.................................... 36
Statements of Operations................................................ 37
Statements of Changes in Net Assets..................................... 38
Financial Highlights.................................................... 39
Notes to Financial Statements........................................... 40
Report of Independent Registered Public Accounting Firm................. 49
FUND MANAGEMENT............................................................ 50
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................................ 57
NOTICE TO SHAREHOLDERS..................................................... 58
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
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)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO II VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Large Cap Value Portfolio II Russell 1000/R/ Value Index
--------------------------------- ----------------------------
10/31/2007 $10,000 $10,000
11/30/2007 $9,443 $9,511
12/31/2007 $9,408 $9,419
1/31/2008 $9,048 $9,042
2/29/2008 $8,772 $8,663
3/31/2008 $8,687 $8,598
4/30/2008 $9,237 $9,017
5/31/2008 $9,457 $9,003
6/30/2008 $8,419 $8,141
7/31/2008 $8,326 $8,112
8/31/2008 $8,490 $8,250
9/30/2008 $7,728 $7,644
10/31/2008 $5,987 $6,320
11/30/2008 $5,401 $5,867
12/31/2008 $5,574 $5,949
1/31/2009 $4,910 $5,265
2/28/2009 $4,220 $4,561
3/31/2009 $4,638 $4,951
4/30/2009 $5,392 $5,482
5/31/2009 $5,808 $5,821
6/30/2009 $5,734 $5,778
7/31/2009 $6,276 $6,251
8/31/2009 $6,702 $6,578
9/30/2009 $6,995 $6,832
10/31/2009 $6,693 $6,623
11/30/2009 $7,067 $6,996
12/31/2009 $7,267 $7,120
1/31/2010 $7,097 $6,920
2/28/2010 $7,401 $7,138
3/31/2010 $7,976 $7,603
4/30/2010 $8,228 $7,800
5/31/2010 $7,528 $7,158
6/30/2010 $6,953 $6,755
7/31/2010 $7,503 $7,213
8/31/2010 $7,044 $6,904
9/30/2010 $7,741 $7,440
10/31/2010 $8,022 $7,663
11/30/2010 $7,959 $7,622
12/31/2010 $8,736 $8,224
1/31/2011 $9,019 $8,410
2/28/2011 $9,502 $8,720
3/31/2011 $9,548 $8,755
4/30/2011 $9,786 $8,988
5/31/2011 $9,649 $8,893
6/30/2011 $9,484 $8,711
7/31/2011 $9,043 $8,422
8/31/2011 $8,280 $7,896
9/30/2011 $7,445 $7,299
10/31/2011 $8,479 $8,135
11/30/2011 $8,405 $8,093
12/31/2011 $8,470 $8,256
1/31/2012 $8,889 $8,568
2/29/2012 $9,401 $8,910
3/31/2012 $9,581 $9,174
4/30/2012 $9,385 $9,081
5/31/2012 $8,713 $8,548
6/30/2012 $9,182 $8,972
7/31/2012 $9,276 $9,065
8/31/2012 $9,642 $9,262
9/30/2012 $9,999 $9,556
10/31/2012 $10,017 $9,509
11/30/2012 $10,046 $9,505
12/31/2012 $10,352 $9,702
1/31/2013 $11,065 $10,332
2/28/2013 $11,207 $10,480
3/31/2013 $11,749 $10,896
4/30/2013 $11,873 $11,060
5/31/2013 $12,360 $11,344
6/30/2013 $12,221 $11,244
7/31/2013 $12,949 $11,851
8/31/2013 $12,566 $11,402
9/30/2013 $12,939 $11,687
10/31/2013 $13,593 $12,199
11/30/2013 $14,161 $12,540
12/31/2013 $14,537 $12,857
1/31/2014 $13,966 $12,401
2/28/2014 $14,440 $12,937
3/31/2014 $14,773 $13,246
4/30/2014 $14,870 $13,372
5/31/2014 $15,200 $13,567
6/30/2014 $15,608 $13,922
7/31/2014 $15,501 $13,685
8/31/2014 $15,988 $14,187
9/30/2014 $15,596 $13,895
10/31/2014 $15,713 $14,207
11/30/2014 $15,899 $14,498
12/31/2014 $16,024 $14,587
1/31/2015 $15,225 $14,004
2/28/2015 $16,300 $14,681
3/31/2015 $15,992 $14,482
4/30/2015 $16,319 $14,617
5/31/2015 $16,497 $14,793
6/30/2015 $16,234 $14,497
7/31/2015 $16,184 $14,561
8/31/2015 $15,209 $13,694
9/30/2015 $14,720 $13,280
10/31/2015 $15,922 $14,282
11/30/2015 $15,982 $14,337
12/31/2015 $15,477 $14,029
1/31/2016 $14,428 $13,304
2/29/2016 $14,448 $13,300
3/31/2016 $15,504 $14,258
4/30/2016 $15,921 $14,558
5/31/2016 $16,134 $14,784
6/30/2016 $16,123 $14,912
7/31/2016 $16,675 $15,345
8/31/2016 $16,869 $15,463
9/30/2016 $16,954 $15,431
10/31/2016 $16,667 $15,192
11/30/2016 $17,970 $16,060
12/31/2016 $18,425 $16,461
1/31/2017 $18,691 $16,578
2/28/2017 $19,254 $17,174
3/31/2017 $19,078 $16,999
4/30/2017 $19,206 $16,967
5/31/2017 $19,185 $16,951
6/30/2017 $19,507 $17,228
7/31/2017 $19,840 $17,457 Past performance is not predictive of
8/31/2017 $19,658 $17,253 future performance.
9/30/2017 $20,421 $17,764 The returns shown do not reflect the
10/31/2017 $20,712 $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
24.27% 15.64% 7.55% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO II VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA International MSCI World ex USA Index
Value Portfolio II (net dividends)
-------------------- -------------------------
10/31/2007 $10,000 $10,000
11/30/2007 $9,394 $9,609
12/31/2007 $9,191 $9,428
1/31/2008 $8,445 $8,578
2/29/2008 $8,339 $8,734
3/31/2008 $8,436 $8,609
4/30/2008 $8,812 $9,088
5/31/2008 $8,816 $9,225
6/30/2008 $7,946 $8,508
7/31/2008 $7,720 $8,205
8/31/2008 $7,398 $7,888
9/30/2008 $6,531 $6,749
10/31/2008 $4,892 $5,345
11/30/2008 $4,592 $5,055
12/31/2008 $4,944 $5,322
1/31/2009 $4,253 $4,825
2/28/2009 $3,729 $4,337
3/31/2009 $4,137 $4,623
4/30/2009 $4,903 $5,219
5/31/2009 $5,628 $5,879
6/30/2009 $5,546 $5,818
7/31/2009 $6,207 $6,364
8/31/2009 $6,559 $6,669
9/30/2009 $6,899 $6,944
10/31/2009 $6,621 $6,833
11/30/2009 $6,813 $7,002
12/31/2009 $6,899 $7,113
1/31/2010 $6,497 $6,780
2/28/2010 $6,518 $6,773
3/31/2010 $7,037 $7,209
4/30/2010 $6,917 $7,102
5/31/2010 $6,101 $6,318
6/30/2010 $5,991 $6,227
7/31/2010 $6,742 $6,802
8/31/2010 $6,411 $6,599
9/30/2010 $7,106 $7,232
10/31/2010 $7,351 $7,489
11/30/2010 $6,984 $7,172
12/31/2010 $7,632 $7,750
1/31/2011 $7,963 $7,917
2/28/2011 $8,224 $8,210
3/31/2011 $8,000 $8,046
4/30/2011 $8,427 $8,484
5/31/2011 $8,118 $8,232
6/30/2011 $8,007 $8,115
7/31/2011 $7,754 $7,981
8/31/2011 $6,920 $7,307
9/30/2011 $6,169 $6,573
10/31/2011 $6,753 $7,212
11/30/2011 $6,534 $6,879
12/31/2011 $6,352 $6,804
1/31/2012 $6,782 $7,171
2/29/2012 $7,133 $7,565
3/31/2012 $7,082 $7,509
4/30/2012 $6,835 $7,382
5/31/2012 $5,987 $6,540
6/30/2012 $6,404 $6,969
7/31/2012 $6,377 $7,056
8/31/2012 $6,643 $7,257
9/30/2012 $6,880 $7,477
10/31/2012 $6,974 $7,530
11/30/2012 $7,081 $7,688
12/31/2012 $7,419 $7,920
1/31/2013 $7,768 $8,310
2/28/2013 $7,535 $8,227
3/31/2013 $7,562 $8,292
4/30/2013 $7,941 $8,670
5/31/2013 $7,839 $8,476
6/30/2013 $7,565 $8,158
7/31/2013 $8,085 $8,592
8/31/2013 $8,025 $8,482
9/30/2013 $8,629 $9,081
10/31/2013 $8,928 $9,386
11/30/2013 $8,957 $9,443
12/31/2013 $9,151 $9,586
1/31/2014 $8,821 $9,199
2/28/2014 $9,324 $9,701
3/31/2014 $9,253 $9,657
4/30/2014 $9,412 $9,809
5/31/2014 $9,524 $9,961
6/30/2014 $9,635 $10,103
7/31/2014 $9,423 $9,923
8/31/2014 $9,423 $9,931
9/30/2014 $9,013 $9,523
10/31/2014 $8,850 $9,371
11/30/2014 $8,866 $9,487
12/31/2014 $8,532 $9,171
1/31/2015 $8,481 $9,139
2/28/2015 $9,087 $9,685
3/31/2015 $8,885 $9,523
4/30/2015 $9,373 $9,935
5/31/2015 $9,373 $9,849
6/30/2015 $9,111 $9,569
7/31/2015 $9,026 $9,721
8/31/2015 $8,358 $9,013
9/30/2015 $7,782 $8,558
10/31/2015 $8,384 $9,201
11/30/2015 $8,264 $9,055
12/31/2015 $8,010 $8,893
1/31/2016 $7,383 $8,280
2/29/2016 $7,150 $8,165
3/31/2016 $7,687 $8,719
4/30/2016 $8,065 $8,999
5/31/2016 $7,903 $8,898
6/30/2016 $7,614 $8,627
7/31/2016 $7,962 $9,052
8/31/2016 $8,164 $9,060
9/30/2016 $8,255 $9,170
10/31/2016 $8,403 $8,992
11/30/2016 $8,440 $8,848
12/31/2016 $8,709 $9,137
1/31/2017 $9,080 $9,409
2/28/2017 $9,022 $9,517
3/31/2017 $9,217 $9,759
4/30/2017 $9,354 $9,967
5/31/2017 $9,510 $10,299
6/30/2017 $9,606 $10,308
7/31/2017 $10,060 $10,615 Past performance is not predictive of
8/31/2017 $10,060 $10,613 future performance.
9/30/2017 $10,410 $10,888 The returns shown do not reflect the
10/31/2017 $10,609 $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
26.25% 8.75% 0.59% rights reserved.
--------------------------------------------------------------------------------
2
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
generally 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 PORTFOLIO II
The U.S. Large Cap Value Portfolio II 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 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.27% 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 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.
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
--------------------------------
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%
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.
4
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 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.
DFA INTERNATIONAL VALUE PORTFOLIO II
The DFA International Value Portfolio II 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 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 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 26.25% 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 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 also had a positive impact on relative performance, as REITs
and utilities underperformed the benchmark.
5
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*
--------- --------- ---------- --------
U.S. LARGE CAP VALUE PORTFOLIO II**
-----------------------------------
Actual Fund Return.................. $1,000.00 $1,078.40 0.14% $0.73
Hypothetical 5% Annual Return....... $1,000.00 $1,024.50 0.14% $0.71
6
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 INTERNATIONAL VALUE PORTFOLIO II**
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,134.20 0.36% $1.94
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.39 0.36% $1.84
----------
* 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).
7
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 of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
U.S. Large Cap Value Portfolio II.... 100.0%
DFA International Value Portfolio II. 100.0%
8
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
U.S. LARGE CAP VALUE PORTFOLIO II
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $176,783,426
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $176,783,426
============
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).
DFA INTERNATIONAL VALUE PORTFOLIO II
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $13,206,984
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $13,206,984
===========
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.
9
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 CAP INTERNATIONAL
VALUE PORTFOLIO II VALUE PORTFOLIO II
------------------ ------------------
ASSETS:
Investments in Affiliated Investment Company at Value.......................... $ 176,783 $ 13,207
Receivables:
Fund Shares Sold............................................................. 83 --
Prepaid Expenses and Other Assets.............................................. 10 7
------------ ------------
Total Assets.............................................................. 176,876 13,214
------------ ------------
LIABILITIES:
Payables:
Due to Advisor............................................................... 1 --
Accrued Expenses and Other Liabilities......................................... 10 7
------------ ------------
Total Liabilities......................................................... 11 7
------------ ------------
NET ASSETS..................................................................... $ 176,865 $ 13,207
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................................ 9,216,421 2,469,527
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE....................... $ 19.19 $ 5.35
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................ $ 85,983 $ 14,735
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... 347 39
Accumulated Net Realized Gain (Loss)........................................... 13,602 (541)
Net Unrealized Foreign Exchange Gain (Loss).................................... -- (8)
Net Unrealized Appreciation (Depreciation)..................................... 76,933 (1,018)
------------ ------------
NET ASSETS..................................................................... $ 176,865 $ 13,207
============ ============
(1) NUMBER OF SHARES AUTHORIZED................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
DFA
U.S. LARGE INTERNATIONAL
CAP VALUE VALUE
PORTFOLIO II*# PORTFOLIO II*#
-------------- --------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0 and $35, respectively)........... $ 3,885 $ 428
Income from Securities Lending.................................................. 19 11
Expenses Allocated from Affiliated Investment Company........................... (187) (26)
------- ------
Total Investment Income........................................................ 3,717 413
------- ------
FUND EXPENSES
Investment Management Fees........................................................ 187 26
Accounting & Transfer Agent Fees.................................................. 4 3
Filing Fees....................................................................... 20 18
Shareholders' Reports............................................................. 9 1
Directors'/Trustees' Fees & Expenses.............................................. 2 --
Legal Fees........................................................................ 3 --
Other............................................................................. 2 3
------- ------
Total Expenses................................................................. 227 51
------- ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor (Note C)................................................................. (170) (25)
------- ------
Net Expenses...................................................................... 57 26
------- ------
NET INVESTMENT INCOME (LOSS)...................................................... 3,660 387
------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................... 13,422 2,294
Futures......................................................................... 155 18
Foreign Currency Transactions................................................... -- (3)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................... 18,516 397
Futures......................................................................... 29 (163)
Translation of Foreign Currency Denominated Amounts............................. -- 1
------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................... 32,122 2,544
------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... $35,782 $2,931
======= ======
----------
* 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.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP VALUE DFA INTERNATIONAL VALUE
PORTFOLIO II PORTFOLIO II
------------------ ----------------------
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).......................................... $ 3,660 $ 3,565 $ 387 $ 3,694
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 13,422 6,535 2,294 (2,900)
Futures............................................................. 155 163 18 83
Foreign Currency Transactions....................................... -- -- (3) 67
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 18,516 (3,496) 397 (1,334)
Futures............................................................. 29 (27) (163) (25)
Translation of Foreign Currency Denominated Amounts................. -- -- 1 (9)
-------- -------- ------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 35,782 6,740 2,931 (424)
-------- -------- ------- ---------
Distributions From:
Net Investment Income................................................. (3,645) (3,716) (870) (3,722)
Net Long-Term Gains................................................... (4,824) -- -- (3,128)
-------- -------- ------- ---------
Total Distributions................................................ (8,469) (3,716) (870) (6,850)
-------- -------- ------- ---------
Capital Share Transactions (1):
Shares Issued......................................................... 16,134 12,608 248 10,487
Shares Issued in Lieu of Cash Distributions........................... 8,469 3,716 870 6,850
Shares Redeemed....................................................... (26,222) (25,914) (2,033) (108,370)
-------- -------- ------- ---------
Net Increase (Decrease) from Capital Share Transactions............ (1,619) (9,590) (915) (91,033)
-------- -------- ------- ---------
Total Increase (Decrease) in Net Assets............................ 25,694 (6,566) 1,146 (98,307)
NET ASSETS
Beginning of Year..................................................... 151,171 157,737 12,061 110,368
-------- -------- ------- ---------
End of Year........................................................... $176,865 $151,171 $13,207 $ 12,061
======== ======== ======= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 896 816 52 2,421
Shares Issued in Lieu of Cash Distributions........................... 477 238 190 1,578
Shares Redeemed....................................................... (1,466) (1,669) (419) (24,035)
-------- -------- ------- ---------
Net Increase (Decrease) from Shares Issued and Redeemed............ (93) (615) (177) (20,036)
======== ======== ======= =========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)..................................................... $ 347 $ 330 $ 39 $ 531
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO II
------------------------------------------------
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.......................................... $ 16.24 $ 15.90 $ 16.04 $ 14.13 $ 10.62
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.39 0.37 0.35 0.28 0.24
Net Gains (Losses) on Securities (Realized and Unrealized)................ 3.47 0.36 (0.15) 1.91 3.51
-------- -------- -------- -------- --------
Total from Investment Operations......................................... 3.86 0.73 0.20 2.19 3.75
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.39) (0.39) (0.34) (0.28) (0.24)
Net Realized Gains........................................................ (0.52) -- -- -- --
-------- -------- -------- -------- --------
Total Distributions...................................................... (0.91) (0.39) (0.34) (0.28) (0.24)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 19.19 $ 16.24 $ 15.90 $ 16.04 $ 14.13
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 24.27% 4.68% 1.33% 15.59% 35.70%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $176,865 $151,171 $157,737 $174,103 $155,709
Ratio of Expenses to Average Net Assets (B)................................. 0.14% 0.15% 0.15% 0.16% 0.17%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.24% 0.25% 0.18% 0.16% 0.17%
Ratio of Net Investment Income to Average Net Assets (B).................... 2.16% 2.37% 2.16% 1.86% 1.93%
-------------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO II
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................................... $ 4.56 $ 4.87 $ 5.42 $ 5.99 $ 5.21
------- ------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.15 0.16 0.17 0.26 0.17
Net Gains (Losses) on Securities (Realized and Unrealized)................ 0.98 (0.17) (0.45) (0.30) 1.17
------- ------- -------- -------- --------
Total from Investment Operations......................................... 1.13 (0.01) (0.28) (0.04) 1.34
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.34) (0.16) (0.16) (0.26) (0.18)
Net Realized Gains........................................................ -- (0.14) (0.11) (0.27) (0.38)
------- ------- -------- -------- --------
Total Distributions...................................................... (0.34) (0.30) (0.27) (0.53) (0.56)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................ $ 5.35 $ 4.56 $ 4.87 $ 5.42 $ 5.99
============================================================================ ======== ======== ======== ======== ========
Total Return................................................................ 26.25% 0.22% (5.26)% (0.87)% 28.01%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $13,207 $12,061 $110,368 $110,059 $113,231
Ratio of Expenses to Average Net Assets (B)................................. 0.42% 0.27% 0.27% 0.28% 0.29%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)....... 0.62% 0.47% 0.32% 0.28% 0.29%
Ratio of Net Investment Income to Average Net Assets (B).................... 3.12% 3.66% 3.26% 4.47% 3.08%
------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
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 offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fourteen portfolios, two
of which, U.S. Large Cap Value Portfolio II and DFA International Value
Portfolio II (the "Portfolios"), are presented in this report. The remaining
portfolios are presented in separate reports. The Portfolios are investment
companies, and accordingly, follow the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
U.S. Large Cap Value Portfolio II and DFA International Value Portfolio II
primarily invest their assets in The U.S. Large Cap Value Series and The DFA
International Value Series (the "Series"), respectively, each a corresponding
series of The DFA Investment Trust Company. At October 31, 2017, U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II owned 1% and less
than 1% of their respective Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolios.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
14
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 Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
is treated as a partnership for federal income tax purposes. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
During the year ended October 31, 2017, the U.S. Large Cap Value Portfolio
II's and DFA International Value Portfolio II's investment management fees were
accrued daily and paid monthly to the Advisor based on effective annual rates
of 0.11% and 0.21%, respectively, of each Portfolio's average daily net assets.
Waived fees/expenses assumed during the year ended October 31, 2017 are
reflected below (amounts in thousands).
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of each Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by a
Portfolio, including the proportionate share of the management fees a Portfolio
pays indirectly through its investment in other funds managed by the Advisor,
to the rates listed below as a percentage of the average net assets of a class
of a Portfolio on an annualized basis. The Fee Waiver Agreement will remain in
effect permanently, unless terminated by the Fund.
PREVIOUSLY 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 Value Portfolio II.... 0.11% -- -- $170
DFA International Value Portfolio II. 0.21% -- -- 25
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.
15
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 Value Portfolio II................. $7
DFA International Value Portfolio II.............. 6
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
U.S. Large Cap Value Portfolio II.... -- $ 2 $(2)
DFA International Value Portfolio II. -- (9) 9
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
-------------- ------------- ---------- ------
U.S. Large Cap Value Portfolio II
2016................................. $3,716 -- -- $3,716
2017................................. 3,640 $4,829 -- 8,469
DFA International Value Portfolio II
2016................................. 3,723 3,127 -- 6,850
2017................................. 870 -- -- 870
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 Value Portfolio II..... $1,165 $12,879 -- $76,848 $90,892
DFA International Value Portfolio II*. 170 568 $(808) (1,450) (1,520)
* The use of capital losses may be restricted by Section 382 or tax rules in
the internal revenue code.
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
16
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. Large Cap Value Portfolio II.... -- --
DFA International Value Portfolio II. $(808) $(808)
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 II. $1,809
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 Value Portfolio II.... $99,936 $76,848 -- $76,848
DFA International Value Portfolio II. 14,657 703 $(2,153) (1,450)
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.
F. 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.
17
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
--------------- --------------------------------------
Equity Contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
The following is a summary of 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
--------------------------
EQUITY
TOTAL CONTRACTS*(1)
----- -------------
U.S. Large Cap Value Portfolio II....... $ 155 $ 155
DFA International Value Portfolio II.... 18 18
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
--------------------------
EQUITY
TOTAL CONTRACTS
----- -------------
U.S. Large Cap Value Portfolio II....... $ 29 $ 29
DFA International Value Portfolio II.... (163) (163)
* 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.
(1)The amount listed reflects allocated derivatives activity from the Master
Fund.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 2017.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
18
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. 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.
J. 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
------------ --------------
U.S. Large Cap Value Portfolio II.... 2 100%
DFA International Value Portfolio II. 1 100%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune
MDL includes a series of lawsuits brought by individual creditors of Tribune
(the "Individual Creditor Actions") and a lawsuit brought by a court-appointed
trustee (the "Trustee") on behalf of the committee of unsecured creditors of
Tribune (the "Committee Action," and with the Individual Creditor Actions,
collectively referred to as the "Lawsuits"). The Lawsuits seek to unwind the
LBO stock repurchases as fraudulent transfers and recover the stock repurchase
proceeds paid to the Tribune shareholders who participated in the LBO. On
September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs lack standing to pursue their claims. The parties appealed the
Court's dismissal order to the United States Court of Appeals for the Second
Circuit (the "Second Circuit"), and, on March 29, 2016, the Second Circuit
affirmed the dismissal, albeit on the grounds that the individual creditor
plaintiffs' claims are preempted by the Bankruptcy Code's safe harbor for
securities transactions. The individual creditor plaintiffs have petitioned the
Supreme Court of the United States to review the Second Circuit's ruling, and
that petition is pending. On January 6, 2017, the Court granted the shareholder
defendant's motion to dismiss the claims against them in the Committee Action.
The Trustee requested that the Court certify the dismissal order for appeal to
the Second Circuit, and the District Court advised that it will certify the
dismissal order for appeal after it rules on the additional pending motions to
dismiss (not involving the shareholder defendants).
19
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.
K. SUBSEQUENT EVENT EVALUATIONS:
The Board of Directors of the Fund, on behalf of the DFA International Value
Portfolio II (the "International Portfolio II"), approved an Agreement and Plan
of Reorganization, under which the International Portfolio II will be
reorganized with and into the DFA International Value Portfolio III (the
"International Portfolio III"), another portfolio of the Fund (the
"Reorganization"). The International Portfolio II 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. Management has evaluated the impact of all
subsequent events on the U.S. Large Cap Value Portfolio II 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.
20
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 U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II (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 transfer agent of the investee funds, provide a
reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
21
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 Value Series Russell 1000/R/ Value 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.
--------------------------------------------------------------------------------
22
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.
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
Fund's 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.
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%
23
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%
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 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
24
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.
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.
25
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
26
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 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.
27
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%
28
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%
29
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Pfizer, Inc................................................... 16,341,666 $ 572,938,810 2.1%
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%
=============== ======
30
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.
31
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%
-------------- ----
32
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%
33
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
============ ============ ==========
34
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.
35
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.
36
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.
37
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.
38
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 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................. 0.22% 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.
39
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 operational portfolios, two of which, The U.S. Large
Cap Value Series and The DFA International Value Series (the "Series"), are
presented in this report. The remaining portfolios are presented in separate
reports. The Series are investment companies, and accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 2:00 a.m. ET), which is fourteen hours before the close of
40
the NYSE (normally, 4:00 p.m. ET) and the time that the net asset value of the
International Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the time the
International Series prices its shares at the close of the NYSE, the
International Series will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). When the
International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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 currency rates when determining the realized gain or loss upon the sale
or maturity of foreign currency denominated debt obligations pursuant to U.S.
Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
41
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, 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, 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
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.
42
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 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 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 --
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 and investments in passive foreign investment companies.
43
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 Series' tax positions and has concluded that no additional provision for
income tax is required in any of the Series' financial statements. No Series is
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Series' federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The International Series may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk).
The decision to hedge an International Series' currency exposure with
respect to a foreign market will be based primarily on the Series' existing
exposure to a given foreign currency. Each contract is valued daily and the
change in value is recorded by the Series as an unrealized gain or loss, which
is presented in the Statement of Operations as the change in unrealized
appreciation or depreciation from translation of foreign-currency-denominated
amounts. When the contract is closed or offset with the same counterparty, the
Series records a realized gain or loss equal to the change in the value of the
contract when it was opened and the value at the time it was closed or offset.
This is presented in the Statement of Operations as a net realized gain or loss
on foreign currency transactions. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value of foreign
currency relative to the U.S. dollar.
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, 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
44
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.
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 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
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Series' Statements of
Operations of realized and change in unrealized gains and losses from the
Series' derivative investment holdings for the 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 through 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
45
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
There were no borrowings by the Series under the lines of credit during the
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):
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
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. 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.
Treasuries and U.S. government agency
46
securities with a market value of $1,023,222 and 124,520, respectively (in
thousands). 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 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
47
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:
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.
48
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
49
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.
50
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
-------------------------------------------------------------------------------------------------------------------------
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 Business DEM DFAITC-Since 1988). Visiting Scholar,
5807 S. Woodlawn June 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 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).
-------------------------------------------------------------------------------------------------------------------------
51
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
------------------------------------------------------------------------------------------------------------------------------
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.
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, Formerly, Director,
Road, Building One DEM 1992 Emeritus, Graduate School of American Century
Austin, TX 78746 DEM-Since 1993 Business, Stanford University Fund Complex
1941 (since 1981). (registered
investment
companies) (43
Portfolios) (1980-
2014).
------------------------------------------------------------------------------------------------------------------------------
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).
52
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 1992 Co-Chief Executive Officer companies
Austin, TX 78746 Trustee of DFAITC-Since (each until March 2017) of
1946 DFAITC and 1992 Dimensional Emerging
DEM DEM-Since 1993 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.
53
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
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.
54
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 Treasurer
1958 Financial Officer, and of 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 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 and
1964 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.
55
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).
56
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.
57
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
DIMENSIONAL INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX SOURCE
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) CREDIT (3) INCOME (4)
---------------------- ------------- ------------- ------------- ------------- ------------- ---------- ---------- ----------
U.S. Large Cap Value
Portfolio II.......... 43% -- 57% 100% 100% 100% -- 6%
DFA International
Value Portfolio II.... 100% -- -- 100% 100% 100% 5% 100%
QUALIFYING
SHORT-
QUALIFYING TERM
DIMENSIONAL INVESTMENT INTEREST CAPITAL
GROUP INC. INCOME (5) GAIN (6)
---------------------- ---------- ----------
U.S. Large Cap Value
Portfolio II.......... 100% 100%
DFA International
Value Portfolio II.... 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).
58
DFA103117-009A
[LOGO] 00202781
[LOGO]
Annual Report
YEAR ENDED: OCTOBER 31, 2017
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO III
U.S. LARGE CAP VALUE PORTFOLIO III
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
[LOGO]
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
DFA International Value Portfolio III............... 10
U.S. Large Cap Value Portfolio III.................. 10
Tax-Managed U.S. Marketwide Value Portfolio II...... 10
Statements of Assets and Liabilities.................... 11
Statements of Operations................................ 12
Statements of Changes in Net Assets..................... 13
Financial Highlights.................................... 15
Notes to Financial Statements........................... 17
Report of Independent Registered Public Accounting Firm. 25
THE DFA INVESTMENT TRUST COMPANY
Performance Charts...................................... 26
Management's Discussion and Analysis.................... 28
Disclosure of Fund Expenses............................. 31
Disclosure of Portfolio Holdings........................ 33
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series..................... 34
The DFA International Value Series.................. 37
The Tax-Managed U.S. Marketwide Value Series........ 41
Statements of Assets and Liabilities.................... 44
Statements of Operations................................ 45
Statements of Changes in Net Assets..................... 46
Financial Highlights.................................... 47
Notes to Financial Statements........................... 48
Report of Independent Registered Public Accounting Firm. 58
FUND MANAGEMENT............................................ 59
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................ 66
NOTICE TO SHAREHOLDERS..................................... 67
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
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)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO III VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
DFA International MSCI World ex USA
Value Portfolio III Index (net dividends)
--------------------- ---------------------
10/31/2007 $10,000 $10,000
11/30/2007 $9,394 $9,609
12/31/2007 $9,189 $9,428
1/31/2008 $8,446 $8,578
2/29/2008 $8,337 $8,734
3/31/2008 $8,438 $8,609
4/30/2008 $8,814 $9,088
5/31/2008 $8,818 $9,225
6/30/2008 $7,947 $8,508
7/31/2008 $7,723 $8,205
8/31/2008 $7,400 $7,888
9/30/2008 $6,532 $6,749
10/31/2008 $4,897 $5,345
11/30/2008 $4,593 $5,055
12/31/2008 $4,942 $5,322
1/31/2009 $4,262 $4,825
2/28/2009 $3,736 $4,337
3/31/2009 $4,143 $4,623
4/30/2009 $4,906 $5,219
5/31/2009 $5,636 $5,879
6/30/2009 $5,553 $5,818
7/31/2009 $6,208 $6,364
8/31/2009 $6,564 $6,669
9/30/2009 $6,904 $6,944
10/31/2009 $6,629 $6,833
11/30/2009 $6,822 $7,002
12/31/2009 $6,901 $7,113
1/31/2010 $6,503 $6,780
2/28/2010 $6,525 $6,773
3/31/2010 $7,043 $7,209
4/30/2010 $6,922 $7,102
5/31/2010 $6,112 $6,318
6/30/2010 $6,004 $6,227
7/31/2010 $6,756 $6,802
8/31/2010 $6,426 $6,599
9/30/2010 $7,114 $7,232
10/31/2010 $7,361 $7,489
11/30/2010 $6,990 $7,172
12/31/2010 $7,644 $7,750
1/31/2011 $7,973 $7,917
2/28/2011 $8,235 $8,210
3/31/2011 $8,011 $8,046
4/30/2011 $8,435 $8,484
5/31/2011 $8,132 $8,232
6/30/2011 $8,019 $8,115
7/31/2011 $7,764 $7,981
8/31/2011 $6,929 $7,307
9/30/2011 $6,174 $6,573
10/31/2011 $6,768 $7,212
11/30/2011 $6,544 $6,879
12/31/2011 $6,369 $6,804
1/31/2012 $6,799 $7,171
2/29/2012 $7,150 $7,565
3/31/2012 $7,096 $7,509
4/30/2012 $6,841 $7,382
5/31/2012 $5,993 $6,540
6/30/2012 $6,420 $6,969
7/31/2012 $6,392 $7,056
8/31/2012 $6,657 $7,257
9/30/2012 $6,895 $7,477
10/31/2012 $6,981 $7,530
11/30/2012 $7,090 $7,688
12/31/2012 $7,439 $7,920
1/31/2013 $7,791 $8,310
2/28/2013 $7,556 $8,227
3/31/2013 $7,582 $8,292
4/30/2013 $7,954 $8,670
5/31/2013 $7,856 $8,476
6/30/2013 $7,583 $8,158
7/31/2013 $8,098 $8,592
8/31/2013 $8,043 $8,482
9/30/2013 $8,650 $9,081
10/31/2013 $8,946 $9,386
11/30/2013 $8,981 $9,443
12/31/2013 $9,178 $9,586
1/31/2014 $8,841 $9,199
2/28/2014 $9,346 $9,701
3/31/2014 $9,280 $9,657
4/30/2014 $9,440 $9,809
5/31/2014 $9,542 $9,961
6/30/2014 $9,662 $10,103
7/31/2014 $9,445 $9,923
8/31/2014 $9,450 $9,931
9/30/2014 $9,039 $9,523
10/31/2014 $8,881 $9,371
11/30/2014 $8,886 $9,487
12/31/2014 $8,551 $9,171
1/31/2015 $8,495 $9,139
2/28/2015 $9,106 $9,685
3/31/2015 $8,916 $9,523
4/30/2015 $9,403 $9,935
5/31/2015 $9,409 $9,849
6/30/2015 $9,135 $9,569
7/31/2015 $9,049 $9,721
8/31/2015 $8,376 $9,013
9/30/2015 $7,804 $8,558
10/31/2015 $8,400 $9,201
11/30/2015 $8,291 $9,055
12/31/2015 $8,026 $8,893
1/31/2016 $7,399 $8,280
2/29/2016 $7,163 $8,165
3/31/2016 $7,709 $8,719
4/30/2016 $8,083 $8,999
5/31/2016 $7,929 $8,898
6/30/2016 $7,644 $8,627
7/31/2016 $7,982 $9,052
8/31/2016 $8,194 $9,060
9/30/2016 $8,283 $9,170
10/31/2016 $8,393 $8,992
11/30/2016 $8,435 $8,848
12/31/2016 $8,714 $9,137
1/31/2017 $9,088 $9,409
2/28/2017 $9,021 $9,517
3/31/2017 $9,226 $9,759
4/30/2017 $9,361 $9,967
5/31/2017 $9,521 $10,299
6/30/2017 $9,627 $10,308
7/31/2017 $10,077 $10,615
8/31/2017 $10,065 $10,613
9/30/2017 $10,428 $10,888 Past performance is not predictive of
10/31/2017 $10,617 $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
26.50% 8.75% 0.60% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
U.S. Large Cap
Value Portfolio III Russell 1000/R/ Value Index
--------------------- ---------------------------
10/31/2007 $10,000 $10,000
11/30/2007 $9,441 $9,511
12/31/2007 $9,412 $9,419
1/31/2008 $9,052 $9,042
2/29/2008 $8,776 $8,663
3/31/2008 $8,690 $8,598
4/30/2008 $9,238 $9,017
5/31/2008 $9,461 $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 $7,731 $7,644
10/31/2008 $5,990 $6,320
11/30/2008 $5,405 $5,867
12/31/2008 $5,577 $5,949
1/31/2009 $4,914 $5,265
2/28/2009 $4,229 $4,561
3/31/2009 $4,644 $4,951
4/30/2009 $5,394 $5,482
5/31/2009 $5,813 $5,821
6/30/2009 $5,738 $5,778
7/31/2009 $6,285 $6,251
8/31/2009 $6,710 $6,578
9/30/2009 $7,000 $6,832
10/31/2009 $6,701 $6,623
11/30/2009 $7,078 $6,996
12/31/2009 $7,275 $7,120
1/31/2010 $7,102 $6,920
2/28/2010 $7,414 $7,138
3/31/2010 $7,992 $7,603
4/30/2010 $8,243 $7,800
5/31/2010 $7,539 $7,158
6/30/2010 $6,969 $6,755
7/31/2010 $7,512 $7,213
8/31/2010 $7,058 $6,904
9/30/2010 $7,751 $7,440
10/31/2010 $8,039 $7,663
11/30/2010 $7,977 $7,622
12/31/2010 $8,757 $8,224
1/31/2011 $9,035 $8,410
2/28/2011 $9,524 $8,720
3/31/2011 $9,569 $8,755
4/30/2011 $9,808 $8,988
5/31/2011 $9,672 $8,893
6/30/2011 $9,497 $8,711
7/31/2011 $9,063 $8,422
8/31/2011 $8,296 $7,896
9/30/2011 $7,457 $7,299
10/31/2011 $8,492 $8,135
11/30/2011 $8,423 $8,093
12/31/2011 $8,489 $8,256
1/31/2012 $8,912 $8,568
2/29/2012 $9,427 $8,910
3/31/2012 $9,599 $9,174
4/30/2012 $9,402 $9,081
5/31/2012 $8,733 $8,548
6/30/2012 $9,206 $8,972
7/31/2012 $9,294 $9,065
8/31/2012 $9,662 $9,262
9/30/2012 $10,019 $9,556
10/31/2012 $10,048 $9,509
11/30/2012 $10,066 $9,505
12/31/2012 $10,371 $9,702
1/31/2013 $11,099 $10,332
2/28/2013 $11,241 $10,480
3/31/2013 $11,778 $10,896
4/30/2013 $11,902 $11,060
5/31/2013 $12,389 $11,344
6/30/2013 $12,252 $11,244
7/31/2013 $12,986 $11,851
8/31/2013 $12,604 $11,402
9/30/2013 $12,972 $11,687
10/31/2013 $13,631 $12,199
11/30/2013 $14,200 $12,540
12/31/2013 $14,581 $12,857
1/31/2014 $14,003 $12,401
2/28/2014 $14,476 $12,937
3/31/2014 $14,817 $13,246
4/30/2014 $14,916 $13,372
5/31/2014 $15,243 $13,567
6/30/2014 $15,659 $13,922
7/31/2014 $15,541 $13,685
8/31/2014 $16,037 $14,187
9/30/2014 $15,642 $13,895
10/31/2014 $15,760 $14,207
11/30/2014 $15,947 $14,498
12/31/2014 $16,066 $14,587
1/31/2015 $15,270 $14,004
2/28/2015 $16,349 $14,681
3/31/2015 $16,041 $14,482
4/30/2015 $16,365 $14,617
5/31/2015 $16,550 $14,793
6/30/2015 $16,284 $14,497
7/31/2015 $16,237 $14,561
8/31/2015 $15,254 $13,694
9/30/2015 $14,762 $13,280
10/31/2015 $15,971 $14,282
11/30/2015 $16,031 $14,337
12/31/2015 $15,529 $14,029
1/31/2016 $14,471 $13,304
2/29/2016 $14,499 $13,300
3/31/2016 $15,555 $14,258
4/30/2016 $15,977 $14,558
5/31/2016 $16,191 $14,784
6/30/2016 $16,175 $14,912
7/31/2016 $16,728 $15,345
8/31/2016 $16,929 $15,463
9/30/2016 $17,009 $15,431
10/31/2016 $16,720 $15,192
11/30/2016 $18,034 $16,060
12/31/2016 $18,493 $16,461
1/31/2017 $18,755 $16,578
2/28/2017 $19,325 $17,174
3/31/2017 $19,146 $16,999
4/30/2017 $19,274 $16,967
5/31/2017 $19,259 $16,951
6/30/2017 $19,576 $17,228
7/31/2017 $19,909 $17,457
8/31/2017 $19,727 $17,253
9/30/2017 $20,489 $17,764
10/31/2017 $20,786 $17,893 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
24.32% 15.65% 7.59% reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II VS.
RUSSELL 3000(R) VALUE INDEX
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Tax-Managed U.S. Marketwide
Value Portfolio II Russell 3000/R/ Value Index
--------------------------- ---------------------------
10/31/2007 $10,000 $10,000
11/30/2007 $9,411 $9,490
12/31/2007 $9,369 $9,399
1/31/2008 $8,999 $9,022
2/29/2008 $8,675 $8,646
3/31/2008 $8,515 $8,596
4/30/2008 $9,000 $9,003
5/31/2008 $9,194 $9,014
6/30/2008 $8,182 $8,151
7/31/2008 $8,119 $8,156
8/31/2008 $8,285 $8,315
9/30/2008 $7,582 $7,723
10/31/2008 $5,886 $6,368
11/30/2008 $5,303 $5,888
12/31/2008 $5,485 $5,992
1/31/2009 $4,771 $5,289
2/28/2009 $4,127 $4,581
3/31/2009 $4,564 $4,973
4/30/2009 $5,352 $5,527
5/31/2009 $5,752 $5,850
6/30/2009 $5,672 $5,809
7/31/2009 $6,251 $6,300
8/31/2009 $6,665 $6,627
9/30/2009 $6,962 $6,889
10/31/2009 $6,630 $6,658
11/30/2009 $6,938 $7,021
12/31/2009 $7,196 $7,176
1/31/2010 $6,993 $6,974
2/28/2010 $7,315 $7,202
3/31/2010 $7,891 $7,682
4/30/2010 $8,196 $7,909
5/31/2010 $7,497 $7,257
6/30/2010 $6,920 $6,830
7/31/2010 $7,478 $7,294
8/31/2010 $6,986 $6,963
9/30/2010 $7,685 $7,520
10/31/2010 $7,986 $7,750
11/30/2010 $8,004 $7,728
12/31/2010 $8,757 $8,341
1/31/2011 $8,975 $8,514
2/28/2011 $9,484 $8,838
3/31/2011 $9,546 $8,880
4/30/2011 $9,771 $9,109
5/31/2011 $9,613 $9,007
6/30/2011 $9,447 $8,819
7/31/2011 $9,045 $8,527
8/31/2011 $8,297 $7,977
9/30/2011 $7,453 $7,352
10/31/2011 $8,486 $8,211
11/30/2011 $8,419 $8,170
12/31/2011 $8,505 $8,332
1/31/2012 $8,948 $8,666
2/29/2012 $9,422 $8,994
3/31/2012 $9,623 $9,262
4/30/2012 $9,444 $9,164
5/31/2012 $8,783 $8,625
6/30/2012 $9,245 $9,052
7/31/2012 $9,326 $9,132
8/31/2012 $9,673 $9,336
9/30/2012 $10,025 $9,635
10/31/2012 $10,056 $9,583
11/30/2012 $10,119 $9,581
12/31/2012 $10,410 $9,794
1/31/2013 $11,095 $10,427
2/28/2013 $11,271 $10,574
3/31/2013 $11,828 $10,995
4/30/2013 $11,916 $11,147
5/31/2013 $12,307 $11,437
6/30/2013 $12,231 $11,340
7/31/2013 $12,971 $11,962
8/31/2013 $12,592 $11,502
9/30/2013 $13,051 $11,820
10/31/2013 $13,667 $12,327
11/30/2013 $14,231 $12,681
12/31/2013 $14,628 $12,996
1/31/2014 $14,048 $12,531
2/28/2014 $14,564 $13,075
3/31/2014 $14,783 $13,376
4/30/2014 $14,815 $13,465
5/31/2014 $15,167 $13,654
6/30/2014 $15,557 $14,029
7/31/2014 $15,313 $13,741
8/31/2014 $15,878 $14,253
9/30/2014 $15,471 $13,907
10/31/2014 $15,741 $14,269
11/30/2014 $15,941 $14,533
12/31/2014 $16,104 $14,646
1/31/2015 $15,298 $14,058
2/28/2015 $16,403 $14,737
3/31/2015 $16,246 $14,571
4/30/2015 $16,415 $14,671
5/31/2015 $16,663 $14,843
6/30/2015 $16,490 $14,571
7/31/2015 $16,536 $14,597
8/31/2015 $15,494 $13,739
9/30/2015 $15,010 $13,320
10/31/2015 $16,194 $14,304
11/30/2015 $16,227 $14,386
12/31/2015 $15,680 $14,041
1/31/2016 $14,683 $13,298
2/29/2016 $14,649 $13,302
3/31/2016 $15,675 $14,272
4/30/2016 $16,067 $14,572
5/31/2016 $16,257 $14,801
6/30/2016 $16,242 $14,923
7/31/2016 $16,684 $15,384
8/31/2016 $16,854 $15,522
9/30/2016 $16,931 $15,501
10/31/2016 $16,644 $15,241
11/30/2016 $17,915 $16,198
12/31/2016 $18,403 $16,624
1/31/2017 $18,623 $16,723
2/28/2017 $19,135 $17,295
3/31/2017 $18,977 $17,122
4/30/2017 $19,155 $17,097
5/31/2017 $19,084 $17,040
6/30/2017 $19,410 $17,342
7/31/2017 $19,705 $17,564
8/31/2017 $19,518 $17,342
9/30/2017 $20,231 $17,908
10/31/2017 $20,404 $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
22.59% 15.20% 7.39% reserved.
--------------------------------------------------------------------------------
3
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.
4
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 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.
DFA INTERNATIONAL VALUE PORTFOLIO III
The DFA International Value Portfolio III 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 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 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 26.50% 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 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 also 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%
5
Value stocks underperformed growth stocks as measured by the Russell
indices. However, when measured by price-to-book ratio, deeper value stocks
generally 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 PORTFOLIO III
The U.S. Large Cap Value Portfolio III 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 1% of the Portfolio's assets.
For the 12 months ended October 31, 2017, total returns were 24.32% 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 these
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 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.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
The Tax-Managed U.S. Marketwide Value Portfolio II 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 22.59% 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,
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.
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.
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
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 III**
---------------------------------------
Actual Fund Return............................... $1,000.00 $1,134.10 0.23% $1.24
Hypothetical 5% Annual Return.................... $1,000.00 $1,024.05 0.23% $1.17
U.S. LARGE CAP VALUE PORTFOLIO III**
------------------------------------
Actual Fund Return............................... $1,000.00 $1,078.50 0.13% $0.68
Hypothetical 5% Annual Return.................... $1,000.00 $1,024.55 0.13% $0.66
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II**
------------------------------------------------
Actual Fund Return............................... $1,000.00 $1,065.20 0.22% $1.15
Hypothetical 5% Annual Return.................... $1,000.00 $1,024.10 0.22% $1.12
----------
* 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 of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
DFA International Value Portfolio III... 100.0%
U.S. Large Cap Value Portfolio III...... 100.0%
Tax-Managed U.S. Marketwide Value
Portfolio II.......................... 100.0%
9
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
DFA INTERNATIONAL VALUE PORTFOLIO III
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series
of The DFA Investment Trust Company............. $2,541,897,197
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANY...................................... $2,541,897,197
==============
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).
U.S. LARGE CAP VALUE PORTFOLIO III
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company............... $3,709,068,088
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANY...................................... $3,709,068,088
==============
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).
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide
Value Series of The DFA Investment Trust
Company......................................... $1,815,617,284
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANY...................................... $1,815,617,284
==============
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
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED
DFA U.S.
INTERNATIONAL U.S. LARGE CAP MARKETWIDE
VALUE PORTFOLIO VALUE PORTFOLIO VALUE PORTFOLIO
III III II
--------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value............... $ 2,541,897 $ 3,709,068 $ 1,815,617
Receivables:
Fund Shares Sold.................................................. 1,112 1,561 358
Prepaid Expenses and Other Assets................................... 18 22 24
------------ ------------ ------------
Total Assets................................................... 2,543,027 3,710,651 1,815,999
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.............................................. 1,403 1,486 479
Due to Advisor.................................................... 21 31 --
Accrued Expenses and Other Liabilities.............................. 119 173 83
------------ ------------ ------------
Total Liabilities.............................................. 1,543 1,690 562
------------ ------------ ------------
NET ASSETS.......................................................... $ 2,541,484 $ 3,708,961 $ 1,815,437
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 150,453,443 135,912,498 64,140,347
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................................. $ 16.89 $ 27.29 $ 28.30
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 2,121,065 $ 2,043,450 $ 881,317
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 7,263 4,437 2,606
Accumulated Net Realized Gain (Loss)................................ (32,353) 235,775 61,064
Net Unrealized Foreign Exchange Gain (Loss)......................... 27 -- --
Net Unrealized Appreciation (Depreciation).......................... 445,482 1,425,299 870,450
------------ ------------ ------------
NET ASSETS.......................................................... $ 2,541,484 $ 3,708,961 $ 1,815,437
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 500,000,000 700,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
DFA U.S.
INTERNATIONAL U.S. LARGE MARKETWIDE
VALUE CAP VALUE VALUE
PORTFOLIO III*# PORTFOLIO III*# PORTFOLIO II*#
--------------- --------------- --------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $6,612,
$0 and $2, respectively)............................................ $ 79,567 $ 78,758 $ 37,811
Income from Securities Lending....................................... 1,954 383 185
Expenses Allocated from Affiliated Investment Company................ (4,874) (3,790) (3,579)
-------- -------- --------
Total Investment Income............................................. 76,647 75,351 34,417
-------- -------- --------
FUND EXPENSES
Investment Management Fees............................................. 4,841 3,780 3,401
Accounting & Transfer Agent Fees....................................... 58 65 31
Filing Fees............................................................ 64 74 58
Shareholders' Reports.................................................. 53 53 26
Directors'/Trustees' Fees & Expenses................................... 23 34 17
Audit Fees............................................................. 5 7 5
Legal Fees............................................................. 52 71 34
Other.................................................................. 12 17 11
-------- -------- --------
Total Expenses...................................................... 5,108 4,101 3,583
-------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (4,610) (3,436) (3,401)
-------- -------- --------
Net Expenses........................................................... 498 665 182
-------- -------- --------
NET INVESTMENT INCOME (LOSS)........................................... 76,149 74,686 34,235
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... 23,940 241,441 62,482
Futures.............................................................. 3,428 3,087 21
Foreign Currency Transactions........................................ (571) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 444,512 411,724 242,562
Futures.............................................................. 1,065 1,059 (1)
Translation of Foreign Currency Denominated Amounts.................. 226 -- --
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 472,600 657,311 305,064
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $548,749 $731,997 $339,299
======== ======== ========
----------
* 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.
12
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S.
DFA INTERNATIONAL VALUE U.S. LARGE CAP VALUE MARKETWIDE VALUE PORTFOLIO
PORTFOLIO III PORTFOLIO III II
---------------------- ---------------------- -------------------------
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)............ $ 76,149 $ 70,750 $ 74,686 $ 70,105 $ 34,235 $ 30,015
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 23,940 (59,118) 241,441 109,454 62,482 57,064
Futures............................... 3,428 1,336 3,087 3,180 21 1,657
Foreign Currency Transactions......... (571) 1,222 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 444,512 7,817 411,724 (39,567) 242,562 (44,591)
Futures............................... 1,065 (291) 1,059 (543) (1) --
Translation of Foreign Currency
Denominated Amounts.................. 226 (180) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 548,749 21,536 731,997 142,629 339,299 44,145
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income................... (76,159) (67,959) (71,340) (69,979) (33,385) (29,848)
Net Short-Term Gains.................... -- -- (313) -- -- --
Net Long-Term Gains..................... -- (41,317) (107,951) (154,996) (56,923) (24,937)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (76,159) (109,276) (179,604) (224,975) (90,308) (54,785)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................... 257,528 618,846 459,795 476,073 123,118 198,695
Shares Issued in Lieu of Cash
Distributions.......................... 58,612 83,203 138,620 176,803 89,811 54,499
Shares Redeemed......................... (314,373) (473,759) (503,197) (512,335) (171,020) (205,186)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.......... 1,767 228,290 95,218 140,541 41,909 48,008
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 474,357 140,550 647,611 58,195 290,900 37,368
NET ASSETS
Beginning of Year....................... 2,067,127 1,926,577 3,061,350 3,003,155 1,524,537 1,487,169
---------- ---------- ---------- ---------- ---------- ----------
End of Year............................. $2,541,484 $2,067,127 $3,708,961 $3,061,350 $1,815,437 $1,524,537
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 16,980 48,005 17,961 21,878 4,591 8,756
Shares Issued in Lieu of Cash
Distributions.......................... 3,841 6,331 5,491 7,967 3,399 2,305
Shares Redeemed......................... (20,190) (35,998) (19,761) (23,247) (6,428) (8,905)
---------- ---------- ---------- ---------- ---------- ----------
13
TAX-MANAGED U.S.
DFA INTERNATIONAL VALUE U.S. LARGE CAP VALUE MARKETWIDE VALUE PORTFOLIO
PORTFOLIO III PORTFOLIO III II
----------------------- -------------------- --------------------------
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
Net Increase (Decrease) from Shares
Issued and Redeemed.................... 631 18,338 3,691 6,598 1,562 2,156
====== ======= ====== ====== ====== ======
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)..................................... $7,263 $ 8,637 $4,437 $3,889 $2,606 $2,364
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
14
See accompanying Notes to Financial Statements.
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO III
------------------------------------------------------------- -----------
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.......................... $ 13.80 $ 14.65 $ 16.26 $ 17.84 $ 14.69 $ 23.15
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.50 0.49 0.52 0.78 0.50 0.56
Net Gains (Losses) on
Securities (Realized........
and Unrealized)............... 3.10 (0.56) (1.38) (0.88) 3.48 4.94
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 3.60 (0.07) (0.86) (0.10) 3.98 5.50
-----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.51) (0.47) (0.49) (0.76) (0.51) (0.53)
Net Realized Gains............ -- (0.31) (0.26) (0.72) (0.32) (0.83)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.51) (0.78) (0.75) (1.48) (0.83) (1.36)
-----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 16.89 $ 13.80 $ 14.65 $ 16.26 $ 17.84 $ 27.29
============================= ========== ========== ========== ========== ========== ==========
Total Return................... 26.50% (0.09)% (5.41)% (0.73)% 28.15% 24.32%
-----------------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $2,541,484 $2,067,127 $1,926,577 $1,836,655 $1,725,850 $3,708,961
Ratio of Expenses to Average
Net Assets (B)................ 0.24% 0.24% 0.25% 0.24% 0.25% 0.13%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor) (B)..... 0.44% 0.44% 0.30% 0.24% 0.25% 0.23%
Ratio of Net Investment
Income to Average Net Assets.. 3.30% 3.70% 3.29% 4.48% 3.15% 2.17%
-----------------------------------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III
-----------------------------------------------
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.......................... $ 23.91 $ 25.30 $ 22.75 $ 17.11
---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.53 0.53 0.46 0.39
Net Gains (Losses) on
Securities (Realized........
and Unrealized)............... 0.49 (0.26) 3.01 5.64
---------- ---------- ---------- ----------
Total from Investment
Operations................. 1.02 0.27 3.47 6.03
-------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.54) (0.50) (0.44) (0.39)
Net Realized Gains............ (1.24) (1.16) (0.48) --
---------- ---------- ---------- ----------
Total Distributions......... (1.78) (1.66) (0.92) (0.39)
-------------------------------------------------------------------------------
Net Asset Value, End of Year... $ 23.15 $ 23.91 $ 25.30 $ 22.75
============================= ========== ========== ========== ==========
Total Return................... 4.69% 1.34% 15.62% 35.65%
-------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $3,061,350 $3,003,155 $2,992,619 $2,648,111
Ratio of Expenses to Average
Net Assets (B)................ 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor) (B)..... 0.23% 0.16% 0.13% 0.13%
Ratio of Net Investment
Income to Average Net Assets.. 2.38% 2.18% 1.89% 1.97%
-------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
----------------------------------------------------------
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... $ 24.36 $ 24.61 $ 24.42 $ 21.53 $ 16.13
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.54 0.48 0.45 0.37 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 4.84 0.16 0.24 2.88 5.39
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.. 5.38 0.64 0.69 3.25 5.73
-------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.53) (0.48) (0.43) (0.36) (0.33)
Net Realized Gains.................. (0.91) (0.41) (0.07) -- --
Total Distributions............... (1.44) (0.89) (0.50) (0.36) (0.33)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 28.30 $ 24.36 $ 24.61 $ 24.42 $ 21.53
=================================== ========== ========== ========== ========== ==========
Total Return......................... 22.59% 2.78% 2.88% 15.18% 35.90%
-------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $1,815,437 $1,524,537 $1,487,169 $1,480,557 $1,279,664
Ratio of Expenses to Average Net
Assets (B).......................... 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) (B)..................... 0.42% 0.42% 0.28% 0.22% 0.23%
Ratio of Net Investment Income to
Average Net Assets.................. 2.01% 2.04% 1.80% 1.60% 1.80%
-------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
16
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 offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fourteen portfolios, three
of which, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio
III and Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolios"), are
presented in this report. The remaining operational portfolios are presented in
separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946,
"Financial Services-Investment Companies."
DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II primarily invest their
assets in The DFA International Value Series, The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series (the "Series"), respectively,
each a corresponding series of The DFA Investment Trust Company. At October 31,
2017, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II owned 20%, 13% and 27% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
17
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 Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
During the year ended October 31, 2017 the DFA International Value Portfolio
III's, U.S. Large Cap Value Portfolio III's and Tax-Managed U.S. Marketwide
Value Portfolio II's investment management fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.21%, 0.11%, and
0.20%, respectively, of each Portfolio's average daily net assets. Waived fees
during the year ended October 31, 2017 are reflected below (amounts in
thousands).
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of each Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by a
Portfolio, including the proportionate share of the management fees a Portfolio
pays indirectly through its investment in other funds managed by the Advisor,
except for the fees paid indirectly through its investment of securities
lending cash collateral in The DFA Short Term Investment Fund (the "Money
Market Series") to the rates listed below as a percentage of the average net
assets of a class of a Portfolio on an annualized basis. The Fee Waiver
Agreement will remain in effect permanently, unless terminated by the Fund.
PREVIOUSLY NET WAIVED FEES/
RECOVERY WAIVED FEES/ EXPENSES ASSUMED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED (RECOVERED PREVIOUSLY
INSTITUTIONAL LIMITATION WAIVED FEES/ SUBJECT TO FUTURE WAIVED FEES/
CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY EXPENSES ASSUMED)
------------- ---------- ---------------- ----------------- ---------------------
DFA International Value
Portfolio III.......... 0.21% -- -- $4,610
U.S. Large Cap Value
Portfolio III.......... 0.11% -- -- 3,436
Tax-Managed U.S.
Marketwide Value
Portfolio II........... 0.20% -- -- 3,401
18
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):
DFA International Value Portfolio III... $ 71
U.S. Large Cap Value Portfolio III...... 109
Tax-Managed U.S. Marketwide Value
Portfolio II.......................... 51
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to net foreign
currency gains/losses, gains on securities considered to be "passive foreign
investment companies", tax equalization, and realized foreign capital gains
tax, were reclassified to the following accounts. These reclassifications had
no effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
DFA International Value Portfolio III... $ 1,390 $(1,364) $ (26)
U.S. Large Cap Value Portfolio III...... 12,105 (2,798) (9,307)
Tax-Managed U.S. Marketwide Value
Portfolio II.......................... 1,983 (608) (1,375)
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 International Value Portfolio III
2016........................................... $67,960 $ 41,316 -- $109,276
2017........................................... 76,159 -- -- 76,159
U.S. Large Cap Value Portfolio III
2016........................................... 69,978 154,996 -- 224,974
2017........................................... 71,653 107,951 -- 179,604
Tax-Managed U.S. Marketwide Value Portfolio II
2016........................................... 29,848 24,937 -- 54,785
2017........................................... 33,385 56,923 -- 90,308
19
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 III... $(1,376) -- $ (1,376)
U.S. Large Cap Value Portfolio III...... (3,192) $(8,913) (12,105)
Tax-Managed U.S. Marketwide Value
Portfolio II.......................... (703) (1,280) (1,983)
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 III. $13,250.... --... $(26,378).. $ 433,647.. $ 420,519..
U.S. Large Cap Value Portfolio III.... 14,238.... $227,654... --.. 1,423,810.. 1,665,702..
Tax-Managed U.S. Marketwide Value
Portfolio II........................ 2,696.... 60,996... --.. 870,517.. 934,209..
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolios after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31,2017, 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 III.......... $26,378 $26,378
Tax-Managed U.S. Marketwide Value Portfolio II. -- --
The DFA International Value Series............. -- --
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 III. $28,625
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 International Value Portfolio III.......... $2,108,223 $ 433,647 -- $ 433,647
U.S. Large Cap Value Portfolio III............. 2,285,258 1,423,810 -- 1,423,810
Tax-Managed U.S. Marketwide Value Portfolio II. 945,100 870,517 -- 870,517
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.
20
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.
F. 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 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
--------------- --------------------------------------
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 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
---------------------------
EQUITY
TOTAL CONTRACTS*(1)
------ -------------
DFA International Value
Portfolio III.................. $3,428 $3,428
U.S. Large Cap Value Portfolio
III............................ 3,087 3,087
Tax-Managed U.S. Marketwide
Value Portfolio II............. 21 21
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
---------------------------
EQUITY
TOTAL CONTRACTS
------ -------------
DFA International Value
Portfolio III.................. $1,065 $1,065
U.S. Large Cap Value Portfolio
III............................ 1,059 1,059
Tax-Managed U.S. Marketwide
Value Portfolio II............. (1) (1)
* 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.
(1)The amount listed reflects allocated derivatives activity from the Master
Fund.
21
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 2017.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. 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.
J. 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 International Value Portfolio III... 5 98%
U.S. Large Cap Value Portfolio III...... 5 97%
Tax-Managed U.S. Marketwide Value
Portfolio II.......................... 3 98%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have
22
a material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, No.
11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee (the "Trustee") on behalf of the
committee of unsecured creditors of Tribune (the "Committee Action," and with
the Individual Creditor Actions, collectively referred to as the "Lawsuits").
The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers
and recover the stock repurchase proceeds paid to the Tribune shareholders who
participated in the LBO. On September 23, 2013, the Court entered an order
dismissing the Individual Creditor Actions in their entirety on the grounds
that the individual creditor plaintiffs lack standing to pursue their claims.
The parties appealed the Court's dismissal order to the United States Court of
Appeals for the Second Circuit (the "Second Circuit"), and, on March 29, 2016,
the Second Circuit affirmed the dismissal, albeit on the grounds that the
individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's
safe harbor for securities transactions. The individual creditor plaintiffs
have petitioned the Supreme Court of the United States to review the Second
Circuit's ruling, and that petition is pending. On January 6, 2017, the Court
granted the shareholder defendant's motion to dismiss the claims against them
in the Committee Action. The Trustee requested that the Court certify the
dismissal order for appeal to the Second Circuit, and the District Court
advised that it will certify the dismissal order for appeal after it rules on
the additional pending motions to dismiss (not involving the shareholder
defendants).
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits has advised management that it
does not believe that it is possible, at this early stage in the proceedings,
to predict with any reasonable certainty the probable outcome of the Lawsuits
or quantify the ultimate exposure to The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the respective net asset values of The U.S. Large
Cap Value Series and The Tax-Managed U.S. Marketwide Value Series will be made
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery the plaintiffs seek, the amount would be less than
1% of the respective net asset values of The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their respective net asset values. Therefore, at this time, those
investors buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the respective net asset values of The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series as incurred and in a manner similar to
any other expenses incurred by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series.
K. SUBSEQUENT EVENT EVALUATIONS:
The Boards of Directors of DFA Investment Dimensions Group Inc. and the
Fund, on behalf of the LWAS/DFA International High Book to Market Portfolio
(the "LWAS International Portfolio") and DFA International Value Portfolio II
(the "International Portfolio II"), respectively, approved an Agreement and
Plan of Reorganization, under which the LWAS International Portfolio and
International Portfolio II will be reorganized with and into the DFA
International Value Portfolio III (the "Reorganization"). The LWAS
International Portfolio, International Portfolio II and the DFA International
Value 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. The Board of Directors of the Fund, on
behalf of the LWAS/DFA U.S. High Book to Market Portfolio (the "LWAS U.S.
Portfolio"), approved an Agreement and Plan of Reorganization, under which the
LWAS U.S. Portfolio will be
23
reorganized with and into the U.S. Large Cap Value Portfolio III (the
"Reorganization"). The LWAS U.S. Portfolio and the U.S. 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 Tax-Managed U.S. Marketwide Value Portfolio II through
the date that the financial statements were issued and has determined that
there are no subsequent events requiring recognition or disclosure in the
financial statements.
24
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 DFA International
Value Portfolio III, U.S. Large Cap Value Portfolio III and Tax-Managed U.S.
Marketwide Value Portfolio II (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
transfer agent of the investee funds, provide a reasonable basis for our
opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
25
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDEND)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The DFA International MSCI World ex USA Index
Value Series (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
9/30/2017 $10,456 $10,888
10/31/2017 $10,644 $11,037 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
26.53% 8.77% 0.63% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 Value Series Russell 1000/R/ Value 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
8/31/2017 $19,765 $17,253
9/30/2017 $20,530 $17,764 Past performance is not predictive of
10/31/2017 $20,828 $17,893 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
24.31% 15.67% 7.61% reserved.
--------------------------------------------------------------------------------
26
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 Value Series Russell 3000/R/ Value Index
----------------------- ---------------------------
10/31/2007 $10,000 $10,000
11/30/2007 $9,413 $9,490
12/31/2007 $9,374 $9,399
1/31/2008 $9,003 $9,022
2/29/2008 $8,676 $8,646
3/31/2008 $8,517 $8,596
4/30/2008 $8,999 $9,003
5/31/2008 $9,201 $9,014
6/30/2008 $8,185 $8,151
7/31/2008 $8,122 $8,156
8/31/2008 $8,286 $8,315
9/30/2008 $7,583 $7,723
10/31/2008 $5,888 $6,368
11/30/2008 $5,306 $5,888
12/31/2008 $5,484 $5,992
1/31/2009 $4,771 $5,289
2/28/2009 $4,131 $4,581
3/31/2009 $4,564 $4,973
4/30/2009 $5,354 $5,527
5/31/2009 $5,758 $5,850
6/30/2009 $5,676 $5,809
7/31/2009 $6,259 $6,300
8/31/2009 $6,673 $6,627
9/30/2009 $6,972 $6,889
10/31/2009 $6,639 $6,658
11/30/2009 $6,948 $7,021
12/31/2009 $7,203 $7,176
1/31/2010 $7,000 $6,974
2/28/2010 $7,323 $7,202
3/31/2010 $7,901 $7,682
4/30/2010 $8,209 $7,909
5/31/2010 $7,506 $7,257
6/30/2010 $6,933 $6,830
7/31/2010 $7,487 $7,294
8/31/2010 $6,996 $6,963
9/30/2010 $7,694 $7,520
10/31/2010 $7,992 $7,750
11/30/2010 $8,012 $7,728
12/31/2010 $8,767 $8,341
1/31/2011 $8,984 $8,514
2/28/2011 $9,490 $8,838
3/31/2011 $9,552 $8,880
4/30/2011 $9,779 $9,109
5/31/2011 $9,624 $9,007
6/30/2011 $9,456 $8,819
7/31/2011 $9,056 $8,527
8/31/2011 $8,300 $7,977
9/30/2011 $7,458 $7,352
10/31/2011 $8,498 $8,211
11/30/2011 $8,430 $8,170
12/31/2011 $8,517 $8,332
1/31/2012 $8,960 $8,666
2/29/2012 $9,432 $8,994
3/31/2012 $9,634 $9,262
4/30/2012 $9,456 $9,164
5/31/2012 $8,792 $8,625
6/30/2012 $9,254 $9,052
7/31/2012 $9,336 $9,132
8/31/2012 $9,687 $9,336
9/30/2012 $10,034 $9,635
10/31/2012 $10,067 $9,583
11/30/2012 $10,130 $9,581
12/31/2012 $10,424 $9,794
1/31/2013 $11,112 $10,427
2/28/2013 $11,286 $10,574
3/31/2013 $11,844 $10,995
4/30/2013 $11,926 $11,147
5/31/2013 $12,316 $11,437
6/30/2013 $12,244 $11,340
7/31/2013 $12,990 $11,962
8/31/2013 $12,605 $11,502
9/30/2013 $13,067 $11,820
10/31/2013 $13,683 $12,327
11/30/2013 $14,251 $12,681
12/31/2013 $14,646 $12,996
1/31/2014 $14,068 $12,531
2/28/2014 $14,584 $13,075
3/31/2014 $14,800 $13,376
4/30/2014 $14,834 $13,465
5/31/2014 $15,185 $13,654
6/30/2014 $15,575 $14,029
7/31/2014 $15,335 $13,741
8/31/2014 $15,898 $14,253
9/30/2014 $15,494 $13,907
10/31/2014 $15,758 $14,269
11/30/2014 $15,965 $14,533
12/31/2014 $16,124 $14,646
1/31/2015 $15,315 $14,058
2/28/2015 $16,428 $14,737
3/31/2015 $16,269 $14,571
4/30/2015 $16,437 $14,671
5/31/2015 $16,688 $14,843
6/30/2015 $16,514 $14,571
7/31/2015 $16,562 $14,597
8/31/2015 $15,518 $13,739
9/30/2015 $15,031 $13,320
10/31/2015 $16,221 $14,304
11/30/2015 $16,249 $14,386
12/31/2015 $15,705 $14,041
1/31/2016 $14,704 $13,298
2/29/2016 $14,670 $13,302
3/31/2016 $15,701 $14,272
4/30/2016 $16,095 $14,572
5/31/2016 $16,283 $14,801
6/30/2016 $16,264 $14,923
7/31/2016 $16,707 $15,384
8/31/2016 $16,880 $15,522
9/30/2016 $16,957 $15,501
10/31/2016 $16,673 $15,241
11/30/2016 $17,944 $16,198
12/31/2016 $18,430 $16,624
1/31/2017 $18,652 $16,723
2/29/2017 $19,162 $17,295
3/31/2017 $19,003 $17,122
4/30/2017 $19,186 $17,097
5/31/2017 $19,119 $17,040
6/30/2017 $19,442 $17,342
7/31/2017 $19,735 $17,564
8/31/2017 $19,552 $17,342
9/30/2017 $20,265 $17,908 Past performance is not predictive of
10/31/2017 $20,443 $18,030 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
22.61% 15.22% 7.41% reserved.
--------------------------------------------------------------------------------
27
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.
28
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 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.
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.
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
29
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.
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, those stock 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.
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. Additionally, the Series' emphasis on stocks with higher profitability
benefited relative performance, as stocks with higher profitability
outperformed among value stocks for the period. 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.
30
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
31
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 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.
32
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 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%
33
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%
Thermo Fisher Scientific, Inc................. 1,050,474 203,613,375 0.7%
34
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
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%
=============== ======
35
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.
36
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%
--------------- ------
ISRAEL -- (0.4%)
Other Securities............................ 48,328,428 0.4%
--------------- ------
37
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
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%
--------------- ------
38
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
============ ============ ==========
39
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.
40
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%
41
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%
=============== ======
42
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.
43
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
THE TAX-
THE U.S. LARGE THE DFA MANAGED U.S.
CAP VALUE INTERNATIONAL MARKETWIDE
SERIES* VALUE SERIES* VALUE SERIES*
-------------- ------------- -------------
ASSETS:
Investments at Value (including $1,536,545, $671,908 and $207,829 of
securities on loan).............................................................. $27,395,893 $12,573,213 $6,657,197
Temporary Cash Investments at Value & Cost........................................ 272,071 -- 4,529
Collateral from Securities on Loan Invested in Affiliate at Value (including cost
of $522,384, $593,874 and $108,953).............................................. 522,421 593,861 108,958
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 6,826
Securities Lending Income....................................................... 273 795 65
Futures Margin Variation........................................................ 324 265 --
----------- ----------- ----------
Total Assets................................................................. 28,249,499 13,328,923 6,777,575
----------- ----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................ 522,365 593,795 108,928
Investment Securities Purchased................................................. 46,685 -- --
Due to Advisor.................................................................. 2,336 2,141 1,129
Accrued Expenses and Other Liabilities............................................ 1,567 837 422
----------- ----------- ----------
Total Liabilities............................................................ 572,953 596,773 110,479
----------- ----------- ----------
NET ASSETS........................................................................ $27,676,546 $12,732,150 $6,667,096
=========== =========== ==========
Investments at Cost............................................................... $18,606,092 $10,456,529 $3,585,676
=========== =========== ==========
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.
44
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
THE TAX-
THE U.S. THE DFA MANAGED U.S.
LARGE CAP INTERNATIONAL MARKETWIDE
VALUE SERIES# VALUE SERIES# VALUE SERIES#
------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1, $32,179 and $6,
respectively)................................................... $ 565,477 $ 332,211 $ 138,879
Non Cash Income.................................................. -- 55,069 --
Income from Securities Lending................................... 2,756 9,477 678
---------- ---------- ----------
Total Investment Income....................................... 568,233 396,757 139,557
---------- ---------- ----------
EXPENSES
Investment Management Fees....................................... 24,712 22,418 12,494
Accounting & Transfer Agent Fees................................. 1,102 509 279
Custodian Fees................................................... 255 962 67
Directors'/Trustees' Fees & Expenses............................. 241 108 62
Professional Fees................................................ 369 229 94
Other............................................................ 574 345 153
---------- ---------- ----------
Total Expenses................................................ 27,253 24,571 13,149
---------- ---------- ----------
Fees Paid Indirectly (Note C).................................... -- (877) --
---------- ---------- ----------
Net Expenses..................................................... 27,253 23,694 13,149
---------- ---------- ----------
NET INVESTMENT INCOME (LOSS)..................................... 540,980 373,063 126,408
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................... 1,415,252 133,582 218,751
Affiliated Investment Companies Shares Sold.................... (4) 55 22
Futures........................................................ 22,013 16,570 77
Foreign Currency Transactions.................................. -- (2,679) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 3,199,777 2,126,222 896,370
Affiliated Investment Companies Shares......................... (95) (73) (29)
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 1,115,191
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.... $5,189,855 $2,651,545 $1,241,599
========== ========== ==========
----------
**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.
45
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL THE TAX-MANAGED U.S.
SERIES VALUE SERIES MARKETWIDE VALUE 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 $ 126,408 $ 109,377
Net Realized Gain (Loss) on:
Investment Securities Sold**....... 1,415,252 567,193 133,582 (261,808) 218,751 194,648
Affiliated Investment Companies
Shares Sold....................... (4) -- 55 -- 22 --
Futures............................ 22,013 21,037 16,570 5,988 77 5,998
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) 896,370 (153,025)
Affiliated Investment Companies
Shares............................ (95) -- (73) -- (29) --
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 1,241,599 156,998
----------- ----------- ----------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................ 2,626,519 1,812,211 995,812 1,394,282 176,018 280,866
Withdrawals.......................... (1,056,396) (981,368) (644,747) (939,918) (288,925) (247,872)
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest......... 1,570,123 830,843 351,065 454,364 (112,907) 32,994
----------- ----------- ----------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets....................... 6,759,978 1,822,511 3,002,610 501,635 1,128,692 189,992
NET ASSETS
Beginning of Year.................... 20,916,568 19,094,057 9,729,540 9,227,905 5,538,404 5,348,412
----------- ----------- ----------- ---------- ---------- ----------
End of Year.......................... $27,676,546 $20,916,568 $12,732,150 $9,729,540 $6,667,096 $5,538,404
=========== =========== =========== ========== ========== ==========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
46
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 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........... 0.22% 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%
------------------------------------------------------------------------------------------------------------------
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 Assets, End of Year (thousands).................. $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 page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
47
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, three of which, The U.S. Large Cap Value
Series, The DFA International Value Series, and The Tax-Managed U.S. Marketwide
Value Series (the "Series"), are presented in this section of the report. The
remaining operational portfolios are presented in separate reports. The Series
are investment companies, and accordingly, follow the accounting and reporting
guidance under Financial Accounting Standards Board ("FASB") Accounting
Standards Certification ("ASC") Topic 946, "Financial Services-Investment
Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each
48
day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset value of the International Series is computed. Due to
the time differences between the closings of the relevant foreign securities
exchanges and the time the International Series prices its shares at the close
of the NYSE, the International Series will fair value its foreign investments
when it is determined that the market quotations for the foreign investments
are either unreliable or not readily available. The fair value prices will
attempt to reflect the impact of the U.S. financial markets' perceptions and
trading activities on International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). When the
International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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 currency rates when determining the realized gain or loss upon the sale
or maturity of foreign currency denominated debt obligations pursuant to U.S.
Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
49
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 the Series are
allocated using methods approved by the Board of Trustees, generally based on
average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series. For the 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%, 0.20%, and 0.20% of average daily net assets
for The U.S. Large Cap Value Series, The DFA International Value Series, and
The Tax-Managed U.S. Marketwide Value Series, respectively.
EARNED INCOME CREDIT:
In addition, Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of The DFA International Value Series' custody expenses. Custody
expense in the accompanying financial statements is presented before reduction
for credits. The impact of such credits is generally less than one basis point
of each Series' net assets. During the 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.
50
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 Tax-Managed U.S. Marketwide Value Series........... 181
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
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
GAIN/ INCOME CAPITAL GAIN
(LOSS) ON CHANGE IN FROM DISTRIBUTIONS
PROCEEDS SALES OF UNREALIZED SHARES AFFILIATED FROM
BALANCE AT PURCHASES FROM AFFILIATED APPRECIATION/ BALANCE AT AS OF INVESTMENT AFFILIATED
10/31/16 AT COST SALES INVESTMENT DEPRECIATION 10/31/17 10/31/17 COMPANIES INVESTMENT
---------- ---------- ---------- ---------- ------------- ---------- -------- ---------- -------------
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 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 --
======== ========== ========== === ==== ======== ====== ====== ==
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.
51
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 Tax-Managed U.S.
Marketwide Value Series..... 3,699,159 3,155,503 (83,977) 3,071,526
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 the Series' financial statements. No Series is aware of any
tax positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
The Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. Forward Currency Contracts: The International Series may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge the International Series' currency exposure with
respect to a foreign market will be based primarily on the Series' existing
exposure to a given foreign currency. Each contract is valued daily and the
change in value is recorded by the Series as an unrealized gain or loss, which
is presented in the Statements of Operations as the change in unrealized
appreciation or depreciation from translation of foreign currency denominated
amounts. When the contract is closed or offset with the same counterparty, the
Series records a realized gain or loss equal to the change in the value of the
contract when it was opened and the value at the time it was closed or offset.
This is presented in the Statements of Operations as a net realized gain or
loss on foreign currency transactions. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value of foreign
currency relative to the U.S. dollar.
3. Futures Contracts: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposit cash or pledge U.S. government securities
to a
52
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.
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 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
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Series' Statements of
Operations of realized and change in unrealized gains and losses from the
Series' derivative investment holdings for the 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
53
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure as of 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 Tax-Managed U.S. Marketwide Value
Series.............................. 77 77*
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
* 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.
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 Tax-Managed U.S. Marketwide Value
Series.............................. 1.53% $3,894 23 $4 $6,845
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2017, that 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.
54
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
GAIN
PORTFOLIO PURCHASES SALES (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 Tax-Managed U.S. Marketwide Value
Series................................ 55,950 11,114 3,280
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. In
addition, The U.S. Large Cap Value Series, The DFA International Value Series,
and The Tax-Managed U.S. Marketwide Value Series received non-cash collateral
consisting of short-and/or long-term U.S. Treasury and U.S. government agency
securities as follows (amounts in thousands):
MARKET UNINVESTED
VALUE CASH COLLATERAL
---------- ---------------
The U.S. Large Cap Value Series......... $1,023,222 --
The DFA International Value Series...... 124,520 --
The Tax-Managed U.S. Marketwide Value
Series................................ 99,606 --
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,
55
to replace the securities. In the event of the bankruptcy of the borrower, a
Series could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in the Money
Market Series, an affiliated registered money market fund advised by the
Advisor for which the Advisor receives a management fee of 0.05% of the average
daily net assets of the Money Market Series. 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
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Common Stocks,
Rights/Warrants..... 108,958,173 -- -- -- 108,958,173
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.
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.
56
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named defendants in a multi-district litigation pending in the
United States District Court for the Southern District of New York (the
"Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee (the "Trustee") on behalf of the
committee of unsecured creditors of Tribune (the "Committee Action," and with
the Individual Creditor Actions, collectively referred to as the "Lawsuits").
The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers
and recover the stock repurchase proceeds paid to the Tribune shareholders who
participated in the LBO. On September 23, 2013, the Court entered an order
dismissing the Individual Creditor Actions in their entirety on the grounds
that the individual creditor plaintiffs lack standing to pursue their claims.
The parties appealed the Court's dismissal order to the United States Court of
Appeals for the Second Circuit (the "Second Circuit"), and, on March 29, 2016,
the Second Circuit affirmed the dismissal, albeit on the grounds that the
individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's
safe harbor for securities transactions. The individual creditor plaintiffs
have petitioned the Supreme Court of the United States to review the Second
Circuit's ruling, and that petition is pending. On January 6, 2017, the Court
granted the shareholder defendant's motion to dismiss the claims against them
in the Committee Action. The Trustee requested that the Court certify the
dismissal order for appeal to the Second Circuit, and the District Court
advised that it will certify the dismissal order for appeal after it rules on
the additional pending motions to dismiss (not involving the shareholder
defendants).
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits has advised management that it
does not believe that it is possible, at this early stage in the proceedings,
to predict with any reasonable certainty the probable outcome of the Lawsuits
or quantify the ultimate exposure to The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the respective net asset values of The U.S. Large
Cap Value Series and The Tax-Managed U.S. Marketwide Value Series will be made
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery the plaintiffs seek, the amount would be less than
1% of the respective net asset values of The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their net asset values. Therefore, at this time, those investors
buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the respective net asset values of The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by The U.S. Large Cap Value Series as incurred and
in a manner similar to any other expenses incurred by The U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series.
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.
57
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 and The
Tax-Managed U.S. Marketwide Value Series (three 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
58
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.
59
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 DEM 1992
Business DEM-Since 1993
5807 S. Woodlawn
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,
1953 Alfred P. 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, DEM 1992 Zebra Capital Management,
CT 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).
Stanford, Jack Steele Parker Professor
CA 94305 of 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).
------------------------------------------------------------------------------------------------------------------------------
60
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).
61
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 None
6300 Bee Cave Director of 1981 and formerly, President and 4 investment
Road, Building DFAIDG and DIG DIG-Since 1992 Co-Chief Executive Officer companies
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.
62
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.
----------------------------------------------------------------------------------------------------------------------
63
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR 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.
------------------------------------------------------------------------------------------------------------------------------
64
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).
----------------------------------------------------------------------------------------------------------------------------
65
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.
66
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
DIMENSIONAL INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX SOURCE
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) CREDIT (3) INCOME (4)
---------------------- ------------- ------------- ------------- ------------- ------------- ---------- ---------- ----------
DFA International
Value Portfolio III... 100% -- -- 100% 100% 100% 4% 100%
U.S. Large Cap Value
Portfolio III......... 39% -- 61% 100% 100% 100% -- 6%
Tax-Managed U.S.
Marketwide Value
Portfolio II.......... 37% -- 63% 100% 100% 100% -- 6%
QUALIFYING
SHORT-
QUALIFYING TERM
DIMENSIONAL INVESTMENT INTEREST CAPITAL
GROUP INC. INCOME (5) GAIN (6)
---------------------- ---------- ----------
DFA International
Value Portfolio III... 100% 100%
U.S. Large Cap Value
Portfolio III......... 100% 100%
Tax-Managed U.S.
Marketwide Value
Portfolio II.......... 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).
67
DFA103117-008A
[LOGO] 00202780
[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
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II
[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.................... 3
Disclosure of Fund Expenses............................. 5
Disclosure of Portfolio Holdings........................ 6
Schedule of Investments
Emerging Markets Portfolio II....................... 7
Statement of Assets and Liabilities..................... 8
Statement of Operations................................. 9
Statement of Changes in Net Assets...................... 10
Financial Highlights.................................... 11
Notes to Financial Statements........................... 12
Report of Independent Registered Public Accounting Firm. 18
THE DFA INVESTMENT TRUST COMPANY
Performance Charts...................................... 19
Management's Discussion and Analysis.................... 20
Disclosure of Fund Expenses............................. 22
Disclosure of Portfolio Holdings........................ 23
Summary Schedule of Portfolio Holdings
The Emerging Markets Series......................... 24
Statement of Assets and Liabilities..................... 28
Statement of Operations................................. 29
Statement of Changes in Net Assets...................... 30
Financial Highlights.................................... 31
Notes to Financial Statements........................... 32
Report of Independent Registered Public Accounting Firm. 40
FUND MANAGEMENT............................................ 41
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................ 48
NOTICE TO SHAREHOLDERS..................................... 49
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULE OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
--------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issues of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may
include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
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)
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Emerging Markets MSCI Emerging Markets
Portfolio II Index (net dividends)
------------------ ---------------------
10/31/07 $10,000 $10,000
11/30/07 $9,349 $9,291
12/31/07 $9,310 $9,324
1/31/08 $8,498 $8,160
2/29/08 $8,771 $8,762
3/31/08 $8,498 $8,299
4/30/08 $9,104 $8,972
5/31/08 $9,155 $9,139
6/30/08 $8,215 $8,227
7/31/08 $8,107 $7,917
8/31/08 $7,625 $7,284
9/30/08 $6,565 $6,010
10/31/08 $4,836 $4,365
11/30/08 $4,398 $4,036
12/31/08 $4,743 $4,351
1/31/09 $4,377 $4,070
2/28/09 $4,095 $3,841
3/31/09 $4,683 $4,392
4/30/09 $5,378 $5,123
5/31/09 $6,295 $5,999
6/30/09 $6,238 $5,918
7/31/09 $6,953 $6,583
8/31/09 $6,977 $6,560
9/30/09 $7,592 $7,155
10/31/09 $7,434 $7,164
11/30/09 $7,877 $7,472
12/31/09 $8,159 $7,767
1/31/10 $7,718 $7,334
2/28/10 $7,810 $7,360
3/31/10 $8,461 $7,954
4/30/10 $8,512 $8,050
5/31/10 $7,721 $7,342
6/30/10 $7,731 $7,288
7/31/10 $8,413 $7,895
8/31/10 $8,217 $7,742
9/30/10 $9,152 $8,602
10/31/10 $9,426 $8,852
11/30/10 $9,214 $8,618
12/31/10 $9,965 $9,233
1/31/11 $9,706 $8,983
2/28/11 $9,636 $8,899
3/31/11 $10,171 $9,422
4/30/11 $10,525 $9,714
5/31/11 $10,234 $9,460
6/30/11 $10,105 $9,314
7/31/11 $10,024 $9,273
8/31/11 $9,213 $8,444
9/30/11 $7,820 $7,213
10/31/11 $8,796 $8,168
11/30/11 $8,492 $7,624
12/31/11 $8,244 $7,532
1/31/12 $9,127 $8,386
2/29/12 $9,620 $8,889
3/31/12 $9,368 $8,592
4/30/12 $9,202 $8,489
5/31/12 $8,208 $7,537
6/30/12 $8,615 $7,828
7/31/12 $8,684 $7,981
8/31/12 $8,741 $7,954
9/30/12 $9,227 $8,434
10/31/12 $9,181 $8,383
11/30/12 $9,299 $8,490
12/31/12 $9,842 $8,905
1/31/13 $9,893 $9,027
2/28/13 $9,776 $8,914
3/31/13 $9,636 $8,760
4/30/13 $9,746 $8,827
5/31/13 $9,426 $8,600
6/30/13 $8,834 $8,053
7/31/13 $8,963 $8,137
8/31/13 $8,753 $7,997
9/30/13 $9,375 $8,517
10/31/13 $9,805 $8,931
11/30/13 $9,658 $8,800
12/31/13 $9,555 $8,673
1/31/14 $8,893 $8,110
2/28/14 $9,214 $8,378
3/31/14 $9,539 $8,636
4/30/14 $9,592 $8,664
5/31/14 $9,917 $8,967
6/30/14 $10,193 $9,205
7/31/14 $10,314 $9,383
8/31/14 $10,636 $9,595
9/30/14 $9,853 $8,883
10/31/14 $9,955 $8,988
11/30/14 $9,857 $8,893
12/31/14 $9,414 $8,483
1/31/15 $9,476 $8,534
2/28/15 $9,763 $8,798
3/31/15 $9,558 $8,673
4/30/15 $10,198 $9,340
5/31/15 $9,787 $8,966
6/30/15 $9,550 $8,733
7/31/15 $8,937 $8,128
8/31/15 $8,196 $7,393
9/30/15 $7,978 $7,170
10/31/15 $8,460 $7,682
11/30/15 $8,165 $7,382
12/31/15 $7,944 $7,218
1/31/16 $7,611 $6,750
2/29/16 $7,563 $6,738
3/31/16 $8,562 $7,630
4/30/16 $8,614 $7,672
5/31/16 $8,277 $7,385
6/30/16 $8,714 $7,681
7/31/16 $9,163 $8,067
8/31/16 $9,272 $8,268
9/30/16 $9,392 $8,374
10/31/16 $9,412 $8,394
11/30/16 $8,923 $8,008
12/31/16 $8,927 $8,025
1/31/17 $9,457 $8,464
2/28/17 $9,773 $8,723
3/31/17 $10,089 $8,944
4/30/17 $10,286 $9,139
5/31/17 $10,594 $9,410
6/30/17 $10,693 $9,504
7/31/17 $11,256 $10,071
8/31/17 $11,494 $10,296
9/30/17 $11,383 $10,255
10/31/17 $11,769 $10,614
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
25.04% 5.09% 1.64% rights reserved.
--------------------------------------------------------------------------------
2
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 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.
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%
3
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 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.
EMERGING MARKETS PORTFOLIO II
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. 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 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 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
performance relative to the benchmark (which is composed of mostly mid- and
large-cap stocks), as smaller stocks within the large-cap universe 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.
4
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table is 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*
--------- --------- ---------- --------
EMERGING MARKETS PORTFOLIO II**
-------------------------------
Actual Fund Return.............. $1,000.00 $1,144.20 0.34% $1.84
Hypothetical 5% Annual Return... $1,000.00 $1,023.49 0.34% $1.73
----------
* 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).
5
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 of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
Emerging Markets Portfolio II. 100.0%
6
EMERGING MARKETS PORTFOLIO II
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company.................... $83,286,802
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $83,286,802
===========
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.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING
MARKETS
PORTFOLIO II
------------
ASSETS:
Investment in Affiliated Investment Company at Value................................... $ 83,287
Fund Shares Sold....................................................................... 21
Prepaid Expenses and Other Assets...................................................... 11
------------
Total Assets...................................................................... 83,319
------------
LIABILITIES:
Payables:
Due to Advisor....................................................................... 11
Accrued Expenses and Other Liabilities................................................. 9
------------
Total Liabilities................................................................. 20
------------
NET ASSETS............................................................................. $ 83,299
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 2,907,888
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 28.65
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 1,261
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 951
Accumulated Net Realized Gain (Loss)................................................... (413)
Net Unrealized Foreign Exchange Gain (Loss)............................................ 2
Net Unrealized Appreciation (Depreciation)............................................. 81,498
------------
NET ASSETS............................................................................. $ 83,299
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000
============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
EMERGING
MARKETS
PORTFOLIO II*#
--------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $233)............................................... $ 1,690
Interest........................................................................................ 1
Income from Securities Lending.................................................................. 59
Expenses Allocated from Affiliated Investment Company........................................... (112)
-------
Total Investment Income........................................................................ 1,638
-------
FUND EXPENSES
Investment Management Fees........................................................................ 191
Accounting & Transfer Agent Fees.................................................................. 4
Filing Fees....................................................................................... 19
Shareholders' Reports............................................................................. 4
Directors'/Trustees' Fees & Expenses.............................................................. 1
Legal Fees........................................................................................ 2
Other............................................................................................. 1
-------
Total Expenses................................................................................. 222
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C). (76)
-------
Net Expenses...................................................................................... 146
-------
NET INVESTMENT INCOME (LOSS)...................................................................... 1,492
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................................... 1,336
Futures......................................................................................... 101
Foreign Currency Transactions................................................................... (4)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... 14,452
Futures......................................................................................... (248)
Translation of Foreign Currency Denominated Amounts............................................. 1
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................... 15,638
-------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................... $17,130
=======
----------
* 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.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS PORTFOLIO II
----------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
-------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................................. $ 1,492 $ 1,764
Net Realized Gain (Loss) on:
Investment Securities Sold*................................................ 1,336 (597)
Futures.................................................................... 101 97
Foreign Currency Transactions.............................................. (4) 16
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................. 14,452 6,761
Futures.................................................................... (248) (3)
Translation of Foreign Currency Denominated Amounts........................ 1 4
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations........... 17,130 8,042
-------- --------
Distributions From:
Net Investment Income........................................................ (1,837) (2,525)
-------- --------
Total Distributions....................................................... (1,837) (2,525)
-------- --------
Capital Share Transactions (1):
Shares Issued................................................................ 17,147 11,413
Shares Issued in Lieu of Cash Distributions.................................. 1,837 2,525
Shares Redeemed.............................................................. (34,308) (18,543)
-------- --------
Net Increase (Decrease) from Capital Share Transactions................... (15,324) (4,605)
-------- --------
Total Increase (Decrease) in Net Assets................................... (31) 912
NET ASSETS
Beginning of Year............................................................ 83,330 82,418
-------- --------
End of Year.................................................................. $ 83,299 $ 83,330
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................................ 689 541
Shares Issued in Lieu of Cash Distributions.................................. 84 127
Shares Redeemed.............................................................. (1,417) (896)
-------- --------
Net Increase (Decrease) from Shares Issued and Redeemed................... (644) (228)
======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)....................................................................... $ 951 $ 1,261
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
--------
YEAR
ENDED
OCT. 31,
2017
-------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................................................... $ 23.46
-------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................................................... 0.49
Net Gains (Losses) on Securities (Realized and Unrealized)................................. 5.22
-------
Total from Investment Operations.......................................................... 5.71
-------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................................................... (0.52)
-------
Total Distributions....................................................................... (0.52)
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................................. $ 28.65
============================================================================================= ========
Total Return................................................................................. 25.04%
-------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................................................... $83,299
Ratio of Expenses to Average Net Assets (B).................................................. 0.34%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/
or Previously Waived Fees Recovered by Advisor) (B)......................................... 0.44%
Ratio of Net Investment Income to Average Net Assets (B)..................................... 1.95%
-------------------------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II
--------------------------------------
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........................................................... $ 21.80 $ 26.34 $ 26.65 $ 25.49
------- ------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................................................... 0.48 0.53 0.59 0.56
Net Gains (Losses) on Securities (Realized and Unrealized)................................. 1.85 (4.45) (0.22) 1.16
------- ------- -------- --------
Total from Investment Operations.......................................................... 2.33 (3.92) 0.37 1.72
------------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................................................... (0.67) (0.62) (0.68) (0.56)
------- ------- -------- --------
Total Distributions....................................................................... (0.67) (0.62) (0.68) (0.56)
------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................................................. $ 23.46 $ 21.80 $ 26.34 $ 26.65
============================================================================================= ======== ======== ======== ========
Total Return................................................................................. 11.26% (15.02)% 1.53% 6.80%
------------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................................................... $83,330 $82,418 $104,987 $112,140
Ratio of Expenses to Average Net Assets (B).................................................. 0.34% 0.34% 0.34% 0.35%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/
or Previously Waived Fees Recovered by Advisor) (B)......................................... 0.44% 0.36% 0.34% 0.35%
Ratio of Net Investment Income to Average Net Assets (B)..................................... 2.25% 2.18% 2.29% 2.17%
------------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
11
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 offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fourteen portfolios, one
of which, Emerging Markets Portfolio II (the "Portfolio"), is presented in this
report. The remaining portfolios are presented in separate reports. The
Portfolio is an investment company, and accordingly, follows the accounting and
reporting guidance under Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
The Portfolio primarily invests its assets in The Emerging Markets Series
(the "Series"), a corresponding Series of The DFA Investment Trust Company. At
October 31, 2017, the Portfolio owned 1% of its Series. The financial
statements of the Series are included elsewhere in this report and should be
read in conjunction with the financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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;
12
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 Portfolio recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to the Portfolio
are directly charged. Common expenses of the Fund or the Portfolio are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
For the year ended October 31, 2017, the investment management fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
0.25% of average daily net assets for the Portfolio II. Waived fees/expenses
assumed during the year ended October 31, 2017 are reflected below (amounts in
thousands).
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)
-------------------------- ---------- ---------------- ----------------- ---------------------
Emerging Markets Portfolio II. 0.25% -- -- $76
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of the Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by the
Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund (the
"Money Market Series"), to the rate listed above as a percentage of the average
net assets of a class of the Portfolio on an annualized basis. The Fee Waiver
Agreement will remain in effect permanently, unless terminated by the Fund.
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 amount paid by the
Portfolio is included in Other Expenses on the Statement of Operations.
13
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):
Emerging Markets Portfolio II. $7
E. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
Emerging Markets Portfolio II. -- $35 $(35)
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
-------------- ------------- ---------- ------
Emerging Markets Portfolio II
2016.......................... $2,525 -- -- $2,525
2017.......................... 1,837 -- -- 1,837
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)
-------------- ------------- ------------- -------------- -------------
Emerging Markets Portfolio II. $1,590 -- $(386) $80,845 $82,049
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
14
enactment. As of October 31, 2017, the Emerging Markets Portfolio II 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
--------- -----
Emerging Markets Portfolio II. $386 $386
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):
Emerging Markets Portfolio II. $1,393
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)
-------- ------------ ------------ --------------
Emerging Markets Portfolio II. $2,442 $80,845 -- $80,845
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
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
F. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolio.
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 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. Entering into stock index futures subjects the
Portfolio 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.
15
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
Portfolio'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 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
-----------------------------
EQUITY
TOTAL CONTRACTS*(1)
----- ----------------
Emerging Markets Portfolio II. $ 101 $ 101
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------------
TOTAL EQUITY CONTRACTS
----- ----------------
Emerging Markets Portfolio II. $(248) $(248)
* 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.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 29, 2017, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 29, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 28, 2018.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 6, 2017. A line of credit with
similar terms was in effect through January 6, 2017. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 5, 2018.
There were no borrowings by the Portfolio under the lines of credit during
the year ended October 31, 2017.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
16
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. 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.
J. OTHER:
At October 31, 2017, one shareholder held 100% of the outstanding shares of
the Portfolio. One or more of the shareholders may be omnibus accounts, which
typically hold shares for the benefit of several other underlying investors.
K. 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.
17
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and
Shareholders of Emerging Markets Portfolio II
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 Emerging Markets Portfolio II (one
of the portfolios constituting Dimensional Investment 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
18
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
The Emerging Markets Series MSCI Emerging Markets Index
(net dividends)
----------------------------- ---------------------------
10/31/07 $10,000 $10,000
11/30/07 $9,348 $9,291
12/31/07 $9,315 $9,324
1/31/08 $8,504 $8,160
2/29/08 $8,776 $8,762
3/31/08 $8,504 $8,299
4/30/08 $9,113 $8,972
5/31/08 $9,167 $9,139
6/30/08 $8,227 $8,227
7/31/08 $8,120 $7,917
8/31/08 $7,638 $7,284
9/30/08 $6,577 $6,010
10/31/08 $4,845 $4,365
11/30/08 $4,407 $4,036
12/31/08 $4,752 $4,351
1/31/09 $4,388 $4,070
2/28/09 $4,104 $3,841
3/31/09 $4,697 $4,392
4/30/09 $5,394 $5,123
5/31/09 $6,314 $5,999
6/30/09 $6,260 $5,918
7/31/09 $6,978 $6,583
8/31/09 $7,003 $6,560
9/30/09 $7,622 $7,155
10/31/09 $7,463 $7,164
11/30/09 $7,910 $7,472
12/31/09 $8,196 $7,767
1/31/10 $7,749 $7,334
2/28/10 $7,844 $7,360
3/31/10 $8,502 $7,954
4/30/10 $8,554 $8,050
5/31/10 $7,760 $7,342
6/30/10 $7,772 $7,288
7/31/10 $8,457 $7,895
8/31/10 $8,262 $7,742
9/30/10 $9,202 $8,602
10/31/10 $9,482 $8,852
11/30/10 $9,270 $8,618
12/31/10 $10,025 $9,233
1/31/11 $9,765 $8,983
2/28/11 $9,698 $8,899
3/31/11 $10,239 $9,422
4/30/11 $10,597 $9,714
5/31/11 $10,304 $9,460
6/30/11 $10,183 $9,314
7/31/11 $10,105 $9,273
8/31/11 $9,288 $8,444
9/30/11 $7,883 $7,213
10/31/11 $8,871 $8,168
11/30/11 $8,564 $7,624
12/31/11 $8,315 $7,532
1/31/12 $9,206 $8,386
2/29/12 $9,706 $8,889
3/31/12 $9,455 $8,592
4/30/12 $9,286 $8,489
5/31/12 $8,286 $7,537
6/30/12 $8,698 $7,828
7/31/12 $8,768 $7,981
8/31/12 $8,827 $7,954
9/30/12 $9,321 $8,434
10/31/12 $9,274 $8,383
11/30/12 $9,395 $8,490
12/31/12 $9,947 $8,905
1/31/13 $9,998 $9,027
2/28/13 $9,883 $8,914
3/31/13 $9,743 $8,760
4/30/13 $9,854 $8,827
5/31/13 $9,535 $8,600
6/30/13 $8,936 $8,053
7/31/13 $9,068 $8,137
8/31/13 $8,856 $7,997
9/30/13 $9,488 $8,517
10/31/13 $9,922 $8,931
11/30/13 $9,774 $8,800
12/31/13 $9,675 $8,673
1/31/14 $9,004 $8,110
2/28/14 $9,331 $8,378
3/31/14 $9,661 $8,636
4/30/14 $9,718 $8,664
5/31/14 $10,049 $8,967
6/30/14 $10,329 $9,205
7/31/14 $10,453 $9,383
8/31/14 $10,780 $9,595
9/30/14 $9,988 $8,883
10/31/14 $10,095 $8,988
11/30/14 $9,998 $8,893
12/31/14 $9,547 $8,483
1/31/15 $9,611 $8,534
2/28/15 $9,905 $8,798
3/31/15 $9,700 $8,673
4/30/15 $10,350 $9,340
5/31/15 $9,934 $8,966
6/30/15 $9,696 $8,733
7/31/15 $9,074 $8,128
8/31/15 $8,325 $7,393
9/30/15 $8,103 $7,170
10/31/15 $8,595 $7,682
11/30/15 $8,297 $7,382
12/31/15 $8,070 $7,218
1/31/16 $7,733 $6,750
2/29/16 $7,686 $6,738
3/31/16 $8,704 $7,630
4/30/16 $8,757 $7,672
5/31/16 $8,418 $7,385
6/30/16 $8,862 $7,681
7/31/16 $9,319 $8,067
8/31/16 $9,432 $8,268
9/30/16 $9,558 $8,374
10/31/16 $9,578 $8,394
11/30/16 $9,082 $8,008
12/31/16 $9,087 $8,025
1/31/17 $9,630 $8,464
2/28/17 $9,955 $8,723
3/31/17 $10,276 $8,944
4/30/17 $10,477 $9,139
5/31/17 $10,792 $9,410
6/30/17 $10,895 $9,504
7/31/17 $11,471 $10,071
8/31/17 $11,714 $10,296
9/30/17 $11,603 $10,255
10/31/17 $11,998 $10,614 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
25.26% 5.29% 1.84% rights reserved.
--------------------------------------------------------------------------------
19
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 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.
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%
20
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 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.
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 generally underperformed 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.
21
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 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
----------
* 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.
22
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 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%
23
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%
Other Securities.................................... 156,958,031 2.3%
--------------- --------
TOTAL INDONESIA......................................... 177,529,845 2.6%
--------------- --------
24
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
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%
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%
25
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (Continued)
# 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
---------------
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%
=============== ========
26
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.
27
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
THE EMERGING
MARKETS SERIES*
---------------
ASSETS:
Investments at Value (including $281,971 of securities on loan, respectively).................. $6,627,847
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $202,665). 202,669
Segregated Cash for Futures Contracts.......................................................... 2,310
Foreign Currencies at Value.................................................................... 21,834
Cash........................................................................................... 67,755
Receivables:
Investment Securities Sold................................................................... 907
Dividends, Interest and Tax Reclaims......................................................... 4,294
Securities Lending Income.................................................................... 396
Futures Margin Variation..................................................................... 361
----------
Total Assets.............................................................................. 6,928,373
----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 202,666
Investment Securities Purchased.............................................................. 1,466
Due to Advisor............................................................................... 562
Accrued Expenses and Other Liabilities......................................................... 472
----------
Total Liabilities......................................................................... 205,166
----------
NET ASSETS..................................................................................... $6,723,207
==========
Investments at Cost............................................................................ $4,364,270
==========
Foreign Currencies at Cost..................................................................... $ 21,926
==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
THE EMERGING
MARKETS
SERIES#
------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $18,315).......... $ 132,530
Income from Securities Lending................................ 4,405
----------
Total Investment Income.................................... 136,935
----------
EXPENSES
Investment Management Fees.................................... 5,755
Accounting & Transfer Agent Fees.............................. 266
Custodian Fees................................................ 2,249
Directors'/Trustees' Fees & Expenses.......................... 54
Professional Fees............................................. 174
Other......................................................... 181
----------
Total Expenses............................................. 8,679
----------
Fees Paid Indirectly (Note C)................................. (246)
----------
Net Expenses.................................................. 8,433
----------
NET INVESTMENT INCOME (LOSS).................................. 128,502
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ (7,795)
Affiliated Investment Companies Shares Sold................. (8)
Futures..................................................... 8,355
Foreign Currency Transactions............................... (35)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 1,213,036
Affiliated Investment Companies Shares...................... (19)
Futures..................................................... 929
Translation of Foreign Currency Denominated Amounts......... (69)
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 1,214,394
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $1,342,896
==========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
29
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE EMERGING MARKETS SERIES
- --------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 128,502 $ 110,781
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... (7,795) (106,229)
Affiliated Investment Companies Shares Sold......................... (8) --
Futures............................................................. 8,355 5,752
Foreign Currency Transactions....................................... (35) 975
Forward Currency Contracts.......................................... -- (4)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 1,213,036 512,891
Affiliated Investment Companies Shares.............................. (19) --
Futures............................................................. 929 (266)
Translation of Foreign Currency Denominated Amounts................. (69) 207
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 1,342,896 524,107
---------- ----------
Transactions in Interest:
Contributions......................................................... 738,457 471,019
Withdrawals........................................................... (355,877) (400,950)
---------- ----------
Net Increase (Decrease) from Transactions in Interest.............. 382,580 70,069
---------- ----------
Total Increase (Decrease) in Net Assets............................ 1,725,476 594,176
NET ASSETS
Beginning of Year..................................................... 4,997,731 4,403,555
---------- ----------
End of Year........................................................... $6,723,207 $4,997,731
========== ==========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
30
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
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.
31
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 operational portfolios, one of which, The Emerging
Markets Series (the "Series"), is presented in this report. The remaining
portfolios are presented in separate reports. The Series is an investment
company, and accordingly, follows the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series values the securities within the range of the
most recent quoted bid and asked prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The Series will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the
close of the NYSE (normally, 4:00 p.m. ET) and the time that the net
32
asset value of the Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the time the Series
prices its shares at the close of the NYSE, the Series will fair value its
foreign investments when it is determined that the market quotations for the
foreign investments are either unreliable or not readily available. The fair
value prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Series' foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Series has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the Series utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the Series uses fair value
pricing, the values assigned to the foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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 Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Series does not isolate the effect of fluctuations in foreign currency
rates when determining the realized gain or loss upon the sale or maturity of
foreign currency denominated debt obligations pursuant to U.S. Federal income
tax regulations; such amounts are categorized as foreign exchange gain or loss
for income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the Series
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the
33
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 estimates the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or Series are
allocated using methods approved by the Board, generally based on average net
assets.
The Series may be subject to taxes imposed by countries in which it invests,
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Emerging Markets Series is subject to a 15% tax on short-term capital
gains for investments in India. Such taxes are due upon sale of individual
securities. The capital gains taxes are recognized when the capital gains are
earned.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 2017, investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.10% of average daily net assets for The Emerging
Markets Series.
EARNED INCOME CREDIT:
In addition, the Series has entered into arrangements with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of its custody expenses. Custody expense in the accompanying financial
statements is presented before reduction for credits. The impact of such
credits is generally less than one basis point of the Series' net assets.
During the year ended October 31, 2017, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The Emerging Markets Series. $246
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 amount paid by the Series is
included in Other Expenses on the Statement of Operations.
34
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 Emerging Markets Series. $158
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 Emerging Markets Series. $950,150 $468,047
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 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 --
======== ======== ======== === ==== ======== ====== ====== ==
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to its partners.
At 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 Emerging Markets Series. $4,629,823 $2,541,436 $(277,193) $2,264,243
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.
35
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objective and policies, the Series
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities held
by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The Series may acquire and sell forward
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge the Series' currency exposure with respect to a foreign market will be
based primarily on the Series' existing exposure to a given foreign currency.
Each contract is valued daily and the change in value is recorded by the Series
as an unrealized gain or loss, which is presented in the Statement of
Operations as the change in unrealized appreciation or depreciation from
translation of foreign-currency-denominated amounts. When the contract is
closed or offset with the same counterparty, the Series records a realized gain
or loss equal to the change in the value of the contract when it was opened and
the value at the time it was closed or offset. This is presented in the
Statement of Operations as a net realized gain or loss on foreign currency
transactions. Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts and
from unanticipated movements in the value of foreign currency relative to the
U.S. dollar.
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, does not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Series as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Series records a realized gain or loss, which is presented in the Statement of
Operations as a net realized gain or loss on futures, equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. Entering into stock index futures subjects the
Series to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
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 Emerging Markets Series. $44,417
36
The following is a summary of the location of derivatives on the Series'
Statement 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 through the year ended October 31, 2017
(amounts in thousands):
ASSET DERIVATIVES VALUE
---------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2017 CONTRACTS*
---------------- ----------
The Emerging Markets Series. $663 $663
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statement of Operations categorized by
primary risk exposure for the 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 Emerging Markets Series. $8,355 $8,355
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS
------ ---------
The Emerging Markets Series. $ 929 $ 929
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
37
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 Emerging Markets Series. 1.77% $6,211 9 3 $15,381
* 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.
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):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------ --------------------
The Emerging Markets Series. $7,463 $2,540 $241
J. SECURITIES LENDING:
As of October 31, 2017, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. The Emerging
Markets Series received non-cash collateral consisting of short and/or long
term U.S. Treasury and U.S. government agency securities with a market value of
$106,638 (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
38
be lower or higher than the expected thresholds. If this were to occur, the
collateral would be adjusted the next business day to ensure adequate
collateralization. In the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject to
legal proceedings. If the borrower fails to return loaned securities, and cash
collateral being maintained by the borrower is insufficient to cover the value
of loaned securities and provided such collateral insufficiency is not the
result of investment losses, the lending agent has agreed to pay the amount of
the shortfall to the Series or, at the option of the lending agent, to replace
the securities. In the event of the bankruptcy of the borrower, the Series
could experience delay in recovering the loaned securities or only recover cash
or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in the Money Market
Series, an affiliated registered money market fund advised by the Advisor for
which the Advisor receives a management fee of 0.05% of the average daily net
assets of the Money Market Series. 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
------------- -------- ------------ -------- ------------
THE EMERGING MARKETS SERIES
Common Stocks............... $202,669,148 -- -- -- $202,669,148
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.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
39
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of The Emerging Markets 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 Emerging
Markets 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, brokers and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
40
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.
41
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
---------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
---------------------------------------------------------------------------------------------------------------------------
George M. Director of DFAIDG- Since Leo Melamed Professor of 126 portfolios in None
Constantinides DFAIDG and 1983 Finance, University of Chicago 4 investment
University of DIG Trustee of DIG- Since Booth School of Business (since companies
Chicago Booth DFAITC and 1993 1978).
School of Business DEM DFAITC- Since
5807 S. Woodlawn 1992
Avenue DEM- Since
Chicago, IL 60637 1993
1947
---------------------------------------------------------------------------------------------------------------------------
Douglas W. Director of DFAIDG- Since Merton H. Miller Distinguished 126 portfolios in None
Diamond DFAIDG and June 2017 Service Professor of Finance, 4 investment
University of DIG Trustee of DIG- Since University of Chicago Booth companies
Chicago Booth DFAITC and June 2017 School of Business (since
School of Business DEM DFAITC- Since 1988). Visiting Scholar, Federal
5807 S. Woodlawn June 2017 Reserve Bank of Richmond
Avenue DEM- Since (since 1990). Formerly, Fischer
Chicago, IL 60637 June 2017 Black Visiting Professor of
1953 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 Emeritus of 126 portfolios in None
Yale School of DFAIDG and 1981 Finance, Yale School of 4 investment
Management DIG DIG- Since Management (since 1984). companies
P.O. Box 208200 Trustee of 1993 Chairman, CIO and Partner,
New Haven, CT DFAITC and DFAITC- Since Zebra Capital Management, LLC
06520-8200 DEM 1992 (hedge fund and asset manager)
1943 DEM- Since (since 2001). Formerly,
1993 Consultant to Morningstar, Inc.
(2006-2016).
---------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Director of DFAIDG- Since Distinguished Visiting Fellow, 126 portfolios in None
Stanford University DFAIDG and 2010 Becker Friedman Institute for 4 investment
Graduate School of DIG DIG- Since Research in Economics, companies
Business Trustee of 2010 University of Chicago (since
Knight Management DFAITC and DFAITC- Since 2015). Morris Arnold Cox Senior
Center, E346 DEM 2010 Fellow, Hoover Institution (since
Stanford, CA 94305 DEM- Since 2002). Jack Steele Parker
1948 2010 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).
42
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
----------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Director of DFAIDG- Since Chief Investment Strategist, 126 portfolios in Formerly, Adviser,
c/o Dimensional DFAIDG and 1981 Janus Henderson Investors 4 investment Kuapay, Inc.
Fund Advisors LP DIG DIG- Since (since 2014). Frank E. Buck companies (2013-2014).
6300 Bee Cave Trustee of 1993 Professor of Finance, Emeritus, Formerly, Director,
Road, Building One DFAITC and DFAITC- Since Graduate School of Business, American Century
Austin, TX 78746 DEM 1992 Stanford University (since 1981). Fund Complex
1941 DEM- Since (registered
1993 investment
companies) (43
Portfolios) (1980-
2014).
----------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Director of DFAIDG- Since Boris and Irene Stern 126 portfolios in Lead Director,
University of DFAIDG and 2000 Distinguished Service Professor 4 investment (beginning May
Chicago Booth DIG DIG- Since of Accounting, University of companies 2014) and Director
School of Business Trustee of 2000 Chicago Booth School of (since 2000), HNI
5807 S. Woodlawn DFAITC and DFAITC- Since Business (since 1980). Corporation
Avenue DEM 2000 (formerly known as
Chicago, IL 60637 DEM- Since HON Industries
1953 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).
43
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, and 126 portfolios in None
6300 Bee Cave Director of 1981 formerly, President and Co-Chief 4 investment
Road, Building One DFAIDG and DIG DIG- Since 1992 Executive Officer (each until companies
Austin, TX 78746 Trustee of DFAITC- Since March 2017) of Dimensional
1946 DFAITC and 1992 Emerging Markets Value Fund
DEM DEM- Since 1993 ("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.
44
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 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).
---------------------------------------------------------------------------------------------------------------------------------
45
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR 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
1958 Financial Officer, and of 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 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 Dimensional Cayman Commodity Fund I Ltd.
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. Newell President and General Since 2017 President and General Counsel (since March 2017), and
1964 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.
-----------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance Officer of
1961 Deputy Chief 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 Vice President and Secretary (since 2010 and
1974 Secretary 2010 and Secretary March 2017, respectively) of all the DFA Entities,
since 2017 Dimensional Cayman Commodity Fund I Ltd., and
Dimensional Fund Advisors Canada ULC (since
April 2016).
-----------------------------------------------------------------------------------------------------------------------------
46
TERM OF OFFICE/1/
AND LENGTH OF
NAME AND YEAR 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) and
Investment Officer 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).
------------------------------------------------------------------------------------------------------------------------------
47
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.
48
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
DIMENSIONAL INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX SOURCE
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) CREDIT (3) INCOME (4)
---------------------- ------------- ------------- ------------- ------------- ------------- ---------- ---------- ----------
Emerging Markets
Portfolio II........ 100% -- -- 100% 100% 100% 6% 100%
QUALIFYING
SHORT-
QUALIFYING TERM
DIMENSIONAL INVESTMENT INTEREST CAPITAL
GROUP INC. INCOME (5) GAIN (6)
---------------------- ---------- ----------
Emerging Markets
Portfolio II........ 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).
49
DFA103117-011A
[LOGO] 00202782
[LOGO]
Annual Report
YEAR ENDED: OCTOBER 31, 2017
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO
GLOBAL ALLOCATION 60/40 PORTFOLIO
GLOBAL ALLOCATION 25/75 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
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 5
Disclosure of Fund Expenses........................................ 10
Disclosure of Portfolio Holdings................................... 12
Schedules of Investments
Global Equity Portfolio........................................ 13
Global Allocation 60/40 Portfolio.............................. 14
Global Allocation 25/75 Portfolio.............................. 15
Statements of Assets and Liabilities............................... 16
Statements of Operations........................................... 17
Statements of Changes in Net Assets................................ 18
Financial Highlights............................................... 19
Notes to Financial Statements...................................... 23
Report of Independent Registered Public Accounting Firm............ 35
Section 19(a) Notice............................................... 36
FUND MANAGEMENT....................................................... 37
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 44
NOTICE TO SHAREHOLDERS................................................ 45
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Footnotes
+ See Note B to Financial Statements.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Underlying Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
N/A Does not apply to this fund.
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
Global Equity Portfolio - Institutional Class vs.
MSCI World Index (net dividends)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Global Equity Portfolio - MSCI World Index
Institutional Class (net dividends)
--------------------------- ------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,422 9,591
12/31/2007 9,304 9,468
1/31/2008 8,723 8,744
2/29/2008 8,573 8,693
3/31/2008 8,527 8,610
4/30/2008 8,946 9,063
5/31/2008 9,147 9,201
6/30/2008 8,307 8,467
7/31/2008 8,206 8,260
8/31/2008 8,181 8,144
9/30/2008 7,316 7,175
10/31/2008 5,794 5,815
11/30/2008 5,325 5,439
12/31/2008 5,583 5,613
1/31/2009 5,001 5,121
2/28/2009 4,451 4,597
3/31/2009 4,875 4,944
4/30/2009 5,575 5,498
5/31/2009 6,051 5,997
6/30/2009 6,034 5,969
7/31/2009 6,597 6,475
8/31/2009 6,888 6,742
9/30/2009 7,237 7,011
10/31/2009 6,971 6,886
11/30/2009 7,256 7,168
12/31/2009 7,510 7,296
1/31/2010 7,236 6,995
2/28/2010 7,432 7,093
3/31/2010 7,973 7,533
4/30/2010 8,143 7,534
5/31/2010 7,392 6,812
6/30/2010 7,045 6,578
7/31/2010 7,644 7,112
8/31/2010 7,269 6,846
9/30/2010 8,038 7,485
10/31/2010 8,335 7,764
11/30/2010 8,282 7,596
12/31/2010 8,964 8,155
1/31/2011 9,117 8,339
2/28/2011 9,435 8,631
3/31/2011 9,493 8,546
4/30/2011 9,826 8,909
5/31/2011 9,626 8,724
6/30/2011 9,449 8,586
7/31/2011 9,201 8,430
8/31/2011 8,464 7,836
9/30/2011 7,561 7,159
10/31/2011 8,470 7,900
11/30/2011 8,342 7,707
12/31/2011 8,300 7,703
1/31/2012 8,842 8,089
2/29/2012 9,249 8,484
3/31/2012 9,372 8,594
4/30/2012 9,243 8,496
5/31/2012 8,455 7,763
6/30/2012 8,840 8,158
7/31/2012 8,874 8,263
8/31/2012 9,134 8,472
9/30/2012 9,436 8,705
10/31/2012 9,402 8,646
11/30/2012 9,512 8,757
12/31/2012 9,814 8,922
1/31/2013 10,327 9,376
2/28/2013 10,375 9,392
3/31/2013 10,670 9,612
4/30/2013 10,858 9,914
5/31/2013 11,004 9,918
6/30/2013 10,776 9,674
7/31/2013 11,377 10,183
8/31/2013 11,091 9,966
9/30/2013 11,690 10,465
10/31/2013 12,146 10,874
11/30/2013 12,392 11,068
12/31/2013 12,674 11,302
1/31/2014 12,208 10,883
2/28/2014 12,816 11,428
3/31/2014 12,936 11,445
4/30/2014 12,957 11,562
5/31/2014 13,184 11,789
6/30/2014 13,524 12,000
7/31/2014 13,203 11,809
8/31/2014 13,602 12,069
9/30/2014 13,063 11,741
10/31/2014 13,242 11,817
11/30/2014 13,378 12,054
12/31/2014 13,260 11,860
1/31/2015 12,980 11,645
2/28/2015 13,749 12,327
3/31/2015 13,621 12,134
4/30/2015 13,859 12,419
5/31/2015 13,946 12,462
6/30/2015 13,699 12,172
7/31/2015 13,656 12,390
8/31/2015 12,843 11,570
9/30/2015 12,399 11,144
10/31/2015 13,252 12,027
11/30/2015 13,281 11,967
12/31/2015 12,900 11,756
1/31/2016 12,137 11,053
2/29/2016 12,123 10,971
3/31/2016 13,075 11,715
4/30/2016 13,245 11,901
5/31/2016 13,340 11,968
6/30/2016 13,263 11,833
7/31/2016 13,849 12,333
8/31/2016 13,938 12,344
9/30/2016 14,026 12,409
10/31/2016 13,736 12,169
11/30/2016 14,272 12,344
12/31/2016 14,568 12,639
1/31/2017 14,920 12,945
2/28/2017 15,294 13,304
3/31/2017 15,396 13,445
4/30/2017 15,591 13,644
5/31/2017 15,719 13,933
6/30/2017 15,911 13,987
7/31/2017 16,280 14,321
8/31/2017 16,265 14,342
9/30/2017 16,690 14,663
10/31/2017 17,077 14,941 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
24.33% 12.68% 5.50% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Global Equity Portfolio - Class R2 vs.
MSCI World Index (net dividends)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Global Equity Portfolio - MSCI World Index
Class R2 (net dividends)
--------------------------- ------------------
10/31/2007 $10,000 $10,000
11/30/2007 9,428 9,591
12/31/2007 9,300 9,468
1/31/2008 8,721 8,744
2/29/2008 8,565 8,693
3/31/2008 8,520 8,610
4/30/2008 8,932 9,063
5/31/2008 9,132 9,201
6/30/2008 8,298 8,467
7/31/2008 8,191 8,260
8/31/2008 8,166 8,144
9/30/2008 7,302 7,175
10/31/2008 5,778 5,815
11/30/2008 5,311 5,439
12/31/2008 5,569 5,613
1/31/2009 4,986 5,121
2/28/2009 4,435 4,597
3/31/2009 4,862 4,944
4/30/2009 5,555 5,498
5/31/2009 6,032 5,997
6/30/2009 6,009 5,969
7/31/2009 6,571 6,475
8/31/2009 6,853 6,742
9/30/2009 7,206 7,011
10/31/2009 6,937 6,886
11/30/2009 7,219 7,168
12/31/2009 7,471 7,296
1/31/2010 7,194 6,995
2/28/2010 7,387 7,093
3/31/2010 7,923 7,533
4/30/2010 8,091 7,534
5/31/2010 7,343 6,812
6/30/2010 6,996 6,578
7/31/2010 7,586 7,112
8/31/2010 7,217 6,846
9/30/2010 7,983 7,485
10/31/2010 8,269 7,764
11/30/2010 8,217 7,596
12/31/2010 8,892 8,155
1/31/2011 9,043 8,339
2/28/2011 9,357 8,631
3/31/2011 9,411 8,546
4/30/2011 9,739 8,909
5/31/2011 9,536 8,724
6/30/2011 9,355 8,586
7/31/2011 9,111 8,430
8/31/2011 8,380 7,836
9/30/2011 7,487 7,159
10/31/2011 8,380 7,900
11/30/2011 8,254 7,707
12/31/2011 8,207 7,703
1/31/2012 8,747 8,089
2/29/2012 9,153 8,484
3/31/2012 9,267 8,594
4/30/2012 9,141 8,496
5/31/2012 8,354 7,763
6/30/2012 8,739 8,158
7/31/2012 8,766 8,263
8/31/2012 9,021 8,472
9/30/2012 9,324 8,705
10/31/2012 9,284 8,646
11/30/2012 9,391 8,757
12/31/2012 9,686 8,922
1/31/2013 10,188 9,376
2/28/2013 10,228 9,392
3/31/2013 10,527 9,612
4/30/2013 10,710 9,914
5/31/2013 10,846 9,918
6/30/2013 10,624 9,674
7/31/2013 11,212 10,183
8/31/2013 10,925 9,966
9/30/2013 11,511 10,465
10/31/2013 11,963 10,874
11/30/2013 12,203 11,068
12/31/2013 12,476 11,302
1/31/2014 12,015 10,883
2/28/2014 12,607 11,428
3/31/2014 12,727 11,445
4/30/2014 12,741 11,562
5/31/2014 12,962 11,789
6/30/2014 13,293 12,000
7/31/2014 12,981 11,809
8/31/2014 13,370 12,069
9/30/2014 12,834 11,741
10/31/2014 13,008 11,817
11/30/2014 13,141 12,054
12/31/2014 13,023 11,860
1/31/2015 12,743 11,645
2/28/2015 13,499 12,327
3/31/2015 13,367 12,134
4/30/2015 13,599 12,419
5/31/2015 13,677 12,462
6/30/2015 13,438 12,172
7/31/2015 13,389 12,390
8/31/2015 12,591 11,570
9/30/2015 12,151 11,144
10/31/2015 12,987 12,027
11/30/2015 13,008 11,967
12/31/2015 12,634 11,756
1/31/2016 11,886 11,053
2/29/2016 11,872 10,971
3/31/2016 12,797 11,715
4/30/2016 12,962 11,901
5/31/2016 13,048 11,968
6/30/2016 12,971 11,833
7/31/2016 13,541 12,333
8/31/2016 13,628 12,344
9/30/2016 13,713 12,409
10/31/2016 13,424 12,169
11/30/2016 13,945 12,344
12/31/2016 14,229 12,639
1/31/2017 14,570 12,945
2/28/2017 14,934 13,304
3/31/2017 15,025 13,445
4/30/2017 15,214 13,644
5/31/2017 15,331 13,933
6/30/2017 15,523 13,987
7/31/2017 15,881 14,321
8/31/2017 15,859 14,342
9/30/2017 16,269 14,663 Past performance is not predictive of
10/31/2017 16,644 14,941 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
23.98% 12.38% 5.23% rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
Global Allocation 60/40 Portfolio - Institutional Class vs.
MSCI World Index (net dividends),
Citi World Government Bond Index, 1-3 Years, Currency-Hedged in USD Terms,
Global 60/40 Composite Index (MSCI/Citi)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Global Allocation Citi World
60/40 Government Bond Global 60/40
Portfolio Index,1-3 Years, Composite
- Institutional MSCI World Index Currency-Hedged Index
Class (net dividends) in USD Terms (MSCI/Citigroup)
-------------- ----------------- --------------- ----------------
10/31/2007 $10,000 $10,000 $10,000 $10,000
11/30/2007 9,663 9,591 10,094 9,792
12/31/2007 9,607 9,468 10,124 9,728
1/31/2008 9,271 8,744 10,246 9,329
2/29/2008 9,181 8,693 10,301 9,317
3/31/2008 9,158 8,610 10,301 9,263
4/30/2008 9,420 9,063 10,263 9,542
5/31/2008 9,547 9,201 10,230 9,617
6/30/2008 9,038 8,467 10,235 9,158
7/31/2008 8,978 8,260 10,291 9,044
8/31/2008 8,917 8,144 10,337 8,984
9/30/2008 8,297 7,175 10,406 8,367
10/31/2008 7,201 5,815 10,535 7,457
11/30/2008 6,876 5,439 10,607 7,187
12/31/2008 7,135 5,613 10,686 7,347
1/31/2009 6,653 5,121 10,708 6,967
2/28/2009 6,210 4,597 10,725 6,543
3/31/2009 6,645 4,944 10,768 6,850
4/30/2009 7,249 5,498 10,776 7,313
5/31/2009 7,701 5,997 10,798 7,717
6/30/2009 7,704 5,969 10,807 7,698
7/31/2009 8,181 6,475 10,833 8,097
8/31/2009 8,427 6,742 10,860 8,306
9/30/2009 8,728 7,011 10,885 8,512
10/31/2009 8,565 6,886 10,896 8,424
11/30/2009 8,813 7,168 10,930 8,641
12/31/2009 8,956 7,296 10,906 8,727
1/31/2010 8,785 6,995 10,934 8,520
2/28/2010 8,932 7,093 10,968 8,602
3/31/2010 9,323 7,533 10,967 8,922
4/30/2010 9,471 7,534 10,965 8,922
5/31/2010 8,926 6,812 11,009 8,423
6/30/2010 8,711 6,578 11,021 8,253
7/31/2010 9,188 7,112 11,045 8,662
8/31/2010 8,946 6,846 11,070 8,476
9/30/2010 9,544 7,485 11,063 8,948
10/31/2010 9,787 7,764 11,075 9,152
11/30/2010 9,701 7,596 11,047 9,024
12/31/2010 10,186 8,155 11,053 9,424
1/31/2011 10,297 8,339 11,053 9,552
2/28/2011 10,527 8,631 11,050 9,752
3/31/2011 10,586 8,546 11,044 9,692
4/30/2011 10,888 8,909 11,063 9,945
5/31/2011 10,769 8,724 11,093 9,833
6/30/2011 10,656 8,586 11,098 9,741
7/31/2011 10,568 8,430 11,110 9,639
8/31/2011 10,105 7,836 11,174 9,254
9/30/2011 9,383 7,159 11,173 8,774
10/31/2011 10,114 7,900 11,163 9,315
11/30/2011 9,985 7,707 11,148 9,174
12/31/2011 9,966 7,703 11,211 9,192
1/31/2012 10,422 8,089 11,242 9,479
2/29/2012 10,731 8,484 11,257 9,761
3/31/2012 10,802 8,594 11,253 9,836
4/30/2012 10,737 8,496 11,263 9,772
5/31/2012 10,159 7,763 11,259 9,264
6/30/2012 10,469 8,158 11,272 9,552
7/31/2012 10,535 8,263 11,292 9,632
8/31/2012 10,748 8,472 11,319 9,788
9/30/2012 10,985 8,705 11,332 9,954
10/31/2012 10,960 8,646 11,338 9,916
11/30/2012 11,051 8,757 11,354 9,998
12/31/2012 11,267 8,922 11,363 10,113
1/31/2013 11,600 9,376 11,366 10,424
2/28/2013 11,641 9,392 11,380 10,439
3/31/2013 11,856 9,612 11,388 10,589
4/30/2013 12,022 9,914 11,411 10,797
5/31/2013 12,039 9,918 11,398 10,795
6/30/2013 11,792 9,674 11,385 10,630
7/31/2013 12,227 10,183 11,406 10,974
8/31/2013 12,001 9,966 11,402 10,832
9/30/2013 12,457 10,465 11,424 11,166
10/31/2013 12,784 10,874 11,445 11,436
11/30/2013 12,919 11,068 11,459 11,563
12/31/2013 13,066 11,302 11,450 11,707
1/31/2014 12,821 10,883 11,473 11,456
2/28/2014 13,235 11,428 11,482 11,804
3/31/2014 13,315 11,445 11,482 11,814
4/30/2014 13,357 11,562 11,492 11,891
5/31/2014 13,544 11,789 11,508 12,038
6/30/2014 13,757 12,000 11,516 12,170
7/31/2014 13,544 11,809 11,517 12,054
8/31/2014 13,825 12,069 11,534 12,221
9/30/2014 13,433 11,741 11,534 12,022
10/31/2014 13,561 11,817 11,551 12,075
11/30/2014 13,664 12,054 11,566 12,227
12/31/2014 13,552 11,860 11,560 12,106
1/31/2015 13,431 11,645 11,597 11,990
2/28/2015 13,888 12,327 11,590 12,409
3/31/2015 13,814 12,134 11,607 12,299
4/30/2015 13,995 12,419 11,610 12,473
5/31/2015 14,004 12,462 11,618 12,503
6/30/2015 13,817 12,172 11,616 12,327
7/31/2015 13,783 12,390 11,628 12,465
8/31/2015 13,253 11,570 11,626 11,969
9/30/2015 13,012 11,144 11,647 11,714
10/31/2015 13,561 12,027 11,650 12,271
11/30/2015 13,561 11,967 11,642 12,232
12/31/2015 13,317 11,756 11,641 12,102
1/31/2016 12,886 11,053 11,689 11,687
2/29/2016 12,904 10,971 11,705 11,642
3/31/2016 13,601 11,715 11,715 12,120
4/30/2016 13,725 11,901 11,723 12,238
5/31/2016 13,760 11,968 11,724 12,280
6/30/2016 13,804 11,833 11,771 12,217
7/31/2016 14,212 12,333 11,771 12,527
8/31/2016 14,247 12,344 11,766 12,531
9/30/2016 14,319 12,409 11,784 12,578
10/31/2016 14,115 12,169 11,779 12,430
11/30/2016 14,346 12,344 11,759 12,529
12/31/2016 14,536 12,639 11,779 12,717
1/31/2017 14,778 12,945 11,787 12,905 Past performance is not predictive of
2/28/2017 15,038 13,304 11,804 13,127 future performance.
3/31/2017 15,095 13,445 11,807 13,213 The returns shown do not reflect the
4/30/2017 15,239 13,644 11,826 13,338 deduction of taxes that a shareholder
5/31/2017 15,347 13,933 11,841 13,515 would pay on fund distributions or the
6/30/2017 15,455 13,987 11,834 13,543 redemption of fund shares.
7/31/2017 15,708 14,321 11,859 13,748 MSCI data copyright MSCI 2017, all
8/31/2017 15,726 14,342 11,883 13,771 rights reserved.
9/30/2017 15,941 14,663 11,876 13,953 Citi fixed income indices copyright 2017
10/31/2017 16,167 14,941 11,888 14,117 by Citigroup.
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL ONE FIVE TEN for additional details. MSCI data
TOTAL RETURN YEAR YEARS YEARS copyright MSCI 2017, all rights reserved.
--------------------------------------------------------------- Citi fixed income indices copyright 2017
14.54% 8.08% 4.92% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Global Allocation 60/40 Portfolio - Class R2 vs.
MSCI World Index (net dividends),
Citi World Government Bond Index, 1-3 Years, Currency-Hedged in USD Terms,
Global 60/40 Composite Index (MSCI/Citi)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Citi World
Global Allocation Government Bond Global 60/40
60/40 MSCI World Index,1-3 Years, Composite
Portfolio - Index Currency-Hedged Index
Class R2 (net dividends) in USD Terms (MSCI/Citigroup)
----------------- --------------- --------------- ----------------
10/31/2007 $10,000 $10,000 $10,000 $10,000
11/30/2007 9,662 9,591 10,094 9,792
12/31/2007 9,600 9,468 10,124 9,728
1/31/2008 9,264 8,744 10,246 9,329
2/29/2008 9,175 8,693 10,301 9,317
3/31/2008 9,153 8,610 10,301 9,263
4/30/2008 9,407 9,063 10,263 9,542
5/31/2008 9,534 9,201 10,230 9,617
6/30/2008 9,027 8,467 10,235 9,158
7/31/2008 8,959 8,260 10,291 9,044
8/31/2008 8,899 8,144 10,337 8,984
9/30/2008 8,277 7,175 10,406 8,367
10/31/2008 7,186 5,815 10,535 7,457
11/30/2008 6,855 5,439 10,607 7,187
12/31/2008 7,111 5,613 10,686 7,347
1/31/2009 6,634 5,121 10,708 6,967
2/28/2009 6,194 4,597 10,725 6,543
3/31/2009 6,625 4,944 10,768 6,850
4/30/2009 7,225 5,498 10,776 7,313
5/31/2009 7,672 5,997 10,798 7,717
6/30/2009 7,672 5,969 10,807 7,698
7/31/2009 8,137 6,475 10,833 8,097
8/31/2009 8,381 6,742 10,860 8,306
9/30/2009 8,681 7,011 10,885 8,512
10/31/2009 8,512 6,886 10,896 8,424
11/30/2009 8,765 7,168 10,930 8,641
12/31/2009 8,901 7,296 10,906 8,727
1/31/2010 8,732 6,995 10,934 8,520
2/28/2010 8,878 7,093 10,968 8,602
3/31/2010 9,266 7,533 10,967 8,922
4/30/2010 9,412 7,534 10,965 8,922
5/31/2010 8,866 6,812 11,009 8,423
6/30/2010 8,648 6,578 11,021 8,253
7/31/2010 9,127 7,112 11,045 8,662
8/31/2010 8,872 6,846 11,070 8,476
9/30/2010 9,464 7,485 11,063 8,948
10/31/2010 9,705 7,764 11,075 9,152
11/30/2010 9,627 7,596 11,047 9,024
12/31/2010 10,097 8,155 11,053 9,424
1/31/2011 10,207 8,339 11,053 9,552
2/28/2011 10,433 8,631 11,050 9,752
3/31/2011 10,487 8,546 11,044 9,692
4/30/2011 10,785 8,909 11,063 9,945
5/31/2011 10,668 8,724 11,093 9,833
6/30/2011 10,549 8,586 11,098 9,741
7/31/2011 10,455 8,430 11,110 9,639
8/31/2011 9,998 7,836 11,174 9,254
9/30/2011 9,281 7,159 11,173 8,774
10/31/2011 10,008 7,900 11,163 9,315
11/30/2011 9,874 7,707 11,148 9,174
12/31/2011 9,856 7,703 11,211 9,192
1/31/2012 10,296 8,089 11,242 9,479
2/29/2012 10,608 8,484 11,257 9,761
3/31/2012 10,672 8,594 11,253 9,836
4/30/2012 10,608 8,496 11,263 9,772
5/31/2012 10,032 7,763 11,259 9,264
6/30/2012 10,331 8,158 11,272 9,552
7/31/2012 10,403 8,263 11,292 9,632
8/31/2012 10,604 8,472 11,319 9,788
9/30/2012 10,830 8,705 11,332 9,954
10/31/2012 10,814 8,646 11,338 9,916
11/30/2012 10,903 8,757 11,354 9,998
12/31/2012 11,106 8,922 11,363 10,113
1/31/2013 11,432 9,376 11,366 10,424
2/28/2013 11,473 9,392 11,380 10,439
3/31/2013 11,687 9,612 11,388 10,589
4/30/2013 11,842 9,914 11,411 10,797
5/31/2013 11,858 9,918 11,398 10,795
6/30/2013 11,609 9,674 11,385 10,630
7/31/2013 12,035 10,183 11,406 10,974
8/31/2013 11,805 9,966 11,402 10,832
9/30/2013 12,261 10,465 11,424 11,166
10/31/2013 12,581 10,874 11,445 11,436
11/30/2013 12,713 11,068 11,459 11,563
12/31/2013 12,856 11,302 11,450 11,707
1/31/2014 12,608 10,883 11,473 11,456
2/28/2014 13,013 11,428 11,482 11,804
3/31/2014 13,086 11,445 11,482 11,814
4/30/2014 13,127 11,562 11,492 11,891
5/31/2014 13,301 11,789 11,508 12,038
6/30/2014 13,518 12,000 11,516 12,170
7/31/2014 13,293 11,809 11,517 12,054
8/31/2014 13,576 12,069 11,534 12,221
9/30/2014 13,193 11,741 11,534 12,022
10/31/2014 13,318 11,817 11,551 12,075
11/30/2014 13,418 12,054 11,566 12,227
12/31/2014 13,304 11,860 11,560 12,106
1/31/2015 13,187 11,645 11,597 11,990
2/28/2015 13,631 12,327 11,590 12,409
3/31/2015 13,553 12,134 11,607 12,299
4/30/2015 13,721 12,419 11,610 12,473
5/31/2015 13,738 12,462 11,618 12,503
6/30/2015 13,540 12,172 11,616 12,327
7/31/2015 13,506 12,390 11,628 12,465
8/31/2015 12,983 11,570 11,626 11,969
9/30/2015 12,749 11,144 11,647 11,714
10/31/2015 13,282 12,027 11,650 12,271
11/30/2015 13,282 11,967 11,642 12,232
12/31/2015 13,041 11,756 11,641 12,102
1/31/2016 12,615 11,053 11,689 11,687
2/29/2016 12,632 10,971 11,705 11,642
3/31/2016 13,304 11,715 11,715 12,120
4/30/2016 13,424 11,901 11,723 12,238
5/31/2016 13,458 11,968 11,724 12,280
6/30/2016 13,502 11,833 11,771 12,217
7/31/2016 13,889 12,333 11,771 12,527
8/31/2016 13,923 12,344 11,766 12,531
9/30/2016 13,994 12,409 11,784 12,578
10/31/2016 13,795 12,169 11,779 12,430
11/30/2016 14,019 12,344 11,759 12,529
12/31/2016 14,191 12,639 11,779 12,717
1/31/2017 14,435 12,945 11,787 12,905 Past performance is not predictive of
2/28/2017 14,679 13,304 11,804 13,127 future performance.
3/31/2017 14,735 13,445 11,807 13,213 The returns shown do not reflect the
4/30/2017 14,866 13,644 11,826 13,338 deduction of taxes that a shareholder
5/31/2017 14,971 13,933 11,841 13,515 would pay on fund distributions or the
6/30/2017 15,075 13,987 11,834 13,543 redemption of fund shares.
7/31/2017 15,321 14,321 11,859 13,748 MSCI data copyright MSCI 2017, all
8/31/2017 15,330 14,342 11,883 13,771 rights reserved.
9/30/2017 15,545 14,663 11,876 13,953 Citi fixed income indices copyright 2017
10/31/2017 15,756 14,941 11,888 14,117 by Citigroup.
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL ONE FIVE TEN for additional details. MSCI data
TOTAL RETURN YEAR YEARS YEARS copyright MSCI 2017, all rights reserved.
--------------------------------------------------------------- Citi fixed income indices copyright 2017
14.21% 7.82% 4.65% by Citigroup.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
Global Allocation 25/75 Portfolio - Institutional Class vs.
MSCI World Index (net dividends),
Citi World Government Bond Index, 1-3 Years, Currency-Hedged in USD Terms,
Global 25/75 Composite Index (MSCI/Citi)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Citi World
Global Allocation Government Bond Global 25/75
25/75 Portfolio - MSCI World Index,1-3 Years, Composite
Institutional Index Currency-Hedged Index
Class (net dividends) in USD Terms (MSCI/Citigroup)
----------------- --------------- ---------------- ----------------
10/31/2007 $10,000 $10,000 $10,000 $10,000
11/30/2007 9,879 9,591 10,094 9,968
12/31/2007 9,880 9,468 10,124 9,958
1/31/2008 9,765 8,744 10,246 9,858
2/29/2008 9,748 8,693 10,301 9,883
3/31/2008 9,738 8,610 10,301 9,860
4/30/2008 9,844 9,063 10,263 9,962
5/31/2008 9,897 9,201 10,230 9,976
6/30/2008 9,688 8,467 10,235 9,781
7/31/2008 9,688 8,260 10,291 9,761
8/31/2008 9,705 8,144 10,337 9,760
9/30/2008 9,400 7,175 10,406 9,518
10/31/2008 8,936 5,815 10,535 9,156
11/30/2008 8,838 5,439 10,607 9,055
12/31/2008 9,020 5,613 10,686 9,177
1/31/2009 8,793 5,121 10,708 8,991
2/28/2009 8,529 4,597 10,725 8,771
3/31/2009 8,840 4,944 10,768 8,963
4/30/2009 9,186 5,498 10,776 9,220
5/31/2009 9,459 5,997 10,798 9,442
6/30/2009 9,491 5,969 10,807 9,438
7/31/2009 9,765 6,475 10,833 9,655
8/31/2009 9,930 6,742 10,860 9,772
9/30/2009 10,114 7,011 10,885 9,887
10/31/2009 10,068 6,886 10,896 9,850
11/30/2009 10,253 7,168 10,930 9,974
12/31/2009 10,272 7,296 10,906 10,002
1/31/2010 10,254 6,995 10,934 9,918
2/28/2010 10,329 7,093 10,968 9,976
3/31/2010 10,507 7,533 10,967 10,130
4/30/2010 10,639 7,534 10,965 10,129
5/31/2010 10,385 6,812 11,009 9,917
6/30/2010 10,325 6,578 11,021 9,840
7/31/2010 10,588 7,112 11,045 10,055
8/31/2010 10,513 6,846 11,070 9,978
9/30/2010 10,830 7,485 11,063 10,207
10/31/2010 10,991 7,764 11,075 10,310
11/30/2010 10,925 7,596 11,047 10,235
12/31/2010 11,106 8,155 11,053 10,427
1/31/2011 11,183 8,339 11,053 10,486
2/28/2011 11,297 8,631 11,050 10,575
3/31/2011 11,333 8,546 11,044 10,545
4/30/2011 11,515 8,909 11,063 10,670
5/31/2011 11,496 8,724 11,093 10,637
6/30/2011 11,460 8,586 11,098 10,598
7/31/2011 11,488 8,430 11,110 10,559
8/31/2011 11,305 7,836 11,174 10,419
9/30/2011 10,978 7,159 11,173 10,193
10/31/2011 11,346 7,900 11,163 10,450
11/30/2011 11,288 7,707 11,148 10,375
12/31/2011 11,287 7,703 11,211 10,418
1/31/2012 11,551 8,089 11,242 10,570
2/29/2012 11,688 8,484 11,257 10,710
3/31/2012 11,722 8,594 11,253 10,742
4/30/2012 11,732 8,496 11,263 10,718
5/31/2012 11,516 7,763 11,259 10,484
6/30/2012 11,641 8,158 11,272 10,627
7/31/2012 11,720 8,263 11,292 10,675
8/31/2012 11,818 8,472 11,319 10,762
9/30/2012 11,938 8,705 11,332 10,845
10/31/2012 11,938 8,646 11,338 10,831
11/30/2012 11,997 8,757 11,354 10,877
12/31/2012 12,078 8,922 11,363 10,935
1/31/2013 12,217 9,376 11,366 11,076
2/28/2013 12,257 9,392 11,380 11,091
3/31/2013 12,365 9,612 11,388 11,162
4/30/2013 12,455 9,914 11,411 11,266
5/31/2013 12,405 9,918 11,398 11,258
6/30/2013 12,232 9,674 11,385 11,179
7/31/2013 12,442 10,183 11,406 11,342
8/31/2013 12,322 9,966 11,402 11,278
9/30/2013 12,540 10,465 11,424 11,435
10/31/2013 12,700 10,874 11,445 11,563
11/30/2013 12,760 11,068 11,459 11,625
12/31/2013 12,784 11,302 11,450 11,680
1/31/2014 12,734 10,883 11,473 11,589
2/28/2014 12,905 11,428 11,482 11,741
3/31/2014 12,921 11,445 11,482 11,745
4/30/2014 12,962 11,562 11,492 11,783
5/31/2014 13,083 11,789 11,508 11,854
6/30/2014 13,170 12,000 11,516 11,912
7/31/2014 13,078 11,809 11,517 11,866
8/31/2014 13,220 12,069 11,534 11,945
9/30/2014 13,037 11,741 11,534 11,864
10/31/2014 13,119 11,817 11,551 11,895
11/30/2014 13,190 12,054 11,566 11,967
12/31/2014 13,116 11,860 11,560 11,914
1/31/2015 13,168 11,645 11,597 11,889
2/28/2015 13,322 12,327 11,590 12,058
3/31/2015 13,306 12,134 11,607 12,023
4/30/2015 13,368 12,419 11,610 12,096
5/31/2015 13,378 12,462 11,618 12,113
6/30/2015 13,285 12,172 11,616 12,041
7/31/2015 13,295 12,390 11,628 12,104
8/31/2015 13,077 11,570 11,626 11,902
9/30/2015 13,004 11,144 11,647 11,809
10/31/2015 13,222 12,027 11,650 12,045
11/30/2015 13,212 11,967 11,642 12,024
12/31/2015 13,081 11,756 11,641 11,970
1/31/2016 12,987 11,053 11,689 11,828
2/29/2016 13,008 10,971 11,705 11,819
3/31/2016 13,332 11,715 11,715 12,027
4/30/2016 13,395 11,901 11,723 12,080
5/31/2016 13,405 11,968 11,724 12,098
6/30/2016 13,491 11,833 11,771 12,100
7/31/2016 13,659 12,333 11,771 12,228
8/31/2016 13,670 12,344 11,766 12,227
9/30/2016 13,708 12,409 11,784 12,257
10/31/2016 13,624 12,169 11,779 12,194
11/30/2016 13,656 12,344 11,759 12,223
12/31/2016 13,731 12,639 11,779 12,311
1/31/2017 13,848 12,945 11,787 12,391 Past performance is not predictive of
2/28/2017 13,965 13,304 11,804 12,491 future performance.
3/31/2017 13,995 13,445 11,807 12,527 The returns shown do not reflect the
4/30/2017 14,091 13,644 11,826 12,588 deduction of taxes that a shareholder
5/31/2017 14,134 13,933 11,841 12,667 would pay on fund distributions or the
6/30/2017 14,156 13,987 11,834 12,673 redemption of fund shares.
7/31/2017 14,284 14,321 11,859 12,769 MSCI data copyright MSCI 2017, all
8/31/2017 14,317 14,342 11,883 12,793 rights reserved.
9/30/2017 14,380 14,663 11,876 12,859 Citi fixed income indices copyright 2017
10/31/2017 14,488 14,941 11,888 12,929 by Citigroup.
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL ONE FIVE TEN for additional details. MSCI data
TOTAL RETURN YEAR YEARS YEARS copyright MSCI 2017, all rights reserved.
--------------------------------------------------------------- Citi fixed income indices copyright 2017
6.34% 3.95% 3.78% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Global Allocation 25/75 Portfolio - Class R2 vs.
MSCI World Index (net dividends),
Citi World Government Bond Index, 1-3 Years, Currency-Hedged in USD Terms,
Global 25/75 Composite Index (MSCI/Citi)
OCTOBER 31, 2007-OCTOBER 31, 2017
[CHART]
Citi World
Global Government Bond Global 25/75
Allocation 25/75 MSCI World Index,1-3 Years, Composite
Portfolio - Index Currency-Hedged Index
Class R2 (net dividends) in USD Terms (MSCI/Citigroup)
---------------- --------------- --------------- ----------------
10/31/2007 $10,000 $10,000 $10,000 $10,000
11/30/2007 9,879 9,591 10,094 9,968
12/31/2007 9,877 9,468 10,124 9,958
1/31/2008 9,762 8,744 10,246 9,858
2/29/2008 9,736 8,693 10,301 9,883
3/31/2008 9,728 8,610 10,301 9,860
4/30/2008 9,825 9,063 10,263 9,962
5/31/2008 9,878 9,201 10,230 9,976
6/30/2008 9,664 8,467 10,235 9,781
7/31/2008 9,656 8,260 10,291 9,761
8/31/2008 9,682 8,144 10,337 9,760
9/30/2008 9,363 7,175 10,406 9,518
10/31/2008 8,911 5,815 10,535 9,156
11/30/2008 8,804 5,439 10,607 9,055
12/31/2008 8,986 5,613 10,686 9,177
1/31/2009 8,752 5,121 10,708 8,991
2/28/2009 8,500 4,597 10,725 8,771
3/31/2009 8,797 4,944 10,768 8,963
4/30/2009 9,149 5,498 10,776 9,220
5/31/2009 9,410 5,997 10,798 9,442
6/30/2009 9,443 5,969 10,807 9,438
7/31/2009 9,714 6,475 10,833 9,655
8/31/2009 9,868 6,742 10,860 9,772
9/30/2009 10,052 7,011 10,885 9,887
10/31/2009 9,997 6,886 10,896 9,850
11/30/2009 10,189 7,168 10,930 9,974
12/31/2009 10,202 7,296 10,906 10,002
1/31/2010 10,183 6,995 10,934 9,918
2/28/2010 10,248 7,093 10,968 9,976
3/31/2010 10,436 7,533 10,967 10,130
4/30/2010 10,556 7,534 10,965 10,129
5/31/2010 10,306 6,812 11,009 9,917
6/30/2010 10,247 6,578 11,021 9,840
7/31/2010 10,479 7,112 11,045 10,055
8/31/2010 10,405 6,846 11,070 9,978
9/30/2010 10,709 7,485 11,063 10,207
10/31/2010 10,867 7,764 11,075 10,310
11/30/2010 10,802 7,596 11,047 10,235
12/31/2010 10,972 8,155 11,053 10,427
1/31/2011 11,047 8,339 11,053 10,486
2/28/2011 11,150 8,631 11,050 10,575
3/31/2011 11,177 8,546 11,044 10,545
4/30/2011 11,356 8,909 11,063 10,670
5/31/2011 11,337 8,724 11,093 10,637
6/30/2011 11,288 8,586 11,098 10,598
7/31/2011 11,316 8,430 11,110 10,559
8/31/2011 11,137 7,836 11,174 10,419
9/30/2011 10,802 7,159 11,173 10,193
10/31/2011 11,162 7,900 11,163 10,450
11/30/2011 11,096 7,707 11,148 10,375
12/31/2011 11,100 7,703 11,211 10,418
1/31/2012 11,348 8,089 11,242 10,570
2/29/2012 11,492 8,484 11,257 10,710
3/31/2012 11,518 8,594 11,253 10,742
4/30/2012 11,528 8,496 11,263 10,718
5/31/2012 11,308 7,763 11,259 10,484
6/30/2012 11,423 8,158 11,272 10,627
7/31/2012 11,500 8,263 11,292 10,675
8/31/2012 11,596 8,472 11,319 10,762
9/30/2012 11,714 8,705 11,332 10,845
10/31/2012 11,705 8,646 11,338 10,831
11/30/2012 11,763 8,757 11,354 10,877
12/31/2012 11,839 8,922 11,363 10,935
1/31/2013 11,975 9,376 11,366 11,076
2/28/2013 12,014 9,392 11,380 11,091
3/31/2013 12,105 9,612 11,388 11,162
4/30/2013 12,192 9,914 11,411 11,266
5/31/2013 12,143 9,918 11,398 11,258
6/30/2013 11,977 9,674 11,385 11,179
7/31/2013 12,172 10,183 11,406 11,342
8/31/2013 12,045 9,966 11,402 11,278
9/30/2013 12,268 10,465 11,424 11,435
10/31/2013 12,424 10,874 11,445 11,563
11/30/2013 12,483 11,068 11,459 11,625
12/31/2013 12,495 11,302 11,450 11,680
1/31/2014 12,446 10,883 11,473 11,589
2/28/2014 12,613 11,428 11,482 11,741
3/31/2014 12,624 11,445 11,482 11,745
4/30/2014 12,663 11,562 11,492 11,783
5/31/2014 12,781 11,789 11,508 11,854
6/30/2014 12,857 12,000 11,516 11,912
7/31/2014 12,768 11,809 11,517 11,866
8/31/2014 12,897 12,069 11,534 11,945
9/30/2014 12,670 11,741 11,534 11,864
10/31/2014 12,758 11,817 11,551 11,895
11/30/2014 12,818 12,054 11,566 11,967
12/31/2014 12,745 11,860 11,560 11,914
1/31/2015 12,795 11,645 11,597 11,889
2/28/2015 12,935 12,327 11,590 12,058
3/31/2015 12,923 12,134 11,607 12,023
4/30/2015 12,984 12,419 11,610 12,096
5/31/2015 12,994 12,462 11,618 12,113
6/30/2015 12,893 12,172 11,616 12,041
7/31/2015 12,903 12,390 11,628 12,104
8/31/2015 12,692 11,570 11,626 11,902
9/30/2015 12,611 11,144 11,647 11,809
10/31/2015 12,822 12,027 11,650 12,045
11/30/2015 12,812 11,967 11,642 12,024
12/31/2015 12,681 11,756 11,641 11,970
1/31/2016 12,580 11,053 11,689 11,828
2/29/2016 12,600 10,971 11,705 11,819
3/31/2016 12,919 11,715 11,715 12,027
4/30/2016 12,969 11,901 11,723 12,080
5/31/2016 12,980 11,968 11,724 12,098
6/30/2016 13,058 11,833 11,771 12,100
7/31/2016 13,221 12,333 11,771 12,228
8/31/2016 13,232 12,344 11,766 12,227
9/30/2016 13,271 12,409 11,784 12,257
10/31/2016 13,178 12,169 11,779 12,194
11/30/2016 13,209 12,344 11,759 12,223
12/31/2016 13,278 12,639 11,779 12,311
1/31/2017 13,381 12,945 11,787 12,391 Past performance is not predictive of
2/28/2017 13,505 13,304 11,804 12,491 future performance.
3/31/2017 13,527 13,445 11,807 12,527 The returns shown do not reflect the
4/30/2017 13,610 13,644 11,826 12,588 deduction of taxes that a shareholder
5/31/2017 13,662 13,933 11,841 12,667 would pay on fund distributions or the
6/30/2017 13,674 13,987 11,834 12,673 redemption of fund shares.
7/31/2017 13,788 14,321 11,859 12,769 MSCI data copyright MSCI 2017, all
8/31/2017 13,830 14,342 11,883 12,793 rights reserved.
9/30/2017 13,873 14,663 11,876 12,859 Citi fixed income indices copyright 2017
10/31/2017 13,977 14,941 11,888 12,929 by Citigroup.
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL ONE FIVE TEN for additional details. MSCI data
TOTAL RETURN YEAR YEARS YEARS copyright MSCI 2017, all rights reserved.
--------------------------------------------------------------- Citi fixed income indices copyright 2017
6.06% 3.61% 3.40% by Citigroup.
--------------------------------------------------------------------------------
4
DIMENSIONAL INVESTMENT 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.
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%
5
12 MONTHS ENDED OCTOBER 31, 2017
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
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%
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.
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 shorterterm 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
6
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 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%
----------
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.
GLOBAL EQUITY PORTFOLIO
The Global Equity 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. Core Equity 2 Portfolio, and the DFA
Real Estate Securities Portfolio; and the Portfolio's investments in the
international equity funds included the International Core Equity 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 12,000 equity securities in 44 countries.
7
For the 12 months ended October 31, 2017, total returns were 24.33% for the
Portfolio's Institutional Class shares, 23.98% for the Portfolio's Class R2
shares, and 22.77% for the MSCI 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 performance relative to the benchmark (which is
mostly composed of large- and mid-cap stocks).
GLOBAL ALLOCATION 60/40 PORTFOLIO
The Global Allocation 60/40 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. 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, and the DFA
Real Estate Securities Portfolio; the Portfolio's investments in international
equity funds included the International Core Equity Portfolio and the Emerging
Markets Core Equity Portfolio (collectively, the "Equity Underlying Funds");
and the Portfolio's investments in fixed income funds included the DFA
Short-Term Extended Quality Portfolio, the DFA Five-Year Global Fixed Income
Portfolio, the DFA Inflation-Protected Securities Portfolio, the DFA
Selectively Hedged Global Fixed Income Portfolio, the DFA Intermediate-Term
Extended Quality Portfolio, and the DFA World ex U.S. Government Fixed Income
Portfolio (the "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 1,100
fixed income securities in 20 countries, excluding supranationals.
For the 12 months ended October 31, 2017, total returns were 14.54% for the
Portfolio's Institutional Class shares, 14.21% for the Portfolio's Class R2
shares, and 13.57% for the Portfolio's composite benchmark, a hypothetical
composite index composed of 60% MSCI World Index (net dividends) and 40% 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-caps 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 fixed income component of the benchmark was the primary driver
of outperformance during a period in which credit premiums were positive. This
was partly offset by the Portfolio's Fixed Income Underlying Funds' longer
duration in a period of rising interest rates, which detracted from relative
performance.
GLOBAL ALLOCATION 25/75 PORTFOLIO
The Global Allocation 25/75 Portfolio seeks total return consistent with
current income and preservation of capital with some capital appreciation by
investing in a combination of mutual funds managed by Dimensional. The
Portfolio allocates the majority of its assets to fixed income funds, but also
invests a portion of its assets in domestic and international equity 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, and the DFA Real Estate Securities Portfolio; the Portfolio's
investments in international equity funds included the International Core
Equity Portfolio and the Emerging Markets Core Equity Portfolio (collectively,
the "Equity Underlying Funds"); and the Portfolio's investments in fixed income
funds included the DFA Two-Year Global Fixed Income Portfolio, the DFA
Inflation-Protected Securities Portfolio, the DFA Short-Term Extended Quality
Portfolio, and the DFA World ex U.S. Government Fixed Income Portfolio (the
"Fixed Income Underlying Funds," and, collectively with the Equity
8
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 750
fixed income securities in 19 countries, excluding supranationals.
For the 12 months ended October 31, 2017, total returns were 6.34% for the
Portfolio's Institutional Class shares, 6.06% for the Portfolio's Class R2
shares, and 6.03% for the Portfolio's composite benchmark, hypothetical
composite index composed of 25% MSCI World Index (net dividends) and 75% 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-caps 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).
The Portfolio's Fixed Income Underlying Funds' greater weight in U.S.
dollar-denominated corporate securities contributed positively to performance
relative to the fixed income component of the benchmark. During the period,
corporate securities outperformed government securities, and the fixed income
component of the benchmark only holds government securities. The Fixed Income
Underlying Funds' allocation to U.S. TIPS (Treasury Inflation-Protected
Securities) detracted from performance relative to the fixed income component
of the benchmark, as real interest rates increased during this period and
negatively impacted the performance of U.S. TIPS.
9
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*
--------- --------- ---------- --------
GLOBAL EQUITY PORTFOLIO**
-------------------------
Actual Fund Return
Class R2 Shares.............. $1,000.00 $1,093.90 0.53% $2.80
Institutional Class Shares... $1,000.00 $1,095.30 0.28% $1.48
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,022.53 0.53% $2.70
Institutional Class Shares... $1,000.00 $1,023.79 0.28% $1.43
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*
--------- --------- ---------- --------
GLOBAL ALLOCATION 60/40 PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,059.90 0.54% $2.80
Institutional Class Shares......... $1,000.00 $1,060.90 0.29% $1.51
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.48 0.54% $2.75
Institutional Class Shares......... $1,000.00 $1,023.74 0.29% $1.48
GLOBAL ALLOCATION 25/75 PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,026.90 0.51% $2.61
Institutional Class Shares......... $1,000.00 $1,028.10 0.26% $1.33
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.63 0.51% $2.60
Institutional Class Shares......... $1,000.00 $1,023.89 0.26% $1.33
----------
* 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 Fund of Fund's portion of the expenses
of its Underlying Funds (Affiliated Investment Companies).
11
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.
AFFILIATED INVESTMENT COMPANIES
-------------------------------
Global Equity Portfolio........... 100.0%
Global Allocation 60/40 Portfolio. 100.0%
Global Allocation 25/75 Portfolio. 100.0%
12
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................................ 150,658,960 $3,148,772,271
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 106,703,485 1,518,390,596
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 47,787,872 1,051,811,059
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 21,906,682 490,271,536
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 4,652,728 162,798,955
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $4,176,605,357)........................................... 6,372,044,417
--------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 0.960%
(Cost $2,499,570).................................................. 2,499,570 2,499,570
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,179,104,927)........................................... $6,374,543,987
==============
At October 31, 2017, 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)... 340 12/15/17 $43,728,834 $43,735,900 $7,066
----------- ----------- ------
TOTAL FUTURES CONTRACTS....................... $43,728,834 $43,735,900 $7,066
=========== =========== ======
Summary of the Global 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......... $6,372,044,417 -- -- $6,372,044,417
Temporary Cash Investments.............. 2,499,570 -- -- 2,499,570
Futures Contracts**..................... 7,066 -- -- 7,066
-------------- -- -- --------------
TOTAL................................... $6,374,551,053 -- -- $6,374,551,053
============== == == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
13
GLOBAL ALLOCATION 60/40 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................................. 54,497,149 $1,138,990,404
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 59,285,234 572,695,359
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 39,521,685 562,393,584
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 35,205,512 381,979,800
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................. 17,353,315 381,946,465
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 17,523,048 190,125,067
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 17,208,102 189,805,362
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 8,130,045 181,950,413
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 9,236,538 94,397,418
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 7,972,662 93,997,682
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 1,691,603 59,189,198
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $3,022,738,513)............................................ $3,847,470,752
==============
Summary of the Global 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.................... $3,847,470,752 -- -- $3,847,470,752
-------------- -- -- --------------
TOTAL......................... $3,847,470,752 -- -- $3,847,470,752
============== == == ==============
See accompanying Notes to Financial Statements.
14
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 25,235,808 $252,105,726
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................ 23,214,040 251,872,338
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................ 4,969,204 103,856,359
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 7,851,206 92,565,723
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 3,601,431 51,248,367
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 1,580,306 34,782,545
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 3,274,633 33,466,748
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 755,724 16,913,095
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 153,664 5,376,698
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $742,176,905)............................................. $842,187,599
============
Summary of the Global 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.................... $842,187,599 -- -- $842,187,599
------------ -- -- ------------
TOTAL......................... $842,187,599 -- -- $842,187,599
============ == == ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
GLOBAL GLOBAL
GLOBAL EQUITY ALLOCATION ALLOCATION
PORTFOLIO 60/40 PORTFOLIO 25/75 PORTFOLIO
------------- --------------- ---------------
ASSETS:
Investments in Affiliated
Investment Companies at Value..... $ 6,372,044 $ 3,847,471 $ 842,188
Temporary Cash Investments at
Value & Cost...................... 2,500 -- --
Receivables:
Affiliated Investment Companies
Sold............................ 43,639 1,511 277
Interest.......................... 2 1 --
Fund Shares Sold.................. 5,647 2,393 1,006
Futures Margin Variation.......... 7 -- --
Prepaid Expenses and Other Assets.. 55 59 13
------------ ------------ ------------
Total Assets.................. 6,423,894 3,851,435 843,484
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.............. 2,630 3,868 350
Due to Advisor.................... 215 149 32
Line of Credit.................... -- 975 606
Accrued Expenses and Other
Liabilities....................... 317 193 48
------------ ------------ ------------
Total Liabilities............. 3,162 5,185 1,036
------------ ------------ ------------
NET ASSETS......................... $ 6,420,732 $ 3,846,250 $ 842,448
============ ============ ============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net
assets of $30,644; $6,902 and
$902 and shares outstanding of
1,352,159; 384,752 and 67,123,
respectively...................... $ 22.66 $ 17.94 $ 13.44
============ ============ ============
NUMBER OF SHARES AUTHORIZED........ 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares --
based on net assets of
$6,390,088; $3,839,348 and
$841,546 and shares outstanding
of 283,627,206; 215,211,520 and
62,450,642, respectively.......... $ 22.53 $ 17.84 $ 13.48
============ ============ ============
NUMBER OF SHARES AUTHORIZED........ 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated
Investment Companies at Cost...... $ 4,176,605 $ 3,022,739 $ 742,177
------------ ------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital.................... $ 4,344,959 $ 3,038,775 $ 747,242
Undistributed Net Investment
Income (Distributions in Excess
of Net Investment Income)......... (125) (78) 27
Accumulated Net Realized Gain
(Loss)............................ (119,548) (17,179) (4,832)
Net Unrealized Appreciation
(Depreciation).................... 2,195,446 824,732 100,011
------------ ------------ ------------
NET ASSETS......................... $ 6,420,732 $ 3,846,250 $ 842,448
============ ============ ============
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2017
(AMOUNTS IN THOUSANDS)
GLOBAL GLOBAL
GLOBAL EQUITY ALLOCATION ALLOCATION
PORTFOLIO 60/40 PORTFOLIO 25/75 PORTFOLIO
------------- --------------- ---------------
INVESTMENT INCOME
Net Investment Income
Received from Affiliated
Investment Companies
Income Distributions.......... $ 107,456 $ 64,954 $12,306
---------- -------- -------
Total Investment Income
Received from
Affiliated Investment
Companies.................. 107,456 64,954 12,306
---------- -------- -------
FUND INVESTMENT INCOME
Dividends....................... 17 11 3
---------- -------- -------
FUND EXPENSES
Investment Management Fees...... 17,017 8,783 1,587
Accounting & Transfer Agent
Fees.......................... 184 97 26
Custodian Fees.................. 1 1 1
Shareholder Servicing Fees
-- Class R2 Shares............ 68 16 2
Filing Fees..................... 172 139 64
Shareholders' Reports........... 164 91 21
Directors'/Trustees' Fees &
Expenses...................... 55 34 8
Professional Fees............... 40 25 6
Other........................... 23 22 7
---------- -------- -------
Total Expenses.............. 17,724 9,208 1,722
---------- -------- -------
Fees Waived, (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor (Note
C)
Institutional Class Shares.... (15,209) (7,445) (1,272)
Class R2 Shares............... (73) (14) (1)
---------- -------- -------
Net Expenses.................... 2,442 1,749 449
---------- -------- -------
NET INVESTMENT INCOME (LOSS).... 105,031 63,216 11,860
---------- -------- -------
REALIZED AND UNREALIZED GAIN
(LOSS)
Capital Gain Distributions
Received from Affiliated
Investment Companies.......... 21,988 9,719 1,092
Net Realized Gain (Loss) on:
Investment Companies
Shares Sold................. 27 23 3
Affiliated Investment
Companies Shares Sold....... 8,670 625 1,570
Change in Unrealized
Appreciation
(Depreciation) of:
Affiliated Investment
Companies Shares............ 1,075,454 397,790 34,194
Futures....................... 7 -- --
---------- -------- -------
NET REALIZED AND UNREALIZED
GAIN (LOSS)................... 1,106,146 408,157 36,859
---------- -------- -------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS...................... $1,211,177 $471,373 $48,719
========== ======== =======
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
GLOBAL ALLOCATION 60/40 GLOBAL ALLOCATION 25/75
GLOBAL EQUITY 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)................ $ 105,031 $ 89,447 $ 63,216 $ 57,596 $ 11,860 $ 10,883
Capital Gain Distributions Received from
Affiliated Investment Companies............ 21,988 51,451 9,719 22,681 1,092 2,512
Net Realized Gain (Loss) on:
Investment Securities Sold................ 27 (13,593) 23 (18,760) 3 (922)
Affiliated Investment Companies
Shares Sold.............................. 8,670 -- 625 -- 1,570 --
Change in Unrealized Appreciation
(Depreciation) of:
Affiliated Investment Companies
Shares................................... 1,075,454 46,736 397,790 57,880 34,194 8,968
Futures................................... 7 -- -- -- -- --
---------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.............................. 1,211,177 174,041 471,373 119,397 48,719 21,441
---------- ---------- ---------- ---------- --------- ---------
Distributions From:
Net Investment Income:
Class R2 Shares........................... (448) (928) (103) (109) (12) (9)
Institutional Class Shares................ (104,823) (88,883) (63,700) (58,073) (12,219) (10,168)
Net Short-Term Gains:
Net Long-Term Gains:
Class R2 Shares........................... -- -- (9) -- (3) --
Institutional Class Shares................ -- -- (4,870) -- (2,544) (7)
---------- ---------- ---------- ---------- --------- ---------
Total Distributions...................... (105,271) (89,811) (68,682) (58,182) (14,778) (10,184)
---------- ---------- ---------- ---------- --------- ---------
Capital Share Transactions:
Shares Issued............................... 1,397,796 1,237,609 1,037,853 976,894 228,286 177,650
Shares Issued in Lieu of Cash
Distributions.............................. 104,442 89,070 67,662 57,170 14,716 10,153
Shares Redeemed............................. (988,697) (991,702) (760,979) (955,941) (161,801) (184,254)
---------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) from Capital
Share Transactions...................... 513,541 334,977 344,536 78,123 81,201 3,549
---------- ---------- ---------- ---------- --------- ---------
Total Increase (Decrease) in Net
Assets.................................. 1,619,447 419,207 747,227 139,338 115,142 14,806
NET ASSETS
Beginning of Year........................... 4,801,285 4,382,078 3,099,023 2,959,685 727,306 712,500
---------- ---------- ---------- ---------- --------- ---------
End of Year................................. $6,420,732 $4,801,285 $3,846,250 $3,099,023 $ 842,448 $ 727,306
========== ========== ========== ========== ========= =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)........................... $ (125) $ (90) $ (78) $ 1,120 $ 27 $ 549
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R2 SHARES
GLOBAL EQUITY 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... $ 18.58 $ 18.32 $ 18.66 $ 17.44 $13.78
------- ------- ------- ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.34 0.34 0.31 0.28 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 4.08 0.26 (0.34) 1.24 3.67
------- ------- ------- ------- ------
Total from Investment Operations.. 4.42 0.60 (0.03) 1.52 3.94
------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.34) (0.34) (0.31) (0.30) (0.28)
Net Realized Gains.................. -- -- -- -- --
------- ------- ------- ------- ------
Total Distributions............... (0.34) (0.34) (0.31) (0.30) (0.28)
------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 22.66 $ 18.58 $ 18.32 $ 18.66 $17.44
=================================== ======== ======== ======== ======== ========
Total Return......................... 23.98% 3.37% (0.16)% 8.73% 28.87%
------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $30,644 $19,844 $50,269 $10,109 $5,517
Ratio of Expenses to Average Net
Assets (B).......................... 0.55% 0.55% 0.57% 0.56% 0.57%
Ratio of Expenses to Average Net
Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by Advisor)
(B)................................. 0.82% 0.83% 0.86% 0.85% 0.87%
Ratio of Net Investment Income to
Average Net Assets.................. 1.62% 1.89% 1.67% 1.54% 1.76%
------------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 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... $15.99 $15.70 $16.01 $15.32 $ 13.40
------ ------ ------ ------ -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.26 0.26 0.26 0.22 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 1.99 0.33 (0.31) 0.67 1.93
------ ------ ------ ------ -------
Total from Investment Operations.. 2.25 0.59 (0.05) 0.89 2.17
---------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.28) (0.30) (0.26) (0.20) (0.25)
Net Realized Gains.................. (0.02) -- -- -- --
------ ------ ------ ------ -------
Total Distributions............... (0.30) (0.30) (0.26) (0.20) (0.25)
---------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $17.94 $15.99 $15.70 $16.01 $ 15.32
=================================== ======== ======== ======== ======== ========
Total Return......................... 14.21% 3.86% (0.27)% 5.85% 16.35%
---------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $6,902 $5,793 $5,455 $3,259 $14,140
Ratio of Expenses to Average Net
Assets (B).......................... 0.53% 0.53% 0.54% 0.54% 0.54%
Ratio of Expenses to Average Net
Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by Advisor)
(B)................................. 0.74% 0.75% 0.77% 0.77% 0.77%
Ratio of Net Investment Income to
Average Net Assets.................. 1.56% 1.67% 1.61% 1.42% 1.71%
---------------------------------------------------------------------------------------
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)
CLASS R2 SHARES
GLOBAL ALLOCATION 25/75 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.......................... $12.89 $12.74 $12.93 $12.75 $12.16
------ ------ ------ ------ ------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.16 0.16 0.14 0.14 0.16
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.61 0.19 (0.08) 0.20 0.58
------ ------ ------ ------ ------
Total from Investment
Operations................. 0.77 0.35 0.06 0.34 0.74
---------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.18) (0.20) (0.23) (0.13) (0.15)
Net Realized Gains............ (0.04) -- (0.02) (0.03) --
------ ------ ------ ------ ------
Total Distributions......... (0.22) (0.20) (0.25) (0.16) (0.15)
---------------------------------------------------------------------------------
Net Asset Value, End of Year... $13.44 $12.89 $12.74 $12.93 $12.75
============================= ========= ========= ========= ========= =========
Total Return................... 6.06% 2.78% 0.50% 2.69% 6.15%
---------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $ 902 $ 848 $ 428 $ 183 $2,215
Ratio of Expenses to Average
Net Assets (B)................ 0.51% 0.50% 0.51% 0.52% 0.53%
Ratio of Expenses to Average
Net Assets (Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor)
(B)........................... 0.67% 0.67% 0.68% 0.69% 0.70%
Ratio of Net Investment
Income to Average Net Assets.. 1.26% 1.22% 1.12% 1.09% 1.28%
---------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
20
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INSTITUTIONAL CLASS SHARES
GLOBAL EQUITY 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... $ 18.46 $ 18.17 $ 18.51 $ 17.30 $ 13.67
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.38 0.36 0.35 0.34 0.31
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 4.07 0.29 (0.34) 1.21 3.63
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.. 4.45 0.65 0.01 1.55 3.94
--------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.38) (0.36) (0.35) (0.34) (0.31)
Net Realized Gains.................. -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............... (0.38) (0.36) (0.35) (0.34) (0.31)
--------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 22.53 $ 18.46 $ 18.17 $ 18.51 $ 17.30
=================================== ========== ========== ========== ========== ==========
Total Return......................... 24.33% 3.65% 0.07% 9.03% 29.19%
--------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $6,390,088 $4,781,441 $4,331,809 $3,822,287 $3,018,911
Ratio of Expenses to Average Net
Assets (B).......................... 0.30% 0.30% 0.31% 0.31% 0.31%
Ratio of Expenses to Average Net
Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor) (B)........................ 0.57% 0.58% 0.60% 0.60% 0.61%
Ratio of Net Investment Income to
Average Net Assets.................. 1.85% 1.99% 1.90% 1.87% 2.02%
--------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 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... $ 15.89 $ 15.57 $ 15.88 $ 15.24 $ 13.33
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.30 0.30 0.31 0.27 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 1.98 0.33 (0.31) 0.65 1.92
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.. 2.28 0.63 -- 0.92 2.19
--------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.31) (0.31) (0.31) (0.28) (0.28)
Net Realized Gains.................. (0.02) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............... (0.33) (0.31) (0.31) (0.28) (0.28)
--------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 17.84 $ 15.89 $ 15.57 $ 15.88 $ 15.24
=================================== ========== ========== ========== ========== ==========
Total Return......................... 14.54% 4.09% --% 6.08% 16.65%
--------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $3,839,348 $3,093,230 $2,954,230 $2,616,515 $1,847,771
Ratio of Expenses to Average Net
Assets (B).......................... 0.28% 0.28% 0.29% 0.29% 0.29%
Ratio of Expenses to Average Net
Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor) (B)........................ 0.49% 0.50% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to
Average Net Assets.................. 1.80% 1.93% 1.93% 1.70% 1.93%
--------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
21
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INSTITUTIONAL CLASS SHARES
GLOBAL ALLOCATION 25/75 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... $ 12.92 $ 12.72 $ 12.89 $ 12.69 $ 12.11
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.20 0.19 0.20 0.17 0.18
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.60 0.19 (0.10) 0.24 0.59
-------- -------- -------- -------- --------
Total from Investment Operations.. 0.80 0.38 0.10 0.41 0.77
--------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.20) (0.18) (0.25) (0.18) (0.19)
Net Realized Gains.................. (0.04) -- (0.02) (0.03) --
-------- -------- -------- -------- --------
Total Distributions............... (0.24) (0.18) (0.27) (0.21) (0.19)
--------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......... $ 13.48 $ 12.92 $ 12.72 $ 12.89 $ 12.69
=================================== =========== ========== ========== ========== ==========
Total Return......................... 6.34% 3.04% 0.79% 3.30% 6.38%
--------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).. $841,546 $726,458 $712,072 $673,375 $557,112
Ratio of Expenses to Average Net
Assets (B).......................... 0.26% 0.25% 0.26% 0.27% 0.27%
Ratio of Expenses to Average Net
Assets (Fees (Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor) (B)........................ 0.42% 0.42% 0.43% 0.44% 0.44%
Ratio of Net Investment Income to
Average Net Assets.................. 1.49% 1.53% 1.58% 1.36% 1.47%
--------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
22
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 offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fourteen portfolios,
three of which, Global Equity Portfolio, Global Allocation 60/40 Portfolio and
Global Allocation 25/75 Portfolio (each a "Global Fund" and collectively, the
"Global Funds"), are presented in this report. The remaining operational
portfolios are presented in separate reports.
The Global Funds are investment companies, and accordingly, follow the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
The Global Funds achieve their investment objectives by primarily investing
in other portfolios within DFA Investment Dimensions Group Inc. ("IDG")
(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
------------- ---------------- -----------
Global Equity Portfolio U.S. Core Equity 1 Portfolio (IDG) 5%
U.S. Core Equity 2 Portfolio (IDG) 14%
DFA Real Estate Securities Portfolio (IDG) 2%
International Core Equity Portfolio (IDG) 6%
Emerging Markets Core Equity Portfolio (IDG) 2%
Global Allocation 60/40 Portfolio U.S. Core Equity 1 Portfolio (IDG) 2%
U.S. Core Equity 2 Portfolio (IDG) 5%
DFA Real Estate Securities Portfolio (IDG) 1%
International Core Equity Portfolio (IDG) 2%
Emerging Markets Core Equity Portfolio (IDG) 1%
DFA Selectively Hedged Global Fixed Income 50%
Portfolio (IDG)
DFA Five-Year Global Fixed Income Portfolio 1%
(IDG)
DFA Inflation-Protected Securities Portfolio 2%
(IDG)
DFA Short-Term Extended Quality Portfolio 7%
(IDG)
DFA Intermediate-Term Extended Quality 11%
Portfolio (IDG)
DFA World ex U.S. Government Fixed Income 10%
Portfolio (IDG)
Global Allocation 25/75 Portfolio U.S. Core Equity 1 Portfolio (IDG) --*
U.S. Core Equity 2 Portfolio (IDG) --*
DFA Real Estate Securities Portfolio (IDG) --*
International Core Equity Portfolio (IDG) --*
Emerging Markets Core Equity Portfolio (IDG) --*
23
PERCENTAGE
OWNERSHIP
FUND OF FUNDS UNDERLYING FUNDS AT 10/31/17
------------- ---------------- -----------
Global Allocation 25/75 Portfolio DFA Two-Year Global Fixed Income Portfolio 5%
(IDG)
DFA Inflation-Protected Securities Portfolio 2%
(IDG)
DFA Short-Term Extended Quality Portfolio 5%
(IDG)
DFA World ex U.S. Government Fixed Income 4%
Portfolio (IDG)
* 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 Global Funds utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Global Funds'
own assumptions in determining the fair value of investments)
Underlying Fund shares held by the Global Funds are valued at their
respective daily net asset values as reported by their administrator, as these
Underlying Funds are treated as regulated investment companies. These
securities are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Global Funds net assets by each
major security type is disclosed previously in this note. Valuation hierarchy
tables have been included at the end of the Schedule of Investments. The inputs
or methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the 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
Global Funds.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
24
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 affiliated
investment company shares are accounted for on the basis of identified cost.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received from the investment in affiliated
investment companies that represent a return of capital or capital gains are
recorded as a reduction of cost of investments or as a realized gain,
respectively. The Global Funds estimate the character of distributions received
that may be considered return of capital distributions. Interest income is
recorded on an accrual basis. Expenses directly attributable to a Global Fund
are directly charged. Common expenses of the Fund or Global Funds are allocated
using methods approved by the Board, generally based on average net assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of its Global Fund. Income, gains and losses, and common expenses
of each Global Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Global Funds. The Global Equity Portfolio's, Global Allocation
60/40 Portfolio's and Global Allocation 25/75 Portfolio's investment management
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.30%, 0.25%, and 0.20%, respectively, of average daily net
assets.
Pursuant to an Amended and Restated Fee Waiver Agreement (the "Fee Waiver
Agreement"), the Advisor has agreed to waive certain fees of the Global Funds,
as described below. The Fee Waiver Agreement for the Global Funds will remain
in effect through February 28, 2018, and may only be terminated by the Fund's
Board of Directors prior to that date. The Fee Waiver Agreement shall continue
in effect from year to year thereafter unless terminated by the Fund or the
Advisor.
Effective July 21, 2015, pursuant to the Fee Waiver Agreement, in order to
limit the total management fees received by the Advisor, the Advisor has agreed
to waive the management fee each Global Fund pays to the Advisor to the extent
necessary to limit the proportionate share of the total combined management fee
paid by a class of each Global Fund and management fees paid by each Global
Fund's Underlying Funds to the Advisor, except for fees paid indirectly through
its investment of securities lending cash collateral in The DFA Short Term
Investment Fund, on an annualized basis (the "Annualized Expense Ratio"), to
the expense limitations listed below based on a percentage of average net
assets on an annualized basis.
At any time that the Annualized Expense Ratio of a class of a Global Fund is
less than the expense limitations listed below for such class of the Global
Fund, the Advisor retains the right to recover any fees previously waived to
the extent that such recovery will not cause the Annualized Expense Ratio of
such class of shares of the Global Fund to exceed the expense limitation listed
below. Previously waived fees/expenses assumed subject to future recovery by
the Advisor and the net amount of waived fees/expenses assumed (recovered
previously waived
25
fees/expenses assumed) during the year ended October 31, 2017, are reflected
below (amounts in thousands). The Global Funds are not obligated to reimburse
the Advisor for fees waived by the Advisor more than thirty-six months before
the date of such reimbursement.
PREVIOUSLY NET WAIVED FEES/
RECOVERY WAIVED FEES/ EXPENSES ASSUMED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED (RECOVERED PREVIOUSLY
INSTITUTIONAL LIMITATION WAIVED FEES/ SUBJECT TO FUTURE WAIVED FEES/
CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY EXPENSES ASSUMED)
------------- ---------- ---------------- ----------------- ---------------------
Global Equity Portfolio.. 0.27% -- $39,814 $15,209
Global Allocation 60/40
Portfolio.............. 0.25% -- 20,580 7,445
Global Allocation 25/75
Portfolio.............. 0.22% -- 3,639 1,272
CLASS R2 SHARES
---------------
Global Equity Portfolio.. 0.27% -- 292 73
Global Allocation 60/40
Portfolio.............. 0.25% -- 37 14
Global Allocation 25/75
Portfolio.............. 0.22% -- 3 1
Prior to July 21, 2015, in order to limit the total administration and
management fees received by the Advisor, the Advisor had agreed to waive the
administration fee each Global Fund paid to the Advisor to the extent necessary
to limit the proportionate share of the total combined administration fee paid
by a class of each Global Fund and management fees paid by each Global Fund's
Underlying Funds to the Advisor to the expense limitations listed above.
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 Global Funds 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):
Global Equity Portfolio................. $125
Global Allocation 60/40 Portfolio....... 77
Global Allocation 25/75 Portfolio....... 19
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2017, the Global Funds' 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
- ---------- --------- ---------- ------------ ------------- ---------- --------- ----------- -------------
GLOBAL EQUITY PORTFOLIO
U.S. Core
Equity 2
Portfolio... $2,372,851 $284,613 $40,621 $ 21 $531,908 $3,148,772 150,659 $45,149 $17,124
International
Core Equity
Portfolio... 1,154,053 143,016 59,170 5,487 275,004 1,518,390 106,703 33,977 --
26
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. Core
Equity 1
Portfolio..... $ 790,973 $ 79,789 $ 2,192 $ 4 $ 183,238 $1,051,811 47,788 $ 15,966 $ 3,742
Emerging
Markets Core
Equity
Portfolio..... 362,802 60,908 19,605 3,312 82,855 490,272 21,907 8,457 --
DFA Real Estate
Securities
Portfolio..... 121,291 42,430 3,218 (153) 2,449 162,799 4,653 3,907 1,122
---------- -------- -------- ------ ---------- ---------- ------- -------- -------
TOTAL........... $4,801,970 $610,756 $124,806 $8,671 $1,075,454 $6,372,044 331,710 $107,456 $21,988
GLOBAL ALLOCATION 60/40 PORTFOLIO
U.S. Core
Equity 2
Portfolio..... $ 917,724 $ 76,520 $ 56,408 $1,321 $ 199,833 $1,138,990 54,497 $ 16,887 $ 6,626
DFA Selectively
Hedged
Global Fixed
Income
Portfolio..... 466,482 122,786 14,168 (835) (1,570) 572,695 59,285 7,648 --
International
Core Equity
Portfolio..... 445,010 28,316 15,082 414 103,736 562,394 39,522 12,617 --
DFA Short-Term
Extended
Quality
Portfolio..... 311,500 79,206 7,578 (80) (1,068) 381,980 35,205 5,711 1
U.S. Core
Equity 1
Portfolio..... 305,721 12,975 5,838 133 68,955 381,946 17,353 5,984 1,449
DFA
Intermediate-
Term
Extended
Quality
Portfolio..... 155,823 39,283 3,975 (162) (844) 190,125 17,523 5,163 263
DFA Five-Year
Global Fixed
Income
Portfolio..... 156,288 37,361 2,370 (57) (1,417) 189,805 17,208 2,834 593
Emerging
Markets Core
Equity
Portfolio..... 139,778 10,659 135 (2) 31,649 181,950 8,130 3,111 --
DFA World
ex U.S.
Government
Fixed Income
Portfolio..... 77,173 19,353 1,508 (73) (547) 94,398 9,237 1,876 180
27
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 Inflation-
Protected
Securities
Portfolio..... $ 78,338 $ 18,757 $ 1,264 $ (33) $ (1,799) $ 93,998 7,973 $ 1,686 $ 190
DFA Real Estate
Securities
Portfolio..... 45,885 12,455 12 (1) 862 59,189 1,692 1,437 417
---------- -------- -------- ------ -------- ---------- ------- ------- ------
TOTAL........... $3,099,722 $457,671 $108,338 $ 625 $397,790 $3,847,471 267,625 $64,954 $9,719
GLOBAL ALLOCATION 25/75 PORTFOLIO
DFA Two-Year
Global Fixed
Income
Portfolio..... $ 218,121 $ 37,319 $ 3,426 $ (97) $ 189 $ 252,106 25,236 $ 2,209 $ --
DFA Short-Term
Extended
Quality
Portfolio..... 217,869 39,250 4,370 (41) (836) 251,872 23,214 3,887 --
U.S. Core
Equity 2
Portfolio..... 89,772 10,058 15,147 998 18,175 103,856 4,969 1,594 640
DFA Inflation-
Protected
Securities
Portfolio..... 80,191 16,732 2,433 (53) (1,871) 92,566 7,851 1,707 200
International
Core Equity
Portfolio..... 43,705 3,468 5,837 408 9,504 51,248 3,601 1,195 --
U.S. Core
Equity 1
Portfolio..... 30,014 1,985 3,825 331 6,278 34,783 1,580 569 142
DFA World ex
U.S.
Government
Fixed Income
Portfolio..... 28,927 5,532 696 (26) (270) 33,467 3,275 713 69
Emerging
Markets Core
Equity
Portfolio..... 13,751 724 555 51 2,942 16,913 756 293 --
DFA Real Estate
Securities
Portfolio..... 4,544 868 117 (1) 83 5,377 154 139 41
---------- -------- -------- ------ -------- ---------- ------- ------- ------
TOTAL........... $ 726,894 $115,936 $ 36,406 $1,570 $ 34,194 $ 842,188 70,636 $12,306 $1,092
28
F. FEDERAL INCOME TAXES:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to passive foreign
investment companies, short term distributions received from underlying RICs,
return of capital, the utilization of accumulated earnings and profits
distributed to shareholders on redemptions of shares as part of the dividends
paid deduction for income tax purposes, were reclassified to the following
accounts. These reclassifications had no effect on net assets or net asset
value per share (amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
Global Equity Portfolio....... $2,067 $ 205 $(2,272)
Global Allocation 60/40
Portfolio................... 834 (611) (223)
Global Allocation 25/75
Portfolio................... 169 (151) (18)
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
-------------- ------------- --------
Global Equity Portfolio
2016.............................. $ 89,811 -- $ 89,811
2017.............................. 105,271 -- 105,271
Global Allocation 60/40 Portfolio
2016.............................. 58,182 -- 58,182
2017.............................. 63,803 $4,879 68,682
Global Allocation 25/75 Portfolio
2016.............................. 10,177 7 10,184
2017.............................. 12,231 2,546 14,777
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
-------------- ------------- -------
Global Equity
Portfolio......... $(102) $(1,965) $(2,067)
Global Allocation
60/40 Portfolio... (717) (117) (834)
Global Allocation
25/75 Portfolio... (143) (27) (170)
29
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)
-------------- ------------- ------------- -------------- -------------
Global Equity Portfolio $ 459 $20,723 -- $2,054,717 $2,075,899
Global Allocation 60/40 Portfolio 1,059 10,403 -- 796,092 807,554
Global Allocation 25/75 Portfolio 317 2,243 -- 92,665 95,225
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Global Funds after October 31, 2011 will not be
subject to expiration and will retain their character as either short-term or
long-term capital losses. In addition, such losses must be utilized prior to
the losses incurred in the years preceding enactment. As of October 31, 2017,
the Global Funds did not have any capital loss carryforwards available to
offset future realized capital gains.
During the year ended October 31, 2017, the Global Funds utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Global Equity Portfolio................. $8,266
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)
---------- ------------ ------------ --------------
Global Equity Portfolio............... $4,319,834 $2,054,717 -- $2,054,717
Global Allocation 60/40 Portfolio..... 3,051,379 805,514 $(9,423) 796,091
Global Allocation 25/75 Portfolio..... 749,522 93,943 (1,278) 92,665
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 each
Global Fund's tax positions and has concluded that no additional provision for
income tax is required in any Global Fund's financial statements. No Global
Fund is aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. Each Global Fund's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Fund.
1. FUTURES CONTRACTS: The Global Equity 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 Global Equity Portfolio. The Global Equity Portfolio,
however, does not intend to sell futures contracts to establish short positions
in indvidual securities. Upon Entering into a futures contract, the Global
Equity Portfolio deposits cash or pledges U.S. government securities to a
broker, equal to the minimum
30
"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 Global
Equity Portfolio as unrealized gains or losses until the contracts are closed.
When the contracts are closed, the Global Equity 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 Global Equity Portfolio could
lose more than the initial margin requirements. Entering into stock index
futures subjects the Global Equity Portfolio to equity price risk from those
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):
FUTURES
-------
Global Equity Portfolio....... $3,364
The following is a summary of the location of derivatives on the Global
Equity Portfolio's Statement 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 Global Equity 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*
---------------- ----------
Global Equity Portfolio............ $7 $7
* 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 Global Equity 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
--------------- --------------------------------------
Equity Contracts Change in Unrealized Appreciation
(Depreciation) of: Futures
The following is a summary of the change in unrealized gains and losses from
the Global Equity Portfolio's derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2017 (amounts in
thousands):
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------------
EQUITY
TOTAL CONTRACTS
----- ---------
Global Equity Portfolio....... $7 $7
31
H. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
------------------- -------------------
AMOUNT SHARES AMOUNT SHARES
---------- ------- ---------- -------
GLOBAL EQUITY PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 12,705 619 $ 10,106 572
Shares Issued in Lieu of Cash Distributions.......... 448 21 928 52
Shares Redeemed...................................... (7,548) (356) (41,925) (2,300)
---------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares............. $ 5,605 284 $ (30,891) (1,676)
========== ======= ========== =======
Institutional Class Shares
Shares Issued........................................ $1,385,091 67,015 $1,227,503 69,158
Shares Issued in Lieu of Cash Distributions.......... 103,994 4,999 88,142 4,936
Shares Redeemed...................................... (981,149) (47,345) (949,777) (53,503)
---------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares.. $ 507,936 24,669 $ 365,868 20,591
========== ======= ========== =======
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2017 2016
------------------- ------------------
AMOUNT SHARES AMOUNT SHARES
---------- ------- --------- -------
GLOBAL ALLOCATION 60/40 PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 1,184 70 $ 1,147 74
Shares Issued in Lieu of Cash Distributions.......... 112 7 109 7
Shares Redeemed...................................... (920) (54) (1,041) (66)
---------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............. $ 376 23 $ 215 15
========== ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $1,036,669 61,437 $ 975,747 63,046
Shares Issued in Lieu of Cash Distributions.......... 67,550 4,035 57,061 3,699
Shares Redeemed...................................... (760,059) (44,909) (954,900) (61,872)
---------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares.. $ 344,160 20,563 $ 77,908 4,873
========== ======= ========= =======
GLOBAL ALLOCATION 25/75 PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 127 9 $ 803 63
Shares Issued in Lieu of Cash Distributions.......... 15 1 9 1
Shares Redeemed...................................... (125) (9) (402) (32)
---------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............. $ 17 1 $ 410 32
========== ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 228,159 17,359 $ 176,847 13,920
Shares Issued in Lieu of Cash Distributions.......... 14,701 1,127 10,144 798
Shares Redeemed...................................... (161,676) (12,281) (183,852) (14,472)
---------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares.. $ 81,184 6,205 $ 3,139 246
========== ======= ========= =======
32
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 Global Funds under
the lines of credit were as follows (amounts in thousands, except percentages
and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
Global Equity Portfolio............ 1.69% $3,859 32 $6 $18,402
Global Allocation 60/40 Portfolio.. 1.71% 1,777 70 6 20,738
Global Allocation 25/75 Portfolio.. 1.64% 886 42 2 5,462
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2017, that each Global Fund's available
line of credit was utilized.
As of October 31, 2017, Global Allocation 60/40 Portfolio and Global
Allocation 25/75 Portfolio had loans outstanding in the amount of $975 and $606
(in thousands), respectively.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Global
Funds may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Global Funds did not utilize the interfund lending program during the
year ended October 31, 2017.
J. SHAREHOLDER SERVICING FEES:
The Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the Global Funds' Class R2 Shares.
33
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 Global Funds' outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
Global Equity Portfolio-Class R2 Shares.......................... 4 91%
Global Equity Portfolio-Institutional Class Shares............... 3 76%
Global Allocation 60/40 Portfolio-Class R2 Shares................ 2 93%
Global Allocation 60/40 Portfolio-Institutional Class Shares..... 4 83%
Global Allocation 25/75 Portfolio-Class R2 Shares................ 2 98%
Global Allocation 25/75 Portfolio-Institutional Class Shares..... 4 90%
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Global
Funds through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
34
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 Global Equity
Portfolio, Global Allocation 60/40 Portfolio and Global Allocation 25/75
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 transfer agent
of the investee funds, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
35
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 ACCUMULATED
FOR THE CURRENT UNDISTRIBUTED
OR PRECEDING NET PROFITS
FISCAL YEAR, AND FROM THE SALE PAID-IN
ACCUMULATED OF SECURITIES SURPLUS OR
UNDISTRIBUTED NET OR OTHER OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ----------------- ------------- -------------
Global Equity Portfolio
June 29, 2017.................. 100% 0% 0%*
September 28, 2017............. 100% 0% 0%*
Global Allocation 60/40 Portfolio
June 29, 2017.................. 100% 0% 0%*
September 28, 2017............. 99% 0% 1%
Global Allocation 25/75 Portfolio
June 29, 2017.................. 100% 0% 0%*
September 28, 2017............. 99% 0% 1%
* Amount is less than 1%
The ultimate consumption 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.
36
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.
37
OTHER
DIRECTORSHIPS OF
PORTFOLIOS WITHIN PUBLIC
THE 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
---------------------------------------------------------------------------------------------------------------------------------
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 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 None
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 None
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).
38
OTHER
DIRECTORSHIPS OF
PORTFOLIOS WITHIN PUBLIC
THE DFA FUND COMPANIES
NAME, ADDRESS AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION LENGTH OF SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Director of DFAIDG- Since Distinguished Visiting 126 portfolios in None
Stanford University DFAIDG and DIG 2010 Fellow, Becker 4 investment
Graduate School of Trustee of DIG- Since 2010 Friedman Institute for companies
Business DFAITC and DFAITC- Since Research in
Knight Management DEM 2010 Economics, University
Center, E346 DEM- Since 2010 of Chicago (since
Stanford, CA 94305 2015). Morris Arnold
1948 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).
-----------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Director of DFAIDG- Since Chief Investment 126 portfolios in Formerly,
c/o Dimensional DFAIDG and DIG 1981 Strategist, Janus 4 investment Adviser, Kuapay,
Fund Advisors LP Trustee of DIG- Since 1993 Henderson Investors companies Inc. (2013-
6300 Bee Cave DFAITC and DFAITC- Since (since 2014). Frank E. 2014). Formerly,
Road, Building One DEM 1992 Buck Professor of Director,
Austin, TX 78746 DEM- Since 1993 Finance, Emeritus, American
1941 Graduate School of Century Fund
Business, Stanford Complex
University (since 1981). (registered
investment
companies) (43
Portfolios) (1980-
2014).
-----------------------------------------------------------------------------------------------------------------------------
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 companies 2014) and
School of Business DFAITC and DFAITC- Since Accounting, University Director (since
5807 S. Woodlawn DEM 2000 of Chicago Booth 2000), HNI
Avenue DEM- Since 2000 School of Business Corporation
Chicago, IL 60637 (since 1980). (formerly known
1953 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).
39
OTHER
DIRECTORSHIPS OF
PORTFOLIOS WITHIN PUBLIC
THE DFA FUND COMPANIES
NAME, ADDRESS AND TERM OF OFFICE/1/ AND PRINCIPAL OCCUPATION 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 Chairman, 126 portfolios in None
6300 Bee Cave Director of 1981 Director/Trustee, and 4 investment
Road, Building One DFAIDG and DIG DIG- Since 1992 formerly, President and companies
Austin, TX 78746 Trustee of DFAITC DFAITC- Co-Chief Executive
1946 and DEM Since 1992 Officer (each until
DEM- Since 1993 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.
40
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.
41
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.
42
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).
43
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. Information regarding how the Advisor votes these proxies
is available from the EDGAR database on the SEC's website at http://www.sec.gov
and from the Advisor's website at http://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
44
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 FOREIGN
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX
DIMENSIONAL INVESTMENT GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) CREDIT (3)
--------------------------------- ------------- ------------- ------------- ------------- ------------- ---------- ----------
Global Equity Portfolio........... 97% 1% 2% 100% 100% 100% 2%
Global Allocation 60/40 Portfolio. 93% -- 7% 100% 100% 100% 1%
Global Allocation 25/75 Portfolio. 83% -- 17% 100% 100% 100% 1%
QUALIFYING
FOREIGN QUALIFYING SHORT-TERM
SOURCE INTEREST CAPITAL
DIMENSIONAL INVESTMENT GROUP INC. INCOME (4) INCOME (5) GAIN (6)
--------------------------------- ---------- ---------- ----------
Global Equity Portfolio........... 41% 100% 100%
Global Allocation 60/40 Portfolio. 25% 100% 100%
Global Allocation 25/75 Portfolio. 13% 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).
45
DFA 103117-025A
[LOGO] 00202786
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this
Form N-CSR (the "Report"), a code of ethics that applies to the Registrant's
Co-Principal Executive Officers and Principal Financial Officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Directors has determined that Abbie J. Smith
possesses the technical attributes to qualify as an "audit committee financial
expert" serving on the Registrant's Audit Committee and has designated
Ms. Smith as the "audit committee financial expert." Ms. Smith
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level
since 1980. Ms. Smith's education and career have provided her with an
understanding of generally accepted accounting principles and financial
statements; the ability to assess the general application of such principles in
connection with the accounting for estimates, accruals and reserves; and
experience preparing, analyzing and evaluating financial statements that
present a breadth and level of complexity of issues that can reasonably be
expected to be raised by the Registrant's financial statements. In addition,
Ms. Smith has served on the boards of directors and audit committees of
entities other than the Registrant. Ms. Smith is independent under the
standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2017: $276,920
Fiscal Year Ended October 31, 2016: $293,636
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended October 31, 2017: $32,855
Fiscal Year Ended October 31, 2016: $24,626
For fiscal years ended October 31, 2017 and October 31, 2016, Audit-Related
Fees included fees for services related to limited procedures performed in
connection with the production of the Registrant's semi-annual financial
statements and N-14 filings.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended October 31, 2017: $191,500
Fiscal Year Ended October 31, 2016: $187,500
For the fiscal years ended October 31, 2017 and October 31, 2016,
Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii)
of Rule 2-01 of Regulation S-X included fees for services rendered in
connection with the issuance of a Type II SSAE 16 over controls at the
Registrant's investment adviser.
(c) Tax Fees
Fees for Registrant Fiscal Year Ended October 31, 2017: $64,984
Fiscal Year Ended October 31, 2016: $69,130
Tax Fees included, for the fiscal years ended October 31, 2017 and
October 31, 2016, fees for tax services in connection with the Registrant's
excise tax calculations, review of the Registrant's applicable tax returns
and review of the Registrant's tax equalization calculations.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(d) All Other Fees
Fees for Registrant Fiscal Year Ended October 31, 2017: $0
Fiscal Year Ended October 31, 2016: $0
There were no "All Other Fees" required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(e)(1) Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC") require
that the Funds' Audit Committees (together, the "Committee") pre-approve all
audit services and non-audit services provided to the Funds by their
independent registered public accounting firm (the "Auditor"). The Act and
the Rules also require that the Committee pre-approve all non-audit services
provided by the Auditor to Dimensional Fund Advisors LP ("Dimensional"), the
Funds' investment advisor, and to affiliates of Dimensional that provide
ongoing services to the Funds (with Dimensional, together the "Service
Affiliates") if the services directly impact the Funds' operations and
financial reporting.
The following policies and procedures govern the ways in which the Committee
will pre-approve audit and various types of non-audit services that the
Auditor provides to the Funds and to Service Affiliates. These policies and
procedures do not apply in the case of audit services that the Auditor
provides to Service Affiliates, nor do they apply to services that an audit
firm other than the Auditor provides to such entities.
These policies and procedures comply with the requirements for pre-approval,
but also provide mechanisms by which management of the Funds may request and
secure pre-approval of audit and non-audit services in an orderly manner
with minimal disruption to normal business operations. Pre-approval of
non-audit services may be achieved through a combination of the procedures
described in Sections C and D below.
A. General
1. The Committee must pre-approve all audit services and non-audit
services that the Auditor provides to the Funds.
2. The Committee must pre-approve any engagement of the Auditor to
provide non-audit services to any Service Affiliate during the period
of the Auditor's engagement to provide audit services to the Funds,
if the non-audit services to the Service Affiliate directly impact
the Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an independent
registered public accounting firm to certify the Funds' financial
statements for each fiscal year (the "Engagement"). The approval of
the Engagement shall not be delegated to a Designated Member (as that
term is defined in Section D below). In approving the Engagement, the
Committee shall obtain, review and consider sufficient information
concerning the proposed Auditor to enable the Committee to make a
reasonable evaluation of the Auditor's qualifications and
independence. The Committee also shall consider the Auditor's
proposed fees for the Engagement, in light of the scope and nature of
the audit services that the Funds will receive.
2. The Committee shall report to the Boards of Directors/Trustees of the
Funds (together, the "Board") regarding its approval of the
Engagement and of the proposed fees for the Engagement, and the basis
for such approval.
3. Unless otherwise in accordance with applicable law, the Engagement,
in any event, shall require that the Auditor be selected by the vote,
cast in person, of a majority of the members of the Board who are not
"interested persons" of the Funds (as that term is defined in
Section 2(a)(19) of the Investment Company Act of 1940) (the
"Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services (including
tax services) to the Funds and their Service Affiliates pursuant to
this Section C.
2. Annually, at such time as the Committee considers the Engagement of
the Auditor, management of the Funds, in consultation with the
Auditor, shall provide to the Committee, for its consideration and
action, the following: (a) a list of those types of non-audit
services, if any, that the Funds may request from the Auditor during
the fiscal year; and (b) a list of those types of non-audit services
directly impacting the Funds' operations and financial reporting that
Service Affiliates may request from the Auditor during the fiscal
year.
3. The lists submitted to the Committee shall describe the types of
non-audit services in reasonable detail (which may include a range of
tax services) and shall include an estimated budget (or budgeted
range) of fees, where possible, and such other information as the
Committee may request. If management and the Auditor desire the
Committee to preapprove the furnishing of a range of tax services,
the Auditor shall provide an estimated range of fees for such tax
services for the consideration and approval by the Committee.
4. The Committee's pre-approval of the types of non-audit services
submitted pursuant to this Section C shall constitute authorization
for management of the Funds to utilize the Auditor for the types of
non-audit services so pre-approved, if needed or desired during the
fiscal year.
5. A list of the types of non-audit services pre-approved by the
Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate partners of
the Auditor. Periodically, the Auditor will discuss with the
Committee those non-audit services that have been or are being
provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor, may submit
either to the Committee or to the Designated Member, as provided in
this Section D, for their consideration and action, a pre-approval
request identifying one or more non-audit service projects. The
request so submitted shall describe the project(s) in reasonable
detail and shall include an estimated budget (or budgeted range) of
fees and such other information as the Committee or the Designated
Member, as appropriate, shall request.
3. The Committee, from time to time, shall designate one or more of its
members who are Independent Directors (each a "Designated Member") to
consider, on the Committee's behalf, any non-audit services, whether
to the Funds or to any Service Affiliate, that have not been
pre-approved by the Committee. The Designated Member also shall
review, on the Committee's behalf, any proposed material change in
the nature or extent of any non-audit services previously approved.
The Funds' management, in consultation with the Auditor, shall
explain why such non-audit services or material change in non-audit
services are necessary and appropriate and the anticipated costs
thereof.
4. The Designated Member will review the requested non-audit services or
proposed material change in such services and will either:
(a) pre-approve, pre-approve subject to conditions, or disapprove
any such requested services, or any proposed material change
in services, whether to the Funds or to a Service Affiliate; or
(b) refer such matter to the full Committee for its consideration
and action.
In considering any requested non-audit services or proposed material
change in such services, the Designated Member's authority shall be
limited to approving non-audit services or proposed material changes
that do not exceed $10,000 in value.
5. The Designated Member's pre-approval (or pre-approval subject to
conditions) of the requested non-audit services or proposed material
change in services pursuant to this Section D shall constitute
authorization for the management of the Funds or the Service
Affiliate, as the case may be, to utilize the Auditor for the
non-audit services so pre-approved. Any action by the Designated
Member in approving a requested non-audit service shall be presented
for ratification by the Committee not later than at its next
scheduled meeting. If the Designated Member does not approve the
Auditor providing the requested non-audit service, the matter may be
presented to the full Committee for its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions made by
the Committee or by a Designated Member pursuant to these procedures,
together with appropriate supporting materials.
2. In connection with the approval of any non-audit service pursuant to
the de minimis exception provided in the Rules, a record shall be
made indicating that each of the conditions for this exception, as
set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of
the fiscal year in which the actions recorded were taken, for at
least the first two years in an easily accessible location.
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the
Registrant's Audit Committee but not pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the
fiscal year ended October 31, 2017 that were attributed to work
performed by persons other than the principal accountant's full time,
permanent employees was not greater than 50%.
(g) Aggregate Non-Audit Fees
Fiscal Year Ended October 31, 2017: $1,648,772
Fiscal Year Ended October 31, 2016: $1,495,709
(h) The Registrant's Audit Committee has considered whether the provision
of non-audit services that were rendered to the Registrant's
investment adviser, and any entity controlling, controlled by, or
under common control with the investment adviser that provides ongoing
services to the Registrant, that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF RELATIONSHIP TO SERIES OF THE REGISTRANT
INVESTMENTS IS PROVIDED
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II, U.S. Large Cap Value
Portfolio III and LWAS/DFA U.S. High
Book to Market Portfolio
The DFA International Value Series Master fund for DFA International
Value Portfolio, DFA International
Value Portfolio II and DFA
International Value Portfolio III
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2017
Percentage
Shares Value+ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (97.4%)
Consumer Discretionary -- (11.6%)
Advance Auto Parts, Inc. 26,318 $ 2,151,233 0.0%
* Amazon.com, Inc. 143,914 159,065,266 2.0%
#* AutoZone, Inc. 10,123 5,967,508 0.1%
Best Buy Co., Inc. 95,041 5,320,395 0.1%
BorgWarner, Inc. 71,904 3,790,779 0.1%
#* CarMax, Inc. 66,071 4,961,932 0.1%
Carnival Corp. 147,066 9,763,712 0.1%
CBS Corp. Class B 131,273 7,367,041 0.1%
* Charter Communications, Inc. Class A 72,531 24,237,684 0.3%
#* Chipotle Mexican Grill, Inc. 9,048 2,460,151 0.0%
Comcast Corp. Class A 1,697,273 61,152,746 0.8%
Darden Restaurants, Inc. 44,864 3,690,961 0.0%
Delphi Automotive P.L.C. 96,818 9,621,773 0.1%
#* Discovery Communications, Inc. Class A 55,667 1,050,993 0.0%
* Discovery Communications, Inc. Class C 72,470 1,290,691 0.0%
* DISH Network Corp. Class A 83,223 4,039,644 0.1%
# Dollar General Corp. 93,943 7,594,352 0.1%
* Dollar Tree, Inc. 86,065 7,853,431 0.1%
DR Horton, Inc. 123,791 5,472,800 0.1%
Expedia, Inc. 43,935 5,476,937 0.1%
# Foot Locker, Inc. 44,669 1,343,644 0.0%
Ford Motor Co. 1,413,890 17,348,430 0.2%
# Gap, Inc. (The) 79,788 2,073,690 0.0%
# Garmin, Ltd. 39,762 2,250,927 0.0%
General Motors Co. 472,924 20,326,274 0.3%
Genuine Parts Co. 53,384 4,710,070 0.1%
Goodyear Tire & Rubber Co. (The) 90,859 2,779,377 0.0%
# H&R Block, Inc. 75,479 1,867,350 0.0%
# Hanesbrands, Inc. 133,025 2,993,062 0.0%
# Harley-Davidson, Inc. 61,287 2,901,327 0.0%
Hasbro, Inc. 41,291 3,823,134 0.1%
Hilton Worldwide Holdings, Inc. 73,231 5,293,137 0.1%
Home Depot, Inc. (The) 425,419 70,525,962 0.9%
Interpublic Group of Cos., Inc. (The) 142,366 2,740,546 0.0%
Kohl's Corp. 61,714 2,577,177 0.0%
# L Brands, Inc. 89,991 3,873,213 0.1%
# Leggett & Platt, Inc. 48,112 2,273,773 0.0%
Lennar Corp. Class A 74,094 4,124,813 0.1%
* LKQ Corp. 112,161 4,227,348 0.1%
Lowe's Cos., Inc. 304,422 24,338,539 0.3%
# Macy's, Inc. 108,344 2,032,533 0.0%
Marriott International, Inc. Class A 113,169 13,521,432 0.2%
# Mattel, Inc. 123,795 1,747,985 0.0%
McDonald's Corp. 292,122 48,758,083 0.6%
MGM Resorts International 186,677 5,852,324 0.1%
#* Michael Kors Holdings, Ltd. 55,143 2,691,530 0.0%
* Mohawk Industries, Inc. 22,728 5,949,281 0.1%
* Netflix, Inc. 155,770 30,597,901 0.4%
# Newell Brands, Inc. 176,854 7,212,106 0.1%
News Corp. Class A 139,480 1,905,297 0.0%
News Corp. Class B 41,264 573,570 0.0%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
NIKE, Inc. Class B 473,855 $ 26,057,286 0.3%
# Nordstrom, Inc. 42,086 1,668,710 0.0%
* Norwegian Cruise Line Holdings, Ltd. 64,110 3,574,132 0.0%
#* O'Reilly Automotive, Inc. 31,740 6,695,553 0.1%
# Omnicom Group, Inc. 83,865 5,634,889 0.1%
* Priceline Group, Inc. (The) 17,730 33,899,051 0.4%
PulteGroup, Inc. 102,148 3,087,934 0.0%
PVH Corp. 27,804 3,525,825 0.0%
Ralph Lauren Corp. 20,317 1,816,949 0.0%
Ross Stores, Inc. 140,787 8,938,567 0.1%
Royal Caribbean Cruises, Ltd. 62,046 7,679,433 0.1%
# Scripps Networks Interactive, Inc. Class A 34,159 2,844,762 0.0%
# Signet Jewelers, Ltd. 21,803 1,429,623 0.0%
Starbucks Corp. 521,828 28,617,048 0.4%
Tapestry, Inc. 101,602 3,939,110 0.1%
# Target Corp. 196,958 11,628,400 0.1%
# Tiffany & Co. 36,818 3,446,901 0.0%
Time Warner, Inc. 280,473 27,567,691 0.3%
TJX Cos., Inc. (The) 229,446 16,015,331 0.2%
# Tractor Supply Co. 45,631 2,749,724 0.0%
#* TripAdvisor, Inc. 38,840 1,456,500 0.0%
Twenty-First Century Fox, Inc. Class A 378,931 9,909,046 0.1%
Twenty-First Century Fox, Inc. Class B 158,374 4,030,618 0.1%
* Ulta Salon Cosmetics & Fragrance, Inc. 20,973 4,232,142 0.1%
#* Under Armour, Inc. Class A 66,594 833,757 0.0%
#* Under Armour, Inc. Class C 67,224 775,093 0.0%
VF Corp. 117,813 8,205,675 0.1%
Viacom, Inc. Class B 127,851 3,072,260 0.0%
Walt Disney Co. (The) 556,803 54,460,901 0.7%
Whirlpool Corp. 26,630 4,365,456 0.1%
Wyndham Worldwide Corp. 36,990 3,952,381 0.1%
# Wynn Resorts, Ltd. 29,230 4,311,133 0.1%
Yum! Brands, Inc. 124,328 9,256,220 0.1%
------------ ----
Total Consumer Discretionary 945,241,965 11.8%
------------ ----
Consumer Staples -- (7.7%)
Altria Group, Inc. 691,854 44,430,864 0.5%
Archer-Daniels-Midland Co. 202,753 8,286,515 0.1%
# Brown-Forman Corp. Class B 70,615 4,026,467 0.1%
# Campbell Soup Co. 70,570 3,342,901 0.0%
Church & Dwight Co., Inc. 91,267 4,122,530 0.1%
Clorox Co. (The) 46,319 5,860,743 0.1%
Coca-Cola Co. (The) 1,385,181 63,690,622 0.8%
Colgate-Palmolive Co. 317,939 22,398,803 0.3%
Conagra Brands, Inc. 149,889 5,120,208 0.1%
Constellation Brands, Inc. Class A 61,934 13,569,120 0.1%
Costco Wholesale Corp. 158,558 25,540,523 0.3%
# Coty, Inc. Class A 173,692 2,674,857 0.0%
CVS Health Corp. 367,389 25,177,168 0.3%
# Dr Pepper Snapple Group, Inc. 66,065 5,659,128 0.1%
Estee Lauder Cos., Inc. (The) Class A 80,906 9,046,100 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
--------- ------------ ---------------
Consumer Staples -- (Continued)
# General Mills, Inc. 208,027 $ 10,800,762 0.1%
Hershey Co. (The) 51,114 5,427,285 0.1%
# Hormel Foods Corp. 98,834 3,079,667 0.0%
# JM Smucker Co. (The) 40,960 4,343,808 0.1%
# Kellogg Co. 89,315 5,584,867 0.1%
Kimberly-Clark Corp. 127,404 14,334,224 0.2%
Kraft Heinz Co. (The) 215,773 16,685,726 0.2%
# Kroger Co. (The) 323,590 6,698,313 0.1%
# McCormick & Co., Inc. Non-Voting 42,881 4,267,946 0.1%
Molson Coors Brewing Co. Class B 66,383 5,368,393 0.1%
Mondelez International, Inc. Class A 543,686 22,524,911 0.3%
* Monster Beverage Corp. 149,567 8,664,416 0.1%
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%
# Sysco Corp. 175,130 9,740,731 0.1%
Tyson Foods, Inc. Class A 105,159 7,667,143 0.1%
Wal-Mart Stores, Inc. 527,866 46,087,981 0.6%
Walgreens Boots Alliance, Inc. 331,868 21,992,892 0.2%
------------ ---
Total Consumer Staples 631,132,691 7.9%
------------ ---
Energy -- (5.8%)
Anadarko Petroleum Corp. 201,640 9,954,967 0.1%
Andeavor 52,054 5,530,217 0.1%
# Apache Corp. 137,118 5,672,572 0.1%
Baker Hughes a GE Co. 156,052 4,904,714 0.1%
# Cabot Oil & Gas Corp. 165,512 4,584,682 0.1%
#* Chesapeake Energy Corp. 327,456 1,277,078 0.0%
Chevron Corp. 683,991 79,267,717 1.0%
Cimarex Energy Co. 34,088 3,985,910 0.0%
#* Concho Resources, Inc. 54,014 7,249,219 0.1%
ConocoPhillips 438,864 22,447,894 0.3%
Devon Energy Corp. 188,811 6,967,126 0.1%
EOG Resources, Inc. 208,732 20,846,065 0.2%
# EQT Corp. 62,466 3,906,624 0.0%
Exxon Mobil Corp. 1,529,419 127,477,074 1.6%
Halliburton Co. 313,645 13,405,187 0.2%
# Helmerich & Payne, Inc. 38,521 2,092,075 0.0%
# Hess Corp. 98,683 4,357,841 0.1%
Kinder Morgan, Inc. 693,846 12,565,551 0.1%
Marathon Oil Corp. 304,089 4,324,146 0.1%
Marathon Petroleum Corp. 182,559 10,906,075 0.1%
# National Oilwell Varco, Inc. 138,704 4,742,290 0.1%
* Newfield Exploration Co. 73,792 2,272,056 0.0%
Noble Energy, Inc. 175,452 4,889,847 0.1%
Occidental Petroleum Corp. 276,428 17,848,956 0.2%
ONEOK, Inc. 136,713 7,419,414 0.1%
Phillips 66 154,942 14,112,117 0.2%
# Pioneer Natural Resources Co. 61,323 9,178,213 0.1%
# Range Resources Corp. 81,425 1,474,607 0.0%
Schlumberger, Ltd. 502,336 32,149,504 0.4%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
--------- ------------ ---------------
Energy -- (Continued)
* TechnipFMC P.L.C. 158,375 $ 4,337,891 0.1%
Valero Energy Corp. 159,268 12,564,653 0.1%
Williams Cos., Inc. (The) 297,997 8,492,914 0.1%
------------ ---
Total Energy 471,205,196 5.9%
------------ ---
Financials -- (14.3%)
Affiliated Managers Group, Inc. 20,107 3,749,955 0.0%
Aflac, Inc. 142,200 11,929,158 0.1%
Allstate Corp. (The) 130,309 12,230,803 0.2%
American Express Co. 264,585 25,273,159 0.3%
American International Group, Inc. 325,772 21,048,129 0.3%
Ameriprise Financial, Inc. 53,915 8,439,854 0.1%
Aon P.L.C. 91,716 13,154,826 0.2%
Arthur J Gallagher & Co. 64,858 4,107,457 0.1%
Assurant, Inc. 19,638 1,976,565 0.0%
Bank of America Corp. 3,541,605 97,004,561 1.2%
Bank of New York Mellon Corp. (The) 372,564 19,168,418 0.2%
BB&T Corp. 290,987 14,328,200 0.2%
* Berkshire Hathaway, Inc. Class B 694,514 129,832,447 1.6%
BlackRock, Inc. 44,697 21,044,688 0.3%
* Brighthouse Financial, Inc. 35,324 2,196,446 0.0%
Capital One Financial Corp. 174,544 16,089,466 0.2%
# Cboe Global Markets, Inc. 40,668 4,597,924 0.1%
Charles Schwab Corp. (The) 429,778 19,271,245 0.2%
Chubb, Ltd. 168,202 25,368,226 0.3%
Cincinnati Financial Corp. 54,358 3,814,301 0.0%
Citigroup, Inc. 983,300 72,272,550 0.9%
Citizens Financial Group, Inc. 182,153 6,923,636 0.1%
CME Group, Inc. 122,798 16,844,202 0.2%
Comerica, Inc. 64,168 5,041,680 0.1%
Discover Financial Services 134,273 8,933,183 0.1%
* E*TRADE Financial Corp. 100,010 4,359,436 0.1%
Everest Re Group, Ltd. 15,054 3,574,572 0.0%
Fifth Third Bancorp 265,669 7,677,834 0.1%
Franklin Resources, Inc. 118,656 4,998,977 0.1%
Goldman Sachs Group, Inc. (The) 129,748 31,461,295 0.4%
Hartford Financial Services Group, Inc. (The) 132,256 7,280,693 0.1%
Huntington Bancshares, Inc. 396,811 5,475,992 0.1%
Intercontinental Exchange, Inc. 212,215 14,027,411 0.2%
Invesco, Ltd. 147,323 5,272,690 0.1%
JPMorgan Chase & Co. 1,270,152 127,789,993 1.6%
KeyCorp 395,099 7,210,557 0.1%
Leucadia National Corp. 116,072 2,936,622 0.0%
Lincoln National Corp. 80,410 6,093,470 0.1%
Loews Corp. 99,593 4,930,849 0.1%
M&T Bank Corp. 54,788 9,136,995 0.1%
Marsh & McLennan Cos., Inc. 184,821 14,957,564 0.2%
MetLife, Inc. 383,279 20,536,089 0.3%
Moody's Corp. 59,767 8,511,418 0.1%
Morgan Stanley 509,993 25,499,650 0.3%
Nasdaq, Inc. 42,128 3,060,599 0.0%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
--------- -------------- ---------------
Financials -- (Continued)
Navient Corp. 95,665 $ 1,191,986 0.0%
Northern Trust Corp. 77,213 7,220,960 0.1%
# People's United Financial, Inc. 124,920 2,331,007 0.0%
PNC Financial Services Group, Inc. (The) 172,814 23,639,227 0.3%
Principal Financial Group, Inc. 97,337 6,409,641 0.1%
Progressive Corp. (The) 209,649 10,199,424 0.1%
Prudential Financial, Inc. 153,980 17,008,631 0.2%
Raymond James Financial, Inc. 46,632 3,953,461 0.0%
Regions Financial Corp. 432,785 6,699,512 0.1%
S&P Global, Inc. 93,082 14,564,541 0.2%
State Street Corp. 134,851 12,406,292 0.2%
SunTrust Banks, Inc. 172,900 10,410,309 0.1%
Synchrony Financial 269,596 8,794,222 0.1%
T Rowe Price Group, Inc. 86,955 8,078,119 0.1%
Torchmark Corp. 39,639 3,334,829 0.0%
Travelers Cos., Inc. (The) 99,509 13,179,967 0.2%
U.S. Bancorp. 573,073 31,163,710 0.4%
Unum Group 81,125 4,221,745 0.1%
Wells Fargo & Co. 1,612,539 90,527,939 1.1%
Willis Towers Watson P.L.C. 48,426 7,800,460 0.1%
# XL Group, Ltd. 92,484 3,742,827 0.0%
# Zions Bancorporation 72,942 3,388,885 0.0%
-------------- ----
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%
Aetna, Inc. 119,891 20,385,067 0.3%
Agilent Technologies, Inc. 116,479 7,924,066 0.1%
* Alexion Pharmaceuticals, Inc. 80,754 9,663,024 0.1%
* Align Technology, Inc. 26,013 6,216,587 0.1%
Allergan P.L.C. 120,543 21,363,836 0.3%
AmerisourceBergen Corp. 58,359 4,490,725 0.1%
Amgen, Inc. 263,152 46,109,493 0.6%
Anthem, Inc. 94,690 19,810,095 0.2%
Baxter International, Inc. 180,766 11,653,984 0.1%
Becton Dickinson and Co. 82,195 17,151,631 0.2%
* Biogen, Inc. 76,232 23,758,465 0.3%
* Boston Scientific Corp. 494,898 13,926,430 0.2%
Bristol-Myers Squibb Co. 591,348 36,462,518 0.5%
Cardinal Health, Inc. 113,856 7,047,686 0.1%
* Celgene Corp. 282,743 28,548,561 0.4%
* Centene Corp. 62,203 5,826,555 0.1%
* Cerner Corp. 113,593 7,669,799 0.1%
Cigna Corp. 90,793 17,906,195 0.2%
Cooper Cos., Inc. (The) 17,490 4,202,147 0.1%
CR Bard, Inc. 26,163 8,557,132 0.1%
Danaher Corp. 220,935 20,385,672 0.2%
* DaVita, Inc. 55,487 3,370,280 0.0%
DENTSPLY SIRONA, Inc. 82,157 5,017,328 0.1%
* Edwards Lifesciences Corp. 76,594 7,830,205 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
--------- -------------- ---------------
Health Care -- (Continued)
Eli Lilly & Co. 350,152 $ 28,691,455 0.4%
#* Envision Healthcare Corp. 44,573 1,898,810 0.0%
* Express Scripts Holding Co. 208,269 12,764,807 0.2%
Gilead Sciences, Inc. 471,964 35,378,421 0.4%
* HCA Healthcare, Inc. 104,592 7,912,385 0.1%
* Henry Schein, Inc. 57,755 4,539,543 0.1%
#* Hologic, Inc. 100,641 3,809,262 0.0%
Humana, Inc. 52,155 13,317,779 0.2%
* IDEXX Laboratories, Inc. 31,549 5,242,497 0.1%
#* Illumina, Inc. 52,711 10,815,770 0.1%
* Incyte Corp. 61,966 7,017,650 0.1%
* Intuitive Surgical, Inc. 40,335 15,140,146 0.2%
Johnson & Johnson 968,776 135,057,062 1.7%
* Laboratory Corp. of America Holdings 36,925 5,675,742 0.1%
McKesson Corp. 76,226 10,510,041 0.1%
Medtronic P.L.C. 488,485 39,332,812 0.5%
Merck & Co., Inc. 986,916 54,369,202 0.7%
* Mettler-Toledo International, Inc. 9,236 6,304,771 0.1%
* Mylan NV 193,387 6,905,850 0.1%
# Patterson Cos., Inc. 29,055 1,075,035 0.0%
PerkinElmer, Inc. 39,589 2,863,076 0.0%
# Perrigo Co. P.L.C. 47,827 3,873,509 0.0%
Pfizer, Inc. 2,154,043 75,520,748 0.9%
Quest Diagnostics, Inc. 49,190 4,613,038 0.1%
#* Quintiles IMS Holdings, Inc. 54,657 5,908,422 0.1%
* Regeneron Pharmaceuticals, Inc. 27,764 11,178,342 0.1%
# ResMed, Inc. 51,085 4,300,335 0.1%
Stryker Corp. 116,005 17,965,694 0.2%
Thermo Fisher Scientific, Inc. 144,323 27,974,127 0.3%
UnitedHealth Group, Inc. 348,941 73,354,377 0.9%
Universal Health Services, Inc. Class B 31,909 3,277,054 0.0%
#* Varian Medical Systems, Inc. 33,367 3,476,508 0.0%
* Vertex Pharmaceuticals, Inc. 90,916 13,294,647 0.2%
* Waters Corp. 28,641 5,615,068 0.1%
Zimmer Biomet Holdings, Inc. 73,425 8,929,949 0.1%
Zoetis, Inc. 177,373 11,319,945 0.1%
-------------- ----
Total Health Care 1,120,451,453 14.0%
-------------- ----
Industrials -- (9.8%)
3M Co. 215,221 49,541,722 0.6%
# Acuity Brands, Inc. 15,179 2,537,929 0.0%
# Alaska Air Group, Inc. 44,697 2,951,343 0.0%
Allegion P.L.C. 34,567 2,882,542 0.0%
# American Airlines Group, Inc. 156,301 7,318,013 0.1%
AMETEK, Inc. 83,800 5,655,662 0.1%
AO Smith Corp. 53,050 3,140,560 0.0%
Arconic, Inc. 152,237 3,824,193 0.0%
Boeing Co. (The) 200,419 51,704,094 0.6%
Caterpillar, Inc. 213,111 28,940,474 0.4%
# CH Robinson Worldwide, Inc. 50,408 3,958,540 0.0%
Cintas Corp. 31,141 4,641,255 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
--------- ----------- ---------------
Industrials -- (Continued)
CSX Corp. 329,348 $16,609,020 0.2%
Cummins, Inc. 56,819 10,050,145 0.1%
Deere & Co. 115,345 15,327,044 0.2%
Delta Air Lines, Inc. 240,204 12,017,406 0.2%
Dover Corp. 56,166 5,363,291 0.1%
Eaton Corp. P.L.C. 160,330 12,829,607 0.2%
Emerson Electric Co. 230,796 14,877,110 0.2%
Equifax, Inc. 43,571 4,728,761 0.1%
Expeditors International of Washington, Inc. 64,546 3,768,195 0.0%
# Fastenal Co. 103,804 4,875,674 0.1%
FedEx Corp. 88,934 20,082,186 0.3%
# Flowserve Corp. 47,060 2,073,934 0.0%
Fluor Corp. 49,792 2,145,537 0.0%
Fortive Corp. 110,417 7,978,732 0.1%
Fortune Brands Home & Security, Inc. 55,054 3,636,867 0.0%
General Dynamics Corp. 100,431 20,385,484 0.3%
General Electric Co. 3,124,518 62,990,283 0.8%
Honeywell International, Inc. 275,537 39,721,414 0.5%
* IHS Markit, Ltd. 130,998 5,581,825 0.1%
Illinois Tool Works, Inc. 111,693 17,482,188 0.2%
Ingersoll-Rand P.L.C. 91,987 8,150,048 0.1%
Jacobs Engineering Group, Inc. 43,600 2,537,956 0.0%
JB Hunt Transport Services, Inc. 31,263 3,326,070 0.0%
Johnson Controls International P.L.C. 336,231 13,916,601 0.2%
Kansas City Southern 38,376 3,999,547 0.1%
L3 Technologies, Inc. 28,481 5,331,074 0.1%
Lockheed Martin Corp. 90,355 27,843,797 0.3%
Masco Corp. 114,188 4,546,966 0.1%
Nielsen Holdings P.L.C. 122,541 4,542,595 0.1%
Norfolk Southern Corp. 103,921 13,657,298 0.2%
Northrop Grumman Corp. 62,737 18,540,666 0.2%
PACCAR, Inc. 126,952 9,106,267 0.1%
Parker-Hannifin Corp. 48,290 8,818,237 0.1%
Pentair P.L.C. 59,441 4,188,213 0.1%
* Quanta Services, Inc. 54,675 2,062,888 0.0%
Raytheon Co. 104,665 18,860,633 0.2%
Republic Services, Inc. 82,405 5,362,093 0.1%
Robert Half International, Inc. 44,958 2,327,476 0.0%
Rockwell Automation, Inc. 46,158 9,269,449 0.1%
Rockwell Collins, Inc. 58,609 7,947,380 0.1%
# Roper Technologies, Inc. 37,094 9,576,558 0.1%
# Snap-on, Inc. 20,533 3,239,697 0.0%
Southwest Airlines Co. 198,580 10,695,519 0.1%
Stanley Black & Decker, Inc. 55,562 8,976,041 0.1%
#* Stericycle, Inc. 30,588 2,167,160 0.0%
Textron, Inc. 95,116 5,016,418 0.1%
# TransDigm Group, Inc. 17,629 4,892,047 0.1%
Union Pacific Corp. 288,634 33,420,931 0.4%
* United Continental Holdings, Inc. 93,250 5,453,260 0.1%
United Parcel Service, Inc. Class B 248,947 29,258,741 0.4%
* United Rentals, Inc. 30,622 4,332,400 0.1%
United Technologies Corp. 268,487 32,154,003 0.4%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
--------- ------------ ---------------
Industrials -- (Continued)
* Verisk Analytics, Inc. 56,552 $ 4,809,748 0.1%
Waste Management, Inc. 145,613 11,965,020 0.1%
# WW Grainger, Inc. 18,931 3,742,659 0.0%
# Xylem, Inc. 65,592 4,363,836 0.1%
------------ ----
Total Industrials 798,020,322 10.0%
------------ ----
Information Technology -- (23.8%)
Accenture P.L.C. Class A 223,379 31,800,235 0.4%
Activision Blizzard, Inc. 272,231 17,828,408 0.2%
* Adobe Systems, Inc. 178,318 31,234,181 0.4%
#* Advanced Micro Devices, Inc. 290,204 3,187,891 0.0%
* Akamai Technologies, Inc. 62,902 3,286,630 0.0%
Alliance Data Systems Corp. 17,407 3,894,468 0.1%
* Alphabet, Inc. Class A 107,578 111,132,377 1.4%
* Alphabet, Inc. Class C 108,955 110,768,011 1.4%
Amphenol Corp. Class A 110,809 9,640,383 0.1%
Analog Devices, Inc. 132,637 12,109,758 0.2%
* ANSYS, Inc. 30,469 4,165,417 0.1%
Apple, Inc. 1,864,362 315,151,753 3.9%
Applied Materials, Inc. 384,618 21,703,994 0.3%
#* Autodesk, Inc. 79,042 9,877,088 0.1%
Automatic Data Processing, Inc. 160,245 18,630,084 0.2%
Broadcom, Ltd. 146,621 38,694,748 0.5%
CA, Inc. 114,485 3,707,024 0.0%
* Cadence Design Systems, Inc. 101,043 4,361,016 0.1%
Cisco Systems, Inc. 1,804,117 61,610,596 0.8%
* Citrix Systems, Inc. 51,904 4,287,789 0.1%
Cognizant Technology Solutions Corp. Class A 212,862 16,107,268 0.2%
Corning, Inc. 325,695 10,197,511 0.1%
CSRA, Inc. 58,950 1,885,811 0.0%
DXC Technology Co. 102,340 9,366,157 0.1%
* eBay, Inc. 358,947 13,510,765 0.2%
* Electronic Arts, Inc. 111,204 13,299,998 0.2%
* F5 Networks, Inc. 22,654 2,747,251 0.0%
* Facebook, Inc. Class A 855,559 154,051,954 1.9%
Fidelity National Information Services, Inc. 120,522 11,179,621 0.1%
* Fiserv, Inc. 75,896 9,823,219 0.1%
FLIR Systems, Inc. 49,994 2,340,719 0.0%
* Gartner, Inc. 32,521 4,075,207 0.1%
Global Payments, Inc. 55,534 5,772,759 0.1%
Harris Corp. 43,594 6,073,516 0.1%
Hewlett Packard Enterprise Co. 592,346 8,245,456 0.1%
HP, Inc. 601,565 12,963,726 0.2%
Intel Corp. 1,695,778 77,140,941 1.0%
International Business Machines Corp. 312,602 48,159,464 0.6%
Intuit, Inc. 87,966 13,284,625 0.2%
Juniper Networks, Inc. 135,786 3,371,566 0.0%
KLA-Tencor Corp. 57,123 6,220,124 0.1%
# Lam Research Corp. 58,818 12,267,670 0.2%
Mastercard, Inc. Class A 336,778 50,102,463 0.6%
# Microchip Technology, Inc. 83,924 7,955,995 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
--------- -------------- ---------------
Information Technology -- (Continued)
* Micron Technology, Inc. 401,741 $ 17,801,144 0.2%
Microsoft Corp. 2,780,085 231,247,470 2.9%
Motorola Solutions, Inc. 58,801 5,323,843 0.1%
# NetApp, Inc. 96,558 4,289,106 0.1%
NVIDIA Corp. 216,362 44,745,825 0.6%
Oracle Corp. 1,089,326 55,446,693 0.7%
Paychex, Inc. 115,817 7,387,966 0.1%
* PayPal Holdings, Inc. 407,632 29,577,778 0.4%
#* Qorvo, Inc. 45,862 3,476,798 0.0%
QUALCOMM, Inc. 534,140 27,246,481 0.3%
* Red Hat, Inc. 64,001 7,733,241 0.1%
* salesforce.com, Inc. 246,224 25,198,564 0.3%
# Seagate Technology P.L.C. 103,794 3,837,264 0.0%
# Skyworks Solutions, Inc. 66,212 7,538,898 0.1%
# Symantec Corp. 220,598 7,169,435 0.1%
* Synopsys, Inc. 54,755 4,737,403 0.1%
TE Connectivity, Ltd. 127,083 11,560,741 0.1%
Texas Instruments, Inc. 357,047 34,522,874 0.4%
Total System Services, Inc. 60,600 4,366,230 0.1%
#* VeriSign, Inc. 30,988 3,331,830 0.0%
# Visa, Inc. Class A 660,208 72,609,676 0.9%
Western Digital Corp. 106,420 9,500,113 0.1%
# Western Union Co. (The) 166,593 3,308,537 0.0%
Xerox Corp. 76,135 2,307,652 0.0%
# Xilinx, Inc. 89,335 6,583,096 0.1%
-------------- ----
Total Information Technology 1,948,064,295 24.4%
-------------- ----
Materials -- (2.9%)
Air Products & Chemicals, Inc. 78,682 12,544,271 0.2%
# Albemarle Corp. 39,993 5,634,614 0.1%
Avery Dennison Corp. 32,048 3,402,536 0.0%
# Ball Corp. 127,888 5,490,232 0.1%
# CF Industries Holdings, Inc. 83,572 3,174,065 0.0%
DowDuPont, Inc. 841,839 60,873,378 0.8%
Eastman Chemical Co. 52,394 4,757,899 0.1%
Ecolab, Inc. 94,259 12,315,881 0.1%
# FMC Corp. 48,833 4,534,632 0.1%
* Freeport-McMoRan, Inc. 487,899 6,820,828 0.1%
International Flavors & Fragrances, Inc. 28,362 4,181,126 0.1%
International Paper Co. 149,219 8,545,772 0.1%
LyondellBasell Industries NV Class A 117,039 12,117,048 0.1%
Martin Marietta Materials, Inc. 22,808 4,945,915 0.1%
Monsanto Co. 158,640 19,211,304 0.2%
Mosaic Co. (The) 127,530 2,849,020 0.0%
Newmont Mining Corp. 191,514 6,925,146 0.1%
Nucor Corp. 114,833 6,640,793 0.1%
Packaging Corp. of America 33,934 3,945,506 0.0%
PPG Industries, Inc. 92,589 10,762,545 0.1%
Praxair, Inc. 103,309 15,095,511 0.2%
# Sealed Air Corp. 67,645 2,991,938 0.0%
Sherwin-Williams Co. (The) 29,642 11,713,036 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
--------- ------------ ---------------
Materials -- (Continued)
Vulcan Materials Co. 47,416 $ 5,772,898 0.1%
WestRock Co. 92,374 5,665,298 0.1%
------------ ---
Total Materials 240,911,192 3.0%
------------ ---
Real Estate -- (2.9%)
# Alexandria Real Estate Equities, Inc. 33,762 4,185,137 0.1%
American Tower Corp. 154,767 22,235,375 0.3%
Apartment Investment & Management Co. Class A 56,137 2,468,905 0.0%
AvalonBay Communities, Inc. 50,119 9,088,078 0.1%
Boston Properties, Inc. 55,394 6,712,645 0.1%
* CBRE Group, Inc. Class A 109,288 4,297,204 0.1%
Crown Castle International Corp. 146,503 15,687,541 0.2%
# Digital Realty Trust, Inc. 73,786 8,739,214 0.1%
Duke Realty Corp. 128,088 3,647,946 0.0%
Equinix, Inc. 28,157 13,050,769 0.2%
Equity Residential 132,375 8,903,542 0.1%
Essex Property Trust, Inc. 23,881 6,267,091 0.1%
# Extra Space Storage, Inc. 46,035 3,755,996 0.0%
# Federal Realty Investment Trust 25,860 3,116,647 0.0%
# GGP, Inc. 225,821 4,394,477 0.1%
HCP, Inc. 167,877 4,337,942 0.1%
# Host Hotels & Resorts, Inc. 267,432 5,230,970 0.1%
# Iron Mountain, Inc. 95,342 3,813,680 0.0%
# Kimco Realty Corp. 152,186 2,763,698 0.0%
# Macerich Co. (The) 39,266 2,143,924 0.0%
Mid-America Apartment Communities, Inc. 40,721 4,167,794 0.1%
Prologis, Inc. 191,654 12,377,015 0.2%
# Public Storage 54,032 11,198,132 0.1%
# Realty Income Corp. 98,924 5,309,251 0.1%
# Regency Centers Corp. 52,952 3,259,196 0.0%
* SBA Communications Corp. 43,707 6,869,866 0.1%
# Simon Property Group, Inc. 112,090 17,410,940 0.2%
# SL Green Realty Corp. 35,320 3,379,418 0.0%
# UDR, Inc. 97,719 3,790,520 0.0%
Ventas, Inc. 127,956 8,029,239 0.1%
Vornado Realty Trust 62,253 4,660,260 0.1%
Welltower, Inc. 133,705 8,952,887 0.1%
Weyerhaeuser Co. 270,993 9,731,359 0.1%
------------ ---
Total Real Estate 233,976,658 2.9%
------------ ---
Telecommunication Services -- (1.8%)
AT&T, Inc. 2,216,171 74,574,154 0.9%
# CenturyLink, Inc. 350,026 6,646,994 0.1%
Verizon Communications, Inc. 1,472,250 70,476,607 0.9%
------------ ---
Total Telecommunication Services 151,697,755 1.9%
------------ ---
Utilities -- (3.1%)
AES Corp. 234,782 2,495,733 0.0%
# Alliant Energy Corp. 83,559 3,614,762 0.1%
Ameren Corp. 87,380 5,416,686 0.1%
American Electric Power Co., Inc. 177,506 13,208,222 0.2%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
---------- -------------- ---------------
Utilities -- (Continued)
American Water Works Co., Inc. 64,098 $ 5,625,241 0.1%
CenterPoint Energy, Inc. 156,512 4,629,625 0.1%
CMS Energy Corp. 100,922 4,881,597 0.1%
Consolidated Edison, Inc. 111,724 9,613,850 0.1%
# Dominion Energy, Inc. 231,722 18,801,923 0.2%
DTE Energy Co. 64,830 7,161,122 0.1%
Duke Energy Corp. 252,999 22,342,342 0.3%
Edison International 117,747 9,413,873 0.1%
Entergy Corp. 64,425 5,557,301 0.1%
# Eversource Energy 114,522 7,173,658 0.1%
Exelon Corp. 346,215 13,921,305 0.2%
# FirstEnergy Corp. 161,352 5,316,548 0.1%
NextEra Energy, Inc. 169,228 26,242,186 0.3%
NiSource, Inc. 119,125 3,141,326 0.0%
NRG Energy, Inc. 108,412 2,710,300 0.0%
PG&E Corp. 184,533 10,660,471 0.1%
Pinnacle West Capital Corp. 40,864 3,584,181 0.1%
PPL Corp. 246,897 9,273,451 0.1%
Public Service Enterprise Group, Inc. 182,823 8,994,892 0.1%
SCANA Corp. 52,044 2,245,178 0.0%
Sempra Energy 90,650 10,651,375 0.1%
Southern Co. (The) 361,502 18,870,404 0.2%
# WEC Energy Group, Inc. 113,849 7,672,284 0.1%
Xcel Energy, Inc. 182,853 9,054,881 0.1%
-------------- -----
Total Utilities 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%
============== =====
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
=========== =========== =======
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Fund's investments as of October 31, 2017, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
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.
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (97.2%)
Consumer Discretionary -- (13.2%)
# Adient P.L.C. 217,853 $ 18,378,079 0.1%
# Autoliv, Inc. 316,100 39,468,246 0.1%
#* AutoNation, Inc. 319,216 15,130,838 0.1%
# Best Buy Co., Inc. 1,444,806 80,880,240 0.3%
# BorgWarner, Inc. 1,060,592 55,914,410 0.2%
# CalAtlantic Group, Inc. 14,193 700,283 0.0%
Carnival Corp. 1,262,724 83,832,246 0.3%
CBS Corp. Class A 7,236 411,222 0.0%
* Charter Communications, Inc. Class A 996,600 333,033,822 1.2%
Comcast Corp. Class A 21,211,780 764,260,433 2.8%
#* Discovery Communications, Inc. Class A 644,292 12,164,233 0.0%
* Discovery Communications, Inc. Class C 621,252 11,064,498 0.0%
* Dollar Tree, Inc. 369,560 33,722,350 0.1%
DR Horton, Inc. 3,009,706 133,059,102 0.5%
# Ford Motor Co. 16,011,353 196,459,301 0.7%
# Garmin, Ltd. 440,060 24,911,797 0.1%
General Motors Co. 6,055,833 260,279,702 0.9%
# Gentex Corp. 1,088,259 21,123,107 0.1%
Goodyear Tire & Rubber Co. (The) 1,527,554 46,727,877 0.2%
* Hyatt Hotels Corp. Class A 44,108 2,763,807 0.0%
# International Game Technology P.L.C. 11,477 269,710 0.0%
# Kohl's Corp. 1,387,664 57,948,849 0.2%
Lear Corp. 274,404 48,182,598 0.2%
# Lennar Corp. Class A 1,456,943 81,108,017 0.3%
Lennar Corp. Class B 8,428 404,123 0.0%
* Liberty Broadband Corp. Class A 27,366 2,359,223 0.0%
#* Liberty Broadband Corp. Class C 166,490 14,532,912 0.1%
#* Liberty Interactive Corp., QVC Group Class A 2,762,021 62,753,117 0.2%
#* Liberty Media Corp.-Liberty Braves Class A 13,703 321,747 0.0%
#* Liberty Media Corp.-Liberty Braves Class C 24,606 580,948 0.0%
#* Liberty Media Corp.-Liberty Formula One Class A 39,281 1,429,828 0.0%
#* Liberty Media Corp.-Liberty Formula One Class C 78,562 2,996,355 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class A 157,126 6,553,726 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class C 314,252 13,088,596 0.0%
#* Liberty Ventures Series A 59,566 3,392,879 0.0%
* LKQ Corp. 952,373 35,894,938 0.1%
# Macy's, Inc. 1,470,252 27,581,928 0.1%
* Madison Square Garden Co. (The) Class A 12,058 2,685,196 0.0%
# MGM Resorts International 2,471,336 77,476,384 0.3%
* Mohawk Industries, Inc. 535,570 140,190,803 0.5%
# Newell Brands, Inc. 686,895 28,011,578 0.1%
News Corp. Class A 377,812 5,160,912 0.0%
News Corp. Class B 40,936 569,010 0.0%
#* Norwegian Cruise Line Holdings, Ltd. 1,339,640 74,684,930 0.3%
PulteGroup, Inc. 2,391,049 72,281,411 0.3%
PVH Corp. 384,788 48,794,966 0.2%
# Ralph Lauren Corp. 291,292 26,050,244 0.1%
Royal Caribbean Cruises, Ltd. 1,461,968 180,947,779 0.7%
* Skechers U.S.A., Inc. Class A 156,944 5,009,653 0.0%
# Target Corp. 963,192 56,866,856 0.2%
# TEGNA, Inc. 626,726 7,664,859 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Consumer Discretionary -- (Continued)
Time Warner, Inc. 3,804,556 $ 373,949,809 1.3%
Toll Brothers, Inc. 338,804 15,598,536 0.1%
# Viacom, Inc. Class A 2,694 80,955 0.0%
Viacom, Inc. Class B 797,742 19,169,740 0.1%
# Whirlpool Corp. 544,837 89,315,129 0.3%
-------------- ----
Total Consumer Discretionary 3,718,193,837 13.4%
-------------- ----
Consumer Staples -- (6.3%)
Archer-Daniels-Midland Co. 2,600,284 106,273,607 0.4%
Bunge, Ltd. 937,564 64,485,652 0.2%
# Coty, Inc. Class A 372,872 5,742,229 0.0%
CVS Health Corp. 4,700,064 322,095,386 1.2%
Ingredion, Inc. 146,985 18,424,570 0.1%
# JM Smucker Co. (The) 895,585 94,976,789 0.3%
Kraft Heinz Co. (The) 1,012,962 78,332,351 0.3%
Molson Coors Brewing Co. Class B 865,117 69,962,012 0.3%
Mondelez International, Inc. Class A 3,546,887 146,947,528 0.5%
Pinnacle Foods, Inc. 489,872 26,658,834 0.1%
* Post Holdings, Inc. 362,292 30,044,876 0.1%
Seaboard Corp. 13 57,202 0.0%
#* TreeHouse Foods, Inc. 49,069 3,257,200 0.0%
Tyson Foods, Inc. Class A 1,959,828 142,891,060 0.5%
* US Foods Holding Corp. 707,806 19,308,948 0.1%
Wal-Mart Stores, Inc. 5,670,262 495,070,575 1.8%
Walgreens Boots Alliance, Inc. 2,539,242 168,275,567 0.6%
-------------- ----
Total Consumer Staples 1,792,804,386 6.5%
-------------- ----
Energy -- (11.3%)
Anadarko Petroleum Corp. 969,947 47,886,283 0.2%
Andeavor 1,106,785 117,584,838 0.4%
#* Antero Resources Corp. 18,918 367,009 0.0%
# Apache Corp. 253,665 10,494,121 0.0%
Baker Hughes a GE Co. 1,011,773 31,800,025 0.1%
Chevron Corp. 4,451,136 515,842,151 1.9%
#* Concho Resources, Inc. 586,120 78,663,165 0.3%
ConocoPhillips 2,989,939 152,935,380 0.6%
#* Continental Resources, Inc. 194,483 7,917,403 0.0%
#* Diamondback Energy, Inc. 63,757 6,832,200 0.0%
Exxon Mobil Corp. 12,856,443 1,071,584,524 3.9%
# Helmerich & Payne, Inc. 446,159 24,230,895 0.1%
# Hess Corp. 918,391 40,556,147 0.1%
# HollyFrontier Corp. 645,042 23,834,302 0.1%
Kinder Morgan, Inc. 6,136,481 111,131,671 0.4%
# Marathon Oil Corp. 2,846,569 40,478,211 0.1%
Marathon Petroleum Corp. 2,313,489 138,207,833 0.5%
# Murphy Oil Corp. 309,108 8,268,639 0.0%
# National Oilwell Varco, Inc. 1,387,526 47,439,514 0.2%
# Noble Energy, Inc. 1,659,899 46,261,385 0.2%
Occidental Petroleum Corp. 2,196,166 141,806,439 0.5%
# ONEOK, Inc. 162,301 8,808,075 0.0%
Phillips 66 1,065,820 97,074,886 0.3%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Energy -- (Continued)
# Pioneer Natural Resources Co. 42,427 $ 6,350,049 0.0%
# Range Resources Corp. 144,745 2,621,332 0.0%
* Rice Energy, Inc. 102,107 2,894,734 0.0%
* RSP Permian, Inc. 43,338 1,491,261 0.0%
Schlumberger, Ltd. 1,134,428 72,603,392 0.3%
# Targa Resources Corp. 1,262,389 52,389,144 0.2%
* TechnipFMC P.L.C. 1,601,490 43,864,811 0.2%
Valero Energy Corp. 2,810,052 221,685,002 0.8%
Williams Cos., Inc. (The) 488,782 13,930,287 0.1%
-------------- ----
Total Energy 3,187,835,108 11.5%
-------------- ----
Financials -- (24.1%)
Aflac, Inc. 1,311,820 110,048,580 0.4%
* Alleghany Corp. 32,159 18,209,069 0.1%
Allstate Corp. (The) 1,042,737 97,871,295 0.3%
# Ally Financial, Inc. 2,784,132 72,749,369 0.3%
American Financial Group, Inc. 417,552 44,047,560 0.2%
American International Group, Inc. 2,219,588 143,407,581 0.5%
#* Arch Capital Group, Ltd. 176,406 17,577,094 0.1%
Assurant, Inc. 347,378 34,963,596 0.1%
Assured Guaranty, Ltd. 489,910 18,175,661 0.1%
Axis Capital Holdings, Ltd. 342,158 18,609,974 0.1%
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%
# Bank of the Ozarks, Inc. 26,530 1,236,829 0.0%
# BB&T Corp. 2,075,692 102,207,074 0.4%
BOK Financial Corp. 6,114 528,678 0.0%
* Brighthouse Financial, Inc. 185,840 11,555,531 0.0%
Capital One Financial Corp. 2,121,034 195,516,914 0.7%
Chubb, Ltd. 565,233 85,248,441 0.3%
# CIT Group, Inc. 473,057 22,053,917 0.1%
Citigroup, Inc. 8,095,404 595,012,194 2.1%
Citizens Financial Group, Inc. 912,076 34,668,009 0.1%
# CNA Financial Corp. 411,635 22,281,803 0.1%
Comerica, Inc. 47,828 3,757,846 0.0%
Everest Re Group, Ltd. 220,574 52,375,296 0.2%
Fifth Third Bancorp 4,300,050 124,271,445 0.4%
# First American Financial Corp. 115,297 6,274,463 0.0%
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%
# Huntington Bancshares, Inc. 4,563,724 62,979,391 0.2%
Invesco, Ltd. 513,904 18,392,624 0.1%
JPMorgan Chase & Co. 11,460,834 1,153,074,509 4.2%
KeyCorp 2,534,114 46,247,580 0.2%
Leucadia National Corp. 246,660 6,240,498 0.0%
Lincoln National Corp. 907,300 68,755,194 0.2%
Loews Corp. 1,364,220 67,542,532 0.2%
M&T Bank Corp. 283,612 47,297,973 0.2%
MetLife, Inc. 2,044,246 109,530,701 0.4%
* MGIC Investment Corp. 110,703 1,583,053 0.0%
Morgan Stanley 5,499,651 274,982,550 1.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Financials -- (Continued)
# New York Community Bancorp, Inc. 1,100,233 $ 13,818,926 0.0%
Old Republic International Corp. 793,763 16,105,451 0.1%
PacWest Bancorp 292,728 14,144,617 0.1%
# People's United Financial, Inc. 396,896 7,406,079 0.0%
Pinnacle Financial Partners, Inc. 44,579 2,951,130 0.0%
PNC Financial Services Group, Inc. (The) 1,370,488 187,469,053 0.7%
Principal Financial Group, Inc. 1,555,887 102,455,159 0.4%
# Prosperity Bancshares, Inc. 69,192 4,551,450 0.0%
Prudential Financial, Inc. 1,042,426 115,146,376 0.4%
Regions Financial Corp. 6,050,415 93,660,424 0.3%
Reinsurance Group of America, Inc. 352,636 52,676,766 0.2%
# RenaissanceRe Holdings, Ltd. 118,695 16,422,640 0.1%
* Santander Consumer USA Holdings, Inc. 369,099 6,141,807 0.0%
State Street Corp. 524,339 48,239,188 0.2%
SunTrust Banks, Inc. 1,256,570 75,658,080 0.3%
Synchrony Financial 159,750 5,211,045 0.0%
Travelers Cos., Inc. (The) 1,165,331 154,348,091 0.6%
Unum Group 1,204,396 62,676,768 0.2%
Validus Holdings, Ltd. 2,287 119,107 0.0%
# Voya Financial, Inc. 184,436 7,406,950 0.0%
Wells Fargo & Co. 15,424,411 865,926,434 3.1%
# WR Berkley Corp. 230,790 15,827,578 0.1%
# XL Group, Ltd. 1,060,092 42,901,923 0.2%
# Zions Bancorporation 781,188 36,293,994 0.1%
-------------- ----
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%
Allergan P.L.C. 496,938 88,072,322 0.3%
Anthem, Inc. 1,447,321 302,794,026 1.1%
Baxter International, Inc. 77,675 5,007,707 0.0%
#* Bio-Rad Laboratories, Inc. Class A 7,494 1,647,106 0.0%
Cardinal Health, Inc. 51,405 3,181,970 0.0%
* Centene Corp. 1,155,189 108,206,554 0.4%
Cigna Corp. 403,350 79,548,687 0.3%
Danaher Corp. 2,176,662 200,840,603 0.7%
* DaVita, Inc. 968,792 58,844,426 0.2%
DENTSPLY SIRONA, Inc. 219,509 13,405,415 0.0%
#* Envision Healthcare Corp. 68,624 2,923,382 0.0%
* Express Scripts Holding Co. 2,740,464 167,963,039 0.6%
Humana, Inc. 708,361 180,879,981 0.7%
* INC Research Holdings, Inc. Class A 14,960 854,964 0.0%
* Laboratory Corp. of America Holdings 721,272 110,866,719 0.4%
McKesson Corp. 357,190 49,249,357 0.2%
#* MEDNAX, Inc. 413,651 18,113,777 0.1%
Medtronic P.L.C. 4,257,228 342,791,999 1.2%
* Mylan NV 1,365,926 48,777,217 0.2%
PerkinElmer, Inc. 137,678 9,956,873 0.0%
# Perrigo Co. P.L.C. 181,117 14,668,666 0.1%
Pfizer, Inc. 16,341,666 572,938,810 2.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Health Care -- (Continued)
Quest Diagnostics, Inc. 954,608 $ 89,523,138 0.3%
#* Quintiles IMS Holdings, Inc. 203,054 21,950,137 0.1%
STERIS P.L.C. 192,061 17,925,053 0.1%
#* Taro Pharmaceutical Industries, Ltd. 9,494 1,067,316 0.0%
Thermo Fisher Scientific, Inc. 1,050,474 203,613,375 0.7%
* United Therapeutics Corp. 181,204 21,488,982 0.1%
Universal Health Services, Inc. Class B 500,100 51,360,270 0.2%
* WellCare Health Plans, Inc. 101,722 20,114,508 0.1%
Zimmer Biomet Holdings, Inc. 256,814 31,233,719 0.1%
-------------- ----
Total Health Care 3,402,764,959 12.3%
-------------- ----
Industrials -- (8.1%)
* AECOM 619,769 21,729,101 0.1%
AGCO Corp. 443,685 30,423,480 0.1%
# AMERCO 51,218 20,110,236 0.1%
# Arconic, Inc. 2,428,588 61,006,131 0.2%
Carlisle Cos., Inc. 314,461 34,537,252 0.1%
* Colfax Corp. 148,210 6,181,839 0.0%
Copa Holdings SA Class A 52,052 6,412,286 0.0%
CSX Corp. 844,423 42,584,252 0.2%
Cummins, Inc. 175,294 31,006,003 0.1%
Delta Air Lines, Inc. 2,950,569 147,616,967 0.5%
Dover Corp. 830,218 79,277,517 0.3%
Eaton Corp. P.L.C. 1,814,900 145,228,298 0.5%
EMCOR Group, Inc. 10,035 807,918 0.0%
FedEx Corp. 624,040 140,914,472 0.5%
Fluor Corp. 890,347 38,365,052 0.1%
General Electric Co. 2,108,359 42,504,517 0.2%
* Genesee & Wyoming, Inc. Class A 54,725 3,928,161 0.0%
Ingersoll-Rand P.L.C. 830,409 73,574,237 0.3%
Jacobs Engineering Group, Inc. 377,362 21,966,242 0.1%
#* JetBlue Airways Corp. 2,305,410 44,148,602 0.2%
Johnson Controls International P.L.C. 1,004,978 41,596,039 0.2%
Kansas City Southern 663,498 69,149,762 0.2%
L3 Technologies, Inc. 393,053 73,571,661 0.3%
# Macquarie Infrastructure Corp. 414,567 28,833,135 0.1%
ManpowerGroup, Inc. 425,572 52,464,516 0.2%
Norfolk Southern Corp. 1,546,984 203,304,637 0.7%
Orbital ATK, Inc. 77,125 10,252,226 0.0%
Oshkosh Corp. 310,560 28,434,874 0.1%
Owens Corning 742,362 61,385,914 0.2%
PACCAR, Inc. 522,096 37,449,946 0.1%
# Pentair P.L.C. 1,039,475 73,241,408 0.3%
* Quanta Services, Inc. 573,384 21,633,778 0.1%
Republic Services, Inc. 1,993,959 129,746,912 0.5%
Rockwell Collins, Inc. 10,306 1,397,494 0.0%
# Snap-on, Inc. 13,648 2,153,381 0.0%
Spirit Aerosystems Holdings, Inc. Class A 31,638 2,534,204 0.0%
Stanley Black & Decker, Inc. 1,079,268 174,355,745 0.6%
#* Stericycle, Inc. 176,533 12,507,363 0.0%
* Teledyne Technologies, Inc. 16,413 2,789,553 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
Textron, Inc. 1,923,539 $ 101,447,447 0.4%
Trinity Industries, Inc. 94,028 3,057,791 0.0%
* United Continental Holdings, Inc. 1,237,226 72,352,976 0.3%
#* USG Corp. 150,489 5,166,287 0.0%
# Wabtec Corp. 230,470 17,630,955 0.1%
#* XPO Logistics, Inc. 807,425 55,994,924 0.2%
-------------- ---
Total Industrials 2,274,775,491 8.2%
-------------- ---
Information Technology -- (14.6%)
* Akamai Technologies, Inc. 44,939 2,348,063 0.0%
# Amdocs, Ltd. 484,726 31,555,663 0.1%
* ARRIS International P.L.C. 770,878 21,970,023 0.1%
* Arrow Electronics, Inc. 652,120 54,510,711 0.2%
Avnet, Inc. 507,596 20,202,321 0.1%
Brocade Communications Systems, Inc. 1,391,533 16,211,359 0.1%
CA, Inc. 2,956,960 95,746,365 0.3%
Cisco Systems, Inc. 23,284,393 795,162,021 2.9%
* CommerceHub, Inc. Series C 53,314 1,137,188 0.0%
Corning, Inc. 3,683,566 115,332,451 0.4%
* Dell Technologies, Inc. Class V 703,394 58,219,921 0.2%
Dolby Laboratories, Inc. Class A 16,116 933,761 0.0%
DXC Technology Co. 1,074,893 98,374,207 0.4%
* EchoStar Corp. Class A 14,785 827,221 0.0%
Fidelity National Information Services, Inc. 1,455,335 134,996,875 0.5%
* First Solar, Inc. 27,062 1,483,539 0.0%
#* Flex, Ltd. 1,552,059 27,626,650 0.1%
FLIR Systems, Inc. 105,840 4,955,429 0.0%
Hewlett Packard Enterprise Co. 9,176,127 127,731,688 0.5%
HP, Inc. 9,619,949 207,309,901 0.8%
Intel Corp. 22,965,227 1,044,688,176 3.8%
Jabil, Inc. 917,888 25,957,873 0.1%
Juniper Networks, Inc. 2,634,266 65,408,825 0.2%
# Lam Research Corp. 1,017,170 212,151,147 0.8%
Leidos Holdings, Inc. 534,387 33,409,875 0.1%
LogMeIn, Inc. 2,049 248,031 0.0%
Marvell Technology Group, Ltd. 808,260 14,928,562 0.1%
* Micro Focus International P.L.C. Sponsored ADR 194,533 6,795,038 0.0%
* Micron Technology, Inc. 5,266,057 233,338,986 0.8%
* Microsemi Corp. 57,304 3,058,314 0.0%
* Nuance Communications, Inc. 145,478 2,144,346 0.0%
NVIDIA Corp. 322,296 66,654,036 0.2%
#* ON Semiconductor Corp. 550,404 11,734,613 0.0%
#* Qorvo, Inc. 306,151 23,209,307 0.1%
QUALCOMM, Inc. 5,296,483 270,173,598 1.0%
# SS&C Technologies Holdings, Inc. 122,197 4,912,319 0.0%
# SYNNEX Corp. 191,299 25,802,409 0.1%
* Synopsys, Inc. 83,602 7,233,245 0.0%
TE Connectivity, Ltd. 831,307 75,623,998 0.3%
Teradyne, Inc. 130,425 5,593,928 0.0%
Western Digital Corp. 1,222,328 109,117,221 0.4%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- --------------- ---------------
Information Technology -- (Continued)
Xerox Corp. 1,658,079 $ 50,256,374 0.2%
--------------- ----
Total Information Technology 4,109,075,578 14.9%
--------------- ----
Materials -- (3.3%)
# Albemarle Corp. 492,856 69,438,482 0.3%
* Alcoa Corp. 908,598 43,412,812 0.2%
Ashland Global Holdings, Inc. 376,541 25,597,257 0.1%
# CF Industries Holdings, Inc. 1,279,879 48,609,804 0.2%
DowDuPont, Inc. 822,454 59,471,649 0.2%
Eastman Chemical Co. 1,047,312 95,106,403 0.4%
* Freeport-McMoRan, Inc. 3,399,494 47,524,926 0.2%
Huntsman Corp. 258,591 8,280,084 0.0%
# Martin Marietta Materials, Inc. 88,405 19,170,624 0.1%
Mosaic Co. (The) 1,394,879 31,161,597 0.1%
Newmont Mining Corp. 1,816,911 65,699,502 0.2%
Nucor Corp. 2,417,690 139,815,013 0.5%
# Olin Corp. 922,649 33,704,368 0.1%
Reliance Steel & Aluminum Co. 425,994 32,733,379 0.1%
# Royal Gold, Inc. 107,949 9,079,590 0.0%
Steel Dynamics, Inc. 1,540,964 57,339,270 0.2%
Valvoline, Inc. 1,033,732 24,830,243 0.1%
# Vulcan Materials Co. 275,139 33,498,173 0.1%
# Westlake Chemical Corp. 342,667 29,095,855 0.1%
WestRock Co. 1,040,093 63,788,904 0.2%
--------------- ----
Total Materials 937,357,935 3.4%
--------------- ----
Real Estate -- (0.1%)
#* Howard Hughes Corp. (The) 5,701 727,619 0.0%
Jones Lang LaSalle, Inc. 178,114 23,063,982 0.1%
# Realogy Holdings Corp. 131,211 4,242,051 0.0%
--------------- ----
Total Real Estate 28,033,652 0.1%
--------------- ----
Telecommunication Services -- (3.9%)
# AT&T, Inc. 26,708,783 898,750,548 3.2%
# CenturyLink, Inc. 3,991,008 75,789,242 0.3%
* Level 3 Communications, Inc. 843,237 45,222,800 0.2%
#* Sprint Corp. 2,014,058 13,171,939 0.1%
* T-Mobile US, Inc. 960,615 57,415,959 0.2%
--------------- ----
Total Telecommunication Services 1,090,350,488 4.0%
--------------- ----
Utilities -- (0.2%)
* Calpine Corp. 1,538,972 22,992,242 0.1%
# NRG Energy, Inc. 1,599,440 39,986,000 0.1%
--------------- ----
Total Utilities 62,978,242 0.2%
--------------- ----
TOTAL COMMON STOCKS 27,395,694,054 99.0%
--------------- ----
RIGHTS/WARRANTS -- (0.0%)
(degrees)#* Safeway Casa Ley Contingent Value Rights 196,076 198,997 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
----------- --------------- ---------------
(degrees)#* Safeway PDC, LLC Contingent Value Rights 196,076 $ 59 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS 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%
=============== =====
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
============ ============ ==========
THE U.S. LARGE CAP 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 $ 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.
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (94.5%)
AUSTRALIA -- (5.7%)
Alumina, Ltd. 312,287 $ 560,404 0.0%
Aurizon Holdings, Ltd. 1,898,469 7,534,459 0.1%
# Australia & New Zealand Banking Group, Ltd. 6,120,380 140,453,824 1.1%
Bank of Queensland, Ltd. 796,768 8,156,707 0.1%
Bendigo & Adelaide Bank, Ltd. 1,271,190 11,087,580 0.1%
BHP Billiton, Ltd. 6,597,392 135,832,357 1.1%
# BHP Billiton, Ltd. Sponsored ADR 1,510,491 61,899,921 0.5%
BlueScope Steel, Ltd. 2,415,466 23,780,303 0.2%
Boral, Ltd. 2,601,567 14,275,678 0.1%
Crown Resorts, Ltd. 517,397 4,600,765 0.0%
Downer EDI, Ltd. 697,796 3,744,298 0.0%
Fortescue Metals Group, Ltd. 8,466,965 30,105,183 0.2%
# Harvey Norman Holdings, Ltd. 360,705 1,044,843 0.0%
Incitec Pivot, Ltd. 4,609,977 13,522,169 0.1%
LendLease Group 1,287,380 15,986,694 0.1%
National Australia Bank, Ltd. 94,926 2,378,482 0.0%
Newcrest Mining, Ltd. 2,801,722 47,902,721 0.4%
Oil Search, Ltd. 654,420 3,709,500 0.0%
* Origin Energy, Ltd. 2,836,110 17,273,281 0.1%
QBE Insurance Group, Ltd. 2,620,554 21,488,037 0.2%
Rio Tinto, Ltd. 94,498 5,035,446 0.1%
* Santos, Ltd. 4,838,494 16,719,439 0.1%
South32, Ltd. 13,608,291 35,545,592 0.3%
South32, Ltd. ADR 328,024 4,271,529 0.0%
Star Entertainment Grp, Ltd. (The) 4,545,302 20,042,974 0.2%
Suncorp Group, Ltd. 2,256,632 23,488,764 0.2%
Tatts Group, Ltd. 1,175,373 3,757,249 0.0%
Treasury Wine Estates, Ltd. 618,700 7,426,833 0.1%
Woodside Petroleum, Ltd. 2,846,042 67,089,785 0.5%
------------ ---
TOTAL AUSTRALIA 748,714,817 5.9%
------------ ---
AUSTRIA -- (0.1%)
Erste Group Bank AG 98,143 4,212,781 0.0%
OMV AG 115,518 6,932,623 0.1%
* Raiffeisen Bank International AG 61,518 2,139,358 0.0%
------------ ---
TOTAL AUSTRIA 13,284,762 0.1%
------------ ---
BELGIUM -- (1.0%)
Ageas 642,764 31,170,885 0.2%
Colruyt SA 4,779 244,419 0.0%
KBC Group NV 497,767 41,348,960 0.3%
Solvay SA 309,078 45,916,096 0.4%
UCB SA 149,459 10,880,000 0.1%
------------ ---
TOTAL BELGIUM 129,560,360 1.0%
------------ ---
CANADA -- (7.7%)
# AltaGas, Ltd. 171,443 3,908,332 0.0%
ARC Resources, Ltd. 87,011 1,060,912 0.0%
Bank of Montreal(063671101) 1,746,675 133,812,772 1.1%
# Bank of Montreal(2076009) 85,939 6,583,483 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
CANADA -- (Continued)
* BlackBerry, Ltd. 683,288 $ 7,478,511 0.1%
Cameco Corp.(13321L108) 571,821 4,654,623 0.0%
# Cameco Corp.(2166160) 468,671 3,807,203 0.0%
Canadian Natural Resources, Ltd.(136385101) 368,581 12,863,477 0.1%
Canadian Natural Resources, Ltd.(2171573) 614,945 21,459,440 0.2%
Cenovus Energy, Inc. 2,110,053 20,509,715 0.2%
Crescent Point Energy Corp.(22576C101) 1,508,054 12,411,287 0.1%
# Crescent Point Energy Corp.(B67C8W8) 822,786 6,766,731 0.1%
Element Fleet Management Corp. 278,876 2,148,692 0.0%
Empire Co., Ltd. Class A 798,335 13,818,170 0.1%
# Enbridge Income Fund Holdings, Inc. 354,758 8,268,795 0.1%
# Encana Corp.(292505104) 1,370,633 16,036,406 0.1%
Encana Corp.(2793193) 1,372,375 16,052,352 0.1%
Fairfax Financial Holdings, Ltd. 53,145 27,987,942 0.2%
Finning International, Inc. 35,193 858,206 0.0%
First Quantum Minerals, Ltd. 1,679,519 18,785,719 0.2%
# Genworth MI Canada, Inc. 72,689 2,258,819 0.0%
# Goldcorp, Inc.(380956409) 925,799 12,090,935 0.1%
Goldcorp, Inc.(2676302) 1,371,582 17,914,237 0.1%
* Husky Energy, Inc. 1,605,697 20,810,211 0.2%
* IAMGOLD Corp. 95,000 521,355 0.0%
Imperial Oil, Ltd.(2454241) 187,707 6,086,182 0.1%
Imperial Oil, Ltd.(453038408) 170,443 5,518,944 0.1%
Industrial Alliance Insurance & Financial Services, Inc. 527,331 23,895,644 0.2%
* Kinross Gold Corp. 6,346,308 25,088,110 0.2%
Linamar Corp. 138,149 8,382,531 0.1%
Lundin Mining Corp. 3,781,764 28,844,708 0.2%
Magna International, Inc. 642,390 35,042,374 0.3%
Manulife Financial Corp.(56501R106) 1,490,899 29,967,070 0.2%
Manulife Financial Corp.(2492519) 2,603,564 52,349,779 0.4%
Maple Leaf Foods, Inc. 65,321 1,694,164 0.0%
Pembina Pipeline Corp. 14,326 473,600 0.0%
Potash Corp. of Saskatchewan, Inc. 1,488,420 28,979,537 0.2%
* Seven Generations Energy, Ltd. Class A 149,843 2,262,570 0.0%
Sun Life Financial, Inc.(2566124) 1,110,140 43,240,474 0.3%
Sun Life Financial, Inc.(866796105) 364,570 14,192,710 0.1%
Suncor Energy, Inc.(B3NB1P2) 3,911,426 132,796,279 1.0%
Suncor Energy, Inc.(867224107) 1,160,407 39,407,422 0.3%
Teck Resources, Ltd. Class B(2879327) 1,355,792 27,702,253 0.2%
Teck Resources, Ltd. Class B(878742204) 1,643,698 33,597,187 0.3%
TMX Group, Ltd. 33,900 1,852,268 0.0%
* Tourmaline Oil Corp. 1,098,688 20,106,987 0.2%
* Turquoise Hill Resources, Ltd.(900435108) 127,382 391,063 0.0%
* Turquoise Hill Resources, Ltd.(B7WJ1F5) 1,611,490 4,921,534 0.0%
#* Valeant Pharmaceuticals International, Inc. 1,330,161 15,549,582 0.1%
West Fraser Timber Co., Ltd. 11,349 690,300 0.0%
# Wheaton Precious Metals Corp. 200,486 4,158,080 0.0%
# Whitecap Resources, Inc. 989,184 7,100,104 0.1%
# WSP Global, Inc. 369,514 16,560,964 0.1%
Yamana Gold, Inc. 3,207,591 8,329,146 0.1%
-------------- ---
TOTAL CANADA 1,012,049,891 8.0%
-------------- ---
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
DENMARK -- (1.7%)
AP Moller - Maersk A.S. Class A 7,706 $ 14,283,293 0.1%
AP Moller - Maersk A.S. Class B 16,058 30,782,956 0.2%
Carlsberg A.S. Class B 276,658 31,605,834 0.3%
Danske Bank A.S. 910,236 34,737,755 0.3%
DSV A.S. 470,071 36,348,670 0.3%
# H Lundbeck A.S. 74,464 4,426,721 0.0%
ISS A.S. 509,394 21,571,918 0.2%
Jyske Bank A.S. 94,849 5,359,740 0.1%
# Novozymes A.S. Class B 47,990 2,651,581 0.0%
Tryg A.S. 10,592 252,325 0.0%
Vestas Wind Systems A.S. 461,198 40,716,759 0.3%
-------------- ---
TOTAL DENMARK 222,737,552 1.8%
-------------- ---
FINLAND -- (0.9%)
Fortum Oyj 1,076,522 22,848,576 0.2%
Nokia Oyj 1,296,097 6,374,101 0.1%
Stora Enso Oyj Class R 2,037,136 31,836,750 0.2%
# Stora Enso Oyj Sponsored ADR 91,500 1,430,145 0.0%
UPM-Kymmene Oyj 1,692,092 50,817,346 0.4%
UPM-Kymmene Oyj Sponsored ADR 69,300 2,082,812 0.0%
-------------- ---
TOTAL FINLAND 115,389,730 0.9%
-------------- ---
FRANCE -- (9.2%)
AXA SA 2,859,375 86,319,921 0.7%
AXA SA Sponsored ADR 2,993 90,389 0.0%
BNP Paribas SA 2,361,620 184,323,068 1.5%
Bollore SA 1,351,384 6,527,984 0.1%
Bouygues SA 709,374 34,045,461 0.3%
# Casino Guichard Perrachon SA 143,286 8,181,549 0.1%
Cie de Saint-Gobain 359,089 21,054,429 0.2%
Cie Generale des Etablissements Michelin 105,407 15,257,279 0.1%
CNP Assurances 497,075 11,563,204 0.1%
Credit Agricole SA 1,019,955 17,801,493 0.1%
Electricite de France SA 1,136,436 14,873,478 0.1%
# Engie SA 5,125,526 86,631,897 0.7%
Natixis SA 2,063,101 16,179,133 0.1%
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%
SCOR SE 349,012 14,488,682 0.1%
Societe Generale SA 1,935,625 107,726,187 0.8%
STMicroelectronics NV 707,405 16,653,250 0.1%
Total SA 5,355,467 298,503,517 2.3%
Vivendi SA 757,018 18,798,097 0.2%
-------------- ---
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%
BASF SE 8,683 949,515 0.0%
Bayerische Motoren Werke AG 1,144,525 117,382,755 0.9%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
GERMANY -- (Continued)
CECONOMY AG 146,017 $ 1,905,949 0.0%
* Commerzbank AG 1,918,521 26,587,038 0.2%
Daimler AG 3,058,631 255,353,316 2.0%
# Deutsche Bank AG(D18190898) 1,561,493 25,405,491 0.2%
# Deutsche Bank AG(5750355) 1,634,829 26,793,516 0.2%
Deutsche Lufthansa AG 1,443,640 46,381,045 0.4%
Evonik Industries AG 321,206 11,684,157 0.1%
Fraport AG Frankfurt Airport Services Worldwide 157,663 14,981,716 0.1%
Fresenius Medical Care AG & Co. KGaA 247,312 23,945,230 0.2%
# Fresenius Medical Care AG & Co. KGaA ADR 16,919 818,541 0.0%
GEA Group AG 8,305 401,194 0.0%
Hannover Rueck SE 31,333 3,942,971 0.0%
HeidelbergCement AG 361,351 36,976,884 0.3%
Innogy SE 283,207 13,170,812 0.1%
Lanxess AG 78,559 6,159,703 0.0%
* Linde AG 157,109 33,847,393 0.3%
* METRO AG 817,337 15,493,660 0.1%
Muenchener Rueckversicherungs-Gesellschaft AG 206,550 46,370,924 0.4%
OSRAM Licht AG 7,090 542,879 0.0%
* RWE AG 2,106,713 52,970,889 0.4%
* Talanx AG 180,070 7,085,294 0.1%
# Telefonica Deutschland Holding AG 1,517,203 7,739,040 0.1%
# Uniper SE 886,107 24,898,354 0.2%
Volkswagen AG 96,837 18,084,080 0.1%
Wacker Chemie AG 11,870 1,853,854 0.0%
------------ ---
TOTAL GERMANY 955,406,997 7.5%
------------ ---
HONG KONG -- (2.5%)
Bank of East Asia, Ltd. (The) 166,154 729,080 0.0%
BOC Aviation, Ltd. 23,400 125,842 0.0%
#* Cathay Pacific Airways, Ltd. 6,482,000 11,088,980 0.1%
CK Hutchison Holdings, Ltd. 6,770,984 86,003,062 0.7%
Great Eagle Holdings, Ltd. 15,363 84,582 0.0%
Guoco Group, Ltd. 6,000 94,929 0.0%
Hang Lung Group, Ltd. 2,833,000 9,954,243 0.1%
Hang Lung Properties, Ltd. 4,709,000 10,813,158 0.1%
Henderson Land Development Co., Ltd. 627,046 4,092,037 0.0%
Hopewell Holdings, Ltd. 938,669 3,610,361 0.0%
* I-CABLE Communications, Ltd. 4,251,195 133,162 0.0%
Kerry Properties, Ltd. 2,620,000 11,790,784 0.1%
Li & Fung, Ltd. 1,302,000 656,196 0.0%
Melco International Development, Ltd. 257,000 704,351 0.0%
# MTR Corp., Ltd. 506,002 2,933,537 0.0%
New World Development Co., Ltd. 24,440,857 36,439,349 0.3%
# NWS Holdings, Ltd. 2,385,400 4,828,036 0.0%
Orient Overseas International, Ltd. 72,000 693,411 0.0%
Shangri-La Asia, Ltd. 3,926,000 7,816,845 0.1%
# Sino Land Co., Ltd. 6,268,592 10,804,176 0.1%
SJM Holdings, Ltd. 585,000 502,925 0.0%
Sun Hung Kai Properties, Ltd. 2,980,920 48,766,038 0.4%
Swire Pacific, Ltd. Class A 2,151,500 21,261,277 0.2%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
HONG KONG -- (Continued)
Swire Pacific, Ltd. Class B 1,367,500 $ 2,363,801 0.0%
Wharf Holdings, Ltd. (The) 2,222,990 20,247,315 0.1%
Wheelock & Co., Ltd. 3,620,000 25,218,520 0.2%
Yue Yuen Industrial Holdings, Ltd. 439,000 1,681,587 0.0%
------------ ---
TOTAL HONG KONG 323,437,584 2.5%
------------ ---
IRELAND -- (0.2%)
* Bank of Ireland Group P.L.C. 1,482,594 11,616,435 0.1%
CRH P.L.C. 293,793 11,055,999 0.1%
# CRH P.L.C. Sponsored ADR 198,709 7,455,562 0.0%
Paddy Power Betfair P.L.C. 6,217 636,668 0.0%
------------ ---
TOTAL IRELAND 30,764,664 0.2%
------------ ---
ISRAEL -- (0.4%)
Azrieli Group, Ltd. 7,300 412,416 0.0%
Bank Hapoalim BM 3,195,869 22,627,423 0.2%
Bank Leumi Le-Israel BM 3,826,683 21,152,965 0.2%
Mizrahi Tefahot Bank, Ltd. 229,078 4,135,624 0.0%
------------ ---
TOTAL ISRAEL 48,328,428 0.4%
------------ ---
ITALY -- (1.9%)
Eni SpA 654,718 10,703,337 0.1%
Fiat Chrysler Automobiles NV(BRJFWP3) 4,223,093 73,022,663 0.6%
# Fiat Chrysler Automobiles NV(N31738102) 1,464,345 25,406,386 0.2%
* GEDI Gruppo Editoriale SpA 204,397 181,829 0.0%
Mediobanca SpA 1,964,387 21,518,561 0.2%
* Telecom Italia SpA 18,504,269 16,011,383 0.1%
#* Telecom Italia SpA Sponsored ADR 1,847,002 15,902,687 0.1%
* UniCredit SpA 4,382,253 83,747,614 0.6%
------------ ---
TOTAL ITALY 246,494,460 1.9%
------------ ---
JAPAN -- (21.7%)
Aeon Co., Ltd. 1,334,900 20,647,490 0.2%
Aisin Seiki Co., Ltd. 330,600 17,125,882 0.1%
Alfresa Holdings Corp. 222,100 4,243,690 0.0%
Amada Holdings Co., Ltd. 312,100 3,878,159 0.0%
Aoyama Trading Co., Ltd. 41,900 1,552,603 0.0%
Asahi Glass Co., Ltd. 731,800 28,679,373 0.2%
Asahi Kasei Corp. 1,910,000 23,129,572 0.2%
# Bank of Kyoto, Ltd. (The) 113,679 5,970,091 0.1%
Canon Marketing Japan, Inc. 153,100 3,851,100 0.0%
Chiba Bank, Ltd. (The) 1,064,000 8,156,193 0.1%
Chugoku Bank, Ltd. (The) 256,900 3,682,464 0.0%
Citizen Watch Co., Ltd. 1,064,500 7,826,154 0.1%
Coca-Cola Bottlers Japan, Inc. 137,857 4,823,526 0.0%
COMSYS Holdings Corp. 31,300 792,654 0.0%
Concordia Financial Group, Ltd. 2,530,100 13,399,634 0.1%
Credit Saison Co., Ltd. 178,400 3,592,140 0.0%
Dai Nippon Printing Co., Ltd. 450,500 10,798,465 0.1%
Dai-ichi Life Holdings, Inc. 2,403,800 45,907,575 0.4%
Daicel Corp. 63,500 792,836 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
JAPAN -- (Continued)
Daido Steel Co., Ltd. 49,100 $ 3,110,957 0.0%
Daiwa Securities Group, Inc. 3,695,000 23,166,466 0.2%
Denka Co., Ltd. 234,800 7,844,755 0.1%
Denso Corp. 362,000 19,936,779 0.2%
DIC Corp. 228,700 8,489,293 0.1%
Dowa Holdings Co., Ltd. 46,200 1,945,026 0.0%
Ebara Corp. 266,800 9,601,297 0.1%
Fuji Media Holdings, Inc. 52,200 805,315 0.0%
FUJIFILM Holdings Corp. 1,123,900 45,976,261 0.4%
Fukuoka Financial Group, Inc. 1,238,000 6,389,571 0.1%
Glory, Ltd. 185,800 6,948,566 0.1%
Gunma Bank, Ltd. (The) 604,496 3,891,639 0.0%
H2O Retailing Corp. 268,800 4,972,240 0.0%
Hachijuni Bank, Ltd. (The) 622,531 3,898,579 0.0%
Hankyu Hanshin Holdings, Inc. 599,500 23,372,910 0.2%
# Heiwa Corp. 64,700 1,193,049 0.0%
Hiroshima Bank, Ltd. (The) 381,000 3,225,832 0.0%
Hitachi Capital Corp. 112,800 2,757,588 0.0%
Hitachi Chemical Co., Ltd. 320,500 9,139,313 0.1%
Hitachi Construction Machinery Co., Ltd. 218,500 7,495,495 0.1%
Hitachi Metals, Ltd. 475,400 6,158,679 0.1%
Hitachi Transport System, Ltd. 105,000 2,598,336 0.0%
Hitachi, Ltd. 10,761,000 85,693,558 0.7%
Hokuhoku Financial Group, Inc. 191,900 3,163,131 0.0%
Honda Motor Co., Ltd. 4,402,100 137,948,849 1.1%
Honda Motor Co., Ltd. Sponsored ADR 26,040 809,584 0.0%
House Foods Group, Inc. 75,600 2,246,265 0.0%
Ibiden Co., Ltd. 476,900 7,985,444 0.1%
Idemitsu Kosan Co., Ltd. 391,896 11,455,052 0.1%
IHI Corp. 49,900 1,797,345 0.0%
# Iida Group Holdings Co., Ltd. 551,300 10,575,757 0.1%
Inpex Corp. 2,451,200 26,245,451 0.2%
Isetan Mitsukoshi Holdings, Ltd. 594,700 6,482,694 0.1%
Isuzu Motors, Ltd. 112,300 1,640,187 0.0%
ITOCHU Corp. 1,708,900 29,934,182 0.2%
# Iyo Bank, Ltd. (The) 492,300 4,249,852 0.0%
J Front Retailing Co., Ltd. 991,200 14,711,400 0.1%
JFE Holdings, Inc. 1,884,900 40,508,900 0.3%
JGC Corp. 76,900 1,289,802 0.0%
JSR Corp. 301,200 5,838,722 0.1%
JTEKT Corp. 505,500 8,375,873 0.1%
JXTG Holdings, Inc. 6,696,903 34,581,441 0.3%
# K's Holdings Corp. 152,200 3,493,063 0.0%
Kamigumi Co., Ltd. 199,000 4,763,857 0.0%
Kaneka Corp. 1,156,542 9,550,640 0.1%
Kawasaki Heavy Industries, Ltd. 138,000 4,814,565 0.0%
#* Kawasaki Kisen Kaisha, Ltd. 195,599 5,107,243 0.0%
Kinden Corp. 187,800 3,171,543 0.0%
#* Kobe Steel, Ltd. 1,140,200 9,626,525 0.1%
Komatsu, Ltd. 110,300 3,604,135 0.0%
# Konica Minolta, Inc. 2,063,500 18,102,516 0.1%
Kuraray Co., Ltd. 1,340,000 26,390,713 0.2%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
JAPAN -- (Continued)
Kurita Water Industries, Ltd. 7,500 $ 238,322 0.0%
Kyocera Corp. 257,800 17,243,627 0.1%
Kyocera Corp. Sponsored ADR 25,197 1,683,160 0.0%
Kyushu Financial Group, Inc. 514,749 3,271,826 0.0%
LIXIL Group Corp. 487,800 13,434,512 0.1%
Marubeni Corp. 4,108,200 27,545,640 0.2%
Mazda Motor Corp. 2,631,600 37,989,045 0.3%
Mebuki Financial Group, Inc. 1,177,020 4,910,414 0.0%
Medipal Holdings Corp. 422,700 7,850,073 0.1%
Mitsubishi Chemical Holdings Corp. 2,897,000 30,260,069 0.2%
Mitsubishi Corp. 1,219,000 28,546,456 0.2%
Mitsubishi Gas Chemical Co., Inc. 570,500 13,955,950 0.1%
Mitsubishi Heavy Industries, Ltd. 781,700 30,585,507 0.2%
# Mitsubishi Logistics Corp. 40,000 1,036,023 0.0%
Mitsubishi Materials Corp. 518,200 19,704,129 0.2%
Mitsubishi Motors Corp. 330,300 2,644,982 0.0%
Mitsubishi UFJ Financial Group, Inc. 17,854,906 121,112,359 1.0%
Mitsubishi UFJ Financial Group, Inc. Sponsored ADR 4,781,372 32,465,516 0.3%
Mitsubishi UFJ Lease & Finance Co., Ltd. 1,546,200 8,157,643 0.1%
Mitsui & Co., Ltd. 1,092,800 16,320,260 0.1%
Mitsui & Co., Ltd. Sponsored ADR 11,723 3,524,590 0.0%
Mitsui Chemicals, Inc. 633,960 19,548,735 0.2%
Mitsui Fudosan Co., Ltd. 478,400 11,166,321 0.1%
Mitsui OSK Lines, Ltd. 400,300 12,257,732 0.1%
Mizuho Financial Group, Inc. 32,106,400 58,333,486 0.5%
Mizuho Financial Group, Inc. ADR 184,055 675,482 0.0%
MS&AD Insurance Group Holdings, Inc. 917,753 31,178,201 0.2%
NEC Corp. 1,086,410 29,810,689 0.2%
# NGK Spark Plug Co., Ltd. 16,000 365,138 0.0%
NH Foods, Ltd. 179,536 5,164,344 0.0%
NHK Spring Co., Ltd. 664,200 7,601,184 0.1%
Nikon Corp. 433,600 8,234,476 0.1%
Nippo Corp. 231,000 4,823,418 0.0%
Nippon Electric Glass Co., Ltd. 110,200 4,499,311 0.0%
# Nippon Express Co., Ltd. 352,924 22,393,886 0.2%
Nippon Paper Industries Co., Ltd. 451,300 8,978,328 0.1%
Nippon Shokubai Co., Ltd. 102,400 7,724,117 0.1%
Nippon Steel & Sumitomo Metal Corp. 2,142,693 51,372,058 0.4%
* Nippon Yusen K.K. 771,300 16,312,662 0.1%
# Nissan Motor Co., Ltd. 6,443,700 62,667,395 0.5%
Nisshin Seifun Group, Inc. 42,800 752,186 0.0%
Nisshinbo Holdings, Inc. 305,000 3,662,316 0.0%
NOK Corp. 355,120 8,722,775 0.1%
Nomura Holdings, Inc. 7,256,802 41,529,003 0.3%
Nomura Real Estate Holdings, Inc. 427,900 9,418,319 0.1%
NSK, Ltd. 29,000 417,555 0.0%
NTN Corp. 1,625,000 7,893,096 0.1%
Obayashi Corp. 279,682 3,661,956 0.0%
Oji Holdings Corp. 3,833,000 22,465,229 0.2%
ORIX Corp. 3,123,900 53,711,095 0.4%
Resona Holdings, Inc. 6,274,800 33,917,354 0.3%
Ricoh Co., Ltd. 3,215,400 29,838,362 0.2%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
JAPAN -- (Continued)
Rohm Co., Ltd. 30,900 $ 2,876,396 0.0%
Sankyo Co., Ltd. 73,900 2,385,312 0.0%
SBI Holdings, Inc. 518,800 8,187,536 0.1%
Sega Sammy Holdings, Inc. 169,200 2,381,885 0.0%
Seino Holdings Co., Ltd. 413,700 6,035,636 0.1%
Sekisui Chemical Co., Ltd. 93,800 1,893,288 0.0%
Sekisui House, Ltd. 963,400 18,014,097 0.1%
Shinsei Bank, Ltd. 313,400 5,288,862 0.0%
# Shizuoka Bank, Ltd. (The) 851,000 8,281,602 0.1%
Showa Denko K.K. 261,500 8,762,058 0.1%
Showa Shell Sekiyu K.K. 13,600 160,442 0.0%
Sojitz Corp. 2,218,300 6,694,868 0.1%
Sompo Holdings, Inc. 389,100 15,639,956 0.1%
Sumitomo Chemical Co., Ltd. 7,305,000 51,338,429 0.4%
Sumitomo Corp. 924,000 13,364,828 0.1%
Sumitomo Electric Industries, Ltd. 2,838,500 48,326,399 0.4%
Sumitomo Forestry Co., Ltd. 516,000 8,689,482 0.1%
Sumitomo Heavy Industries, Ltd. 372,600 15,654,595 0.1%
Sumitomo Metal Mining Co., Ltd. 533,500 21,047,418 0.2%
Sumitomo Mitsui Financial Group, Inc. 2,854,200 114,347,007 0.9%
Sumitomo Mitsui Trust Holdings, Inc. 405,244 15,994,894 0.1%
Sumitomo Rubber Industries, Ltd. 659,000 12,512,899 0.1%
Suzuken Co., Ltd. 113,000 4,073,409 0.0%
T&D Holdings, Inc. 1,329,500 20,741,071 0.2%
Taiheiyo Cement Corp. 279,821 11,184,161 0.1%
Takashimaya Co., Ltd. 821,634 7,559,775 0.1%
TDK Corp. 399,200 30,674,241 0.2%
Teijin, Ltd. 771,690 16,333,011 0.1%
THK Co., Ltd. 49,800 1,816,515 0.0%
Tokai Rika Co., Ltd. 165,500 3,483,459 0.0%
Tokio Marine Holdings, Inc. 1,011,819 43,616,701 0.3%
Tokyo Broadcasting System Holdings, Inc. 49,400 1,005,902 0.0%
Tokyo Tatemono Co., Ltd. 410,100 5,753,019 0.0%
Tokyu Fudosan Holdings Corp. 1,737,700 11,392,544 0.1%
Toppan Printing Co., Ltd. 1,044,000 10,621,364 0.1%
Tosoh Corp. 603,000 13,013,182 0.1%
Toyo Seikan Group Holdings, Ltd. 467,949 8,277,049 0.1%
Toyoda Gosei Co., Ltd. 257,800 6,303,724 0.1%
Toyota Industries Corp. 198,500 12,217,968 0.1%
Toyota Motor Corp. 3,590,490 222,703,923 1.8%
Toyota Motor Corp. Sponsored ADR 213,893 26,522,732 0.2%
Toyota Tsusho Corp. 890,200 32,377,038 0.3%
TS Tech Co., Ltd. 29,700 1,063,672 0.0%
TV Asahi Holdings Corp. 31,700 638,375 0.0%
Ube Industries, Ltd. 460,500 14,146,590 0.1%
# Universal Entertainment Corp. 23,600 768,807 0.0%
# Yamada Denki Co., Ltd. 2,456,700 13,067,681 0.1%
Yamaguchi Financial Group, Inc. 320,148 3,878,016 0.0%
Yokohama Rubber Co., Ltd. (The) 410,200 9,222,139 0.1%
Zeon Corp. 65,000 865,392 0.0%
-------------- ----
TOTAL JAPAN 2,858,701,497 22.5%
-------------- ----
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NETHERLANDS -- (3.1%)
ABN AMRO Group NV 582,636 $ 17,994,332 0.1%
Aegon NV 2,557,168 15,097,142 0.1%
Akzo Nobel NV 33,168 2,994,435 0.0%
#* ArcelorMittal(03938L203) 613,945 17,558,830 0.1%
* ArcelorMittal(BYPBS67) 1,654,076 47,365,370 0.4%
# Coca-Cola European Partners P.L.C. 31,954 1,310,717 0.0%
ING Groep NV 5,655,087 104,502,975 0.8%
# ING Groep NV Sponsored ADR 1,003,902 18,592,265 0.2%
Koninklijke Ahold Delhaize NV 2,893,097 54,434,335 0.4%
Koninklijke Ahold Delhaize NV Sponsored ADR 211,969 3,986,925 0.0%
Koninklijke DSM NV 656,841 56,040,145 0.4%
Koninklijke Philips NV(5986622) 796,675 32,466,817 0.3%
Koninklijke Philips NV(500472303) 158,104 6,449,062 0.1%
NN Group NV 739,761 30,979,353 0.3%
------------ ---
TOTAL NETHERLANDS 409,772,703 3.2%
------------ ---
NEW ZEALAND -- (0.1%)
Air New Zealand, Ltd. 1,753,268 3,960,880 0.0%
Auckland International Airport, Ltd. 1,065,526 4,541,446 0.0%
# Fletcher Building, Ltd. 1,337,463 6,746,464 0.1%
# Fonterra Co-operative Group, Ltd. 172,242 750,700 0.0%
------------ ---
TOTAL NEW ZEALAND 15,999,490 0.1%
------------ ---
NORWAY -- (0.8%)
# Aker ASA Class A 35,437 1,605,556 0.0%
DNB ASA 1,392,388 26,872,226 0.2%
Norsk Hydro ASA 2,295,351 17,762,227 0.1%
Norsk Hydro ASA Sponsored ADR 46,000 355,902 0.0%
SpareBank 1 SR-Bank ASA 114,950 1,273,225 0.0%
# Statoil ASA 875,996 17,798,058 0.2%
# Statoil ASA Sponsored ADR 178,746 3,630,331 0.0%
Storebrand ASA 867,737 7,432,156 0.1%
Subsea 7 SA 703,576 11,860,420 0.1%
Yara International ASA 330,724 15,706,969 0.1%
------------ ---
TOTAL NORWAY 104,297,070 0.8%
------------ ---
PORTUGAL -- (0.0%)
EDP Renovaveis SA 541,158 4,474,616 0.0%
------------ ---
SINGAPORE -- (1.0%)
CapitaLand, Ltd. 4,662,800 12,556,885 0.1%
City Developments, Ltd. 1,316,200 12,499,785 0.1%
DBS Group Holdings, Ltd. 1,614,918 26,966,794 0.2%
Frasers Centrepoint, Ltd. 465,500 710,188 0.0%
Golden Agri-Resources, Ltd. 12,719,900 3,686,634 0.0%
Hutchison Port Holdings Trust 16,251,500 6,988,226 0.1%
# Keppel Corp., Ltd. 4,932,100 27,147,590 0.2%
Olam International, Ltd. 410,300 707,535 0.0%
# SembCorp Industries, Ltd. 3,098,300 7,503,925 0.1%
Singapore Airlines, Ltd. 2,547,600 19,199,613 0.1%
# United Industrial Corp., Ltd. 1,867,970 4,512,493 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SINGAPORE -- (Continued)
UOL Group, Ltd. 1,015,674 $ 6,735,608 0.1%
Wilmar International, Ltd. 588,400 1,464,204 0.0%
------------ ---
TOTAL SINGAPORE 130,679,480 1.0%
------------ ---
SPAIN -- (2.8%)
Banco Bilbao Vizcaya Argentaria SA 1,795,325 15,699,164 0.1%
Banco de Sabadell SA 18,523,466 37,087,907 0.3%
Banco Santander SA 30,252,813 205,093,196 1.6%
Banco Santander SA Sponsored ADR 179,280 1,208,347 0.0%
Bankia SA 147,066 701,835 0.0%
# CaixaBank SA 1,589,744 7,437,442 0.1%
Iberdrola SA 363,828 2,940,096 0.0%
Mapfre SA 404,428 1,322,681 0.0%
Repsol SA 5,254,339 98,463,132 0.8%
------------ ---
TOTAL SPAIN 369,953,800 2.9%
------------ ---
SWEDEN -- (2.5%)
Boliden AB 1,273,315 44,555,532 0.3%
* Essity AB Class A 59,065 1,760,969 0.0%
* Essity AB Class B 462,487 13,823,476 0.1%
Getinge AB Class B 209,520 4,124,107 0.0%
Holmen AB Class A 2,781 138,800 0.0%
Holmen AB Class B 226,221 11,118,575 0.1%
# ICA Gruppen AB 8,133 299,939 0.0%
# Millicom International Cellular SA 123,600 7,904,207 0.1%
Nordea Bank AB 7,285,616 88,044,529 0.7%
Skandinaviska Enskilda Banken AB 26,692 330,008 0.0%
Skandinaviska Enskilda Banken AB Class A 3,837,178 47,287,879 0.4%
* SSAB AB Class A 488,788 2,399,678 0.0%
* SSAB AB Class B 983,615 3,965,071 0.0%
Svenska Cellulosa AB SCA Class A 62,923 612,270 0.0%
Svenska Cellulosa AB SCA Class B 986,343 9,261,727 0.1%
Svenska Handelsbanken AB Class A 905,264 12,974,541 0.1%
Svenska Handelsbanken AB Class B 3,434 49,653 0.0%
Tele2 AB Class B 614,314 7,813,913 0.1%
Telefonaktiebolaget LM Ericsson Class A 28,098 177,355 0.0%
Telefonaktiebolaget LM Ericsson Class B 4,670,331 29,390,761 0.2%
Telefonaktiebolaget LM Ericsson Sponsored ADR 549,985 3,437,406 0.0%
# Telia Co. AB 7,225,118 33,441,188 0.3%
# Trelleborg AB Class B 330,139 8,175,450 0.1%
------------ ---
TOTAL SWEDEN 331,087,034 2.6%
------------ ---
SWITZERLAND -- (7.4%)
ABB, Ltd. 1,133,762 29,608,228 0.2%
Adecco Group AG 747,305 59,289,170 0.5%
Baloise Holding AG 216,241 34,091,968 0.3%
Banque Cantonale Vaudoise 468 336,513 0.0%
Cie Financiere Richemont SA 1,177,332 108,533,855 0.8%
# Clariant AG 1,343,506 33,802,482 0.3%
# Credit Suisse Group AG 1,363,427 21,486,002 0.2%
Credit Suisse Group AG Sponsored ADR 1,052,790 16,549,859 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
SWITZERLAND -- (Continued)
* Dufry AG 143,489 $ 21,358,095 0.2%
Flughafen Zurich AG 20,042 4,358,648 0.0%
Helvetia Holding AG 2,332 1,253,645 0.0%
Julius Baer Group, Ltd. 596,936 35,307,303 0.3%
LafargeHolcim, Ltd. 822,246 46,428,026 0.3%
LafargeHolcim, Ltd. 375,078 21,138,147 0.2%
Lonza Group AG 1,094 290,633 0.0%
Novartis AG 1,704,593 140,593,520 1.1%
Novartis AG Sponsored ADR 214,801 17,738,267 0.1%
Swatch Group AG (The)(7184736) 176,687 13,318,067 0.1%
Swatch Group AG (The)(7184725) 139,269 54,585,613 0.4%
Swiss Life Holding AG 106,141 36,891,350 0.3%
Swiss Re AG 821,038 77,268,128 0.6%
UBS Group AG(BRJL176) 3,507,610 59,675,333 0.5%
* UBS Group AG(H42097107) 546,615 9,297,921 0.1%
Vifor Pharma AG 594 76,401 0.0%
Zurich Insurance Group AG 417,577 127,429,914 1.0%
------------ ---
TOTAL SWITZERLAND 970,707,088 7.6%
------------ ---
UNITED KINGDOM -- (16.6%)
# Anglo American P.L.C. 5,924,428 111,752,548 0.9%
Antofagasta P.L.C. 156,105 1,978,415 0.0%
Aviva P.L.C. 1,038,459 6,966,424 0.1%
Barclays P.L.C. 164,749 406,553 0.0%
Barclays P.L.C. Sponsored ADR 4,808,211 47,312,796 0.4%
Barratt Developments P.L.C. 1,813,872 15,771,289 0.1%
BHP Billiton P.L.C. 767,576 13,897,450 0.1%
BHP Billiton P.L.C. ADR 148,415 5,390,433 0.0%
BP P.L.C. Sponsored ADR 8,731,578 355,113,277 2.8%
Carnival P.L.C. 71,875 4,738,594 0.0%
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%
J Sainsbury P.L.C. 8,162,535 26,285,174 0.2%
Kingfisher P.L.C. 7,427,275 30,879,863 0.3%
Lloyds Banking Group P.L.C. 143,997,641 130,523,854 1.0%
# Lloyds Banking Group P.L.C. ADR 1,479,223 5,458,333 0.1%
Mediclinic International P.L.C. 54,336 419,980 0.0%
Old Mutual P.L.C. 1,211,513 3,073,279 0.0%
Pearson P.L.C. 818,107 7,639,187 0.1%
# Pearson P.L.C. Sponsored ADR 1,201,322 11,148,268 0.1%
* Royal Bank of Scotland Group P.L.C. 2,796,353 10,504,688 0.1%
#* Royal Bank of Scotland Group P.L.C. Sponsored ADR 632,031 4,797,115 0.0%
Royal Dutch Shell P.L.C. Class A 2,374,989 74,764,137 0.6%
Royal Dutch Shell P.L.C. Class B 398,623 12,834,572 0.1%
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%
Royal Mail P.L.C. 807,231 4,011,254 0.0%
* Standard Chartered P.L.C. 5,520,665 54,985,098 0.4%
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%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
UNITED KINGDOM -- (Continued)
WM Morrison Supermarkets P.L.C. 7,325,421 $ 21,809,523 0.2%
--------------- -----
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%)
Bayerische Motoren Werke AG 79,155 6,945,256 0.1%
Porsche Automobil Holding SE 267,840 19,599,304 0.1%
Volkswagen AG 601,796 110,190,738 0.9%
--------------- -----
TOTAL GERMANY 136,735,298 1.1%
--------------- -----
TOTAL PREFERRED STOCKS 136,735,298 1.1%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
* Banco Santander SA Rights 11/01/17 33,757,309 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 EAFA 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
============ ============ ==========
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.
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (94.6%)
BRAZIL -- (4.7%)
Ambev SA 855,320 $ 5,464,552 0.1%
Ambev SA ADR 5,984,451 37,881,575 0.6%
B3 SA - Brasil Bolsa Balcao 1,769,999 12,931,549 0.2%
Banco Bradesco SA 1,167,581 11,699,723 0.2%
Banco do Brasil SA 868,318 9,141,587 0.1%
Banco Santander Brasil SA 407,957 3,567,893 0.1%
BB Seguridade Participacoes SA 750,525 6,362,015 0.1%
BR Malls Participacoes SA 596,600 2,312,502 0.0%
Braskem SA Sponsored ADR 165,709 5,297,717 0.1%
* BRF SA 331,341 4,481,961 0.1%
#* BRF SA ADR 9,208 124,032 0.0%
CCR SA 2,165,668 12,048,775 0.2%
* Centrais Eletricas Brasileiras SA 174,377 1,175,378 0.0%
# Centrais Eletricas Brasileiras SA ADR 67,236 521,079 0.0%
Cia de Saneamento Basico do Estado de Sao Paulo 457,600 4,168,520 0.1%
Cia de Saneamento Basico do Estado de Sao Paulo ADR 150,389 1,371,548 0.0%
* Cia Siderurgica Nacional SA 575,321 1,482,578 0.0%
#* Cia Siderurgica Nacional SA Sponsored ADR 380,551 962,794 0.0%
Cielo SA 1,808,236 12,370,718 0.2%
Cosan SA Industria e Comercio 212,490 2,429,348 0.0%
CPFL Energia SA 220,971 1,857,580 0.0%
CPFL Energia SA ADR 67,189 1,125,408 0.0%
# Embraer SA Sponsored ADR 272,462 5,214,923 0.1%
Engie Brasil Energia SA 290,301 3,176,956 0.1%
Equatorial Energia SA 261,100 4,868,737 0.1%
Fibria Celulose SA 22,600 361,595 0.0%
Fibria Celulose SA Sponsored ADR 432,930 6,900,904 0.1%
Gerdau SA 219,632 727,787 0.0%
Gerdau SA Sponsored ADR 577,984 1,913,127 0.0%
Hypermarcas SA 323,849 3,385,699 0.1%
Itau Unibanco Holding SA 447,826 5,259,522 0.1%
JBS SA 2,413,848 5,563,664 0.1%
Klabin SA 892,700 5,157,592 0.1%
Kroton Educacional SA 1,306,224 7,183,374 0.1%
Localiza Rent a Car SA 185,000 3,272,690 0.1%
Lojas Americanas SA 162,884 712,521 0.0%
Lojas Renner SA 1,545,302 16,287,718 0.2%
M Dias Branco SA 154,600 2,275,545 0.0%
Multiplan Empreendimentos Imobiliarios SA 93,700 2,047,978 0.0%
Natura Cosmeticos SA 148,700 1,407,770 0.0%
* Petroleo Brasileiro SA 2,361,020 12,572,668 0.2%
* Petroleo Brasileiro SA Sponsored ADR 772,593 8,228,115 0.1%
Raia Drogasil SA 381,000 9,108,920 0.1%
* Rumo SA 746,300 2,897,322 0.0%
Telefonica Brasil SA ADR 18,000 277,200 0.0%
Tim Participacoes SA 1,162,813 4,311,718 0.1%
Tim Participacoes SA ADR 30,030 553,753 0.0%
Ultrapar Participacoes SA 394,184 9,410,867 0.1%
Ultrapar Participacoes SA Sponsored ADR 254,308 6,075,418 0.1%
Vale SA 3,249,364 31,884,747 0.5%
# Vale SA Sponsored ADR 1,665,739 16,307,580 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
BRAZIL -- (Continued)
WEG SA 346,687 $ 2,255,219 0.0%
------------ ---
TOTAL BRAZIL 318,380,461 4.7%
------------ ---
CHILE -- (1.4%)
AES Gener SA 2,528,093 873,930 0.0%
Aguas Andinas SA Class A 4,770,656 3,110,730 0.1%
# Banco de Chile ADR 52,712 4,855,829 0.1%
Banco de Credito e Inversiones 75,898 5,103,215 0.1%
Banco Santander Chile ADR 227,071 7,102,781 0.1%
Cencosud SA 1,525,618 4,552,027 0.1%
Cia Cervecerias Unidas SA 109,017 1,552,463 0.0%
Cia Cervecerias Unidas SA Sponsored ADR 95,396 2,716,878 0.1%
Colbun SA 13,146,998 3,077,206 0.1%
Embotelladora Andina SA Class A ADR 1,533 40,778 0.0%
Embotelladora Andina SA Class B ADR 22,761 695,576 0.0%
Empresa Nacional de Telecomunicaciones SA 68,121 787,829 0.0%
Empresas CMPC SA 2,386,070 7,641,879 0.1%
Empresas COPEC SA 553,034 8,517,212 0.1%
Enel Americas SA ADR 853,477 9,046,857 0.1%
Enel Chile SA 626,473 3,689,926 0.1%
Enel Generacion Chile SA 1,772,218 1,553,635 0.0%
Enel Generacion Chile SA ADR 152,864 3,959,178 0.1%
Itau CorpBanca(45033E105) 30,902 425,830 0.0%
Itau CorpBanca(BYT25P4) 256,541,921 2,413,934 0.0%
# Latam Airlines Group SA Sponsored ADR 628,966 8,541,358 0.1%
SACI Falabella 918,716 8,805,565 0.1%
Sociedad Quimica y Minera de Chile SA Sponsored ADR 153,936 9,196,137 0.1%
------------ ---
TOTAL CHILE 98,260,753 1.5%
------------ ---
CHINA -- (17.3%)
* 58.com, Inc. ADR 61,405 4,124,574 0.1%
AAC Technologies Holdings, Inc. 634,000 11,625,732 0.2%
Agile Group Holdings, Ltd. 178,000 259,694 0.0%
Agricultural Bank of China, Ltd. Class H 18,363,000 8,648,843 0.1%
Air China, Ltd. Class H 2,890,000 2,755,620 0.0%
#* Alibaba Group Holding, Ltd. Sponsored ADR 649,851 120,150,951 1.8%
#* Alibaba Pictures Group, Ltd. 8,470,000 1,379,619 0.0%
#* Aluminum Corp. of China, Ltd. ADR 107,180 2,135,026 0.0%
Angang Steel Co., Ltd. Class H 928,000 813,504 0.0%
Anhui Conch Cement Co., Ltd. Class H 985,500 4,221,579 0.1%
Anta Sports Products, Ltd. 1,125,000 5,031,970 0.1%
AviChina Industry & Technology Co., Ltd. Class H 624,000 362,436 0.0%
# BAIC Motor Corp., Ltd. Class H 1,725,000 2,021,956 0.0%
* 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%
Bank of Communications Co., Ltd. Class H 4,927,515 3,719,945 0.1%
# BBMG Corp. Class H 1,527,500 762,285 0.0%
Beijing Capital International Airport Co., Ltd. Class H 1,756,000 2,883,567 0.0%
Beijing Enterprises Holdings, Ltd. 478,972 2,847,612 0.0%
Beijing Enterprises Water Group, Ltd. 4,292,000 3,606,678 0.1%
Brilliance China Automotive Holdings, Ltd. 1,498,000 3,796,125 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
# Byd Co., Ltd. Class H 547,386 $ 4,786,198 0.1%
BYD Electronic International Co., Ltd. 547,000 1,483,280 0.0%
Central China Securities Co., Ltd. Class H 580,000 267,141 0.0%
CGN Power Co., Ltd. Class H 6,045,000 1,775,829 0.0%
China Cinda Asset Management Co., Ltd. Class H 8,319,000 3,232,705 0.1%
China CITIC Bank Corp., Ltd. Class H 5,756,928 3,709,454 0.1%
# China Coal Energy Co., Ltd. Class H 2,164,777 991,476 0.0%
China Communications Construction Co., Ltd. Class H 4,861,000 5,904,151 0.1%
China Communications Services Corp., Ltd. Class H 2,194,000 1,331,496 0.0%
China Construction Bank Corp. Class H 62,246,590 55,630,710 0.8%
# China Eastern Airlines Corp., Ltd. 2,200 56,056 0.0%
China Eastern Airlines Corp., Ltd. Class H 1,734,000 880,760 0.0%
China Everbright Bank Co., Ltd. Class H 3,311,000 1,562,932 0.0%
China Everbright International, Ltd. 2,508,000 3,538,424 0.1%
#* China Evergrande Group 4,670,000 18,013,843 0.3%
China Galaxy Securities Co., Ltd. Class H 2,202,000 1,921,177 0.0%
China Gas Holdings, Ltd. 1,904,000 5,788,392 0.1%
#* China Hongqiao Group, Ltd. 2,662,000 3,196,755 0.1%
China Huarong Asset Management Co., Ltd. Class H 4,606,000 2,166,680 0.0%
* China Huishan Dairy Holdings Co., Ltd. 2,888,000 2,888 0.0%
# China International Capital Corp., Ltd. Class H 486,400 1,002,977 0.0%
China International Marine Containers Group Co., Ltd.
Class H 346,600 690,972 0.0%
China Jinmao Holdings Group, Ltd. 760,000 341,546 0.0%
# China Life Insurance Co., Ltd. ADR 741,713 12,364,356 0.2%
China Longyuan Power Group Corp., Ltd. Class H 3,255,000 2,413,877 0.0%
China Medical System Holdings, Ltd. 530,000 980,037 0.0%
China Mengniu Dairy Co., Ltd. 2,016,000 5,586,741 0.1%
China Merchants Bank Co., Ltd. Class H 2,685,054 10,253,302 0.2%
China Merchants Port Holdings Co., Ltd. 1,560,099 4,880,254 0.1%
China Minsheng Banking Corp., Ltd. Class H 3,354,500 3,249,566 0.1%
China Mobile, Ltd. 172,500 1,735,068 0.0%
# China Mobile, Ltd. Sponsored ADR 918,178 46,322,080 0.7%
China Molybdenum Co., Ltd. Class H 2,028,966 1,320,702 0.0%
China Oilfield Services, Ltd. Class H 1,632,000 1,448,776 0.0%
China Overseas Land & Investment, Ltd. 5,600,000 18,183,289 0.3%
China Pacific Insurance Group Co., Ltd. Class H 1,255,200 6,197,938 0.1%
China Petroleum & Chemical Corp. ADR 132,615 9,765,747 0.2%
China Petroleum & Chemical Corp. Class H 11,600,800 8,518,679 0.1%
China Railway Construction Corp., Ltd. Class H 2,681,500 3,367,522 0.1%
China Railway Group, Ltd. Class H 3,186,000 2,560,917 0.0%
China Railway Signal & Communication Corp., Ltd. Class H 1,100,000 866,281 0.0%
China Reinsurance Group Corp. Class H 570,000 126,520 0.0%
China Resources Beer Holdings Co., Ltd. 1,613,611 4,656,948 0.1%
China Resources Gas Group, Ltd. 1,108,000 4,058,644 0.1%
China Resources Land, Ltd. 3,234,666 9,653,819 0.1%
China Resources Power Holdings Co., Ltd. 1,954,517 3,758,685 0.1%
China Shenhua Energy Co., Ltd. Class H 2,188,000 5,234,282 0.1%
China Southern Airlines Co., Ltd. Class H 2,638,000 1,950,333 0.0%
China Southern Airlines Co., Ltd. Sponsored ADR 14,306 529,036 0.0%
# China State Construction International Holdings, Ltd. 2,324,250 3,265,721 0.1%
China Taiping Insurance Holdings Co., Ltd. 1,234,906 4,072,414 0.1%
China Telecom Corp., Ltd. ADR 56,720 2,856,986 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
China Telecom Corp., Ltd. Class H 4,088,000 $ 2,050,125 0.0%
* China Unicom Hong Kong, Ltd. 4,706,000 6,677,150 0.1%
* China Unicom Hong Kong, Ltd. ADR 574,180 8,113,163 0.1%
China Vanke Co., Ltd. Class H 1,284,900 4,573,905 0.1%
Chongqing Rural Commercial Bank Co., Ltd. Class H 4,350,000 2,957,130 0.0%
CITIC Securities Co., Ltd. Class H 1,511,000 3,357,283 0.1%
CITIC, Ltd. 3,285,000 4,812,311 0.1%
CNOOC, Ltd. Sponsored ADR 104,426 14,275,034 0.2%
* COSCO SHIPPING Development Co., Ltd. Class H 2,657,000 596,236 0.0%
#* COSCO SHIPPING Holdings Co., Ltd. Class H 1,437,000 788,617 0.0%
COSCO SHIPPING Ports, Ltd. 1,053,786 1,221,219 0.0%
Country Garden Holdings Co., Ltd. 8,761,686 13,889,101 0.2%
CRRC Corp., Ltd. Class H 1,879,000 1,854,030 0.0%
CSPC Pharmaceutical Group, Ltd. 4,882,000 8,493,376 0.1%
#* Ctrip.com International, Ltd. ADR 203,112 9,727,034 0.1%
Dali Foods Group Co., Ltd. 240,500 186,275 0.0%
Dalian Port PDA Co., Ltd. Class H 1,495,000 260,826 0.0%
* Datang International Power Generation Co., Ltd. Class H 3,068,000 1,034,600 0.0%
Dongfeng Motor Group Co., Ltd. Class H 2,526,000 3,467,414 0.1%
ENN Energy Holdings, Ltd. 786,000 5,767,910 0.1%
# Everbright Securities Co., Ltd. Class H 77,600 107,126 0.0%
Fosun International, Ltd. 2,542,222 6,307,273 0.1%
# Fullshare Holdings, Ltd. 4,900,000 2,097,197 0.0%
Fuyao Glass Industry Group Co., Ltd. Class H 341,200 1,301,114 0.0%
# Geely Automobile Holdings, Ltd. 4,750,000 14,729,132 0.2%
GF Securities Co., Ltd. Class H 755,600 1,611,401 0.0%
Great Wall Motor Co., Ltd. Class H 3,764,500 4,783,550 0.1%
Guangdong Investment, Ltd. 2,736,000 3,963,940 0.1%
Guangshen Railway Co., Ltd. Sponsored ADR 27,717 804,347 0.0%
Guangzhou Automobile Group Co., Ltd. Class H 974,259 2,422,804 0.0%
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd.
Class H 98,000 344,250 0.0%
Guangzhou R&F Properties Co., Ltd. Class H 2,458,800 5,242,941 0.1%
Haier Electronics Group Co., Ltd. 1,403,000 3,699,390 0.1%
Haitian International Holdings, Ltd. 530,000 1,587,121 0.0%
Haitong Securities Co., Ltd. Class H 2,196,800 3,477,975 0.1%
* Hanergy Thin Film Power Group, Ltd. 5,416,000 27,581 0.0%
Hengan International Group Co., Ltd. 853,000 8,411,744 0.1%
# Huadian Power International Corp., Ltd. Class H 1,738,000 722,043 0.0%
Huaneng Power International, Inc. Class H 1,598,000 1,068,725 0.0%
# Huaneng Power International, Inc. Sponsored ADR 34,452 916,423 0.0%
Huatai Securities Co., Ltd. Class H 933,000 2,015,269 0.0%
Huishang Bank Corp., Ltd. Class H 728,000 368,503 0.0%
Industrial & Commercial Bank of China, Ltd. Class H 56,271,185 44,773,013 0.7%
* JD.com, Inc. ADR 277,240 10,402,045 0.2%
Jiangsu Expressway Co., Ltd. Class H 1,356,000 2,078,991 0.0%
Jiangxi Copper Co., Ltd. Class H 1,127,000 1,799,544 0.0%
Kingboard Chemical Holdings, Ltd. 557,500 3,308,236 0.1%
Kingboard Laminates Holdings, Ltd. 177,500 298,292 0.0%
Kunlun Energy Co., Ltd. 6,128,000 5,683,004 0.1%
Lee & Man Paper Manufacturing, Ltd. 687,000 839,285 0.0%
Legend Holdings Corp. Class H 293,200 770,941 0.0%
Lenovo Group, Ltd. 10,021,278 5,813,098 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
CHINA -- (Continued)
# Logan Property Holdings Co., Ltd. 658,000 $ 609,569 0.0%
Longfor Properties Co., Ltd. 2,266,500 5,294,372 0.1%
* Maanshan Iron & Steel Co., Ltd. Class H 650,000 305,454 0.0%
Metallurgical Corp. of China, Ltd. Class H 2,232,000 738,809 0.0%
Minth Group, Ltd. 444,000 2,398,689 0.0%
* Momo, Inc. Sponsored ADR 77,282 2,354,783 0.0%
NetEase, Inc. ADR 73,351 20,679,114 0.3%
New China Life Insurance Co., Ltd. Class H 449,400 2,813,410 0.0%
New Oriental Education & Technology Group, Inc. Sponsored
ADR 59,486 4,951,615 0.1%
Nine Dragons Paper Holdings, Ltd. 1,888,000 3,470,141 0.1%
People's Insurance Co. Group of China, Ltd. (The) Class H 6,782,000 3,227,937 0.1%
# PetroChina Co., Ltd. ADR 125,562 8,224,311 0.1%
PetroChina Co., Ltd. Class H 3,056,000 1,997,702 0.0%
PICC Property & Casualty Co., Ltd. Class H 4,342,132 8,616,916 0.1%
Ping An Insurance Group Co. of China, Ltd. Class H 4,622,500 40,622,247 0.6%
#* Semiconductor Manufacturing International Corp. 4,567,100 7,007,910 0.1%
#* Semiconductor Manufacturing International Corp. ADR 15,278 115,960 0.0%
#* Shanghai Electric Group Co., Ltd. Class H 1,866,000 846,968 0.0%
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 292,500 1,461,141 0.0%
Shanghai Pharmaceuticals Holding Co., Ltd. Class H 493,100 1,274,680 0.0%
# Shengjing Bank Co., Ltd. Class H 244,500 191,237 0.0%
Shenzhou International Group Holdings, Ltd. 574,000 4,904,970 0.1%
Shimao Property Holdings, Ltd. 3,034,871 6,361,622 0.1%
Sino Biopharmaceutical, Ltd. 5,247,000 6,135,735 0.1%
Sino-Ocean Group Holding, Ltd. 162,000 105,794 0.0%
Sinopec Engineering Group Co., Ltd. Class H 1,280,000 1,098,019 0.0%
#* Sinopec Oilfield Service Corp. Class H 1,818,000 312,637 0.0%
Sinopec Shanghai Petrochemical Co., Ltd. Class H 3,763,000 2,244,530 0.0%
Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 7,418 448,759 0.0%
Sinopharm Group Co., Ltd. Class H 1,224,000 5,480,467 0.1%
Sun Art Retail Group, Ltd. 3,039,500 3,072,269 0.1%
Sunac China Holdings, Ltd. 1,235,000 6,292,171 0.1%
Sunny Optical Technology Group Co., Ltd. 536,000 7,861,740 0.1%
TAL Education Group ADR 120,130 3,303,575 0.1%
Tencent Holdings, Ltd. 4,551,400 204,563,081 3.0%
Tingyi Cayman Islands Holding Corp. 2,860,000 4,509,808 0.1%
Travelsky Technology, Ltd. Class H 725,000 1,879,117 0.0%
Tsingtao Brewery Co., Ltd. Class H 256,000 1,072,048 0.0%
* Vipshop Holdings, Ltd. ADR 414,458 3,274,218 0.1%
Want Want China Holdings, Ltd. 6,644,000 5,439,599 0.1%
#* Weibo Corp. Sponsored ADR 15,192 1,407,539 0.0%
Weichai Power Co., Ltd. Class H 3,416,800 4,254,682 0.1%
# Xinjiang Goldwind Science & Technology Co., Ltd. Class H 520,519 659,752 0.0%
Yanzhou Coal Mining Co., Ltd. Class H 718,000 716,630 0.0%
# Yanzhou Coal Mining Co., Ltd. Sponsored ADR 37,269 368,218 0.0%
* Yum China Holdings, Inc. 190,608 7,691,033 0.1%
* YY, Inc. ADR 27,049 2,444,959 0.0%
Zhejiang Expressway Co., Ltd. Class H 1,570,000 1,941,534 0.0%
Zhuzhou CRRC Times Electric Co., Ltd. Class H 447,000 2,616,267 0.0%
# Zijin Mining Group Co., Ltd. Class H 7,523,000 2,603,400 0.0%
# Zoomlion Heavy Industry Science and Technology Co., Ltd.
Class H 1,589,400 771,274 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
CHINA -- (Continued)
* ZTE Corp. Class H 401,685 $ 1,395,599 0.0%
-------------- ----
TOTAL CHINA 1,182,251,376 17.6%
-------------- ----
COLOMBIA -- (0.4%)
Banco de Bogota SA 48,186 1,016,926 0.0%
Bancolombia SA 331,749 3,075,335 0.1%
Bancolombia SA Sponsored ADR 140,271 5,295,230 0.1%
Cementos Argos SA 347,610 1,268,378 0.0%
Ecopetrol SA 3,327,922 1,821,466 0.0%
# Ecopetrol SA Sponsored ADR 220,479 2,445,112 0.0%
Empresa de Energia de Bogota SA ESP 1,368,492 897,468 0.0%
Grupo Argos SA 146,698 956,752 0.0%
Grupo Aval Acciones y Valores SA 112,983 940,019 0.0%
Grupo de Inversiones Suramericana SA 289,609 3,676,698 0.1%
Grupo Nutresa SA 189,883 1,686,573 0.0%
Interconexion Electrica SA ESP 613,721 2,687,255 0.1%
-------------- ----
TOTAL COLOMBIA 25,767,212 0.4%
-------------- ----
CZECH REPUBLIC -- (0.2%)
CEZ A.S. 335,340 7,353,102 0.1%
Komercni banka A.S. 71,629 3,079,779 0.1%
O2 Czech Republic A.S. 70,083 853,419 0.0%
Philip Morris CR A.S. 755 558,646 0.0%
Unipetrol A.S. 98,077 1,673,787 0.0%
-------------- ----
TOTAL CZECH REPUBLIC 13,518,733 0.2%
-------------- ----
EGYPT -- (0.1%)
Commercial International Bank Egypt S.A.E. GDR(201712205) 142,858 652,147 0.0%
# Commercial International Bank Egypt S.A.E. GDR(566828901) 1,400,823 6,394,500 0.1%
Egyptian Financial Group-Hermes Holding Co. GDR(268425402) 22,886 60,877 0.0%
Egyptian Financial Group-Hermes Holding Co. GDR(710232901) 13,986 37,228 0.0%
-------------- ----
TOTAL EGYPT 7,144,752 0.1%
-------------- ----
GREECE -- (0.2%)
* Alpha Bank AE 105,217 209,795 0.0%
* Eurobank Ergasias SA 331 271 0.0%
* FF Group 20,041 419,878 0.0%
Hellenic Petroleum SA 112,224 990,947 0.0%
Hellenic Telecommunications Organization SA 340,319 4,044,179 0.1%
JUMBO SA 168,373 2,706,567 0.0%
Motor Oil Hellas Corinth Refineries SA 96,253 2,304,857 0.0%
* National Bank of Greece SA 128,189 42,398 0.0%
OPAP SA 278,698 3,122,621 0.1%
Titan Cement Co. SA 61,385 1,483,597 0.0%
-------------- ----
TOTAL GREECE 15,325,110 0.2%
-------------- ----
HUNGARY -- (0.5%)
MOL Hungarian Oil & Gas P.L.C. 1,229,109 14,719,415 0.2%
OTP Bank P.L.C. 362,066 14,596,946 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
HUNGARY -- (Continued)
Richter Gedeon Nyrt 117,849 $ 2,931,442 0.1%
----------- ---
TOTAL HUNGARY 32,247,803 0.5%
----------- ---
INDIA -- (11.8%)
* 5Paisa Capital, Ltd. 4,048 16,329 0.0%
ABB India, Ltd. 33,317 713,393 0.0%
ACC, Ltd. 59,837 1,671,909 0.0%
Adani Ports & Special Economic Zone, Ltd. 932,153 6,204,971 0.1%
* Adani Transmissions, Ltd. 46,467 149,320 0.0%
* Aditya Birla Capital, Ltd. 324,352 890,611 0.0%
* Aditya Birla Fashion and Retail, Ltd. 524,465 1,266,139 0.0%
Alkem Laboratories, Ltd. 6,502 187,178 0.0%
Ambuja Cements, Ltd. 756,954 3,289,469 0.1%
Apollo Hospitals Enterprise, Ltd. 72,638 1,163,451 0.0%
Ashok Leyland, Ltd. 2,765,773 5,605,555 0.1%
Asian Paints, Ltd. 474,671 8,676,261 0.1%
Aurobindo Pharma, Ltd. 625,132 7,355,605 0.1%
Axis Bank, Ltd. 1,468,325 11,917,066 0.2%
Bajaj Auto, Ltd. 125,057 6,299,723 0.1%
Bajaj Finance, Ltd. 382,190 10,627,051 0.2%
Bajaj Finserv, Ltd. 70,539 5,504,364 0.1%
Bajaj Holdings & Investment, Ltd. 59,968 2,760,800 0.0%
Balkrishna Industries, Ltd. 8,407 222,741 0.0%
Bank of Baroda 763,423 2,007,836 0.0%
* Bank of India 88,407 262,305 0.0%
Berger Paints India, Ltd. 347,022 1,436,807 0.0%
Bharat Electronics, Ltd. 726,004 2,064,577 0.0%
Bharat Forge, Ltd. 451,506 4,928,480 0.1%
Bharat Heavy Electricals, Ltd. 1,533,737 2,322,126 0.0%
Bharat Petroleum Corp., Ltd. 794,100 6,630,570 0.1%
Bharti Airtel, Ltd. 1,820,147 14,005,459 0.2%
Bharti Infratel, Ltd. 729,923 4,987,709 0.1%
Biocon, Ltd. 121,818 676,808 0.0%
Bosch, Ltd. 8,153 2,645,842 0.0%
Britannia Industries, Ltd. 26,712 1,910,999 0.0%
Cadila Healthcare, Ltd. 362,605 2,813,880 0.0%
Canara Bank 210,998 1,327,324 0.0%
Castrol India, Ltd. 123,940 765,765 0.0%
Cholamandalam Investment and Finance Co., Ltd. 62,791 1,115,058 0.0%
Cipla, Ltd. 536,514 5,190,547 0.1%
Coal India, Ltd. 666,119 2,953,291 0.1%
Colgate-Palmolive India, Ltd. 131,724 2,161,813 0.0%
Container Corp. Of India, Ltd. 68,913 1,469,314 0.0%
CRISIL, Ltd. 7,945 220,747 0.0%
Cummins India, Ltd. 95,747 1,338,102 0.0%
Dabur India, Ltd. 743,476 3,826,721 0.1%
Dalmia Bharat, Ltd. 26,093 1,209,359 0.0%
Dewan Housing Finance Corp., Ltd. 212,017 2,102,205 0.0%
Divi's Laboratories, Ltd. 147,169 2,004,490 0.0%
DLF, Ltd. 457,260 1,425,640 0.0%
Dr Reddy's Laboratories, Ltd. 71,015 2,649,292 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
# Dr Reddy's Laboratories, Ltd. ADR 148,465 $ 5,399,672 0.1%
Edelweiss Financial Services, Ltd. 467,047 2,029,281 0.0%
Eicher Motors, Ltd. 20,610 10,257,531 0.2%
Emami, Ltd. 90,332 1,760,108 0.0%
Exide Industries, Ltd. 375,923 1,217,372 0.0%
Federal Bank, Ltd. 1,802,607 3,397,030 0.1%
* Future Retail, Ltd. 58,006 465,450 0.0%
GAIL India, Ltd. 643,479 4,622,571 0.1%
GAIL India, Ltd. GDR 38,388 1,691,348 0.0%
Gillette India, Ltd. 153 14,102 0.0%
GlaxoSmithKline Consumer Healthcare, Ltd. 13,803 1,081,414 0.0%
GlaxoSmithKline Pharmaceuticals, Ltd. 13,217 525,122 0.0%
Glenmark Pharmaceuticals, Ltd. 302,977 2,895,825 0.0%
Godrej Consumer Products, Ltd. 337,726 4,870,017 0.1%
Godrej Industries, Ltd. 71,533 653,925 0.0%
Grasim Industries, Ltd. 231,681 4,401,787 0.1%
Gruh Finance, Ltd. 92,408 713,499 0.0%
Havells India, Ltd. 270,419 2,027,571 0.0%
HCL Technologies, Ltd. 1,037,065 13,697,140 0.2%
HDFC Bank, Ltd. 1,441,144 40,301,596 0.6%
Hero MotoCorp, Ltd. 102,635 6,114,317 0.1%
Hindalco Industries, Ltd. 3,109,168 12,861,970 0.2%
Hindustan Petroleum Corp., Ltd. 939,293 6,481,681 0.1%
Hindustan Unilever, Ltd. 1,148,145 21,969,730 0.3%
Housing Development Finance Corp., Ltd. 1,501,415 39,446,931 0.6%
ICICI Bank, Ltd. 967,335 4,533,186 0.1%
ICICI Bank, Ltd. Sponsored ADR 1,135,139 10,386,517 0.2%
Idea Cellular, Ltd. 4,707,987 6,746,232 0.1%
IDFC Bank, Ltd. 2,131,525 1,863,938 0.0%
IIFL Holdings, Ltd. 101,212 961,467 0.0%
Indiabulls Housing Finance, Ltd. 699,664 13,442,923 0.2%
Indian Oil Corp., Ltd. 1,048,841 6,734,396 0.1%
IndusInd Bank, Ltd. 270,851 6,819,485 0.1%
Infosys, Ltd. 1,886,232 26,860,653 0.4%
# Infosys, Ltd. Sponsored ADR 847,888 12,591,137 0.2%
InterGlobe Aviation, Ltd. 20,781 400,896 0.0%
ITC, Ltd. 4,896,443 20,115,143 0.3%
JSW Steel, Ltd. 3,529,388 14,153,501 0.2%
Kansai Nerolac Paints, Ltd. 37,920 302,757 0.0%
Kotak Mahindra Bank, Ltd. 692,947 10,990,368 0.2%
L&T Finance Holdings, Ltd. 584,335 1,819,935 0.0%
Larsen & Toubro, Ltd. 544,770 10,298,645 0.2%
LIC Housing Finance, Ltd. 817,984 7,573,570 0.1%
Lupin, Ltd. 355,461 5,634,146 0.1%
Mahindra & Mahindra Financial Services, Ltd. 410,358 2,745,150 0.0%
Mahindra & Mahindra, Ltd. 460,091 9,567,170 0.1%
Mangalore Refinery & Petrochemicals, Ltd. 285,511 632,420 0.0%
Marico, Ltd. 748,884 3,648,499 0.1%
Maruti Suzuki India, Ltd. 138,331 17,567,551 0.3%
Max Financial Services, Ltd. 11,034 99,641 0.0%
Motherson Sumi Systems, Ltd. 864,629 4,864,834 0.1%
Motilal Oswal Financial Services, Ltd. 26,177 554,934 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
MRF, Ltd. 2,969 $ 3,051,035 0.1%
Muthoot Finance, Ltd. 188,334 1,435,205 0.0%
Natco Pharma, Ltd. 5,022 75,492 0.0%
NBCC India, Ltd. 84,858 343,231 0.0%
Nestle India, Ltd. 37,106 4,126,875 0.1%
NHPC, Ltd. 2,269,230 1,004,529 0.0%
NTPC, Ltd. 1,577,791 4,398,851 0.1%
Oil & Natural Gas Corp., Ltd. 1,209,513 3,573,903 0.1%
Oil India, Ltd. 286,752 1,635,294 0.0%
Oracle Financial Services Software, Ltd. 27,493 1,482,206 0.0%
Page Industries, Ltd. 3,784 1,157,269 0.0%
Petronet LNG, Ltd. 1,094,125 4,394,354 0.1%
Pidilite Industries, Ltd. 196,824 2,376,093 0.0%
Piramal Enterprises, Ltd. 115,727 4,895,664 0.1%
Power Finance Corp., Ltd. 1,772,112 3,815,367 0.1%
Power Grid Corp. of India, Ltd. 1,666,135 5,450,962 0.1%
Procter & Gamble Hygiene & Health Care, Ltd. 10,367 1,388,503 0.0%
* Punjab National Bank 627,033 1,914,323 0.0%
Rajesh Exports, Ltd. 146,511 1,769,497 0.0%
Ramco Cements, Ltd. (The) 41,801 463,787 0.0%
Reliance Capital, Ltd. 174,706 1,554,524 0.0%
* Reliance Home Finance, Ltd. 174,706 232,640 0.0%
Reliance Industries, Ltd. 3,083,335 44,979,899 0.7%
Rural Electrification Corp., Ltd. 1,952,124 5,234,139 0.1%
Shree Cement, Ltd. 10,928 3,179,722 0.1%
Shriram City Union Finance, Ltd. 1,315 46,820 0.0%
Shriram Transport Finance Co., Ltd. 246,328 4,457,367 0.1%
Siemens, Ltd. 50,501 991,481 0.0%
State Bank of India 1,702,560 8,060,544 0.1%
* Steel Authority of India, Ltd. 893,340 1,072,576 0.0%
Sun Pharmaceutical Industries, Ltd. 1,256,320 10,721,933 0.2%
Sun TV Network, Ltd. 150,070 1,986,258 0.0%
Sundaram Finance, Ltd. 23,010 618,814 0.0%
Tata Communications, Ltd. 65,684 696,609 0.0%
Tata Consultancy Services, Ltd. 702,461 28,417,240 0.4%
* Tata Motors, Ltd. 1,650,833 10,931,645 0.2%
* Tata Motors, Ltd. Sponsored ADR 41,094 1,346,239 0.0%
Tata Power Co., Ltd. (The) 2,105,165 2,770,055 0.0%
Tata Steel, Ltd. 1,031,799 11,217,315 0.2%
Tech Mahindra, Ltd. 966,990 7,209,039 0.1%
Titan Co., Ltd. 333,216 3,290,427 0.1%
Torrent Pharmaceuticals, Ltd. 94,358 1,847,594 0.0%
TVS Motor Co., Ltd. 153,935 1,724,239 0.0%
Ultratech Cement, Ltd. 79,522 5,407,641 0.1%
United Breweries, Ltd. 96,720 1,532,990 0.0%
* United Spirits, Ltd. 63,590 2,996,886 0.1%
UPL, Ltd. 812,040 10,030,451 0.2%
Vakrangee, Ltd. 152,986 1,327,849 0.0%
Vedanta, Ltd. 3,450,645 17,722,576 0.3%
Voltas, Ltd. 103,766 909,949 0.0%
Whirlpool of India, Ltd. 508 10,758 0.0%
Wipro, Ltd. 1,757,751 8,007,089 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
Yes Bank, Ltd. 2,274,564 $ 11,068,539 0.2%
Zee Entertainment Enterprises, Ltd. 571,111 4,794,674 0.1%
------------ ----
TOTAL INDIA 806,930,047 12.0%
------------ ----
INDONESIA -- (2.6%)
Adaro Energy Tbk PT 51,295,200 6,903,044 0.1%
AKR Corporindo Tbk PT 1,603,000 880,747 0.0%
Astra Agro Lestari Tbk PT 1,294,744 1,391,541 0.0%
Astra International Tbk PT 27,259,810 16,079,648 0.2%
Bank Central Asia Tbk PT 13,354,500 20,571,814 0.3%
Bank Danamon Indonesia Tbk PT 5,999,479 2,256,817 0.0%
Bank Mandiri Persero Tbk PT 25,018,334 12,994,570 0.2%
Bank Negara Indonesia Persero Tbk PT 13,121,822 7,355,690 0.1%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 2,117,700 382,579 0.0%
Bank Rakyat Indonesia Persero Tbk PT 14,166,200 16,298,207 0.3%
Bank Tabungan Negara Persero Tbk PT 4,998,800 1,017,249 0.0%
* Barito Pacific Tbk PT 2,893,300 431,026 0.0%
* Bayan Resources Tbk PT 79,500 64,316 0.0%
Bumi Serpong Damai Tbk PT 15,150,000 1,922,858 0.0%
Charoen Pokphand Indonesia Tbk PT 12,097,200 2,943,931 0.1%
Ciputra Development Tbk PT 1,797,746 160,413 0.0%
Gudang Garam Tbk PT 789,700 4,075,520 0.1%
Indocement Tunggal Prakarsa Tbk PT 2,133,500 3,530,278 0.1%
Indofood CBP Sukses Makmur Tbk PT 3,456,800 2,243,689 0.0%
Indofood Sukses Makmur Tbk PT 12,979,900 7,847,033 0.1%
Indosat Tbk PT 1,720,800 761,231 0.0%
Jasa Marga Persero Tbk PT 3,871,113 1,855,336 0.0%
Kalbe Farma Tbk PT 30,284,700 3,572,754 0.1%
Matahari Department Store Tbk PT 2,898,700 1,837,362 0.0%
Mayora Indah Tbk PT 19,567,525 2,958,124 0.1%
Media Nusantara Citra Tbk PT 12,079,200 1,389,122 0.0%
Mitra Keluarga Karyasehat Tbk PT 2,215,000 303,806 0.0%
Pakuwon Jati Tbk PT 46,392,900 2,154,469 0.0%
Perusahaan Gas Negara Persero Tbk 17,096,300 2,319,682 0.0%
Semen Baturaja Persero Tbk PT 1,298,200 267,057 0.0%
Semen Indonesia Persero Tbk PT 5,688,100 4,569,996 0.1%
Sinar Mas Agro Resources & Technology Tbk PT 1,116,500 317,033 0.0%
Surya Citra Media Tbk PT 10,406,100 1,650,149 0.0%
Tambang Batubara Bukit Asam Persero Tbk PT 1,188,400 1,005,740 0.0%
Telekomunikasi Indonesia Persero Tbk PT 39,175,700 11,688,728 0.2%
Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 196,768 5,910,911 0.1%
Tower Bersama Infrastructure Tbk PT 2,551,800 1,282,281 0.0%
Unilever Indonesia Tbk PT 2,121,800 7,759,687 0.1%
United Tractors Tbk PT 4,686,596 11,977,427 0.2%
Waskita Karya Persero Tbk PT 12,223,279 1,910,780 0.0%
* XL Axiata Tbk PT 10,781,100 2,687,200 0.1%
------------ ----
TOTAL INDONESIA 177,529,845 2.6%
------------ ----
MALAYSIA -- (2.7%)
Affin Holdings Bhd 741,300 448,213 0.0%
AirAsia Bhd 5,747,300 4,535,383 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
MALAYSIA -- (Continued)
Alliance Bank Malaysia Bhd 1,073,400 $ 935,442 0.0%
AMMB Holdings Bhd 3,743,259 3,785,475 0.1%
Astro Malaysia Holdings Bhd 2,488,700 1,651,939 0.0%
# Axiata Group Bhd 3,971,711 5,057,748 0.1%
Batu Kawan Bhd 105,400 492,967 0.0%
BIMB Holdings Bhd 1,182,855 1,226,725 0.0%
Boustead Holdings Bhd 264,800 188,848 0.0%
British American Tobacco Malaysia Bhd 236,000 2,185,860 0.0%
CIMB Group Holdings Bhd 5,958,610 8,641,990 0.1%
Dialog Group Bhd 1,968,818 1,051,363 0.0%
DiGi.Com Bhd 5,587,720 6,599,304 0.1%
# Felda Global Ventures Holdings Bhd 1,828,100 824,532 0.0%
Fraser & Neave Holdings Bhd 6,700 40,070 0.0%
Gamuda Bhd 1,878,400 2,329,487 0.0%
# Genting Bhd 5,555,700 11,875,769 0.2%
# Genting Malaysia Bhd 2,883,000 3,426,685 0.1%
Genting Plantations Bhd 378,500 954,936 0.0%
# HAP Seng Consolidated Bhd 1,066,700 2,339,137 0.0%
Hartalega Holdings Bhd 1,106,800 1,993,381 0.0%
Hong Leong Bank Bhd 733,066 2,759,922 0.1%
Hong Leong Financial Group Bhd 747,883 2,950,914 0.1%
# IHH Healthcare Bhd 1,468,500 1,956,841 0.0%
IJM Corp. Bhd 5,595,662 4,216,416 0.1%
IOI Corp. Bhd 4,158,205 4,381,929 0.1%
IOI Properties Group Bhd 2,843,429 1,337,566 0.0%
Kuala Lumpur Kepong Bhd 453,300 2,634,976 0.1%
# Lafarge Malaysia Bhd 251,580 413,812 0.0%
Malayan Banking Bhd 4,845,851 10,588,191 0.2%
Malaysia Airports Holdings Bhd 1,240,841 2,426,054 0.0%
# Malaysia Building Society Bhd 967,200 253,492 0.0%
Maxis Bhd 2,881,400 4,048,840 0.1%
MISC Bhd 2,381,098 3,905,653 0.1%
MMC Corp. Bhd 1,817,400 854,229 0.0%
# My EG Services Bhd 3,146,800 1,627,930 0.0%
Petronas Chemicals Group Bhd 3,567,800 6,211,036 0.1%
Petronas Dagangan Bhd 351,300 1,988,306 0.0%
# Petronas Gas Bhd 890,500 3,794,730 0.1%
PPB Group Bhd 937,800 3,718,636 0.1%
Press Metal Aluminium Holdings Bhd 1,771,200 1,853,420 0.0%
Public Bank Bhd 3,656,014 17,667,806 0.3%
QL Resources Bhd 502,190 461,478 0.0%
RHB Bank Bhd 1,590,705 1,908,763 0.0%
Sapura Energy Bhd 13,106,700 4,960,007 0.1%
Sime Darby Bhd 3,018,761 6,560,691 0.1%
# SP Setia Bhd Group 1,018,486 787,441 0.0%
# Sunway Bhd 2,693,625 1,100,085 0.0%
Telekom Malaysia Bhd 1,435,664 2,154,292 0.0%
Tenaga Nasional Bhd 4,375,250 15,501,980 0.2%
Top Glove Corp. Bhd 1,101,700 1,665,215 0.0%
* UMW Holdings Bhd 1,406,766 1,741,300 0.0%
United Plantations Bhd 49,700 321,963 0.0%
Westports Holdings Bhd 1,553,100 1,362,482 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
YTL Corp. Bhd 16,754,199 $ 5,026,272 0.1%
YTL Power International Bhd 3,241,097 995,194 0.0%
------------ ---
TOTAL MALAYSIA 184,723,116 2.8%
------------ ---
MEXICO -- (4.0%)
# Alfa S.A.B. de C.V. Class A 9,902,054 10,340,168 0.2%
America Movil S.A.B. de C.V. Series L 48,207,854 41,565,106 0.6%
America Movil S.A.B. de C.V. Series L ADR 109,448 1,873,750 0.0%
Arca Continental S.A.B. de C.V. 824,241 5,245,512 0.1%
#* Cemex S.A.B. de C.V. 19,131,714 15,557,444 0.2%
* Cemex S.A.B. de C.V. Sponsored ADR 1,766,143 14,323,416 0.2%
Coca-Cola Femsa S.A.B. de C.V. Series L 503,694 3,404,944 0.1%
# Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 41,940 2,870,374 0.0%
# El Puerto de Liverpool S.A.B. de C.V. Class C1 272,661 1,861,093 0.0%
# Fomento Economico Mexicano S.A.B. de C.V. 1,602,272 13,957,800 0.2%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 5,197 456,037 0.0%
Gruma S.A.B. de C.V. Class B 573,607 7,528,615 0.1%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 15,027 1,426,363 0.0%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 404,642 3,847,442 0.1%
# Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 35,972 6,431,434 0.1%
Grupo Bimbo S.A.B. de C.V. Series A 2,700,652 6,253,052 0.1%
# Grupo Carso S.A.B. de C.V. Series A1 936,360 3,034,956 0.1%
Grupo Elektra S.A.B. de C.V. 117,419 4,705,579 0.1%
Grupo Financiero Banorte S.A.B. de C.V. Class O 2,973,402 17,618,552 0.3%
# Grupo Financiero Inbursa S.A.B. de C.V. Class O 4,602,443 7,917,304 0.1%
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 3,869,534 6,503,130 0.1%
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 64,027 539,107 0.0%
# Grupo Lala S.A.B. de C.V. 1,192,370 1,841,568 0.0%
# Grupo Mexico S.A.B. de C.V. Series B 6,360,255 20,684,700 0.3%
# Grupo Televisa S.A.B. Series CPO 3,641,138 15,938,258 0.2%
Grupo Televisa S.A.B. Sponsored ADR 135,493 2,965,942 0.0%
#* Impulsora del Desarrollo y El Empleo en America Latina
S.A.B. de C.V. 2,356,506 4,288,523 0.1%
Industrias Penoles S.A.B. de C.V. 353,762 8,248,157 0.1%
Infraestructura Energetica Nova S.A.B. de C.V. 982,114 5,010,015 0.1%
# Kimberly-Clark de Mexico S.A.B. de C.V. Class A 2,348,560 4,040,085 0.1%
* La Comer S.A.B. de C.V. 115,297 111,859 0.0%
# Megacable Holdings S.A.B. de C.V. 189,676 751,511 0.0%
Mexichem S.A.B. de C.V. 3,030,320 7,805,088 0.1%
* Organizacion Soriana S.A.B. de C.V. Class B 1,096,976 2,300,178 0.0%
# Promotora y Operadora de Infraestructura S.A.B. de
C.V.(2393388) 420,380 3,997,302 0.1%
Promotora y Operadora de Infraestructura S.A.B. de
C.V.(BP85573) 3,236 24,203 0.0%
Wal-Mart de Mexico S.A.B. de C.V. 7,198,435 16,115,213 0.2%
------------ ---
TOTAL MEXICO 271,383,780 4.0%
------------ ---
PERU -- (0.3%)
Cementos Pacasmayo SAA ADR 11,959 152,362 0.0%
Cia de Minas Buenaventura SAA ADR 139,674 1,926,104 0.0%
Credicorp, Ltd. 78,885 16,521,674 0.3%
* Grana y Montero SAA Sponsored ADR 108,988 490,446 0.0%
------------ ---
TOTAL PERU 19,090,586 0.3%
------------ ---
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
PHILIPPINES -- (1.3%)
Aboitiz Equity Ventures, Inc. 2,290,670 $ 3,327,457 0.1%
Aboitiz Power Corp. 2,219,900 1,827,722 0.0%
* Alliance Global Group, Inc. 9,307,400 2,887,099 0.0%
Ayala Corp. 314,587 6,277,617 0.1%
Ayala Land, Inc. 9,575,518 8,020,074 0.1%
Bank of the Philippine Islands 1,018,023 1,934,509 0.0%
BDO Unibank, Inc. 1,992,542 5,309,581 0.1%
DMCI Holdings, Inc. 10,645,700 3,162,047 0.1%
* DoubleDragon Properties Corp. 297,600 233,504 0.0%
Emperador, Inc. 1,850,900 258,213 0.0%
Energy Development Corp. 3,763,713 420,946 0.0%
Globe Telecom, Inc. 58,490 2,314,816 0.0%
GT Capital Holdings, Inc. 128,550 2,941,089 0.1%
International Container Terminal Services, Inc. 1,287,400 2,636,717 0.0%
JG Summit Holdings, Inc. 2,507,850 3,739,575 0.1%
Jollibee Foods Corp. 695,840 3,360,116 0.1%
LT Group, Inc. 5,022,600 1,749,667 0.0%
Manila Electric Co. 387,830 2,192,443 0.0%
Megaworld Corp. 19,621,500 2,025,857 0.0%
Metro Pacific Investments Corp. 22,603,200 2,978,923 0.1%
Metropolitan Bank & Trust Co. 1,016,195 1,705,247 0.0%
* Philippine National Bank 158,348 179,339 0.0%
PLDT, Inc. 87,155 2,890,368 0.1%
# PLDT, Inc. Sponsored ADR 59,031 1,951,565 0.0%
Puregold Price Club, Inc. 1,734,500 1,713,825 0.0%
Robinsons Land Corp. 3,244,300 1,587,293 0.0%
Robinsons Retail Holdings, Inc. 557,560 1,048,186 0.0%
San Miguel Corp. 1,404,830 2,804,469 0.0%
Security Bank Corp. 215,470 1,027,093 0.0%
Semirara Mining & Power Corp. 2,116,000 1,741,834 0.0%
SM Investments Corp. 264,833 4,904,675 0.1%
SM Prime Holdings, Inc. 9,223,910 6,617,359 0.1%
* Top Frontier Investment Holdings, Inc. 42,789 247,137 0.0%
Universal Robina Corp. 1,282,840 3,550,643 0.1%
----------- ---
TOTAL PHILIPPINES 89,567,005 1.3%
----------- ---
POLAND -- (1.8%)
* Alior Bank SA 163,227 3,242,367 0.1%
* AmRest Holdings SE 344 33,368 0.0%
Bank Handlowy w Warszawie SA 46,054 941,778 0.0%
* Bank Millennium SA 1,265,401 2,773,376 0.0%
Bank Pekao SA 232,319 7,591,232 0.1%
Bank Zachodni WBK SA 47,100 4,725,732 0.1%
Budimex SA 1,258 64,473 0.0%
CCC SA 36,838 2,762,288 0.0%
CD Projekt SA 86,768 2,874,026 0.1%
# Cyfrowy Polsat SA 412,395 2,872,422 0.0%
Enea SA 154,249 590,257 0.0%
Grupa Azoty SA 88,176 1,767,947 0.0%
# Grupa Lotos SA 352,784 6,397,536 0.1%
#* ING Bank Slaski SA 39,956 2,173,674 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
POLAND -- (Continued)
* Jastrzebska Spolka Weglowa SA 109,985 $ 2,957,822 0.1%
KGHM Polska Miedz SA 387,719 13,105,253 0.2%
KRUK SA 1,152 88,280 0.0%
LPP SA 1,669 3,930,834 0.1%
* mBank SA 29,442 3,722,852 0.1%
#* Orange Polska SA 1,139,817 1,756,390 0.0%
* PGE Polska Grupa Energetyczna SA 2,607,697 9,349,984 0.1%
Polski Koncern Naftowy Orlen SA 649,675 22,978,685 0.3%
Polskie Gornictwo Naftowe i Gazownictwo SA 2,283,734 4,196,751 0.1%
* Powszechna Kasa Oszczednosci Bank Polski SA 1,052,603 11,203,183 0.2%
Powszechny Zaklad Ubezpieczen SA 808,411 10,433,057 0.2%
Synthos SA 889,961 1,204,788 0.0%
* Tauron Polska Energia SA 2,675,765 2,587,174 0.0%
------------ ---
TOTAL POLAND 126,325,529 1.9%
------------ ---
RUSSIA -- (1.6%)
Gazprom PJSC Sponsored ADR 3,488,260 14,983,521 0.2%
* Lenta, Ltd. GDR(BJ621Y903) 30,830 194,532 0.0%
* Lenta, Ltd. GDR(52634T200) 106,863 674,306 0.0%
Lukoil PJSC Sponsored ADR 225,119 11,957,955 0.2%
Magnitogorsk Iron & Steel Works PJSC Sponsored GDR 197,103 1,920,609 0.0%
* Mail.Ru Group, Ltd. GDR 35,553 1,155,472 0.0%
MegaFon PJSC GDR 139,778 1,460,887 0.0%
MMC Norilsk Nickel PJSC ADR(BYSW6D901) 406,377 7,478,167 0.1%
MMC Norilsk Nickel PJSC ADR(55315J102) 36,191 667,977 0.0%
Novatek PJSC GDR 61,847 7,058,944 0.1%
Novolipetsk Steel PJSC GDR 123,601 2,849,610 0.1%
PhosAgro PJSC GDR 76,363 1,049,943 0.0%
Rosneft Oil Co. PJSC GDR 833,683 4,570,770 0.1%
Rostelecom PJSC Sponsored ADR(778529107) 20,806 150,844 0.0%
Rostelecom PJSC Sponsored ADR(B114RM901) 78,867 554,394 0.0%
RusHydro PJSC ADR(BYZ5W4903) 1,329,772 1,780,668 0.0%
RusHydro PJSC ADR(782183404) 12,131 16,619 0.0%
Sberbank of Russia PJSC Sponsored ADR 1,818,206 26,095,273 0.4%
Severstal PJSC GDR 211,364 3,223,643 0.1%
Tatneft PJSC Sponsored ADR 200,455 9,023,587 0.1%
VEON, Ltd. 221,245 865,068 0.0%
VTB Bank PJSC GDR(46630Q202) 1,647,605 3,410,542 0.1%
VTB Bank PJSC GDR(B1W7FX909) 1,358,280 2,811,959 0.0%
* X5 Retail Group NV GDR 78,490 3,225,939 0.1%
------------ ---
TOTAL RUSSIA 107,181,229 1.6%
------------ ---
SOUTH AFRICA -- (7.1%)
* Anglo American Platinum, Ltd. 119,560 3,327,076 0.1%
AngloGold Ashanti, Ltd. Sponsored ADR 1,637,102 15,225,049 0.2%
Aspen Pharmacare Holdings, Ltd. 574,874 12,989,042 0.2%
AVI, Ltd. 429,602 2,995,466 0.0%
Barclays Africa Group, Ltd. 1,655,908 16,403,521 0.2%
Bid Corp., Ltd. 778,465 17,118,151 0.3%
Bidvest Group, Ltd. (The) 816,938 9,918,617 0.1%
#* Brait SE 434,686 1,624,838 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH AFRICA -- (Continued)
Capitec Bank Holdings, Ltd. 88,443 $ 5,881,285 0.1%
Clicks Group, Ltd. 378,720 4,241,849 0.1%
Discovery, Ltd. 779,542 8,086,479 0.1%
Distell Group, Ltd. 65,088 597,565 0.0%
Exxaro Resources, Ltd. 371,212 3,772,307 0.1%
FirstRand, Ltd. 4,730,180 17,169,759 0.3%
Foschini Group, Ltd. (The) 76,526 733,501 0.0%
Gold Fields, Ltd. Sponsored ADR 3,351,777 13,306,555 0.2%
#* Impala Platinum Holdings, Ltd. 504,893 1,400,960 0.0%
Imperial Holdings, Ltd. 583,684 8,371,203 0.1%
Investec, Ltd. 964,772 6,579,655 0.1%
# Kumba Iron Ore, Ltd. 164,394 3,162,866 0.0%
Liberty Holdings, Ltd. 341,000 2,680,652 0.0%
Life Healthcare Group Holdings, Ltd. 3,462,168 6,418,940 0.1%
MMI Holdings, Ltd. 2,540,559 3,375,567 0.1%
Mondi, Ltd. 279,338 6,700,623 0.1%
Mr. Price Group, Ltd. 523,254 6,485,280 0.1%
MTN Group, Ltd. 3,775,818 32,785,832 0.5%
Naspers, Ltd. Class N 407,281 99,226,886 1.5%
Nedbank Group, Ltd. 731,525 10,720,332 0.2%
NEPI Rockcastle P.L.C. 344,559 4,796,547 0.1%
Netcare, Ltd. 2,844,264 5,007,437 0.1%
Novus Holdings, Ltd. 140,870 69,933 0.0%
Pick n Pay Stores, Ltd. 261,842 1,098,101 0.0%
Pioneer Foods Group, Ltd. 230,922 1,940,720 0.0%
PSG Group, Ltd. 161,662 3,001,251 0.0%
Sanlam, Ltd. 3,042,227 15,227,449 0.2%
Sappi, Ltd. 1,584,765 10,612,386 0.2%
Sasol, Ltd. 146,080 4,268,133 0.1%
Sasol, Ltd. Sponsored ADR 777,405 22,630,260 0.3%
Shoprite Holdings, Ltd. 951,195 13,617,324 0.2%
Sibanye-Sillwater 1,489,715 1,928,638 0.0%
SPAR Group, Ltd. (The) 284,382 3,347,266 0.1%
Standard Bank Group, Ltd. 2,023,352 23,495,927 0.4%
# Steinhoff International Holdings NV 3,713,530 16,120,765 0.2%
Telkom SA SOC, Ltd. 963,003 3,606,958 0.1%
Tiger Brands, Ltd. 296,871 8,108,042 0.1%
Truworths International, Ltd. 979,184 5,216,953 0.1%
# Vodacom Group, Ltd. 750,143 8,152,504 0.1%
Woolworths Holdings, Ltd. 2,502,184 9,979,816 0.1%
------------ ---
TOTAL SOUTH AFRICA 483,526,266 7.2%
------------ ---
SOUTH KOREA -- (17.6%)
Amorepacific Corp. 35,738 10,027,802 0.2%
# AMOREPACIFIC Group 45,012 5,772,187 0.1%
BGF retail Co., Ltd. 38,514 2,719,201 0.0%
BNK Financial Group, Inc. 503,774 4,469,837 0.1%
#* Celltrion, Inc. 84,397 13,046,837 0.2%
Cheil Worldwide, Inc. 73,456 1,364,531 0.0%
# CJ CGV Co., Ltd. 18,162 1,129,688 0.0%
CJ CheilJedang Corp. 23,555 7,707,837 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
CJ Corp. 44,364 $ 7,396,190 0.1%
CJ E&M Corp. 37,668 2,843,952 0.0%
* CJ Logistics Corp. 14,275 2,000,792 0.0%
CJ O Shopping Co., Ltd. 2,962 523,066 0.0%
Com2uSCorp 12,702 1,513,940 0.0%
Cosmax, Inc. 393 48,811 0.0%
Coway Co., Ltd. 80,403 6,990,133 0.1%
# Cuckoo Electronics Co., Ltd. 2,015 270,943 0.0%
Daelim Industrial Co., Ltd. 56,037 4,176,399 0.1%
* Daewoo Engineering & Construction Co., Ltd. 199,915 1,313,590 0.0%
* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 16,540 270,906 0.0%
DGB Financial Group, Inc. 327,013 3,050,076 0.1%
Dongbu Insurance Co., Ltd. 143,180 9,014,188 0.1%
Dongkuk Steel Mill Co., Ltd. 50,693 491,896 0.0%
Dongsuh Cos., Inc. 23,739 582,802 0.0%
Dongwon Systems Corp. 4,834 208,958 0.0%
Doosan Corp. 21,369 2,558,827 0.0%
# Doosan Heavy Industries & Construction Co., Ltd. 183,881 2,877,226 0.0%
#* Doosan Infracore Co., Ltd. 466,032 3,850,719 0.1%
E-MART, Inc. 40,862 8,179,723 0.1%
Grand Korea Leisure Co., Ltd. 38,572 964,422 0.0%
Green Cross Corp. 4,303 810,729 0.0%
Green Cross Holdings Corp. 22,011 744,123 0.0%
#* GS Engineering & Construction Corp. 101,174 2,349,524 0.0%
GS Holdings Corp. 180,713 10,700,057 0.2%
GS Home Shopping, Inc. 4,597 863,217 0.0%
GS Retail Co., Ltd. 55,466 1,653,709 0.0%
Hana Financial Group, Inc. 584,969 25,035,987 0.4%
#* Hanjin Kal Corp. 42,067 813,052 0.0%
Hankook Tire Co., Ltd. 156,490 7,553,090 0.1%
#* Hanmi Pharm Co., Ltd. 7,664 3,172,830 0.1%
#* Hanmi Science Co., Ltd. 14,080 1,154,164 0.0%
Hanon Systems 291,582 3,391,822 0.1%
Hanssem Co., Ltd. 16,476 2,509,038 0.0%
Hanwha Chemical Corp. 222,590 6,063,423 0.1%
Hanwha Corp. 178,504 7,122,560 0.1%
Hanwha Life Insurance Co., Ltd. 602,838 4,259,416 0.1%
#* Hanwha Techwin Co.,Ltd. 73,861 2,531,743 0.0%
Hite Jinro Co., Ltd. 52,663 1,251,720 0.0%
Hotel Shilla Co., Ltd. 38,111 2,666,539 0.0%
* Hugel, Inc. 3,549 1,361,808 0.0%
Hyosung Corp. 62,471 7,507,876 0.1%
#* Hyundai Construction Equipment Co., Ltd. 3,388 1,133,287 0.0%
Hyundai Department Store Co., Ltd. 36,583 2,987,555 0.1%
Hyundai Development Co-Engineering & Construction 118,792 4,256,365 0.1%
Hyundai Elevator Co., Ltd. 10,664 521,766 0.0%
Hyundai Engineering & Construction Co., Ltd. 198,086 6,701,075 0.1%
Hyundai Glovis Co., Ltd. 32,379 4,369,959 0.1%
Hyundai Greenfood Co., Ltd. 63,538 907,003 0.0%
* Hyundai Heavy Industries Co., Ltd. 39,291 5,495,498 0.1%
Hyundai Home Shopping Network Corp. 8,843 963,712 0.0%
Hyundai Marine & Fire Insurance Co., Ltd. 191,326 7,751,924 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
#* Hyundai Merchant Marine Co., Ltd. 121,088 $ 799,946 0.0%
#* Hyundai Mipo Dockyard Co., Ltd. 23,665 2,295,289 0.0%
Hyundai Mobis Co., Ltd. 74,326 17,686,287 0.3%
Hyundai Motor Co. 181,576 26,122,725 0.4%
* Hyundai Robotics Co., Ltd. 29,529 11,916,222 0.2%
* Hyundai Rotem Co., Ltd. 38,614 676,445 0.0%
Hyundai Steel Co. 201,846 10,373,916 0.2%
# Hyundai Wia Corp. 31,002 1,786,558 0.0%
Iljin Materials Co., Ltd. 17,651 509,168 0.0%
Industrial Bank of Korea 468,370 6,417,256 0.1%
Innocean Worldwide, Inc. 3,114 213,617 0.0%
# IS Dongseo Co., Ltd. 27,962 862,821 0.0%
* Jeil Pharmaceutical Co., Ltd. 2,282 128,753 0.0%
Kakao Corp. 26,225 3,373,928 0.1%
Kangwon Land, Inc. 113,549 3,480,509 0.1%
KB Financial Group, Inc. 382,135 19,979,647 0.3%
# KB Financial Group, Inc. ADR 89,380 4,693,344 0.1%
KCC Corp. 11,620 4,049,104 0.1%
# KEPCO Plant Service & Engineering Co., Ltd. 27,560 1,016,983 0.0%
Kia Motors Corp. 609,598 19,295,378 0.3%
KIWOOM Securities Co., Ltd. 22,357 1,431,501 0.0%
Kolon Industries, Inc. 33,244 2,248,559 0.0%
#* Komipharm International Co., Ltd. 28,759 1,030,218 0.0%
# Korea Aerospace Industries, Ltd. 98,940 5,022,439 0.1%
Korea Electric Power Corp. 240,177 8,420,502 0.1%
# Korea Electric Power Corp. Sponsored ADR 130,759 2,303,974 0.0%
* Korea Gas Corp. 48,786 1,781,783 0.0%
Korea Investment Holdings Co., Ltd. 80,004 4,528,844 0.1%
# Korea Kolmar Co., Ltd. 20,573 1,521,900 0.0%
Korea Petrochemical Ind Co., Ltd. 9,082 2,030,263 0.0%
Korea Zinc Co., Ltd. 10,814 4,946,604 0.1%
* Korean Air Lines Co., Ltd. 153,221 4,337,456 0.1%
Korean Reinsurance Co. 163,445 1,634,145 0.0%
KT Corp. Sponsored ADR 95,200 1,369,928 0.0%
KT&G Corp. 126,044 11,935,837 0.2%
# Kumho Petrochemical Co., Ltd. 36,428 2,258,349 0.0%
#* Kumho Tire Co., Inc. 189,087 1,106,910 0.0%
LG Chem, Ltd. 48,566 17,510,787 0.3%
LG Corp. 132,158 10,161,598 0.2%
# LG Display Co., Ltd. 525,059 13,735,843 0.2%
# LG Display Co., Ltd. ADR 808,137 10,497,700 0.2%
LG Electronics, Inc. 183,420 14,931,562 0.2%
LG Household & Health Care, Ltd. 13,908 14,617,053 0.2%
LG Innotek Co., Ltd. 19,841 3,054,783 0.1%
LG International Corp. 23,266 603,817 0.0%
LG Uplus Corp. 430,773 4,946,415 0.1%
LIG Nex1 Co., Ltd. 11,058 709,786 0.0%
# Loen Entertainment, Inc. 7,273 691,267 0.0%
Lotte Chemical Corp. 44,383 14,659,678 0.2%
Lotte Chilsung Beverage Co., Ltd. 60 74,166 0.0%
* Lotte Confectionery Co., Ltd. 237 39,280 0.0%
Lotte Corp. 28,714 1,911,835 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
SOUTH KOREA -- (Continued)
LOTTE Himart Co., Ltd. 14,752 $ 976,525 0.0%
Lotte Shopping Co., Ltd. 20,703 4,160,862 0.1%
LS Corp. 33,839 2,389,305 0.0%
LS Industrial Systems Co., Ltd. 29,951 1,603,830 0.0%
# Macquarie Korea Infrastructure Fund 568,196 4,321,287 0.1%
# Mando Corp. 19,537 5,702,791 0.1%
Medy-Tox, Inc. 6,364 2,408,968 0.0%
Meritz Financial Group, Inc. 117,954 1,717,645 0.0%
Meritz Fire & Marine Insurance Co., Ltd. 129,467 2,971,237 0.1%
Meritz Securities Co., Ltd. 635,200 2,530,879 0.0%
Mirae Asset Daewoo Co., Ltd. 456,755 4,144,890 0.1%
NAVER Corp. 37,790 30,204,488 0.5%
NCSoft Corp. 13,274 5,060,646 0.1%
Nexen Tire Corp. 99,808 1,145,381 0.0%
NH Investment & Securities Co., Ltd. 216,131 2,714,394 0.0%
* NHN Entertainment Corp. 13,146 805,826 0.0%
# NongShim Co., Ltd. 4,477 1,390,272 0.0%
# OCI Co., Ltd. 31,064 3,138,376 0.1%
* Orion Corp. 33,727 3,198,049 0.1%
Ottogi Corp. 1,053 713,689 0.0%
* Pan Ocean Co., Ltd. 431,074 2,024,995 0.0%
# Paradise Co., Ltd. 62,375 1,119,744 0.0%
# Poongsan Corp. 35,857 1,572,606 0.0%
POSCO 72,961 21,267,067 0.3%
POSCO Sponsored ADR 109,096 7,961,826 0.1%
# POSCO Chemtech Co., Ltd. 20,052 502,520 0.0%
Posco Daewoo Corp. 85,173 1,477,705 0.0%
S-1 Corp. 27,474 2,248,217 0.0%
S-Oil Corp. 52,102 5,990,135 0.1%
Samsung C&T Corp. 72,932 9,648,075 0.2%
Samsung Card Co., Ltd. 59,683 1,955,574 0.0%
Samsung Electro-Mechanics Co., Ltd. 64,645 6,015,067 0.1%
Samsung Electronics Co., Ltd. 102,618 252,964,114 3.8%
Samsung Electronics Co., Ltd. GDR 52,509 64,740,101 1.0%
#* Samsung Engineering Co., Ltd. 89,281 973,409 0.0%
Samsung Fire & Marine Insurance Co., Ltd. 54,328 13,256,688 0.2%
* Samsung Heavy Industries Co., Ltd. 480,671 5,065,987 0.1%
Samsung Life Insurance Co., Ltd. 79,853 9,627,424 0.2%
Samsung SDI Co., Ltd. 73,914 13,618,537 0.2%
Samsung SDS Co., Ltd. 33,828 6,263,762 0.1%
Samsung Securities Co., Ltd. 134,259 4,270,379 0.1%
Seoul Semiconductor Co., Ltd. 42,827 1,051,226 0.0%
SFA Engineering Corp. 28,906 1,052,359 0.0%
Shinhan Financial Group Co., Ltd. 490,366 22,026,353 0.3%
# Shinhan Financial Group Co., Ltd. ADR 91,504 4,142,386 0.1%
Shinsegae, Inc. 16,087 3,288,619 0.1%
# SK Chemicals Co., Ltd. 30,297 2,000,441 0.0%
SK Holdings Co., Ltd. 62,844 16,262,176 0.2%
SK Hynix, Inc. 821,484 60,570,209 0.9%
SK Innovation Co., Ltd. 89,604 16,437,023 0.3%
# SK Materials Co., Ltd. 9,016 1,511,315 0.0%
SK Networks Co., Ltd. 248,832 1,478,529 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SOUTH KOREA -- (Continued)
SK Telecom Co., Ltd. 22,141 $ 5,227,045 0.1%
SK Telecom Co., Ltd. ADR 24,883 650,442 0.0%
SKC Co., Ltd. 45,410 1,613,245 0.0%
# SPC Samlip Co., Ltd. 3,031 372,238 0.0%
Ssangyong Cement Industrial Co., Ltd. 47,392 685,638 0.0%
Taekwang Industrial Co., Ltd. 15 15,279 0.0%
#* Taihan Electric Wire Co., Ltd. 154,853 175,688 0.0%
# Tongyang Life Insurance Co., Ltd. 88,773 701,364 0.0%
* WONIK IPS Co., Ltd. 6,099 198,080 0.0%
Woori Bank 670,604 9,813,752 0.2%
# Woori Bank Sponsored ADR 3,193 140,173 0.0%
Young Poong Corp. 703 699,572 0.0%
Youngone Corp. 47,419 1,457,407 0.0%
# Yuhan Corp. 9,477 1,726,754 0.0%
#* Yungjin Pharmaceutical Co., Ltd. 60,994 484,337 0.0%
-------------- ----
TOTAL SOUTH KOREA 1,203,347,650 17.9%
-------------- ----
TAIWAN -- (15.1%)
Accton Technology Corp. 624,000 2,012,051 0.0%
# Acer, Inc. 5,739,811 2,970,217 0.1%
Advanced Semiconductor Engineering, Inc. 14,704,564 17,777,425 0.3%
Advanced Semiconductor Engineering, Inc. ADR 39,953 246,110 0.0%
# Advantech Co., Ltd. 471,663 3,223,229 0.1%
Airtac International Group 132,518 2,148,101 0.0%
Asia Cement Corp. 4,383,758 3,911,475 0.1%
# Asia Optical Co., Inc. 86,000 351,321 0.0%
* Asia Pacific Telecom Co., Ltd. 3,398,000 1,124,861 0.0%
Asustek Computer, Inc. 1,223,180 10,592,850 0.2%
# AU Optronics Corp. 29,102,873 11,925,414 0.2%
# AU Optronics Corp. Sponsored ADR 326,626 1,342,433 0.0%
# Casetek Holdings, Ltd. 313,000 1,173,719 0.0%
Catcher Technology Co., Ltd. 1,354,429 14,415,085 0.2%
Cathay Financial Holding Co., Ltd. 8,878,450 14,670,911 0.2%
# Chailease Holding Co., Ltd. 2,471,840 6,376,225 0.1%
Chang Hwa Commercial Bank, Ltd. 9,752,283 5,287,509 0.1%
# Cheng Shin Rubber Industry Co., Ltd. 3,327,965 6,568,741 0.1%
Chicony Electronics Co., Ltd. 1,111,664 2,784,286 0.0%
* China Airlines, Ltd. 9,417,536 3,841,822 0.1%
China Development Financial Holding Corp. 25,907,121 7,942,456 0.1%
China Life Insurance Co., Ltd. 3,471,014 3,268,516 0.1%
China Motor Corp. 992,000 888,300 0.0%
# China Steel Corp. 16,140,932 13,143,630 0.2%
Chipbond Technology Corp. 797,000 1,555,465 0.0%
# Chroma ATE, Inc. 336,000 1,638,658 0.0%
Chunghwa Precision Test Tech Co., Ltd. 25,000 909,174 0.0%
Chunghwa Telecom Co., Ltd. 1,693,000 5,781,928 0.1%
# Chunghwa Telecom Co., Ltd. Sponsored ADR 269,298 9,161,518 0.1%
Compal Electronics, Inc. 10,369,541 7,634,779 0.1%
# Compeq Manufacturing Co., Ltd. 2,066,000 2,430,899 0.0%
CTBC Financial Holding Co., Ltd. 21,062,175 13,485,308 0.2%
CTCI Corp. 1,199,000 1,858,874 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
Delta Electronics, Inc. 2,282,486 $10,982,539 0.2%
E Ink Holdings, Inc. 1,253,000 1,750,183 0.0%
E.Sun Financial Holding Co., Ltd. 16,121,745 9,813,103 0.2%
Eclat Textile Co., Ltd. 258,402 3,089,259 0.1%
Elite Material Co., Ltd. 434,000 1,728,384 0.0%
# Ennoconn Corp. 62,000 883,122 0.0%
* Epistar Corp. 1,995,000 3,233,070 0.1%
Eternal Materials Co., Ltd. 1,523,917 1,538,873 0.0%
Eva Airways Corp. 7,272,592 3,584,719 0.1%
* Evergreen Marine Corp. Taiwan, Ltd. 2,904,261 1,739,670 0.0%
Far Eastern International Bank 737,726 229,021 0.0%
Far Eastern New Century Corp. 7,623,085 6,537,865 0.1%
Far EasTone Telecommunications Co., Ltd. 2,601,000 6,107,173 0.1%
Farglory Land Development Co., Ltd. 570,393 623,458 0.0%
Feng TAY Enterprise Co., Ltd. 500,424 2,257,832 0.0%
First Financial Holding Co., Ltd. 18,569,226 11,980,025 0.2%
# FLEXium Interconnect, Inc. 537,000 2,059,011 0.0%
Formosa Chemicals & Fibre Corp. 3,606,518 10,956,655 0.2%
Formosa Petrochemical Corp. 1,719,000 6,017,479 0.1%
Formosa Plastics Corp. 3,712,153 11,316,377 0.2%
Formosa Taffeta Co., Ltd. 1,465,000 1,503,578 0.0%
Foxconn Technology Co., Ltd. 1,619,627 5,165,731 0.1%
Fubon Financial Holding Co., Ltd. 7,341,233 11,699,790 0.2%
General Interface Solution Holding, Ltd. 260,000 2,387,078 0.0%
#* Genius Electronic Optical Co., Ltd. 81,000 912,907 0.0%
Giant Manufacturing Co., Ltd. 571,506 2,938,231 0.1%
Globalwafers Co., Ltd. 209,000 2,424,513 0.0%
# Gourmet Master Co., Ltd. 101,305 1,162,877 0.0%
# HannStar Display Corp. 7,103,000 2,758,711 0.0%
# Highwealth Construction Corp. 2,120,190 2,836,453 0.0%
Hiwin Technologies Corp. 301,925 3,030,376 0.1%
Hon Hai Precision Industry Co., Ltd. 17,961,653 66,762,435 1.0%
Hota Industrial Manufacturing Co., Ltd. 290,235 1,356,368 0.0%
Hotai Motor Co., Ltd. 362,000 4,202,884 0.1%
#* HTC Corp. 1,292,235 2,900,054 0.1%
Hua Nan Financial Holdings Co., Ltd. 14,358,307 7,857,795 0.1%
# Innolux Corp. 29,692,241 13,014,285 0.2%
Inventec Corp. 5,430,551 4,220,127 0.1%
# Kenda Rubber Industrial Co., Ltd. 1,082,377 1,436,134 0.0%
# King Slide Works Co., Ltd. 67,000 896,106 0.0%
King Yuan Electronics Co., Ltd. 1,471,000 1,560,041 0.0%
King's Town Bank Co., Ltd. 1,100,000 1,202,203 0.0%
Kinsus Interconnect Technology Corp. 683,000 1,723,193 0.0%
Largan Precision Co., Ltd. 133,860 25,374,450 0.4%
LCY Chemical Corp. 817,123 1,116,874 0.0%
Lite-On Technology Corp. 4,896,410 6,914,618 0.1%
# Long Chen Paper Co., Ltd. 1,312,509 1,933,626 0.0%
#* Macronix International 1,629,000 2,978,848 0.1%
MediaTek, Inc. 1,351,995 15,385,044 0.2%
Mega Financial Holding Co., Ltd. 17,020,369 13,379,662 0.2%
* Mercuries Life Insurance Co., Ltd. 369,953 195,163 0.0%
# Merida Industry Co., Ltd. 271,287 1,264,537 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
Merry Electronics Co., Ltd. 223,000 $ 1,705,861 0.0%
Micro-Star International Co., Ltd. 1,080,000 2,639,350 0.0%
Nan Ya Plastics Corp. 4,272,599 10,543,971 0.2%
# Nanya Technology Corp. 992,010 2,696,807 0.0%
Nien Made Enterprise Co., Ltd. 204,000 2,123,043 0.0%
# Novatek Microelectronics Corp. 1,037,000 3,841,077 0.1%
Parade Technologies, Ltd. 90,000 1,467,591 0.0%
PChome Online, Inc. 109,395 633,279 0.0%
Pegatron Corp. 5,311,345 13,763,017 0.2%
# Phison Electronics Corp. 305,000 3,631,087 0.1%
Pou Chen Corp. 5,164,487 6,508,656 0.1%
Powertech Technology, Inc. 2,217,819 6,945,363 0.1%
Poya International Co., Ltd. 73,275 939,734 0.0%
President Chain Store Corp. 875,831 7,875,498 0.1%
# Qisda Corp. 2,532,000 1,849,559 0.0%
Quanta Computer, Inc. 4,441,000 10,462,247 0.2%
# Radiant Opto-Electronics Corp. 108,000 240,224 0.0%
Realtek Semiconductor Corp. 728,950 2,744,551 0.0%
#* Ruentex Development Co., Ltd. 1,690,050 1,735,710 0.0%
# Ruentex Industries, Ltd. 770,182 1,233,702 0.0%
ScinoPharm Taiwan, Ltd. 214,661 237,091 0.0%
Shin Kong Financial Holding Co., Ltd. 16,563,656 5,299,915 0.1%
# Silergy Corp. 55,000 1,187,930 0.0%
Siliconware Precision Industries Co., Ltd. 2,123,637 3,368,012 0.1%
Siliconware Precision Industries Co., Ltd. Sponsored ADR 21,813 171,886 0.0%
Simplo Technology Co., Ltd. 414,000 2,382,969 0.0%
Sino-American Silicon Products, Inc. 516,000 1,440,845 0.0%
SinoPac Financial Holdings Co., Ltd. 20,751,101 6,366,506 0.1%
St Shine Optical Co., Ltd. 11,000 269,040 0.0%
Standard Foods Corp. 525,418 1,301,618 0.0%
Synnex Technology International Corp. 2,397,343 3,038,926 0.1%
Taichung Commercial Bank Co., Ltd. 162,383 52,014 0.0%
#* TaiMed Biologics, Inc. 109,000 790,103 0.0%
Taishin Financial Holding Co., Ltd. 19,954,023 8,736,167 0.1%
Taiwan Business Bank 8,567,684 2,366,954 0.0%
Taiwan Cement Corp. 8,270,720 9,192,922 0.1%
Taiwan Cooperative Financial Holding Co., Ltd. 15,851,278 8,570,013 0.1%
Taiwan FamilyMart Co., Ltd. 89,000 542,896 0.0%
# Taiwan Fertilizer Co., Ltd. 1,371,000 1,791,677 0.0%
* Taiwan Glass Industry Corp. 2,124,375 1,096,511 0.0%
Taiwan High Speed Rail Corp. 2,031,000 1,623,490 0.0%
Taiwan Mobile Co., Ltd. 2,215,300 7,898,033 0.1%
Taiwan Paiho, Ltd. 168,000 694,080 0.0%
Taiwan Secom Co., Ltd. 362,670 1,067,920 0.0%
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%
* Tatung Co., Ltd. 2,566,000 1,184,271 0.0%
Teco Electric and Machinery Co., Ltd. 3,380,000 3,156,825 0.1%
Tong Yang Industry Co., Ltd. 936,000 1,954,141 0.0%
* TPK Holding Co., Ltd. 905,000 2,989,641 0.1%
# Transcend Information, Inc. 353,181 1,003,275 0.0%
Tripod Technology Corp. 790,870 2,912,627 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
TAIWAN -- (Continued)
Uni-President Enterprises Corp. 7,758,033 $ 16,209,662 0.2%
# United Microelectronics Corp. 39,656,000 20,466,664 0.3%
# Vanguard International Semiconductor Corp. 1,965,000 3,731,511 0.1%
# Voltronic Power Technology Corp. 57,350 1,080,692 0.0%
Walsin Lihwa Corp. 5,308,000 2,713,087 0.0%
Walsin Technology Corp. 253,000 653,315 0.0%
Wan Hai Lines, Ltd. 1,467,800 889,073 0.0%
Win Semiconductors Corp. 589,034 4,825,758 0.1%
Winbond Electronics Corp. 6,236,000 5,407,599 0.1%
Wintek Corp. 604,760 6,880 0.0%
Wistron Corp. 6,562,940 5,481,897 0.1%
Wistron NeWeb Corp. 191,530 550,020 0.0%
WPG Holdings, Ltd. 3,035,869 4,159,031 0.1%
Yageo Corp. 511,900 4,066,288 0.1%
Yuanta Financial Holding Co., Ltd. 19,622,806 8,727,001 0.1%
# Yulon Motor Co., Ltd. 1,949,000 1,629,782 0.0%
Zhen Ding Technology Holding, Ltd. 1,183,700 2,970,306 0.1%
-------------- ----
TOTAL TAIWAN 1,029,811,058 15.3%
-------------- ----
THAILAND -- (2.6%)
Advanced Info Service PCL 1,483,600 8,686,340 0.1%
Airports of Thailand PCL 5,895,100 10,558,653 0.2%
Bangchak Corp. PCL 1,759,600 2,211,418 0.0%
Bangkok Bank PCL(6077019) 222,800 1,348,067 0.0%
Bangkok Bank PCL(6368360) 30,080 174,757 0.0%
Bangkok Dusit Medical Services PCL Class F 6,994,700 4,463,806 0.1%
Bangkok Expressway & Metro PCL 7,149,099 1,678,596 0.0%
Bangkok Life Assurance PCL 903,200 1,005,972 0.0%
Banpu PCL 3,071,950 1,618,276 0.0%
Berli Jucker PCL 1,019,200 1,641,397 0.0%
BTS Group Holdings PCL 4,968,600 1,271,316 0.0%
Bumrungrad Hospital PCL 402,600 2,666,225 0.1%
Carabao Group PCL Class F 538,200 1,709,214 0.0%
Central Pattana PCL 1,796,300 4,298,791 0.1%
Central Plaza Hotel PCL 1,046,100 1,440,671 0.0%
CH Karnchang PCL 680,200 557,961 0.0%
Charoen Pokphand Foods PCL 5,643,500 4,416,948 0.1%
CP ALL PCL 4,384,100 9,238,019 0.2%
Delta Electronics Thailand PCL 656,900 1,700,584 0.0%
Electricity Generating PCL 285,200 1,974,594 0.0%
Energy Absolute PCL 2,027,900 2,640,177 0.1%
Global Power Synergy PCL Class F 899,600 1,651,884 0.0%
Glow Energy PCL 826,500 2,239,163 0.0%
Home Product Center PCL 9,271,313 3,572,330 0.1%
Indorama Ventures PCL 2,479,600 3,433,522 0.1%
Intouch Holdings PCL 793,000 1,384,527 0.0%
IRPC PCL 13,346,000 2,591,261 0.1%
Jasmine International PCL 5,215,000 1,193,076 0.0%
Kasikornbank PCL(6364766) 322,400 2,135,099 0.0%
Kasikornbank PCL(6888794) 1,146,600 7,869,500 0.1%
KCE Electronics PCL 329,600 992,173 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
THAILAND -- (Continued)
Kiatnakin Bank PCL 397,600 $ 906,629 0.0%
Krung Thai Bank PCL 9,427,487 5,164,969 0.1%
Land & Houses PCL(6581930) 790,000 259,211 0.0%
Land & Houses PCL(6581941) 3,223,940 1,057,825 0.0%
Minor International PCL 2,138,070 2,783,610 0.1%
MK Restaurants Group PCL 534,100 1,217,883 0.0%
Muangthai Leasing PCL Class F 1,040,600 1,229,487 0.0%
Pruksa Holding PCL 2,392,300 1,818,350 0.0%
PTT Exploration & Production PCL(B1359J0) 2,414,655 6,269,235 0.1%
PTT Exploration & Production PCL(B1359L2) 65,409 169,823 0.0%
PTT Global Chemical PCL 2,436,872 5,868,446 0.1%
PTT PCL 1,643,400 20,777,483 0.3%
Ratchaburi Electricity Generating Holding PCL 651,300 1,093,016 0.0%
Robinson PCL 407,700 911,250 0.0%
Siam Cement PCL (The)(6609906) 166,400 2,454,425 0.1%
Siam Cement PCL (The)(6609928) 230,100 3,394,010 0.1%
Siam City Cement PCL 118,767 997,471 0.0%
Siam Commercial Bank PCL (The) 1,335,966 5,891,602 0.1%
Siam Global House PCL 2,083,808 1,147,914 0.0%
Srisawad Corp. PCL 587,000 1,228,070 0.0%
Star Petroleum Refining PCL 4,020,900 2,106,070 0.0%
Thai Oil PCL 1,864,000 5,723,299 0.1%
Thai Union Group PCL Class F 3,635,040 2,002,445 0.0%
Thanachart Capital PCL 1,472,200 2,426,338 0.1%
Tisco Financial Group PCL 495,400 1,308,590 0.0%
TMB Bank PCL 30,910,400 2,400,627 0.0%
* Total Access Communication PCL(B1YWK08) 1,459,300 2,339,185 0.0%
* Total Access Communication PCL(B231MK7) 423,600 679,010 0.0%
TPI Polene PCL 15,421,400 1,039,854 0.0%
* True Corp. PCL 16,091,631 2,979,035 0.1%
TTW PCL 581,700 190,865 0.0%
WHA Corp. PCL 6,511,500 752,684 0.0%
------------ ---
TOTAL THAILAND 180,953,028 2.7%
------------ ---
TURKEY -- (1.3%)
Akbank Turk A.S. 2,433,879 6,438,531 0.1%
Anadolu Efes Biracilik Ve Malt Sanayii A.S. 291,705 1,689,606 0.0%
Arcelik A.S. 478,486 2,618,056 0.1%
# Aselsan Elektronik Sanayi Ve Ticaret A.S. 191,965 1,719,578 0.0%
BIM Birlesik Magazalar A.S. 342,629 6,992,267 0.1%
Coca-Cola Icecek A.S. 163,722 1,668,972 0.0%
Enka Insaat ve Sanayi A.S. 808,906 1,228,209 0.0%
Eregli Demir ve Celik Fabrikalari TAS 2,461,933 5,785,867 0.1%
Ford Otomotiv Sanayi A.S. 126,138 1,782,041 0.0%
KOC Holding A.S. 1,064,270 4,765,675 0.1%
Petkim Petrokimya Holding A.S. 1,443,134 2,530,319 0.1%
TAV Havalimanlari Holding A.S. 393,004 1,959,384 0.0%
Tofas Turk Otomobil Fabrikasi A.S. 212,178 1,730,750 0.0%
Tupras Turkiye Petrol Rafinerileri A.S. 261,144 9,408,883 0.2%
* Turk Hava Yollari AO 1,285,507 3,527,873 0.1%
* Turk Telekomunikasyon A.S. 802,767 1,368,058 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
TURKEY -- (Continued)
Turkcell Iletisim Hizmetleri A.S. 1,505,535 $ 5,641,607 0.1%
Turkcell Iletisim Hizmetleri A.S. ADR 73,838 693,339 0.0%
Turkiye Garanti Bankasi A.S. 3,265,633 8,997,146 0.1%
Turkiye Halk Bankasi A.S. 1,179,427 3,445,429 0.1%
Turkiye Is Bankasi Class C 4,252,385 8,025,843 0.1%
Turkiye Sise ve Cam Fabrikalari A.S. 1,716,996 2,017,407 0.0%
Turkiye Vakiflar Bankasi TAO Class D 2,465,501 4,124,076 0.1%
Ulker Biskuvi Sanayi A.S. 244,375 1,304,985 0.0%
#* Yapi ve Kredi Bankasi A.S. 1,447,479 1,760,495 0.0%
-------------- ----
TOTAL TURKEY 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%
Banco Bradesco SA ADR 960,668 10,154,263 0.2%
Braskem SA Class A 26,600 425,756 0.0%
Centrais Eletricas Brasileiras SA Class B 174,032 1,348,079 0.0%
* Cia Brasileira de Distribuicao 252,359 5,878,322 0.1%
Cia Energetica de Minas Gerais 178,000 420,610 0.0%
Gerdau SA 991,868 3,320,073 0.1%
Itau Unibanco Holding SA 4,804,227 61,754,576 0.9%
Lojas Americanas SA 336,338 1,807,484 0.0%
* Petroleo Brasileiro SA 2,860,161 14,662,336 0.2%
* Petroleo Brasileiro SA Sponsored ADR 1,440,006 14,760,061 0.2%
Suzano Papel e Celulose SA Class A 670,455 4,166,646 0.1%
Telefonica Brasil SA 399,663 6,169,713 0.1%
* Usinas Siderurgicas de Minas Gerais SA Class A 934,400 2,516,450 0.0%
Vale SA 11,400 103,640 0.0%
-------------- ----
TOTAL BRAZIL 156,523,935 2.3%
-------------- ----
CHILE -- (0.0%)
Embotelladora Andina SA Class B 141,552 715,129 0.0%
-------------- ----
COLOMBIA -- (0.1%)
Banco Davivienda SA 206,998 2,040,006 0.1%
Bancolombia SA 30,330 289,137 0.0%
Grupo Argos SA 44,067 266,542 0.0%
Grupo Aval Acciones y Valores SA 4,185,719 1,740,581 0.0%
Grupo de Inversiones Suramericana SA 125,490 1,549,417 0.0%
-------------- ----
TOTAL COLOMBIA 5,885,683 0.1%
-------------- ----
TOTAL PREFERRED STOCKS 163,124,747 2.4%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
* Cia Energetica de Minas Gerais Rights 11/29/17 28,279 10,028 0.0%
-------------- ----
MALAYSIA -- (0.0%)
* Sunway Bhd Warrants 10/03/24 346,323 52,355 0.0%
-------------- ----
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SOUTH KOREA -- (0.0%)
* Hyundai Construction Equipment Co., Ltd. Rights 11/14/17 1,058 $ 93,963 0.0%
-------------- -----
TAIWAN -- (0.0%)
* CTBC Financial Holding Co., Ltd. Rights 12/15/17 288,473 -- 0.0%
* Winbond Electronics Corp. Rights 12/11/17 557,408 75,776 0.0%
-------------- -----
TOTAL TAIWAN 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%
-------------- -----
At October 31, 2017, The Emerging Markets Series had entered into the following
outstanding futures contracts:
NUMBER UNREALIZED
OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
Mini MSCI Emerging Markets Index(R) 650 12/15/17 $35,955,789 $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
=========== =========== ========
THE EMERGING MARKETS 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
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.
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2017
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (98.3%)
Consumer Discretionary -- (14.6%)
* 1-800-Flowers.com, Inc. Class A 44,330 $ 416,702 0.0%
Aaron's, Inc. 58,430 2,150,224 0.1%
# Adient P.L.C. 22,979 1,938,508 0.0%
# Adtalem Global Education, Inc. 35,557 1,313,831 0.0%
#* Ascent Capital Group, Inc. Class A 8,450 95,063 0.0%
# Autoliv, Inc. 9,404 1,174,183 0.0%
#* AV Homes, Inc. 3,852 64,136 0.0%
* Ballantyne Strong, Inc. 9,030 57,490 0.0%
#* Barnes & Noble Education, Inc. 7,710 42,020 0.0%
Barnes & Noble, Inc. 55,600 389,200 0.0%
Bassett Furniture Industries, Inc. 2,900 112,520 0.0%
# Beasley Broadcast Group, Inc. Class A 9,471 89,501 0.0%
* Beazer Homes USA, Inc. 4,326 90,759 0.0%
* Belmond, Ltd. Class A 75,198 988,854 0.0%
# Best Buy Co., Inc. 197,800 11,072,844 0.2%
# Big 5 Sporting Goods Corp. 16,901 107,321 0.0%
* Biglari Holdings, Inc. 8 2,860 0.0%
#* BJ's Restaurants, Inc. 16,658 528,059 0.0%
#* Build-A-Bear Workshop, Inc. 25,874 201,817 0.0%
Caleres, Inc. 74,697 2,041,469 0.0%
Callaway Golf Co. 38,543 556,175 0.0%
* Cambium Learning Group, Inc. 37,733 230,926 0.0%
Canterbury Park Holding Corp. 2,755 35,815 0.0%
Carnival Corp. 489,649 32,507,797 0.5%
# Carriage Services, Inc. 20,916 541,724 0.0%
* Cavco Industries, Inc. 7,600 1,192,440 0.0%
# CBS Corp. Class A 16,584 942,469 0.0%
* Century Communities, Inc. 1,809 51,647 0.0%
* Charter Communications, Inc. Class A 339,394 113,415,293 1.7%
#* Christopher & Banks Corp. 44,704 52,751 0.0%
# Churchill Downs, Inc. 7,682 1,602,081 0.0%
Citi Trends, Inc. 3,415 74,310 0.0%
# Columbia Sportswear Co. 8,634 538,589 0.0%
Comcast Corp. Class A 7,221,594 260,194,032 3.9%
#* Conn's, Inc. 25,450 782,587 0.0%
# Core-Mark Holding Co., Inc. 96,236 3,277,798 0.1%
CSS Industries, Inc. 10,465 313,741 0.0%
Culp, Inc. 10,036 318,141 0.0%
* Delta Apparel, Inc. 7,532 157,645 0.0%
#* Destination Maternity Corp. 200 464 0.0%
# Dillard's, Inc. Class A 120,300 6,111,240 0.1%
* Discovery Communications, Inc. Class B 3,762 88,971 0.0%
* Discovery Communications, Inc. Class C 3,762 67,001 0.0%
#* Dixie Group, Inc. (The) 11,800 45,430 0.0%
#* Dorman Products, Inc. 9,311 643,483 0.0%
Dover Motorsports, Inc. 1,889 3,684 0.0%
DR Horton, Inc. 208,125 9,201,206 0.2%
# Educational Development Corp. 1,679 20,988 0.0%
#* Eldorado Resorts, Inc. 18,512 475,758 0.0%
Escalade, Inc. 277 3,421 0.0%
#* EW Scripps Co. (The) Class A 81,265 1,409,135 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Consumer Discretionary -- (Continued)
# Finish Line, Inc. (The) Class A 38,600 $ 357,822 0.0%
Flanigan's Enterprises, Inc. 865 18,684 0.0%
Flexsteel Industries, Inc. 2,068 103,958 0.0%
Ford Motor Co. 2,865,869 35,164,213 0.5%
# Fred's, Inc. Class A 47,275 208,483 0.0%
* FTD Cos., Inc. 17,602 190,102 0.0%
#* G-III Apparel Group, Ltd. 22,788 577,448 0.0%
# GameStop Corp. Class A 104,752 1,957,815 0.0%
Gaming Partners International Corp. 500 5,440 0.0%
# Gannett Co., Inc. 59,819 520,425 0.0%
General Motors Co. 1,095,598 47,088,802 0.7%
* Genesco, Inc. 11,856 290,472 0.0%
Graham Holdings Co. Class B 5,780 3,216,281 0.1%
* Gray Television, Inc. 46,874 729,828 0.0%
# Group 1 Automotive, Inc. 57,936 4,552,032 0.1%
# Guess?, Inc. 59,800 969,358 0.0%
#* Hamilton Beach Brands Holding Co. Class A 6,832 264,877 0.0%
# Hamilton Beach Brands Holding Co. Class B 6,832 264,877 0.0%
Haverty Furniture Cos., Inc. 33,479 798,474 0.0%
* Helen of Troy, Ltd. 61,653 5,727,564 0.1%
Hooker Furniture Corp. 14,814 702,184 0.0%
* Hyatt Hotels Corp. Class A 14,601 914,899 0.0%
#* Iconix Brand Group, Inc. 41,336 67,791 0.0%
International Speedway Corp. Class A 24,844 965,189 0.0%
* J Alexander's Holdings, Inc. 2,666 27,993 0.0%
#* JAKKS Pacific, Inc. 13,103 36,033 0.0%
#* JC Penney Co., Inc. 85,215 238,602 0.0%
Johnson Outdoors, Inc. Class A 15,588 1,172,373 0.0%
# KB Home 30,800 844,844 0.0%
Kohl's Corp. 14,353 599,381 0.0%
La-Z-Boy, Inc. 56,332 1,518,147 0.0%
* Lakeland Industries, Inc. 9,887 156,709 0.0%
#* Lands' End, Inc. 16,864 183,818 0.0%
Lennar Corp. Class A 224,100 12,475,647 0.2%
Lennar Corp. Class B 7,868 377,271 0.0%
* Liberty Broadband Corp. Class A 24,095 2,077,230 0.1%
* Liberty Broadband Corp. Class B 1,905 166,764 0.0%
#* Liberty Broadband Corp. Class C 67,601 5,900,891 0.1%
* Liberty Expedia Holdings, Inc. Class A 80,904 3,729,674 0.1%
#* Liberty Expedia Holdings, Inc. Class B 3,457 156,775 0.0%
* Liberty Interactive Corp., QVC Group Class A 815,470 18,527,478 0.3%
#* Liberty Interactive Corp., QVC Group Class B 35,706 813,204 0.0%
* Liberty Media Corp.-Liberty Braves Class A 9,638 226,300 0.0%
#* Liberty Media Corp.-Liberty Braves Class B 762 19,077 0.0%
* Liberty Media Corp.-Liberty Braves Class C 20,801 491,112 0.0%
#* Liberty Media Corp.-Liberty Formula One Class A 17,043 620,365 0.0%
* Liberty Media Corp.-Liberty Formula One Class C 44,409 1,693,759 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class A 96,383 4,020,135 0.1%
* Liberty Media Corp.-Liberty SiriusXM Class B 7,622 323,821 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class C 208,010 8,663,616 0.1%
* Liberty TripAdvisor Holdings, Inc. Class A 76,802 829,462 0.0%
* Liberty TripAdvisor Holdings, Inc. Class B 3,570 43,822 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Consumer Discretionary -- (Continued)
#* Liberty Ventures Series A 121,356 $ 6,912,438 0.1%
#* Liberty Ventures Series B 5,186 310,512 0.0%
Lifetime Brands, Inc. 16,431 306,438 0.0%
#* Lions Gate Entertainment Corp. Class A 4,691 136,133 0.0%
#* Lions Gate Entertainment Corp. Class B 1 28 0.0%
# Lithia Motors, Inc. Class A 34,933 3,953,717 0.1%
* Luby's, Inc. 20,677 49,832 0.0%
* M/I Homes, Inc. 37,930 1,266,862 0.0%
* Madison Square Garden Co. (The) Class A 9,852 2,193,942 0.1%
Marcus Corp. (The) 18,899 513,108 0.0%
* MarineMax, Inc. 29,164 540,992 0.0%
Marriott Vacations Worldwide Corp. 2,531 333,130 0.0%
# Meredith Corp. 32,676 1,731,828 0.0%
* Meritage Homes Corp. 28,156 1,371,197 0.0%
MGM Resorts International 227,871 7,143,756 0.1%
* Modine Manufacturing Co. 14,650 308,383 0.0%
* Mohawk Industries, Inc. 98,740 25,846,182 0.4%
* Monarch Casino & Resort, Inc. 1,103 49,205 0.0%
#* Motorcar Parts of America, Inc. 13,074 377,969 0.0%
Movado Group, Inc. 21,998 609,345 0.0%
#* MSG Networks, Inc. Class A 29,558 512,831 0.0%
#* Murphy USA, Inc. 30,778 2,288,652 0.1%
# Newell Brands, Inc. 209,562 8,545,938 0.1%
News Corp. Class A 402,247 5,494,694 0.1%
News Corp. Class B 99,903 1,388,652 0.0%
# Nexstar Media Group, Inc. Class A 3,146 200,715 0.0%
Office Depot, Inc. 181,609 562,988 0.0%
#* Overstock.com, Inc. 20,830 956,097 0.0%
# Penske Automotive Group, Inc. 43,845 2,044,054 0.0%
* Perry Ellis International, Inc. 15,092 351,493 0.0%
PulteGroup, Inc. 143,221 4,329,571 0.1%
PVH Corp. 31,964 4,053,355 0.1%
RCI Hospitality Holdings, Inc. 12,026 331,316 0.0%
#* Red Robin Gourmet Burgers, Inc. 31,175 2,132,370 0.1%
* Regis Corp. 44,912 670,536 0.0%
# Rent-A-Center, Inc. 58,311 579,611 0.0%
Rocky Brands, Inc. 8,729 159,741 0.0%
Royal Caribbean Cruises, Ltd. 322,500 39,915,825 0.6%
* Ruby Tuesday, Inc. 17,500 41,475 0.0%
Saga Communications, Inc. Class A 8,693 380,319 0.0%
Salem Media Group, Inc. 10,922 69,901 0.0%
Scholastic Corp. 30,900 1,141,446 0.0%
#* Sequential Brands Group, Inc. 70 182 0.0%
* Shiloh Industries, Inc. 15,461 143,478 0.0%
# Shoe Carnival, Inc. 32,650 612,841 0.0%
# Sonic Automotive, Inc. Class A 17,000 337,450 0.0%
Speedway Motorsports, Inc. 14,935 297,953 0.0%
Standard Motor Products, Inc. 37,342 1,630,725 0.0%
* Stoneridge, Inc. 19,361 440,269 0.0%
Strattec Security Corp. 5,224 241,088 0.0%
# Superior Industries International, Inc. 23,275 361,926 0.0%
Superior Uniform Group, Inc. 17,956 421,427 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
* Tandy Leather Factory, Inc. 9,974 $ 78,296 0.0%
# Target Corp. 41,911 2,474,425 0.1%
# TEGNA, Inc. 119,639 1,463,185 0.0%
Time Warner, Inc. 1,534,860 150,861,389 2.3%
Time, Inc. 191,857 2,225,541 0.1%
Toll Brothers, Inc. 179,799 8,277,946 0.1%
#* Tuesday Morning Corp. 60,500 187,550 0.0%
Twenty-First Century Fox, Inc. Class A 1,287,383 33,665,065 0.5%
Twenty-First Century Fox, Inc. Class B 550,972 14,022,237 0.2%
* Unifi, Inc. 41,401 1,575,308 0.0%
#* Universal Electronics, Inc. 3,206 192,360 0.0%
#* Vista Outdoor, Inc. 69,826 1,460,062 0.0%
* VOXX International Corp. 3,750 25,125 0.0%
Walt Disney Co. (The) 26,220 2,564,578 0.1%
# Whirlpool Corp. 30,049 4,925,933 0.1%
#* William Lyon Homes Class A 23,600 654,900 0.0%
------------ ----
Total Consumer Discretionary 988,573,240 14.8%
------------ ----
Consumer Staples -- (7.4%)
# Alico, Inc. 960 31,584 0.0%
* Alliance One International, Inc. 3,508 37,536 0.0%
Andersons, Inc. (The) 23,660 886,067 0.0%
Archer-Daniels-Midland Co. 813,476 33,246,764 0.5%
# Bob Evans Farms, Inc. 32,778 2,530,134 0.1%
Bunge, Ltd. 121,368 8,347,691 0.1%
* CCA Industries, Inc. 8,323 24,927 0.0%
#* Central Garden & Pet Co. 25,184 961,525 0.0%
* Central Garden & Pet Co. Class A 48,121 1,776,146 0.0%
Constellation Brands, Inc. Class B 12,615 2,734,301 0.1%
#* Craft Brew Alliance, Inc. 9,754 178,011 0.0%
CVS Health Corp. 1,510,745 103,531,355 1.6%
Fresh Del Monte Produce, Inc. 39,437 1,755,341 0.0%
* Hain Celestial Group, Inc. (The) 87,292 3,144,258 0.1%
Ingles Markets, Inc. Class A 11,437 266,482 0.0%
Ingredion, Inc. 62,117 7,786,366 0.1%
# JM Smucker Co. (The) 108,204 11,475,034 0.2%
# John B. Sanfilippo & Son, Inc. 10,428 613,688 0.0%
Kraft Heinz Co. (The) 180,916 13,990,234 0.2%
#* Landec Corp. 37,056 490,992 0.0%
Molson Coors Brewing Co. Class A 1,908 158,221 0.0%
Molson Coors Brewing Co. Class B 186,550 15,086,298 0.2%
Mondelez International, Inc. Class A 2,081,099 86,219,932 1.3%
Oil-Dri Corp. of America 5,047 212,024 0.0%
Omega Protein Corp. 25,852 566,159 0.0%
#* Post Holdings, Inc. 50,201 4,163,169 0.1%
# Sanderson Farms, Inc. 16,100 2,408,077 0.0%
Seaboard Corp. 1,812 7,973,017 0.1%
* Seneca Foods Corp. Class A 6,301 226,836 0.0%
* Seneca Foods Corp. Class B 300 11,355 0.0%
# Snyder's-Lance, Inc. 32,153 1,209,917 0.0%
SpartanNash Co. 34,281 841,599 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
#* TreeHouse Foods, Inc. 24,190 $ 1,605,732 0.0%
Tyson Foods, Inc. Class A 405,030 29,530,737 0.5%
# Universal Corp. 22,290 1,278,332 0.0%
Wal-Mart Stores, Inc. 1,266,497 110,577,853 1.7%
Walgreens Boots Alliance, Inc. 725,538 48,081,403 0.7%
# Weis Markets, Inc. 11,602 450,506 0.0%
------------ ---
Total Consumer Staples 504,409,603 7.6%
------------ ---
Energy -- (11.9%)
Adams Resources & Energy, Inc. 6,004 257,812 0.0%
Anadarko Petroleum Corp. 258,932 12,783,473 0.2%
Andeavor 185,538 19,711,557 0.3%
# Apache Corp. 15,708 649,840 0.0%
Archrock, Inc. 69,200 830,400 0.0%
Baker Hughes a GE Co. 4,305 135,306 0.0%
# Bristow Group, Inc. 32,315 305,054 0.0%
#* Callon Petroleum Co. 13,214 146,543 0.0%
Chevron Corp. 1,102,451 127,763,046 1.9%
#* Cloud Peak Energy, Inc. 33,115 140,739 0.0%
ConocoPhillips 1,489,306 76,178,002 1.2%
* Dawson Geophysical Co. 11 49 0.0%
Delek US Holdings, Inc. 69,131 1,800,863 0.1%
EOG Resources, Inc. 8,874 886,246 0.0%
* Era Group, Inc. 24,458 263,168 0.0%
* Exterran Corp. 34,600 1,116,542 0.0%
Exxon Mobil Corp. 2,900,873 241,787,765 3.6%
Green Plains, Inc. 26,534 488,226 0.0%
Gulf Island Fabrication, Inc. 15,018 197,487 0.0%
* Helix Energy Solutions Group, Inc. 103,010 702,528 0.0%
# Helmerich & Payne, Inc. 95,808 5,203,332 0.1%
# Hess Corp. 165,152 7,293,112 0.1%
HollyFrontier Corp. 32,210 1,190,160 0.0%
#* Hornbeck Offshore Services, Inc. 6,900 25,737 0.0%
* International Seaways, Inc. 12 242 0.0%
Kinder Morgan, Inc. 1,059,790 19,192,797 0.3%
Marathon Oil Corp. 467,019 6,641,010 0.1%
Marathon Petroleum Corp. 903,936 54,001,137 0.8%
* Matrix Service Co. 15,423 217,464 0.0%
# Murphy Oil Corp. 108,993 2,915,563 0.1%
# Nabors Industries, Ltd. 181,974 1,024,514 0.0%
NACCO Industries, Inc. Class A 6,832 284,211 0.0%
# National Oilwell Varco, Inc. 213,118 7,286,504 0.1%
* Natural Gas Services Group, Inc. 15,026 417,723 0.0%
* Newpark Resources, Inc. 85,815 750,881 0.0%
Noble Energy, Inc. 133,794 3,728,839 0.1%
Occidental Petroleum Corp. 327,755 21,163,140 0.3%
* Parker Drilling Co. 103,773 108,962 0.0%
# Patterson-UTI Energy, Inc. 152,325 3,012,988 0.1%
* PDC Energy, Inc. 24,103 1,227,566 0.0%
* PHI, Inc. Non-Voting 13,870 162,140 0.0%
* PHI, Inc. Voting 577 6,589 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
Phillips 66 775,455 $ 70,628,441 1.1%
* Pioneer Energy Services Corp. 74,262 141,098 0.0%
# Pioneer Natural Resources Co. 88,400 13,230,828 0.2%
#* Renewable Energy Group, Inc. 2,882 34,872 0.0%
#* REX American Resources Corp. 4,050 357,129 0.0%
#* Rowan Cos. P.L.C. Class A 118,378 1,696,357 0.0%
Schlumberger, Ltd. 603,242 38,607,488 0.6%
* SEACOR Holdings, Inc. 16,104 760,109 0.0%
#* SEACOR Marine Holdings, Inc. 14,842 210,014 0.0%
# SemGroup Corp. Class A 4,727 123,138 0.0%
Ship Finance International, Ltd. 12,481 185,967 0.0%
#* Superior Energy Services, Inc. 75,686 667,551 0.0%
#* Tesco Corp. 3,745 14,418 0.0%
#* Unit Corp. 52,140 976,061 0.0%
Valero Energy Corp. 605,899 47,799,372 0.7%
#* Whiting Petroleum Corp. 16,007 96,202 0.0%
Williams Cos., Inc. (The) 216,857 6,180,424 0.1%
------------ ----
Total Energy 803,708,726 12.1%
------------ ----
Financials -- (23.4%)
# 1st Source Corp. 45,305 2,324,600 0.0%
Aflac, Inc. 170,305 14,286,886 0.2%
* Alleghany Corp. 3,115 1,763,775 0.0%
Allstate Corp. (The) 211,174 19,820,792 0.3%
American Equity Investment Life Holding Co. 88,700 2,617,537 0.0%
American Financial Group, Inc. 173,596 18,312,642 0.3%
American International Group, Inc. 665,461 42,995,435 0.7%
American National Insurance Co. 23,302 2,836,552 0.1%
AmeriServ Financial, Inc. 33,075 135,607 0.0%
#* Arch Capital Group, Ltd. 3,094 308,286 0.0%
Argo Group International Holdings, Ltd. 51,636 3,250,486 0.1%
Aspen Insurance Holdings, Ltd. 102,623 4,402,527 0.1%
Associated Banc-Corp 31,434 795,280 0.0%
Assurant, Inc. 65,820 6,624,783 0.1%
Assured Guaranty, Ltd. 122,989 4,562,892 0.1%
* Asta Funding, Inc. 885 6,328 0.0%
* Atlanticus Holdings Corp. 12,867 29,208 0.0%
Axis Capital Holdings, Ltd. 8,510 462,859 0.0%
# Baldwin & Lyons, Inc. Class A 300 6,750 0.0%
Baldwin & Lyons, Inc. Class B 6,556 150,460 0.0%
* Bancorp, Inc. (The) 459 3,860 0.0%
Bank Mutual Corp. 14,475 153,073 0.0%
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%
BankFinancial Corp. 19,548 309,640 0.0%
Bar Harbor Bankshares 2,733 82,619 0.0%
# BB&T Corp. 249,646 12,292,569 0.2%
BCB Bancorp, Inc. 1,059 14,879 0.0%
Berkshire Hills Bancorp, Inc. 30,747 1,177,610 0.0%
* Brighthouse Financial, Inc. 86,355 5,369,554 0.1%
Capital City Bank Group, Inc. 14,283 352,219 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Capital One Financial Corp. 372,872 $ 34,371,341 0.5%
Cathay General Bancorp 17,730 741,114 0.0%
Century Bancorp, Inc. Class A 495 42,050 0.0%
Chubb, Ltd. 159,255 24,018,839 0.4%
Cincinnati Financial Corp. 12,284 861,968 0.0%
# CIT Group, Inc. 45,907 2,140,184 0.0%
Citigroup, Inc. 1,870,326 137,468,961 2.1%
Citizens Community Bancorp, Inc. 10,355 140,932 0.0%
CME Group, Inc. 214,109 29,369,332 0.5%
# CNA Financial Corp. 200,051 10,828,761 0.2%
CNO Financial Group, Inc. 301,264 7,221,298 0.1%
Codorus Valley Bancorp, Inc. 151 4,784 0.0%
Comerica, Inc. 16,431 1,290,984 0.0%
Community West Bancshares 400 4,180 0.0%
#* Consumer Portfolio Services, Inc. 26,500 115,275 0.0%
#* Cowen, Inc. 3,989 59,835 0.0%
Donegal Group, Inc. Class A 12,386 212,296 0.0%
* E*TRADE Financial Corp. 89,699 3,909,979 0.1%
EMC Insurance Group, Inc. 23,450 690,837 0.0%
Enterprise Financial Services Corp. 436 19,010 0.0%
ESSA Bancorp, Inc. 8,217 132,869 0.0%
# Evans Bancorp, Inc. 1,681 73,208 0.0%
Everest Re Group, Ltd. 34,913 8,290,092 0.1%
Farmers Capital Bank Corp. 302 12,563 0.0%
FBL Financial Group, Inc. Class A 24,660 1,907,451 0.0%
Federal Agricultural Mortgage Corp. Class A 177 12,965 0.0%
Federal Agricultural Mortgage Corp. Class C 9,200 683,008 0.0%
Federated National Holding Co. 13,665 209,621 0.0%
# Fidelity Southern Corp. 7,213 158,181 0.0%
Fifth Third Bancorp 127,045 3,671,600 0.1%
* First Acceptance Corp. 27,347 27,484 0.0%
# First American Financial Corp. 61,982 3,373,060 0.1%
First Bancorp 16,138 592,265 0.0%
First Business Financial Services, Inc. 964 21,430 0.0%
First Citizens BancShares, Inc. Class A 8,627 3,493,935 0.1%
First Commonwealth Financial Corp. 30,547 444,764 0.0%
First Community Bancshares, Inc. 183 5,466 0.0%
First Defiance Financial Corp. 10,880 589,696 0.0%
First Financial Northwest, Inc. 25,371 421,920 0.0%
First Interstate Bancsystem, Inc. Class A 2,348 92,276 0.0%
First Merchants Corp. 36,312 1,561,416 0.0%
First Midwest Bancorp, Inc. 7,168 165,509 0.0%
# First South Bancorp, Inc. 2,278 42,485 0.0%
FNB Corp. 63,117 851,448 0.0%
* FNFV Group 15,438 266,305 0.0%
* Genworth Financial, Inc. Class A 34,964 115,731 0.0%
* Global Indemnity, Ltd. 8,282 347,596 0.0%
Goldman Sachs Group, Inc. (The) 209,155 50,715,904 0.8%
Great Southern Bancorp, Inc. 1,616 86,860 0.0%
Great Western Bancorp, Inc. 260 10,553 0.0%
Guaranty Federal Bancshares, Inc. 1,684 35,600 0.0%
* Hallmark Financial Services, Inc. 20,834 241,466 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Hanover Insurance Group, Inc. (The) 88,829 $ 8,738,997 0.1%
Hartford Financial Services Group, Inc. (The) 289,028 15,910,991 0.2%
Heartland Financial USA, Inc. 465 22,901 0.0%
Hilltop Holdings, Inc. 26,171 616,589 0.0%
* HMN Financial, Inc. 3,456 63,418 0.0%
Home Bancorp, Inc. 719 30,802 0.0%
HopFed Bancorp, Inc. 6,781 97,714 0.0%
Horace Mann Educators Corp. 58,206 2,549,423 0.0%
Huntington Bancshares, Inc. 70,847 977,689 0.0%
Iberiabank Corp. 697 51,404 0.0%
Infinity Property & Casualty Corp. 15,800 1,490,730 0.0%
International Bancshares Corp. 800 32,480 0.0%
Investment Technology Group, Inc. 23,677 555,699 0.0%
Investors Title Co. 1,069 202,789 0.0%
Janus Henderson Group P.L.C. 11,721 407,305 0.0%
JPMorgan Chase & Co. 2,748,095 276,485,838 4.2%
# Kemper Corp. 39,635 2,540,603 0.0%
Kentucky First Federal Bancorp 2,400 23,040 0.0%
KeyCorp 526,210 9,603,332 0.2%
Lakeland Bancorp, Inc. 8,740 179,607 0.0%
Landmark Bancorp, Inc. 2,277 69,107 0.0%
Legg Mason, Inc. 43,400 1,657,012 0.0%
Lincoln National Corp. 134,595 10,199,609 0.2%
Loews Corp. 243,798 12,070,439 0.2%
M&T Bank Corp. 4,241 707,272 0.0%
Macatawa Bank Corp. 291 2,922 0.0%
Mackinac Financial Corp. 6,893 106,842 0.0%
# Maiden Holdings, Ltd. 5,792 47,784 0.0%
MainSource Financial Group, Inc. 45,000 1,696,050 0.0%
* Markel Corp. 101 109,514 0.0%
Marlin Business Services Corp. 14,241 311,878 0.0%
MB Financial, Inc. 19,678 904,007 0.0%
#* MBIA, Inc. 82,267 596,436 0.0%
MBT Financial Corp. 9,396 99,128 0.0%
Mercantile Bank Corp. 4,422 159,634 0.0%
MetLife, Inc. 949,912 50,896,285 0.8%
MidWestOne Financial Group, Inc. 346 12,183 0.0%
Morgan Stanley 1,102,617 55,130,850 0.8%
MutualFirst Financial, Inc. 2,300 89,010 0.0%
# National Western Life Group, Inc. Class A 900 321,822 0.0%
Navigators Group, Inc. (The) 7,370 427,460 0.0%
# New York Community Bancorp, Inc. 52,185 655,444 0.0%
NewStar Financial, Inc. 41,166 505,518 0.0%
Northrim BanCorp, Inc. 5,734 186,355 0.0%
OFG Bancorp 30,191 268,700 0.0%
Old Republic International Corp. 172,923 3,508,608 0.1%
Oppenheimer Holdings, Inc. Class A 3,097 67,360 0.0%
PacWest Bancorp 1,076 51,992 0.0%
Park Sterling Corp. 992 12,469 0.0%
# People's United Financial, Inc. 69,156 1,290,451 0.0%
Peoples Bancorp of North Carolina, Inc. 250 8,523 0.0%
Peoples Bancorp, Inc. 15,923 527,370 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
* PHH Corp. 51,783 $ 684,053 0.0%
# Piper Jaffray Cos. 312 22,807 0.0%
PNC Financial Services Group, Inc. (The) 217,040 29,688,902 0.5%
Popular, Inc. 56,536 2,073,740 0.0%
Premier Financial Bancorp, Inc. 4,877 100,954 0.0%
Principal Financial Group, Inc. 218,754 14,404,951 0.2%
Provident Financial Holdings, Inc. 544 10,516 0.0%
Provident Financial Services, Inc. 21,059 572,805 0.0%
Prudential Financial, Inc. 497,625 54,967,657 0.8%
Radian Group, Inc. 161,945 3,394,367 0.1%
Regions Financial Corp. 1,302,555 20,163,551 0.3%
Reinsurance Group of America, Inc. 153,566 22,939,689 0.4%
RenaissanceRe Holdings, Ltd. 12,667 1,752,606 0.0%
Renasant Corp. 42,102 1,743,023 0.0%
Riverview Bancorp, Inc. 1,682 14,936 0.0%
Safety Insurance Group, Inc. 26,197 2,153,393 0.0%
Sandy Spring Bancorp, Inc. 9,125 368,741 0.0%
#* Select Bancorp, Inc. 600 7,002 0.0%
# Selective Insurance Group, Inc. 45,200 2,693,920 0.1%
SI Financial Group, Inc. 5,661 84,915 0.0%
Simmons First National Corp. Class A 6,625 382,260 0.0%
Southern National Bancorp of Virginia, Inc. 193 3,152 0.0%
State Auto Financial Corp. 15,100 387,164 0.0%
State Street Corp. 4,112 378,304 0.0%
Sterling Bancorp 87,478 2,191,324 0.0%
Stewart Information Services Corp. 12,271 465,562 0.0%
SunTrust Banks, Inc. 255,532 15,385,582 0.2%
Synchrony Financial 544,549 17,763,188 0.3%
Synovus Financial Corp. 22,796 1,067,993 0.0%
Timberland Bancorp, Inc. 2,500 75,775 0.0%
Tiptree, Inc. 37,071 246,522 0.0%
Torchmark Corp. 7,000 588,910 0.0%
Travelers Cos., Inc. (The) 160,554 21,265,377 0.3%
Trico Bancshares 854 35,373 0.0%
Trustmark Corp. 4,194 138,150 0.0%
Umpqua Holdings Corp. 34,932 714,709 0.0%
#* Unico American Corp. 1,900 18,668 0.0%
# Union Bankshares Corp. 37,042 1,278,319 0.0%
United Bankshares, Inc. 12,121 435,750 0.0%
United Financial Bancorp, Inc. 9,193 168,324 0.0%
United Fire Group, Inc. 24,429 1,125,933 0.0%
United Security Bancshares 440 4,136 0.0%
# Unity Bancorp, Inc. 3,999 78,980 0.0%
Univest Corp. of Pennsylvania 156 4,571 0.0%
Unum Group 517,445 26,927,838 0.4%
Validus Holdings, Ltd. 8,958 466,533 0.0%
Valley National Bancorp 768 8,832 0.0%
Voya Financial, Inc. 14,373 577,220 0.0%
Washington Federal, Inc. 97,887 3,406,468 0.1%
Waterstone Financial, Inc. 1,426 27,379 0.0%
Wells Fargo & Co. 3,062,801 171,945,648 2.6%
WesBanco, Inc. 31,678 1,279,791 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- -------------- ---------------
Financials -- (Continued)
Western New England Bancorp, Inc. 11,698 $ 123,414 0.0%
Wintrust Financial Corp. 24,224 1,969,169 0.0%
# WR Berkley Corp. 5,305 363,817 0.0%
# XL Group, Ltd. 240,766 9,743,800 0.2%
# Zions Bancorporation 53,325 2,477,479 0.0%
-------------- ----
Total Financials 1,582,367,621 23.7%
-------------- ----
Health Care -- (12.0%)
Abbott Laboratories 915,297 49,636,556 0.8%
Aceto Corp. 31,686 319,078 0.0%
* Addus HomeCare Corp. 2,044 73,584 0.0%
Aetna, Inc. 558,462 94,955,294 1.4%
Allergan P.L.C. 131,701 23,341,368 0.4%
Analogic Corp. 2,988 239,936 0.0%
* AngioDynamics, Inc. 14,354 243,587 0.0%
* Anika Therapeutics, Inc. 14,671 801,477 0.0%
Anthem, Inc. 504,640 105,575,734 1.6%
* Aptevo Therapeutics, Inc. 4,339 12,388 0.0%
Baxter International, Inc. 27,380 1,765,189 0.0%
* Centene Corp. 20,136 1,886,139 0.0%
Cigna Corp. 136,754 26,970,624 0.4%
# CONMED Corp. 43,239 2,257,941 0.0%
Cooper Cos., Inc. (The) 13,956 3,353,069 0.1%
* Cross Country Healthcare, Inc. 7,595 103,672 0.0%
* CryoLife, Inc. 17,502 340,414 0.0%
#* Cumberland Pharmaceuticals, Inc. 23,319 172,794 0.0%
* Cutera, Inc. 1,289 50,658 0.0%
Danaher Corp. 405,225 37,390,111 0.6%
Digirad Corp. 26,711 53,422 0.0%
#* Emergent BioSolutions, Inc. 8,678 355,711 0.0%
#* Envision Healthcare Corp. 30,743 1,309,652 0.0%
* Enzo Biochem, Inc. 41,397 407,760 0.0%
* Exactech, Inc. 3,390 141,871 0.0%
* Express Scripts Holding Co. 493,239 30,230,618 0.5%
Humana, Inc. 236,814 60,470,455 0.9%
* Impax Laboratories, Inc. 4,700 85,305 0.0%
* Integer Holdings Corp. 41,672 2,025,259 0.0%
# Invacare Corp. 7,330 113,615 0.0%
Kewaunee Scientific Corp. 1,631 46,483 0.0%
Kindred Healthcare, Inc. 22,803 137,958 0.0%
* Laboratory Corp. of America Holdings 7,577 1,164,661 0.0%
* LHC Group, Inc. 1,418 94,737 0.0%
* LifePoint Health, Inc. 82,208 3,958,315 0.1%
* Magellan Health, Inc. 17,899 1,526,785 0.0%
McKesson Corp. 14,709 2,028,077 0.0%
Medtronic P.L.C. 814,175 65,557,371 1.0%
* Merit Medical Systems, Inc. 13,395 509,680 0.0%
#* Micron Solutions, Inc. 1,200 4,344 0.0%
#* Molina Healthcare, Inc. 24,941 1,691,748 0.0%
* Mylan NV 28,680 1,024,163 0.0%
National HealthCare Corp. 6,484 414,976 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Health Care -- (Continued)
* Natus Medical, Inc. 15,698 $ 665,595 0.0%
* Nuvectra Corp. 13,890 194,599 0.0%
* Omnicell, Inc. 35,405 1,763,169 0.0%
PerkinElmer, Inc. 76,500 5,532,480 0.1%
Pfizer, Inc. 4,178,729 146,506,239 2.2%
* PharMerica Corp. 33,305 975,836 0.0%
#* Prestige Brands Holdings, Inc. 111,489 5,228,834 0.1%
Quest Diagnostics, Inc. 10,366 972,123 0.0%
* RTI Surgical, Inc. 73,086 328,887 0.0%
* Select Medical Holdings Corp. 42,204 808,207 0.0%
* Surmodics, Inc. 5,593 166,392 0.0%
Teleflex, Inc. 37,223 8,821,107 0.1%
Thermo Fisher Scientific, Inc. 499,520 96,821,962 1.5%
#* Tivity Health, Inc. 11,581 535,621 0.0%
* Triple-S Management Corp. Class B 20,684 496,623 0.0%
UnitedHealth Group, Inc. 89,716 18,860,097 0.3%
* WellCare Health Plans, Inc. 18,375 3,633,472 0.1%
Zimmer Biomet Holdings, Inc. 3,522 428,346 0.0%
------------ ----
Total Health Care 815,582,168 12.2%
------------ ----
Industrials -- (11.6%)
AAR Corp. 32,906 1,279,714 0.0%
# ABM Industries, Inc. 64,500 2,707,065 0.1%
Acme United Corp. 1,030 23,175 0.0%
Actuant Corp. Class A 4,057 103,454 0.0%
* AECOM 55,835 1,957,575 0.1%
* Aegion Corp. 42,549 990,966 0.0%
#* Aerovironment, Inc. 35,065 1,793,925 0.0%
AGCO Corp. 58,973 4,043,779 0.1%
* Air Transport Services Group, Inc. 6,308 152,654 0.0%
Alamo Group, Inc. 22,751 2,400,230 0.1%
Alaska Air Group, Inc. 105,252 6,949,790 0.1%
# Albany International Corp. Class A 20,551 1,240,253 0.0%
AMERCO 29,431 11,555,788 0.2%
* Ameresco, Inc. Class A 981 7,554 0.0%
# American Railcar Industries, Inc. 20,003 796,119 0.0%
# Apogee Enterprises, Inc. 36,374 1,736,131 0.0%
ArcBest Corp. 12,135 395,601 0.0%
Arconic, Inc. 331,751 8,333,585 0.1%
# Argan, Inc. 21 1,444 0.0%
Astec Industries, Inc. 22,925 1,190,954 0.0%
#* Atlas Air Worldwide Holdings, Inc. 31,815 1,951,850 0.0%
Barnes Group, Inc. 36,400 2,369,276 0.1%
Brady Corp. Class A 38,500 1,464,925 0.0%
Briggs & Stratton Corp. 41,033 1,034,032 0.0%
* CAI International, Inc. 17,082 632,376 0.0%
* Casella Waste Systems, Inc. Class A 5,201 96,010 0.0%
Caterpillar, Inc. 107,902 14,653,092 0.2%
* CBIZ, Inc. 38,149 646,626 0.0%
CECO Environmental Corp. 3,773 33,089 0.0%
# Celadon Group, Inc. 24,642 181,119 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Chicago Rivet & Machine Co. 700 $ 21,217 0.0%
CIRCOR International, Inc. 10,019 440,335 0.0%
Columbus McKinnon Corp. 17,542 693,962 0.0%
Comfort Systems USA, Inc. 44,560 1,974,008 0.1%
# CompX International, Inc. 500 7,425 0.0%
* Covenant Transportation Group, Inc. Class A 7,080 210,276 0.0%
CRA International, Inc. 7,613 321,725 0.0%
CSX Corp. 1,242,950 62,681,968 1.0%
Cummins, Inc. 900 159,192 0.0%
Curtiss-Wright Corp. 46,353 5,481,242 0.1%
Delta Air Lines, Inc. 433,135 21,669,744 0.3%
DMC Global, Inc. 1,436 31,233 0.0%
Douglas Dynamics, Inc. 30,234 1,268,316 0.0%
* Ducommun, Inc. 12,645 416,906 0.0%
Eastern Co. (The) 10,193 294,578 0.0%
Eaton Corp. P.L.C. 265,270 21,226,905 0.3%
EMCOR Group, Inc. 50,540 4,068,975 0.1%
Encore Wire Corp. 19,966 901,465 0.0%
EnerSys 43,239 2,999,489 0.1%
* Engility Holdings, Inc. 7,988 268,956 0.0%
Ennis, Inc. 30,835 621,325 0.0%
# ESCO Technologies, Inc. 17,601 1,019,978 0.0%
Espey Manufacturing & Electronics Corp. 1,671 37,999 0.0%
Essendant, Inc. 24,021 232,523 0.0%
* Esterline Technologies Corp. 44,968 4,265,215 0.1%
Federal Signal Corp. 71,923 1,535,556 0.0%
FedEx Corp. 142,324 32,138,182 0.5%
Fortune Brands Home & Security, Inc. 123,726 8,173,340 0.1%
* Franklin Covey Co. 3,046 59,092 0.0%
FreightCar America, Inc. 9,404 176,043 0.0%
* FTI Consulting, Inc. 36,136 1,544,814 0.0%
# GATX Corp. 65,445 3,888,087 0.1%
* Gencor Industries, Inc. 13,149 237,997 0.0%
General Electric Co. 2,120,584 42,750,973 0.7%
* Genesee & Wyoming, Inc. Class A 1,200 86,136 0.0%
* Gibraltar Industries, Inc. 24,203 804,750 0.0%
Gorman-Rupp Co. (The) 22,882 731,766 0.0%
* GP Strategies Corp. 18,583 539,836 0.0%
# Granite Construction, Inc. 27,179 1,731,031 0.0%
* Great Lakes Dredge & Dock Corp. 69,820 356,082 0.0%
# Greenbrier Cos., Inc. (The) 22,451 1,171,942 0.0%
# Griffon Corp. 67,323 1,518,134 0.0%
#* Hawaiian Holdings, Inc. 9,193 307,966 0.0%
Heidrick & Struggles International, Inc. 18,234 453,115 0.0%
* Herc Holdings, Inc. 5,193 251,653 0.0%
* Hertz Global Holdings, Inc. 55,682 1,384,811 0.0%
Hurco Cos., Inc. 7,910 353,972 0.0%
#* Huron Consulting Group, Inc. 4,001 146,437 0.0%
Hyster-Yale Materials Handling, Inc. 12,246 961,189 0.0%
* ICF International, Inc. 31,660 1,700,142 0.0%
Ingersoll-Rand P.L.C. 213,109 18,881,457 0.3%
* InnerWorkings, Inc. 96,587 1,050,867 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
Insteel Industries, Inc. 17,578 $ 449,118 0.0%
* JetBlue Airways Corp. 324,893 6,221,701 0.1%
Johnson Controls International P.L.C. 151,178 6,257,257 0.1%
Kadant, Inc. 5,786 657,290 0.0%
KAR Auction Services, Inc. 18,100 856,673 0.0%
# KBR, Inc. 3,600 70,668 0.0%
* Key Technology, Inc. 3,199 53,807 0.0%
Kimball International, Inc. Class B 30,344 581,694 0.0%
Korn/Ferry International 33,148 1,386,581 0.0%
* Kratos Defense & Security Solutions, Inc. 2,711 32,640 0.0%
L3 Technologies, Inc. 100,470 18,805,975 0.3%
* Lawson Products, Inc. 8,847 222,502 0.0%
LB Foster Co. Class A 6,682 166,382 0.0%
LSI Industries, Inc. 27,715 192,619 0.0%
* Lydall, Inc. 14,605 844,169 0.0%
ManpowerGroup, Inc. 22,886 2,821,386 0.1%
Marten Transport, Ltd. 79,636 1,564,847 0.0%
Matson, Inc. 62,316 1,696,865 0.0%
Matthews International Corp. Class A 12,387 778,523 0.0%
Maxar Technologies, Ltd. 6,881 435,567 0.0%
McGrath RentCorp 17,552 784,574 0.0%
#* Mercury Systems, Inc. 2,055 103,716 0.0%
Miller Industries, Inc. 20,099 567,797 0.0%
# Mobile Mini, Inc. 54,461 1,802,659 0.0%
* Moog, Inc. Class A 35,339 3,101,351 0.1%
Mueller Industries, Inc. 30,912 1,074,192 0.0%
Multi-Color Corp. 308 25,472 0.0%
* MYR Group, Inc. 19,582 624,470 0.0%
# National Presto Industries, Inc. 571 66,750 0.0%
* Navigant Consulting, Inc. 12,297 212,861 0.0%
* NL Industries, Inc. 38,770 504,010 0.0%
NN, Inc. 18,396 543,602 0.0%
Norfolk Southern Corp. 545,229 71,653,995 1.1%
#* Northwest Pipe Co. 6,690 122,026 0.0%
#* NOW, Inc. 62,737 785,467 0.0%
* On Assignment, Inc. 53,951 3,302,880 0.1%
Orbital ATK, Inc. 56,610 7,525,167 0.1%
Oshkosh Corp. 14,466 1,324,507 0.0%
Owens Corning 149,300 12,345,617 0.2%
PACCAR, Inc. 12,743 914,055 0.0%
* PAM Transportation Services, Inc. 6,449 188,762 0.0%
Pentair P.L.C. 117,934 8,309,630 0.1%
* Perma-Pipe International Holdings, Inc. 8,900 74,315 0.0%
Powell Industries, Inc. 7,529 218,190 0.0%
Quad/Graphics, Inc. 1,591 36,259 0.0%
Quanex Building Products Corp. 21,431 470,410 0.0%
* Quanta Services, Inc. 168,307 6,350,223 0.1%
Raytheon Co. 44,355 7,992,771 0.1%
* RCM Technologies, Inc. 15,745 93,210 0.0%
Regal Beloit Corp. 16,070 1,304,080 0.0%
Republic Services, Inc. 429,755 27,964,158 0.4%
Resources Connection, Inc. 25,955 408,791 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Industrials -- (Continued)
* Roadrunner Transportation Systems, Inc. 879 $ 7,735 0.0%
* RPX Corp. 33,100 430,962 0.0%
* Rush Enterprises, Inc. Class A 32,603 1,655,580 0.0%
* Rush Enterprises, Inc. Class B 18,522 881,462 0.0%
Ryder System, Inc. 89,844 7,284,552 0.1%
* Saia, Inc. 8,925 578,340 0.0%
* SIFCO Industries, Inc. 6,623 48,348 0.0%
SkyWest, Inc. 38,506 1,813,633 0.0%
Southwest Airlines Co. 645,761 34,780,687 0.5%
Spartan Motors, Inc. 16,820 271,643 0.0%
* Sparton Corp. 8,563 199,432 0.0%
* SPX FLOW, Inc. 12,803 527,868 0.0%
Standex International Corp. 22,341 2,313,411 0.1%
Stanley Black & Decker, Inc. 143,289 23,148,338 0.4%
Steelcase, Inc. Class A 55,469 807,074 0.0%
#* Team, Inc. 6,674 82,090 0.0%
Terex Corp. 27,578 1,299,200 0.0%
Tetra Tech, Inc. 45,222 2,227,183 0.1%
Textron, Inc. 1,844 97,253 0.0%
* Titan Machinery, Inc. 2,883 42,928 0.0%
Trinity Industries, Inc. 183,814 5,977,631 0.1%
Triton International, Ltd. 24,053 959,715 0.0%
# Triumph Group, Inc. 57,100 1,772,955 0.0%
#* Tutor Perini Corp. 33,844 954,401 0.0%
* Twin Disc, Inc. 900 19,215 0.0%
* Ultralife Corp. 3,309 24,818 0.0%
UniFirst Corp. 18,705 2,946,037 0.1%
Union Pacific Corp. 888,128 102,836,341 1.6%
* United Continental Holdings, Inc. 114,796 6,713,270 0.1%
United Technologies Corp. 357,152 42,772,524 0.7%
Universal Forest Products, Inc. 31,800 3,590,220 0.1%
* USA Truck, Inc. 7,482 105,496 0.0%
* Vectrus, Inc. 4,069 124,145 0.0%
* Veritiv Corp. 9,437 303,400 0.0%
Viad Corp. 23,193 1,346,354 0.0%
* Virco Manufacturing Corp. 12,601 71,196 0.0%
VSE Corp. 610 29,951 0.0%
Watts Water Technologies, Inc. Class A 1,534 103,392 0.0%
Werner Enterprises, Inc. 34,105 1,215,843 0.0%
* Wesco Aircraft Holdings, Inc. 6,228 56,363 0.0%
* WESCO International, Inc. 11,687 738,034 0.0%
* Willis Lease Finance Corp. 6,713 168,429 0.0%
#* XPO Logistics, Inc. 12,216 847,180 0.0%
------------ ----
Total Industrials 782,039,338 11.7%
------------ ----
Information Technology -- (12.0%)
Activision Blizzard, Inc. 982,162 64,321,789 1.0%
* Actua Corp. 1,184 18,293 0.0%
* Acxiom Corp. 7,769 195,468 0.0%
* Agilysys, Inc. 14,791 181,486 0.0%
* Alpha & Omega Semiconductor, Ltd. 20,661 380,782 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
Analog Devices, Inc. 22,632 $ 2,066,302 0.1%
* ARRIS International P.L.C. 70,523 2,009,906 0.0%
* Arrow Electronics, Inc. 175,521 14,671,800 0.2%
AstroNova, Inc. 6,285 78,248 0.0%
Avnet, Inc. 139,400 5,548,120 0.1%
AVX Corp. 72,760 1,370,798 0.0%
* Aware, Inc. 14,326 66,616 0.0%
* Axcelis Technologies, Inc. 175 5,758 0.0%
* AXT, Inc. 16,521 153,645 0.0%
Bel Fuse, Inc. Class A 3,574 100,840 0.0%
Bel Fuse, Inc. Class B 11,381 368,175 0.0%
* Benchmark Electronics, Inc. 62,063 1,920,850 0.0%
Black Box Corp. 18,611 57,694 0.0%
* Blackhawk Network Holdings, Inc. 25,926 880,188 0.0%
* Blucora, Inc. 57,127 1,239,656 0.0%
Brocade Communications Systems, Inc. 461,513 5,376,626 0.1%
Brooks Automation, Inc. 50,847 1,748,628 0.0%
* BSQUARE Corp. 4,065 21,748 0.0%
* CACI International, Inc. Class A 24,830 3,569,313 0.1%
* Calix, Inc. 16,027 88,149 0.0%
#* Cars.com, Inc. 39,879 949,918 0.0%
Cisco Systems, Inc. 4,715,767 161,043,443 2.4%
Cohu, Inc. 28,915 746,007 0.0%
#* CommerceHub, Inc. Series A 5,992 133,801 0.0%
* CommerceHub, Inc. Series C 14,580 310,991 0.0%
Comtech Telecommunications Corp. 15,569 334,889 0.0%
Concurrent Computer Corp. 11,740 72,084 0.0%
* Conduent, Inc. 177,926 2,754,295 0.1%
Convergys Corp. 197,364 5,078,176 0.1%
* CoreLogic, Inc. 96,545 4,527,961 0.1%
Corning, Inc. 785,955 24,608,251 0.4%
* Cray, Inc. 12,866 265,683 0.0%
CSP, Inc. 2,414 26,820 0.0%
CTS Corp. 66,936 1,820,659 0.0%
#* CyberOptics Corp. 3,281 47,246 0.0%
# Cypress Semiconductor Corp. 52,022 825,069 0.0%
* Dell Technologies, Inc. Class V 38,133 3,156,268 0.1%
* Digi International, Inc. 25,438 264,555 0.0%
* Diodes, Inc. 4,709 161,707 0.0%
* DSP Group, Inc. 46,713 625,954 0.0%
DXC Technology Co. 228,936 20,952,223 0.3%
* EchoStar Corp. Class A 23,551 1,317,678 0.0%
* Edgewater Technology, Inc. 9,510 61,910 0.0%
* Electro Scientific Industries, Inc. 6,085 108,861 0.0%
#* Electronics for Imaging, Inc. 58,110 1,793,275 0.0%
* Emcore Corp. 744 6,138 0.0%
Entegris, Inc. 300 9,825 0.0%
* ePlus, Inc. 17,490 1,672,044 0.0%
#* Fabrinet 4,055 150,765 0.0%
Fidelity National Information Services, Inc. 161,799 15,008,475 0.2%
#* Finisar Corp. 61,526 1,448,322 0.0%
* First Solar, Inc. 28,266 1,549,542 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
* FormFactor, Inc. 46,295 $ 842,569 0.0%
* Frequency Electronics, Inc. 7,690 71,517 0.0%
#* GSI Technology, Inc. 3,363 23,272 0.0%
#* Harmonic, Inc. 22,962 84,959 0.0%
Hewlett Packard Enterprise Co. 894,616 12,453,055 0.2%
* IAC/InterActiveCorp 125,298 16,169,707 0.3%
* ID Systems, Inc. 1,496 11,145 0.0%
#* Inseego Corp. 2,423 3,635 0.0%
* Insight Enterprises, Inc. 42,100 1,896,605 0.0%
Intel Corp. 4,978,195 226,458,091 3.4%
* IntriCon Corp. 2,835 31,894 0.0%
* Itron, Inc. 31,001 2,422,728 0.1%
* IXYS Corp. 3,055 75,459 0.0%
Juniper Networks, Inc. 212,100 5,266,443 0.1%
* Key Tronic Corp. 17,623 132,701 0.0%
* Kimball Electronics, Inc. 23,443 515,746 0.0%
* Kulicke & Soffa Industries, Inc. 71,688 1,623,733 0.0%
* KVH Industries, Inc. 19,858 229,360 0.0%
# Lam Research Corp. 11,111 2,317,421 0.1%
* Lattice Semiconductor Corp. 108,469 634,544 0.0%
* Limelight Networks, Inc. 10,944 54,173 0.0%
ManTech International Corp. Class A 2,048 95,048 0.0%
Marvell Technology Group, Ltd. 166,418 3,073,740 0.1%
#* Maxwell Technologies, Inc. 2,521 12,151 0.0%
Methode Electronics, Inc. 79,272 3,717,857 0.1%
* Micro Focus International P.L.C. Sponsored ADR 23,383 816,768 0.0%
#* Micron Technology, Inc. 789,853 34,998,386 0.5%
* Microsemi Corp. 7,940 423,758 0.0%
MKS Instruments, Inc. 61,200 6,649,380 0.1%
* NETGEAR, Inc. 31,028 1,447,456 0.0%
* Optical Cable Corp. 10,793 26,443 0.0%
* PAR Technology Corp. 12,896 141,082 0.0%
Park Electrochemical Corp. 1,642 31,001 0.0%
PC Connection, Inc. 35,467 957,609 0.0%
PC-Tel, Inc. 22,216 147,736 0.0%
* PCM, Inc. 10,471 147,118 0.0%
* Photronics, Inc. 79,712 773,206 0.0%
* Plexus Corp. 10,626 652,755 0.0%
#* Qorvo, Inc. 24,909 1,888,351 0.0%
QUALCOMM, Inc. 1,059,256 54,032,649 0.8%
* Rambus, Inc. 1,069 15,725 0.0%
Reis, Inc. 13,511 246,576 0.0%
Richardson Electronics, Ltd. 15,464 102,372 0.0%
* Rogers Corp. 7,543 1,147,139 0.0%
* Rudolph Technologies, Inc. 16,097 446,692 0.0%
* Sanmina Corp. 39,846 1,303,960 0.0%
* ScanSource, Inc. 14,745 633,298 0.0%
* Sonus Networks, Inc. 6,622 51,652 0.0%
# SS&C Technologies Holdings, Inc. 51,586 2,073,757 0.1%
* StarTek, Inc. 22,913 273,581 0.0%
#* SunPower Corp. 18,322 130,453 0.0%
#* Super Micro Computer, Inc. 5,886 117,131 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Information Technology -- (Continued)
* Sykes Enterprises, Inc. 20,292 $ 587,250 0.0%
SYNNEX Corp. 55,900 7,539,792 0.1%
* Synopsys, Inc. 4,200 363,384 0.0%
TE Connectivity, Ltd. 197,255 17,944,287 0.3%
#* Tech Data Corp. 81,325 7,544,520 0.1%
* Telenav, Inc. 9,865 63,629 0.0%
Teradyne, Inc. 26,789 1,148,980 0.0%
Tessco Technologies, Inc. 8,689 139,024 0.0%
TiVo Corp. 19,000 344,850 0.0%
* TTM Technologies, Inc. 55,241 871,703 0.0%
#* Veeco Instruments, Inc. 15,978 288,403 0.0%
* Virtusa Corp. 30,064 1,147,242 0.0%
# Vishay Intertechnology, Inc. 151,731 3,376,015 0.1%
* Vishay Precision Group, Inc. 16,480 404,584 0.0%
Western Digital Corp. 215,907 19,274,018 0.3%
* Xcerra Corp. 20,165 198,625 0.0%
Xerox Corp. 222,408 6,741,187 0.1%
* XO Group, Inc. 6,284 125,429 0.0%
Xperi Corp. 48,635 1,118,605 0.0%
------------ ----
Total Information Technology 815,388,827 12.2%
------------ ----
Materials -- (1.8%)
* Alcoa Corp. 110,583 5,283,656 0.1%
#* Allegheny Technologies, Inc. 22,777 573,525 0.0%
# Ampco-Pittsburgh Corp. 4,007 66,316 0.0%
Ashland Global Holdings, Inc. 112,560 7,651,829 0.1%
# Bemis Co., Inc. 24,092 1,084,622 0.0%
Cabot Corp. 46,280 2,821,229 0.1%
#* Century Aluminum Co. 15,822 221,508 0.0%
* Clearwater Paper Corp. 16,822 776,335 0.0%
Commercial Metals Co. 85,208 1,659,852 0.0%
Core Molding Technologies, Inc. 11,847 274,969 0.0%
Domtar Corp. 8,107 383,623 0.0%
DowDuPont, Inc. 11,060 799,749 0.0%
* Freeport-McMoRan, Inc. 17,132 239,505 0.0%
Friedman Industries, Inc. 3,048 18,044 0.0%
FutureFuel Corp. 6,104 92,659 0.0%
Graphic Packaging Holding Co. 154,000 2,385,460 0.0%
Greif, Inc. Class A 4,885 271,264 0.0%
Huntsman Corp. 50,242 1,608,749 0.0%
# Kaiser Aluminum Corp. 27,181 2,695,812 0.1%
KapStone Paper and Packaging Corp. 80,984 1,818,901 0.0%
* Kraton Corp. 5,435 266,478 0.0%
* Louisiana-Pacific Corp. 173,457 4,714,561 0.1%
Martin Marietta Materials, Inc. 23,633 5,124,816 0.1%
Materion Corp. 18,497 949,821 0.0%
Mercer International, Inc. 21,725 319,357 0.0%
Minerals Technologies, Inc. 34,280 2,464,732 0.0%
# Mosaic Co. (The) 17,274 385,901 0.0%
Myers Industries, Inc. 30,343 655,409 0.0%
Neenah Paper, Inc. 7,684 666,971 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
Newmont Mining Corp. 141,468 $ 5,115,483 0.1%
* Northern Technologies International Corp. 3,035 50,229 0.0%
Nucor Corp. 103,401 5,979,680 0.1%
Olin Corp. 69,801 2,549,830 0.1%
# Olympic Steel, Inc. 9,986 188,536 0.0%
PH Glatfelter Co. 50,600 1,060,576 0.0%
Reliance Steel & Aluminum Co. 93,801 7,207,669 0.1%
# Schnitzer Steel Industries, Inc. Class A 400 11,780 0.0%
Sensient Technologies Corp. 38,101 2,897,581 0.1%
Steel Dynamics, Inc. 94,919 3,531,936 0.1%
* SunCoke Energy, Inc. 62,210 689,909 0.0%
# Synalloy Corp. 949 13,571 0.0%
Tredegar Corp. 26,545 513,646 0.0%
Tronox, Ltd. Class A 1,600 42,352 0.0%
#* Universal Stainless & Alloy Products, Inc. 6,269 128,514 0.0%
Valvoline, Inc. 309,015 7,422,540 0.1%
Vulcan Materials Co. 58,246 7,091,450 0.1%
Westlake Chemical Corp. 158,152 13,428,686 0.2%
WestRock Co. 200,591 12,302,246 0.2%
Worthington Industries, Inc. 47,320 2,153,060 0.0%
------------ ---
Total Materials 118,654,927 1.8%
------------ ---
Real Estate -- (0.0%)
Alexander & Baldwin, Inc. 66,838 3,023,751 0.1%
Griffin Industrial Realty, Inc. 1,500 55,650 0.0%
# Stratus Properties, Inc. 3,069 91,303 0.0%
------------ ---
Total Real Estate 3,170,704 0.1%
------------ ---
Telecommunication Services -- (3.5%)
# AT&T, Inc. 6,369,205 214,323,748 3.2%
# ATN International, Inc. 84 4,560 0.0%
# CenturyLink, Inc. 512,432 9,731,084 0.2%
# Frontier Communications Corp. 46,463 562,667 0.0%
* General Communication, Inc. Class A 2,840 116,128 0.0%
#* Iridium Communications, Inc. 14,800 177,600 0.0%
* Lumos Networks Corp. 500 8,980 0.0%
* ORBCOMM, Inc. 44,499 503,284 0.0%
Spok Holdings, Inc. 12,522 212,248 0.0%
#* Sprint Corp. 422,600 2,763,804 0.0%
* T-Mobile US, Inc. 113,786 6,800,989 0.1%
Telephone & Data Systems, Inc. 111,207 3,241,684 0.1%
* United States Cellular Corp. 7,591 277,755 0.0%
* Vonage Holdings Corp. 85,934 698,643 0.0%
------------ ---
Total Telecommunication Services 239,423,174 3.6%
------------ ---
Utilities -- (0.1%)
* Calpine Corp. 62,921 940,040 0.0%
Consolidated Water Co., Ltd. 6,656 81,869 0.0%
NRG Energy, Inc. 55,469 1,386,725 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Utilities -- (Continued)
# Ormat Technologies, Inc. 20,134 $ 1,307,300 0.0%
-------------- -----
Total Utilities 3,715,934 0.1%
-------------- -----
TOTAL COMMON STOCKS 6,657,034,262 99.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
(degrees) Media General, Inc. Contingent Value Rights 25,196 2,520 0.0%
(degrees)#* Safeway Casa Ley Contingent Value Rights 157,807 160,158 0.0%
(degrees)#* Safeway PDC, LLC Contingent Value Rights 157,807 47 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 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%
============== =====
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
============== ============ == ==============
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of U.S. Large Company Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights (included
in Item 1 of this Form N-CSR) and the schedule of investments (included in Item
6 of this Form N-CSR) present fairly, in all material respects, the financial
position of U.S. Large Company Portfolio (the "Fund") as of October 31, 2017,
the results of its operations for the year then ended, the changes in its net
assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements, financial highlights, and schedule of investments
(hereafter referred to as "financial statements") are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities as of October 31, 2017 by correspondence with the custodian,
broker and the transfer agent of the investee fund, provide a reasonable basis
for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2017
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 (included in Item 1 of this Form N-CSR) and the schedules of
investments (included in Item 6 of this Form N-CSR) present fairly, in all
material respects, the financial position of The U.S. Large Cap Value Series,
The DFA International Value Series, The Emerging Markets Series and The
Tax-Managed U.S. Marketwide Value Series (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, financial highlights, and
schedules of investments (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
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10.SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11.CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Co-Principal Executive Officers
and Principal Financial Officer believe that the disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act
of 1940, as amended) are effectively designed to ensure that information
required to be disclosed by the Registrant in the Report is recorded,
processed, summarized and reported by the filing date, including
ensuring that information required to be disclosed in the Report is
accumulated and communicated to the Registrant's officers that are
making certifications in the Report, as appropriate, to allow timely
decisions regarding required disclosure. The Registrant's management,
including the Co-Principal Executive Officers and the Principal
Financial Officer, recognizes that any set of controls and procedures,
no matter how well designed and operated, can provide only reasonable
assurance of achieving the desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second fiscal
quarter of the period covered by this Report that have materially
affected, or are reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
ITEM 12.EXHIBITS.
(a)(1)Code of Ethics is filed herewith.
(a)(2)Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3)This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/ David P. Butler
------------------------------
David P. Butler
Co-Chief Executive Officer
Date: January 8, 2018
By: /s/ Gerard K. O'Reilly
------------------------------
Gerard K. O'Reilly
Co-Chief Executive Officer and
Chief Investment Officer
Date: January 8, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David P. Butler
---------------------------------
David P. Butler
Co-Principal Executive Officer
Dimensional Investment Group Inc.
Date: January 8, 2018
By: /s/ Gerard K. O'Reilly
---------------------------------
Gerard K. O'Reilly
Co-Principal Executive Officer
Dimensional Investment Group Inc.
Date: January 8, 2018
By: /s/ Gregory K. Hinkle
---------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Investment Group Inc.
Date: January 8, 2018